function [Fconv,no_changed,infeasible,Forigquad] = convertquadratics(F) %CONVERTQUADRATICS Internal function to extract quadratic constraints % ****************************** % LINEAR? % ****************************** infeasible = 0; Fconv = F; no_changed = 0; Forigquad = []; if islinear(F) return end [monomtable,variabletype] = yalmip('monomtable'); if any(variabletype == 4) if issigmonial(F) return end end Fconv = lmi; no_changed = 0; i_changed = []; % Make sure bounds a pre-processed, in case we look for rotated cone which % requires us to know lower bounds nv = yalmip('nvars'); LU = yalmip('getbounds',1:nv); LUhere = getbounds(F,[],LU); for i = 1:1:length(F) if max(variabletype(getvariables(F(i)))) <= 1 % Definitely no quadratic to model as all variables are bilinear at % most Fconv = Fconv + F(i); elseif is(F(i),'element-wise') & ~is(F(i),'linear') & ~is(F(i),'sigmonial') % f-c'*x-x'*Q*x>0 fi = sdpvar(F(i));fi = fi(:); %[Qs,cs,fs,x,info] = vecquaddecomp(fi); for j = 1:length(fi) fij = fi(j); if isa(fij,'double') if fij < 0 infeasible = 1; warning('The problem is trivially infeasible. You have a term POSITIVE NUMBER < 0.'); return end end % Q = Qs{j};c = cs{j};f = fs{j}; if max(variabletype(getvariables(fij))) <= 1 % There are at most bilinear terms, so it cannot be convex info = 1; else [Q,c,f,x,info] = quaddecomp(fij); end if info==0 if nnz(Q)==0 % Oh, linear,... Fconv = Fconv + (fi(j)>=0); else % Yes, quadratic, but convex? % Change sign definitions Q = -Q; c = -c; f = -f; % Semi-definite case when only part of x in Q % Occurs, e.g, in constraints like y'*Q*y < t used = find(any(Q));Qred=Q(:,used);Qred = Qred(used,:);xred = x(used); [R,p]=chol(Qred); done = 0; if p % Safety check to account for low rank problems if all(eig(full(Qred))>=-1e-12) [u,s,v]=svd(full(Qred)); r=find(diag(s)>1e-12); R=(u(:,r)*sqrt(s(r,r)))'; p=0; else % Try to detect rotated SOCP (x-d)'*A*(x-d)+k<= C*y*z yzCandidates = find(~diag(Qred)); if length(yzCandidates) == 2 && nnz(c(yzCandidates))==0 %LU = yalmip('getbounds',getvariables(xred(yzCandidates))); LU = LUhere(getvariables(xred(yzCandidates)),:); if all(LU(:,1)>=0) yzSubQ = Qred(yzCandidates,yzCandidates); if yzSubQ(1,2) < 0 C = -2*yzSubQ(1,2); xCandidates = setdiff(1:length(used),yzCandidates); A = Qred(xCandidates,xCandidates); [B,p]=chol(A); if ~p y = xred(yzCandidates(1)); z = xred(yzCandidates(2)); d = -A\(c(xCandidates)/2); k = f-d'*A*d; if abs(k)<= 1e-12 Fconv=Fconv + lmi(rcone(B*(xred(xCandidates)-d),.5*C*y,z)); no_changed = no_changed + 1; i_changed = [i_changed i]; done = 1; elseif k >= -1e-12 Fconv=Fconv + lmi(rcone([B*(xred(xCandidates)-d);sqrt(abs(k))],.5*C*y,z)); no_changed = no_changed + 1; i_changed = [i_changed i]; done = 1; else p = 1; end end end end end end end if p==0 && ~done % Write as second order cone d = -c'*x-f; if isa(d,'double') if d<0 infeasible = 1; return else Fconv=Fconv + lmi(cone([R*xred],sqrt(d))); end else if length(c) == length(xred) ctilde = -(R')\(c/2); Fconv=Fconv + lmi(cone([R*xred;.5*(1-d)],.5*(1+d))); else Fconv=Fconv + lmi(cone([R*xred;.5*(1-d)],.5*(1+d))); end end no_changed = no_changed + 1; i_changed = [i_changed i]; elseif ~done Fconv = Fconv + lmi(fi(j)); end end else Fconv = Fconv + lmi(fi(j)); end end else Fconv = Fconv + F(i); end end if ~isempty(i_changed) Forigquad = F(i_changed); else Fconv = F; end