function prob = yalmip2mosek(interfacedata); % Retrieve needed data options = interfacedata.options; F_struc = interfacedata.F_struc; c = interfacedata.c; Q = interfacedata.Q; K = interfacedata.K; x0 = interfacedata.x0; integer_variables = interfacedata.integer_variables; binary_variables = interfacedata.binary_variables; extended_variables = interfacedata.extended_variables; ub = interfacedata.ub; lb = interfacedata.lb; mt = interfacedata.monomtable; % ********************************* % What type of variables do we have % ********************************* linear_variables = find((sum(abs(mt),2)==1) & (any(mt==1,2))); nonlinear_variables = setdiff((1:size(mt,1))',linear_variables); sigmonial_variables = find(any(0>mt,2) | any(mt-fix(mt),2)); if ~isempty(sigmonial_variables) | isequal(interfacedata.solver.version,'GEOMETRIC') prob = create_mosek_geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); else prob = create_mosek_lpqp(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,integer_variables); end function prob = create_mosek_lpqp(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,integer_variables); prob.c = c; if ~isempty(F_struc) prob.a = -F_struc(:,2:end); prob.buc = full(F_struc(:,1)); prob.blc = repmat(-inf,length(prob.buc),1); else prob.a = sparse(ones(1,length(c))); % Dummy constraint prob.buc = inf; prob.blc = -inf; end if isempty(lb) prob.blx = repmat(-inf,1,length(c)); else prob.blx = lb; end if isempty(ub) prob.bux = repmat(inf,1,length(c)); else prob.bux = ub; end if K.f>0 prob.blc(1:K.f) = prob.buc(1:K.f); end [prob.qosubi,prob.qosubj,prob.qoval] = find(tril(sparse(2*Q))); if K.q(1)>0 nof_new = sum(K.q); prob.a = [prob.a [spalloc(K.f,nof_new,0);spalloc(K.l,nof_new,0);speye(nof_new)]]; %prob.a(1+K.f+K.l:end,1:length(c)) = prob.a(1+K.f+K.l:end,1:length(c)); prob.blc(1+K.f+K.l:end) = prob.buc(1+K.f+K.l:end); prob.buc(1+K.f+K.l:end) = prob.buc(1+K.f+K.l:end); prob.c = [prob.c;zeros(nof_new,1)]; top = size(F_struc,2)-1; for i = 1:length(K.q) prob.cones{i}.type = 'MSK_CT_QUAD'; prob.cones{i}.sub = top+1:top+K.q(i); prob.blx(top+1:top+K.q(i)) = -inf; prob.bux(top+1:top+K.q(i)) = inf; top = top + K.q(i); end end if ~isempty(integer_variables) prob.ints.sub = integer_variables; end prob.param = options.mosek; function prob = create_mosek_geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); x = []; D_struc = []; res = []; solvertime = 0; [prob,problem] = yalmip2geometric(options,F_struc,c,Q,K,ub,lb,mt,linear_variables,extended_variables); if problem == 0 % Mosek does not support equalities if ~isempty(prob.G) prob.A = [prob.A;prob.G;-prob.G]; prob.b = [prob.b;prob.h;1./prob.h]; prob.map = [prob.map;max(prob.map) + (1:2*length(prob.h))']; end else prob = []; end