Beispiel #1
0
    def QPModel(self, addW=False):
        A = self.A
        c = self.c
        s = CyClpSimplex()
        
        x = s.addVariable('x', self.nCols)
        if addW:
            w = s.addVariable('w', self.nCols)
        
        s += A * x >= 1
        n = self.nCols
        
        if not addW:
            s += 0 <= x <= 1
        else:
            s += x + w == 1
            s += 0 <= w <= 1

##        s += -1 <= x <= 1

        s.objective = c * x
       
        if addW:
            G = sparse.lil_matrix((2*n, 2*n))
            for i in xrange(n/2, n): #xrange(n-1):
                G[i, i] = 1
            G[2*n-1, 2*n-1] = 10**-10
        else:
            G = sparse.lil_matrix((n, n))
            for i in xrange(n/2, n): #xrange(n-1):
                G[i, i] = 1

    
        s.Hessian = G
        return s
Beispiel #2
0
    def generateQP(self):
        m = self.m
        n = self.n
        s = CyClpSimplex()

        iNonZero = set(random.randint(n, size=self.nnzPerCol))
        iZero = [i for i in range(n) if i not in iNonZero]
        x_star = np.matrix(np.zeros((n, 1)))
        z_star = np.matrix(np.zeros((n, 1)))

        for i in iNonZero:
            x_star[i, 0] = 1

        for i in iZero:
            z_star[i, 0] = 0 if random.randint(2) else random.random()

        G = getG(n)

        A = getA(m, n, self.nnzPerCol)
        y_star = np.matrix(random.random((m, 1)))

        c = -(G * x_star - A.T * y_star - z_star)

        obj = 0.5 * ((x_star.T * G) * x_star) + c.T * x_star
        print(obj)

        c = CyLPArray((c.T)[0])

        b = CyLPArray(((A * x_star).T)[0])
        b = np.squeeze(np.asarray(b))

        x = s.addVariable('x', n)

        s += A * x == b
        s += x >= 0

        c = CyLPArray(c)
        s.objective = c * x

        s.Hessian = G

        self.model = s
        return s