def dcopf_solver(om, ppopt, out_opt=None):
"""Solves a DC optimal power flow.
Inputs are an OPF model object, a PYPOWER options dict and
a dict containing fields (can be empty) for each of the desired
optional output fields.
Outputs are a C{results} dict, C{success} flag and C{raw} output dict.
C{results} is a PYPOWER case dict (ppc) with the usual baseMVA, bus
branch, gen, gencost fields, along with the following additional
fields:
- C{order} see 'help ext2int' for details of this field
- C{x} final value of optimization variables (internal order)
- C{f} final objective function value
- C{mu} shadow prices on ...
- C{var}
- C{l} lower bounds on variables
- C{u} upper bounds on variables
- C{lin}
- C{l} lower bounds on linear constraints
- C{u} upper bounds on linear constraints
- C{g} (optional) constraint values
- C{dg} (optional) constraint 1st derivatives
- C{df} (optional) obj fun 1st derivatives (not yet implemented)
- C{d2f} (optional) obj fun 2nd derivatives (not yet implemented)
C{success} is C{True} if solver converged successfully, C{False} otherwise.
C{raw} is a raw output dict in form returned by MINOS
- C{xr} final value of optimization variables
- C{pimul} constraint multipliers
- C{info} solver specific termination code
- C{output} solver specific output information
@see: L{opf}, L{qps_pypower}
@author: Ray Zimmerman (PSERC Cornell)
@author: Carlos E. Murillo-Sanchez (PSERC Cornell & Universidad
Autonoma de Manizales)
@author: Richard Lincoln
"""
if out_opt is None:
out_opt = {}
## options
verbose = ppopt['VERBOSE']
alg = ppopt['OPF_ALG_DC']
if alg == 0:
if have_fcn('cplex'): ## use CPLEX by default, if available
alg = 500
elif have_fcn('mosek'): ## if not, then MOSEK, if available
alg = 600
elif have_fcn('gurobi'): ## if not, then Gurobi, if available
alg = 700
else: ## otherwise PIPS
alg = 200
## unpack data
ppc = om.get_ppc()
baseMVA, bus, gen, branch, gencost = \
ppc["baseMVA"], ppc["bus"], ppc["gen"], ppc["branch"], ppc["gencost"]
cp = om.get_cost_params()
N, H, Cw = cp["N"], cp["H"], cp["Cw"]
fparm = array(c_[cp["dd"], cp["rh"], cp["kk"], cp["mm"]])
Bf = om.userdata('Bf')
Pfinj = om.userdata('Pfinj')
vv, ll, _, _ = om.get_idx()
## problem dimensions
ipol = find(gencost[:, MODEL] == POLYNOMIAL) ## polynomial costs
ipwl = find(gencost[:, MODEL] == PW_LINEAR) ## piece-wise linear costs
nb = bus.shape[0] ## number of buses
nl = branch.shape[0] ## number of branches
nw = N.shape[0] ## number of general cost vars, w
ny = om.getN('var', 'y') ## number of piece-wise linear costs
nxyz = om.getN('var') ## total number of control vars of all types
## linear constraints & variable bounds
A, l, u = om.linear_constraints()
x0, xmin, xmax = om.getv()
## set up objective function of the form: f = 1/2 * X'*HH*X + CC'*X
## where X = [x;y;z]. First set up as quadratic function of w,
## f = 1/2 * w'*HHw*w + CCw'*w, where w = diag(M) * (N*X - Rhat). We
## will be building on the (optionally present) user supplied parameters.
## piece-wise linear costs
any_pwl = int(ny > 0)
if any_pwl:
# Sum of y vars.
Npwl = sparse(
(ones(ny), (zeros(ny), arange(vv["i1"]["y"], vv["iN"]["y"]))),
(1, nxyz))
Hpwl = sparse((1, 1))
Cpwl = array([1])
fparm_pwl = array([[1, 0, 0, 1]])
else:
Npwl = None #zeros((0, nxyz))
Hpwl = None #array([])
Cpwl = array([])
fparm_pwl = zeros((0, 4))
## quadratic costs
npol = len(ipol)
if any(find(gencost[ipol, NCOST] > 3)):
stderr.write('DC opf cannot handle polynomial costs with higher '
'than quadratic order.\n')
iqdr = find(gencost[ipol, NCOST] == 3)
ilin = find(gencost[ipol, NCOST] == 2)
polycf = zeros((npol, 3)) ## quadratic coeffs for Pg
if len(iqdr) > 0:
polycf[iqdr, :] = gencost[ipol[iqdr], COST:COST + 3]
if npol:
polycf[ilin, 1:3] = gencost[ipol[ilin], COST:COST + 2]
polycf = dot(polycf, diag([baseMVA**2, baseMVA, 1])) ## convert to p.u.
if npol:
Npol = sparse((ones(npol), (arange(npol), vv["i1"]["Pg"] + ipol)),
(npol, nxyz)) # Pg vars
Hpol = sparse((2 * polycf[:, 0], (arange(npol), arange(npol))),
(npol, npol))
else:
Npol = None
Hpol = None
Cpol = polycf[:, 1]
fparm_pol = ones((npol, 1)) * array([[1, 0, 0, 1]])
## combine with user costs
NN = vstack(
[n for n in [Npwl, Npol, N] if n is not None and n.shape[0] > 0],
"csr")
# FIXME: Zero dimension sparse matrices.
if (Hpwl is not None) and any_pwl and (npol + nw):
Hpwl = hstack([Hpwl, sparse((any_pwl, npol + nw))])
if Hpol is not None:
if any_pwl and npol:
Hpol = hstack([sparse((npol, any_pwl)), Hpol])
if npol and nw:
Hpol = hstack([Hpol, sparse((npol, nw))])
if (H is not None) and nw and (any_pwl + npol):
H = hstack([sparse((nw, any_pwl + npol)), H])
HHw = vstack(
[h for h in [Hpwl, Hpol, H] if h is not None and h.shape[0] > 0],
"csr")
CCw = r_[Cpwl, Cpol, Cw]
ffparm = r_[fparm_pwl, fparm_pol, fparm]
## transform quadratic coefficients for w into coefficients for X
nnw = any_pwl + npol + nw
M = sparse((ffparm[:, 3], (range(nnw), range(nnw))))
MR = M * ffparm[:, 1]
HMR = HHw * MR
MN = M * NN
HH = MN.T * HHw * MN
CC = MN.T * (CCw - HMR)
C0 = 0.5 * dot(MR, HMR) + sum(polycf[:, 2]) # Constant term of cost.
## set up input for QP solver
opt = {'alg': alg, 'verbose': verbose}
if (alg == 200) or (alg == 250):
## try to select an interior initial point
Varefs = bus[bus[:, BUS_TYPE] == REF, VA] * (pi / 180.0)
lb, ub = xmin.copy(), xmax.copy()
lb[xmin == -Inf] = -1e10 ## replace Inf with numerical proxies
ub[xmax == Inf] = 1e10
x0 = (lb + ub) / 2
# angles set to first reference angle
x0[vv["i1"]["Va"]:vv["iN"]["Va"]] = Varefs[0]
if ny > 0:
ipwl = find(gencost[:, MODEL] == PW_LINEAR)
# largest y-value in CCV data
c = gencost.flatten('F')[sub2ind(gencost.shape, ipwl,
NCOST + 2 * gencost[ipwl, NCOST])]
x0[vv["i1"]["y"]:vv["iN"]["y"]] = max(c) + 0.1 * abs(max(c))
## set up options
feastol = ppopt['PDIPM_FEASTOL']
gradtol = ppopt['PDIPM_GRADTOL']
comptol = ppopt['PDIPM_COMPTOL']
costtol = ppopt['PDIPM_COSTTOL']
max_it = ppopt['PDIPM_MAX_IT']
max_red = ppopt['SCPDIPM_RED_IT']
if feastol == 0:
feastol = ppopt['OPF_VIOLATION'] ## = OPF_VIOLATION by default
opt["pips_opt"] = {
'feastol': feastol,
'gradtol': gradtol,
'comptol': comptol,
'costtol': costtol,
'max_it': max_it,
'max_red': max_red,
'cost_mult': 1
}
elif alg == 400:
opt['ipopt_opt'] = ipopt_options([], ppopt)
elif alg == 500:
opt['cplex_opt'] = cplex_options([], ppopt)
elif alg == 600:
opt['mosek_opt'] = mosek_options([], ppopt)
elif alg == 700:
opt['grb_opt'] = gurobi_options([], ppopt)
else:
raise ValueError("Unrecognised solver [%d]." % alg)
##----- run opf -----
x, f, info, output, lmbda = \
qps_pypower(HH, CC, A, l, u, xmin, xmax, x0, opt)
success = (info == 1)
##----- calculate return values -----
if not any(isnan(x)):
## update solution data
Va = x[vv["i1"]["Va"]:vv["iN"]["Va"]]
Pg = x[vv["i1"]["Pg"]:vv["iN"]["Pg"]]
f = f + C0
## update voltages & generator outputs
bus[:, VA] = Va * 180 / pi
gen[:, PG] = Pg * baseMVA
## compute branch flows
branch[:, [QF, QT]] = zeros((nl, 2))
branch[:, PF] = (Bf * Va + Pfinj) * baseMVA
branch[:, PT] = -branch[:, PF]
## package up results
mu_l = lmbda["mu_l"]
mu_u = lmbda["mu_u"]
muLB = lmbda["lower"]
muUB = lmbda["upper"]
## update Lagrange multipliers
il = find((branch[:, RATE_A] != 0) & (branch[:, RATE_A] < 1e10))
bus[:, [LAM_P, LAM_Q, MU_VMIN, MU_VMAX]] = zeros((nb, 4))
gen[:, [MU_PMIN, MU_PMAX, MU_QMIN, MU_QMAX]] = zeros((gen.shape[0], 4))
branch[:, [MU_SF, MU_ST]] = zeros((nl, 2))
bus[:, LAM_P] = (mu_u[ll["i1"]["Pmis"]:ll["iN"]["Pmis"]] -
mu_l[ll["i1"]["Pmis"]:ll["iN"]["Pmis"]]) / baseMVA
branch[il, MU_SF] = mu_u[ll["i1"]["Pf"]:ll["iN"]["Pf"]] / baseMVA
branch[il, MU_ST] = mu_u[ll["i1"]["Pt"]:ll["iN"]["Pt"]] / baseMVA
gen[:, MU_PMIN] = muLB[vv["i1"]["Pg"]:vv["iN"]["Pg"]] / baseMVA
gen[:, MU_PMAX] = muUB[vv["i1"]["Pg"]:vv["iN"]["Pg"]] / baseMVA
pimul = r_[mu_l - mu_u, -ones(
(ny > 0)), ## dummy entry corresponding to linear cost row in A
muLB - muUB]
mu = {'var': {'l': muLB, 'u': muUB}, 'lin': {'l': mu_l, 'u': mu_u}}
results = deepcopy(ppc)
results["bus"], results["branch"], results["gen"], \
results["om"], results["x"], results["mu"], results["f"] = \
bus, branch, gen, om, x, mu, f
raw = {'xr': x, 'pimul': pimul, 'info': info, 'output': output}
return results, success, raw
def dcopf_solver(om, ppopt, out_opt=None):
"""Solves a DC optimal power flow.
Inputs are an OPF model object, a PYPOWER options dict and
a dict containing fields (can be empty) for each of the desired
optional output fields.
Outputs are a C{results} dict, C{success} flag and C{raw} output dict.
C{results} is a PYPOWER case dict (ppc) with the usual baseMVA, bus
branch, gen, gencost fields, along with the following additional
fields:
- C{order} see 'help ext2int' for details of this field
- C{x} final value of optimization variables (internal order)
- C{f} final objective function value
- C{mu} shadow prices on ...
- C{var}
- C{l} lower bounds on variables
- C{u} upper bounds on variables
- C{lin}
- C{l} lower bounds on linear constraints
- C{u} upper bounds on linear constraints
- C{g} (optional) constraint values
- C{dg} (optional) constraint 1st derivatives
- C{df} (optional) obj fun 1st derivatives (not yet implemented)
- C{d2f} (optional) obj fun 2nd derivatives (not yet implemented)
C{success} is C{True} if solver converged successfully, C{False} otherwise.
C{raw} is a raw output dict in form returned by MINOS
- C{xr} final value of optimization variables
- C{pimul} constraint multipliers
- C{info} solver specific termination code
- C{output} solver specific output information
@see: L{opf}, L{qps_pypower}
@author: Ray Zimmerman (PSERC Cornell)
@author: Carlos E. Murillo-Sanchez (PSERC Cornell & Universidad
Autonoma de Manizales)
"""
if out_opt is None:
out_opt = {}
## options
verbose = ppopt['VERBOSE']
alg = ppopt['OPF_ALG_DC']
if alg == 0:
if have_fcn('cplex'): ## use CPLEX by default, if available
alg = 500
elif have_fcn('mosek'): ## if not, then MOSEK, if available
alg = 600
elif have_fcn('gurobi'): ## if not, then Gurobi, if available
alg = 700
else: ## otherwise PIPS
alg = 200
## unpack data
ppc = om.get_ppc()
baseMVA, bus, gen, branch, gencost = \
ppc["baseMVA"], ppc["bus"], ppc["gen"], ppc["branch"], ppc["gencost"]
cp = om.get_cost_params()
N, H, Cw = cp["N"], cp["H"], cp["Cw"]
fparm = array(c_[cp["dd"], cp["rh"], cp["kk"], cp["mm"]])
Bf = om.userdata('Bf')
Pfinj = om.userdata('Pfinj')
vv, ll, _, _ = om.get_idx()
## problem dimensions
ipol = find(gencost[:, MODEL] == POLYNOMIAL) ## polynomial costs
ipwl = find(gencost[:, MODEL] == PW_LINEAR) ## piece-wise linear costs
nb = bus.shape[0] ## number of buses
nl = branch.shape[0] ## number of branches
nw = N.shape[0] ## number of general cost vars, w
ny = om.getN('var', 'y') ## number of piece-wise linear costs
nxyz = om.getN('var') ## total number of control vars of all types
## linear constraints & variable bounds
A, l, u = om.linear_constraints()
x0, xmin, xmax = om.getv()
## set up objective function of the form: f = 1/2 * X'*HH*X + CC'*X
## where X = [x;y;z]. First set up as quadratic function of w,
## f = 1/2 * w'*HHw*w + CCw'*w, where w = diag(M) * (N*X - Rhat). We
## will be building on the (optionally present) user supplied parameters.
## piece-wise linear costs
any_pwl = int(ny > 0)
if any_pwl:
# Sum of y vars.
Npwl = sparse((ones(ny), (zeros(ny), arange(vv["i1"]["y"], vv["iN"]["y"]))), (1, nxyz))
Hpwl = sparse((1, 1))
Cpwl = array([1])
fparm_pwl = array([[1, 0, 0, 1]])
else:
Npwl = None#zeros((0, nxyz))
Hpwl = None#array([])
Cpwl = array([])
fparm_pwl = zeros((0, 4))
## quadratic costs
npol = len(ipol)
if any(find(gencost[ipol, NCOST] > 3)):
stderr.write('DC opf cannot handle polynomial costs with higher '
'than quadratic order.\n')
iqdr = find(gencost[ipol, NCOST] == 3)
ilin = find(gencost[ipol, NCOST] == 2)
polycf = zeros((npol, 3)) ## quadratic coeffs for Pg
if len(iqdr) > 0:
polycf[iqdr, :] = gencost[ipol[iqdr], COST:COST + 3]
if npol:
polycf[ilin, 1:3] = gencost[ipol[ilin], COST:COST + 2]
polycf = dot(polycf, diag([ baseMVA**2, baseMVA, 1])) ## convert to p.u.
if npol:
Npol = sparse((ones(npol), (arange(npol), vv["i1"]["Pg"] + ipol)),
(npol, nxyz)) # Pg vars
Hpol = sparse((2 * polycf[:, 0], (arange(npol), arange(npol))),
(npol, npol))
else:
Npol = None
Hpol = None
Cpol = polycf[:, 1]
fparm_pol = ones((npol, 1)) * array([[1, 0, 0, 1]])
## combine with user costs
NN = vstack([n for n in [Npwl, Npol, N] if n is not None and n.shape[0] > 0], "csr")
# FIXME: Zero dimension sparse matrices.
if (Hpwl is not None) and any_pwl and (npol + nw):
Hpwl = hstack([Hpwl, sparse((any_pwl, npol + nw))])
if Hpol is not None:
if any_pwl and npol:
Hpol = hstack([sparse((npol, any_pwl)), Hpol])
if npol and nw:
Hpol = hstack([Hpol, sparse((npol, nw))])
if (H is not None) and nw and (any_pwl + npol):
H = hstack([sparse((nw, any_pwl + npol)), H])
HHw = vstack([h for h in [Hpwl, Hpol, H] if h is not None and h.shape[0] > 0], "csr")
CCw = r_[Cpwl, Cpol, Cw]
ffparm = r_[fparm_pwl, fparm_pol, fparm]
## transform quadratic coefficients for w into coefficients for X
nnw = any_pwl + npol + nw
M = sparse((ffparm[:, 3], (range(nnw), range(nnw))))
MR = M * ffparm[:, 1]
HMR = HHw * MR
MN = M * NN
HH = MN.T * HHw * MN
CC = MN.T * (CCw - HMR)
C0 = 0.5 * dot(MR, HMR) + sum(polycf[:, 2]) # Constant term of cost.
## set up input for QP solver
opt = {'alg': alg, 'verbose': verbose}
if (alg == 200) or (alg == 250):
## try to select an interior initial point
Varefs = bus[bus[:, BUS_TYPE] == REF, VA] * (pi / 180.0)
lb, ub = xmin.copy(), xmax.copy()
lb[xmin == -Inf] = -1e10 ## replace Inf with numerical proxies
ub[xmax == Inf] = 1e10
x0 = (lb + ub) / 2;
# angles set to first reference angle
x0[vv["i1"]["Va"]:vv["iN"]["Va"]] = Varefs[0]
if ny > 0:
ipwl = find(gencost[:, MODEL] == PW_LINEAR)
# largest y-value in CCV data
c = gencost.flatten('F')[sub2ind(gencost.shape, ipwl,
NCOST + 2 * gencost[ipwl, NCOST])]
x0[vv["i1"]["y"]:vv["iN"]["y"]] = max(c) + 0.1 * abs(max(c))
## set up options
feastol = ppopt['PDIPM_FEASTOL']
gradtol = ppopt['PDIPM_GRADTOL']
comptol = ppopt['PDIPM_COMPTOL']
costtol = ppopt['PDIPM_COSTTOL']
max_it = ppopt['PDIPM_MAX_IT']
max_red = ppopt['SCPDIPM_RED_IT']
if feastol == 0:
feastol = ppopt['OPF_VIOLATION'] ## = OPF_VIOLATION by default
opt["pips_opt"] = { 'feastol': feastol,
'gradtol': gradtol,
'comptol': comptol,
'costtol': costtol,
'max_it': max_it,
'max_red': max_red,
'cost_mult': 1 }
elif alg == 400:
opt['ipopt_opt'] = ipopt_options([], ppopt)
elif alg == 500:
opt['cplex_opt'] = cplex_options([], ppopt)
elif alg == 600:
opt['mosek_opt'] = mosek_options([], ppopt)
elif alg == 700:
opt['grb_opt'] = gurobi_options([], ppopt)
else:
raise ValueError("Unrecognised solver [%d]." % alg)
##----- run opf -----
x, f, info, output, lmbda = \
qps_pypower(HH, CC, A, l, u, xmin, xmax, x0, opt)
success = (info == 1)
##----- calculate return values -----
if not any(isnan(x)):
## update solution data
Va = x[vv["i1"]["Va"]:vv["iN"]["Va"]]
Pg = x[vv["i1"]["Pg"]:vv["iN"]["Pg"]]
f = f + C0
## update voltages & generator outputs
bus[:, VA] = Va * 180 / pi
gen[:, PG] = Pg * baseMVA
## compute branch flows
branch[:, [QF, QT]] = zeros((nl, 2))
branch[:, PF] = (Bf * Va + Pfinj) * baseMVA
branch[:, PT] = -branch[:, PF]
## package up results
mu_l = lmbda["mu_l"]
mu_u = lmbda["mu_u"]
muLB = lmbda["lower"]
muUB = lmbda["upper"]
## update Lagrange multipliers
il = find((branch[:, RATE_A] != 0) & (branch[:, RATE_A] < 1e10))
bus[:, [LAM_P, LAM_Q, MU_VMIN, MU_VMAX]] = zeros((nb, 4))
gen[:, [MU_PMIN, MU_PMAX, MU_QMIN, MU_QMAX]] = zeros((gen.shape[0], 4))
branch[:, [MU_SF, MU_ST]] = zeros((nl, 2))
bus[:, LAM_P] = (mu_u[ll["i1"]["Pmis"]:ll["iN"]["Pmis"]] -
mu_l[ll["i1"]["Pmis"]:ll["iN"]["Pmis"]]) / baseMVA
branch[il, MU_SF] = mu_u[ll["i1"]["Pf"]:ll["iN"]["Pf"]] / baseMVA
branch[il, MU_ST] = mu_u[ll["i1"]["Pt"]:ll["iN"]["Pt"]] / baseMVA
gen[:, MU_PMIN] = muLB[vv["i1"]["Pg"]:vv["iN"]["Pg"]] / baseMVA
gen[:, MU_PMAX] = muUB[vv["i1"]["Pg"]:vv["iN"]["Pg"]] / baseMVA
pimul = r_[
mu_l - mu_u,
-ones(int(ny > 0)), ## dummy entry corresponding to linear cost row in A
muLB - muUB
]
mu = { 'var': {'l': muLB, 'u': muUB},
'lin': {'l': mu_l, 'u': mu_u} }
results = deepcopy(ppc)
results["bus"], results["branch"], results["gen"], \
results["om"], results["x"], results["mu"], results["f"] = \
bus, branch, gen, om, x, mu, f
raw = {'xr': x, 'pimul': pimul, 'info': info, 'output': output}
return results, success, raw
def qps_gurobi(H, c, A, l, u, xmin, xmax, x0, opt):
"""Quadratic Program Solver based on GUROBI.
A wrapper function providing a PYPOWER standardized interface for using
gurobipy to solve the following QP (quadratic programming)
problem:
min 1/2 x'*H*x + c'*x
x
subject to
l <= A*x <= u (linear constraints)
xmin <= x <= xmax (variable bounds)
Inputs (all optional except H, c, A and l):
H : matrix (possibly sparse) of quadratic cost coefficients
c : vector of linear cost coefficients
A, l, u : define the optional linear constraints. Default
values for the elements of l and u are -Inf and Inf,
respectively.
xmin, xmax : optional lower and upper bounds on the
C{x} variables, defaults are -Inf and Inf, respectively.
x0 : optional starting value of optimization vector C{x}
opt : optional options structure with the following fields,
all of which are also optional (default values shown in
parentheses)
verbose (0) - controls level of progress output displayed
0 = no progress output
1 = some progress output
2 = verbose progress output
grb_opt - options dict for Gurobi, value in
verbose overrides these options
problem : The inputs can alternatively be supplied in a single
PROBLEM dict with fields corresponding to the input arguments
described above: H, c, A, l, u, xmin, xmax, x0, opt
Outputs:
x : solution vector
f : final objective function value
exitflag : gurobipy exit flag
1 = converged
0 or negative values = negative of GUROBI_MEX exit flag
(see gurobipy documentation for details)
output : gurobipy output dict
(see gurobipy documentation for details)
lmbda : dict containing the Langrange and Kuhn-Tucker
multipliers on the constraints, with fields:
mu_l - lower (left-hand) limit on linear constraints
mu_u - upper (right-hand) limit on linear constraints
lower - lower bound on optimization variables
upper - upper bound on optimization variables
Note the calling syntax is almost identical to that of QUADPROG
from MathWorks' Optimization Toolbox. The main difference is that
the linear constraints are specified with A, l, u instead of
A, b, Aeq, beq.
Calling syntax options:
x, f, exitflag, output, lmbda = ...
qps_gurobi(H, c, A, l, u, xmin, xmax, x0, opt)
r = qps_gurobi(H, c, A, l, u)
r = qps_gurobi(H, c, A, l, u, xmin, xmax)
r = qps_gurobi(H, c, A, l, u, xmin, xmax, x0)
r = qps_gurobi(H, c, A, l, u, xmin, xmax, x0, opt)
r = qps_gurobi(problem), where problem is a dict with fields:
H, c, A, l, u, xmin, xmax, x0, opt
all fields except 'c', 'A' and 'l' or 'u' are optional
Example: (problem from from http://www.jmu.edu/docs/sasdoc/sashtml/iml/chap8/sect12.htm)
H = [ 1003.1 4.3 6.3 5.9;
4.3 2.2 2.1 3.9;
6.3 2.1 3.5 4.8;
5.9 3.9 4.8 10 ]
c = zeros((4, 1))
A = [ [1 1 1 1]
[0.17 0.11 0.10 0.18] ]
l = [1; 0.10]
u = [1; Inf]
xmin = zeros((4, 1))
x0 = [1; 0; 0; 1]
opt = {'verbose': 2}
x, f, s, out, lmbda = qps_gurobi(H, c, A, l, u, xmin, [], x0, opt)
@see: L{gurobipy}.
"""
import gurobipy
##----- input argument handling -----
## gather inputs
if isinstance(H, dict): ## problem struct
p = H
if 'opt' in p: opt = p['opt']
if 'x0' in p: x0 = p['x0']
if 'xmax' in p: xmax = p['xmax']
if 'xmin' in p: xmin = p['xmin']
if 'u' in p: u = p['u']
if 'l' in p: l = p['l']
if 'A' in p: A = p['A']
if 'c' in p: c = p['c']
if 'H' in p: H = p['H']
else: ## individual args
assert H is not None
assert c is not None
assert A is not None
assert l is not None
if opt is None:
opt = {}
# if x0 is None:
# x0 = array([])
# if xmax is None:
# xmax = array([])
# if xmin is None:
# xmin = array([])
## define nx, set default values for missing optional inputs
if len(H) == 0 or not any(any(H)):
if len(A) == 0 and len(xmin) == 0 and len(xmax) == 0:
stderr.write('qps_gurobi: LP problem must include constraints or variable bounds\n')
else:
if len(A) > 0:
nx = shape(A)[1]
elif len(xmin) > 0:
nx = len(xmin)
else: # if len(xmax) > 0
nx = len(xmax)
H = sparse((nx, nx))
else:
nx = shape(H)[0]
if len(c) == 0:
c = zeros(nx)
if len(A) > 0 and (len(l) == 0 or all(l == -Inf)) and \
(len(u) == 0 or all(u == Inf)):
A = None ## no limits => no linear constraints
nA = shape(A)[0] ## number of original linear constraints
if nA:
if len(u) == 0: ## By default, linear inequalities are ...
u = Inf * ones(nA) ## ... unbounded above and ...
if len(l) == 0:
l = -Inf * ones(nA) ## ... unbounded below.
if len(x0) == 0:
x0 = zeros(nx)
## default options
if 'verbose' in opt:
verbose = opt['verbose']
else:
verbose = 0
# if 'max_it' in opt:
# max_it = opt['max_it']
# else:
# max_it = 0
## set up options struct for Gurobi
if 'grb_opt' in opt:
g_opt = gurobi_options(opt['grb_opt'])
else:
g_opt = gurobi_options()
g_opt['Display'] = min(verbose, 3)
if verbose:
g_opt['DisplayInterval'] = 1
else:
g_opt['DisplayInterval'] = Inf
if not issparse(A):
A = sparse(A)
## split up linear constraints
ieq = find( abs(u-l) <= EPS ) ## equality
igt = find( u >= 1e10 & l > -1e10 ) ## greater than, unbounded above
ilt = find( l <= -1e10 & u < 1e10 ) ## less than, unbounded below
ibx = find( (abs(u-l) > EPS) & (u < 1e10) & (l > -1e10) )
## grab some dimensions
nlt = len(ilt) ## number of upper bounded linear inequalities
ngt = len(igt) ## number of lower bounded linear inequalities
nbx = len(ibx) ## number of doubly bounded linear inequalities
neq = len(ieq) ## number of equalities
niq = nlt + ngt + 2 * nbx ## number of inequalities
AA = [ A[ieq, :], A[ilt, :], -A[igt, :], A[ibx, :], -A[ibx, :] ]
bb = [ u[ieq], u[ilt], -l[igt], u[ibx], -l[ibx] ]
contypes = '=' * neq + '<' * niq
## call the solver
if len(H) == 0 or not any(any(H)):
lpqp = 'LP'
else:
lpqp = 'QP'
rr, cc, vv = find(H)
g_opt['QP']['qrow'] = int(rr.T - 1)
g_opt['QP']['qcol'] = int(cc.T - 1)
g_opt['QP']['qval'] = 0.5 * vv.T
if verbose:
methods = [
'primal simplex',
'dual simplex',
'interior point',
'concurrent',
'deterministic concurrent'
]
print('Gurobi Version %s -- %s %s solver\n'
'<unknown>' % (methods[g_opt['Method'] + 1], lpqp))
x, f, eflag, output, lmbda = \
gurobipy(c.T, 1, AA, bb, contypes, xmin, xmax, 'C', g_opt)
pi = lmbda['Pi']
rc = lmbda['RC']
output['flag'] = eflag
if eflag == 2:
eflag = 1 ## optimal solution found
else:
eflag = -eflag ## failed somehow
## check for empty results (in case optimization failed)
lam = {}
if len(x) == 0:
x = NaN(nx, 1);
lam['lower'] = NaN(nx)
lam['upper'] = NaN(nx)
else:
lam['lower'] = zeros(nx)
lam['upper'] = zeros(nx)
if len(f) == 0:
f = NaN
if len(pi) == 0:
pi = NaN(len(bb))
kl = find(rc > 0); ## lower bound binding
ku = find(rc < 0); ## upper bound binding
lam['lower'][kl] = rc[kl]
lam['upper'][ku] = -rc[ku]
lam['eqlin'] = pi[:neq + 1]
lam['ineqlin'] = pi[neq + range(niq + 1)]
mu_l = zeros(nA)
mu_u = zeros(nA)
## repackage lmbdas
kl = find(lam['eqlin'] > 0) ## lower bound binding
ku = find(lam['eqlin'] < 0) ## upper bound binding
mu_l[ieq[kl]] = lam['eqlin'][kl]
mu_l[igt] = -lam['ineqlin'][nlt + range(ngt + 1)]
mu_l[ibx] = -lam['ineqlin'][nlt + ngt + nbx + range(nbx)]
mu_u[ieq[ku]] = -lam['eqlin'][ku]
mu_u[ilt] = -lam['ineqlin'][:nlt + 1]
mu_u[ibx] = -lam['ineqlin'][nlt + ngt + range(nbx + 1)]
lmbda = {
'mu_l': mu_l,
'mu_u': mu_u,
'lower': lam['lower'],
'upper': lam['upper']
}
return x, f, eflag, output, lmbda
def qps_gurobi(H, c, A, l, u, xmin, xmax, x0, opt):
"""Quadratic Program Solver based on GUROBI.
A wrapper function providing a PYPOWER standardized interface for using
gurobipy to solve the following QP (quadratic programming)
problem:
min 1/2 x'*H*x + c'*x
x
subject to
l <= A*x <= u (linear constraints)
xmin <= x <= xmax (variable bounds)
Inputs (all optional except H, c, A and l):
H : matrix (possibly sparse) of quadratic cost coefficients
c : vector of linear cost coefficients
A, l, u : define the optional linear constraints. Default
values for the elements of l and u are -Inf and Inf,
respectively.
xmin, xmax : optional lower and upper bounds on the
C{x} variables, defaults are -Inf and Inf, respectively.
x0 : optional starting value of optimization vector C{x}
opt : optional options structure with the following fields,
all of which are also optional (default values shown in
parentheses)
verbose (0) - controls level of progress output displayed
0 = no progress output
1 = some progress output
2 = verbose progress output
grb_opt - options dict for Gurobi, value in
verbose overrides these options
problem : The inputs can alternatively be supplied in a single
PROBLEM dict with fields corresponding to the input arguments
described above: H, c, A, l, u, xmin, xmax, x0, opt
Outputs:
x : solution vector
f : final objective function value
exitflag : gurobipy exit flag
1 = converged
0 or negative values = negative of GUROBI_MEX exit flag
(see gurobipy documentation for details)
output : gurobipy output dict
(see gurobipy documentation for details)
lmbda : dict containing the Langrange and Kuhn-Tucker
multipliers on the constraints, with fields:
mu_l - lower (left-hand) limit on linear constraints
mu_u - upper (right-hand) limit on linear constraints
lower - lower bound on optimization variables
upper - upper bound on optimization variables
Note the calling syntax is almost identical to that of QUADPROG
from MathWorks' Optimization Toolbox. The main difference is that
the linear constraints are specified with A, l, u instead of
A, b, Aeq, beq.
Calling syntax options:
x, f, exitflag, output, lmbda = ...
qps_gurobi(H, c, A, l, u, xmin, xmax, x0, opt)
r = qps_gurobi(H, c, A, l, u)
r = qps_gurobi(H, c, A, l, u, xmin, xmax)
r = qps_gurobi(H, c, A, l, u, xmin, xmax, x0)
r = qps_gurobi(H, c, A, l, u, xmin, xmax, x0, opt)
r = qps_gurobi(problem), where problem is a dict with fields:
H, c, A, l, u, xmin, xmax, x0, opt
all fields except 'c', 'A' and 'l' or 'u' are optional
Example: (problem from from http://www.jmu.edu/docs/sasdoc/sashtml/iml/chap8/sect12.htm)
H = [ 1003.1 4.3 6.3 5.9;
4.3 2.2 2.1 3.9;
6.3 2.1 3.5 4.8;
5.9 3.9 4.8 10 ]
c = zeros((4, 1))
A = [ [1 1 1 1]
[0.17 0.11 0.10 0.18] ]
l = [1; 0.10]
u = [1; Inf]
xmin = zeros((4, 1))
x0 = [1; 0; 0; 1]
opt = {'verbose': 2}
x, f, s, out, lmbda = qps_gurobi(H, c, A, l, u, xmin, [], x0, opt)
@see: L{gurobipy}.
"""
import gurobipy
##----- input argument handling -----
## gather inputs
if isinstance(H, dict): ## problem struct
p = H
if 'opt' in p: opt = p['opt']
if 'x0' in p: x0 = p['x0']
if 'xmax' in p: xmax = p['xmax']
if 'xmin' in p: xmin = p['xmin']
if 'u' in p: u = p['u']
if 'l' in p: l = p['l']
if 'A' in p: A = p['A']
if 'c' in p: c = p['c']
if 'H' in p: H = p['H']
else: ## individual args
assert H is not None
assert c is not None
assert A is not None
assert l is not None
if opt is None:
opt = {}
# if x0 is None:
# x0 = array([])
# if xmax is None:
# xmax = array([])
# if xmin is None:
# xmin = array([])
## define nx, set default values for missing optional inputs
if len(H) == 0 or not any(any(H)):
if len(A) == 0 and len(xmin) == 0 and len(xmax) == 0:
stderr.write('qps_gurobi: LP problem must include constraints or variable bounds\n')
else:
if len(A) > 0:
nx = shape(A)[1]
elif len(xmin) > 0:
nx = len(xmin)
else: # if len(xmax) > 0
nx = len(xmax)
H = sparse((nx, nx))
else:
nx = shape(H)[0]
if len(c) == 0:
c = zeros(nx)
if len(A) > 0 and (len(l) == 0 or all(l == -Inf)) and \
(len(u) == 0 or all(u == Inf)):
A = None ## no limits => no linear constraints
nA = shape(A)[0] ## number of original linear constraints
if nA:
if len(u) == 0: ## By default, linear inequalities are ...
u = Inf * ones(nA) ## ... unbounded above and ...
if len(l) == 0:
l = -Inf * ones(nA) ## ... unbounded below.
if len(x0) == 0:
x0 = zeros(nx)
## default options
if 'verbose' in opt:
verbose = opt['verbose']
else:
verbose = 0
# if 'max_it' in opt:
# max_it = opt['max_it']
# else:
# max_it = 0
## set up options struct for Gurobi
if 'grb_opt' in opt:
g_opt = gurobi_options(opt['grb_opt'])
else:
g_opt = gurobi_options()
g_opt['Display'] = min(verbose, 3)
if verbose:
g_opt['DisplayInterval'] = 1
else:
g_opt['DisplayInterval'] = Inf
if not issparse(A):
A = sparse(A)
## split up linear constraints
ieq = find( abs(u-l) <= EPS ) ## equality
igt = find( u >= 1e10 & l > -1e10 ) ## greater than, unbounded above
ilt = find( l <= -1e10 & u < 1e10 ) ## less than, unbounded below
ibx = find( (abs(u-l) > EPS) & (u < 1e10) & (l > -1e10) )
## grab some dimensions
nlt = len(ilt) ## number of upper bounded linear inequalities
ngt = len(igt) ## number of lower bounded linear inequalities
nbx = len(ibx) ## number of doubly bounded linear inequalities
neq = len(ieq) ## number of equalities
niq = nlt + ngt + 2 * nbx ## number of inequalities
AA = [ A[ieq, :], A[ilt, :], -A[igt, :], A[ibx, :], -A[ibx, :] ]
bb = [ u[ieq], u[ilt], -l[igt], u[ibx], -l[ibx] ]
contypes = '=' * neq + '<' * niq
## call the solver
if len(H) == 0 or not any(any(H)):
lpqp = 'LP'
else:
lpqp = 'QP'
rr, cc, vv = find(H)
g_opt['QP']['qrow'] = int(rr.T - 1)
g_opt['QP']['qcol'] = int(cc.T - 1)
g_opt['QP']['qval'] = 0.5 * vv.T
if verbose:
methods = [
'primal simplex',
'dual simplex',
'interior point',
'concurrent',
'deterministic concurrent'
]
print(('Gurobi Version %s -- %s %s solver\n'
'<unknown>' % (methods[g_opt['Method'] + 1], lpqp)))
x, f, eflag, output, lmbda = \
gurobipy(c.T, 1, AA, bb, contypes, xmin, xmax, 'C', g_opt)
pi = lmbda['Pi']
rc = lmbda['RC']
output['flag'] = eflag
if eflag == 2:
eflag = 1 ## optimal solution found
else:
eflag = -eflag ## failed somehow
## check for empty results (in case optimization failed)
lam = {}
if len(x) == 0:
x = NaN(nx, 1);
lam['lower'] = NaN(nx)
lam['upper'] = NaN(nx)
else:
lam['lower'] = zeros(nx)
lam['upper'] = zeros(nx)
if len(f) == 0:
f = NaN
if len(pi) == 0:
pi = NaN(len(bb))
kl = find(rc > 0); ## lower bound binding
ku = find(rc < 0); ## upper bound binding
lam['lower'][kl] = rc[kl]
lam['upper'][ku] = -rc[ku]
lam['eqlin'] = pi[:neq + 1]
lam['ineqlin'] = pi[neq + list(range(niq + 1))]
mu_l = zeros(nA)
mu_u = zeros(nA)
## repackage lmbdas
kl = find(lam['eqlin'] > 0) ## lower bound binding
ku = find(lam['eqlin'] < 0) ## upper bound binding
mu_l[ieq[kl]] = lam['eqlin'][kl]
mu_l[igt] = -lam['ineqlin'][nlt + list(range(ngt + 1))]
mu_l[ibx] = -lam['ineqlin'][nlt + ngt + nbx + list(range(nbx))]
mu_u[ieq[ku]] = -lam['eqlin'][ku]
mu_u[ilt] = -lam['ineqlin'][:nlt + 1]
mu_u[ibx] = -lam['ineqlin'][nlt + ngt + list(range(nbx + 1))]
lmbda = {
'mu_l': mu_l,
'mu_u': mu_u,
'lower': lam['lower'],
'upper': lam['upper']
}
return x, f, eflag, output, lmbda
