def _solve_cvxopt(E, f, G, h, A, b):
"""
"""
P = dot(E.T, E)
q = dot(f, E)
Pp = matrix(P)
qp = matrix(q)
Gp = matrix(G)
hp = matrix(h)
Ap = matrix(A)
bp = matrix(b)
for degenerate_rank in range(-16, -5):
try:
results = qpsolver(Pp, qp, Gp, hp, Ap, bp)
except ValueError as err:
print "Exception Error:", err.args
if err.args[0] == "Rank(A) < p or Rank([P; A; G]) < n":
print 'Try to degenerate P to ensure rank([P; A; G])=n'
P += eye(P.shape[0]) * 10**(degenerate_rank)
Pp = matrix(P)
elif err.args[0] == "domain error":
print "Should delete some constraints"
else:
break
X_sol = array(results['x']).flatten()
return X_sol
def _solve_cvxopt(E, f, G, h, A, b):
"""
"""
P = dot(E.T, E)
q = dot(f, E)
Pp = matrix(P)
qp = matrix(q)
Gp = matrix(G)
hp = matrix(h)
Ap = matrix(A)
bp = matrix(b)
for degenerate_rank in range(-16, -5):
try:
results = qpsolver(Pp, qp, Gp, hp, Ap, bp)
except ValueError as err:
print "Exception Error:", err.args
if err.args[0] == "Rank(A) < p or Rank([P; A; G]) < n":
print 'Try to degenerate P to ensure rank([P; A; G])=n'
P += eye(P.shape[0])*10**(degenerate_rank)
Pp = matrix(P)
elif err.args[0] == "domain error":
print "Should delete some constraints"
else:
break
X_sol = array(results['x']).flatten()
return X_sol
h = zeros(nInequality)
if "G:" in Problist:
G = array([float(v) for v in Problist[Problist.index('G:')+1 : Problist.index('G:')+ nInequality*nProblem +1]]).reshape(nInequality,nProblem)
if "h:" in Problist:
h = array([float(v) for v in Problist[Problist.index('h:')+1 : Problist.index('h:')+ nInequality +1]]).reshape(nInequality)
print "P:\n", P
print "q:\n", q
print "A:\n", A
print "b:\n", b
print "G:\n", G
print "h:\n", h
Pp = matrix(P)
qp = matrix(q)
Gp = matrix(G)
hp = matrix(h)
Ap = matrix(A)
bp = matrix(b)
solvers.options.update({'abstol': 1e-12, 'reltol': 1e-12, 'feastol': 1e-12,})
results = qpsolver(Pp, qp, Gp, hp, Ap, bp)
X_sol = array(results['x']).flatten()
print "cost:", .5*dot(X_sol, dot(P, X_sol)) + dot(q, X_sol)
print X_sol