def buildSolverModel(self, lp, inf=1e20):
"""Translate the problem into a Mosek task object."""
self.cons = lp.constraints
self.numcons = len(self.cons)
self.cons_dict = {}
i = 0
for c in self.cons:
self.cons_dict[c] = i
i = i+1
self.vars = list(lp.variables())
self.numvars = len(self.vars)
self.var_dict = {}
#Checking for repeated names
lp.checkDuplicateVars()
#Creating a MOSEK environment
self.env = mosek.Env()
self.task = self.env.Task()
self.task.appendcons(self.numcons)
self.task.appendvars(self.numvars)
if self.msg:
self.task.set_Stream(mosek.streamtype.log,self.setOutStream)
#Adding variables
for i in range(self.numvars):
vname = self.vars[i].name
self.var_dict[vname] = i
self.task.putvarname(i,vname)
#Variable type (Default: Continuous)
if self.mip & (self.vars[i].cat == constants.LpInteger):
self.task.putvartype(i,mosek.variabletype.type_int)
self.solution_type = mosek.soltype.itg
#Variable bounds
vbkey = mosek.boundkey.fr
vup = inf
vlow = -inf
if self.vars[i].lowBound != None:
vlow = self.vars[i].lowBound
if self.vars[i].upBound != None:
vup = self.vars[i].upBound
vbkey = mosek.boundkey.ra
else:
vbkey = mosek.boundkey.lo
elif self.vars[i].upBound != None:
vup = self.vars[i].upBound
vbkey = mosek.boundkey.up
self.task.putvarbound(i,vbkey,vlow,vup)
#Objective coefficient for the current variable.
self.task.putcj(i,lp.objective.get(self.vars[i],0.0))
#Coefficient matrix
self.A_rows,self.A_cols,self.A_vals = zip(*[[self.cons_dict[row],self.var_dict[col],coeff]
for col,row,coeff in lp.coefficients()])
self.task.putaijlist(self.A_rows,self.A_cols,self.A_vals)
#Constraints
self.constraint_data_list = []
for c in self.cons:
cname = self.cons[c].name
if cname != None:
self.task.putconname(self.cons_dict[c],cname)
else:
self.task.putconname(self.cons_dict[c],c)
csense = self.cons[c].sense
cconst = -self.cons[c].constant
clow = -inf
cup = inf
#Constraint bounds
if csense == constants.LpConstraintEQ:
cbkey = mosek.boundkey.fx
clow = cconst
cup = cconst
elif csense == constants.LpConstraintGE:
cbkey = mosek.boundkey.lo
clow = cconst
elif csense == constants.LpConstraintLE:
cbkey = mosek.boundkey.up
cup = cconst
else:
raise PulpSolverError('Invalid constraint type.')
self.constraint_data_list.append([self.cons_dict[c],cbkey,clow,cup])
self.cons_id_list,self.cbkey_list,self.clow_list,self.cup_list = zip(*self.constraint_data_list)
self.task.putconboundlist(self.cons_id_list,self.cbkey_list,self.clow_list,self.cup_list)
#Objective sense
if lp.sense == constants.LpMaximize:
self.task.putobjsense(mosek.objsense.maximize)
else:
self.task.putobjsense(mosek.objsense.minimize)
def main():
# Make mosek environment
env = mosek.Env()
# Create a task object and attach log stream printer
task = env.Task(0, 0)
task.set_Stream(mosek.streamtype.log, streamprinter)
# Bound keys for constraints
bkc = [mosek.boundkey.fx, mosek.boundkey.fx]
# Bound values for constraints
blc = [1.0, 0.5]
buc = [1.0, 0.5]
# Below is the sparse representation of the A
# matrix stored by row.
asub = [array([0]), array([1, 2])]
aval = [array([1.0]), array([1.0, 1.0])]
conesub = [0, 1, 2]
barci = [0, 1, 1, 2, 2]
barcj = [0, 0, 1, 1, 2]
barcval = [2.0, 1.0, 2.0, 1.0, 2.0]
barai = [array([0, 1, 2]), array([0, 1, 2, 1, 2, 2])]
baraj = [array([0, 1, 2]), array([0, 0, 0, 1, 1, 2])]
baraval = [array([1.0, 1.0, 1.0]), array([1.0, 1.0, 1.0, 1.0, 1.0, 1.0])]
numvar = 3
numcon = len(bkc)
BARVARDIM = [3]
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
# Append matrix variables of sizes in 'BARVARDIM'.
# The variables will initially be fixed at zero.
task.appendbarvars(BARVARDIM)
# Set the linear term c_0 in the objective.
task.putcj(0, 1.0)
for j in range(numvar):
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, mosek.boundkey.fr, -inf, +inf)
for i in range(numcon):
# Set the bounds on constraints.
# blc[i] <= constraint_i <= buc[i]
task.putconbound(i, bkc[i], blc[i], buc[i])
# Input row i of A
task.putarow(
i, # Constraint (row) index.
asub[i], # Column index of non-zeros in constraint j.
aval[i]) # Non-zero values of row j.
task.appendcone(mosek.conetype.quad, 0.0, conesub)
symc = \
task.appendsparsesymmat(BARVARDIM[0],
barci,
barcj,
barcval)
syma0 = \
task.appendsparsesymmat(BARVARDIM[0],
barai[0],
baraj[0],
baraval[0])
syma1 = \
task.appendsparsesymmat(BARVARDIM[0],
barai[1],
baraj[1],
baraval[1])
task.putbarcj(0, [symc], [1.0])
task.putbaraij(0, 0, [syma0], [1.0])
task.putbaraij(1, 0, [syma1], [1.0])
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.minimize)
task.writedata("sdo1.task")
# Solve the problem and print summary
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
# Get status information about the solution
prosta = task.getprosta(mosek.soltype.itr)
solsta = task.getsolsta(mosek.soltype.itr)
if (solsta == mosek.solsta.optimal or solsta == mosek.solsta.near_optimal):
xx = zeros(numvar, float)
task.getxx(mosek.soltype.itr, xx)
lenbarvar = BARVARDIM[0] * (BARVARDIM[0] + 1) / 2
barx = zeros(int(lenbarvar), float)
task.getbarxj(mosek.soltype.itr, 0, barx)
print("Optimal solution:\nx=%s\nbarx=%s" % (xx, barx))
elif (solsta == mosek.solsta.dual_infeas_cer
or solsta == mosek.solsta.prim_infeas_cer
or solsta == mosek.solsta.near_dual_infeas_cer
or solsta == mosek.solsta.near_prim_infeas_cer):
print("Primal or dual infeasibility certificate found.\n")
elif solsta == mosek.solsta.unknown:
print("Unknown solution status")
else:
print("Other solution status")
def mixed_integer_linear_programming(c,
Aeq=None,
beq=None,
A=None,
b=None,
xmin=None,
xmax=None,
vtypes=None,
opt=None):
nx = c.shape[0] # number of decision variables
if A is not None:
if A.shape[0] != None:
nineq = A.shape[0] # number of equality constraints
else:
nineq = 0
else:
nineq = 0
if Aeq is not None:
if Aeq.shape[0] != None:
neq = Aeq.shape[0] # number of inequality constraints
else:
neq = 0
else:
neq = 0
# Fulfilling the missing informations
if beq is None or len(beq) == 0: beq = -Inf * ones(neq)
if b is None or len(b) == 0: b = Inf * ones(nineq)
if xmin is None or len(xmin) == 0: xmin = -Inf * ones(nx)
if xmax is None or len(xmax) == 0: xmax = Inf * ones(nx)
# Make a MOSEK environment
with mosek.Env() as env:
# Create a task
with env.Task(0, 0) as task:
bkc = []
blc = []
buc = []
for i in range(neq):
bkc.append(mosek.boundkey.ra)
blc.append(beq[i])
buc.append(beq[i])
for i in range(nineq):
bkc.append(mosek.boundkey.up)
blc.append(-Inf)
buc.append(b[i])
bkx = []
blx = []
bux = []
for i in range(nx):
bkx.append(mosek.boundkey.ra)
blx.append(xmin[i])
bux.append(xmax[i])
if neq != 0:
if neq != 0 and nineq != 0:
A = vstack([Aeq, A])
elif neq != 0 and nineq == 0:
A = Aeq
# Generate the sparse matrix
numcon = neq + nineq
asub = []
aval = []
if numcon != 0:
for i in range(nx):
index = []
val = []
for j in range(numcon):
if A[j, i] != 0:
index.append(j)
val.append(A[j, i])
asub.append(index)
aval.append(val)
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(nx)
for j in range(nx):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
# Input column j of A
task.putacol(
j, # Variable (column) index.
# Row index of non-zeros in column j.
asub[j],
aval[j]) # Non-zero Values of column j.
if vtypes[j] == "b" or vtypes[j] == "B":
task.putvartypelist([j], [mosek.variabletype.type_int])
task.putvarbound(j, mosek.boundkey.ra, 0, 1)
elif vtypes[j] == "c" or vtypes[j] == "C":
task.putvartypelist([j], [mosek.variabletype.type_int])
task.putvarbound(j, bkx[j], blx[j], bux[j])
else:
task.putvartypelist([j], [mosek.variabletype.type_cont])
task.putvarbound(j, bkx[j], blx[j], bux[j])
task.putconboundlist(range(numcon), bkc, blc, buc)
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.minimize)
# Optimize the task
task.optimize()
prosta = task.getprosta(mosek.soltype.itg)
solsta = task.getsolsta(mosek.soltype.itg)
# Output a solution
xx = [0.] * nx
task.getxx(mosek.soltype.itg, xx)
success = 1
if solsta in [
mosek.solsta.integer_optimal,
mosek.solsta.near_integer_optimal
]:
print("Optimal solution: %s" % xx)
elif solsta == mosek.solsta.dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif mosek.solsta.unknown:
if prosta == mosek.prosta.prim_infeas_or_unbounded:
print("Problem status Infeasible or unbounded.\n")
elif prosta == mosek.prosta.prim_infeas:
print("Problem status Infeasible.\n")
elif prosta == mosek.prosta.unkown:
print("Problem status unkown.\n")
else:
print("Other problem status.\n")
success = 0
else:
print("Other solution status")
success = 0
# if solsta in [mosek.solsta.integer_optimal, mosek.solsta.near_integer_optimal]:
# pass
# elif solsta == mosek.solsta.dual_infeas_cer:
# pass
# elif solsta == mosek.solsta.prim_infeas_cer:
# pass
# elif solsta == mosek.solsta.near_dual_infeas_cer:
# pass
# elif solsta == mosek.solsta.near_prim_infeas_cer:
# pass
# elif mosek.solsta.unknown:
# if prosta == mosek.prosta.prim_infeas_or_unbounded:
# pass
# elif prosta == mosek.prosta.prim_infeas:
# pass
# elif prosta == mosek.prosta.unkown:
# pass
# else:
# print("Other problem status.\n")
# success = 0
# else:
# pass
# success = 0
return xx, solsta, success
def main():
numcon = 2
numvar = 2
# Since the value infinity is never used, we define
# 'infinity' symbolic purposes only
infinity = 0
c = [1.0, 1.0]
ptrb = [0, 2]
ptre = [2, 3]
asub = [0, 1, 0, 1]
aval = [1.0, 1.0, 2.0, 1.0]
bkc = [mosek.boundkey.up, mosek.boundkey.up]
blc = [-infinity, -infinity]
buc = [2.0, 6.0]
bkx = [mosek.boundkey.lo, mosek.boundkey.lo]
blx = [0.0, 0.0]
bux = [+infinity, +infinity]
w1 = [2.0, 6.0]
w2 = [1.0, 0.0]
try:
with mosek.Env() as env:
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
task.inputdata(numcon, numvar, c, 0.0, ptrb, ptre, asub, aval,
bkc, blc, buc, bkx, blx, bux)
task.putobjsense(mosek.objsense.maximize)
r = task.optimize()
if r != mosek.rescode.ok:
print("Mosek warning:", r)
basis = [0] * numcon
task.initbasissolve(basis)
#List basis variables corresponding to columns of B
varsub = [0, 1]
for i in range(numcon):
if basis[varsub[i]] < numcon:
print("Basis variable no %d is xc%d" % (i, basis[i]))
else:
print("Basis variable no %d is x%d" %
(i, basis[i] - numcon))
# solve Bx = w1
# varsub contains index of non-zeros in b.
# On return b contains the solution x and
# varsub the index of the non-zeros in x.
nz = 2
nz = task.solvewithbasis(0, nz, varsub, w1)
print("nz = %s" % nz)
print("Solution to Bx = w1:")
for i in range(nz):
if basis[varsub[i]] < numcon:
print("xc %s = %s" % (basis[varsub[i]], w1[varsub[i]]))
else:
print("x%s = %s" %
(basis[varsub[i]] - numcon, w1[varsub[i]]))
# Solve B^Tx = w2
nz = 1
varsub[0] = 0
nz = task.solvewithbasis(1, nz, varsub, w2)
print("Solution to B^Tx = w2:")
for i in range(nz):
if basis[varsub[i]] < numcon:
print("xc %s = %s" % (basis[varsub[i]], w2[varsub[i]]))
else:
print("x %s = %s" %
(basis[varsub[i]] - numcon, w2[varsub[i]]))
except Exception as e:
print(e)
if __name__ == '__main__':
n = 3
gamma = 0.05
mu = [0.1073, 0.0737, 0.0627]
GT = [[0.1667, 0.0232, 0.0013], [0.0000, 0.1033, -0.0022],
[0.0000, 0.0000, 0.0338]]
x0 = [0.0, 0.0, 0.0]
w = 1.0
m = [0.01, 0.01, 0.01]
# This value has no significance.
inf = 0.0
with mosek.Env() as env:
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
rtemp = w
for j in range(0, n):
rtemp += x0[j]
# Constraints.
task.appendcons(1 + 9 * n)
task.putconbound(0, mosek.boundkey.fx, rtemp, rtemp)
task.putconname(0, "budget")
task.putconboundlist(range(1 + 0, 1 + n), n * [mosek.boundkey.fx],
n * [0.0], n * [0.0])
for j in range(1, 1 + n):
def qp(P, q, G=None, h=None, A=None, b=None, taskfile=None):
"""
Solves a quadratic program
minimize (1/2)*x'*P*x + q'*x
subject to G*x <= h
A*x = b.
using MOSEK 8.0.
solsta, x, z, y = qp(P, q, G=None, h=None, A=None, b=None, taskfile=None)
Return values
solsta is a MOSEK solution status key.
If solsta is mosek.solsta.optimal,
then (x, y, z) contains the primal-dual solution.
If solsta is mosek.solsta.prim_infeas_cer,
then (x, y, z) is a certificate of primal infeasibility.
If solsta is mosek.solsta.dual_infeas_cer,
then (x, y, z) is a certificate of dual infeasibility.
If solsta is mosek.solsta.unknown, then (x, y, z) are all None.
Other return values for solsta include:
mosek.solsta.dual_feas
mosek.solsta.near_dual_feas
mosek.solsta.near_optimal
mosek.solsta.near_prim_and_dual_feas
mosek.solsta.near_prim_feas
mosek.solsta.prim_and_dual_feas
mosek.solsta.prim_feas
in which case the (x,y,z) value may not be well-defined.
x, z, y the primal-dual solution.
Options are passed to MOSEK solvers via the msk.options dictionary,
e.g., the following turns off output from the MOSEK solvers
>>> msk.options = {mosek.iparam.log: 0}
see the MOSEK Python API manual.
Optionally, the interface can write a .task file, required for
support questions on the MOSEK solver.
"""
with mosek.Env() as env:
if (type(P) is not matrix and type(P) is not spmatrix) or \
P.typecode != 'd' or P.size[0] != P.size[1]:
raise TypeError("'P' must be a square dense or sparse 'd' matrix ")
n = P.size[0]
if n < 1: raise ValueError("number of variables must be at least 1")
if type(q) is not matrix or q.typecode != 'd' or q.size != (n, 1):
raise TypeError("'q' must be a 'd' matrix of size (%d,1)" % n)
if G is None: G = spmatrix([], [], [], (0, n), 'd')
if (type(G) is not matrix and type(G) is not spmatrix) or \
G.typecode != 'd' or G.size[1] != n:
raise TypeError("'G' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
m = G.size[0]
if h is None: h = matrix(0.0, (0, 1))
if type(h) is not matrix or h.typecode != 'd' or h.size != (m, 1):
raise TypeError("'h' must be a 'd' matrix of size (%d,1)" % m)
if A is None: A = spmatrix([], [], [], (0, n), 'd')
if (type(A) is not matrix and type(A) is not spmatrix) or \
A.typecode != 'd' or A.size[1] != n:
raise TypeError("'A' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
p = A.size[0]
if b is None: b = matrix(0.0, (0, 1))
if type(b) is not matrix or b.typecode != 'd' or b.size != (p, 1):
raise TypeError("'b' must be a dense matrix of size (%d,1)" % p)
if m + p is 0: raise ValueError("m + p must be greater than 0")
c = list(q)
bkc = m * [mosek.boundkey.up] + p * [mosek.boundkey.fx]
blc = m * [-inf] + [bi for bi in b]
buc = list(h) + list(b)
bkx = n * [mosek.boundkey.fr]
blx = n * [-inf]
bux = n * [+inf]
colptr, asub, acof = sparse([G, A]).CCS
aptrb, aptre = colptr[:-1], colptr[1:]
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
# set MOSEK options
for (param, val) in options.items():
if str(param)[:6] == "iparam":
task.putintparam(param, val)
elif str(param)[:6] == "dparam":
task.putdouparam(param, val)
elif str(param)[:6] == "sparam":
task.putstrparam(param, val)
else:
raise ValueError("invalid MOSEK parameter: " + str(param))
task.inputdata(
m + p, # number of constraints
n, # number of variables
c, # linear objective coefficients
0.0, # objective fixed value
list(aptrb),
list(aptre),
list(asub),
list(acof),
bkc,
blc,
buc,
bkx,
blx,
bux)
Ps = sparse(P)
I, J = Ps.I, Ps.J
tril = [k for k in range(len(I)) if I[k] >= J[k]]
task.putqobj(list(I[tril]), list(J[tril]), list(Ps.V[tril]))
task.putobjsense(mosek.objsense.minimize)
if taskfile:
task.writetask(taskfile)
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
solsta = task.getsolsta(mosek.soltype.itr)
x = n * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.xx, 0, n, x)
x = matrix(x)
if m is not 0:
z = m * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.suc, 0,
m, z)
z = matrix(z)
else:
z = matrix(0.0, (0, 1))
if p is not 0:
yu, yl = p * [0.0], p * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.suc, m,
m + p, yu)
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.slc, m,
m + p, yl)
y = matrix(yu) - matrix(yl)
else:
y = matrix(0.0, (0, 1))
if (solsta is mosek.solsta.unknown):
return (solsta, None, None, None)
else:
return (solsta, x, z, y)
def solve_via_data(self,
data,
warm_start,
verbose,
solver_opts,
solver_cache=None):
import mosek
env = mosek.Env()
task = env.Task(0, 0)
# If verbose, then set default logging parameters.
if verbose:
import sys
def streamprinter(text):
sys.stdout.write(text)
sys.stdout.flush()
print('\n')
env.set_Stream(mosek.streamtype.log, streamprinter)
task.set_Stream(mosek.streamtype.log, streamprinter)
task.putintparam(mosek.iparam.infeas_report_auto,
mosek.onoffkey.on)
task.putintparam(mosek.iparam.log_presolve, 0)
# Parse all user-specified parameters (override default logging
# parameters if applicable).
kwargs = sorted(solver_opts.keys())
save_file = None
bfs = False
if 'mosek_params' in kwargs:
self._handle_mosek_params(task, solver_opts['mosek_params'])
kwargs.remove('mosek_params')
if 'save_file' in kwargs:
save_file = solver_opts['save_file']
kwargs.remove('save_file')
if 'bfs' in kwargs:
bfs = solver_opts['bfs']
kwargs.remove('bfs')
if kwargs:
raise ValueError("Invalid keyword-argument '%s'" % kwargs[0])
# Decide whether basis identification is needed for intpnt solver
# This is only required if solve() was called with bfs=True
if bfs:
task.putintparam(mosek.iparam.intpnt_basis,
mosek.basindtype.always)
else:
task.putintparam(mosek.iparam.intpnt_basis, mosek.basindtype.never)
# Check if the cvxpy standard form has zero variables. If so,
# return a trivial solution. This is necessary because MOSEK
# will crash if handed a problem with zero variables.
if len(data[s.C]) == 0:
return {
s.STATUS: s.OPTIMAL,
s.PRIMAL: [],
s.VALUE: data[s.OFFSET],
s.EQ_DUAL: [],
s.INEQ_DUAL: []
}
# The following lines recover problem parameters, and define helper constants.
#
# The problem's objective is "min c.T * z".
# The problem's constraint set is "G * z <=_K h."
# The rows in (G, h) are formatted in order of
# (1) linear inequalities,
# (2) linear equations,
# (3) soc constraints,
# (4) exponential cone constraints,
# (5) vectorized linear matrix inequalities.
# The parameter "dims" indicates the exact
# dimensions of each of these cones.
#
# MOSEK's standard form requires that we replace generalized
# inequalities with slack variables and linear equations.
# The parameter "n" is the size of the column-vector variable
# after adding slacks for SOC and EXP constraints. To be
# consistent with MOSEK documentation, subsequent comments
# refer to this variable as "x".
c = data[s.C]
G, h = data[s.G], data[s.H]
dims = data[s.DIMS]
n0 = len(c)
n = n0 + sum(dims[s.SOC_DIM]) + 3 * dims[s.EXP_DIM]
psd_total_dims = sum(el**2 for el in dims[s.PSD_DIM])
m = len(h)
num_bool = len(data[s.BOOL_IDX])
num_int = len(data[s.INT_IDX])
# Define variables, cone constraints, and integrality constraints.
#
# The variable "x" is a length-n block vector, with
# Block 1: "z" from "G * z <=_K h",
# Block 2: slacks for SOC constraints, and
# Block 3: slacks for EXP cone constraints.
#
# Once we declare x in the MOSEK model, we add the necessary
# conic constraints for slack variables (Blocks 2 and 3).
# The last step is to add integrality constraints.
#
# Note that the API call for PSD variables contains the word "bar".
# MOSEK documentation consistently uses "bar" as a sort of flag,
# indicating that a function deals with PSD variables.
task.appendvars(n)
task.putvarboundlist(np.arange(n, dtype=int64),
[mosek.boundkey.fr] * n, np.zeros(n), np.zeros(n))
if psd_total_dims > 0:
task.appendbarvars(dims[s.PSD_DIM])
running_idx = n0
for size_cone in dims[s.SOC_DIM]:
task.appendcone(
mosek.conetype.quad,
0.0, # unused
np.arange(running_idx, running_idx + size_cone))
running_idx += size_cone
for k in range(dims[s.EXP_DIM]):
task.appendcone(
mosek.conetype.pexp,
0.0, # unused
np.arange(running_idx, running_idx + 3))
running_idx += 3
if num_bool + num_int > 0:
task.putvartypelist(data[s.BOOL_IDX],
[mosek.variabletype.type_int] * num_bool)
task.putvarboundlist(data[s.BOOL_IDX],
[mosek.boundkey.ra] * num_bool,
[0] * num_bool, [1] * num_bool)
task.putvartypelist(data[s.INT_IDX],
[mosek.variabletype.type_int] * num_int)
# Define linear inequality and equality constraints.
#
# Mosek will see a total of m linear expressions, which must
# define linear inequalities and equalities. The variable x
# contributes to these linear expressions by standard
# matrix-vector multiplication; the matrix in question is
# referred to as "A" in the mosek documentation. The PSD
# variables have a different means of contributing to the
# linear expressions. Specifically, a PSD variable Xj contributes
# "+tr( \bar{A}_{ij} * Xj )" to the i-th linear expression,
# where \bar{A}_{ij} is specified by a call to putbaraij.
#
# The following code has three phases.
# (1) Build the matrix A.
# (2) Specify the \bar{A}_{ij} for PSD variables.
# (3) Specify the RHS of the m linear (in)equalities.
#
# Remark : The parameter G gives every row in the first
# n0 columns of A. The remaining columns of A are for SOC
# and EXP slack variables. We can actually account for all
# of these slack variables at once by specifying a giant
# identity matrix in the appropriate position in A.
task.appendcons(m)
row, col, vals = sp.sparse.find(G)
task.putaijlist(row.tolist(), col.tolist(), vals.tolist())
total_soc_exp_slacks = sum(dims[s.SOC_DIM]) + 3 * dims[s.EXP_DIM]
if total_soc_exp_slacks > 0:
i = dims[s.LEQ_DIM] + dims[
s.EQ_DIM] # constraint index in {0, ..., m - 1}
j = len(
c
) # index of the first slack variable in the block vector "x".
rows = np.arange(i, i + total_soc_exp_slacks).tolist()
cols = np.arange(j, j + total_soc_exp_slacks).tolist()
task.putaijlist(rows, cols, [1] * total_soc_exp_slacks)
# constraint index; start of LMIs.
i = dims[s.LEQ_DIM] + dims[s.EQ_DIM] + total_soc_exp_slacks
for j, dim in enumerate(dims[s.PSD_DIM]): # SDP slack variable "Xj"
for row_idx in range(dim):
for col_idx in range(dim):
val = 1. if row_idx == col_idx else 0.5
row = max(row_idx, col_idx)
col = min(row_idx, col_idx)
mat = task.appendsparsesymmat(dim, [row], [col], [val])
task.putbaraij(i, j, [mat], [1.0])
i += 1
num_eq = len(h) - dims[s.LEQ_DIM]
type_constraint = [mosek.boundkey.up] * dims[s.LEQ_DIM] + \
[mosek.boundkey.fx] * num_eq
task.putconboundlist(np.arange(m, dtype=int), type_constraint, h, h)
# Define the objective, and optimize the mosek task.
task.putclist(np.arange(len(c)), c)
task.putobjsense(mosek.objsense.minimize)
if save_file:
task.writedata(save_file)
task.optimize()
if verbose:
task.solutionsummary(mosek.streamtype.msg)
return {'env': env, 'task': task, 'solver_options': solver_opts}
def main():
# Make a MOSEK environment
env = mosek.Env()
# Attach a printer to the environment
env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task
task = env.Task(0, 0)
# Attach a printer to the task
task.set_Stream(mosek.streamtype.log, streamprinter)
# Bound keys for constraints
bkc = [mosek.boundkey.fx, mosek.boundkey.lo, mosek.boundkey.up]
# Bound values for constraints
blc = [30.0, 15.0, -inf]
buc = [30.0, +inf, 25.0]
# Bound keys for variables
bkx = [
mosek.boundkey.lo, mosek.boundkey.ra, mosek.boundkey.lo,
mosek.boundkey.lo
]
# Bound values for variables
blx = [0.0, 0.0, 0.0, 0.0]
bux = [+inf, 10.0, +inf, +inf]
# Objective coefficients
c = [3.0, 1.0, 5.0, 1.0]
# Below is the sparse representation of the A
# matrix stored by column.
asub = [array([0, 1]), array([0, 1, 2]), array([0, 1]), array([1, 2])]
aval = [
array([3.0, 2.0]),
array([1.0, 1.0, 2.0]),
array([2.0, 3.0]),
array([1.0, 3.0])
]
NUMVAR = len(bkx)
NUMCON = len(bkc)
NUMANZ = 9
# Give MOSEK an estimate of the size of the input data.
# This is done to increase the speed of inputting data.
# However, it is optional.
task.putmaxnumvar(NUMVAR)
task.putmaxnumcon(NUMCON)
task.putmaxnumanz(NUMANZ)
# Append 'NUMCON' empty constraints.
# The constraints will initially have no bounds.
task.append(mosek.accmode.con, NUMCON)
#Append 'NUMVAR' variables.
# The variables will initially be fixed at zero (x=0).
task.append(mosek.accmode.var, NUMVAR)
#Optionally add a constant term to the objective.
task.putcfix(0.0)
for j in range(NUMVAR):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putbound(mosek.accmode.var, j, bkx[j], blx[j], bux[j])
# Input column j of A
task.putavec(
mosek.accmode.var, # Input columns of A.
j, # Variable (column) index.
asub[j], # Row index of non-zeros in column j.
aval[j]) # Non-zero Values of column j.
for i in range(NUMCON):
task.putbound(mosek.accmode.con, i, bkc[i], blc[i], buc[i])
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.maximize)
# Optimize the task
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
task.solutionsummary(mosek.streamtype.msg)
prosta = []
solsta = []
[prosta, solsta] = task.getsolutionstatus(mosek.soltype.bas)
# Output a solution
xx = zeros(NUMVAR, float)
task.getsolutionslice(mosek.soltype.bas, mosek.solitem.xx, 0, NUMVAR, xx)
if solsta == mosek.solsta.optimal or solsta == mosek.solsta.near_optimal:
print("Optimal solution: %s" % xx)
elif solsta == mosek.solsta.dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif mosek.solsta.unknown:
print("Unknown solution status")
else:
print("Other solution status")
def optimize(*, c, A, k, p_idxs, **kwargs):
# pylint: disable=too-many-locals,too-many-statements,too-many-branches
"""
Definitions
-----------
"[a,b] array of floats" indicates array-like data with shape [a,b]
n is the number of monomials in the gp
m is the number of variables in the gp
p is the number of posynomial constraints in the gp
Arguments
---------
c : floats array of shape n
Coefficients of each monomial
A : gpkit.small_classes.CootMatrix, of shape (n, m)
Exponents of the various free variables for each monomial.
k : ints array of shape p+1
k[0] is the number of monomials (rows of A) present in the objective
k[1:] is the number of monomials (rows of A) present in each constraint
p_idxs : ints array of shape n.
sel = p_idxs == i selects rows of A
and entries of c of the i-th posynomial
fi(x) = c[sel] @ exp(A[sel,:] @ x).
The 0-th posynomial gives the objective function, and the
remaining posynomials should be constrained to be <= 1.
Returns
-------
dict
Contains the following keys
"status": string
"optimal", "infeasible", "unbounded", or "unknown".
"primal" np.ndarray or None
The values of the ``m`` primal variables.
"la": np.ndarray or None
The dual variables to the ``p`` posynomial constraints, when
those constraints are represented in log-sum-exp ("LSE") form.
"""
#
# Initial transformations of problem data.
#
# separate monomial constraints (call them "lin"),
# from those which require
# an LSE representation (call those "lse").
#
# NOTE: the epigraph of the objective function always gets an "lse"
# representation, even if the objective is a monomial.
#
log_c = np.log(np.array(c))
lse_posys = [0]
lin_posys = []
for i, val in enumerate(k[1:]):
if val > 1:
lse_posys.append(i + 1)
else:
lin_posys.append(i + 1)
if lin_posys:
A = A.tocsr()
lin_posys_set = frozenset(lin_posys)
lin_idxs = [i for i, p in enumerate(p_idxs) if p in lin_posys_set]
lse_idxs = np.ones(A.shape[0], dtype=bool)
lse_idxs[lin_idxs] = False
A_lse = A[lse_idxs, :].tocoo()
log_c_lse = log_c[lse_idxs]
A_lin = A[lin_idxs, :].tocoo()
log_c_lin = log_c[lin_idxs]
else:
log_c_lin = None # A_lin won't be referenced later,
A_lse = A # so no need to define it.
log_c_lse = log_c
k_lse = [k[i] for i in lse_posys]
n_lse = sum(k_lse)
p_lse = len(k_lse)
lse_p_idx = []
for i, ki in enumerate(k_lse):
lse_p_idx.extend([i] * ki)
lse_p_idx = np.array(lse_p_idx)
#
# Create MOSEK task. Add variables, bound constraints, and conic
# constraints.
#
# Say that MOSEK's optimization variable is a block vector,
# [x;t;z], where ...
# x is the user-defined primal variable (length m),
# t is an aux variable for exponential cones (length 3 * n_lse),
# z is an epigraph variable for LSE terms (length p_lse).
#
# The variable z[0] is special,
# because it's the epigraph of the objective function
# in LSE form. The sign of this variable is not constrained.
#
# The variables z[1:] are epigraph terms for "log",
# in constraints that naturally write as
# LSE(Ai @ x + log_ci) <= 0. These variables need to be <= 0.
#
# The main constraints on (x, t, z) are described
# in next comment block.
#
env = mosek.Env()
task = env.Task(0, 0)
m = A.shape[1]
msk_nvars = m + 3 * n_lse + p_lse
task.appendvars(msk_nvars)
# "x" is free
task.putvarboundlist(np.arange(m), [mosek.boundkey.fr] * m, np.zeros(m),
np.zeros(m))
# t[3 * i + i] == 1, other components are free.
bound_types = [mosek.boundkey.fr, mosek.boundkey.fx, mosek.boundkey.fr]
task.putvarboundlist(np.arange(m, m + 3 * n_lse), bound_types * n_lse,
np.ones(3 * n_lse), np.ones(3 * n_lse))
# z[0] is free; z[1:] <= 0.
bound_types = [mosek.boundkey.fr] + [mosek.boundkey.up] * (p_lse - 1)
task.putvarboundlist(np.arange(m + 3 * n_lse, msk_nvars), bound_types,
np.zeros(p_lse), np.zeros(p_lse))
# t[3*i], t[3*i + 1], t[3*i + 2] belongs to the exponential cone
task.appendconesseq([mosek.conetype.pexp] * n_lse, [0.0] * n_lse,
[3] * n_lse, m)
#
# Exponential cone affine constraints (other than t[3*i + 1] == 1).
#
# For each i in {0, ..., n_lse - 1}, we need
# t[3*i + 2] == A_lse[i, :] @ x + log_c_lse[i] - z[lse_p_idx[i]].
#
# For each j from {0, ..., p_lse - 1}, the "t" should also satisfy
# sum(t[3*i] for i where i == lse_p_idx[j]) <= 1.
#
# When combined with bound constraints ``t[3*i + 1] == 1``, the
# above constraints imply
# LSE(A_lse[sel, :] @ x + log_c_lse[sel]) <= z[i]
# for ``sel = lse_p_idx == i``.
#
task.appendcons(n_lse + p_lse)
# Linear equations between (x,t,z).
# start with coefficients on "x"
rows = list(A_lse.row)
cols = list(A_lse.col)
vals = list(A_lse.data)
# add coefficients on "t"
rows += list(range(n_lse))
cols += (m + 3 * np.arange(n_lse) + 2).tolist()
vals += [-1.0] * n_lse
# add coefficients on "z"
rows += list(range(n_lse))
cols += [m + 3 * n_lse + lse_p_idx[i] for i in range(n_lse)]
vals += [-1.0] * n_lse
task.putaijlist(rows, cols, vals)
cur_con_idx = n_lse
# Linear inequalities on certain sums of "t".
rows, cols, vals = [], [], []
for i in range(p_lse):
sels = np.nonzero(lse_p_idx == i)[0]
rows.extend([cur_con_idx] * sels.size)
cols.extend(m + 3 * sels)
vals.extend([1] * sels.size)
cur_con_idx += 1
task.putaijlist(rows, cols, vals)
# Build the right-hand-sides of the [in]equality constraints
type_constraint = [mosek.boundkey.fx] * n_lse + [mosek.boundkey.up] * p_lse
h = np.concatenate([-log_c_lse, np.ones(p_lse)])
task.putconboundlist(np.arange(h.size, dtype=int), type_constraint, h, h)
#
# Affine constraints, not needing the exponential cone
#
# Require A_lin @ x <= -log_c_lin.
#
if log_c_lin is not None:
task.appendcons(log_c_lin.size)
rows = cur_con_idx + np.array(A_lin.row)
task.putaijlist(rows, A_lin.col, A_lin.data)
type_constraint = [mosek.boundkey.up] * log_c_lin.size
con_indices = np.arange(cur_con_idx, cur_con_idx + log_c_lin.size)
h = -log_c_lin #pylint: disable=invalid-unary-operand-type
task.putconboundlist(con_indices, type_constraint, h, h)
cur_con_idx += log_c_lin.size
#
# Set the objective function
#
task.putclist([int(m + 3 * n_lse)], [1])
task.putobjsense(mosek.objsense.minimize)
#
# Set solver parameters, and call .solve().
#
verbose = kwargs.get("verbose", True)
if verbose:
def streamprinter(text):
"Stream printer for output from mosek."
print(text)
env.set_Stream(mosek.streamtype.log, streamprinter)
task.set_Stream(mosek.streamtype.log, streamprinter)
task.putintparam(mosek.iparam.infeas_report_auto, mosek.onoffkey.on)
task.putintparam(mosek.iparam.log_presolve, 0)
try:
task.optimize()
except mosek.Error as e: # pragma: no cover
if e.errno in [
mosek.rescode.err_missing_license_file,
mosek.rescode.err_license_version,
mosek.rescode.err_license_expired
]:
raise InvalidLicense() from e
raise e
if verbose:
task.solutionsummary(mosek.streamtype.msg)
#
# Recover the solution
#
msk_solsta = task.getsolsta(mosek.soltype.itr)
if msk_solsta == mosek.solsta.prim_infeas_cer:
raise PrimalInfeasible()
if msk_solsta == mosek.solsta.dual_infeas_cer:
raise DualInfeasible()
if msk_solsta != mosek.solsta.optimal: # pragma: no cover
raise UnknownInfeasible("solution status: ", msk_solsta)
# recover primal variables
x = [0.] * m
task.getxxslice(mosek.soltype.itr, 0, m, x)
# recover dual variables for log-sum-exp epigraph constraints
# (skip epigraph of the objective function).
z_duals = [0.] * (p_lse - 1)
task.getsuxslice(mosek.soltype.itr, m + 3 * n_lse + 1, msk_nvars, z_duals)
z_duals = np.array(z_duals)
z_duals[z_duals < 0] = 0
# recover dual variables for the remaining user-provided constraints
if log_c_lin is not None:
aff_duals = [0.] * log_c_lin.size
task.getsucslice(mosek.soltype.itr, n_lse + p_lse, cur_con_idx,
aff_duals)
aff_duals = np.array(aff_duals)
aff_duals[aff_duals < 0] = 0
# merge z_duals with aff_duals
merged_duals = np.zeros(len(k))
merged_duals[lse_posys[1:]] = z_duals # skipping the cost
merged_duals[lin_posys] = aff_duals
merged_duals = merged_duals[1:]
else:
merged_duals = z_duals
# wrap things up in a dictionary
solution = {
"status": "optimal",
"primal": np.array(x),
"la": merged_duals,
"objective": np.exp(task.getprimalobj(mosek.soltype.itr))
}
task.__exit__(None, None, None)
env.__exit__(None, None, None)
return solution
class MOSEK(LpSolver):
"""Mosek lp and mip solver (via Mosek Optimizer API)."""
name = "MOSEK"
try:
global mosek
import mosek
env = mosek.Env()
except ImportError:
def available(self):
"""True if Mosek is available."""
return False
def actualSolve(self, lp, callback=None):
"""Solves a well-formulated lp problem."""
raise PulpSolverError("MOSEK : Not Available")
else:
def __init__(
self,
mip=True,
msg=True,
options={},
task_file_name="",
sol_type=mosek.soltype.bas,
):
"""Initializes the Mosek solver.
Keyword arguments:
@param mip: If False, then solve MIP as LP.
@param msg: Enable Mosek log output.
@param options: Accepts a dictionary of Mosek solver parameters. Ignore to
use default parameter values. Eg: options = {mosek.dparam.mio_max_time:30}
sets the maximum time spent by the Mixed Integer optimizer to 30 seconds.
Equivalently, one could also write: options = {"MSK_DPAR_MIO_MAX_TIME":30}
which uses the generic parameter name as used within the solver, instead of
using an object from the Mosek Optimizer API (Python), as before.
@param task_file_name: Writes a Mosek task file of the given name. By default,
no task file will be written. Eg: task_file_name = "eg1.opf".
@param sol_type: Mosek supports three types of solutions: mosek.soltype.bas
(Basic solution, default), mosek.soltype.itr (Interior-point
solution) and mosek.soltype.itg (Integer solution).
For a full list of Mosek parameters (for the Mosek Optimizer API) and supported task file
formats, please see https://docs.mosek.com/9.1/pythonapi/parameters.html#doc-all-parameter-list.
"""
self.mip = mip
self.msg = msg
self.task_file_name = task_file_name
self.solution_type = sol_type
self.options = options
def available(self):
"""True if Mosek is available."""
return True
def setOutStream(self, text):
"""Sets the log-output stream."""
sys.stdout.write(text)
sys.stdout.flush()
def buildSolverModel(self, lp, inf=1e20):
"""Translate the problem into a Mosek task object."""
self.cons = lp.constraints
self.numcons = len(self.cons)
self.cons_dict = {}
i = 0
for c in self.cons:
self.cons_dict[c] = i
i = i + 1
self.vars = list(lp.variables())
self.numvars = len(self.vars)
self.var_dict = {}
# Checking for repeated names
lp.checkDuplicateVars()
self.task = MOSEK.env.Task()
self.task.appendcons(self.numcons)
self.task.appendvars(self.numvars)
if self.msg:
self.task.set_Stream(mosek.streamtype.log, self.setOutStream)
# Adding variables
for i in range(self.numvars):
vname = self.vars[i].name
self.var_dict[vname] = i
self.task.putvarname(i, vname)
# Variable type (Default: Continuous)
if self.mip & (self.vars[i].cat == constants.LpInteger):
self.task.putvartype(i, mosek.variabletype.type_int)
self.solution_type = mosek.soltype.itg
# Variable bounds
vbkey = mosek.boundkey.fr
vup = inf
vlow = -inf
if self.vars[i].lowBound != None:
vlow = self.vars[i].lowBound
if self.vars[i].upBound != None:
vup = self.vars[i].upBound
vbkey = mosek.boundkey.ra
else:
vbkey = mosek.boundkey.lo
elif self.vars[i].upBound != None:
vup = self.vars[i].upBound
vbkey = mosek.boundkey.up
self.task.putvarbound(i, vbkey, vlow, vup)
# Objective coefficient for the current variable.
self.task.putcj(i, lp.objective.get(self.vars[i], 0.0))
# Coefficient matrix
self.A_rows, self.A_cols, self.A_vals = zip(
*[
[self.cons_dict[row], self.var_dict[col], coeff]
for col, row, coeff in lp.coefficients()
]
)
self.task.putaijlist(self.A_rows, self.A_cols, self.A_vals)
# Constraints
self.constraint_data_list = []
for c in self.cons:
cname = self.cons[c].name
if cname != None:
self.task.putconname(self.cons_dict[c], cname)
else:
self.task.putconname(self.cons_dict[c], c)
csense = self.cons[c].sense
cconst = -self.cons[c].constant
clow = -inf
cup = inf
# Constraint bounds
if csense == constants.LpConstraintEQ:
cbkey = mosek.boundkey.fx
clow = cconst
cup = cconst
elif csense == constants.LpConstraintGE:
cbkey = mosek.boundkey.lo
clow = cconst
elif csense == constants.LpConstraintLE:
cbkey = mosek.boundkey.up
cup = cconst
else:
raise PulpSolverError("Invalid constraint type.")
self.constraint_data_list.append([self.cons_dict[c], cbkey, clow, cup])
self.cons_id_list, self.cbkey_list, self.clow_list, self.cup_list = zip(
*self.constraint_data_list
)
self.task.putconboundlist(
self.cons_id_list, self.cbkey_list, self.clow_list, self.cup_list
)
# Objective sense
if lp.sense == constants.LpMaximize:
self.task.putobjsense(mosek.objsense.maximize)
else:
self.task.putobjsense(mosek.objsense.minimize)
def findSolutionValues(self, lp):
"""
Read the solution values and status from the Mosek task object. Note: Since the status
map from mosek.solsta to LpStatus is not exact, it is recommended that one enables the
log output and then refer to Mosek documentation for a better understanding of the
solution (especially in the case of mip problems).
"""
self.solsta = self.task.getsolsta(self.solution_type)
self.solution_status_dict = {
mosek.solsta.optimal: constants.LpStatusOptimal,
mosek.solsta.prim_infeas_cer: constants.LpStatusInfeasible,
mosek.solsta.dual_infeas_cer: constants.LpStatusUnbounded,
mosek.solsta.unknown: constants.LpStatusUndefined,
mosek.solsta.integer_optimal: constants.LpStatusOptimal,
mosek.solsta.prim_illposed_cer: constants.LpStatusNotSolved,
mosek.solsta.dual_illposed_cer: constants.LpStatusNotSolved,
mosek.solsta.prim_feas: constants.LpStatusNotSolved,
mosek.solsta.dual_feas: constants.LpStatusNotSolved,
mosek.solsta.prim_and_dual_feas: constants.LpStatusNotSolved,
}
# Variable values.
try:
self.xx = [0.0] * self.numvars
self.task.getxx(self.solution_type, self.xx)
for var in lp.variables():
var.varValue = self.xx[self.var_dict[var.name]]
except mosek.Error:
pass
# Constraint slack variables.
try:
self.xc = [0.0] * self.numcons
self.task.getxc(self.solution_type, self.xc)
for con in lp.constraints:
lp.constraints[con].slack = -(
self.cons[con].constant + self.xc[self.cons_dict[con]]
)
except mosek.Error:
pass
# Reduced costs.
if self.solution_type != mosek.soltype.itg:
try:
self.x_rc = [0.0] * self.numvars
self.task.getreducedcosts(
self.solution_type, 0, self.numvars, self.x_rc
)
for var in lp.variables():
var.dj = self.x_rc[self.var_dict[var.name]]
except mosek.Error:
pass
# Constraint Pi variables.
try:
self.y = [0.0] * self.numcons
self.task.gety(self.solution_type, self.y)
for con in lp.constraints:
lp.constraints[con].pi = self.y[self.cons_dict[con]]
except mosek.Error:
pass
def putparam(self, par, val):
"""
Pass the values of valid parameters to Mosek.
"""
if isinstance(par, mosek.dparam):
self.task.putdouparam(par, val)
elif isinstance(par, mosek.iparam):
self.task.putintparam(par, val)
elif isinstance(par, mosek.sparam):
self.task.putstrparam(par, val)
elif isinstance(par, str):
if par.startswith("MSK_DPAR_"):
self.task.putnadouparam(par, val)
elif par.startswith("MSK_IPAR_"):
self.task.putnaintparam(par, val)
elif par.startswith("MSK_SPAR_"):
self.task.putnastrparam(par, val)
else:
raise PulpSolverError(
"Invalid MOSEK parameter: '{}'. Check MOSEK documentation for a list of valid parameters.".format(
par
)
)
def actualSolve(self, lp):
"""
Solve a well-formulated lp problem.
"""
self.buildSolverModel(lp)
# Set solver parameters
for msk_par in self.options:
self.putparam(msk_par, self.options[msk_par])
# Task file
if self.task_file_name:
self.task.writedata(self.task_file_name)
# Optimize
self.task.optimize()
# Mosek solver log (default: standard output stream)
if self.msg:
self.task.solutionsummary(mosek.streamtype.msg)
self.findSolutionValues(lp)
lp.assignStatus(self.solution_status_dict[self.solsta])
for var in lp.variables():
var.modified = False
for con in lp.constraints.values():
con.modified = False
return lp.status
def actualResolve(self, lp, inf=1e20, **kwargs):
"""
Modify constraints and re-solve an lp. The Mosek task object created in the first solve is used.
"""
for c in self.cons:
if self.cons[c].modified:
csense = self.cons[c].sense
cconst = -self.cons[c].constant
clow = -inf
cup = inf
# Constraint bounds
if csense == constants.LpConstraintEQ:
cbkey = mosek.boundkey.fx
clow = cconst
cup = cconst
elif csense == constants.LpConstraintGE:
cbkey = mosek.boundkey.lo
clow = cconst
elif csense == constants.LpConstraintLE:
cbkey = mosek.boundkey.up
cup = cconst
else:
raise PulpSolverError("Invalid constraint type.")
self.task.putconbound(self.cons_dict[c], cbkey, clow, cup)
# Re-solve
self.task.optimize()
self.findSolutionValues(lp)
lp.assignStatus(self.solution_status_dict[self.solsta])
for var in lp.variables():
var.modified = False
for con in lp.constraints.values():
con.modified = False
return lp.status
def solve(self, p):
# Get problem dimensions
n = p.P.shape[0]
m = p.A.shape[0]
'''
Load problem
'''
# Create environment
env = mosek.Env()
# Create optimization task
task = env.Task()
if self.options['verbose']:
# Define a stream printer to grab output from MOSEK
def streamprinter(text):
import sys
sys.stdout.write(text)
sys.stdout.flush()
env.set_Stream(mosek.streamtype.log, streamprinter)
task.set_Stream(mosek.streamtype.log, streamprinter)
# Load problem into task object
# Append 'm' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(m)
# Append 'n' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(n)
# Add linear cost by iterating over all variables
for j in range(n):
task.putcj(j, p.q[j])
task.putvarbound(j, mosek.boundkey.fr, -np.inf, np.inf)
# Constrain integer variables if present
if p.i_idx is not None:
int_types = [mosek.variabletype.type_int] * len(p.i_idx)
int_idx = p.i_idx.tolist()
task.putvartypelist(int_idx, int_types)
for i in range(len(p.i_idx)):
if p.i_l is None and p.i_u is not None:
task.putvarbound(p.i_idx[i], mosek.boundkey.up, 0,
p.i_u[i])
elif p.i_l is not None and p.i_u is None:
task.putvarbound(p.i_idx[i], mosek.boundkey.lo, p.i_l[i],
0)
elif p.i_l is not None and p.i_u is not None:
task.putvarbound(p.i_idx[i], mosek.boundkey.ra, p.i_l[i],
p.i_u[i])
# Add constraints
if p.A is not None:
row_A, col_A, el_A = spa.find(p.A)
task.putaijlist(row_A, col_A, el_A)
for j in range(m):
# Get bounds and keys
u_temp = p.u[j] if p.u[j] < 1e20 else np.inf
l_temp = p.l[j] if p.l[j] > -1e20 else -np.inf
# Divide 5 cases
if (np.abs(l_temp - u_temp) < 1e-08):
bound_key = mosek.boundkey.fx
elif l_temp == -np.inf and u_temp == np.inf:
bound_key = mosek.boundkey.fr
elif l_temp != -np.inf and u_temp == np.inf:
bound_key = mosek.boundkey.lo
elif l_temp != -np.inf and u_temp != np.inf:
bound_key = mosek.boundkey.ra
elif l_temp == -np.inf and u_temp != np.inf:
bound_key = mosek.boundkey.up
# Add bound
task.putconbound(j, bound_key, l_temp, u_temp)
# Add quadratic cost
if p.P.count_nonzero(): # If there are any nonzero elms in P
P = spa.tril(p.P, format='coo')
task.putqobj(P.row, P.col, P.data)
# Set problem minimization
task.putobjsense(mosek.objsense.minimize)
'''
Set parameters
'''
for param, value in self.options.items():
if param == 'verbose':
if value is False:
self._handle_str_param(task, 'MSK_IPAR_LOG'.strip(), 0)
else:
if isinstance(param, str):
self._handle_str_param(task, param.strip(), value)
else:
self._handle_enum_param(task, param, value)
'''
Solve problem
'''
try:
# Optimization and check termination code
trmcode = task.optimize()
except:
if self.options['verbose']:
print("Error in MOSEK solution\n")
return QuadprogResults(qp.SOLVER_ERROR, None, None, None, np.inf,
None)
if self.options['verbose']:
task.solutionsummary(mosek.streamtype.msg)
'''
Extract results
'''
# Get solution type and status
soltype, solsta = self.choose_solution(task)
# Map status using statusmap
status = self.STATUS_MAP.get(solsta, qp.SOLVER_ERROR)
# Get statistics
cputime = task.getdouinf(mosek.dinfitem.optimizer_time) + \
task.getdouinf(mosek.dinfitem.presolve_time)
total_iter = task.getintinf(mosek.iinfitem.intpnt_iter)
if status in qp.SOLUTION_PRESENT:
# get primal variables values
sol = np.zeros(task.getnumvar())
task.getxx(soltype, sol)
# get obj value
objval = task.getprimalobj(soltype)
# get dual
if p.i_idx is None:
dual = np.zeros(task.getnumcon())
task.gety(soltype, dual)
# it appears signs are inverted
dual = -dual
else:
dual = None
return QuadprogResults(status, objval, sol, dual, cputime,
total_iter)
else:
return QuadprogResults(status, None, None, None, cputime, None)
def get_safe_action(self, observation, action, environment):
flag = True
landmark_near = []
for i, landmark in enumerate(environment.world.landmarks[0:-1]):
dist = np.sqrt(np.sum(np.square(environment.world.policy_agents[0].state.p_pos - landmark.state.p_pos))) \
- (environment.world.policy_agents[0].size + landmark.size) - 0.044
if dist <= 0:
landmark_near.append(landmark)
flag = False
if flag:
return action, False
x = observation[1]
y = observation[2]
V = observation[0]
theta = observation[3]
omega = observation[4]
# print(theta)
d_omega = action[3] - action[4]
dt = environment.world.dt
a1 = x + V * np.cos(theta) * dt + theta * V * np.sin(theta) * dt
b1 = -V * np.sin(theta) * dt
a2 = y + V * np.sin(theta) * dt - theta * V * np.cos(theta) * dt
b2 = V * np.cos(theta) * dt
c1 = a1 + b1 * theta
d1 = b1 * dt
c2 = a2 + b2 * theta
d2 = b2 * dt
e1 = -2 * x * c1
f1 = -2 * x * d1
e2 = -2 * y * c2
f2 = -2 * y * d2
flag = True
for _, landmark in enumerate(landmark_near):
self.R = landmark.size + 0.5 * environment.world.policy_agents[
0].size
x0 = landmark.state.p_pos[0]
y0 = landmark.state.p_pos[1]
landmark0 = landmark
g = d1 * d1 + d2 * d2
h = 2 * c1 * d1 + 2 * c2 * d2 + f1 + f2
i = c1 * c1 + c2 * c2 + e1 + e2 + np.square(landmark0.state.p_pos[0]) + \
np.square(landmark0.state.p_pos[1])
lower_c = np.square(landmark0.size + 0.01)
upper_c = inf
A = landmark0.state.p_pos[0] - x
B = landmark0.state.p_pos[1] - y
C = - (landmark0.state.p_pos[0]) * x \
+ np.square(x) \
- (landmark0.state.p_pos[1]) * y \
+ np.square(y)
# solve x3
self.x0 = np.array([x, y])
self.x1 = np.array([x0, y0])
args = [
np.square(self.x1[1] - self.x0[1]) +
np.square(self.x1[0] - self.x0[0]),
2 * (self.x1[1] - self.x0[1]) * np.square(self.R),
np.square(np.square(self.R)) -
np.square(self.R) * np.square(self.x1[0] - self.x0[0])
]
root = np.roots(args)
y3_0 = root[0] + self.x1[1]
y3_1 = root[1] + self.x1[1]
x3_0 = (-(y3_0 - self.x1[1]) * (self.x1[1] - self.x0[1]) - np.square(self.R))/(self.x1[0] - self.x0[0]) + \
self.x1[0]
x3_1 = (-(y3_1 - self.x1[1]) * (self.x1[1] - self.x0[1]) - np.square(self.R)) / (self.x1[0] - self.x0[0]) + \
self.x1[0]
x3 = np.array([x3_0, y3_0])
temp1 = ((y - y0) * c1 - (x - x0) * c2 - y * x0 + y0 * x) \
* ((y - y0) * x3[0] - (x - x0) * x3[1] - y * x0 + y0 * x)
x3 = np.array([x3_1, y3_1])
x3 = np.array([x3_0, y3_0]) if temp1 > 0 else np.array(
[x3_1, y3_1])
x3[0] = 1.1 * x3[0] - 0.1 * self.x1[0]
x3[1] = 1.1 * x3[1] - 0.1 * self.x1[1]
'''print(((y - y0) * c1 - (x - x0) * d1 - y * x0 + y0 * x)
* ((y - y0) * x3[0] - (x - x0) * x3[1] - y * x0 + y0 * x))
print((x3[0] - self.x0[0]) * (x3[0] - self.x1[0]) + (x3[1] - self.x0[1]) * (x3[1] - self.x1[1]))
print((x3[0] - self.x1[0]) * (x3[0] - self.x1[0]) + (x3[1] - self.x1[1]) * (x3[1] - self.x1[1]) - self.R * self.R)'''
temp2 = ((x3[1] - self.x0[1]) * self.x1[0] - (x3[0] - self.x0[0]) * self.x1[1] + self.x0[1] * x3[0] - self.x0[0] * x3[1]) \
* ((x3[1] - self.x0[1]) * c1 - (x3[0] - self.x0[0]) * c2 + self.x0[1] * x3[0] - self.x0[0] * x3[1])
k1 = temp2 * (x3[1] - self.x0[1])
k2 = temp2 * (x3[0] - self.x0[0])
k3 = temp2 * (self.x0[1] * x3[0] - self.x0[0] * x3[1])
dist = np.sqrt(np.sum(np.square(environment.world.landmarks[-1].state.p_pos - landmark.state.p_pos))) \
- (environment.world.landmarks[-1].size + 1.2 * landmark.size)
if temp2 > 0:
flag = False
break
if flag:
return action, False
self.num_call = self.num_call + 1
# Make a MOSEK environment
with mosek.Env() as env:
# Attach a printer to the environment
# env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task
with env.Task(0, 0) as task:
# task.set_Stream(mosek.streamtype.log, streamprinter)
# Set up and input bounds and linear coefficients
bkc = [mosek.boundkey.up]
blc = [-inf]
buc = [-k3 - k1 * c1 + k2 * c2]
numvar = 1
bkx = [mosek.boundkey.fr] * numvar
blx = [-inf] * numvar
bux = [inf] * numvar
temp = 0.12
c = [-2.0 * omega - 2 * dt * d_omega]
asub = [[0]]
aval = [[k1 * d1 - k2 * d2]]
numvar = len(bkx)
numcon = len(bkc)
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
for j in range(numvar):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, bkx[j], blx[j], bux[j])
# Input column j of A
task.putacol(
j, # Variable (column) index.
# Row index of non-zeros in column j.
asub[j],
aval[j]) # Non-zero Values of column j.
for i in range(numcon):
task.putconbound(i, bkc[i], blc[i], buc[i])
# Set up and input quadratic objective
qsubi = [0]
qsubj = [0]
qval = [2.0]
task.putqobj(qsubi, qsubj, qval)
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.minimize)
# Optimize
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
# task.solutionsummary(mosek.streamtype.msg)
prosta = task.getprosta(mosek.soltype.itr)
solsta = task.getsolsta(mosek.soltype.itr)
# Output a solution
xx = [0.] * numvar
task.getxx(mosek.soltype.itr, xx)
'''if solsta == mosek.solsta.optimal:
print("Optimal solution: %s" % xx)
elif solsta == mosek.solsta.dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif mosek.solsta.unknown:
print("Unknown solution status")
else:
print("Other solution status")'''
xx = (xx[0] - omega) / dt
if xx > temp:
xx = temp
if xx < -temp:
xx = -temp
if np.abs(xx / 0.12 - d_omega) < 0.02:
return action, False
delta_action = xx / 0.12 - d_omega
action[3] = action[3] + delta_action / 2
action[4] = action[4] - delta_action / 2
# temp = action[3] - action[4]
'''action[3] = + xx[0]/2
action[4] = - xx[0]/2'''
return action, True
def dualSDP(self,d,presolveTol=1.0e-30,split=False,outputFlag=False):
dat, mrsp, srsp, numPnt = self.checkIfSplit()
# Make mosek environment
with mosek.Env() as env:
# Create a task object and attach log stream printer
with env.Task(0,0) as task:
task.putdouparam(mosek.dparam.presolve_tol_x,presolveTol)
if outputFlag: task.set_Stream(mosek.streamtype.msg, streamprinter)
c = [srsp[i]/sum(srsp)+(1-srsp[i])/sum(1-srsp) for i in range(numPnt)]
M = self.M
# Bound keys for constraints
bkc = [mosek.boundkey.lo]*(3*numPnt) + [mosek.boundkey.ra, mosek.boundkey.fx, mosek.boundkey.fx]
# Bound values for constraints
blc = [1.0]*numPnt + c + [0.0]*numPnt + [-d, 0.0, 1.0]
buc = [+math.inf]*(3*numPnt) + [d, 0.0, 1.0]
# Below is the sparse representation of the A
# matrix stored by row.
asub = [[2*numPnt+i] for i in range(numPnt)] + [[numPnt+i] for i in range(numPnt)]\
+ [[i] for i in range(numPnt)] + [list(range(2*numPnt)), [], []]
aval = [[1.0]]*(3*numPnt) + [[M]*numPnt + [1.0]*numPnt, [], []]
barci = list(range(self.numFields))
barcj = list(range(self.numFields))
barcval = [1.0]*self.numFields
barai = [[self.numFields+numPnt]*self.numFields]*numPnt + [[self.numFields+numPnt]]*(2*numPnt)\
+ [[self.numFields+i for i in range(numPnt) for j in range(self.numFields)], [self.numFields+numPnt]*numPnt,
[self.numFields+numPnt]]
baraj = [list(range(self.numFields))]*numPnt + [[self.numFields+i] for i in range(numPnt)]*2\
+ [[j for i in range(numPnt) for j in range(self.numFields)], [self.numFields+i for i in range(numPnt)],
[self.numFields+numPnt]]
baraval = [list(0.5*mrsp[i]*dat[i]) for i in range(numPnt)] + [[0.5*M]]*numPnt + [[-0.5]]*numPnt\
+ [[0.5*dat[i,j] for i in range(numPnt) for j in range(self.numFields)], [0.5]*numPnt, [1.0]]
numvar = 3*numPnt
numcon = len(bkc)
BARVARDIM = [self.numFields+numPnt+1]
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
# Append matrix variables of sizes in 'BARVARDIM'.
# The variables will initially be fixed at zero.
task.appendbarvars(BARVARDIM)
# Set the linear term c_0 in the objective.
task.putclist([2*numPnt+i for i in range(numPnt)], [1.0]*numPnt)
symc = task.appendsparsesymmat(BARVARDIM[0], barci, barcj, barcval)
task.putbarcj(0, [symc], [1.0])
for j in range(numvar):
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, mosek.boundkey.lo, 0, +math.inf)
syma = []
for i in range(numcon):
# Set the bounds on constraints.
task.putconbound(i, bkc[i], blc[i], buc[i])
# Input row i of A
task.putarow(i, asub[i], aval[i])
# add coefficient matrix of PSD variables
syma.append(task.appendsparsesymmat(BARVARDIM[0], barai[i], baraj[i], baraval[i]))
task.putbaraij(i, 0, [syma[i]], [1.0])
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.minimize)
# Solve the problem and print summary
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
# Get status information about the solution
prosta = task.getprosta(mosek.soltype.itr)
solsta = task.getsolsta(mosek.soltype.itr)
if (solsta == mosek.solsta.optimal or
solsta == mosek.solsta.near_optimal):
xx = [0.]*numvar
task.getxx(mosek.soltype.itr, xx)
lenbarvar = BARVARDIM[0] * (BARVARDIM[0]+1) / 2
barx = [0.]*int(lenbarvar)
task.getbarxj(mosek.soltype.itr, 0, barx)
barxx = [barx[(self.numFields+numPnt+1)*(i+1)-1-sum(list(range(i+1)))]\
for i in range(self.numFields+numPnt)]
alpha = xx[:numPnt]
beta = np.array(barxx[:self.numFields]).reshape((self.numFields,1))
gamma = barxx[-numPnt:]
lam = xx[numPnt:2*numPnt]
eps = xx[-numPnt:]
Gamma21 = np.array([[barx[self.numFields+i+(self.numFields+numPnt+1)*j-sum(list(range(j+1)))]\
for j in range(self.numFields)] for i in range(numPnt)])
time = task.getdouinf(mosek.dinfitem.optimizer_time)
print("Optimal solution = %s\nruntime = %s seconds" % (beta.T.dot(beta)[0,0]+sum(eps),time))
return beta, alpha, gamma, lam, eps, Gamma21
elif (solsta == mosek.solsta.dual_infeas_cer or
solsta == mosek.solsta.prim_infeas_cer or
solsta == mosek.solsta.near_dual_infeas_cer or
solsta == mosek.solsta.near_prim_infeas_cer):
print("Primal or dual infeasibility certificate found.\n")
return None, None, None, None, None, None
elif solsta == mosek.solsta.unknown:
print("Unknown solution status")
return None, None, None, None, None, None
else:
print("Other solution status")
return None, None, None, None, None, None
def mosek_intf(A, b, G, h, c, dims, offset, solver_opts, verbose = False):
data = {s.A : A,
s.B : b,
s.G : G,
s.H : h,
s.C : c,
s.OFFSET : offset,
s.DIMS : dims}
with mosek.Env() as env:
with env.Task(0, 0) as task:
kwargs = sorted(solver_opts.keys())
if "mosek_params" in kwargs:
self._handle_mosek_params(task, solver_opts["mosek_params"])
kwargs.remove("mosek_params")
if kwargs:
raise ValueError("Invalid keyword-argument '%s'" % kwargs[0])
if verbose:
# Define a stream printer to grab output from MOSEK
def streamprinter(text):
import sys
sys.stdout.write(text)
sys.stdout.flush()
env.set_Stream(mosek.streamtype.log, streamprinter)
task.set_Stream(mosek.streamtype.log, streamprinter)
# size of problem
numvar = len(c) + sum(dims[s.SOC_DIM])
numcon = len(b) + dims[s.LEQ_DIM] + sum(dims[s.SOC_DIM]) + \
sum([el**2 for el in dims[s.SDP_DIM]])
# otherwise it crashes on empty probl.
if numvar == 0:
result_dict = {s.STATUS: s.OPTIMAL}
result_dict[s.PRIMAL] = []
result_dict[s.VALUE] = 0. + data[s.OFFSET]
result_dict[s.EQ_DUAL] = []
result_dict[s.INEQ_DUAL] = []
return result_dict
# objective
task.appendvars(numvar)
task.putclist(np.arange(len(c)), c)
task.putvarboundlist(np.arange(numvar, dtype=int),
[mosek.boundkey.fr]*numvar,
np.zeros(numvar),
np.zeros(numvar))
# SDP variables
if sum(dims[s.SDP_DIM]) > 0:
task.appendbarvars(dims[s.SDP_DIM])
# linear equality and linear inequality constraints
task.appendcons(numcon)
if A.shape[0] and G.shape[0]:
constraints_matrix = sp.bmat([[A], [G]])
else:
constraints_matrix = A if A.shape[0] else G
coefficients = np.concatenate([b, h])
row, col, el = sp.find(constraints_matrix)
task.putaijlist(row, col, el)
type_constraint = [mosek.boundkey.fx] * len(b)
type_constraint += [mosek.boundkey.up] * dims[s.LEQ_DIM]
sdp_total_dims = sum([cdim**2 for cdim in dims[s.SDP_DIM]])
type_constraint += [mosek.boundkey.fx] * \
(sum(dims[s.SOC_DIM]) + sdp_total_dims)
task.putconboundlist(np.arange(numcon, dtype=int),
type_constraint,
coefficients,
coefficients)
# cones
current_var_index = len(c)
current_con_index = len(b) + dims[s.LEQ_DIM]
for size_cone in dims[s.SOC_DIM]:
row, col, el = sp.find(sp.eye(size_cone))
row += current_con_index
col += current_var_index
task.putaijlist(row, col, el) # add a identity for each cone
# add a cone constraint
task.appendcone(mosek.conetype.quad,
0.0, # unused
np.arange(current_var_index,
current_var_index + size_cone))
current_con_index += size_cone
current_var_index += size_cone
# SDP
for num_sdp_var, size_matrix in enumerate(dims[s.SDP_DIM]):
for i_sdp_matrix in range(size_matrix):
for j_sdp_matrix in range(size_matrix):
coeff = 1. if i_sdp_matrix == j_sdp_matrix else .5
task.putbaraij(current_con_index,
num_sdp_var,
[task.appendsparsesymmat(size_matrix,
[max(i_sdp_matrix,
j_sdp_matrix)],
[min(i_sdp_matrix,
j_sdp_matrix)],
[coeff])],
[1.0])
current_con_index += 1
# solve
task.putobjsense(mosek.objsense.minimize)
task.optimize()
if verbose:
task.solutionsummary(mosek.streamtype.msg)
return format_results(task, data)
def lp(c, G, h, A=None, b=None, taskfile=None):
"""
Solves a pair of primal and dual LPs
minimize c'*x maximize -h'*z - b'*y
subject to G*x + s = h subject to G'*z + A'*y + c = 0
A*x = b z >= 0.
s >= 0
using MOSEK 8.0.
(solsta, x, z, y) = lp(c, G, h, A=None, b=None).
Input arguments
c is n x 1, G is m x n, h is m x 1, A is p x n, b is p x 1. G and
A must be dense or sparse 'd' matrices. c, h and b are dense 'd'
matrices with one column. The default values for A and b are
empty matrices with zero rows.
Optionally, the interface can write a .task file, required for
support questions on the MOSEK solver.
Return values
solsta is a MOSEK solution status key.
If solsta is mosek.solsta.optimal, then (x, y, z) contains the
primal-dual solution.
If solsta is mosek.solsta.prim_infeas_cer, then (x, y, z) is a
certificate of primal infeasibility.
If solsta is mosek.solsta.dual_infeas_cer, then (x, y, z) is a
certificate of dual infeasibility.
If solsta is mosek.solsta.unknown, then (x, y, z) are all None.
Other return values for solsta include:
mosek.solsta.dual_feas
mosek.solsta.near_dual_feas
mosek.solsta.near_optimal
mosek.solsta.near_prim_and_dual_feas
mosek.solsta.near_prim_feas
mosek.solsta.prim_and_dual_feas
mosek.solsta.prim_feas
in which case the (x,y,z) value may not be well-defined.
x, y, z the primal-dual solution.
Options are passed to MOSEK solvers via the msk.options dictionary.
For example, the following turns off output from the MOSEK solvers
>>> msk.options = {mosek.iparam.log: 0}
see the MOSEK Python API manual.
"""
with mosek.Env() as env:
if type(c) is not matrix or c.typecode != 'd' or c.size[1] != 1:
raise TypeError("'c' must be a dense column matrix")
n = c.size[0]
if n < 1: raise ValueError("number of variables must be at least 1")
if (type(G) is not matrix and type(G) is not spmatrix) or \
G.typecode != 'd' or G.size[1] != n:
raise TypeError("'G' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
m = G.size[0]
if m is 0: raise ValueError("m cannot be 0")
if type(h) is not matrix or h.typecode != 'd' or h.size != (m, 1):
raise TypeError("'h' must be a 'd' matrix of size (%d,1)" % m)
if A is None: A = spmatrix([], [], [], (0, n), 'd')
if (type(A) is not matrix and type(A) is not spmatrix) or \
A.typecode != 'd' or A.size[1] != n:
raise TypeError("'A' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
p = A.size[0]
if b is None: b = matrix(0.0, (0, 1))
if type(b) is not matrix or b.typecode != 'd' or b.size != (p, 1):
raise TypeError("'b' must be a dense matrix of size (%d,1)" % p)
bkc = m * [mosek.boundkey.up] + p * [mosek.boundkey.fx]
blc = m * [-inf] + [bi for bi in b]
buc = list(h) + list(b)
bkx = n * [mosek.boundkey.fr]
blx = n * [-inf]
bux = n * [+inf]
colptr, asub, acof = sparse([G, A]).CCS
aptrb, aptre = colptr[:-1], colptr[1:]
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
# set MOSEK options
for (param, val) in options.items():
if str(param)[:6] == "iparam":
task.putintparam(param, val)
elif str(param)[:6] == "dparam":
task.putdouparam(param, val)
elif str(param)[:6] == "sparam":
task.putstrparam(param, val)
else:
raise ValueError("invalid MOSEK parameter: " + str(param))
task.inputdata(
m + p, # number of constraints
n, # number of variables
list(c), # linear objective coefficients
0.0, # objective fixed value
list(aptrb),
list(aptre),
list(asub),
list(acof),
bkc,
blc,
buc,
bkx,
blx,
bux)
task.putobjsense(mosek.objsense.minimize)
if taskfile:
task.writetask(taskfile)
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
solsta = task.getsolsta(mosek.soltype.bas)
x, z = n * [0.0], m * [0.0]
task.getsolutionslice(mosek.soltype.bas, mosek.solitem.xx, 0, n, x)
task.getsolutionslice(mosek.soltype.bas, mosek.solitem.suc, 0, m,
z)
x, z = matrix(x), matrix(z)
if p is not 0:
yu, yl = p * [0.0], p * [0.0]
task.getsolutionslice(mosek.soltype.bas, mosek.solitem.suc, m,
m + p, yu)
task.getsolutionslice(mosek.soltype.bas, mosek.solitem.slc, m,
m + p, yl)
y = matrix(yu) - matrix(yl)
else:
y = matrix(0.0, (0, 1))
if (solsta is mosek.solsta.unknown):
return (solsta, None, None, None)
else:
return (solsta, x, z, y)
def main():
# Create a MOSEK environment
with mosek.Env() as env:
# Create a task
with env.Task(0, 0) as task:
# Bound keys for constraints
bkc = [mosek.boundkey.up,
mosek.boundkey.up,
mosek.boundkey.up]
# Bound values for constraints
blc = [-inf, -inf, -inf]
buc = [100000.0, 50000.0, 60000.0]
# Bound keys for variables
bkx = [mosek.boundkey.lo,
mosek.boundkey.lo,
mosek.boundkey.lo]
# Bound values for variables
blx = [0.0, 0.0, 0.0]
bux = [+inf, +inf, +inf]
# Objective coefficients
csub = [0, 1, 2]
cval = [1.5, 2.5, 3.0]
# We input the A matrix column-wise
# asub contains row indexes
asub = [0, 1, 2,
0, 1, 2,
0, 1, 2]
# acof contains coefficients
acof = [2.0, 3.0, 2.0,
4.0, 2.0, 3.0,
3.0, 3.0, 2.0]
# aptrb and aptre contains the offsets into asub and acof where
# columns start and end respectively
aptrb = [0, 3, 6]
aptre = [3, 6, 9]
numvar = len(bkx)
numcon = len(bkc)
# Append the constraints
task.appendcons(numcon)
# Append the variables.
task.appendvars(numvar)
# Input objective
task.putcfix(0.0)
task.putclist(csub, cval)
# Put constraint bounds
task.putconboundslice(0, numcon, bkc, blc, buc)
# Put variable bounds
task.putvarboundslice(0, numvar, bkx, blx, bux)
# Input A non-zeros by columns
for j in range(numvar):
ptrb, ptre = aptrb[j], aptre[j]
task.putacol(j,
asub[ptrb:ptre],
acof[ptrb:ptre])
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.maximize)
# Optimize the task
task.optimize()
# Output a solution
xx = [0.] * numvar
task.getsolutionslice(mosek.soltype.bas,
mosek.solitem.xx,
0, numvar,
xx)
print("xx = {}".format(xx))
################# Make a change to the A matrix #############
task.putaij(0, 0, 3.0)
task.optimize()
# Output a solution
xx = [0.] * numvar
task.getsolutionslice(mosek.soltype.bas,
mosek.solitem.xx,
0, numvar,
xx)
print("xx = {}".format(xx))
################### Add a new variable ######################
task.appendvars(1)
numvar+=1
# Set bounds on new varaible
task.putbound(mosek.accmode.var,
task.getnumvar() - 1,
mosek.boundkey.lo,
0,
+inf)
# Change objective
task.putcj(task.getnumvar() - 1, 1.0)
# Put new values in the A matrix
acolsub = [0, 2]
acolval = [4.0, 1.0]
task.putacol(task.getnumvar() - 1, # column index
acolsub,
acolval)
# Change optimizer to simplex free and reoptimize
task.putintparam(mosek.iparam.optimizer,
mosek.optimizertype.free_simplex)
task.optimize()
# Output a solution
xx = [0.] * numvar
task.getsolutionslice(mosek.soltype.bas,
mosek.solitem.xx,
0, numvar,
xx)
print("xx = {}".format(xx))
############# Add a new constraint #######################
task.appendcons(1)
numcon+=1
# Set bounds on new constraint
task.putconbound(task.getnumcon() - 1,
mosek.boundkey.up, -inf, 30000)
# Put new values in the A matrix
arowsub = [0, 1, 2, 3]
arowval = [1.0, 2.0, 1.0, 1.0]
task.putarow(task.getnumcon() - 1, # row index
arowsub,
arowval)
task.optimize()
# Output a solution
xx = [0.] * numvar
task.getsolutionslice(mosek.soltype.bas,
mosek.solitem.xx,
0, numvar,
xx)
print("xx = {}".format(xx))
def socp(c, Gl=None, hl=None, Gq=None, hq=None, taskfile=None):
"""
Solves a pair of primal and dual SOCPs
minimize c'*x
subject to Gl*x + sl = hl
Gq[k]*x + sq[k] = hq[k], k = 0, ..., N-1
sl >= 0,
sq[k] >= 0, k = 0, ..., N-1
maximize -hl'*zl - sum_k hq[k]'*zq[k]
subject to Gl'*zl + sum_k Gq[k]'*zq[k] + c = 0
zl >= 0, zq[k] >= 0, k = 0, ..., N-1.
using MOSEK 8.0.
solsta, x, zl, zq = socp(c, Gl = None, hl = None, Gq = None, hq = None, taskfile=None)
Return values
solsta is a MOSEK solution status key.
If solsta is mosek.solsta.optimal,
then (x, zl, zq) contains the primal-dual solution.
If solsta is mosek.solsta.prim_infeas_cer,
then (x, zl, zq) is a certificate of dual infeasibility.
If solsta is mosek.solsta.dual_infeas_cer,
then (x, zl, zq) is a certificate of primal infeasibility.
If solsta is mosek.solsta.unknown,
then (x, zl, zq) are all None
Other return values for solsta include:
mosek.solsta.dual_feas
mosek.solsta.near_dual_feas
mosek.solsta.near_optimal
mosek.solsta.near_prim_and_dual_feas
mosek.solsta.near_prim_feas
mosek.solsta.prim_and_dual_feas
mosek.solsta.prim_feas
in which case the (x,y,z) value may not be well-defined.
x, zl, zq the primal-dual solution.
Options are passed to MOSEK solvers via the msk.options dictionary,
e.g., the following turns off output from the MOSEK solvers
>>> msk.options = {mosek.iparam.log: 0}
see the MOSEK Python API manual.
Optionally, the interface can write a .task file, required for
support questions on the MOSEK solver.
"""
with mosek.Env() as env:
if type(c) is not matrix or c.typecode != 'd' or c.size[1] != 1:
raise TypeError("'c' must be a dense column matrix")
n = c.size[0]
if n < 1: raise ValueError("number of variables must be at least 1")
if Gl is None: Gl = spmatrix([], [], [], (0, n), tc='d')
if (type(Gl) is not matrix and type(Gl) is not spmatrix) or \
Gl.typecode != 'd' or Gl.size[1] != n:
raise TypeError("'Gl' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
ml = Gl.size[0]
if hl is None: hl = matrix(0.0, (0, 1))
if type(hl) is not matrix or hl.typecode != 'd' or \
hl.size != (ml,1):
raise TypeError("'hl' must be a dense 'd' matrix of " \
"size (%d,1)" %ml)
if Gq is None: Gq = []
if type(Gq) is not list or [
G for G in Gq
if (type(G) is not matrix and type(G) is not spmatrix)
or G.typecode != 'd' or G.size[1] != n
]:
raise TypeError("'Gq' must be a list of sparse or dense 'd' "\
"matrices with %d columns" %n)
mq = [G.size[0] for G in Gq]
a = [k for k in range(len(mq)) if mq[k] == 0]
if a: raise TypeError("the number of rows of Gq[%d] is zero" % a[0])
if hq is None: hq = []
if type(hq) is not list or len(hq) != len(mq) or [
h for h in hq
if (type(h) is not matrix and type(h) is not spmatrix)
or h.typecode != 'd'
]:
raise TypeError("'hq' must be a list of %d dense or sparse "\
"'d' matrices" %len(mq))
a = [k for k in range(len(mq)) if hq[k].size != (mq[k], 1)]
if a:
k = a[0]
raise TypeError("'hq[%d]' has size (%d,%d). Expected size "\
"is (%d,1)." %(k, hq[k].size[0], hq[k].size[1], mq[k]))
N = ml + sum(mq)
h = matrix(0.0, (N, 1))
if type(Gl) is matrix or [Gk for Gk in Gq if type(Gk) is matrix]:
G = matrix(0.0, (N, n))
else:
G = spmatrix([], [], [], (N, n), 'd')
h[:ml] = hl
G[:ml, :] = Gl
ind = ml
for k in range(len(mq)):
h[ind:ind + mq[k]] = hq[k]
G[ind:ind + mq[k], :] = Gq[k]
ind += mq[k]
bkc = n * [mosek.boundkey.fx]
blc = list(-c)
buc = list(-c)
bkx = ml * [mosek.boundkey.lo] + sum(mq) * [mosek.boundkey.fr]
blx = ml * [0.0] + sum(mq) * [-inf]
bux = N * [+inf]
c = -h
colptr, asub, acof = sparse([G.T]).CCS
aptrb, aptre = colptr[:-1], colptr[1:]
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
# set MOSEK options
for (param, val) in options.items():
if str(param)[:6] == "iparam":
task.putintparam(param, val)
elif str(param)[:6] == "dparam":
task.putdouparam(param, val)
elif str(param)[:6] == "sparam":
task.putstrparam(param, val)
else:
raise ValueError("invalid MOSEK parameter: " + str(param))
task.inputdata(
n, # number of constraints
N, # number of variables
list(c), # linear objective coefficients
0.0, # objective fixed value
list(aptrb),
list(aptre),
list(asub),
list(acof),
bkc,
blc,
buc,
bkx,
blx,
bux)
task.putobjsense(mosek.objsense.maximize)
for k in range(len(mq)):
task.appendcone(
mosek.conetype.quad, 0.0,
list(range(ml + sum(mq[:k]), ml + sum(mq[:k + 1]))))
if taskfile:
task.writetask(taskfile)
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
solsta = task.getsolsta(mosek.soltype.itr)
xu, xl, zq = n * [0.0], n * [0.0], sum(mq) * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.slc, 0, n,
xl)
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.suc, 0, n,
xu)
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.xx, ml, N,
zq)
x = matrix(xu) - matrix(xl)
zq = [
matrix(zq[sum(mq[:k]):sum(mq[:k + 1])]) for k in range(len(mq))
]
if ml:
zl = ml * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.xx, 0,
ml, zl)
zl = matrix(zl)
else:
zl = matrix(0.0, (0, 1))
if (solsta is mosek.solsta.unknown):
return (solsta, None, None, None)
else:
return (solsta, x, zl, zq)
def busOpt(userGraph, busMax, time):
''' Using quadratic optimiaxation with integer objectives, this function returns a good estimate
for any bus.
Params:
userGraph - This is the graph of the remaining students. we dont know how many exist however
there must be at least one or it WILL return an error
busMax - Caculated beforehand, it should either be the size of the bus, or how many students could be
put on the bus such that a feasable solution still exists. Used as a constraint on the objective
time - This is so larger sets can be calcualted in a more feasable amount of space. puts constraints
on the solver so it does not take to long.
'''
'''
create a mapping for the nodes of the bus so calculations are a bit less intense each time
'''
#maps each to a specific num
mapping = dict(zip(userGraph.nodes(),list(range(nx.number_of_nodes(userGraph)))))
#reversMap is for the return value.
reverseMap = dict(zip(list(range(nx.number_of_nodes(userGraph))),userGraph.nodes()))
#copies and does not modify inputs
G = nx.relabel_nodes(userGraph,mapping, copy=True)
H = np.array(nx.to_numpy_matrix(G))
n = len(H)
for i in range(n):
H[i][i] = -n*2
with mosek.Env() as env:
# Attach a printer to the environment
#env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task object
with env.Task() as task:
# Attach a log stream printer to the task
#task.set_Stream (mosek.streamtype.log, streamprinter)
# numvar is equal to n in the nxn matrix H
numvar = n
'''
For each bound, we need to define it in the array.
each begins with mosek.boundkey.(insert postfix here)
the endings are as follows:
ra -- at position i in the array if ra is the postfix, than blc[i] <= Ax[i] <= buc[i]
fx -- at position i in the array if fx is the postfix, than Ax[i] = blc[i]
fr -- at position i in the array if fr is the postfix, than -inf <= Ax[i] <= inf
lo -- at position i in the array if fr is the postfix, than blc[i] <= Ax[i] <= inf
up -- at position i in the array if fr is the postfix, than -inf <= Ax[i] <= buc[i]
Note that we define A later. In the following case A is a 1xn matrix with lowerbound 1.0 and
upperbound 5.0
'''
bkc = [mosek.boundkey.ra]
blc = [1.0] #At least 1 kid on the bus
buc = [busMax] #bus size
'''
This is where the matrix A is created, it must follow the constriants in order as provided above.
Note in this case:
A = [1, 1, ... , 1, 1]
This is becase on asub each sub-array is a list, and on that list is the places below the column
where there exists variables. Each corresponding aval is the value of that item.
I assume this is so mosek can optimize sparce data.
'''
asub = [[0] for i in range(n)]
aval = [[1.0] for i in range(n)]
'''
This should be a little more straigtforward. We set the constriants on the variable itself,
saying any xi is such that 0.0 <= xi <= 1.0 for all x. When we declare it an integer func
this ensures each xi is either 0 or 1. Not much modification should happen here unless we decide
to do two busses at once
'''
bkx = [mosek.boundkey.ra] * numvar
blx = [0.0] * numvar
bux = [1.0] * numvar
'''
Our objective function is as follows:
(0.5)x.T*H*x + c.T*x
To ensure negative semidefinate, we needed to make the diagonal of H -2*n for each entry.
This way we could maximize the problem, however the results needed to be fixed so adding a
linear objective which adds the values back which otherwise would have been subtracted off.
Making each value of c[i] == n fixed this issue.
'''
c = [n for i in range(n)]
'''
now we need to add the number of constraints to the problem.
'''
numcon = len(bkc)
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
for j in range(numvar):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putbound(mosek.accmode.var, j, bkx[j], blx[j], bux[j])
# Input column j of A
# Variable (column) index. # Row index of non-zeros in column j.
task.putacol(j, asub[j], aval[j]) # Non-zero Values of column j.
for i in range(numcon):
task.putbound(mosek.accmode.con, i, bkc[i], blc[i], buc[i])
# Set up and input quadratic objective
qsubi = []
qsubj = []
qval = []
for i in range(n):
for j in range(0, i+1):
if H[i][j] != 0:
qsubi.append(i)
qsubj.append(j)
qval.append(H[i][j])
#print(qsubi)
#print(qsubj)
#print(qval)
task.putqobj(qsubi, qsubj, qval)
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.maximize)
# Define variables to be integers
task.putvartypelist([i for i in range(n)],[mosek.variabletype.type_int for i in range(n)])
# Set max solution time
task.putdouparam(mosek.dparam.mio_max_time, time);
# Optimize
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
task.solutionsummary(mosek.streamtype.msg)
prosta = task.getprosta(mosek.soltype.itg)
solsta = task.getsolsta(mosek.soltype.itg)
# Output a solution
xx = [0.] * numvar
task.getxx(mosek.soltype.itg, xx)
solSet = []
# tempSol = []
'''
This is what we will return for each bus, fixed and all
'''
for i in range(len(xx)):
if xx[i] > 0.5:
solSet += [reverseMap[i]]
# print(solSet)
# print(tempSol)
if solsta in [mosek.solsta.integer_optimal, mosek.solsta.near_integer_optimal]:
print("Optimal solution: %s" % xx)
elif solsta == mosek.solsta.dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif mosek.solsta.unknown:
if prosta == mosek.prosta.prim_infeas_or_unbounded:
print("Problem status Infeasible or unbounded.\n")
elif prosta == mosek.prosta.prim_infeas:
print("Problem status Infeasible.\n")
elif prosta == mosek.prosta.unkown:
print("Problem status unkown.\n")
else:
print("Other problem status.\n")
else:
print("Other solution status (good)")
v = np.array(xx)
print(v.dot(H).dot(v)*.5 + v.dot(c))
return solSet
def ilp(c, G, h, A=None, b=None, I=None, taskfile=None):
"""
Solves the mixed integer LP
minimize c'*x
subject to G*x + s = h
A*x = b
s >= 0
xi integer, forall i in I
using MOSEK 8.0.
solsta, x = ilp(c, G, h, A=None, b=None, I=None, taskfile=None).
Input arguments
G is m x n, h is m x 1, A is p x n, b is p x 1. G and A must be
dense or sparse 'd' matrices. h and b are dense 'd' matrices
with one column. The default values for A and b are empty
matrices with zero rows.
I is a Python set with indices of integer elements of x. By
default all elements in x are constrained to be integer, i.e.,
the default value of I is I = set(range(n))
Dual variables are not returned for MOSEK.
Optionally, the interface can write a .task file, required for
support questions on the MOSEK solver.
Return values
solsta is a MOSEK solution status key.
If solsta is mosek.solsta.integer_optimal, then x contains
the solution.
If solsta is mosek.solsta.unknown, then x is None.
Other return values for solsta include:
mosek.solsta.near_integer_optimal
in which case the x value may not be well-defined,
c.f., section 17.48 of the MOSEK Python API manual.
x is the solution
Options are passed to MOSEK solvers via the msk.options dictionary,
e.g., the following turns off output from the MOSEK solvers
>>> msk.options = {mosek.iparam.log: 0}
see the MOSEK Python API manual.
"""
with mosek.Env() as env:
if type(c) is not matrix or c.typecode != 'd' or c.size[1] != 1:
raise TypeError("'c' must be a dense column matrix")
n = c.size[0]
if n < 1: raise ValueError("number of variables must be at least 1")
if (type(G) is not matrix and type(G) is not spmatrix) or \
G.typecode != 'd' or G.size[1] != n:
raise TypeError("'G' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
m = G.size[0]
if m is 0: raise ValueError("m cannot be 0")
if type(h) is not matrix or h.typecode != 'd' or h.size != (m, 1):
raise TypeError("'h' must be a 'd' matrix of size (%d,1)" % m)
if A is None: A = spmatrix([], [], [], (0, n), 'd')
if (type(A) is not matrix and type(A) is not spmatrix) or \
A.typecode != 'd' or A.size[1] != n:
raise TypeError("'A' must be a dense or sparse 'd' matrix "\
"with %d columns" %n)
p = A.size[0]
if b is None: b = matrix(0.0, (0, 1))
if type(b) is not matrix or b.typecode != 'd' or b.size != (p, 1):
raise TypeError("'b' must be a dense matrix of size (%d,1)" % p)
if I is None: I = set(range(n))
if type(I) is not set:
raise TypeError("invalid argument for integer index set")
for i in I:
if type(i) is not int:
raise TypeError("invalid integer index set I")
if len(I) > 0 and min(I) < 0:
raise IndexError("negative element in integer index set I")
if len(I) > 0 and max(I) > n - 1:
raise IndexError(
"maximum element in in integer index set I is larger than n-1")
bkc = m * [mosek.boundkey.up] + p * [mosek.boundkey.fx]
blc = m * [-inf] + [bi for bi in b]
buc = list(h) + list(b)
bkx = n * [mosek.boundkey.fr]
blx = n * [-inf]
bux = n * [+inf]
colptr, asub, acof = sparse([G, A]).CCS
aptrb, aptre = colptr[:-1], colptr[1:]
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
# set MOSEK options
for (param, val) in options.items():
if str(param)[:6] == "iparam":
task.putintparam(param, val)
elif str(param)[:6] == "dparam":
task.putdouparam(param, val)
elif str(param)[:6] == "sparam":
task.putstrparam(param, val)
else:
raise ValueError("invalid MOSEK parameter: " + str(param))
task.inputdata(
m + p, # number of constraints
n, # number of variables
list(c), # linear objective coefficients
0.0, # objective fixed value
list(aptrb),
list(aptre),
list(asub),
list(acof),
bkc,
blc,
buc,
bkx,
blx,
bux)
task.putobjsense(mosek.objsense.minimize)
# Define integer variables
if len(I) > 0:
task.putvartypelist(list(I),
len(I) * [mosek.variabletype.type_int])
task.putintparam(mosek.iparam.mio_mode, mosek.miomode.satisfied)
if taskfile:
task.writetask(taskfile)
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
if len(I) > 0:
solsta = task.getsolsta(mosek.soltype.itg)
else:
solsta = task.getsolsta(mosek.soltype.bas)
x = n * [0.0]
if len(I) > 0:
task.getsolutionslice(mosek.soltype.itg, mosek.solitem.xx, 0,
n, x)
else:
task.getsolutionslice(mosek.soltype.bas, mosek.solitem.xx, 0,
n, x)
x = matrix(x)
if (solsta is mosek.solsta.unknown):
return (solsta, None)
else:
return (solsta, x)
def main():
# Make a MOSEK environment
with mosek.Env() as env:
# Attach a printer to the environment
env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task
with env.Task(0, 0) as task:
# Attach a printer to the task
task.set_Stream(mosek.streamtype.log, streamprinter)
bkc = [mosek.boundkey.fx]
blc = [1.0]
buc = [1.0]
c = [0.0, 0.0, 0.0,
1.0, 1.0, 1.0]
bkx = [mosek.boundkey.lo, mosek.boundkey.lo, mosek.boundkey.lo,
mosek.boundkey.fr, mosek.boundkey.fr, mosek.boundkey.fr]
blx = [0.0, 0.0, 0.0,
-inf, -inf, -inf]
bux = [inf, inf, inf,
inf, inf, inf]
asub = [[0], [0], [0]]
aval = [[1.0], [1.0], [2.0]]
numvar = len(bkx)
numcon = len(bkc)
NUMANZ = 4
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
#Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
for j in range(numvar):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, bkx[j], blx[j], bux[j])
for j in range(len(aval)):
# Input column j of A
task.putacol(j, # Variable (column) index.
# Row index of non-zeros in column j.
asub[j],
aval[j]) # Non-zero Values of column j.
for i in range(numcon):
task.putconbound(i, bkc[i], blc[i], buc[i])
# Input the cones
task.appendcone(mosek.conetype.quad,
0.0,
[3, 0, 1])
task.appendcone(mosek.conetype.rquad,
0.0,
[4, 5, 2])
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.minimize)
# Optimize the task
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
task.solutionsummary(mosek.streamtype.msg)
prosta = task.getprosta(mosek.soltype.itr)
solsta = task.getsolsta(mosek.soltype.itr)
# Output a solution
xx = [0.] * numvar
task.getxx(mosek.soltype.itr,
xx)
if solsta == mosek.solsta.optimal:
print("Optimal solution: %s" % xx)
elif solsta == mosek.solsta.dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif mosek.solsta.unknown:
print("Unknown solution status")
else:
print("Other solution status")
def solve(form, display=True, export=False):
numlc, numvar = form.linear.shape
if isinstance(form, SOCProg):
qmat = form.qmat
else:
qmat = []
ind_int = np.where(form.vtype == 'I')[0]
ind_bin = np.where(form.vtype == 'B')[0]
if ind_bin.size:
form.ub[ind_bin] = 1
form.lb[ind_bin] = 0
ind_ub = np.where((form.ub != np.inf) & (form.lb == -np.inf))[0]
ind_lb = np.where((form.lb != -np.inf) & (form.ub == np.inf))[0]
ind_ra = np.where((form.lb != -np.inf) & (form.ub != np.inf))[0]
ind_fr = np.where((form.lb == -np.inf) & (form.ub == np.inf))[0]
ind_eq = np.where(form.sense)[0]
ind_ineq = np.where(form.sense == 0)[0]
with mosek.Env() as env:
with env.Task(0, 0) as task:
task.appendvars(numvar)
task.appendcons(numlc)
if ind_ub.size:
task.putvarboundlist(ind_ub, [mosek.boundkey.up] * len(ind_ub),
form.lb[ind_ub], form.ub[ind_ub])
if ind_lb.size:
task.putvarboundlist(ind_lb, [mosek.boundkey.lo] * len(ind_lb),
form.lb[ind_lb], form.ub[ind_lb])
if ind_ra.size:
task.putvarboundlist(ind_ra, [mosek.boundkey.ra] * len(ind_ra),
form.lb[ind_ra], form.ub[ind_ra])
if ind_fr.size:
task.putvarboundlist(ind_fr, [mosek.boundkey.fr] * len(ind_fr),
form.lb[ind_fr], form.ub[ind_fr])
if ind_int.size:
task.putvartypelist(ind_int, [mosek.variabletype.type_int] *
len(ind_int))
if ind_bin.size:
task.putvartypelist(ind_bin, [mosek.variabletype.type_int] *
len(ind_bin))
task.putcslice(0, numvar, form.obj.flatten())
task.putobjsense(mosek.objsense.minimize)
coo = coo_matrix(form.linear)
task.putaijlist(coo.row, coo.col, coo.data)
if ind_eq.size:
task.putconboundlist(ind_eq, [mosek.boundkey.fx] * len(ind_eq),
form.const[ind_eq], form.const[ind_eq])
if ind_ineq.size:
task.putconboundlist(ind_ineq,
[mosek.boundkey.up] * len(ind_ineq),
[-np.inf] * len(ind_ineq),
form.const[ind_ineq])
for cone in qmat:
task.appendcone(mosek.conetype.quad, 0.0, cone)
if display:
print('Being solved by Mosek...')
t0 = time.process_time()
task.optimize()
stime = time.process_time() - t0
soltype = mosek.soltype
solsta = None
for stype in [soltype.bas, soltype.itr, soltype.itg]:
try:
solsta = task.getsolsta(stype)
if display:
print('Solution status: {0}'.format(solsta.__repr__()))
print('Running time: {0:0.4f}s'.format(stime))
break
except:
pass
xx = [0.] * numvar
task.getxx(stype, xx)
if export:
task.writedata("out.mps")
if solsta in [mosek.solsta.optimal, mosek.solsta.integer_optimal]:
solution = Solution(xx[0], xx, solsta)
else:
warnings.warn('No feasible solution can be found.')
solution = None
return solution
def ALIGNF(km_list, ky, centering=True):
"""
Parameters:
-----------
km_list, a list of kernel matrices, list of 2d array
ky, target kernel, 2d array
Returns:
--------
xx, the weight for each kernels
"""
n_feat = len(km_list)
km_list_copy = []
# center the kernel first
for i in range(n_feat):
if centering:
km_list_copy.append(center(km_list[i].copy()))
else:
km_list_copy.append(km_list[i].copy())
if centering:
ky_copy = center(ky.copy())
else:
ky_copy = ky.copy()
a = np.zeros(n_feat)
for i in range(n_feat):
a[i] = f_dot(km_list_copy[i], ky_copy)
M = np.zeros((n_feat, n_feat))
for i in range(n_feat):
for j in range(i,n_feat):
M[i,j] = f_dot(km_list_copy[i],km_list_copy[j])
M[j,i] = M[i,j]
Q = 2*M
C = -2*a
Q = Q + np.diag(np.ones(n_feat)*1e-10)
################################################
# Using mosek to solve the quadratice programming
# Set upper diagonal element to zeros, mosek only accept lower triangle
iu = np.triu_indices(n_feat,1)
Q[iu] = 0
# start solving with mosek
inf = 0.0
env = mosek.Env()
env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task
task = env.Task()
task.set_Stream(mosek.streamtype.log, streamprinter)
# Set up bound for variables
bkx = [mosek.boundkey.lo]* n_feat
blx = [0.0] * n_feat
bux = [+inf]* n_feat
numvar = len(bkx)
task.appendvars(numvar)
for j in range(numvar):
task.putcj(j,C[j])
task.putvarbound(j,bkx[j],blx[j],bux[j])
# Set up quadratic objective
inds = np.nonzero(Q)
qsubi = inds[0].tolist()
qsubj = inds[1].tolist()
qval = Q[inds].tolist()
# Input quadratic objective
task.putqobj(qsubi,qsubj,qval)
# Input objective sense (minimize/mximize)
task.putobjsense(mosek.objsense.minimize)
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
task.solutionsummary(mosek.streamtype.msg)
solsta = task.getsolsta(mosek.soltype.itr)
if (solsta == mosek.solsta.optimal or
solsta == mosek.solsta.near_optimal):
# Output a solution
xx = np.zeros(numvar, float)
task.getxx(mosek.soltype.itr, xx)
#xx = xx/np.linalg.norm(xx)
return xx
else:
print "Solution not optimal or near optimal"
print solsta
return None
def main():
# Make a MOSEK environment
env = mosek.Env()
# Attach a printer to the environment
env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task
task = env.Task(0, 0)
# Attach a printer to the task
task.set_Stream(mosek.streamtype.log, streamprinter)
bkc = [mosek.boundkey.up, mosek.boundkey.lo]
blc = [-inf, -4.0]
buc = [250.0, inf]
bkx = [mosek.boundkey.lo, mosek.boundkey.lo]
blx = [0.0, 0.0]
bux = [inf, inf]
c = [1.0, 0.64]
asub = [array([0, 1]), array([0, 1])]
aval = [array([50.0, 3.0]), array([31.0, -2.0])]
numvar = len(bkx)
numcon = len(bkc)
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
#Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
for j in range(numvar):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, bkx[j], blx[j], bux[j])
# Input column j of A
task.putacol(
j, # Variable (column) index.
asub[j], # Row index of non-zeros in column j.
aval[j]) # Non-zero Values of column j.
task.putconboundlist(range(numcon), bkc, blc, buc)
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.maximize)
# Define variables to be integers
task.putvartypelist(
[0, 1], [mosek.variabletype.type_int, mosek.variabletype.type_int])
# Optimize the task
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
task.solutionsummary(mosek.streamtype.msg)
prosta = task.getprosta(mosek.soltype.itg)
solsta = task.getsolsta(mosek.soltype.itg)
# X
# Output a solution
xx = zeros(numvar, float)
task.getxx(mosek.soltype.itg, xx)
if solsta in [
mosek.solsta.integer_optimal, mosek.solsta.near_integer_optimal
]:
print("Optimal solution: %s" % xx)
elif solsta == mosek.solsta.dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_dual_infeas_cer:
print("Primal or dual infeasibility.\n")
elif solsta == mosek.solsta.near_prim_infeas_cer:
print("Primal or dual infeasibility.\n")
elif mosek.solsta.unknown:
if prosta == mosek.prosta.prim_infeas_or_unbounded:
print("Problem status Infeasible or unbounded.\n")
elif prosta == mosek.prosta.prim_infeas:
print("Problem status Infeasible.\n")
elif prosta == mosek.prosta.unkown:
print("Problem status unkown.\n")
else:
print("Other problem status.\n")
else:
print("Other solution status")
def main():
# Open MOSEK and create an environment and task
# Make a MOSEK environment
with mosek.Env() as env:
# Attach a printer to the environment
env.set_Stream(mosek.streamtype.log, streamprinter)
# Create a task
with env.Task() as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
# Bound keys for variables
numvar = numvars
bkx = [mosek.boundkey.ra] * numvar
# bkx = [mosek.boundkey.fr] * numvar
# Bound values for variables
temppricelow = initial*0.9
temppricehigh = initial*1.1
blx = []
bux = []
# blx = [inf] * numvar
# bux = [inf] * numvar
for i in range(numvar):
blx.append(temppricelow[i])
bux.append(temppricehigh[i])
# Objective linear coefficients
c = linearpart
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(0)
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
for j in range(numvar):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, bkx[j], blx[j], bux[j])
# Set up and input quadratic objective
qsubi = []
for i in range(numvar):
qsubi.append(i)
qsubj = qsubi
qval = 2*quadpart
task.putqobj(qsubi, qsubj, qval)
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.maximize)
# Optimize
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
# task.solutionsummary(mosek.streamtype.msg)
# Output a solution
xx = [0.] * numvar
task.getxx(mosek.soltype.itr,
xx)
return xx
def mosek_solve():
# LOAD VARIABLES
n_utxo = len(tx.utxo_set)
n_out = len(tx.outputs)
U = tx.utxo_set
O = tx.outputs
Vu = [int(U[j]['value']) for j in range(n_utxo)]
Vo = [int(O[j]['value']) for j in range(n_out)]
Su = [int(U[j]['size']) for j in range(n_utxo)]
So = [int(O[j]['size']) for j in range(n_out)]
Ms = int(tx.params['max_size'])
alpha = float(tx.params['fee_rate'])
T = int(tx.params['dust_threshold'])
eps = int(tx.params['min_change_output'])
beta = int(tx.params['change_output_size'])
# Sum of input values
sum_Vu = sum(Vu[j] for j in range(n_utxo))
# Sum of output values
sum_Vo = sum(Vo[j] for j in range(n_out))
# Sum of output size
sum_So = sum(So[j] for j in range(n_out))
# Maximum change value = sum_Vu - sum_Vo
Mc = sum_Vu - sum_Vo
# Minimum utxo
# Mc = min(Vu)
# SOLVE
# Make mosek environment
with mosek.Env() as env:
# Create a task object
with env.Task(0, 0) as task:
# Attach a log stream printer to the task
task.set_Stream(mosek.streamtype.log, streamprinter)
# Bound keys for constraints
bkc = [
mosek.boundkey.ra,
mosek.boundkey.fx,
mosek.boundkey.up
]
# Bound values for constraints
blc = [0.0, sum_Vo + alpha * sum_So, -inf]
buc = [Ms - sum_So, sum_Vo + alpha * sum_So, eps]
# Bound keys for variables
bkx = [mosek.boundkey.ra for j in range(n_utxo)] # l <= x <= u
bkx.append(mosek.boundkey.ra)
bkx.append(mosek.boundkey.ra)
# Bound values for variables
blx = [0.0 for j in range(n_utxo)] # x_i
blx.append(0.0) # t
blx.append(0.0) # z_v
bux = [1.0 for j in range(n_utxo)]
bux.append(1.0)
bux.append(Mc)
# Objective coefficients
c = [Su[j] for j in range(n_utxo)]
c.append(beta)
c.append(0.0)
# Below is the sparse representation of the A
# matrix stored by column.
asub = [
[0, 1] for j in range(n_utxo)
]
asub.append([0, 1, 2])
asub.append([1, 2])
aval = [
[Su[j], Vu[j] - alpha * Su[j]] for j in range(n_utxo)
]
aval.append([beta, -alpha * beta, -Mc])
aval.append([-1.0, 1.0])
# numcon and numvar
numcon = len(bkc)
numvar = len(bkx)
assert numvar == n_utxo + 2
assert numcon == 3
# Append 'numcon' empty constraints.
# The constraints will initially have no bounds.
task.appendcons(numcon)
# Append 'numvar' variables.
# The variables will initially be fixed at zero (x=0).
task.appendvars(numvar)
for j in range(numvar):
# Set the linear term c_j in the objective.
task.putcj(j, c[j])
# Set the bounds on variable j
# blx[j] <= x_j <= bux[j]
task.putvarbound(j, bkx[j], blx[j], bux[j])
# Input column j of A
task.putacol(
j, # Variable (column) index.
asub[j], # Row index of non-zeros in column j.
aval[j] # Non-zero Values of column j.
)
task.putconboundlist(range(numcon), bkc, blc, buc)
# Input the objective sense (minimize/maximize)
task.putobjsense(mosek.objsense.minimize)
# Define variables to be integers
task.putvartypelist(
[j for j in range(n_utxo + 1)],
[mosek.variabletype.type_int for j in range(n_utxo + 1)]
)
# Set max solution time
task.putdouparam(mosek.dparam.mio_max_time, 200.0);
# Solve the problem
task.optimize()
# Print a summary containing information
# about the solution for debugging purposes
task.solutionsummary(mosek.streamtype.msg)
prosta = task.getprosta(mosek.soltype.itg)
solsta = task.getsolsta(mosek.soltype.itg)
# Output a solution
xx = [0.] * numvar
task.getxx(mosek.soltype.itg, xx)
if solsta in [mosek.solsta.integer_optimal]:
print("Optimal solution: %s" % xx)
return xx
elif solsta == mosek.solsta.prim_feas:
print("Feasible solution: %s" % xx)
elif mosek.solsta.unknown:
if prosta == mosek.prosta.prim_infeas_or_unbounded:
print("Problem status Infeasible or unbounded.\n")
elif prosta == mosek.prosta.prim_infeas:
print("Problem status Infeasible.\n")
elif prosta == mosek.prosta.unkown:
print("Problem status unkown.\n")
else:
print("Other problem status.\n")
else:
print("Other solution status")
def run(self, *args, **kwargs):
import mosek
import random
# define
CPU = 0
MEM = 1
DISK = 2
TS = 3 # amount of PRI + STD
PRI = 4
STD = 5
WEIGHT = 6
inf = 0.0
# TEMPLATE_DEFINE = [CPU, MEM, DISK, TS, PRI, STD, WEIGHT]
templates_id, templates, server_id, servers = [], [], [], []
re = []
for server_info in kwargs["servers"]:
if server_info[1][0] > 0 and server_info[1][1] > 0 and server_info[
1][2] > 0:
server_id.append(server_info[0])
servers.append(server_info[1])
for template_info in kwargs["templates"]:
if template_info[1][0] > 0 and template_info[1][
1] > 0 and template_info[1][2] > 0:
templates_id.append(template_info[0])
templates.append(template_info[1])
if not templates_id or not server_id:
for i in range(len(templates_id)):
re.append(dict(id=templates_id[i], plan=[]))
return ErrorCode.success, re
# templates_id, templates = [x[0] for x in kwargs["templates"]], [x[1] for x in kwargs["templates"]]
# server_id, servers = [x[0] for x in kwargs["servers"]], [x[1] for x in kwargs["servers"]]
numserver = len(servers)
numtemplate = len(templates)
# c = [x[WEIGHT] for x in templates] * numserver
c = [x[WEIGHT] * (x[CPU] + x[MEM] + x[DISK])
for x in templates] * numserver
# 注意浅拷贝
clause = [
numtemplate * numserver * [0]
for _ in range(3 * numserver + numserver * numtemplate)
]
# set constraints functions
for i in range(numserver):
j = i
clause[j][i * numtemplate:(i * numtemplate + numtemplate)] = [
t[CPU] for t in templates
]
j += numserver
clause[j][i * numtemplate:(i * numtemplate + numtemplate)] = [
t[MEM] for t in templates
]
j += numserver
clause[j][i * numtemplate:(i * numtemplate + numtemplate)] = [
t[DISK] for t in templates
]
j += numserver
for k in range(numtemplate):
for s in range(numserver):
clause[j][s * numtemplate +
k] = (1 - templates[k][TS]) if s == i else 1
j += numserver
# Bound keys for constraints 3 * count(server) + count(template) * count(server) = (3 + 4) * 5
bkc = 3 * numserver * [mosek.boundkey.ra] + numserver * numtemplate * [
mosek.boundkey.lo
]
blc = (3 * numserver + numtemplate * numserver) * [0]
buc = [x[CPU] for x in servers] + [x[MEM] for x in servers] + [x[DISK] for x in servers] \
+ numserver * numtemplate * [+inf]
bkx = numserver * numtemplate * [mosek.boundkey.lo]
blx = numserver * numtemplate * [0]
bux = numserver * numtemplate * [+inf]
# 条件做矩阵转置
clause_T = [[r[col] for r in clause] for col in range(len(clause[0]))]
asub = [[i for i in range(len(col)) if col[i]] for col in clause_T]
aval = [[i for i in col if i] for col in clause_T]
numvar = len(bkx)
numcon = len(bkc)
with mosek.Env() as env:
with env.Task(0, 0) as task:
task.appendcons(numcon)
task.appendvars(numvar)
for j in range(numvar):
task.putcj(j, c[j])
task.putvarbound(j, bkx[j], blx[j], bux[j])
task.putacol(j, asub[j], aval[j])
task.putconboundlist(range(numcon), bkc, blc, buc)
task.putobjsense(mosek.objsense.maximize)
task.putvartypelist([x for x in range(len(c))],
len(c) * [mosek.variabletype.type_int])
task.putdouparam(mosek.dparam.mio_max_time, 60.0)
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
prosta = task.getprosta(mosek.soltype.itg)
solsta = task.getsolsta(mosek.soltype.itg)
xx = [0.] * numvar
task.getxx(mosek.soltype.itg, xx)
# print(xx)
xx = [int(x) for x in xx]
result = [
xx[i:i + numtemplate]
for i in range(0, len(xx), numtemplate)
]
result = [(server_id[r], result[r])
for r in range(len(result))]
for i in range(len(templates_id)):
flag = []
re_by_template = [x[1][i] for x in result]
# if plan exists
init_re = [[] for _ in range((sum(re_by_template) //
templates[i][TS]))]
if init_re:
for r in range(len(init_re)):
for _ in re_by_template:
if max(re_by_template) == 0:
init_re[r].append(-1)
else:
idx = re_by_template.index(
max(re_by_template))
if idx in flag:
for xx in range(len(re_by_template)):
if xx in flag:
continue
else:
if re_by_template[xx] == 0:
continue
else:
idx = xx
break
init_re[r].append(server_id[idx])
re_by_template[idx] -= 1
flag.append(idx)
if len(init_re[r]) == templates[i][TS]:
flag = []
random.shuffle(init_re[r])
random.shuffle(init_re[r])
break
re.append(dict(id=templates_id[i], plan=init_re))
return ErrorCode.success, re
import pyutilib.th as unittest
from pyomo.opt import (TerminationCondition, SolutionStatus, SolverStatus)
import pyomo.environ as pyo
import pyomo.kernel as pmo
import sys
try:
import mosek
mosek_available = True
mosek_version = mosek.Env().getversion()
except ImportError:
mosek_available = False
modek_version = None
diff_tol = 1e-3
@unittest.skipIf(not mosek_available, "MOSEK's python bindings are missing.")
class MOSEKPersistentTests(unittest.TestCase):
def setUp(self):
self.stderr = sys.stderr
sys.stderr = None
def tearDown(self):
sys.stderr = self.stderr
def test_interface_call(self):
interface_instance = type(pyo.SolverFactory('mosek_persistent'))
alt_1 = pyo.SolverFactory('mosek', solver_io='persistent')
def conelp(c, G, h, dims=None, taskfile=None):
"""
Solves a pair of primal and dual SOCPs
minimize c'*x
subject to G*x + s = h
s >= 0
maximize -h'*z
subject to G'*z + c = 0
z >= 0
using MOSEK 8.0.
The inequalities are with respect to a cone C defined as the Cartesian
product of N + M + 1 cones:
C = C_0 x C_1 x .... x C_N x C_{N+1} x ... x C_{N+M}.
The first cone C_0 is the nonnegative orthant of dimension ml.
The next N cones are second order cones of dimension mq[0], ...,
mq[N-1]. The second order cone of dimension m is defined as
{ (u0, u1) in R x R^{m-1} | u0 >= ||u1||_2 }.
The next M cones are positive semidefinite cones of order ms[0], ...,
ms[M-1] >= 0.
The formats of G and h are identical to that used in solvers.conelp().
Input arguments.
c is a dense 'd' matrix of size (n,1).
dims is a dictionary with the dimensions of the components of C.
It has three fields.
- dims['l'] = ml, the dimension of the nonnegative orthant C_0.
(ml >= 0.)
- dims['q'] = mq = [ mq[0], mq[1], ..., mq[N-1] ], a list of N
integers with the dimensions of the second order cones C_1, ...,
C_N. (N >= 0 and mq[k] >= 1.)
- dims['s'] = ms = [ ms[0], ms[1], ..., ms[M-1] ], a list of M
integers with the orders of the semidefinite cones C_{N+1}, ...,
C_{N+M}. (M >= 0 and ms[k] >= 0.)
The default value of dims is {'l': G.size[0], 'q': [], 's': []}.
G is a dense or sparse 'd' matrix of size (K,n), where
K = ml + mq[0] + ... + mq[N-1] + ms[0]**2 + ... + ms[M-1]**2.
Each column of G describes a vector
v = ( v_0, v_1, ..., v_N, vec(v_{N+1}), ..., vec(v_{N+M}) )
in V = R^ml x R^mq[0] x ... x R^mq[N-1] x S^ms[0] x ... x S^ms[M-1]
stored as a column vector
[ v_0; v_1; ...; v_N; vec(v_{N+1}); ...; vec(v_{N+M}) ].
Here, if u is a symmetric matrix of order m, then vec(u) is the
matrix u stored in column major order as a vector of length m**2.
We use BLAS unpacked 'L' storage, i.e., the entries in vec(u)
corresponding to the strictly upper triangular entries of u are
not referenced.
h is a dense 'd' matrix of size (K,1), representing a vector in V,
in the same format as the columns of G.
A is a dense or sparse 'd' matrix of size (p,n). The default value
is a sparse 'd' matrix of size (0,n).
b is a dense 'd' matrix of size (p,1). The default value is a
dense 'd' matrix of size (0,1).
Optionally, the interface can write a .task file, required for
support questions on the MOSEK solver.
Return values
solsta is a MOSEK solution status key.
If solsta is mosek.solsta.optimal,
then (x, zl, zq, zs) contains the primal-dual solution.
If solsta is moseksolsta.prim_infeas_cer,
then (x, zl, zq, zs) is a certificate of dual infeasibility.
If solsta is moseksolsta.dual_infeas_cer,
then (x, zl, zq, zs) is a certificate of primal infeasibility.
If solsta is mosek.solsta.unknown,
then (x, zl, zq, zs) are all None
Other return values for solsta include:
mosek.solsta.dual_feas
mosek.solsta.near_dual_feas
mosek.solsta.near_optimal
mosek.solsta.near_prim_and_dual_feas
mosek.solsta.near_prim_feas
mosek.solsta.prim_and_dual_feas
mosek.solsta.prim_feas
in which case the (x,y,z) value may not be well-defined.
x, z the primal-dual solution.
Options are passed to MOSEK solvers via the msk.options dictionary,
e.g., the following turns off output from the MOSEK solvers
>>> msk.options = {mosek.iparam.log:0}
see the MOSEK Python API manual.
"""
with mosek.Env() as env:
if dims is None:
(solsta, x, y, z) = lp(c, G, h)
return (solsta, x, z, None)
N, n = G.size
ml, mq, ms = dims['l'], dims['q'], [k * k for k in dims['s']]
cdim = ml + sum(mq) + sum(ms)
if cdim is 0: raise ValueError("ml+mq+ms cannot be 0")
# Data for kth 'q' constraint are found in rows indq[k]:indq[k+1] of G.
indq = [dims['l']]
for k in dims['q']:
indq = indq + [indq[-1] + k]
# Data for the kth 's' constraint are found in rows indq[-1] + (inds[k]:inds[k+1]) of G.
inds = [0]
for k in dims['s']:
inds = inds + [inds[-1] + k * k]
if type(h) is not matrix or h.typecode != 'd' or h.size[1] != 1:
raise TypeError("'h' must be a 'd' matrix with 1 column")
if type(G) is matrix or type(G) is spmatrix:
if G.typecode != 'd' or G.size[0] != cdim:
raise TypeError("'G' must be a 'd' matrix with %d rows " %
cdim)
if h.size[0] != cdim:
raise TypeError("'h' must have %d rows" % cdim)
else:
raise TypeError("'G' must be a matrix")
if len(dims['q']) and min(dims['q']) < 1:
raise TypeError("dimensions of quadratic cones must be positive")
if len(dims['s']) and min(dims['s']) < 1:
raise TypeError(
"dimensions of semidefinite cones must be positive")
bkc = n * [mosek.boundkey.fx]
blc = list(-c)
buc = list(-c)
dimx = ml + sum(mq)
bkx = ml * [mosek.boundkey.lo] + sum(mq) * [mosek.boundkey.fr]
blx = ml * [0.0] + sum(mq) * [-inf]
bux = dimx * [+inf]
c = list(-h)
cl, cs = c[:dimx], sparse(c[dimx:])
Gl, Gs = sparse(G[:dimx, :]), sparse(G[dimx:, :])
colptr, asub, acof = Gl.T.CCS
aptrb, aptre = colptr[:-1], colptr[1:]
with env.Task(0, 0) as task:
task.set_Stream(mosek.streamtype.log, streamprinter)
# set MOSEK options
for (param, val) in options.items():
if str(param)[:6] == "iparam":
task.putintparam(param, val)
elif str(param)[:6] == "dparam":
task.putdouparam(param, val)
elif str(param)[:6] == "sparam":
task.putstrparam(param, val)
else:
raise ValueError("invalid MOSEK parameter: " + str(param))
task.inputdata(
n, # number of constraints
dimx, # number of variables
cl, # linear objective coefficients
0.0, # objective fixed value
list(aptrb),
list(aptre),
list(asub),
list(acof),
bkc,
blc,
buc,
bkx,
blx,
bux)
task.putobjsense(mosek.objsense.maximize)
numbarvar = len(dims['s'])
task.appendbarvars(dims['s'])
barcsubj, barcsubk, barcsubl = (inds[-1]) * [0], (
inds[-1]) * [0], (inds[-1]) * [0]
barcval = [-h[indq[-1] + k] for k in range(inds[0], inds[-1])]
for s in range(numbarvar):
for (k, idx) in enumerate(range(inds[s], inds[s + 1])):
barcsubk[idx] = k / dims['s'][s]
barcsubl[idx] = k % dims['s'][s]
barcsubj[idx] = s
# filter out upper triangular part
trilidx = [
idx for idx in range(len(barcsubk))
if barcsubk[idx] >= barcsubl[idx]
]
barcsubj = [barcsubj[k] for k in trilidx]
barcsubk = [barcsubk[k] for k in trilidx]
barcsubl = [barcsubl[k] for k in trilidx]
barcval = [barcval[k] for k in trilidx]
task.putbarcblocktriplet(len(trilidx), barcsubj, barcsubk,
barcsubl, barcval)
Gst = Gs.T
barasubi = len(Gst) * [0]
barasubj = len(Gst) * [0]
barasubk = len(Gst) * [0]
barasubl = len(Gst) * [0]
baraval = len(Gst) * [0.0]
colptr, row, val = Gst.CCS
for s in range(numbarvar):
for j in range(ms[s]):
for idx in range(colptr[inds[s] + j],
colptr[inds[s] + j + 1]):
barasubi[idx] = row[idx]
barasubj[idx] = s
barasubk[idx] = j / dims['s'][s]
barasubl[idx] = j % dims['s'][s]
baraval[idx] = val[idx]
# filter out upper triangular part
trilidx = [
idx for (idx, (k, l)) in enumerate(zip(barasubk, barasubl))
if k >= l
]
barasubi = [barasubi[k] for k in trilidx]
barasubj = [barasubj[k] for k in trilidx]
barasubk = [barasubk[k] for k in trilidx]
barasubl = [barasubl[k] for k in trilidx]
baraval = [baraval[k] for k in trilidx]
task.putbarablocktriplet(len(trilidx), barasubi, barasubj,
barasubk, barasubl, baraval)
for k in range(len(mq)):
task.appendcone(mosek.conetype.quad, 0.0,
range(ml + sum(mq[:k]), ml + sum(mq[:k + 1])))
if taskfile:
task.writetask(taskfile)
task.optimize()
task.solutionsummary(mosek.streamtype.msg)
solsta = task.getsolsta(mosek.soltype.itr)
xu, xl, zq = n * [0.0], n * [0.0], sum(mq) * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.slc, 0, n,
xl)
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.suc, 0, n,
xu)
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.xx, ml,
dimx, zq)
x = matrix(xu) - matrix(xl)
zq = matrix(zq)
for s in range(numbarvar):
xx = (dims['s'][s] * (dims['s'][s] + 1) >> 1) * [0.0]
task.getbarxj(mosek.soltype.itr, s, xx)
xs = matrix(0.0, (dims['s'][s], dims['s'][s]))
idx = 0
for j in range(dims['s'][s]):
for i in range(j, dims['s'][s]):
xs[i, j] = xx[idx]
if i != j:
xs[j, i] = xx[idx]
idx += 1
zq = matrix([zq, xs[:]])
if ml:
zl = ml * [0.0]
task.getsolutionslice(mosek.soltype.itr, mosek.solitem.xx, 0,
ml, zl)
zl = matrix(zl)
else:
zl = matrix(0.0, (0, 1))
if (solsta is mosek.solsta.unknown):
return (solsta, None, None)
else:
return (solsta, x, matrix([zl, zq]))
#########################################################
# Global variables and initialization
def msk_write_log(text):
sys.stdout.write(text)
sys.stdout.flush()
if logfile:
logfile.write(text)
logfile.flush()
def msk_print(text):
msk_write_log(text + '\n')
env = mosek.Env()
task = env.Task()
env.set_Stream(mosek.streamtype.log, msk_write_log)
task.set_Stream(mosek.streamtype.log, msk_write_log)
lastFile = None
logfile = None
welcometext = """
MOSEK Python Console
MOSEK version {0}
Type help for list of commands
Full documentation in the user manual
""".format('.'.join([str(_) for _ in mosek.Env.getversion()]))
helptext = [
('help [command]',
def solve(self, objective, constraints, cached_data, warm_start, verbose,
solver_opts):
"""Returns the result of the call to the solver.
Parameters
----------
objective : LinOp
The canonicalized objective.
constraints : list
The list of canonicalized cosntraints.
cached_data : dict
A map of solver name to cached problem data.
warm_start : bool
Not used.
verbose : bool
Should the solver print output?
solver_opts : dict
Additional arguments for the solver.
Returns
-------
tuple
(status, optimal value, primal, equality dual, inequality dual)
"""
import mosek
env = mosek.Env()
task = env.Task(0, 0)
if verbose:
# Define a stream printer to grab output from MOSEK
def streamprinter(text):
import sys
sys.stdout.write(text)
sys.stdout.flush()
env.set_Stream(mosek.streamtype.log, streamprinter)
task.set_Stream(mosek.streamtype.log, streamprinter)
data = self.get_problem_data(objective, constraints, cached_data)
A = data[s.A]
b = data[s.B]
G = data[s.G]
h = data[s.H]
c = data[s.C]
dims = data[s.DIMS]
# size of problem
numvar = len(c) + sum(dims[s.SOC_DIM])
numcon = len(b) + dims[s.LEQ_DIM] + sum(dims[s.SOC_DIM]) + \
sum([el**2 for el in dims[s.SDP_DIM]])
# otherwise it crashes on empty probl.
if numvar == 0:
result_dict = {s.STATUS: s.OPTIMAL}
result_dict[s.PRIMAL] = []
result_dict[s.VALUE] = 0. + data[s.OFFSET]
result_dict[s.EQ_DUAL] = []
result_dict[s.INEQ_DUAL] = []
return result_dict
# objective
task.appendvars(numvar)
task.putclist(np.arange(len(c)), c)
task.putvarboundlist(np.arange(numvar, dtype=int),
[mosek.boundkey.fr] * numvar, np.zeros(numvar),
np.zeros(numvar))
# SDP variables
if sum(dims[s.SDP_DIM]) > 0:
task.appendbarvars(dims[s.SDP_DIM])
# linear equality and linear inequality constraints
task.appendcons(numcon)
if A.shape[0] and G.shape[0]:
constraints_matrix = sp.bmat([[A], [G]])
else:
constraints_matrix = A if A.shape[0] else G
coefficients = np.concatenate([b, h])
row, col, el = sp.find(constraints_matrix)
task.putaijlist(row, col, el)
type_constraint = [mosek.boundkey.fx] * len(b)
type_constraint += [mosek.boundkey.up] * dims[s.LEQ_DIM]
type_constraint += [mosek.boundkey.fx] * (sum(dims[s.SOC_DIM])+ \
sum([el**2 for el in dims[s.SDP_DIM]]))
task.putconboundlist(np.arange(numcon, dtype=int), type_constraint,
coefficients, coefficients)
# cones
current_var_index = len(c)
current_con_index = len(b) + dims[s.LEQ_DIM]
for size_cone in dims[s.SOC_DIM]:
row, col, el = sp.find(sp.eye(size_cone))
row += current_con_index
col += current_var_index
task.putaijlist(row, col, el) # add a identity for each cone
# add a cone constraint
task.appendcone(
mosek.conetype.quad,
0.0, #unused
np.arange(current_var_index, current_var_index + size_cone))
current_con_index += size_cone
current_var_index += size_cone
#SDP
for num_sdp_var, size_matrix in enumerate(dims[s.SDP_DIM]):
for i_sdp_matrix in range(size_matrix):
for j_sdp_matrix in range(size_matrix):
task.putbaraij(current_con_index, num_sdp_var, [
task.appendsparsesymmat(
size_matrix, [max(i_sdp_matrix, j_sdp_matrix)],
[min(i_sdp_matrix, j_sdp_matrix)],
[1. if (i_sdp_matrix == j_sdp_matrix) else .5])
], [1.0])
current_con_index += 1
# solve
task.putobjsense(mosek.objsense.minimize)
task.optimize()
if verbose:
task.solutionsummary(mosek.streamtype.msg)
return self.format_results(task, data, cached_data)