#ifndef IGL_MOSEK_QUADPROG_H #define IGL_MOSEK_QUADPROG_H #include "../igl_inline.h" #include #define EIGEN_YES_I_KNOW_SPARSE_MODULE_IS_NOT_STABLE_YET #include #include namespace igl { struct MosekData { }; // Solve a convex quadratic optimization problem with linear and constant // bounds, that is: // // Minimize: ½ * xT * Q⁰ * x + cT * x + cf // // Subject to: lc ≤ Ax ≤ uc // lx ≤ x ≤ ux // // where we are trying to find the optimal vector of values x. // // Note: Q⁰ must be symmetric and the ½ is a convention of MOSEK // // Note: Because of how MOSEK accepts different parts of the system, Q should // be stored in IJV (aka Coordinate) format and should only include entries in // the lower triangle. A should be stored in Column compressed (aka Harwell // Boeing) format. As described: // http://netlib.org/linalg/html_templates/node92.html // or // http://en.wikipedia.org/wiki/Sparse_matrix // #Compressed_sparse_column_.28CSC_or_CCS.29 // // // Templates: // Index type for index variables // Scalar type for floating point variables (gets cast to double?) // Input: // n number of variables, i.e. size of x // Qi vector of qnnz row indices of non-zeros in LOWER TRIANGLE ONLY of Q⁰ // Qj vector of qnnz column indices of non-zeros in LOWER TRIANGLE ONLY of // Q⁰ // Qv vector of qnnz values of non-zeros in LOWER TRIANGLE ONLY of Q⁰, // such that: // Q⁰(Qi[k],Qj[k]) = Qv[k] for k ∈ [0,Qnnz-1], where Qnnz is the number of // non-zeros in Q⁰ // c (optional) vector of n values of c, transpose of coefficient row vector // of linear terms, EMPTY means c == 0 // cf (optional) value of constant term in objective, 0 means cf == 0, so // optional only in the sense that it is mandatory // m number of constraints, therefore also number of rows in linear // constraint coefficient matrix A, and in linear constraint bound vectors // lc and uc // Av vector of non-zero values of A, in column compressed order // Ari vector of row indices corresponding to non-zero values of A, // Acp vector of indices into Ari and Av of the first entry for each column // of A, size(Acp) = (# columns of A) + 1 = n + 1 // lc vector of m linear constraint lower bounds // uc vector of m linear constraint upper bounds // lx vector of n constant lower bounds // ux vector of n constant upper bounds // Output: // x vector of size n to hold output of optimization // Return: // true only if optimization was successful with no errors // // Note: All indices are 0-based // template IGL_INLINE bool mosek_quadprog( const Index n, /* mosek won't allow this to be const*/ std::vector & Qi, /* mosek won't allow this to be const*/ std::vector & Qj, /* mosek won't allow this to be const*/ std::vector & Qv, const std::vector & c, const Scalar cf, const Index m, /* mosek won't allow this to be const*/ std::vector & Ari, /* mosek won't allow this to be const*/ std::vector & Ari, const std::vector & Acp, const std::vector & lc, const std::vector & uc, const std::vector & lx, const std::vector & ux, MosekData & mosek_data, std::vector & x); // Wrapper with Eigen elements //// Templates: //// Scalar Scalar type for sparse matrix (e.g. double) //// Derived dervied type from matrix/vector (e.g. VectorXd) IGL_INLINE bool mosek_quadprog( const Eigen::SparseMatrix & Q, const Eigen::VectorXd & c, const double cf, const Eigen::SparseMatrix & A, const Eigen::VectorXd & lc, const Eigen::VectorXd & uc, const Eigen::VectorXd & lx, const Eigen::VectorXd & ux, MosekData & mosek_data, Eigen::VectorXd & x); } #ifdef IGL_HEADER_ONLY # include "mosek_quadprog.cpp" #endif #endif