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MosekLPQCQPInterface.jl
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MosekLPQCQPInterface.jl
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using SparseArrays
mutable struct MosekLinearQuadraticModel <: MathProgBase.AbstractLinearQuadraticModel
task :: Mosek.MSKtask
binvarflags:: Vector{Bool}
# NOTE: bkx/blx/bux are the bound on the variable in the
# continuous problem. Setting a variable to :Bin, will not change
# these. Setting :Cont or :Int on a :Bin variable will effectively
# revert to the original bounds.
numvar :: Int
numcon :: Int
bkx :: Vector{Mosek.Boundkey}
blx :: Vector{Float64}
bux :: Vector{Float64}
bkc :: Vector{Mosek.Boundkey}
blc :: Vector{Float64}
buc :: Vector{Float64}
lincon :: Vector{Int32}
quadcon :: Vector{Int32}
lasttrm :: Mosek.Rescode
options
end
mutable struct CallbackData
d::MathProgBase.AbstractNLPEvaluator
numVar::Int
numConstr::Int
Ihess::Vector{Int32}
Jhess::Vector{Int32}
jac_colval::Vector{Int32} # Compressed sparse row form of Jacobian sparsity
jac_rowstarts::Vector{Int32}
jac_nzval::Vector{Float64} # storage for full jacobian (mosek may ask for a subset)
jac_nnz_original::Int # nnz in NLP evaluator jacobian == length(Ijac)
jac_idxmap::Vector{Int} # map from indices in NLP evaluator jacobian to mosek jacobian
J_tmp::Vector{Float64} # storage for NLP evaluator jacobian
g_tmp::Vector{Float64} # storage for constraint values
end
mutable struct MosekNonlinearModel <: MathProgBase.AbstractLinearQuadraticModel
m :: MosekLinearQuadraticModel
nlhandle :: Union{Nothing,CallbackData}
end
function MathProgBase.LinearQuadraticModel(s::Mosek.MosekSolver)
r = MosekLinearQuadraticModel(Mosek.maketask(),
Bool[],
0,
0,
Int32[],
Float64[],
Float64[],
Int32[],
Float64[],
Float64[],
Int32[],
Int32[],
Mosek.MSK_RES_OK,
s.options)
loadoptions!(r)
r
end
##############################################################
## Linear
##############################################################
function MathProgBase.loadproblem!(m::MosekLinearQuadraticModel,
A,
collb :: Vector{T1},
colub :: Vector{T2},
obj :: Vector{T3},
rowlb :: Vector{T4},
rowub :: Vector{T5},
sense:: Symbol) where {T1,T2,T3,T4,T5}
MathProgBase.loadproblem!(m,
convert(SparseMatrixCSC{Float64,Int},A),
convert(Vector{Float64},collb),
convert(Vector{Float64},colub),
convert(Vector{Float64},obj),
convert(Vector{Float64},rowlb),
convert(Vector{Float64},rowub),
sense)
end
function MathProgBase.loadproblem!(m::MosekLinearQuadraticModel,
A:: SparseMatrixCSC{Float64,Int},
collb:: Vector{Float64},
colub:: Vector{Float64},
obj:: Vector{Float64},
rowlb:: Vector{Float64},
rowub:: Vector{Float64},
sense:: Symbol)
Mosek.resizetask(m.task,0,0,0,0,0);
nrows,ncols = size(A)
if ncols != length(collb) ||
ncols != length(colub) ||
ncols != size(obj,1) ||
nrows != length(rowlb) ||
nrows != length(rowub) ||
ncols != length(obj)
throw(MosekMathProgModelError("Inconsistent data dimensions"))
end
Mosek.appendvars(m.task,ncols)
Mosek.appendcons(m.task,nrows)
(m.bkx,m.blx,m.bux) = makebounds(collb,colub)
(m.bkc,m.blc,m.buc) = makebounds(rowlb,rowub)
m.numvar = length(m.bkx)
m.numcon = length(m.bkc)
m.lincon = Int32[1:nrows;]
m.quadcon = Int32[]
m.binvarflags = fill(false,m.numvar)
# input coefficients
Mosek.putclist(m.task, Int32[1:ncols;], obj)
Mosek.putacolslice(m.task, Int32(1), Int32(ncols+1), A.colptr[1:ncols], A.colptr[2:ncols+1], A.rowval, A.nzval)
MathProgBase.setsense!(m, sense)
# input bounds
Mosek.putvarboundslice(m.task, Int32(1), Int32(ncols+1), m.bkx, m.blx, m.bux)
Mosek.putconboundslice(m.task, Int32(1), Int32(nrows+1), m.bkc, m.blc, m.buc)
m
end
function MathProgBase.loadproblem!(m::MosekLinearQuadraticModel,
filename:: AbstractString)
tmptask = Mosek.maketask()
try
readdata(tmptask, filename)
if Mosek.getnumcone(tmptask) > 0 ||
Mosek.getnumbarvar(tmptask) > 0
throw(MosekMathProgModelError("Not a linear/quadratic model"))
end
numcon = Mosek.getnumcon(tmptask)
numvar = Mosek.getnumvar(tmptask)
bkx,blx,bux = Mosek.getvarboundslice(tmptask,Int32(1),Int32(numvar+1))
bkc,blc,buc = Mosek.getconboundslice(tmptask,Int32(1),Int32(numcon+1))
vts = Mosek.getvartypelist(tmptask,Int32[1:numvar])
binflags = Bool[ (vts[i] == Mosek.MSK_VARIABLE_TYPE_INT &&
bkx[i] == Mosek.MSK_BK_RA &&
abs(blx[i]) < 1e-8 &&
abs(bux[i]-1.0) < 1e-8)
for i in 1:numvar ]
lincon = findall(i -> Mosek.getnumqconknz(m.task,i) == 0, 1:numcon)
quadcon = findall(i -> Mosek.getnumqconknz(m.task,i) > 0, 1:numcon)
Mosek.deletetask(m.task)
m.task = tmptask
m.binvaflags = binflags
m.bkx = bkx
m.blx = blx
m.bux = bux
m.bkc = bkc
m.blc = blc
m.buc = buc
m.numvar = lenght(bkx)
m.numcon = length(bkc)
m.lincon = lincon
m.quadcon = quadcon
catch
Mosek.deletetask(tmptask)
rethrow()
end
m
end
function loadoptions!(m::MosekLinearQuadraticModel)
loadoptions_internal!(m.task, m.options)
end
function MathProgBase.writeproblem(m::MosekLinearQuadraticModel, filename::AbstractString)
Mosek.putintparam(m.task,Mosek.MSK_IPAR_OPF_WRITE_SOLUTIONS, Mosek.MSK_ON)
Mosek.writedata(m.task,filename)
end
function MathProgBase.getvarLB(m::MosekLinearQuadraticModel)
bk,bl,bu = Mosek.getvarboundslice(m.task,Int32(1),Int32(m.numvar+1))
for i in 1:length(bk)
if bk[i] == Mosek.MSK_BK_FR || bk[i] == Mosek.MSK_BK_UP
bl[i] = -Inf
end
end
bl
end
function MathProgBase.getvarUB(m::MosekLinearQuadraticModel)
bk,bl,bu = Mosek.getvarboundslice(m.task,Int32(1),Int32(m.numvar+1))
for i in 1:length(bk)
if bk[i] == Mosek.MSK_BK_FR || bk[i] == Mosek.MSK_BK_LO
bu[i] = Inf
end
end
bu
end
function MathProgBase.getconstrLB(m::MosekLinearQuadraticModel)
bk,bl,bu = Mosek.getconboundslice(m.task,1,m.numcon+1)
for i in 1:length(bk)
if bk[i] == Mosek.MSK_BK_FR || bk[i] == Mosek.MSK_BK_UP
bl[i] = -Inf
end
end
bl
end
function MathProgBase.getconstrUB(m::MosekLinearQuadraticModel)
bk,bl,bu = Mosek.getconboundslice(m.task,1,m.numcon+1)
for i in 1:length(bk)
if bk[i] == Mosek.MSK_BK_FR || bk[i] == Mosek.MSK_BK_LO
bu[i] = Inf
end
end
bu
end
MathProgBase.setvarLB!(m::MosekLinearQuadraticModel, bnd::Vector{T}) where T = MathProgBase.setvarLB!(m,convert(Vector{Float64},bnd))
function MathProgBase.setvarLB!(m::MosekLinearQuadraticModel, bnd::Vector{Float64})
n = min(length(bnd),m.numvar)
for i in 1:n
if bnd[i] > -Inf
if m.bux[i] < Inf
if abs(bnd[i]-m.bux[i]) < 1e-8
m.bkx[i] = Mosek.MSK_BK_FX
m.blx[i] = m.bux[i]
m.bux[i] = m.bux[i]
else
m.bkx[i] = Mosek.MSK_BK_RA
m.blx[i] = bnd[i]
end
else # bux[i] == Inf
m.bkx[i] = Mosek.MSK_BK_LO
m.blx[i] = bnd[i]
end
else # bnd[i] == -Inf
if m.bux[i] < Inf
m.bkx[i] = Mosek.MSK_BK_UP
else
m.bkx[i] = Mosek.MSK_BK_FR
end
m.blx[i] = -Inf
end
end
Mosek.putvarboundslice(m.task,1,n+1,m.bkx,m.blx,m.bux)
if any(m.binvarflags)
idxs = convert(Vector{Int32},findall(v->v, m.binvarflags))
bkx = Mosek.Boundkey[ Mosek.MSK_BK_RA for i in 1:length(idxs)]
blx = Float64[ max(m.blx[i],0.0) for i in idxs ]
bux = Float64[ min(m.bux[i],1.0) for i in idxs ]
Mosek.putvarboundlist(m.task,idxs, bkx,blx,bux)
end
nothing
end
MathProgBase.setvarUB!(m::MosekLinearQuadraticModel, bnd::Vector{T}) where T = MathProgBase.setvarUB!(m,convert(Vector{Float64},bnd))
function MathProgBase.setvarUB!(m::MosekLinearQuadraticModel, bnd::Vector{Float64})
n = min(length(bnd),m.numvar)
for i in 1:n
if bnd[i] < Inf
if m.blx[i] > -Inf
if abs(bnd[i]-m.blx[i]) < 1e-8
m.bkx[i] = Mosek.MSK_BK_FX
m.blx[i] = m.blx[i]
m.bux[i] = m.blx[i]
else
m.bkx[i] = Mosek.MSK_BK_RA
m.bux[i] = bnd[i]
end
else # blx[i] == -Inf
m.bkx[i] = Mosek.MSK_BK_UP
m.bux[i] = bnd[i]
end
else # bnd[i] == Inf
if m.blx[i] > -Inf
m.bkx[i] = Mosek.MSK_BK_LO
else
m.bkx[i] = Mosek.MSK_BK_FR
end
m.bux[i] = Inf
end
end
Mosek.putvarboundslice(m.task,1,n+1,m.bkx,m.blx,m.bux)
if any(m.binvarflags)
idxs = convert(Vector{Int32},findall(v->v, m.binvarflags))
bkx = Mosek.Boundkey[ Mosek.MSK_BK_RA for i in 1:length(idxs)]
blx = Float64[ max(m.blx[i],0.0) for i in idxs ]
bux = Float64[ min(m.bux[i],1.0) for i in idxs ]
Mosek.putvarboundlist(m.task,idxs, bkx,blx,bux)
end
nothing
end
MathProgBase.setconstrLB!(m::MosekLinearQuadraticModel, bnd::Vector{T}) where T = MathProgBase.setconstrLB!(m,convert(Vector{Float64},bnd))
function MathProgBase.setconstrLB!(m::MosekLinearQuadraticModel, bnd::Vector{Float64})
n = min(length(bnd),length(m.lincon))
for i in 1:n
bk = m.bkc[m.lincon[i]]
if bnd[i] > -Inf
if bk == Mosek.MSK_BK_UP || bk == Mosek.MSK_BK_RA || bk == Mosek.MSK_BK_FX
if abs(bnd[i]-m.buc[m.lincon[i]]) < 1e-8
m.bkc[m.lincon[i]] = Mosek.MSK_BK_FX
m.blc[m.lincon[i]] = m.buc[m.lincon[i]]
m.buc[m.lincon[i]] = m.buc[m.lincon[i]]
else
m.bkc[m.lincon[i]] = Mosek.MSK_BK_RA
m.blc[m.lincon[i]] = bnd[i]
end
else # buc[m.lincon[i]] == Inf
m.bkc[m.lincon[i]] = Mosek.MSK_BK_LO
m.blc[m.lincon[i]] = bnd[i]
end
else # bnd[m.lincon[i]] == -Inf
if bk == Mosek.MSK_BK_UP || bk == Mosek.MSK_BK_RA || bk == Mosek.MSK_BK_FX
m.bkc[m.lincon[i]] = Mosek.MSK_BK_UP
else
m.bkc[m.lincon[i]] = Mosek.MSK_BK_FR
end
m.blc[m.lincon[i]] = -Inf
end
end
Mosek.putconboundslice(m.task,Int32(1),Int32(m.numcon+1),m.bkc,m.blc,m.buc)
nothing
end
MathProgBase.setconstrUB!(m::MosekLinearQuadraticModel, bnd::Vector{T}) where T = MathProgBase.setconstrUB!(m,convert(Vector{Float64},bnd))
function MathProgBase.setconstrUB!(m::MosekLinearQuadraticModel, bnd::Vector{Float64})
n = min(length(bnd),m.numcon)
for i in 1:n
bk = m.bkc[m.lincon[i]]
if bnd[i] < Inf
if bk == Mosek.MSK_BK_LO || bk == Mosek.MSK_BK_RA || bk == Mosek.MSK_BK_FX
if abs(bnd[i]-m.blc[m.lincon[i]]) < 1e-8
m.bkc[m.lincon[i]] = Mosek.MSK_BK_FX
m.buc[m.lincon[i]] = m.blc[m.lincon[i]]
else
m.bkc[m.lincon[i]] = Mosek.MSK_BK_RA
m.buc[m.lincon[i]] = bnd[i]
end
else # blc[i] == -Inf
m.bkc[m.lincon[i]] = Mosek.MSK_BK_UP
m.buc[m.lincon[i]] = bnd[i]
end
else # bnd[i] == Inf
if bk == Mosek.MSK_BK_LO || bk == Mosek.MSK_BK_RA || bk == Mosek.MSK_BK_FX
m.bkc[m.lincon[i]] = Mosek.MSK_BK_LO
else
m.bkc[m.lincon[i]] = Mosek.MSK_BK_FR
end
m.buc[m.lincon[i]] = Inf
end
end
Mosek.putconboundslice(m.task,Int32(1),Int32(m.numcon+1),m.bkc,m.blc,m.buc)
nothing
end
function MathProgBase.getobj(m::MosekLinearQuadraticModel)
Mosek.getcslice(m.task,1,m.numvar+1)
end
MathProgBase.setobj!(m::MosekLinearQuadraticModel, c::Vector{T}) where T = MathProgBase.setobj!(m,convert(Vector{Float64},c))
function MathProgBase.setobj!(m::MosekLinearQuadraticModel, c :: Vector{Float64})
n = min(length(c),m.numvar)
Mosek.putclist(m.task,Int32[1:n;],c[1:n])
end
function MathProgBase.getconstrmatrix(m::MosekLinearQuadraticModel)
#numnz = Mosek.getaslicenumnz(m.task, MSK_ACC_VAR, 1,m.numcon+1)
(ptrb,ptre,asubj,aval) = Mosek.getaslice(m.task, Mosek.MSK_ACC_CON,1,m.numcon+1)
numnz = length(asubj)
asubi = Vector{Int32}(undef,numnz)
for i in 1:m.numcon
asubi[ptrb[i]:ptre[i]-1] .= Int32(i)
end
sparse(asubi,asubj,aval,m.numcon,m.numvar)
end
MathProgBase.addvar!(m::MosekLinearQuadraticModel, bl, bu, c) = MathProgBase.addvar!(m,convert(Float64,bl),convert(Float64,bu),convert(Float64,c))
function MathProgBase.addvar!(m::MosekLinearQuadraticModel,
bl ::Float64,
bu ::Float64,
c ::Float64)
m.numvar += 1
if bl > -Inf
if bu < Inf
if abs(bl-bu) < 1e-8
push!(m.bkx,Mosek.MSK_BK_FX)
push!(m.blx,bl)
push!(m.bux,bl)
else
push!(m.bkx,Mosek.MSK_BK_RA)
push!(m.blx,bl)
push!(m.bux,bu)
end
else
push!(m.bkx,Mosek.MSK_BK_LO)
push!(m.blx,bl)
push!(m.bux,Inf)
end
else
if bu < Inf
push!(m.bkx,Mosek.MSK_BK_UP)
push!(m.blx,-Inf)
push!(m.bux,bu)
else
push!(m.bkx,Mosek.MSK_BK_FR)
push!(m.blx,-Inf)
push!(m.bux,Inf)
end
end
Mosek.appendvars(m.task,1);
Mosek.putvarbound(m.task,m.numvar,m.bkx[m.numvar],m.blx[m.numvar],m.bux[m.numvar])
Mosek.putcj(m.task,m.numvar,c)
push!(m.binvarflags,false)
end
MathProgBase.addvar!(m::MosekLinearQuadraticModel,
subi::Vector{T1},
val ::Vector{T2},
bl ::T3,
bu ::T4,
c ::T5) where {T1,T2,T3,T4,T5} =
MathProgBase.addvar!(m,convert(Vector{Int32},subi),convert(Vector{Float64},val),convert(Float64,bl),convert(Float64,bu),convert(Float64,c))
function MathProgBase.addvar!(m::MosekLinearQuadraticModel,
subi::Vector{Int32},
val ::Vector{Float64},
bl ::Float64,
bu ::Float64,
c ::Float64)
MathProgBase.addvar!(m,bl,bu,c)
Mosek.putacol(m.task,m.numvar,subi,val)
end
MathProgBase.addconstr!(m::MosekLinearQuadraticModel,
subj::Vector{T1},
val ::Vector{T2},
bl ::T3,
bu ::T4) where {T1,T2,T3,T4} =
MathProgBase.addconstr!(m,convert(Vector{Int32},subj),convert(Vector{Float64},val),convert(Float64,bl),convert(Float64,bu))
function MathProgBase.addconstr!(m::MosekLinearQuadraticModel,
subj::Vector{Int32},
val ::Vector{Float64},
bl ::Float64,
bu ::Float64)
m.numcon += 1
push!(m.lincon,m.numcon)
if bl > -Inf
if bu < Inf
if abs(bl-bu) < 1e-8
push!(m.bkc,Mosek.MSK_BK_FX)
push!(m.blc,bl)
push!(m.buc,bl)
else
push!(m.bkc,Mosek.MSK_BK_RA)
push!(m.blc,bl)
push!(m.buc,bu)
end
else
push!(m.bkc,Mosek.MSK_BK_LO)
push!(m.blc,bl)
push!(m.buc,Inf)
end
else
if bu < Inf
push!(m.bkc,Mosek.MSK_BK_UP)
push!(m.blc,-Inf)
push!(m.buc,bu)
else
push!(m.bkc,Mosek.MSK_BK_FR)
push!(m.blc,-Inf)
push!(m.buc,Inf)
end
end
Mosek.appendcons(m.task,1);
Mosek.putconbound(m.task,m.numcon,m.bkc[m.numcon],m.blc[m.numcon],m.buc[m.numcon])
Mosek.putarow(m.task,m.numcon,subj,val)
end
MathProgBase.numlinconstr(m::MosekLinearQuadraticModel) = length(m.lincon)
MathProgBase.getobjval(m::MosekLinearQuadraticModel) = getobjval(m.task)
function MathProgBase.getsolution(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
solsta = Mosek.getsolsta(m.task,sol)
if solsta in [Mosek.MSK_SOL_STA_OPTIMAL,
Mosek.MSK_SOL_STA_PRIM_FEAS,
Mosek.MSK_SOL_STA_PRIM_AND_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_OPTIMAL,
Mosek.MSK_SOL_STA_NEAR_PRIM_FEAS,
Mosek.MSK_SOL_STA_NEAR_PRIM_AND_DUAL_FEAS,
Mosek.MSK_SOL_STA_INTEGER_OPTIMAL,
Mosek.MSK_SOL_STA_NEAR_INTEGER_OPTIMAL ]
Mosek.getxx(m.task,sol)
else
throw(MosekMathProgModelError("No solution available"))
end
end
function MathProgBase.getconstrsolution(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
Mosek.getxc(m.task,sol)[m.lincon]
end
function MathProgBase.getreducedcosts(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
solsta = Mosek.getsolsta(m.task,sol)
if solsta in [Mosek.MSK_SOL_STA_OPTIMAL,
Mosek.MSK_SOL_STA_DUAL_FEAS,
Mosek.MSK_SOL_STA_PRIM_AND_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_OPTIMAL,
Mosek.MSK_SOL_STA_NEAR_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_PRIM_AND_DUAL_FEAS ]
Mosek.getslx(m.task,sol) - Mosek.getsux(m.task,sol)
else
throw(MosekMathProgModelError("No solution available"))
end
end
function MathProgBase.getconstrduals(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
if sol == Mosek.MSK_SOL_ITG
throw(Mosek.MosekMathProgModelError("Solution not available"))
end
solsta = Mosek.getsolsta(m.task,sol)
if solsta in [Mosek.MSK_SOL_STA_OPTIMAL,
Mosek.MSK_SOL_STA_DUAL_FEAS,
Mosek.MSK_SOL_STA_PRIM_AND_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_OPTIMAL,
Mosek.MSK_SOL_STA_NEAR_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_PRIM_AND_DUAL_FEAS ]
Mosek.gety(m.task,sol)[m.lincon]
else
throw(MosekMathProgModelError("Solution not available"))
end
end
function MathProgBase.getbasis(m::MosekLinearQuadraticModel)
if ! Mosek.solutiondef(m.task,Mosek.MSK_SOL_BAS)
throw(Mosek.MosekMathProgModelError("Basis not available"))
end
sol = Mosek.MSK_SOL_BAS
skx = Mosek.getskx(m.task,sol)
skc = Mosek.getskc(m.task,sol)
cbasis = [if skx[i] == Mosek.MSK_SK_BAS :Basic
elseif skx[i] == Mosek.MSK_SK_LO :NonBasicAtLower
elseif skx[i] == Mosek.MSK_SK_UP :NonBasicAtUpper
elseif skx[i] == Mosek.MSK_SK_FX :NonBasicAtLower # or upper. Doesn't matter.
else :SuperBasic
end
for i in 1:m.numvar ]
rbasis = [if skc[i] == Mosek.MSK_SK_BAS :Basic
elseif skc[i] == Mosek.MSK_SK_LO :NonBasicAtLower
elseif skc[i] == Mosek.MSK_SK_UP :NonBasicAtUpper
elseif skc[i] == Mosek.MSK_SK_FX :NonBasicAtLower # or upper. Doesn't matter.
else :SuperBasic
end
for i in m.lincon]
cbasis,rbasis
end
function MathProgBase.getunboundedray(m::MosekLinearQuadraticModel)
soldef = getsoldef(m.task)
solsta = Mosek.getsolsta(m.task,soldef)
if solsta in [ Mosek.MSK_SOL_STA_DUAL_INFEAS_CER, Mosek.MSK_SOL_STA_NEAR_DUAL_INFEAS_CER ]
Mosek.getxx(m.task,soldef)
else
throw(MosekMathProgModelError("No ray available"))
end
end
function MathProgBase.getinfeasibilityray(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
solsta = Mosek.getsolsta(m.task,sol)
if solsta in [ Mosek.MSK_SOL_STA_PRIM_INFEAS_CER, Mosek.MSK_SOL_STA_NEAR_PRIM_INFEAS_CER ]
Mosek.getslc(m.task,sol) - Mosek.getsuc(m.task,sol)
else
throw(MosekMathProgModelError("No ray available"))
end
end
MathProgBase.getrawsolver(m::MosekLinearQuadraticModel) = m.task
MathProgBase.getsimplexiter(m::MosekLinearQuadraticModel) = Mosek.getintinf(m.task,Mosek.MSK_IINFITEM_SIM_PRIMAL_ITER)+Mosek.getintinf(m.task,Mosek.MSK_IINFITEM_SIM_DUAL_ITER)+Mosek.getintinf(m.task,Mosek.MSK_IINFITEM_SIM_PRIMAL_DUAL_ITER)
MathProgBase.getbarrieriter(m::MosekLinearQuadraticModel) = Mosek.getintinf(m.task,Mosek.MSK_IINFITEM_SIM_INTPNT_ITER)
MathProgBase.setwarmstart!(m::MosekLinearQuadraticModel, v::Vector{T}) where T = MathProgBase.setwarmstart!(m,convert(Vector{Float64},v))
function MathProgBase.setwarmstart!(m::MosekLinearQuadraticModel, v::Vector{Float64})
n = min(m.numvar,length(v))
vals = Vector{Float64}(undef,n)
vals[:] = v[1:n]
nanidxs = findall(isnan,vals)
vals[nanidxs] .= 0.0
skx = Mosek.Stakey[ if isnan(vals[i]) Mosek.MSK_SK_UNK else Mosek.MSK_SK_BAS end for i in 1:n ]
Mosek.putxxslice(m.task,Mosek.MSK_SOL_BAS,1,n+1,vals);
Mosek.putskxslice(m.task,Mosek.MSK_SOL_BAS,1,n+1,skx);
end
function MathProgBase.optimize!(m::MosekLinearQuadraticModel)
try
m.lasttrm = Mosek.optimize(m.task)
Mosek.solutionsummary(m.task,Mosek.MSK_STREAM_LOG)
catch err
if isa(err,Mosek.MosekError)
m.lasttrm = Mosek.Rescode(err.rcode)
else
rethrow()
end
end
end
MathProgBase.status(m::MosekLinearQuadraticModel) = status(m.task,m.lasttrm)
MathProgBase.getobjbound(m::MosekLinearQuadraticModel) = Mosek.getdouinf(m.task,Mosek.MSK_DINF_MIO_OBJ_BOUND)
MathProgBase.getobjgap(m::MosekLinearQuadraticModel) = getobjgap(m.task)
MathProgBase.getsolvetime(m::MosekLinearQuadraticModel) = Mosek.getdouinf(m.task,Mosek.MSK_DINF_OPTIMIZER_TIME)
MathProgBase.getsense(m::MosekLinearQuadraticModel) = getsense(m.task)
MathProgBase.setsense!(m::MosekLinearQuadraticModel,sense) = setsense!(m.task,sense)
function MathProgBase.freemodel!(m::MosekLinearQuadraticModel)
Mosek.deletetask(m.task)
nothing
end
MathProgBase.numvar(m::MosekLinearQuadraticModel) = m.numvar
MathProgBase.numconstr(m::MosekLinearQuadraticModel) = length(m.lincon)
function MathProgBase.setvartype!(m::MosekLinearQuadraticModel,vtvec::Vector{Symbol})
n = min(m.numvar,length(vtvec))
if n > 0
vts = Mosek.Variabletype[if vt == :Cont Mosek.MSK_VAR_TYPE_CONT
elseif vt == :Int Mosek.MSK_VAR_TYPE_INT
elseif vt == :Bin Mosek.MSK_VAR_TYPE_INT
else Mosek.MSK_VAR_TYPE_CONT
end
for vt in vtvec[1:n]]
Mosek.putvartypelist(m.task,Int32[1:n;],vts)
for i in findall(vt -> vt == :Bin, vtvec[1:n])
bl = max(m.blx[i],0.0)
bu = min(m.bux[i],1.0)
Mosek.putvarbound(m.task,i,Mosek.MSK_BK_RA,bl,bu)
end
# for all :Bin vars being changed to :Int or :Cont, restore original bounds
for i in findall(i -> (vtvec[i] == :Cont || vtvec[i] == :Int) && m.binvarflags[i], 1:n)
Mosek.putvarbound(m.task,i,m.bkx[i],m.blx[i],m.bux[i])
end
for i in 1:n
m.binvarflags[i] = vtvec[i] == :Bin
end
end
end
function MathProgBase.getvartype(m::MosekLinearQuadraticModel)
mskvt = Mosek.getvartypelist(m.task,Int32[1:m.numvar;])
[if mskvt[i] == Mosek.MSK_VAR_TYPE_INT
if m.binvarflags[i]
:Bin
else
:Int
end
else
:Cont
end
for i in 1:m.numvar]
end
##############################################################
## Integer Programming
##############################################################
MathProgBase.getnodecount(m::MosekLinearQuadraticModel) = 0
##############################################################
## Quadratic
##############################################################
MathProgBase.numquadconstr(m::MosekLinearQuadraticModel) = length(m.quadcon)
MathProgBase.setquadobj!(m::MosekLinearQuadraticModel,subi,subj,valij) = MathProgBase.setquadobj!(m,convert(Vector{Int32},subi),convert(Vector{Int32},subj),convert(Vector{Float64},valij))
# NOTE on data format: The matrix is specified by inputting only lower
# or upper triangular part. This means that whenever element (i,j) is
# added, (j,i) is implicitly added. Duplicates are added together
function MathProgBase.setquadobj!(m::MosekLinearQuadraticModel,
subi :: Vector{Int32},
subj :: Vector{Int32},
valij :: Vector{Float64})
n = length(subi)
let qsubi = subi[:],
qsubj = subj[:]
for i in 1:n
if qsubi[i] < qsubj[i]
tmp = qsubi[i]
qsubi[i] = qsubj[i]
qsubj[i] = tmp
end
end
Mosek.putqobj(m.task,qsubi,qsubj,valij)
end
end
function MathProgBase.addquadconstr!(m :: MosekLinearQuadraticModel,
subj,
valj,
qsubi,
qsubj,
qvalij,
sense :: Char,
bnd)
MathProgBase.addquadconstr!(m,
convert(Vector{Int32},subj),
convert(Vector{Float64},valj),
convert(Vector{Int32},qsubi),
convert(Vector{Int32},qsubj),
convert(Vector{Float64},qvalij),
sense,
convert(Float64,bnd))
end
function MathProgBase.addquadconstr!(m :: MosekLinearQuadraticModel,
subj :: Vector{Int32},
valj :: Vector{Float64},
qsubi :: Vector{Int32},
qsubj :: Vector{Int32},
qvalij :: Vector{Float64},
sense :: Char,
bnd :: Float64)
if sense == '<'
push!(m.bkc,Mosek.MSK_BK_UP)
elseif sense == '>'
push!(m.bkc,Mosek.MSK_BK_LO)
else
throw(MosekMathProgSolverInterface.MosekMathProgModelError("Invalid sense"))
end
m.numcon += 1
push!(m.quadcon,m.numcon)
push!(m.blc,bnd)
push!(m.buc,bnd)
Mosek.appendcons(m.task,1)
Mosek.putconbound(m.task,m.numcon,m.bkc[m.numcon],m.blc[m.numcon],m.buc[m.numcon])
let qsubi = qsubi[:],
qsubj = qsubj[:],
qval = qvalij[:]
for i in 1:length(qsubi)
if qsubi[i] < qsubj[i]
t = qsubi[i]
qsubi[i] = qsubj[i]
qsubj[i] = t
elseif qsubi[i] == qsubj[i]
qval[i] *= 2
end
end
Mosek.putqconk(m.task,m.numcon,qsubi,qsubj,qval)
end
Mosek.putarow(m.task,m.numcon,subj,valj)
end
function MathProgBase.getquadconstrsolution(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
Mosek.getxc(sol)[m.quadcon]
end
function MathProgBase.getquadconstrduals(m::MosekLinearQuadraticModel)
sol = getsoldef(m.task)
solsta = Mosek.getsolsta(m.task,sol)
if solsta in [Mosek.MSK_SOL_STA_OPTIMAL,
Mosek.MSK_SOL_STA_DUAL_FEAS,
Mosek.MSK_SOL_STA_PRIM_AND_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_OPTIMAL,
Mosek.MSK_SOL_STA_NEAR_DUAL_FEAS,
Mosek.MSK_SOL_STA_NEAR_PRIM_AND_DUAL_FEAS ]
Mosek.gety(m.task)[m.quadcon]
else
throw(MosekMathProgModelError("Solution not available"))
end
end
function MathProgBase.getquadinfeasibilityray(m::MosekLinearQuadraticModel)
sol = getsoldef(m)
solsta = getsolsta(m.task,sol)
s = Mosek.getsux(m.task,sol) - Mosek.getslx(m.task,sol)
if solsta in [ Mosek.MSK_SOL_STA_PRIM_INFEAS_CER, Mosek.MSK_SOL_STA_NEAR_PRIM_INFEAS_CER ]
-s[m.quadcon]
else
throw(MosekMathProgModelError("No solution available"))
end
end
function MathProgBase.getquadconstrRHS(m::MosekLinearQuadraticModel)
m.blc[m.quadcon]
end
MathProgBase.setquadconstrRHS!(m::MosekLinearQuadraticModel, bnd) = MathProgBase.setquadconstrRHS!(m,convert(Vector{Float64},bnd))
function MathProgBase.setquadconstrRHS!(m::MosekLinearQuadraticModel, bnd::Vector{Float64})
n = min(length(bnd),length(m.quadcon))
m.blc[m.quadcon[1:n]] = bnd[1:n]
Mosek.putconboundlist(m.task,m.quadcon[1:n],m.bkc,m.blc,m.buc)
end
##############################################################
## Nonlinear
#############################################################
MathProgBase.NonlinearModel(s::Mosek.MosekSolver) = MosekNonlinearModel(MathProgBase.LinearQuadraticModel(s),nothing)
function msk_nl_getsp_wrapper_mpb(nlhandle:: Ptr{Nothing},
numgrdobjnz:: Ptr{Int32}, # number of nonzeros in gradient of objective
grdobjsub:: Ptr{Int32}, # subscripts of nonzeros in gradient of objective
i_:: Int32, # constraint index
convali:: Ptr{Bool}, # 0/1 indicating whether constraint i is non-linear
grdconinz:: Ptr{Int32}, # number of nonzeros in gradient of constraint i
grdconisub:: Ptr{Int32}, # subscripts of nonzeros in gradient of constraint i
yo:: Int32, # 0/1 include objective in computation of hessian pattern
numycnz:: Int32, # number of constraints to include in computation of the hessian pattern
ycsub:: Ptr{Int32}, # indexes of constraints to include in computation of the hessian pattern
maxnumhesnz:: Int32, # lengths of hessubi and hessubj
numhesnz_:: Ptr{Int32}, # number of hessian nonzeros
hessubi:: Ptr{Int32}, # column subscrips of hessian non-zeros
hessubj:: Ptr{Int32}) # row subscripts of hessian non-zeros
cb = unsafe_pointer_to_objref(nlhandle)::CallbackData
i = i_+1
if numgrdobjnz != C_NULL
unsafe_store!(numgrdobjnz, convert(Int32,cb.numVar))
end
if grdobjsub != C_NULL
grdobjsub_a = unsafe_wrap(Vector{Int32},grdobjsub,(cb.numVar,))
for ii in 1:cb.numVar
grdobjsub_a[i] = ii-1
end
end
if i <= cb.numConstr
con_nnz = cb.jac_rowstarts[i+1] - cb.jac_rowstarts[i]
if convali != C_NULL
# can we only say that constraint is linear if we've added the linear part separately?
if con_nnz > 0
unsafe_store!(convali, convert(Int32,1))
else
unsafe_store!(convali, convert(Int32,0))
end
end
if grdconinz != C_NULL
unsafe_store!(grdconinz, convert(Int32, con_nnz))
end
if grdconisub != C_NULL
if con_nnz > 0
grdconisub_a = unsafe_wrap(Vector{Int32},grdconisub,(con_nnz,))
grdconisub_a[1:con_nnz] = cb.jac_colval[cb.jac_rowstarts[i]:(cb.jac_rowstarts[i+1]-1)] - 1
end
end
end
hess_nnz = length(cb.Ihess)
if numhesnz_ != C_NULL
unsafe_store!(numhesnz_, convert(Int32, hess_nnz))
end
if hessubi != C_NULL && hessubj != C_NULL && maxnumhesnz >= hess_nnz
hessubi_a = unsafe_wrap(Vector{Int32},hessubi,(hess_nnz,))
hessubj_a = unsafe_wrap(Vector{Int32},hessubj,(hess_nnz,))
for i in 1:hess_nnz
hessubi_a[i] = cb.Ihess[i] - 1
hessubj_a[i] = cb.Jhess[i] - 1
end
end
return Int32(0)::Int32
end
function msk_nl_getva_wrapper_mpb(nlhandle :: Ptr{Nothing},
xx_ :: Ptr{Float64}, # input
yo :: Float64,
yc_ :: Ptr{Float64}, # input, length = numcon
objval :: Ptr{Float64},
numgrdobjnz :: Ptr{Int32},
grdobjsub :: Ptr{Int32},
grdobjval :: Ptr{Float64},
numi_ :: Int32,
subi_ :: Ptr{Int32}, # input
conval :: Ptr{Float64},
grdconptrb_ :: Ptr{Int32}, # input
grdconptre_ :: Ptr{Int32}, # input
grdconsub_ :: Ptr{Int32}, # input
grdconval_ :: Ptr{Float64},
grdlag :: Ptr{Float64},
maxnumhesnz :: Int32,
numhesnz :: Ptr{Int32},
hessubi :: Ptr{Int32},
hessubj :: Ptr{Int32},
hesval :: Ptr{Float64})
cb_tmp = unsafe_pointer_to_objref(nlhandle)
cb = cb_tmp::CallbackData
numi = convert(Int,numi_)
xx = unsafe_wrap(Vector{Float64},xx_,(cb.numVar,))
yc = unsafe_wrap(Vector{Float64},yc_,(cb.numConstr,))
subi = unsafe_wrap(Vector{Int32},subi_,(numi,))
if objval != C_NULL
unsafe_store!(objval, MathProgBase.eval_f(cb.d, xx))
end
if numgrdobjnz != C_NULL
unsafe_store!(numgrdobjnz, convert(Int32,cb.numVar))
end
if grdobjsub != C_NULL && grdobjval != C_NULL
grdobjval_a = unsafe_wrap(Vector{Float64},grdobjval,(cb.numVar,))
grdobjsub_a = unsafe_wrap(Vector{Int32},grdobjsub,(cb.numVar,))
MathProgBase.eval_grad_f(cb.d, grdobjval_a, xx)
for i in 1:cb.numVar
grdobjsub_a[i] = i-1