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test_picos.py
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test_picos.py
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#!/usr/bin/python
#generate data
from __future__ import print_function
import cvxopt as cvx
import picos as pic
import sys
import traceback
A=[ cvx.matrix([[1,0,0,0,0],
[0,3,0,0,0],
[0,0,1,0,0]]),
cvx.matrix([[0,0,2,0,0],
[0,1,0,0,0],
[0,0,0,1,0]]),
cvx.matrix([[0,0,0,2,0],
[4,0,0,0,0],
[0,0,1,0,0]]),
cvx.matrix([[1,0,0,0,0],
[0,0,2,0,0],
[0,0,0,0,4]]),
cvx.matrix([[1,0,2,0,0],
[0,3,0,1,2],
[0,0,1,2,0]]),
cvx.matrix([[0,1,1,1,0],
[0,3,0,1,0],
[0,0,2,2,0]]),
cvx.matrix([[1,2,0,0,0],
[0,3,3,0,5],
[1,0,0,2,0]]),
cvx.matrix([[1,0,3,0,1],
[0,3,2,0,0],
[1,0,0,2,0]])
]
c = cvx.matrix([1,2,3,4,5])
#create the problems
#--------------------------------------#
# D-optimal design #
#--------------------------------------#
prob_D = pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A]
s=len(AA)
m=AA[0].size[0]
AA=pic.new_param('A',AA)
mm=pic.new_param('m',m)
L=prob_D.add_variable('L',(m,m))
V=[prob_D.add_variable('V['+str(i)+']',AA[i].T.size) for i in range(s)]
w=prob_D.add_variable('w',s)
u={}
for k in ['01','23','4.','0123','4...','01234']:
u[k] = prob_D.add_variable('u['+k+']',1)
prob_D.add_constraint(
pic.sum([AA[i]*V[i]
for i in range(s)],'i','[s]')
== L)
#L lower inferior
prob_D.add_list_of_constraints( [L[i,j] == 0
for i in range(m)
for j in range(i+1,m)],['i','j'],'upper triangle')
prob_D.add_list_of_constraints([abs(V[i])<(mm**0.5)*w[i]
for i in range(s)],'i','[s]')
prob_D.add_constraint(1|w<1)
#SOC constraints to define u['01234'] such that u['01234']**8 < t[0] t[1] t[2] t[3] t[4]
prob_D.add_constraint(u['01']**2 <L[0,0]*L[1,1])
prob_D.add_constraint(u['23']**2 <L[2,2]*L[3,3])
prob_D.add_constraint(u['4.']**2 <L[4,4])
prob_D.add_constraint(u['0123']**2 <u['01']*u['23'])
prob_D.add_constraint(u['4...']**2 <u['4.'])
prob_D.add_constraint(u['01234']**2<u['0123']*u['4...'])
prob_D.set_objective('max',u['01234'])
#--------------------------------------#
# multiresponse case c-optimality SOCP #
#--------------------------------------#
prob_multiresponse_c=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
u=prob_multiresponse_c.add_variable('u',c.size)
prob_multiresponse_c.add_list_of_constraints(
[abs(AA[i]*u)<1 for i in range(s)], #constraints
#[abs((AA[i]*u)//np.sqrt(3))<2 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_multiresponse_c.set_objective('max', cc|u)
#--------------------------------------------#
# multiresponse case c-optimality, dual SOCP #
#--------------------------------------------#
prob_dual_c=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
z=[prob_dual_c.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
mu=prob_dual_c.add_variable('mu',s)
prob_dual_c.add_list_of_constraints(
[abs(z[i])<mu[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_dual_c.add_constraint(
pic.sum(
[AA[i].T*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== cc )
prob_dual_c.set_objective('min',1|mu)
#----------------------------------------------------------------#
# multiresponse case exacr c-optimality, Lagrangian bound MISOCP #
#----------------------------------------------------------------#
prob_exact_c=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
z=[prob_exact_c.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
w=prob_exact_c.add_variable('w',s,vtype='integer')
t=prob_exact_c.add_variable('t',1)
prob_exact_c.add_list_of_constraints(
[abs(z[i])<w[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_exact_c.add_constraint(
pic.sum(
[AA[i].T*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== t*cc )
prob_exact_c.add_constraint( 1|w < 20 )
prob_exact_c.set_objective('max',t)
#----------------------------------------------#
# single case c-optimality, exact-int dual MIP #
#----------------------------------------------#
prob_exact_single_c=pic.Problem()
AA=[cvx.sparse(a[:,i],tc='d').T for i in range(3) for a in A[4:]]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
z=[prob_exact_single_c.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
w=prob_exact_single_c.add_variable('w',s,vtype='integer')
t=prob_exact_single_c.add_variable('t',1)
prob_exact_single_c.add_list_of_constraints(
[abs(z[i])<w[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_exact_single_c.add_constraint(
pic.sum(
[AA[i].T*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== t*cc )
prob_exact_single_c.add_constraint( 1|w < 20 )
prob_exact_single_c.set_objective('max',t)
#--------------------------------------#
# multiresponse case A-optimality SOCP #
#--------------------------------------#
prob_multiresponse_A=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
m=AA[0].size[1]
AA=pic.new_param('A',AA)
U=prob_multiresponse_A.add_variable('U',(m,m))
prob_multiresponse_A.add_list_of_constraints(
[abs(AA[i]*U)<1 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_multiresponse_A.set_objective('max', 'I'|U)
#--------------------------------------------#
# multiresponse case A-optimality, dual SOCP #
#--------------------------------------------#
prob_dual_A=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
Z=[prob_dual_A.add_variable('Z['+str(i)+']',AA[i].size) for i in range(s)]
mu=prob_dual_A.add_variable('mu',s)
prob_dual_A.add_list_of_constraints(
[abs(Z[i])<mu[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_dual_A.add_constraint(
pic.sum(
[AA[i].T*Z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== 'I' )
prob_dual_A.set_objective('min',1|mu)
#---------------------------------------#
# single response case, c-optimality LP #
#---------------------------------------#
prob_LP_c=pic.Problem()
#AA=[cvx.sparse(a[:,i],tc='d').T for i in range(3) for a in A[4:]]
AA=[cvx.sparse(a[:,0],tc='d').T for a in A]#new version to have variable bounds
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
u=prob_LP_c.add_variable('u',c.size)
prob_LP_c.add_list_of_constraints(
[abs(AA[i]*u)<1 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
#prob_LP_c.set_objective('max', cc|u)
prob_LP_c.set_objective('min', cc|u)#new version to have a minimization LP
#--------------------------------------------#
# single response case, c-optimality dual LP #
#--------------------------------------------#
prob_LP_dual_c=pic.Problem()
#AA=[cvx.sparse(a[:,i],tc='d').T for i in range(3) for a in A[4:]]
AA = [cvx.sparse(a[:,0],tc='d').T for a in A] #new version to have variable bounds
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
z=[prob_LP_dual_c.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
mu=prob_LP_dual_c.add_variable('mu',s)
prob_LP_dual_c.add_list_of_constraints(
[abs(z[i])<mu[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_LP_dual_c.add_constraint(
pic.sum(
[AA[i].T*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== cc )
prob_LP_dual_c.set_objective('min',1|mu)
#--------------------------------------#
# multiresponse case c-optimality SDP #
#--------------------------------------#
prob_SDP_c=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
X=prob_SDP_c.add_variable('X',(c.size[0],c.size[0]),vtype='symmetric')
prob_SDP_c.add_list_of_constraints(
[(AA[i].T*AA[i] | X ) <1 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_SDP_c.add_constraint(X>>0)
prob_SDP_c.set_objective('max', cc.T*X*cc)
#--------------------------------------------#
# multiresponse case c-optimality, dual SDP #
#--------------------------------------------#
prob_SDP_c_dual=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
mu=prob_SDP_c_dual.add_variable('mu',s)
prob_SDP_c_dual.add_constraint(
pic.sum(
[mu[i]*AA[i].T*AA[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
>> cc*cc.T )
prob_SDP_c_dual.add_constraint(mu>0)
prob_SDP_c_dual.set_objective('min',1|mu)
#--------------------------------------#
# multiresponse case A-optimality SDP #
#--------------------------------------#
prob_SDP_A=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
#s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
X=prob_SDP_A.add_variable('X',(c.size[0],c.size[0]),vtype='symmetric')
w=prob_SDP_A.add_variable('w',s)
prob_SDP_A.add_constraint(
( (pic.sum(
[w[i]*AA[i].T*AA[i] for i in range(s)],
'i','[s]') & 'I') //
( 'I' & X))
>> 0)
prob_SDP_A.add_constraint(w>0)
prob_SDP_A.add_constraint(1|w==1)
prob_SDP_A.set_objective('min', 'I'|X)
#-------------------------------------------#
# multiresponse SOCP, multiple constraints #
# (1|w_0 ... w_3) <1 , (1|w_4 ... w_7) <1 #
#-------------------------------------------#
#solve min <K,U>+b' l+ l0
#s.t. ||Ai U||2< ri'l
# ||A0 U||2<l0
# l,l0>0
prob_multiresponse_multiconstraints=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
u=prob_multiresponse_multiconstraints.add_variable('u',c.size)
lbd=prob_multiresponse_multiconstraints.add_variable('lbd',2)
prob_multiresponse_multiconstraints.add_list_of_constraints(
[abs(AA[i]*u)**2<lbd[0] for i in range(s//2)], #constraints
'i', #index
'0..3' #set to which the index belongs
)
prob_multiresponse_multiconstraints.add_list_of_constraints(
[abs(AA[i]*u)**2<lbd[1] for i in range(s//2,s)], #constraints
'i', #index
'4..7' #set to which the index belongs
)
prob_multiresponse_multiconstraints.add_constraint(lbd>0)
prob_multiresponse_multiconstraints.add_constraint((1|lbd)<1)
prob_multiresponse_multiconstraints.set_objective('max', (cc|u))
multiconstraints_dual=pic.Problem()
alpha=multiconstraints_dual.add_variable('alpha',s)
mu=multiconstraints_dual.add_variable('mu',s)
t=multiconstraints_dual.add_variable('t',1)
z=[multiconstraints_dual.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
multiconstraints_dual.add_constraint(
pic.sum(
[AA[i].T*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== cc )
multiconstraints_dual.add_constraint((1|mu[:4])<t)
multiconstraints_dual.add_constraint((1|mu[4:])<t)
multiconstraints_dual.add_list_of_constraints(
[abs(z[i])**2<4*mu[i]*alpha[i]
for i in range(s)],'i','[s]')
multiconstraints_dual.set_objective('min',(1|alpha)+t)
#test QCQP
S=cvx.matrix([[ 4e-2, 6e-3, -4e-3, 0.0 ],
[ 6e-3, 1e-2, 0.0, 0.0 ],
[-4e-3, 0.0, 2.5e-3, 0.0 ],
[ 0.0, 0.0, 0.0, 0.0 ]])
pbar=cvx.matrix([.12, .10, .07, .03])
qcqp=pic.Problem()
x=qcqp.add_variable('x',4)
z=qcqp.add_variable('z',2)
qcqp.add_constraint(1|x<6)
qcqp.add_constraint(x>0)
qcqp.add_constraint(z[0]**2+2*z[1]**2-2*z[0]*z[1]+x[2]**2+0.3*x[2]*z[0]-x[3]<x[0])
pbar=pic.new_param('pbar',pbar)
S=pic.new_param('S',S)
qcqp.add_constraint(z<0)
qcqp.add_constraint((1|z)>-6)
qcqp.set_objective('min',-(pbar|x)+10*x.T*S*x+3*z[0]+z[1])
#----------
#S=cvx.matrix([[ 4e-2, 6e-3, -4e-3, 0.0 ],
#[ 6e-3, 1e-2, 0.0, 0.0 ],
#[-4e-3, 0.0, 2.5e-3, 0.0 ],
#[ 0.0, 0.0, 0.0, 0.0 ]])
#pbar=cvx.matrix([.12, .10, .07, .03])
#qcqp=pic.Problem()
#x01=qcqp.add_variable('x01',2)
#x2=qcqp.add_variable('x2',1)#,'integer')
#x3=qcqp.add_variable('x3',1)
#z=qcqp.add_variable('z',2)
#qcqp.add_constraint((1|(x01//x2//x3))<6)
#qcqp.add_constraint((x01//x2//x3)>0)
#qcqp.add_constraint(z[0]**2+2*z[1]**2-2*z[0]*z[1]+x2**2+0.3*x2*z[0]-x3<x01[0])
#pbar=pic.new_param('pbar',pbar)
#S=pic.new_param('S',S)
#qcqp.add_constraint(z<0)
#qcqp.add_constraint((1|z)>-6)
#qcqp.set_objective('min',-(pbar|(x01//x2//x3))+10*(x01//x2//x3).T*S*(x01//x2//x3)+3*z[0]+z[1])
##qcqp.add_constraint(z[0]**2+z[1]**2 < 10)
#qcqp.add_constraint(abs(z)**2 < 10)
#qcqp.solve(solver='mosek')
#------------
#QP+SOCP
soqcqp=qcqp.copy()
z=soqcqp.get_variable('z') #variable handle
soqcqp.add_constraint(abs(z)<x[0])
#test MIQCQP
miqcqp=qcqp.copy()
z=miqcqp.get_variable('z') #variable handle
miqcqp.add_constraint(z[0]**2+z[1]**2 < 10)
#we add the constraint x[2] integer
x=miqcqp.get_variable('x') #handle to the variable x
i=miqcqp.add_variable('i',1,vtype='integer')
miqcqp.add_constraint(x[2]==i)
#------------#
#standard LP #
#------------#
lp = pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
AA.append(cvx.sparse([0,3,0,0,0]).T)
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
x=lp.add_variable('x',5)
lp.add_constraint(AA[5]*x < 3)
lp.add_constraint(AA[6]*x > 2)
lp.add_constraint(AA[7]*x == 2.5)
lp.add_constraint(x>0)
lp.set_objective('max',cc.T*x)
dualp=pic.Problem()
mu5=dualp.add_variable('mu5',3)
mu6=dualp.add_variable('mu6',3)
mu7=dualp.add_variable('mu7',3)
dualp.add_constraint(mu5>0)
dualp.add_constraint(mu6>0)
dualp.add_constraint(AA[5].T*mu5-AA[6].T*mu6+AA[7].T*mu7==cc)
dualp.set_objective('min',(2.5|mu7)-(2|mu6)+(3|mu5))
#--------------#
#standard SOCP #
#--------------#
socp=pic.Problem()
AA=[cvx.sparse(a,tc='d').T for a in A]
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
x=socp.add_variable('x',5)
socp.add_list_of_constraints(
[abs(AA[i]*x+AA[i]*'|1|(5,1)') < '|2|(1,3)'*AA[i]*x - 1
for i in range(s)],'i','[s]')
socp.add_constraint(1|x==3)
socp.add_constraint(x>0)
socp.set_objective('max',cc.T*x)
dsocp=pic.Problem()
z=[dsocp.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
lbda=dsocp.add_variable('lbda',s)
mu=dsocp.add_variable('mu',1)
dsocp.add_list_of_constraints(
[abs(z[i]) < lbda[i] for i in range(s)],
'i','[s]')
dsocp.add_constraint(
cc+pic.sum([
lbda[i]*AA[i].T*'|2|(3,1)'
-AA[i].T*z[i]
for i in range(s)],'i','[s]') < mu)
dsocp.set_objective('min',3*mu-pic.sum(
[lbda[i]+z[i].T*AA[i]*'|1|(5,1)'
for i in range(s)],'i','[s]')
)
dsocp4=pic.Problem() #variant for the problem in TestSOCP4 with bounds on variables
z=[dsocp4.add_variable('z['+str(i)+']',AA[i].size[0]) for i in range(s)]
lbda=dsocp4.add_variable('lbda',s)
mu=dsocp4.add_variable('mu',1)
mu1=dsocp4.add_variable('mu1',1,lower = 0)
mu2=dsocp4.add_variable('mu2',1,lower = 0)
dsocp4.add_list_of_constraints(
[abs(z[i]) < lbda[i] for i in range(s)],
'i','[s]')
dsocp4.add_constraint(
-cc+pic.sum([
lbda[i]*AA[i].T*'|2|(3,1)'
-AA[i].T*z[i]
for i in range(s)],'i','[s]') < mu +mu1 * 'e_1(5,1)' -mu2 * 'e_3(5,1)')
dsocp4.set_objective('min',3*mu+0.58*mu1-0.59*mu2-pic.sum(
[lbda[i]+z[i].T*AA[i]*'|1|(5,1)'
for i in range(s)],'i','[s]')
)
#-----------------#
# SOCP + SDP #
#-----------------#
coneP=pic.Problem()
y=coneP.add_variable('y',3)
x=coneP.add_variable('x',3)
AAA=[cvx.matrix([[ 1.30,-0.23, 1.81, 2.27],
[-0.23, 2.37, 2.07,-0.42],
[ 1.81, 2.07, 5.02, 3.15],
[ 2.27,-0.42, 3.15, 8.22]
]),
cvx.matrix([[ 5.08, 1.53, 2.34, 2.92],
[ 1.53, 2.28,-0.74, 0.46],
[ 2.34,-0.74, 2.76, 1.87],
[ 2.92, 0.46, 1.87, 2.06]
]),
cvx.matrix([[ 4.10,-0.71, 0.86, 1.26],
[-0.71, 1.85,-1.33, 0.30],
[ 0.86,-1.33, 2.24,-0.07],
[ 1.26, 0.30,-0.07, 0.82]
]),
cvx.matrix([[ 0.56,-0.06, 0.32,-1.03],
[-0.06, 2.43, 1.57,-0.22],
[ 0.32, 1.57, 2.71, 2.10],
[-1.03,-0.22, 2.10, 7.84]
])
]
AA=pic.new_param('A',AAA)
coneP.add_constraint(abs(x)<y[0]-0.1)
coneP.add_constraint(1|x==0.3)
coneP.add_constraint(0.1<y[1]*x[2])
coneP.add_constraint(pic.sum([x[i]*AA[i] for i in range(3)],'i')
+ y[2]*AA[3] >> 'I')
coneP.set_objective('min',1|y)
coneQP=coneP.copy()
x=coneQP.get_variable('x')
y=coneQP.get_variable('y')
coneQP.add_constraint(y[0]**2+y[1]<2*y[2]-0.1)
coneQP.set_objective('min',(1|y)+0.6*y[0]**2)
from math import sqrt
dual_coneP=pic.Problem()
z=dual_coneP.add_variable('z',3)
w=dual_coneP.add_variable('w',1)
u=dual_coneP.add_variable('u',1)
mu=dual_coneP.add_variable('mu',1)
X=dual_coneP.add_variable('X',(4,4),'symmetric')
dual_coneP.add_constraint(abs(z)<1)
dual_coneP.add_constraint(w**2<4*u)
dual_coneP.add_constraint(X>>0)
dual_coneP.add_constraint(z[0]+mu==(AA[0]|X))
dual_coneP.add_constraint(z[1]+mu==(AA[1]|X))
dual_coneP.add_constraint(z[2]+mu-u==(AA[2]|X))
dual_coneP.add_constraint(AA[3]|X==1)
dual_coneP.set_objective('max',0.1+sqrt(0.1)*w-0.3*mu+('I'|X))
#--------------------------------------#
# test a geometric program:
#--------------------------------------#
# min x/y+2y/x
# x*y*y=1
# (x,y>0)
#X=ln x, Y=ln y
# <=>
# exp max lse[X-Y,Y-X+ln(2)]
# X+2Y=0
from math import log
gp=pic.Problem()
X=gp.add_variable('X',1)
Y=gp.add_variable('Y',1)
#gp.add_constraint(X+2*Y==0) #marche moins bien que les 2 LSE equivalentes ci-dessous (?)
gp.add_constraint(pic.lse(X+2*Y)<0)
gp.add_constraint(pic.lse(-X-2*Y)<0)
gp.set_objective('min',pic.lse((X-Y) & (Y-X+log(2))))
#----------------------------------------#
# non-convex QP (bimatrix game)
#----------------------------------------#
import picos as pic
bim=pic.Problem()
AA=pic.new_param('A',[[ 1.21e+00, 5.90e-01, -1.45e+00],[-5.64e-01, 1.01e+00, 4.22e-01]])
BB=pic.new_param('B',[[ 1.30e-01, -1.59e+00, 2.06e+00],[ 1.06e+00, -5.56e-01, -1.76e-01]])
x=bim.add_variable('x',2)
y=bim.add_variable('y',3)
x.T*(AA+BB)*y
alpha=bim.add_variable('alpha',1)
beta=bim.add_variable('beta',1)
bim.add_constraint(AA*y<alpha)
bim.add_constraint(BB.T*x<beta)
bim.add_constraint(1|x==1)
bim.add_constraint(1|y==1)
bim.add_constraint(x>0)
bim.add_constraint(y>0)
bim.set_objective('max',x.T*(AA+BB)*y-alpha-beta)
avs=pic.tools.available_solvers()
def LP1Test(solver_to_test):
#1st test: c optimality single response
primal=prob_LP_c.copy()
try:
primal.solve(solver=solver_to_test,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc()
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=-14.
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
try:
z=[(cs.dual[1]-cs.dual[0]) for cs in primal.constraints]
mu=[abs(zi) for zi in z]
except TypeError:
return (False,'no dual computed')
zvar=prob_LP_dual_c.get_variable('z')
muvar=prob_LP_dual_c.get_variable('mu')
muvar.value=mu
for i,zi in enumerate(z):
zvar[i].value=zi
dualf = prob_LP_dual_c.check_current_value_feasibility()
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
dgap = abs(prob_LP_dual_c.obj_value()+obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def LP2Test(solver_to_test):
#1st test: LP in standard form
primal=lp.copy()
try:
primal.solve(solver=solver_to_test,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=12.5
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
mu5 = primal.constraints[0].dual
mu6 = primal.constraints[1].dual
mu7 = primal.constraints[2].dual
if (mu5 is None) or (mu6 is None) or (mu7 is None):
return (False,'no dual computed')
mu5var=dualp.get_variable('mu5')
mu6var=dualp.get_variable('mu6')
mu7var=dualp.get_variable('mu7')
mu5var.value=mu5
mu6var.value=mu6
mu7var.value=mu7
dualf=dualp.check_current_value_feasibility()
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
dgap = abs(dualp.obj_value()-obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def SOCP1Test(solver_to_test):
#first test (A optimality)
primal=prob_multiresponse_A.copy()
try:
primal.solve(solver=solver_to_test,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=1.0759874194855403
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
Zvar=prob_dual_A.get_variable('Z')
muvar=prob_dual_A.get_variable('mu')
try:
Z=[cvx.matrix(cs.dual[1:],Zvar[i].size) for i,cs in enumerate(primal.constraints)]
mu=[cs.dual[0] for cs in primal.constraints]
except TypeError:
return (False,'no dual computed')
muvar.value=mu
for i,zi in enumerate(Z):
Zvar[i].value=zi
dualf=prob_dual_A.check_current_value_feasibility(tol=1e-5)
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
dgap = abs(prob_dual_A.obj_value()-obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def SOCP2Test(solver_to_test):
#2d test (socp in standard form)
primal=socp.copy()
try:
primal.solve(solver=solver_to_test,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=8.921914163181004
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
zvar=dsocp.get_variable('z')
lbdavar=dsocp.get_variable('lbda')
muvar=dsocp.get_variable('mu')
try:
z=[cvx.matrix(cs.dual[1:],zvar[i].size)
for i,cs in enumerate(primal.constraints[:8])]
lbda=[cs.dual[0] for cs in primal.constraints[:8]]
mu=primal.get_constraint((1,)).dual[0]
except TypeError:
return (False,'no dual computed')
lbdavar.value=lbda
muvar.value=mu
for i,zi in enumerate(z):
zvar[i].value=zi
dualf=dsocp.check_current_value_feasibility(tol=1e-5)
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
dgap = abs(dsocp.obj_value()-obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def SOCP3Test(solver_to_test):
#3d test (socp with rotated cones)
primal=prob_multiresponse_multiconstraints.copy()
try:
primal.solve(solver=solver_to_test,timelimit=1,maxit=100)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=1.7997245328947509
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
zvar=multiconstraints_dual.get_variable('z')
alphavar=multiconstraints_dual.get_variable('alpha')
muvar=multiconstraints_dual.get_variable('mu')
tvar=multiconstraints_dual.get_variable('t')
try:
z=[2*cs.dual[1:4]
for i,cs in enumerate(primal.constraints[:8])]
alpha=[cs.dual[0]+cs.dual[-1] for cs in primal.constraints[:8]]
mu =[cs.dual[0]-cs.dual[-1] for cs in primal.constraints[:8]]
t = primal.get_constraint((3,)).dual
except TypeError:
return (False,'no dual computed')
alphavar.value=alpha
muvar.value=mu
tvar.value=t
for i,zi in enumerate(z):
zvar[i].value=zi
dualf=multiconstraints_dual.check_current_value_feasibility(tol=1e-5)
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
dgap = abs(multiconstraints_dual.obj_value()-obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def SOCP4Test(solver_to_test,with_hardcoded_bound = True):
#4th test (socp in standard form, with additional variable bounds)
primal=socp.copy()
#solve the problem a first time to check if constaints can be added afterwards
#try:
#primal.solve()
#except:
#pass
x = primal.get_variable('x')
primal.add_constraint(x[1]<0.58)
if with_hardcoded_bound:
x.set_sparse_lower([3],[0.59])
else:
primal.add_constraint(x[3]>0.59)
primal.set_objective('min',primal.objective[1])
try:
sol=primal.solve(solver=solver_to_test,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=8.88848803874566
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
zvar=dsocp4.get_variable('z')
lbdavar=dsocp4.get_variable('lbda')
muvar=dsocp4.get_variable('mu')
mu1var=dsocp4.get_variable('mu1')
mu2var=dsocp4.get_variable('mu2')
try:
z=[cvx.matrix(cs.dual[1:],zvar[i].size)
for i,cs in enumerate(primal.constraints[:8])]
lbda=[cs.dual[0] for cs in primal.constraints[:8]]
mu=primal.get_constraint((1,)).dual[0]
mu1=primal.get_constraint((3,)).dual[0]
if not(with_hardcoded_bound):
mu2=primal.get_constraint((4,)).dual[0]
except TypeError:
return (False,'no dual computed')
lbdavar.value=lbda
muvar.value=mu
mu1var.value = mu1
if with_hardcoded_bound:#TODO with reduced cost ?
if solver_to_test=='cplex':
mu2var.value = primal.cplex_Instance.solution.get_reduced_costs(3)
elif solver_to_test=='mosek7':
rc=[0]
try:
import mosek7 as mosek
except:
import mosek
primal.msk_task.getreducedcosts(mosek.soltype.itr,3,4,rc)
mu2var.value = rc[0]
elif solver_to_test=='mosek6':
rc=[0]
import mosek
primal.msk_task.getreducedcosts(mosek.soltype.itr,3,4,rc)
mu2var.value = rc[0]
#mu2var.value = 10.338035946292555
elif solver_to_test=='cvxopt':
mu2var.value = sol['cvxopt_sol']['z'][6]
else: #'gurobi'
mu2var.value = primal.grbvar[3].RC
else:
mu2var.value = mu2
for i,zi in enumerate(z):
zvar[i].value=zi
dualf=dsocp4.check_current_value_feasibility(tol=1e-5)
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
dgap = abs(dsocp4.obj_value()+obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def SDPTest(solver_to_test):
primal=prob_SDP_c.copy()
try:
primal.solve(solver=solver_to_test,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=5.366615677650481
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
muvar=prob_SDP_c_dual.get_variable('mu')
try:
mu=[cs.dual[0] for cs in primal.constraints[:8]]
Z=primal.constraints[8].dual
except TypeError:
return (False,'no dual computed')
if Z is None:
return (False,'no dual computed')
muvar.value=mu
dualf=prob_SDP_c_dual.check_current_value_feasibility()
if not(dualf[0]):
return (False,'not dual feasible|{0:1.0e}'.format(dualf[1]))
S = (prob_SDP_c_dual.constraints[0].Exp1-prob_SDP_c_dual.constraints[0].Exp2)
dfinf = (abs(Z-S).value[0]/abs(S).value[0])
if dfinf>1e-5:
return (False,'not dual feasible|{0:1.0e}'.format(dfinf))
dgap = abs(prob_SDP_c_dual.obj_value()-obj)/abs(obj)
if dgap >1e-5:
return (False,'not dual optimal|{0:1.0e}'.format(dgap))
return (True,primal.status)
def CONEPTest(solver_to_test):
primal=coneP.copy()
try:
primal.solve(solver=solver_to_test,tol=1e-7,timelimit=1,maxit=50)
except Exception as ex:
traceback.print_exc(file=sys.stdout)
return (False,repr(ex))
primf = primal.check_current_value_feasibility()
if not(primf[0]):
return (False,'not primal feasible|{0:1.0e}'.format(primf[1]))
obj=1.0159165875250857
pgap = abs(primal.obj_value()-obj)/abs(obj)
if pgap>0.1:
return (False,'failed')
elif pgap>1e-5:
return (False,'not primal optimal|{0:1.0e}'.format(pgap))
zvar=dual_coneP.get_variable('z')
muvar=dual_coneP.get_variable('mu')
Xvar=dual_coneP.get_variable('X')
uvar=dual_coneP.get_variable('u')
wvar=dual_coneP.get_variable('w')
try:
mu=primal.constraints[1].dual
z =primal.constraints[0].dual[1:]
X =primal.constraints[3].dual