cvx_gurobi.m fix

.gitignore

@@ -1,3 +1,4 @@
+.vscode/
 doc/_build
 sedumi/
 sdpt3/
@@ -7,4 +8,3 @@ sdpt3.tgz
 sdpt3.zip
 lib/*.mex*
 lib/*/*.mex
-

cvx_startup.m

@@ -69,7 +69,7 @@
 end
 
 addpaths = { 'builtins', 'commands', 'functions', 'lib', 'structures' };
-mpath2 = mpath + fs; npath2 = length(mpath2);
+mpath2 = [ mpath, fs ]; npath2 = length(mpath2);
 if ~any(~strncmp(which('vec', '-all'), mpath2, npath2)),
     addpaths{end+1} = [ 'functions', fs, 'vec_' ]; 
 end

shims/cvx_ecos.m

@@ -0,0 +1,241 @@
+function shim = cvx_ecos(shim)
+
+% CVX_SOLVER_SHIM	ECOS interface for CVX.
+%   This procedure returns a 'shim': a structure containing the necessary
+%   information CVX needs to use this solver in its modeling framework.
+
+global cvx___
+if ~isempty(shim.solve)
+    return
+end
+
+fs = cvx___.fs;
+ps = cvx___.ps;
+
+if isempty(shim.name)
+    fname = ['ecos.', mexext];
+    flen = length(fname);
+    int_path = [cvx___.where, fs];
+    int_plen = length(int_path);
+    shim.name = 'ECOS';
+    shim.dualize = true;
+    intname = [int_path, 'ecos', fs, fname];
+    fpaths = which(fname, '-all');
+    if exist(intname, 'file'), fpaths = [{intname}; fpaths]; end
+    old_dir = pwd;
+    oshim = shim;
+    shim = [];
+    for k = 1:length(fpaths)
+        fpath = fpaths{k};
+        if ~exist(fpath, 'file') || any(strcmp(fpath, fpaths(1:k-1)))
+            continue
+        end
+        new_dir = fpath(1:end-flen-1);
+        cd(new_dir);
+        tshim = oshim;
+        tshim.fullpath = fpath;
+        tshim.version = 'unknown';
+        is_internal = strncmp(new_dir, int_path, int_plen);
+        if is_internal
+            tshim.location = ['{cvx}', new_dir(int_plen:end)];
+        else
+            tshim.location = new_dir;
+        end
+        outp = evalc('ecos', '[]'); %#ok
+        [tok, remain] = strtok(outp, ' '); %#ok
+        tok = strtok(remain, ' ');
+        if ~isempty(tok)
+            tshim.version = tok;
+        end
+        if isempty(tshim.error)
+            tshim.path = [new_dir, ps];
+            tshim.check = @check;
+            tshim.solve = @solve;
+            tshim.eargs = {};
+        end
+        shim = [shim, tshim]; %#ok
+    end
+    cd(old_dir);
+    if isempty(shim)
+        shim = oshim;
+        shim.error = 'Could not find an ECOS installation.';
+    end
+else
+    shim.check = @check;
+    shim.solve = @solve;
+    shim.eargs = {};
+end
+
+function found_bad = check(nonls, sdp, mfunc) %#ok
+found_bad = false;
+if ~sdp
+    for k = 1:length(nonls)
+        if any(strcmp(nonls(k).type, {'semidefinite', 'hermitian-semidefinite'})) && size(nonls(k).indices, 1) > 4
+            warning('CVX:ECOS:Semidefinite', 'This nonlinearity requires use of semidefinite cones which ECOS does not support.\n%s', ...
+                'You will need to use a different solver for this model.');
+            found_bad = true;
+        end
+    end
+end
+
+function [x, status, tol, iters, y, z] = solve(At, b, c, nonls, quiet, prec, settings)
+n = length(c);
+m = length(b);
+K = struct('f', 0, 'l', 0, 'q', []);
+reord = struct('n', 0, 'r', [], 'c', [], 'v', []);
+reord = struct('f', reord, 'l', reord, 'a', reord, 'q', reord, 'r', reord);
+reord.f.n = n;
+zinv = [];
+for k = 1:length(nonls)
+    temp = nonls(k).indices;
+    nn = size(temp, 1);
+    nv = size(temp, 2);
+    nnv = nn*nv;
+    tt = nonls(k).type;
+    reord.f.n = reord.f.n - nnv;
+    if strncmp(tt, 'i_', 2)
+        error('ECOS does not support integer variables.');
+    elseif nn == 1 || isequal(tt, 'nonnegative')
+        reord.l.r = [reord.l.r; temp(:)];
+        reord.l.c = [reord.l.c; reord.l.n + (1:nnv)'];
+        reord.l.v = [reord.l.v; ones(nnv, 1)];
+        reord.l.n = reord.l.n + nnv;
+    elseif isequal(tt, 'lorentz')
+        if nn == 2
+            rr = [temp; temp];
+            cc = reshape(floor(1:0.5:2*nv+0.5), 4, nv);
+            vv = [1; 1; -1; 1];
+            vv = vv(:, ones(1, nv));
+            reord.a.r = [reord.a.r; rr(:)];
+            reord.a.c = [reord.a.c; cc(:) + reord.a.n];
+            reord.a.v = [reord.a.v; vv(:)];
+            reord.a.n = reord.a.n + nnv;
+            zinv = [zinv; temp(:)]; %#ok
+        else
+            temp = temp([end, 1 : end - 1], :);
+            reord.q.r = [reord.q.r; temp(:)];
+            reord.q.c = [reord.q.c; reord.q.n + (1:nnv)'];
+            reord.q.v = [reord.q.v; ones(nnv, 1)];
+            reord.q.n = reord.q.n + nnv;
+            K.q = [K.q, nn * ones(1, nv)];
+        end
+    elseif isequal(tt, 'semidefinite')
+        if nn == 3
+            temp = temp([1, 1, 3, 3, 2], :);
+            tempv = [1; 1; 1; -1; 1]*ones(1, nv);
+            tempc = bsxfun(@plus, [1; 2; 1; 2; 3], 3*(0:nv - 1));
+            reord.q.r = [reord.q.r; temp(:)];
+            reord.q.c = [reord.q.c; reord.q.n + tempc(:)];
+            reord.q.v = [reord.q.v; tempv(:)];
+            reord.q.n = reord.q.n + nnv;
+            K.q = [K.q, 3 * ones(1, nv)];
+            temp = temp([1, 3], :);
+            zinv = [zinv; temp(:)]; %#ok
+        else
+            error('CVX:SolverIncompatible', 'ECOS does not support semidefinite variables larger than 2x2.');
+        end
+    elseif isequal(tt, 'hermitian-semidefinite')
+        if nn == 4
+            temp = temp([1, 1, 4, 4, 2, 3], :);
+            tempv = [1; 1; 1; -1; 1; 1]*ones(1, nv);
+            tempc = bsxfun(@plus, [1; 2; 1; 2; 3; 4], 4*(0:nv - 1));
+            reord.q.r = [reord.q.r; temp(:)];
+            reord.q.c = [reord.q.c; reord.q.n + tempc(:)];
+            reord.q.v = [reord.q.v; tempv(:)];
+            reord.q.n = reord.q.n + nnv;
+            K.q = [K.r, q * ones(1, nv)];
+            temp = temp([1, 3], :);
+            zinv = [zinv; temp(:)]; %#ok
+        else
+            error('CVX:SolverIncompatible', 'ECOS does not support semidefinite variables larger than 2x2.');
+        end
+    else
+        error('Unsupported nonlinearity: %s', tt);
+    end
+end
+if reord.f.n > 0
+    reord.f.r = (1:n)';
+    reord.f.r([reord.l.r; reord.a.r; reord.q.r]) = [];
+    reord.f.c = (1:reord.f.n)';
+    reord.f.v = ones(reord.f.n, 1);
+end
+n_d = max(m - n - reord.f.n + 1, isempty(At));
+if n_d
+    reord.l.n = reord.l.n + n_d;
+end
+K.f = reord.f.n;
+K.l = reord.l.n + reord.a.n;
+n_out = reord.f.n;
+reord.l.c = reord.l.c + n_out;
+n_out = n_out + reord.l.n;
+reord.a.c = reord.a.c + n_out;
+n_out = n_out + reord.a.n;
+reord.q.c = reord.q.c + n_out;
+n_out = n_out + reord.q.n;
+reord = sparse( ...
+    [reord.f.r; reord.l.r; reord.a.r; reord.q.r], ...
+    [reord.f.c; reord.l.c; reord.a.c; reord.q.c], ...
+    [reord.f.v; reord.l.v; reord.a.v; reord.q.v], ...
+    n, n_out);
+At = reord'*At;
+c = reord'*c;
+opts.verbose = 1;
+if quiet
+    opts.verbose = 0;
+end
+if (~isreal(At) || ~isreal(c) || ~isreal(b))
+    error('CVX:SolverIncompatible', 'ECOS does not handle complex data');
+end
+ecos_c = -full(b); % PHLI: Empirically this needed to be negated to match SeDuMi output
+ecos_G = At((K.f + 1):end, :);
+ecos_h = full(c((K.f + 1):end));
+ecos_A = At(1:K.f, :);
+ecos_b = full(c(1:K.f));
+K.q = K.q(:);
+varnames = {'x', 'y', 'info', 's', 'z'};
+
+[yy, xf, info, zz, xK] = cvx_run_solver(@ecos, ecos_c, ecos_G, ecos_h, K, ecos_A, ecos_b, opts, varnames{:}, settings, 7); %#ok
+
+xx = [xf; xK];
+if ~isfield(info, 'r0') && info.pinf
+    info.r0 = 0;
+    info.iter = 0;
+    info.numerr = 0;
+end
+tol = info.r0;
+iters = info.iter;
+xx = full(xx);
+yy = full(yy);
+status = '';
+if info.pinf ~= 0
+    status = 'Infeasible';
+    x = NaN*ones(n, 1);
+    y = yy;
+    z = -real(reord*(At*yy));
+elseif info.dinf ~= 0
+    status = 'Unbounded';
+    y = NaN*ones(m, 1);
+    z = NaN*ones(n, 1);
+    x = real(reord*xx);
+else
+    x = real(reord*xx);
+    y = yy;
+    z = real(reord*(c - At*yy));
+end
+if ~isempty(zinv)
+    z(zinv) = z(zinv)*0.5;
+end
+if info.numerr == 2
+    status = 'Failed';
+else
+    if isempty(status)
+        status = 'Solved';
+    end
+    if info.numerr == 1 && info.r0 > prec(2)
+        status = ['Inaccurate/', status];
+    end
+end
+
+% Copyright 2005-2013 CVX Research, Inc.
+% See the file COPYING.txt for full copyright information.
+% The command 'cvx_where' will show where this file is located.