Beispiel #1
0
func (p *FloorPlan) F2(x, z *matrix.FloatMatrix) (f, Df, H *matrix.FloatMatrix, err error) {
	f, Df, err = p.F1(x)
	x17 := matrix.FloatVector(x.FloatArray()[17:])
	tmp := p.Amin.Div(x17.Pow(3.0))
	tmp = z.Mul(tmp).Scale(2.0)
	diag := matrix.FloatDiagonal(5, tmp.FloatArray()...)
	H = matrix.FloatZeros(22, 22)
	H.SetSubMatrix(17, 17, diag)
	return
}
Beispiel #2
0
func (p *FloorPlan) F1(x *matrix.FloatMatrix) (f, Df *matrix.FloatMatrix, err error) {
	err = nil
	mn := x.Min(-1, -2, -3, -4, -5)
	if mn <= 0.0 {
		f, Df = nil, nil
		return
	}
	zeros := matrix.FloatZeros(5, 12)
	dk1 := matrix.FloatDiagonal(5, -1.0)
	dk2 := matrix.FloatZeros(5, 5)
	x17 := matrix.FloatVector(x.FloatArray()[17:])
	// -( Amin ./ (x17 .* x17) )
	diag := p.Amin.Div(x17.Mul(x17)).Scale(-1.0)
	dk2.SetIndexes(matrix.MakeDiagonalSet(5, 5), diag.FloatArray())
	Df, _ = matrix.FloatMatrixCombined(matrix.StackRight, zeros, dk1, dk2)

	x12 := matrix.FloatVector(x.FloatArray()[12:17])
	// f = -x[12:17] + div(Amin, x[17:])
	f = p.Amin.Div(x17).Minus(x12)
	return
}
Beispiel #3
0
func main() {

	Sdata := [][]float64{
		[]float64{ 4e-2,  6e-3, -4e-3,   0.0 },
        []float64{ 6e-3,  1e-2,  0.0,    0.0 },
        []float64{-4e-3,  0.0,   2.5e-3, 0.0 },
        []float64{ 0.0,   0.0,   0.0,    0.0 }}

	pbar := matrix.FloatVector([]float64{.12, .10, .07, .03})
	S := matrix.FloatMatrixStacked(Sdata)
	n := pbar.Rows()
	G := matrix.FloatDiagonal(n, -1.0)
	h := matrix.FloatZeros(n, 1)
	A := matrix.FloatWithValue(1, n, 1.0)
	b := matrix.FloatNew(1,1, []float64{1.0})

	var solopts cvx.SolverOptions
	solopts.MaxIter = 30
	solopts.ShowProgress = true

	mu := 1.0
	Smu := S.Copy().Scale(mu)
	pbarNeg := pbar.Copy().Scale(-1.0)
	fmt.Printf("Smu=\n%v\n", Smu.String())
	fmt.Printf("-pbar=\n%v\n", pbarNeg.String())

	sol, err := cvx.Qp(Smu, pbarNeg, G, h, A, b, &solopts, nil)

	fmt.Printf("status: %v\n", err)
	if sol != nil && sol.Status == cvx.Optimal {
		x := sol.Result.At("x")[0]
		ret := blas.DotFloat(x, pbar)
		risk := math.Sqrt(blas.DotFloat(x, S.Times(x)))
		fmt.Printf("ret=%.3f, risk=%.3f\n", ret, risk)
		fmt.Printf("x=\n%v\n", x)
	}
}