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 }
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 }
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) } }