Merged branch 'dev_native' into lm_sla_supports_auto

Added igl library files

src/igl/mosek/mosek_linprog.cpp

@@ -0,0 +1,164 @@
+// This file is part of libigl, a simple c++ geometry processing library.
+// 
+// Copyright (C) 2015 Alec Jacobson <alecjacobson@gmail.com>
+// 
+// This Source Code Form is subject to the terms of the Mozilla Public License 
+// v. 2.0. If a copy of the MPL was not distributed with this file, You can 
+// obtain one at http://mozilla.org/MPL/2.0/.
+#include "mosek_linprog.h"
+#include "../mosek/mosek_guarded.h"
+#include "../harwell_boeing.h"
+#include <limits>
+#include <cmath>
+#include <vector>
+
+IGL_INLINE bool igl::mosek::mosek_linprog(
+  const Eigen::VectorXd & c,
+  const Eigen::SparseMatrix<double> & A,
+  const Eigen::VectorXd & lc,
+  const Eigen::VectorXd & uc,
+  const Eigen::VectorXd & lx,
+  const Eigen::VectorXd & ux,
+  Eigen::VectorXd & x)
+{
+  // variables for mosek task, env and result code
+  MSKenv_t env;
+  // Create the MOSEK environment
+  mosek_guarded(MSK_makeenv(&env,NULL));
+  // initialize mosek environment
+#if MSK_VERSION_MAJOR <= 7
+  mosek_guarded(MSK_initenv(env));
+#endif
+  const bool ret = mosek_linprog(c,A,lc,uc,lx,ux,env,x);
+  MSK_deleteenv(&env);
+  return ret;
+}
+
+IGL_INLINE bool igl::mosek::mosek_linprog(
+  const Eigen::VectorXd & c,
+  const Eigen::SparseMatrix<double> & A,
+  const Eigen::VectorXd & lc,
+  const Eigen::VectorXd & uc,
+  const Eigen::VectorXd & lx,
+  const Eigen::VectorXd & ux,
+  const MSKenv_t & env,
+  Eigen::VectorXd & x)
+{
+  // following http://docs.mosek.com/7.1/capi/Linear_optimization.html
+  using namespace std;
+  // number of constraints
+  const int m = A.rows();
+  // number of variables
+  const int n = A.cols();
+
+
+  vector<double> vAv;
+  vector<int> vAri,vAcp;
+  int nr;
+  harwell_boeing(A,nr,vAv,vAri,vAcp);
+
+  MSKtask_t task;
+  // Create the optimization task
+  mosek_guarded(MSK_maketask(env,m,n,&task));
+  // no threads
+  mosek_guarded(MSK_putintparam(task,MSK_IPAR_NUM_THREADS,1));
+  if(m>0)
+  {
+    // Append 'm' empty constraints, the constrainst will initially have no
+    // bounds
+    mosek_guarded(MSK_appendcons(task,m));
+  }
+  mosek_guarded(MSK_appendvars(task,n));
+
+  
+  const auto & key = [](const double lxj, const double uxj) ->
+    MSKboundkeye
+  {
+    MSKboundkeye k = MSK_BK_FR;
+    if(isfinite(lxj) && isfinite(uxj))
+    {
+      if(lxj == uxj)
+      {
+        k = MSK_BK_FX;
+      }else{
+        k = MSK_BK_RA;
+      }
+    }else if(isfinite(lxj))
+    {
+      k = MSK_BK_LO;
+    }else if(isfinite(uxj))
+    {
+      k = MSK_BK_UP;
+    }
+    return k;
+  };
+
+  // loop over variables
+  for(int j = 0;j<n;j++)
+  {
+    if(c.size() > 0)
+    {
+      // Set linear term c_j in the objective
+      mosek_guarded(MSK_putcj(task,j,c(j)));
+    }
+
+    // Set constant bounds on variable j
+    const double lxj = lx.size()>0?lx[j]:-numeric_limits<double>::infinity();
+    const double uxj = ux.size()>0?ux[j]: numeric_limits<double>::infinity();
+    mosek_guarded(MSK_putvarbound(task,j,key(lxj,uxj),lxj,uxj));
+
+    if(m>0)
+    {
+      // Input column j of A
+      mosek_guarded(
+        MSK_putacol(
+          task,
+          j,
+          vAcp[j+1]-vAcp[j],
+          &vAri[vAcp[j]],
+          &vAv[vAcp[j]])
+        );
+    }
+  }
+  // loop over constraints
+  for(int i = 0;i<m;i++)
+  {
+    // Set constraint bounds for row i
+    const double lci = lc.size()>0?lc[i]:-numeric_limits<double>::infinity();
+    const double uci = uc.size()>0?uc[i]: numeric_limits<double>::infinity();
+    mosek_guarded(MSK_putconbound(task,i,key(lci,uci),lci,uci));
+  }
+
+  // Now the optimizer has been prepared
+  MSKrescodee trmcode;
+  // run the optimizer
+  mosek_guarded(MSK_optimizetrm(task,&trmcode));
+  // Get status
+  MSKsolstae solsta;
+  MSK_getsolsta (task,MSK_SOL_ITR,&solsta);
+  bool success = false;
+  switch(solsta)
+  {
+    case MSK_SOL_STA_OPTIMAL:   
+    case MSK_SOL_STA_NEAR_OPTIMAL:
+      x.resize(n);
+      /* Request the basic solution. */ 
+      MSK_getxx(task,MSK_SOL_BAS,x.data()); 
+      success = true;
+      break;
+    case MSK_SOL_STA_DUAL_INFEAS_CER:
+    case MSK_SOL_STA_PRIM_INFEAS_CER:
+    case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
+    case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:  
+      //printf("Primal or dual infeasibility certificate found.\n");
+      break;
+    case MSK_SOL_STA_UNKNOWN:
+      //printf("The status of the solution could not be determined.\n");
+      break;
+    default:
+      //printf("Other solution status.");
+      break;
+  }
+  MSK_deletetask(&task);
+  return success;
+}