Merged branch 'dev_native' into lm_sla_supports_auto

Added igl library files

src/igl/mosek/mosek_quadprog.h

@@ -0,0 +1,145 @@
+// This file is part of libigl, a simple c++ geometry processing library.
+// 
+// Copyright (C) 2013 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/.
+#ifndef IGL_MOSEK_MOSEK_QUADPROG_H
+#define IGL_MOSEK_MOSEK_QUADPROG_H
+#include "../igl_inline.h"
+#include <vector>
+#include <map>
+#include <mosek.h>
+
+
+#define EIGEN_YES_I_KNOW_SPARSE_MODULE_IS_NOT_STABLE_YET
+#include <Eigen/Dense>
+#include <Eigen/Sparse>
+
+namespace igl
+{
+  namespace mosek
+  {
+    struct MosekData
+    {
+      // Integer parameters
+      std::map<MSKiparame,int> intparam;
+      // Double parameters
+      std::map<MSKdparame,double> douparam;
+      // Default values
+      IGL_INLINE MosekData();
+    };
+    // Solve a convex quadratic optimization problem with linear and constant
+    // bounds, that is:
+    //
+    // Minimize: ½ * xT * Q⁰ * x + cT * x + cf
+    //
+    // Subject to: lc ≤ Ax ≤ uc
+    //             lx ≤ x ≤ ux
+    //
+    // where we are trying to find the optimal vector of values x. 
+    //
+    // Note: Q⁰ must be symmetric and the ½ is a convention of MOSEK
+    //
+    // Note: Because of how MOSEK accepts different parts of the system, Q
+    // should be stored in IJV (aka Coordinate) format and should only include
+    // entries in the lower triangle. A should be stored in Column compressed
+    // (aka Harwell Boeing) format. As described:
+    // http://netlib.org/linalg/html_templates/node92.html
+    // or
+    // http://en.wikipedia.org/wiki/Sparse_matrix
+    //   #Compressed_sparse_column_.28CSC_or_CCS.29
+    // 
+    //
+    // Templates:
+    //   Index  type for index variables
+    //   Scalar  type for floating point variables (gets cast to double?)
+    // Input:
+    //   n  number of variables, i.e. size of x
+    //   Qi  vector of qnnz row indices of non-zeros in LOWER TRIANGLE ONLY of
+    //       Q⁰
+    //   Qj  vector of qnnz column indices of non-zeros in LOWER TRIANGLE ONLY
+    //       of Q⁰
+    //   Qv  vector of qnnz values of non-zeros in LOWER TRIANGLE ONLY of Q⁰, 
+    //       such that:
+    //
+    //           Q⁰(Qi[k],Qj[k]) = Qv[k] for k ∈ [0,Qnnz-1], where Qnnz is the
+    // 
+    //       number of non-zeros in Q⁰
+    //   c   (optional) vector of n values of c, transpose of coefficient row
+    //       vector of linear terms, EMPTY means c == 0
+    //   cf  (ignored) value of constant term in objective, 0 means cf == 0, so
+    //       optional only in the sense that it is mandatory
+    //   m  number of constraints, therefore also number of rows in linear
+    //      constraint coefficient matrix A, and in linear constraint bound
+    //      vectors lc and uc
+    //   Av  vector of non-zero values of A, in column compressed order
+    //   Ari  vector of row indices corresponding to non-zero values of A,
+    //   Acp  vector of indices into Ari and Av of the first entry for each
+    //        column of A, size(Acp) = (# columns of A) + 1 = n + 1
+    //   lc  vector of m linear constraint lower bounds
+    //   uc  vector of m linear constraint upper bounds
+    //   lx  vector of n constant lower bounds
+    //   ux  vector of n constant upper bounds
+    // Output:
+    //   x  vector of size n to hold output of optimization
+    // Return:
+    //   true only if optimization was successful with no errors
+    // 
+    // Note: All indices are 0-based
+    //
+    template <typename Index, typename Scalar>
+    IGL_INLINE bool mosek_quadprog(
+      const Index n,
+      /* mosek won't allow this to be const*/ std::vector<Index> & Qi,
+      /* mosek won't allow this to be const*/ std::vector<Index> & Qj,
+      /* mosek won't allow this to be const*/ std::vector<Scalar> & Qv,
+      const std::vector<Scalar> & c,
+      const Scalar cf,
+      const Index m,
+      /* mosek won't allow this to be const*/ std::vector<Scalar> & Av,
+      /* mosek won't allow this to be const*/ std::vector<Index> & Ari,
+      const std::vector<Index> & Acp,
+      const std::vector<Scalar> & lc,
+      const std::vector<Scalar> & uc,
+      const std::vector<Scalar> & lx,
+      const std::vector<Scalar> & ux,
+      MosekData & mosek_data,
+      std::vector<Scalar> & x);
+    // Wrapper with Eigen elements
+    //
+    // Inputs:
+    //   Q  n by n square quadratic coefficients matrix **only lower triangle
+    //      is used**.
+    //   c  n-long vector of linear coefficients
+    //   cf  constant coefficient
+    //   A  m by n square linear coefficienst matrix of inequality constraints
+    //   lc  m-long vector of lower bounds for linear inequality constraints
+    //   uc  m-long vector of upper bounds for linear inequality constraints
+    //   lx  n-long vector of lower bounds
+    //   ux  n-long vector of upper bounds
+    //   mosek_data  parameters struct
+    // Outputs:
+    //   x  n-long solution vector
+    // Returns true only if optimization finishes without error
+    //
+    IGL_INLINE bool mosek_quadprog(
+      const Eigen::SparseMatrix<double> & Q,
+      const Eigen::VectorXd & c,
+      const double cf,
+      const Eigen::SparseMatrix<double> & A,
+      const Eigen::VectorXd & lc,
+      const Eigen::VectorXd & uc,
+      const Eigen::VectorXd & lx,
+      const Eigen::VectorXd & ux,
+      MosekData & mosek_data,
+      Eigen::VectorXd & x);
+  }
+}
+
+#ifndef IGL_STATIC_LIBRARY
+#  include "mosek_quadprog.cpp"
+#endif
+
+#endif