mirror of https://github.com/CGAL/cgal
Improvements and fixes for OSQP_quadratic_program_traits
- Fix wrong array sizes - Fix to_CSC matrix conversion - Rework the reserve() / insertion / size mechanisms - Enable passing some options via solve()
This commit is contained in:
Mael Rouxel-Labbé
parent
267a6412ac
commit
f99d0c3480
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@ -1,4 +1,4 @@
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// Copyright (c) 2020 GeometryFactory SARL (France).
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// Copyright (c) 2020-2021 GeometryFactory SARL (France).
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// All rights reserved.
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//
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// This file is part of CGAL (www.cgal.org)
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@ -8,6 +8,7 @@
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// SPDX-License-Identifier: LGPL-3.0-or-later OR LicenseRef-Commercial
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//
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// Author(s) : Dmitry Anisimov
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// Mael Rouxel-Labbé
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//
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#ifndef CGAL_OSQP_QUADRATIC_PROGRAM_TRAITS_H
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@ -28,251 +29,298 @@
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namespace CGAL {
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/*!
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\ingroup PkgSolverInterfaceNLP
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/*!
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\ingroup PkgSolverInterfaceNLP
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\brief wraps the external OSQP solver.
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\brief wraps the external OSQP solver.
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This class provides an interface for formulating and solving
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constrained or unconstrained quadratic programs using the \ref thirdpartyOSQP "OSQP"
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library, which must be available on the system.
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This class provides an interface for formulating and solving
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constrained or unconstrained quadratic programs using the \ref thirdpartyOSQP "OSQP"
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library, which must be available on the system.
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\tparam FT
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number type
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\tparam FT
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number type
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\cgalModels `QuadraticProgramTraits`
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*/
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template<typename FT>
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class OSQP_quadratic_program_traits {
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// row, col, value
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using Triplet = std::tuple<std::size_t, std::size_t, FT>;
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\cgalModels `QuadraticProgramTraits`
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*/
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template<typename FT>
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class OSQP_quadratic_program_traits
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{
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using Triplet = std::tuple<std::size_t, std::size_t, FT>; // row, col, value
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public:
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/// \cond SKIP_IN_MANUAL
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void reserve_P(const std::size_t k) {
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P_vec.reserve(k);
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private:
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std::size_t n; // number of variables
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std::size_t m; // number of constraints
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std::vector<Triplet> P_vec, A_vec;
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std::vector<FT> q_vec, l_vec, u_vec;
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public:
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/// Default constructor
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OSQP_quadratic_program_traits() : n(0), m(0) { }
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/// Constructor
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/// \param n the number of variables
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OSQP_quadratic_program_traits(const std::size_t n)
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: n(n), m(0)
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{
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// 6*n, just guessing that this is some kind of sparse problem on a nice 2D mesh
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P_vec.reserve(6 * n);
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q_vec.reserve(n);
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}
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/// Constructor
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/// \param n the number of variables
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/// \param m the number of constraints
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OSQP_quadratic_program_traits(const std::size_t n, const std::size_t m)
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: n(n), m(m)
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{
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P_vec.reserve(6 * n);
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q_vec.reserve(n);
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A_vec.reserve(m);
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l_vec.reserve(m);
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u_vec.reserve(m);
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}
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public:
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/// \cond SKIP_IN_MANUAL
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void set_P(const std::size_t i, const std::size_t j, const FT value)
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{
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if(j < i)
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return;
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if(j >= n) // no need to test i since j >= i
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n = j+1;
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P_vec.emplace_back(i, j, value);
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}
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void set_q(const std::size_t i, const FT value)
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{
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if(i >= n)
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n = i+1;
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if(i >= q_vec.size())
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q_vec.resize(n);
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q_vec[i] = value;
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}
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void set_r(const FT) {
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// is not used here
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}
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void set_A(const std::size_t i, const std::size_t j, const FT value)
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{
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if(i >= m)
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m = i+1;
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if(j >= n)
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n = j+1;
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A_vec.emplace_back(i, j, value);
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}
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void set_l(const std::size_t i, const FT value)
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{
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if(i >= m)
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m = i+1;
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if(i >= l_vec.size())
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l_vec.resize(m);
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l_vec[i] = value;
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}
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void set_u(const std::size_t i, const FT value)
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{
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if(i >= m)
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m = i+1;
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if(i >= u_vec.size())
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u_vec.resize(m);
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u_vec[i] = value;
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}
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template<typename OutIterator>
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bool solve(OutIterator solution,
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const FT eps_abs = 1e-10,
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const FT eps_rel = 1e-15,
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const bool verbose = false)
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{
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std::cout << "num variables = " << n << std::endl;
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std::cout << "num constraints = " << m << std::endl;
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CGAL_precondition(n >= 1 && m >= 0);
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CGAL_precondition(q_vec.size() == n);
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CGAL_precondition(l_vec.size() == m && l_vec.size() == m);
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const c_int P_nnz = static_cast<c_int>(P_vec.size());
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c_float P_x[P_nnz];
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c_int P_i[P_nnz];
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c_int P_p[n + 1];
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set_matrix_from_triplets("P", P_vec, P_x, P_i, P_p);
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std::cout << "P_nnz: " << P_nnz << std::endl;
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const c_int A_nnz = static_cast<c_int>(A_vec.size());
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c_float A_x[A_nnz];
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c_int A_i[A_nnz];
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c_int A_p[n + 1];
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set_matrix_from_triplets("A", A_vec, A_x, A_i, A_p);
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std::cout << "A_nnz: " << A_nnz << std::endl;
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const c_int q_size = static_cast<c_int>(q_vec.size());
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const c_int l_size = static_cast<c_int>(l_vec.size());
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const c_int u_size = static_cast<c_int>(u_vec.size());
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c_float q_x[q_size];
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c_float l_x[l_size];
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c_float u_x[u_size];
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set_qlu_data(q_x, l_x, u_x);
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// Problem settings.
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OSQPSettings *settings = (OSQPSettings *) malloc(sizeof(OSQPSettings));
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CGAL_assertion(settings);
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// Structures.
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OSQPWorkspace *work;
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OSQPData *data = (OSQPData *) malloc(sizeof(OSQPData));
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CGAL_assertion(data);
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// Populate data.
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data->n = static_cast<c_int>(n);
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data->m = static_cast<c_int>(m);
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data->P = csc_matrix(data->n, data->n, P_nnz, P_x, P_i, P_p);
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CGAL_assertion(data->P);
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data->q = q_x;
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data->A = csc_matrix(data->m, data->n, A_nnz, A_x, A_i, A_p);
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CGAL_assertion(data->A);
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data->l = l_x;
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data->u = u_x;
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// Set solver settings.
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osqp_set_default_settings(settings);
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settings->eps_abs = eps_abs;
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settings->eps_rel = eps_rel;
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settings->verbose = verbose;
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// Set workspace.
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osqp_setup(&work, data, settings);
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// Solve problem.
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const int exitflag = osqp_solve(work);
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const bool success = (exitflag == 0);
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// Create solution.
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const c_float *x = work->solution->x;
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for(c_int i=0; i<n; ++i)
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{
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const FT value{x[i]};
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*(++solution) = value;
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}
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void reserve_q(const std::size_t n) {
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q_vec.reserve(n);
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// Clean workspace.
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osqp_cleanup(work);
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c_free(data->A);
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c_free(data->P);
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c_free(data);
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c_free(settings);
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return success;
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}
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/// \endcond
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public:
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// Based on the code in scipy, function coo_tocsr()
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void set_matrix_from_triplets(const std::string name,
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const std::vector<Triplet>& triplets,
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c_float *M_x,
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c_int *M_i,
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c_int *M_p) const
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{
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const std::size_t nnz = triplets.size();
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// Compute the number of non-zero entries in each column of the sparse matrix A
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std::fill(M_p, M_p + n, 0);
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for(std::size_t k=0; k<nnz; ++k)
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M_p[std::get<1>(triplets[k])]++;
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// Fill M_p
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c_int cumsum = 0;
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for(std::size_t j=0; j<n; ++j)
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{
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const c_int tmp = M_p[j];
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M_p[j] = cumsum;
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cumsum += tmp;
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}
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M_p[n] = nnz;
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// Write Ai, Ax into M_i, M_x
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for(std::size_t k=0; k<nnz; ++k)
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{
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const c_int col = static_cast<c_int>(std::get<1>(triplets[k]));
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const c_int dest = M_p[col];
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M_i[dest] = static_cast<c_int>(std::get<0>(triplets[k]));
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M_x[dest] = c_float(CGAL::to_double(std::get<2>(triplets[k])));
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M_p[col]++;
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}
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void reserve_A(const std::size_t k) {
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A_vec.reserve(k);
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c_int last = 0;
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for(std::size_t j=0; j<=n; ++j)
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{
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const c_int tmp = M_p[j];
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M_p[j] = last;
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last = tmp;
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}
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void reserve_l(const std::size_t m) {
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l_vec.reserve(m);
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// std::cout << name + "_x: ";
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// for(std::size_t i=0; i<nnz; ++i)
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// std::cout << M_x[i] << " ";
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// std::cout << std::endl;
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// std::cout << name + "_i: ";
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// for(std::size_t i=0; i<nnz; ++i)
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// std::cout << M_i[i] << " ";
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// std::cout << std::endl;
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// std::cout << name + "_p: ";
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// for(std::size_t i=0; i<(n+1); ++i)
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// std::cout << M_p[i] << " ";
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// std::cout << std::endl;
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}
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void set_qlu_data(c_float *q_x,
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c_float *l_x,
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c_float *u_x) const
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{
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for(std::size_t i=0; i<n; ++i)
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q_x[i] = c_float(CGAL::to_double(q_vec[i]));
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for(std::size_t i=0; i<m; ++i)
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{
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l_x[i] = c_float(CGAL::to_double(l_vec[i]));
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u_x[i] = c_float(CGAL::to_double(u_vec[i]));
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}
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void reserve_u(const std::size_t m) {
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u_vec.reserve(m);
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}
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// std::cout << "q_x: ";
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// for(std::size_t i=0; i<n; ++i)
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// std::cout << q_x[i] << " ";
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// std::cout << std::endl;
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void set_P(const std::size_t i, const std::size_t j, const FT value) {
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P_vec.push_back(std::make_tuple(i, j, value));
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}
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// std::cout << "l_x: ";
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// for(std::size_t i=0; i<m; ++i)
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// std::cout << l_x[i] << " ";
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// std::cout << std::endl;
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void set_q(const std::size_t, const FT value) {
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q_vec.push_back(value);
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}
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void set_r(const FT) {
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// is not used here
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}
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void set_A(const std::size_t i, const std::size_t j, const FT value) {
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A_vec.push_back(std::make_tuple(i, j, value));
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}
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void set_l(const std::size_t, const FT value) {
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l_vec.push_back(value);
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}
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void set_u(const std::size_t, const FT value) {
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u_vec.push_back(value);
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}
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std::size_t P_size() const {
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return P_vec.size();
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}
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std::size_t q_size() const {
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return q_vec.size();
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}
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std::size_t A_size() const {
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return A_vec.size();
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}
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std::size_t l_size() const {
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return l_vec.size();
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}
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std::size_t u_size() const {
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return u_vec.size();
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}
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template<typename OutIterator>
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bool solve(OutIterator solution) {
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const std::size_t num_cols = std::get<1>(P_vec.back()) + 1;
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CGAL_precondition(q_vec.size() == num_cols);
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CGAL_precondition(l_vec.size() == u_vec.size());
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const c_int P_nnz = static_cast<c_int>(P_vec.size());
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c_float P_x[P_nnz];
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c_int P_i[P_nnz];
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c_int P_p[P_nnz + 1];
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set_matrix_from_triplets("P", P_vec, P_x, P_i, P_p);
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// std::cout << "P_nnz: " << P_nnz << std::endl;
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const c_int A_nnz = static_cast<c_int>(A_vec.size());
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c_float A_x[A_nnz];
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c_int A_i[A_nnz];
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c_int A_p[P_nnz + 1];
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set_matrix_from_triplets("A", A_vec, A_x, A_i, A_p);
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// std::cout << "A_nnz: " << A_nnz << std::endl;
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const c_int q_size = static_cast<c_int>(q_vec.size());
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const c_int l_size = static_cast<c_int>(l_vec.size());
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const c_int u_size = static_cast<c_int>(u_vec.size());
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c_float q_x[q_size];
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c_float l_x[l_size];
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c_float u_x[u_size];
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set_qlu_data(q_x, l_x, u_x);
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// Problem settings.
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OSQPSettings *settings = (OSQPSettings *)c_malloc(sizeof(OSQPSettings));
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// Structures.
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OSQPWorkspace *work;
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OSQPData *data;
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// Populate data.
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const c_int n = q_size; // number of variables
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const c_int m = l_size; // number of constraints
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// std::cout << "n: " << n << std::endl;
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// std::cout << "m: " << m << std::endl;
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data = (OSQPData *)c_malloc(sizeof(OSQPData));
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data->n = n;
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data->m = m;
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data->P = csc_matrix(n, n, P_nnz, P_x, P_i, P_p);
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data->q = q_x;
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data->A = csc_matrix(m, n, A_nnz, A_x, A_i, A_p);
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data->l = l_x;
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data->u = u_x;
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// Set solver settings.
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osqp_set_default_settings(settings);
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settings->eps_rel = 1.0e-15;
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settings->verbose = false;
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// Set workspace.
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osqp_setup(&work, data, settings);
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// Solve problem.
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const int exitflag = osqp_solve(work);
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const bool success = exitflag == 0 ? true : false;
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// Create solution.
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const c_float *x = work->solution->x;
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for (c_int i = 0; i < n; ++i) {
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const FT value = static_cast<FT>(x[i]);
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*(++solution) = value;
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}
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// Clean workspace.
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osqp_cleanup(work);
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c_free(data->A);
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c_free(data->P);
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c_free(data);
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c_free(settings);
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return success;
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}
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/// \endcond
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private:
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std::vector<Triplet> P_vec, A_vec;
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std::vector<FT> q_vec, l_vec, u_vec;
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void set_matrix_from_triplets(
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const std::string /* name */,
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const std::vector<Triplet>& triplets,
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c_float *M_x, c_int *M_i, c_int *M_p) const {
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M_p[0] = 0;
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std::size_t count = 0;
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||||
const std::size_t num_cols = std::get<1>(triplets.back());
|
||||
std::size_t ref_col = 0;
|
||||
for (ref_col = 0; ref_col <= num_cols; ++ref_col) {
|
||||
std::size_t num_rows = 0;
|
||||
for (std::size_t i = 0; i < triplets.size(); ++i) {
|
||||
const std::size_t row = std::get<0>(triplets[i]);
|
||||
const std::size_t col = std::get<1>(triplets[i]);
|
||||
const double value = CGAL::to_double(std::get<2>(triplets[i]));
|
||||
|
||||
if (col == ref_col) {
|
||||
M_i[count] = row; M_x[count] = value;
|
||||
++count; ++num_rows;
|
||||
}
|
||||
}
|
||||
M_p[ref_col + 1] = M_p[ref_col] + num_rows;
|
||||
}
|
||||
|
||||
// std::cout << name + "_x: ";
|
||||
// for (std::size_t i = 0; i < count; ++i)
|
||||
// std::cout << M_x[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
|
||||
// std::cout << name + "_i: ";
|
||||
// for (std::size_t i = 0; i < count; ++i)
|
||||
// std::cout << M_i[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
|
||||
// std::cout << name + "_p: ";
|
||||
// for (std::size_t i = 0; i <= ref_col; ++i)
|
||||
// std::cout << M_p[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
}
|
||||
|
||||
void set_qlu_data(
|
||||
c_float *q_x, c_float *l_x, c_float *u_x) const {
|
||||
|
||||
CGAL_assertion(q_vec.size() > 1);
|
||||
CGAL_assertion(l_vec.size() == u_vec.size());
|
||||
const std::size_t n = q_vec.size(); // number of variables
|
||||
const std::size_t m = l_vec.size(); // number of constraints
|
||||
|
||||
CGAL_assertion(n > 1);
|
||||
for (std::size_t i = 0; i < n; ++i)
|
||||
q_x[i] = CGAL::to_double(q_vec[i]);
|
||||
|
||||
CGAL_assertion(m >= 0);
|
||||
for (std::size_t i = 0; i < m; ++i) {
|
||||
l_x[i] = CGAL::to_double(l_vec[i]);
|
||||
u_x[i] = CGAL::to_double(u_vec[i]);
|
||||
}
|
||||
|
||||
// std::cout << "q_x: ";
|
||||
// for (std::size_t i = 0; i < n; ++i)
|
||||
// std::cout << q_x[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
|
||||
// std::cout << "l_x: ";
|
||||
// for (std::size_t i = 0; i < m; ++i)
|
||||
// std::cout << l_x[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
|
||||
// std::cout << "u_x: ";
|
||||
// for (std::size_t i = 0; i < m; ++i)
|
||||
// std::cout << u_x[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
}
|
||||
};
|
||||
// std::cout << "u_x: ";
|
||||
// for(std::size_t i=0; i<m; ++i)
|
||||
// std::cout << u_x[i] << " ";
|
||||
// std::cout << std::endl;
|
||||
}
|
||||
};
|
||||
|
||||
} // namespace CGAL
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue