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function [%Xlist,%OPT]=lmisolver(%Xinit,%evalfunc,%options)
// Copyright INRIA
%OPT=[];%Xlist=list();
[LHS,RHS]=argn(0);
if RHS==2 then
%Mb = 1e3;%ato = 1e-10;%nu = 10;%mite = 100;%rto = 1e-10;
else
%Mb=%options(1);%ato=%options(2);%nu=%options(3);%mite=%options(4);%rto=%options(5);
end
%to=1e-5
%tol=1e-10
[%Xinit,%ind_X]=aplat(%Xinit);
%dim_X=list();
for %ia=1:size(%Xinit)
%dim_X(%ia)=size(%Xinit(%ia))
end
%dim_X=matrix(list2vec(%dim_X),2,size(%dim_X))';
%x0=list2vec(%Xinit);
%nvars=size(%x0,'*')
//Testing feasibility of initial guess
[%b,%F_0,%linobj0]=%evalfunc(vec2list(%x0,%dim_X,%ind_X));
if size(%linobj0,'*')==0 then
%Val=aplat(%F_0)
%sm=100;
for %w=%Val
if %w~=[] then
%sm=min(%sm,mini(real(spec(%w))))
end
end
%nor=0
%Val=aplat(%b)
for %w=%Val
if %w~=[] then
%nor=max(%nor,norm(%w,1))
end
end
if %sm>=-%tol & %nor<%tol then
%Xlist=vec2list(%x0,%dim_X,%ind_X);
disp('initial guess is feasible');return;
end
end
%xz=zeros(%nvars,1);
[%b,%F_0,%linobj0]=%evalfunc(vec2list(%xz,%dim_X,%ind_X));
%b=list2vec(aplat(%b));
%F_0=aplat(%F_0);
%blck_szs=[];
for %lmii=%F_0
[%mk,%mk]=size(%lmii);%blck_szs=[%blck_szs,%mk]
end
%blck_szs=%blck_szs(find(%blck_szs~=0));
[%F_0,%dim_F]=list2vec(%F_0);
%linobj0=list2vec(aplat(%linobj0));
%Ncstr=[];%F_is=[];%linobj=[];
//Construction of canonical representation
disp('Construction of canonical representation')
%spF_0=sparse(%F_0);
%spb=sparse(%b);
%lX=size(%Xinit)
%XZER=%Xinit
for %ka=1:%lX
%XZER(%ka)=sparse(0*%Xinit(%ka))
end
for %ja=1:%lX
%Dum=%XZER(%ja)
%row=%dim_X(%ja,1)
%coll=%dim_X(%ja,2)
for %ca=1:%coll
for %ra=1:%row
%Dum(%ra,%ca)=1
%XZER(%ja)=%Dum;
[%bi,%F_i,%linobji]=%evalfunc(recons(%XZER,%ind_X));
%Ncstr=[%Ncstr,splist2vec(%bi)-%spb];
%F_is=[%F_is,splist2vec(%F_i)-%spF_0];
%linobj=[%linobj,%linobji-%linobj0];
%Dum(%ra,%ca)=0;
%XZER(%ja)=%Dum
end
end
end
if size(%Ncstr,'*')==0 then
%Ncstr=speye(%nvars,%nvars);
else
disp('Basis Construction')
[%x0,%Ncstr]=linsolve(%Ncstr,%b,%x0);
end
%F_0=%F_0+%F_is*%x0;%F_is=%F_is*%Ncstr;
%linobj0=%linobj0+%linobj*%x0;%linobj=%linobj*%Ncstr;
if %blck_szs == [] then
// is objective constant on LME constraint set, Xinit is feasible
if maxi(abs(%linobj+0)) < %to then
disp(' ');
disp(' Objective constant.');
%Xlist=vec2list(%x0,%dim_X,%ind_X);
%Xopt=%linobj0;
return
else
error('solution unbounded.');
end
end
[%fm,%m]=size(%F_is);
//Testing well-posedness
if %fm<%m then
error('Ill-posed problem: # of unknowns ('+string(%m)+...
') > # of constraints ('+string(%fm)+')');
end
//Testing rank deficiency
if size(%F_is,'*')<>0 then
%P=speye(%m,%m);
[%ptr,%rk]=lufact([%F_is spzeros(%fm,%fm-%m)]',[%tol,0.001]);
if %rk<%m then
[%P,%L,%U,%Q]=luget(%ptr);%L=[];%U=[];%Q=[];
%P=%P';%P=%P(1:%rk,1:%m)';
warning(' rank deficient problem');
ludel(%ptr);
//Testing to see if linobj in the range of F_is
if size(%linobj,'*') <> 0 then
[%ptr,%rk2]=lufact([[%F_is;%linobj] spzeros(%fm+1,%fm+1-%m)]',[%tol,0.001]);
if %rk<%rk2 then
error(' solution unbounded');
end
end
end
ludel(%ptr);
%linobj=%linobj*%P
%F_is=%F_is*%P;
%Ncstr=%Ncstr*%P;
%m=%rk;
%P=[];
end
//Testing to see if solution or the LMI value is unique
if size(%F_is,'*')==0 then
%Val=vec2list(%F_0,%dim_F);
%flag=%t
for %w=%Val
if %w~=[] then
if mini(real(spec(%w)))<-%tol then %flag=%f; end
end
end
if %flag then
%Xlist=vec2list(%x0,%dim_X,%ind_X);return;
else
error('not feasible or badly defined problem');
end
end
//Testing feasibility of initial guess
%Val=vec2list(%F_0,%dim_F);
%sm=100;
for %w=%Val
if %w~=[] then
%sm=min(%sm,mini(real(spec(%w))))
end
end
if %sm>=-%tol & size(%linobj,'*')==0 then
%Xlist=vec2list(%x0,%dim_X,%ind_X);return;
end
%M=%Mb*maxi(full((ones(1,%fm)*(abs([%F_0,%F_is])))));
if ~(%sm>%to) then
disp(' FEASIBILITY PHASE.');
// mineigF is the smallest eigenvalue of F_0
%mineigF = 0.0;
%blck_szs=matrix(%blck_szs,1,size(%blck_szs,'*'));
%ka=0;
for %n=%blck_szs,
%mineigF = mini(%mineigF, mini(real(spec(matrix(%F_0(%ka+[1:%n^2]),%n,%n)))));
%ka=%ka+%n^2;
end;
// I is the identity
%I = zeros(%fm,1);
%ka=0;
for %n=%blck_szs,
%I(%ka+[1:%n^2]) = matrix(eye(%n,%n),%n^2,1); // identity
%ka=%ka+%n^2;
end;
if (%M < %I'*%F_0+1e-5),
error('Mbound too small.');
end;
// initial x0
%x00 = [zeros(%m,1); max(-1.1*%mineigF, 1e-5)];
// Z0 is the projection of I on the space Tr F_i*Z = 0
[%ptr,%rkA]=lufact(%F_is'*%F_is,[%tol,0.001]);
%Z0=lusolve(%ptr,full(%F_is'*%I));
%Z0=%I-%F_is*%Z0;
ludel(%ptr)
//check: trace(F_is*Z0) = 0 <=> %F_is(:,k)'*%Z0= 0 (k = 1:m)
// mineigZ is the smallest eigenvalue of Z0
%mineigZ = 0.0;
%ka=0;
for %n=%blck_szs,
%mineigZ = mini(%mineigZ, mini(real(spec(matrix(%Z0(%ka+[1:%n^2]),%n,%n)))) );
%ka=%ka+%n^2;
end
%Z0(%ka+1) = max( -1.1 *%mineigZ, 1e-5 ); // z
%Z0(1:%ka) = %Z0(1:%ka) + %Z0(%ka+1)*%I;
%Z0 = %Z0 / (%I'*%Z0(1:%ka)); // make Tr Z0 = 1
//Pack Z0 and F_is
%Z0=pack(%Z0,[%blck_szs,1]);
[%xi,%Z0,%ul,%info]=...
semidef(%x00,%Z0,full(pack([%F_0,%F_is,%I;%M-%I'*%F_0,-%I'*%F_is,0],...
[%blck_szs,1])),[%blck_szs,1],[zeros(%m,1); 1],[%nu,%ato,-1,0,%mite]);
%xi=%xi(1:%m);
select %info(1)
case 1
error('Max. iters. exeeded')
case 2 then
disp('Absolute accuracy reached')
case 3 then
disp('Relative accuracy reached')
case 4 then
disp('Target value reached')
case 5 then
error('Target value not achievable')
else
warning('No feasible solution found')
end
if %info(2) == %mite then error('max # of iterations exceeded');end
if (%ul(1) > %ato) then error('No feasible solution exists');end
// if (%ul(1) > 0) then %F_0=%F_0+%ato*%I;end
disp('feasible solution found')
else
disp('Initial guess feasible')
%xi=zeros(%m,1);
end
if size(%linobj,'*')<>0 then
disp(' OPTIMIZATION PHASE.')
%M = max(%M, %Mb*sum(abs([%F_0,%F_is]*[1; %xi])));
// I is the identity
%I = zeros(%fm,1);
%ka=0;
for %n=%blck_szs,
%I(%ka+[1:%n^2]) = matrix(eye(%n,%n),%n^2,1); // identity
%ka=%ka+%n^2;
end;
// M must be greater than trace(F(x0)) for bigM.sci
[%ptr,%rkA]=lufact(%F_is'*%F_is,[%tol,0.001]);
%Z0=lusolve(%ptr,full(%F_is'*%I-%linobj'));
%Z0=%I-%F_is*%Z0;
ludel(%ptr)
//check: trace(F_is*Z0) = c <=> %F_is(:,k)'*%Z0= %linobj(k) (k = 1:m)
// mineigZ is the smallest eigenvalue of Z0
%mineigZ = 0.0;
%ka=0; for %n=%blck_szs,
%mineigZ = mini(%mineigZ, mini(real(spec(matrix(%Z0(%ka+[1:%n^2]),%n,%n)))));
%ka=%ka+%n^2;
end;
%Z0(%ka+1) = max(1e-5, -1.1*%mineigZ);
%Z0(1:%ka) = %Z0(1:%ka) + %Z0(%ka+1)*%I;
if (%M < %I'*[%F_0,%F_is]*[1;%xi] + 1e-5),
error('M must be strictly greater than trace of F(x0).');
end;
// add scalar block Tr F(x) <= M
%blck_szs = [%blck_szs,1];
[%xopt,%z,%ul,%info]=semidef(%xi,pack(%Z0,%blck_szs),...
full(pack([%F_0,%F_is; %M-%I'*%F_0,-%I'*%F_is],%blck_szs)),...
%blck_szs,full(%linobj),[%nu,%ato,%rto,0.0,%mite]);
if %info(2) == %mite then
warning('max # of iterations exceeded, solution may not be optimal');
end;
if sum(abs([%F_0,%F_is]*[1; %xopt])) > 0.9*%M then
disp( 'may be unbounded below');end;
if %xopt<>[]&~(%info(2) == %mite) then disp('optimal solution found');else %xopt=%xi;end
else
%xopt=%xi;
end
%Xlist=vec2list(%x0+%Ncstr*%xopt,%dim_X,%ind_X);
%OPT=%linobj0+%linobj*%xopt;
function [r,ind]=recons(r,ind)
//reconstruct a list from a flat list (see aplat)
if ind==-1 then r=r(:);return;end
nr=size(r)
ma=0
for k=nr:-1:1
mm=size(ind(k),'*');
if ma<=mm then ma=mm;ki=k; end
end
if ma<=1 then return; end
vi=ind(ki);vi=vi(1:ma-1);
k=ki
vj=vi
while vj==vi
k=k+1
if k>nr then break; end
vv=ind(k);
if size(vv,'*')==ma then vj=vv(1:ma-1); else vj=[]; end
end
kj=k-1
rt=list(r(ki))
for k=ki+1:kj
rt(k-ki+1)=r(ki+1)
r(ki+1)=null()
ind(ki+1)=null()
end
ind(ki)=vi
r(ki)=rt
[r,ind]=recons(r,ind)
function [bigVector]=splist2vec(li)
//li=list(X1,...Xk) is a list of matrices
//bigVector: sparse vector [X1(:);...;Xk(:)] (stacking of matrices in li)
bigVector=[];
li=aplat(li)
for mati=li
sm=size(mati);
bigVector=[bigVector;sparse(matrix(mati,prod(sm),1))];
end
function [A,b]=spaff2Ab(lme,dimX,D,ind)
//Y,X,D are lists of matrices.
//Y=lme(X,D)= affine fct of Xi's;
//[A,b]=matrix representation of lme in canonical basis.
[LHS,RHS]=argn(0)
select RHS
case 3 then
nvars=0;
for k=dimX'
nvars=nvars+prod(k);
end
x0=zeros(nvars,1);
b=list2vec(lme(vec2list(x0,dimX),D));
A=[];
for k=1:nvars
xi=x0;xi(k)=1;
A=[A,sparse(list2vec(lme(vec2list(xi,dimX),D))-b)];
end
case 4 then
nvars=0;
for k=dimX'
nvars=nvars+prod(k);
end
x0=zeros(nvars,1);
b=list2vec(lme(vec2list(x0,dimX,ind),D));
A=[];
for k=1:nvars
xi=x0;xi(k)=1;
A=[A,sparse(list2vec(lme(vec2list(xi,dimX,ind),D))-b)];
end
end
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