MOSEK_OPTIONS Sets options for MOSEK.
OPT = MOSEK_OPTIONS
OPT = MOSEK_OPTIONS(OVERRIDES)
OPT = MOSEK_OPTIONS(OVERRIDES, FNAME)
OPT = MOSEK_OPTIONS(OVERRIDES, MPOPT)
Sets the values for the param struct normally passed to MOSEKOPT.
Inputs are all optional, second argument must be either a string
(FNAME) or a vector (MPOPT):
OVERRIDES - struct containing values to override the defaults
FNAME - name of user-supplied function called after default
options are set to modify them. Calling syntax is:
MODIFIED_OPT = FNAME(DEFAULT_OPT);
MPOPT - MATPOWER options vector, uses the following entries:
OPF_VIOLATION (16) - used to set opt.MSK_DPAR_INTPNT_TOL_PFEAS
VERBOSE (31) - not currently used here
MOSEK_LP_ALG (111) - used to set opt.MSK_IPAR_OPTIMIZER
MOSEK_MAX_IT (112) - used to set opt.MSK_IPAR_INTPNT_MAX_ITERATIONS
MOSEK_GAP_TOL (113) - used to set opt.MSK_DPAR_INTPNT_TOL_REL_GAP
MOSEK_MAX_TIME (114) - used to set opt.MSK_DPAR_OPTIMIZER_MAX_TIME
MOSEK_NUM_THREADS (115) - used to set opt.MSK_IPAR_INTPNT_NUM_THREADS
MOSEK_OPT (116) - user option file, if MPOPT(116) is non-zero
it is appended to 'mosek_user_options_' to form the name of a
user-supplied function used as FNAME described above, except
with calling syntax:
MODIFIED_OPT = FNAME(DEFAULT_OPT, MPOPT);
Output is a param struct to pass to MOSEKOPT.
Example:
If MPOPT(116) = 3, then after setting the default MOSEK options,
MOSEK_OPTIONS will execute the following user-defined function
to allow option overrides:
opt = mosek_user_options_3(opt, mpopt);
The contents of mosek_user_options_3.m, could be something like:
function opt = mosek_user_options_3(opt, mpopt)
opt.MSK_DPAR_INTPNT_TOL_DFEAS = 1e-9;
opt.MSK_IPAR_SIM_MAX_ITERATIONS = 5000000;
See the Parameters reference in Appendix E of "The MOSEK
optimization toolbox for MATLAB manaul" for
details on the available options.
http://www.mosek.com/documentation/
See also MOSEKOPT, MPOPTION.0001 function opt = mosek_options(overrides, mpopt) 0002 %MOSEK_OPTIONS Sets options for MOSEK. 0003 % 0004 % OPT = MOSEK_OPTIONS 0005 % OPT = MOSEK_OPTIONS(OVERRIDES) 0006 % OPT = MOSEK_OPTIONS(OVERRIDES, FNAME) 0007 % OPT = MOSEK_OPTIONS(OVERRIDES, MPOPT) 0008 % 0009 % Sets the values for the param struct normally passed to MOSEKOPT. 0010 % 0011 % Inputs are all optional, second argument must be either a string 0012 % (FNAME) or a vector (MPOPT): 0013 % 0014 % OVERRIDES - struct containing values to override the defaults 0015 % FNAME - name of user-supplied function called after default 0016 % options are set to modify them. Calling syntax is: 0017 % MODIFIED_OPT = FNAME(DEFAULT_OPT); 0018 % MPOPT - MATPOWER options vector, uses the following entries: 0019 % OPF_VIOLATION (16) - used to set opt.MSK_DPAR_INTPNT_TOL_PFEAS 0020 % VERBOSE (31) - not currently used here 0021 % MOSEK_LP_ALG (111) - used to set opt.MSK_IPAR_OPTIMIZER 0022 % MOSEK_MAX_IT (112) - used to set opt.MSK_IPAR_INTPNT_MAX_ITERATIONS 0023 % MOSEK_GAP_TOL (113) - used to set opt.MSK_DPAR_INTPNT_TOL_REL_GAP 0024 % MOSEK_MAX_TIME (114) - used to set opt.MSK_DPAR_OPTIMIZER_MAX_TIME 0025 % MOSEK_NUM_THREADS (115) - used to set opt.MSK_IPAR_INTPNT_NUM_THREADS 0026 % MOSEK_OPT (116) - user option file, if MPOPT(116) is non-zero 0027 % it is appended to 'mosek_user_options_' to form the name of a 0028 % user-supplied function used as FNAME described above, except 0029 % with calling syntax: 0030 % MODIFIED_OPT = FNAME(DEFAULT_OPT, MPOPT); 0031 % 0032 % Output is a param struct to pass to MOSEKOPT. 0033 % 0034 % Example: 0035 % 0036 % If MPOPT(116) = 3, then after setting the default MOSEK options, 0037 % MOSEK_OPTIONS will execute the following user-defined function 0038 % to allow option overrides: 0039 % 0040 % opt = mosek_user_options_3(opt, mpopt); 0041 % 0042 % The contents of mosek_user_options_3.m, could be something like: 0043 % 0044 % function opt = mosek_user_options_3(opt, mpopt) 0045 % opt.MSK_DPAR_INTPNT_TOL_DFEAS = 1e-9; 0046 % opt.MSK_IPAR_SIM_MAX_ITERATIONS = 5000000; 0047 % 0048 % See the Parameters reference in Appendix E of "The MOSEK 0049 % optimization toolbox for MATLAB manaul" for 0050 % details on the available options. 0051 % 0052 % http://www.mosek.com/documentation/ 0053 % 0054 % See also MOSEKOPT, MPOPTION. 0055 0056 % MATPOWER 0057 % $Id: mosek_options.m,v 1.2 2011/06/29 20:33:14 cvs Exp $ 0058 % by Ray Zimmerman, PSERC Cornell 0059 % Copyright (c) 2010 by Power System Engineering Research Center (PSERC) 0060 % 0061 % This file is part of MATPOWER. 0062 % See http://www.pserc.cornell.edu/matpower/ for more info. 0063 % 0064 % MATPOWER is free software: you can redistribute it and/or modify 0065 % it under the terms of the GNU General Public License as published 0066 % by the Free Software Foundation, either version 3 of the License, 0067 % or (at your option) any later version. 0068 % 0069 % MATPOWER is distributed in the hope that it will be useful, 0070 % but WITHOUT ANY WARRANTY; without even the implied warranty of 0071 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 0072 % GNU General Public License for more details. 0073 % 0074 % You should have received a copy of the GNU General Public License 0075 % along with MATPOWER. If not, see <http://www.gnu.org/licenses/>. 0076 % 0077 % Additional permission under GNU GPL version 3 section 7 0078 % 0079 % If you modify MATPOWER, or any covered work, to interface with 0080 % other modules (such as MATLAB code and MEX-files) available in a 0081 % MATLAB(R) or comparable environment containing parts covered 0082 % under other licensing terms, the licensors of MATPOWER grant 0083 % you additional permission to convey the resulting work. 0084 0085 %%----- initialization and arg handling ----- 0086 %% defaults 0087 verbose = 2; 0088 gaptol = 0; 0089 fname = ''; 0090 0091 %% get symbolic constant names 0092 [r, res] = mosekopt('symbcon echo(0)'); 0093 sc = res.symbcon; 0094 0095 %% second argument 0096 if nargin > 1 && ~isempty(mpopt) 0097 if ischar(mpopt) %% 2nd arg is FNAME (string) 0098 fname = mpopt; 0099 have_mpopt = 0; 0100 else %% 2nd arg is MPOPT (MATPOWER options vector) 0101 have_mpopt = 1; 0102 verbose = mpopt(31); %% VERBOSE 0103 if mpopt(116) %% MOSEK_OPT 0104 fname = sprintf('mosek_user_options_%d', mpopt(116)); 0105 end 0106 end 0107 else 0108 have_mpopt = 0; 0109 end 0110 0111 %%----- set default options for MOSEK ----- 0112 %% solution algorithm 0113 if have_mpopt 0114 alg = mpopt(111); %% MOSEK_LP_ALG 0115 switch alg 0116 case { sc.MSK_OPTIMIZER_FREE, %% 0 0117 sc.MSK_OPTIMIZER_INTPNT, %% 1 0118 sc.MSK_OPTIMIZER_PRIMAL_SIMPLEX, %% 4 0119 sc.MSK_OPTIMIZER_DUAL_SIMPLEX, %% 5 0120 sc.MSK_OPTIMIZER_PRIMAL_DUAL_SIMPLEX, %% 6 0121 sc.MSK_OPTIMIZER_FREE_SIMPLEX, %% 7 0122 sc.MSK_OPTIMIZER_CONCURRENT } %% 10 0123 opt.MSK_IPAR_OPTIMIZER = alg; 0124 otherwise 0125 opt.MSK_IPAR_OPTIMIZER = sc.MSK_OPTIMIZER_FREE; 0126 end 0127 %% (make default OPF_VIOLATION correspond to default MSK_DPAR_INTPNT_TOL_PFEAS) 0128 opt.MSK_DPAR_INTPNT_TOL_PFEAS = mpopt(16)/500; %% OPF_VIOLATION 0129 if mpopt(112) %% MOSEK_MAX_IT 0130 opt.MSK_IPAR_INTPNT_MAX_ITERATIONS = mpopt(112); 0131 end 0132 if mpopt(113) %% MOSEK_GAP_TOL 0133 opt.MSK_DPAR_INTPNT_TOL_REL_GAP = mpopt(113); 0134 end 0135 if mpopt(114) %% MOSEK_MAX_TIME 0136 opt.MSK_DPAR_OPTIMIZER_MAX_TIME = mpopt(114); 0137 end 0138 if mpopt(115) %% MOSEK_NUM_THREADS 0139 opt.MSK_IPAR_INTPNT_NUM_THREADS = mpopt(115); 0140 end 0141 else 0142 opt.MSK_IPAR_OPTIMIZER = sc.MSK_OPTIMIZER_FREE; 0143 end 0144 % opt.MSK_DPAR_INTPNT_TOL_PFEAS = 1e-8; %% primal feasibility tol 0145 % opt.MSK_DPAR_INTPNT_TOL_DFEAS = 1e-8; %% dual feasibility tol 0146 % opt.MSK_DPAR_INTPNT_TOL_MU_RED = 1e-16; %% relative complementarity gap tol 0147 % opt.MSK_DPAR_INTPNT_TOL_REL_GAP = 1e-8; %% relative gap termination tol 0148 % opt.MSK_IPAR_INTPNT_MAX_ITERATIONS = 400; %% max iterations for int point 0149 % opt.MSK_IPAR_SIM_MAX_ITERATIONS = 10000000; %% max iterations for simplex 0150 % opt.MSK_DPAR_OPTIMIZER_MAX_TIME = -1; %% max time allowed (< 0 --> Inf) 0151 % opt.MSK_IPAR_INTPNT_NUM_THREADS = 1; %% number of threads 0152 % opt.MSK_IPAR_PRESOLVE_USE = sc.MSK_PRESOLVE_MODE_OFF; 0153 0154 % if verbose == 0 0155 % opt.MSK_IPAR_LOG = 0; 0156 % end 0157 0158 %%----- call user function to modify defaults ----- 0159 if ~isempty(fname) 0160 if have_mpopt 0161 opt = feval(fname, opt, mpopt); 0162 else 0163 opt = feval(fname, opt); 0164 end 0165 end 0166 0167 %%----- apply overrides ----- 0168 if nargin > 0 && ~isempty(overrides) 0169 names = fieldnames(overrides); 0170 for k = 1:length(names) 0171 opt.(names{k}) = overrides.(names{k}); 0172 end 0173 end