Home > matpower6.0 > miqps_matpower.m

miqps_matpower

PURPOSE ^

MIQPS_MATPOWER Mixed Integer Quadratic Program Solver for MATPOWER.

SYNOPSIS ^

function [x, f, eflag, output, lambda] = miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype, opt)

DESCRIPTION ^

MIQPS_MATPOWER  Mixed Integer Quadratic Program Solver for MATPOWER.
   [X, F, EXITFLAG, OUTPUT, LAMBDA] = ...
       MIQPS_MATPOWER(H, C, A, L, U, XMIN, XMAX, X0, VTYPE, OPT)
   A common wrapper function for various QP solvers. 
   Solves the following QP (quadratic programming) problem:

       min 1/2 X'*H*X + C'*X
        X

   subject to

       L <= A*X <= U       (linear constraints)
       XMIN <= X <= XMAX   (variable bounds)

   Inputs (all optional except H, C, A and L):
       H : matrix (possibly sparse) of quadratic cost coefficients
       C : vector of linear cost coefficients
       A, L, U : define the optional linear constraints. Default
           values for the elements of L and U are -Inf and Inf,
           respectively.
       XMIN, XMAX : optional lower and upper bounds on the
           X variables, defaults are -Inf and Inf, respectively.
       X0 : optional starting value of optimization vector X
       VTYPE : character string of length NX (number of elements in X),
               or 1 (value applies to all variables in x),
               allowed values are 'C' (continuous), 'B' (binary),
               'I' (integer), 'S' (semi-continuous), or 'N' (semi-integer).
               (MOSEK, GLPK, OT allow only 'C', 'B', or 'I')
       OPT : optional options structure with the following fields,
           all of which are also optional (default values shown in
           parentheses)
           alg ('DEFAULT') : determines which solver to use, can be either
                   a (new-style) string or an (old-style) numerical alg code
               'DEFAULT' : (or 0) automatic, first available of CPLEX,
                       Gurobi, MOSEK, Opt Tbx (MILPs only), GLPK (MILPs only)
               'CPLEX'   : (or 500) CPLEX
               'GLPK'    : GLPK, (MILP problems only, i.e. empty H matrix)
               'GUROBI'  : (or 700) Gurobi
               'MOSEK'   : (or 600) MOSEK
               'OT'      : (or 300) Optimization Toolbox, INTLINPROG
                           (MILP problems only, i.e. empty H matrix)
           verbose (0) - controls level of progress output displayed
               0 = no progress output
               1 = some progress output
               2 = verbose progress output
           skip_prices (0) - flag that specifies whether or not to
               skip the price computation stage, in which the problem
               is re-solved for only the continuous variables, with all
               others being constrained to their solved values
           price_stage_warn_tol (1e-7) - tolerance on the objective fcn
               value and primal variable relative match required to avoid
               mis-match warning message
           cplex_opt - options struct for CPLEX
           glpk_opt    - options struct for GLPK
           grb_opt   - options struct for GBUROBI_MEX
           intlinprog_opt - options struct for INTLINPROG
           linprog_opt - options struct for LINPROG
           mosek_opt - options struct for MOSEK
       PROBLEM : The inputs can alternatively be supplied in a single
           PROBLEM struct with fields corresponding to the input arguments
           described above: H, c, A, l, u, xmin, xmax, x0, vtype, opt

   Outputs:
       X : solution vector
       F : final objective function value
       EXITFLAG : exit flag
           1 = converged
           0 or negative values = algorithm specific failure codes
       OUTPUT : output struct with the following fields:
           alg - algorithm code of solver used
           (others) - algorithm specific fields
       LAMBDA : struct containing the Langrange and Kuhn-Tucker
           multipliers on the constraints, with fields:
           mu_l - lower (left-hand) limit on linear constraints
           mu_u - upper (right-hand) limit on linear constraints
           lower - lower bound on optimization variables
           upper - upper bound on optimization variables

   Note the calling syntax is almost identical to that of QUADPROG
   from MathWorks' Optimization Toolbox. The main difference is that
   the linear constraints are specified with A, L, U instead of
   A, B, Aeq, Beq.

   Calling syntax options:
       [x, f, exitflag, output, lambda] = ...
           miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype, opt)

       x = miqps_matpower(H, c, A, l, u)
       x = miqps_matpower(H, c, A, l, u, xmin, xmax)
       x = miqps_matpower(H, c, A, l, u, xmin, xmax, x0)
       x = miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype)
       x = miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype, opt)
       x = miqps_matpower(problem), where problem is a struct with fields:
                       H, c, A, l, u, xmin, xmax, x0, vtype, opt
                       all fields except 'c', 'A' and 'l' or 'u' are optional
       x = miqps_matpower(...)
       [x, f] = miqps_matpower(...)
       [x, f, exitflag] = miqps_matpower(...)
       [x, f, exitflag, output] = miqps_matpower(...)
       [x, f, exitflag, output, lambda] = miqps_matpower(...)

   Example: (problem from from http://www.jmu.edu/docs/sasdoc/sashtml/iml/chap8/sect12.htm)
       H = [   1003.1  4.3     6.3     5.9;
               4.3     2.2     2.1     3.9;
               6.3     2.1     3.5     4.8;
               5.9     3.9     4.8     10  ];
       c = zeros(4,1);
       A = [   1       1       1       1;
               0.17    0.11    0.10    0.18    ];
       l = [1; 0.10];
       u = [1; Inf];
       xmin = zeros(4,1);
       x0 = [1; 0; 0; 1];
       opt = struct('verbose', 2);
       [x, f, s, out, lambda] = miqps_matpower(H, c, A, l, u, xmin, [], x0, vtype, opt);

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

0001 function [x, f, eflag, output, lambda] = miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype, opt)
0002 %MIQPS_MATPOWER  Mixed Integer Quadratic Program Solver for MATPOWER.
0003 %   [X, F, EXITFLAG, OUTPUT, LAMBDA] = ...
0004 %       MIQPS_MATPOWER(H, C, A, L, U, XMIN, XMAX, X0, VTYPE, OPT)
0005 %   A common wrapper function for various QP solvers.
0006 %   Solves the following QP (quadratic programming) problem:
0007 %
0008 %       min 1/2 X'*H*X + C'*X
0009 %        X
0010 %
0011 %   subject to
0012 %
0013 %       L <= A*X <= U       (linear constraints)
0014 %       XMIN <= X <= XMAX   (variable bounds)
0015 %
0016 %   Inputs (all optional except H, C, A and L):
0017 %       H : matrix (possibly sparse) of quadratic cost coefficients
0018 %       C : vector of linear cost coefficients
0019 %       A, L, U : define the optional linear constraints. Default
0020 %           values for the elements of L and U are -Inf and Inf,
0021 %           respectively.
0022 %       XMIN, XMAX : optional lower and upper bounds on the
0023 %           X variables, defaults are -Inf and Inf, respectively.
0024 %       X0 : optional starting value of optimization vector X
0025 %       VTYPE : character string of length NX (number of elements in X),
0026 %               or 1 (value applies to all variables in x),
0027 %               allowed values are 'C' (continuous), 'B' (binary),
0028 %               'I' (integer), 'S' (semi-continuous), or 'N' (semi-integer).
0029 %               (MOSEK, GLPK, OT allow only 'C', 'B', or 'I')
0030 %       OPT : optional options structure with the following fields,
0031 %           all of which are also optional (default values shown in
0032 %           parentheses)
0033 %           alg ('DEFAULT') : determines which solver to use, can be either
0034 %                   a (new-style) string or an (old-style) numerical alg code
0035 %               'DEFAULT' : (or 0) automatic, first available of CPLEX,
0036 %                       Gurobi, MOSEK, Opt Tbx (MILPs only), GLPK (MILPs only)
0037 %               'CPLEX'   : (or 500) CPLEX
0038 %               'GLPK'    : GLPK, (MILP problems only, i.e. empty H matrix)
0039 %               'GUROBI'  : (or 700) Gurobi
0040 %               'MOSEK'   : (or 600) MOSEK
0041 %               'OT'      : (or 300) Optimization Toolbox, INTLINPROG
0042 %                           (MILP problems only, i.e. empty H matrix)
0043 %           verbose (0) - controls level of progress output displayed
0044 %               0 = no progress output
0045 %               1 = some progress output
0046 %               2 = verbose progress output
0047 %           skip_prices (0) - flag that specifies whether or not to
0048 %               skip the price computation stage, in which the problem
0049 %               is re-solved for only the continuous variables, with all
0050 %               others being constrained to their solved values
0051 %           price_stage_warn_tol (1e-7) - tolerance on the objective fcn
0052 %               value and primal variable relative match required to avoid
0053 %               mis-match warning message
0054 %           cplex_opt - options struct for CPLEX
0055 %           glpk_opt    - options struct for GLPK
0056 %           grb_opt   - options struct for GBUROBI_MEX
0057 %           intlinprog_opt - options struct for INTLINPROG
0058 %           linprog_opt - options struct for LINPROG
0059 %           mosek_opt - options struct for MOSEK
0060 %       PROBLEM : The inputs can alternatively be supplied in a single
0061 %           PROBLEM struct with fields corresponding to the input arguments
0062 %           described above: H, c, A, l, u, xmin, xmax, x0, vtype, opt
0063 %
0064 %   Outputs:
0065 %       X : solution vector
0066 %       F : final objective function value
0067 %       EXITFLAG : exit flag
0068 %           1 = converged
0069 %           0 or negative values = algorithm specific failure codes
0070 %       OUTPUT : output struct with the following fields:
0071 %           alg - algorithm code of solver used
0072 %           (others) - algorithm specific fields
0073 %       LAMBDA : struct containing the Langrange and Kuhn-Tucker
0074 %           multipliers on the constraints, with fields:
0075 %           mu_l - lower (left-hand) limit on linear constraints
0076 %           mu_u - upper (right-hand) limit on linear constraints
0077 %           lower - lower bound on optimization variables
0078 %           upper - upper bound on optimization variables
0079 %
0080 %   Note the calling syntax is almost identical to that of QUADPROG
0081 %   from MathWorks' Optimization Toolbox. The main difference is that
0082 %   the linear constraints are specified with A, L, U instead of
0083 %   A, B, Aeq, Beq.
0084 %
0085 %   Calling syntax options:
0086 %       [x, f, exitflag, output, lambda] = ...
0087 %           miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype, opt)
0088 %
0089 %       x = miqps_matpower(H, c, A, l, u)
0090 %       x = miqps_matpower(H, c, A, l, u, xmin, xmax)
0091 %       x = miqps_matpower(H, c, A, l, u, xmin, xmax, x0)
0092 %       x = miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype)
0093 %       x = miqps_matpower(H, c, A, l, u, xmin, xmax, x0, vtype, opt)
0094 %       x = miqps_matpower(problem), where problem is a struct with fields:
0095 %                       H, c, A, l, u, xmin, xmax, x0, vtype, opt
0096 %                       all fields except 'c', 'A' and 'l' or 'u' are optional
0097 %       x = miqps_matpower(...)
0098 %       [x, f] = miqps_matpower(...)
0099 %       [x, f, exitflag] = miqps_matpower(...)
0100 %       [x, f, exitflag, output] = miqps_matpower(...)
0101 %       [x, f, exitflag, output, lambda] = miqps_matpower(...)
0102 %
0103 %   Example: (problem from from http://www.jmu.edu/docs/sasdoc/sashtml/iml/chap8/sect12.htm)
0104 %       H = [   1003.1  4.3     6.3     5.9;
0105 %               4.3     2.2     2.1     3.9;
0106 %               6.3     2.1     3.5     4.8;
0107 %               5.9     3.9     4.8     10  ];
0108 %       c = zeros(4,1);
0109 %       A = [   1       1       1       1;
0110 %               0.17    0.11    0.10    0.18    ];
0111 %       l = [1; 0.10];
0112 %       u = [1; Inf];
0113 %       xmin = zeros(4,1);
0114 %       x0 = [1; 0; 0; 1];
0115 %       opt = struct('verbose', 2);
0116 %       [x, f, s, out, lambda] = miqps_matpower(H, c, A, l, u, xmin, [], x0, vtype, opt);
0117 
0118 %   MATPOWER
0119 %   Copyright (c) 2010-2016, Power Systems Engineering Research Center (PSERC)
0120 %   by Ray Zimmerman, PSERC Cornell
0121 %
0122 %   This file is part of MATPOWER.
0123 %   Covered by the 3-clause BSD License (see LICENSE file for details).
0124 %   See http://www.pserc.cornell.edu/matpower/ for more info.
0125 
0126 %%----- input argument handling  -----
0127 %% gather inputs
0128 if nargin == 1 && isstruct(H)       %% problem struct
0129     p = H;
0130     if isfield(p, 'opt'),   opt = p.opt;    else,   opt = [];   end
0131     if isfield(p, 'vtype'), vtype = p.vtype;else,   vtype = []; end
0132     if isfield(p, 'x0'),    x0 = p.x0;      else,   x0 = [];    end
0133     if isfield(p, 'xmax'),  xmax = p.xmax;  else,   xmax = [];  end
0134     if isfield(p, 'xmin'),  xmin = p.xmin;  else,   xmin = [];  end
0135     if isfield(p, 'u'),     u = p.u;        else,   u = [];     end
0136     if isfield(p, 'l'),     l = p.l;        else,   l = [];     end
0137     if isfield(p, 'A'),     A = p.A;        else,   A = [];     end
0138     if isfield(p, 'c'),     c = p.c;        else,   c = [];     end
0139     if isfield(p, 'H'),     H = p.H;        else,   H = [];     end
0140 else                                %% individual args
0141     if nargin < 10
0142         opt = [];
0143         if nargin < 9
0144             vtype = [];
0145             if nargin < 8
0146                 x0 = [];
0147                 if nargin < 7
0148                     xmax = [];
0149                     if nargin < 6
0150                         xmin = [];
0151                     end
0152                 end
0153             end
0154         end
0155     end
0156 end
0157 
0158 %% default options
0159 if ~isempty(opt) && isfield(opt, 'alg') && ~isempty(opt.alg)
0160     alg = opt.alg;
0161     %% convert integer codes to string values
0162     if ~ischar(alg)
0163         switch alg
0164             case 0
0165                 alg = 'DEFAULT';
0166             case 300
0167                 alg = 'OT';
0168             case 500
0169                 alg = 'CPLEX';
0170             case 600
0171                 alg = 'MOSEK';
0172             case 700
0173                 alg = 'GUROBI';
0174             otherwise
0175                 error('miqps_matpower: %d is not a valid algorithm code', alg);
0176         end
0177     end
0178 else
0179     alg = 'DEFAULT';
0180 end
0181 if ~isempty(opt) && isfield(opt, 'verbose') && ~isempty(opt.verbose)
0182     verbose = opt.verbose;
0183 else
0184     verbose = 0;
0185 end
0186 if strcmp(alg, 'DEFAULT')
0187     if have_fcn('gurobi')       %% use Gurobi by default, if available
0188         alg = 'GUROBI';
0189     elseif have_fcn('cplex')    %% if not, then CPLEX, if available
0190         alg = 'CPLEX';
0191     elseif have_fcn('mosek')    %% if not, then MOSEK, if available
0192         alg = 'MOSEK';
0193     elseif isempty(H) || ~any(any(H))   %% if not, and linear objective
0194         if have_fcn('intlinprog')       %% then Optimization Tbx, if available
0195             alg = 'OT';
0196         elseif have_fcn('glpk')         %% if not, and then GLPK, if available
0197             alg = 'GLPK';
0198         end
0199     else
0200         error('miqps_matpower: no solvers available - requires CPLEX, Gurobi, MOSEK, INTLINPROG or GLPK');
0201     end
0202 end
0203 
0204 %%----- call the appropriate solver  -----
0205 switch alg
0206     case 'CPLEX'
0207         [x, f, eflag, output, lambda] = ...
0208             miqps_cplex(H, c, A, l, u, xmin, xmax, x0, vtype, opt);
0209     case 'GLPK'
0210         [x, f, eflag, output, lambda] = ...
0211             miqps_glpk(H, c, A, l, u, xmin, xmax, x0, vtype, opt);
0212     case 'GUROBI'
0213         [x, f, eflag, output, lambda] = ...
0214             miqps_gurobi(H, c, A, l, u, xmin, xmax, x0, vtype, opt);
0215     case 'MOSEK'
0216         [x, f, eflag, output, lambda] = ...
0217             miqps_mosek(H, c, A, l, u, xmin, xmax, x0, vtype, opt);
0218     case 'OT'
0219         [x, f, eflag, output, lambda] = ...
0220             miqps_ot(H, c, A, l, u, xmin, xmax, x0, vtype, opt);
0221     otherwise
0222         error('miqps_matpower: ''%s'' is not a valid algorithm code', alg);
0223 end
0224 if ~isfield(output, 'alg') || isempty(output.alg)
0225     output.alg = alg;
0226 end

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