/usr/include/shogun/mathematics/Mosek.h is in libshogun-dev 3.2.0-7.3build4.
This file is owned by root:root, with mode 0o644.
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* This program is free software; you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation; either version 3 of the License, or
* (at your option) any later version.
*
* Written (W) 2012 Fernando José Iglesias García
* Copyright (C) 2012 Fernando José Iglesias García
*/
#ifndef _CMOSEK__H__
#define _CMOSEK__H__
#ifdef USE_MOSEK
#include <shogun/base/SGObject.h>
#include <shogun/lib/SGMatrix.h>
#include <mosek.h>
namespace shogun
{
/** @brief Class CMosek to encapsulate access to the commercial MOSEK
* purpose optimizer.
*
* This class provides methods to set up optimization problems that are
* used in shogun, e.g. from PrimalMosekSOSVM.
*/
class CMosek : public CSGObject
{
public:
/** default constructor */
CMosek();
/**
* constructor to initialize the environment and an
* optimization task. It accepts two arguments to use
* as estimates on the maximum number of constraints in the
* task. The use of these arguments may speed up inputting,
* although it is not necessary. If these values are unknown,
* set them to zero.
*
* @param num_con estimate on the maximum number of constraints
* @param num_var estimate on the maximum number of variables
*/
CMosek(int32_t num_con, int32_t num_var);
/** destructor */
~CMosek();
/** get rescode
*
* @return rescode result code of internal MOSEK functions
*/
inline MSKrescodee get_rescode() const { return m_rescode; }
/**
* method used to direct the log stream of MOSEK
* functions to SG_PRINT
*
* @param handle function handler
* @param str string to print on screen
*/
static void MSKAPI print(void* handle, char str[]);
/**
* initialize some of the terms for the optimization
* problem to solve in SO-SVM. These terms are basically
* those which does not change in the main loop of the
* cutting plane algorithm.
*
* @param M dimensionality of the joint feature space
* @param N number of training examples
* @param C regularization matrix for the optimization vector
* @param lb lower bounds for the optimization vector
* @param ub upper bounds for the optimization vector
* @param A constraints matrix
* @param b upper bounds for the constraints
*
* @return MSK result code
*/
MSKrescodee init_sosvm(int32_t M, int32_t N,
int32_t num_aux, int32_t num_aux_con,
SGMatrix< float64_t > C, SGVector< float64_t > lb,
SGVector< float64_t > ub, SGMatrix< float64_t > A,
SGVector< float64_t > b);
/**
* adds a constraint to the MOSEK optimization task of
* the type used in SO-SVM.
*
* @param dPsi leftmost part of the constraint
* @param con_idx row index in A of the constraint
* @param train_idx index of the training example
* associated to the new constraint
* @param bi upper bound of the constraint
*
* @return MSK result code
*/
MSKrescodee add_constraint_sosvm(SGVector< float64_t > dPsi,
index_t con_idx, index_t train_idx, int32_t num_aux,
float64_t bi);
/**
* wrapper for MOSEK's function MSK_putaveclist used
* to set the values in the linear constraint matrix A
*
* @param task an optimization task
* @param A new linear constraint matrix
*
* @return MSK result code
*/
static MSKrescodee wrapper_putaveclist(MSKtask_t & task, SGMatrix< float64_t > A);
/**
* wrapper for MOSEK's function MSK_putboundlist used
* to set the bounds for either some constraints or variables
*
* @param task an optimization task
* @param b vector with bounds
*
* @return MSK result code
*/
static MSKrescodee wrapper_putboundlist(MSKtask_t & task, SGVector< float64_t > b);
/**
* wrapper for MOSEK's function MSK_putqobj used to
* set the values in the regularization matrix of the
* quadratic objective term
*
* @param Q0 new regularization matrix, assumed to be
* symmetric
*
* @return MSK result code
*/
MSKrescodee wrapper_putqobj(SGMatrix< float64_t > Q0) const;
/** solve the optimization task member
*
* @param sol where to write the optimization vector
*
* @return MSK result code
*/
MSKrescodee optimize(SGVector< float64_t > sol);
/** free resources associated to MOSEK task and environment */
void delete_problem();
/**
* prints the terms involved in the problem that have been given
* to the task. Currently this method shows the terms that appear
* in the QP that takes the form
*
* min_x 0.5*x'*Q^0*x + c'*x
* s.t. A*x <= b, lb <= x <= ub
*/
void display_problem();
/**
* Obtains the primal objective value for a solution.
*
* @return the primal objective value.
*/
float64_t get_primal_objective_value() const;
/** @return object name */
virtual const char* get_name() const { return "Mosek"; }
private:
/** MOSEK environment */
MSKenv_t m_env;
/** MOSEK optimization task */
MSKtask_t m_task;
/** MOSEK response code */
MSKrescodee m_rescode;
};
} /* namespace shogun */
#endif /* USE_MOSEK */
#endif /* _CMOSEK__H__ */
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