Class QP_Param
Defined in File qp_param.h
Inheritance Relationships
Base Type
public MathOpt::MP_Param(Class MP_Param)
Class Documentation
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class QP_Param : public MathOpt::MP_Param
A class to handle parameterized quadratic programs (QP), defined as.
\[ \min_y \frac{1}{2}y^TQy + c^Ty + (Cx)^T y + d^T x \]Subject to\[\begin{split}\begin{eqnarray} Ax + By &\leq& b \\ y &\geq& 0 \end{eqnarray}\end{split}\]The shape of C is \(numVars \times numParams\)Public Functions
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inline explicit QP_Param(GRBEnv *env = nullptr)
Standard void constructor.
- Parameters
env – A pointer to the Gurobi environment
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QP_Param(const arma::sp_mat &Q_in, const arma::sp_mat &C_in, const arma::sp_mat &A_in, const arma::sp_mat &B_in, const arma::vec &c_in, const arma::vec &b_in, const arma::vec &d_in, GRBEnv *env = nullptr)
Empty constructor initializing only the Gurobi environment.
Constructor to set the data with copies.
Set data at construct time
Warning
The input data may be corrupted after
- Parameters
Q_in – Quadratic term for y in the objective
C_in – Bi-linear term for x-y in the objective
A_in – Matrix of constraints for the parameters x
B_in – Matrix of constraints for the variables y
c_in – Vector of linear terms for y in the objective
b_in – Vector of RHS in the constraints
env – A Gurobi Environment pointer
- Returns
A pointer to this
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inline QP_Param(const QP_Param &Qu)
A copy constructor given a QP_Param.
- Parameters
Qu – The copied model
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virtual QP_Param &set(const arma::sp_mat &Q_in, const arma::sp_mat &C_in, const arma::sp_mat &A_in, const arma::sp_mat &B_in, const arma::vec &c_in, const arma::vec &b_in, const arma::vec &d_in) final
Constructor to set the data, while keeping the input objects intact.
- Parameters
Q_in – Quadratic term for y in the objective
C_in – Bi-linear term for x-y in the objective
A_in – Matrix of constraints for the parameters x
B_in – Matrix of constraints for the variables y
c_in – Vector of linear terms for y in the objective
b_in – Vector of RHS in the constraints
d_in – Vector of linear terms for x in the objective
- Returns
A pointer to this
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virtual QP_Param &set(arma::sp_mat &&Q_in, arma::sp_mat &&C_in, arma::sp_mat &&A_in, arma::sp_mat &&B_in, arma::vec &&c_in, arma::vec &&b_in, arma::vec &&d_in) final
Constructor to set the data through std::move.
Warning
The input data may be corrupted after
- Parameters
Q_in – Quadratic term for y in the objective
C_in – Bi-linear term for x-y in the objective
A_in – Matrix of constraints for the parameters x
B_in – Matrix of constraints for the variables y
c_in – Vector of linear terms for y in the objective
b_in – Vector of RHS in the constraints
d_in – Vector of linear terms for x in the objective
- Returns
A pointer to this
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virtual QP_Param &set(const QP_Objective &obj, const QP_Constraints &cons) final
A copy constructor given a QP_Objective and QP_Constraints.
- Parameters
obj – The objective
cons – The constraints object
- Returns
A pointer to this
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virtual QP_Param &set(QP_Objective &&obj, QP_Constraints &&cons) final
A move constructor given a QP_Objective and QP_Constraints.
Warning
The input data may be corrupted after
- Parameters
obj – The objective
cons – The constraints object
- Returns
A pointer to this
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bool operator==(const QP_Param &Q2) const
Compares two QP_param objects.
- Parameters
Q2 – The second QP_Param
- Returns
True if the objects are identical
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virtual unsigned int KKT(arma::sp_mat &M, arma::sp_mat &N, arma::vec &q) const override
Writes the KKT condition of the parameterized QP. As per the convention, y is the decision variable for the QP and that is parameterized in x. The KKT conditions are \(0 \leq y \perp My + Nx + q \geq 0\).
- Parameters
M – The output M term
N – The output N term
q – The output q term
- Returns
An int containing the rows of
M
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virtual std::unique_ptr<GRBModel> solveFixed(arma::vec x, bool solve) override
Given a value for the parameters \(x\) in the definition of QP_Param, returns a pointer to the parameterized MIP program. Note that the method.
- Parameters
x – The parametrized values of x
solve – If the returned model is solved
- Returns
a pointer to a copy of the model. In this way, valid cuts and cut pools are kept each time the method is invoked. In terms of game theory, this can be viewed as the best response for a set of decisions by other players.
- Returns
A pointer to the Gurobi model
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virtual void save(const std::string &filename, bool append) const override
Writes a given parameterized QP to a set of files. Writes a given parameterized Mathematical program to a set of files. One file is written for each attribute namely.
To contrast see, MathOpt::QP_Param::save where all details are written to a single loadable file
- Parameters
filename – The filename
append – True if the content is appended
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virtual long int load(const std::string &filename, long int pos = 0) override
Inverses the operation of QP_Param::save by loading the object from a file.
Warning
Call MP_Param(GRBEnv *env) before loading
Private Functions
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void makeyQy()
Creates the quadratic term (in the y variables) and sets QP_Param::MadeyQy to true.
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inline explicit QP_Param(GRBEnv *env = nullptr)