Source code for naginterfaces.library.examples.opt.handle_solve_socp_ipm_ex

#!/usr/bin/env python3
"``naginterfaces.library.opt.handle_solve_socp_ipm`` Python Example."

# NAG Copyright 2019-2020.

# pylint: disable=invalid-name

from naginterfaces.base import utils
from naginterfaces.library import opt

def main():
    """
    Example for :func:`naginterfaces.library.opt.handle_solve_socp_ipm`.

    Second order cone programming based on an interior point method.

    >>> main()
    naginterfaces.library.opt.handle_solve_socp_ipm Python Example Results.
    Solve a small SOCP problem.
     E04PT, Interior point method for SOCP problems
     Status: converged, an optimal solution found
     Final primal objective value -1.951817E+01
     Final dual objective value   -1.951817E+01
    """

    print(
        'naginterfaces.library.opt.handle_solve_socp_ipm '
        'Python Example Results.'
    )
    print('Solve a small SOCP problem.')

    # The problem size:
    n = 3

    # Create the problem handle:
    handle = opt.handle_init(nvar=n)

    # Set objective function
    opt.handle_set_linobj(handle, cvec=[10.0, 20.0, 1.0])

    # Set box constraints
    opt.handle_set_simplebounds(
        handle,
        bl=[-2.0, -2.0, -1.e20],
        bu=[2.0, 2.0, 1.e20]
    )

    # Set linear constraints
    opt.handle_set_linconstr(
        handle,
        bl=[-1.e20, 1.0],
        bu=[1.5, 1.e20],
        irowb=[1, 1, 1, 2, 2, 2],
        icolb=[1, 2, 3, 1, 2, 3],
        b=[-0.1, -0.1, 1.0, -0.06, 1.0, 1.0]
    )

    # Set cone constraint
    opt.handle_set_group(
        handle,
        gtype='Q',
        group=[3, 1, 2],
        idgroup=0
    )

    # Set some algorithmic options.
    for option in [
            'Print Options = NO',
            'Print Level = 1'
    ]:
        opt.handle_opt_set(handle, option)

    # Use an explicit I/O manager for abbreviated iteration output:
    iom = utils.FileObjManager(locus_in_output=False)

    # Call SOCP interior point solver
    opt.handle_solve_socp_ipm(handle, io_manager=iom)

    # Destroy the handle:
    opt.handle_free(handle)

if __name__ == '__main__':
    import doctest
    import sys
    sys.exit(
        doctest.testmod(
            None, verbose=True, report=False,
            optionflags=doctest.ELLIPSIS | doctest.REPORT_NDIFF,
        ).failed
    )