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 struct (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 struct, uses the following fields:
opf.violation - used to set opt.MSK_DPAR_INTPNT_TOL_PFEAS
verbose - not currently used here
mosek.lp_alg - used to set opt.MSK_IPAR_OPTIMIZER
mosek.max_it - used to set opt.MSK_IPAR_INTPNT_MAX_ITERATIONS
mosek.gap_tol - used to set opt.MSK_DPAR_INTPNT_TOL_REL_GAP
mosek.max_time - used to set opt.MSK_DPAR_OPTIMIZER_MAX_TIME
mosek.num_threads - used to set opt.MSK_IPAR_INTPNT_NUM_THREADS
mosek.opts - struct containing values to use as OVERRIDES
mosek.opt_fname - name of user-supplied function used as FNAME,
except with calling syntax:
MODIFIED_OPT = FNAME(DEFAULT_OPT, MPOPT);
mosek.opt - numbered user option function, if and only if
mosek.opt_fname is empty and mosek.opt is non-zero, the value
of mosek.opt_fname is generated by appending mosek.opt to
'mosek_user_options_' (for backward compatibility with old
MATPOWER option MOSEK_OPT).
Output is a param struct to pass to MOSEKOPT.
There are multiple ways of providing values to override the default
options. Their precedence and order of application are as follows:
With inputs OVERRIDES and FNAME
1. FNAME is called
2. OVERRIDES are applied
With inputs OVERRIDES and MPOPT
1. FNAME (from mosek.opt_fname or mosek.opt) is called
2. mosek.opts (if not empty) are applied
3. OVERRIDES are applied
Example:
If mosek.opt = 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 "The MOSEK optimization toolbox
for MATLAB manaul" for details on the available options. You may also
want to use the symbolic constants defined by MOSEK_SYMBCON.
http://docs.mosek.com/7.1/toolbox/Parameters.html
See also MOSEK_SYMBCON, 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 struct (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 struct, uses the following fields: 0019 % opf.violation - used to set opt.MSK_DPAR_INTPNT_TOL_PFEAS 0020 % verbose - not currently used here 0021 % mosek.lp_alg - used to set opt.MSK_IPAR_OPTIMIZER 0022 % mosek.max_it - used to set opt.MSK_IPAR_INTPNT_MAX_ITERATIONS 0023 % mosek.gap_tol - used to set opt.MSK_DPAR_INTPNT_TOL_REL_GAP 0024 % mosek.max_time - used to set opt.MSK_DPAR_OPTIMIZER_MAX_TIME 0025 % mosek.num_threads - used to set opt.MSK_IPAR_INTPNT_NUM_THREADS 0026 % mosek.opts - struct containing values to use as OVERRIDES 0027 % mosek.opt_fname - name of user-supplied function used as FNAME, 0028 % except with calling syntax: 0029 % MODIFIED_OPT = FNAME(DEFAULT_OPT, MPOPT); 0030 % mosek.opt - numbered user option function, if and only if 0031 % mosek.opt_fname is empty and mosek.opt is non-zero, the value 0032 % of mosek.opt_fname is generated by appending mosek.opt to 0033 % 'mosek_user_options_' (for backward compatibility with old 0034 % MATPOWER option MOSEK_OPT). 0035 % 0036 % Output is a param struct to pass to MOSEKOPT. 0037 % 0038 % There are multiple ways of providing values to override the default 0039 % options. Their precedence and order of application are as follows: 0040 % 0041 % With inputs OVERRIDES and FNAME 0042 % 1. FNAME is called 0043 % 2. OVERRIDES are applied 0044 % With inputs OVERRIDES and MPOPT 0045 % 1. FNAME (from mosek.opt_fname or mosek.opt) is called 0046 % 2. mosek.opts (if not empty) are applied 0047 % 3. OVERRIDES are applied 0048 % 0049 % Example: 0050 % 0051 % If mosek.opt = 3, then after setting the default MOSEK options, 0052 % MOSEK_OPTIONS will execute the following user-defined function 0053 % to allow option overrides: 0054 % 0055 % opt = mosek_user_options_3(opt, mpopt); 0056 % 0057 % The contents of mosek_user_options_3.m, could be something like: 0058 % 0059 % function opt = mosek_user_options_3(opt, mpopt) 0060 % opt.MSK_DPAR_INTPNT_TOL_DFEAS = 1e-9; 0061 % opt.MSK_IPAR_SIM_MAX_ITERATIONS = 5000000; 0062 % 0063 % See the Parameters reference in "The MOSEK optimization toolbox 0064 % for MATLAB manaul" for details on the available options. You may also 0065 % want to use the symbolic constants defined by MOSEK_SYMBCON. 0066 % 0067 % http://docs.mosek.com/7.1/toolbox/Parameters.html 0068 % 0069 % See also MOSEK_SYMBCON, MOSEKOPT, MPOPTION. 0070 0071 % MATPOWER 0072 % Copyright (c) 2010-2016, Power Systems Engineering Research Center (PSERC) 0073 % by Ray Zimmerman, PSERC Cornell 0074 % 0075 % This file is part of MATPOWER. 0076 % Covered by the 3-clause BSD License (see LICENSE file for details). 0077 % See http://www.pserc.cornell.edu/matpower/ for more info. 0078 0079 %%----- initialization and arg handling ----- 0080 %% defaults 0081 verbose = 2; 0082 gaptol = 0; 0083 fname = ''; 0084 0085 %% get symbolic constant names 0086 sc = mosek_symbcon; 0087 0088 %% second argument 0089 if nargin > 1 && ~isempty(mpopt) 0090 if ischar(mpopt) %% 2nd arg is FNAME (string) 0091 fname = mpopt; 0092 have_mpopt = 0; 0093 else %% 2nd arg is MPOPT (MATPOWER options struct) 0094 have_mpopt = 1; 0095 verbose = mpopt.verbose; 0096 if isfield(mpopt.mosek, 'opt_fname') && ~isempty(mpopt.mosek.opt_fname) 0097 fname = mpopt.mosek.opt_fname; 0098 elseif mpopt.mosek.opt 0099 fname = sprintf('mosek_user_options_%d', mpopt.mosek.opt); 0100 end 0101 end 0102 else 0103 have_mpopt = 0; 0104 end 0105 0106 %%----- set default options for MOSEK ----- 0107 %% solution algorithm 0108 if have_mpopt 0109 vnum = have_fcn('mosek', 'vnum'); 0110 valid_alg = { %% v6.x v7.x v8.x 0111 sc.MSK_OPTIMIZER_FREE, %% 0 0 2 0112 sc.MSK_OPTIMIZER_INTPNT, %% 1 1 4 0113 sc.MSK_OPTIMIZER_PRIMAL_SIMPLEX, %% 4 3 6 0114 sc.MSK_OPTIMIZER_DUAL_SIMPLEX, %% 5 4 1 0115 sc.MSK_OPTIMIZER_FREE_SIMPLEX %% 7 6 3 0116 }; 0117 if vnum < 8 0118 valid_alg{end+1} = ... 0119 sc.MSK_OPTIMIZER_PRIMAL_DUAL_SIMPLEX; %% 6 5 - 0120 valid_alg{end+1} = ... 0121 sc.MSK_OPTIMIZER_CONCURRENT; %% 10 10 - 0122 end 0123 if vnum >= 7 && vnum < 8 0124 valid_alg{end+1} = ... 0125 sc.MSK_OPTIMIZER_NETWORK_PRIMAL_SIMPLEX;%% - 7 - 0126 end 0127 0128 alg = mpopt.mosek.lp_alg; 0129 switch alg 0130 case valid_alg 0131 opt.MSK_IPAR_OPTIMIZER = alg; 0132 otherwise 0133 if alg == 0 %% MATPOWER still interprets this to be 'default' 0134 %% even for MOSEK 8, since the conic optimizer is 0135 %% not directly supported by mi/qps_matpower() 0136 opt.MSK_IPAR_OPTIMIZER = sc.MSK_OPTIMIZER_FREE; 0137 else 0138 error('mosek_options: %d is not a valid value for MSK_IPAR_OPTIMIZER', alg); 0139 end 0140 end 0141 0142 %% (make default opf.violation correspond to default MSK_DPAR_INTPNT_TOL_PFEAS) 0143 opt.MSK_DPAR_INTPNT_TOL_PFEAS = mpopt.opf.violation/500; 0144 if mpopt.mosek.max_it 0145 opt.MSK_IPAR_INTPNT_MAX_ITERATIONS = mpopt.mosek.max_it; 0146 end 0147 if mpopt.mosek.gap_tol 0148 opt.MSK_DPAR_INTPNT_TOL_REL_GAP = mpopt.mosek.gap_tol; 0149 end 0150 if mpopt.mosek.max_time 0151 opt.MSK_DPAR_OPTIMIZER_MAX_TIME = mpopt.mosek.max_time; 0152 end 0153 if mpopt.mosek.num_threads 0154 if have_fcn('mosek', 'vnum') < 7 0155 opt.MSK_IPAR_INTPNT_NUM_THREADS = mpopt.mosek.num_threads; 0156 else 0157 opt.MSK_IPAR_NUM_THREADS = mpopt.mosek.num_threads; 0158 end 0159 end 0160 else 0161 opt.MSK_IPAR_OPTIMIZER = sc.MSK_OPTIMIZER_FREE; 0162 end 0163 % opt.MSK_DPAR_INTPNT_TOL_PFEAS = 1e-8; %% primal feasibility tol 0164 % opt.MSK_DPAR_INTPNT_TOL_DFEAS = 1e-8; %% dual feasibility tol 0165 % opt.MSK_DPAR_INTPNT_TOL_MU_RED = 1e-16; %% relative complementarity gap tol 0166 % opt.MSK_DPAR_INTPNT_TOL_REL_GAP = 1e-8; %% relative gap termination tol 0167 % opt.MSK_IPAR_INTPNT_MAX_ITERATIONS = 400; %% max iterations for int point 0168 % opt.MSK_IPAR_SIM_MAX_ITERATIONS = 10000000; %% max iterations for simplex 0169 % opt.MSK_DPAR_OPTIMIZER_MAX_TIME = -1; %% max time allowed (< 0 --> Inf) 0170 % opt.MSK_IPAR_INTPNT_NUM_THREADS = 1; %% number of threads 0171 % opt.MSK_IPAR_PRESOLVE_USE = sc.MSK_PRESOLVE_MODE_OFF; 0172 0173 % if verbose == 0 0174 % opt.MSK_IPAR_LOG = 0; 0175 % end 0176 0177 %%----- call user function to modify defaults ----- 0178 if ~isempty(fname) 0179 if have_mpopt 0180 opt = feval(fname, opt, mpopt); 0181 else 0182 opt = feval(fname, opt); 0183 end 0184 end 0185 0186 %%----- apply overrides ----- 0187 if have_mpopt && isfield(mpopt.mosek, 'opts') && ~isempty(mpopt.mosek.opts) 0188 opt = nested_struct_copy(opt, mpopt.mosek.opts); 0189 end 0190 if nargin > 0 && ~isempty(overrides) 0191 opt = nested_struct_copy(opt, overrides); 0192 end