#!/usr/bin/env python3
"``naginterfaces.library.mip.sqp`` Python Example."
# NAG Copyright 2017-2019.
# pylint: disable=invalid-name,too-many-locals
import numpy as np
from naginterfaces.library import mip
[docs]def main():
"""
Example for :func:`naginterfaces.library.mip.sqp`.
Nonlinear programming with some integer constraints.
>>> main()
naginterfaces.library.mip.sqp Python Example Results.
Solve a portfolio selection problem.
Final objective value is 2.9250000e+00
"""
print('naginterfaces.library.mip.sqp Python Example Results.')
print('Solve a portfolio selection problem.')
# The portfolio parameters:
rho = 10.
p = 3
def cb_confun(mode, varcon, x, cjac, _nstate):
"""The constraint function."""
if mode == 0:
c = [
8.*x[0] + 9.*x[1] + 12.*x[2] + 7.*x[3] - rho,
p - x[4] - x[5] - x[6] - x[7],
]
cjac = np.empty(cjac.shape)
else:
c = np.empty(cjac.shape[0])
cjac = [
[8., 9., 12., 7., 0., 0., 0., 0],
[0.]*cjac.shape[1],
]
return c, cjac
def cb_objfun(mode, varcon, x, objgrd, _nstate):
"""The objective function."""
if mode == 0:
objmip = (
x[0]*(4.*x[0]+3.*x[1]-x[2]) +
x[1]*(3.*x[0]+6.*x[1]+x[2]) +
x[2]*(x[1]-x[0]+10.*x[2])
)
objgrd = np.empty(len(x))
else:
objmip = 0.
objgrd = [
8.*x[0] + 6.*x[1] - 2.*x[2],
6.*x[0] + 12.*x[1] + 2.*x[2],
2.*(x[1]-x[0]) + 20.*x[2],
0., 0., 0., 0., 0.,
]
return objmip, objgrd
# Initialize the solver:
comm = {}
mip.optset('Initialize = sqp', comm)
# The initial guess:
x = [1., 1., 1., 1., 0., 0., 0., 0.]
# There are two nonlinear constraints defined by cb_confun:
ncnln = 2
# The linear constraints:
a = np.array([
[1., 1., 1., 1., 0., 0., 0., 0.],
[-1., 0., 0., 0., 1., 0., 0., 0.],
[0., -1., 0., 0., 0., 1., 0., 0.],
[0., 0., -1., 0., 0., 0., 1., 0.],
[0., 0., 0., -1., 0., 0., 0., 1.],
])
# The linear-constraint constants:
d = [1., 0., 0., 0., 0.]
# The bounds:
bl = [0.]*len(x)
bu = [1000., 1000., 1000., 1000., 1., 1., 1., 1.]
# The types of the variables:
varcon = [
0, 0, 0, 0, 1, 1, 1, 1,
3, 4, 4, 4, 4,
3, 4,
]
# Accuracy parameter:
acc = 1.e-6
objmip = mip.sqp(
ncnln, bl, bu, varcon, x, cb_objfun, comm,
a=a, d=d, confun=cb_confun, acc=acc,
).objmip
print('Final objective value is {:.7e}'.format(objmip))
if __name__ == '__main__':
import doctest
import sys
sys.exit(
doctest.testmod(
None, verbose=True, report=False,
optionflags=doctest.REPORT_NDIFF,
).failed
)
