Mosek.h

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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/lib/config.h>

#include <shogun/base/SGObject.h>
#include <shogun/lib/SGMatrix.h>

#include <mosek.h>

namespace shogun
{

class CMosek : public CSGObject
{

    public:
        CMosek();

        CMosek(int32_t num_con, int32_t num_var);

        ~CMosek();

        inline MSKrescodee get_rescode() const { return m_rescode; }

        static void MSKAPI print(void* handle, char str[]);

        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);

        MSKrescodee add_constraint_sosvm(SGVector< float64_t > dPsi,
                index_t con_idx, index_t train_idx, int32_t num_aux,
                float64_t bi);

        static MSKrescodee wrapper_putaveclist(MSKtask_t & task, SGMatrix< float64_t > A);

        static MSKrescodee wrapper_putboundlist(MSKtask_t & task, SGVector< float64_t > b);

        MSKrescodee wrapper_putqobj(SGMatrix< float64_t > Q0) const;

        MSKrescodee optimize(SGVector< float64_t > sol);

        void delete_problem();

        void display_problem();

        float64_t get_primal_objective_value() const;

        virtual const char* get_name() const { return "Mosek"; }

    private:
        MSKenv_t m_env;

        MSKtask_t m_task;

        MSKrescodee m_rescode;
};

} /* namespace shogun */

#endif /* USE_MOSEK */
#endif /* _CMOSEK__H__ */