package com.mosek.fusion.examples;
/**
  Copyright: Copyright (c) MOSEK ApS, Denmark. All rights reserved.

  File:      lownerjohn_ellipsoid.java

  Purpose:
  Computes the Lowner-John inner and outer ellipsoidal
  approximations of a polytope.

  References:
    [1] "Lectures on Modern Optimization", Ben-Tal and Nemirovski, 2000.
    [2] "MOSEK modeling manual", 2013
*/

import java.util.Arrays;
import mosek.fusion.*;

public class lownerjohn_ellipsoid {
  /**
   Purpose: Models the hypograph of the n-th power of the
   determinant of a positive definite matrix. See [1,2] for more details.

   The convex set (a hypograph)

   C = { (X, t) \in S^n_+ x R |  t <= det(X)^{1/n} },

   can be modeled as the intersection of a semidefinite cone

   [ X, Z; Z^T Diag(Z) ] >= 0

   and a geometric mean cone

   t <= (Z11*Z22*...*Znn)^{1/n}
   */
  public static Variable det_rootn(Model M, Variable t, int n) {
    // Setup variables
    Variable Y = M.variable(Domain.inPSDCone(2 * n));

    Variable X   = Y.slice(new int[]{0, 0}, new int[]{n, n});
    Variable Z   = Y.slice(new int[]{0, n}, new int[]{n, 2 * n});
    Variable DZ  = Y.slice(new int[]{n, n}, new int[]{2 * n, 2 * n});

    // Z is lower-triangular
    int low_tri[][] = new int[n*(n-1)/2][2];
    int k = 0;
    for(int i = 0; i < n; i++)
      for(int j = i+1; j < n; j++)
        { low_tri[k][0] = i; low_tri[k][1] = j; ++k; }
    M.constraint(Z.pick(low_tri), Domain.equalsTo(0.0));
    // DZ = Diag(Z)
    M.constraint(Expr.sub(DZ, Expr.mulElm(Z, Matrix.eye(n))), Domain.equalsTo(0.0));

    // (Z11*Z22*...*Znn) >= t^n
    M.constraint(Expr.vstack(DZ.diag(), t), Domain.inPGeoMeanCone());

    // Return an n x n PSD variable which satisfies t <= det(X)^(1/n)
    return X;
  }


  /**
  The inner ellipsoidal approximation to a polytope

     S = { x \in R^n | Ax < b }.

  maximizes the volume of the inscribed ellipsoid,

     { x | x = C*u + d, || u ||_2 <= 1 }.

  The volume is proportional to det(C)^(1/n), so the
  problem can be solved as

    maximize         t
    subject to       t       <= det(C)^(1/n)
                || C*ai ||_2 <= bi - ai^T * d,  i=1,...,m
                C is PSD

  which is equivalent to a mixed conic quadratic and semidefinite
  programming problem.
  */
  public static Object[] lownerjohn_inner(double[][] A, double[] b)
  throws SolutionError {
    Model M = new Model("lownerjohn_inner");
    try {
      int m = A.length;
      int n = A[0].length;

      //Setup variables
      Variable t = M.variable("t", 1, Domain.greaterThan(0.0));
      Variable C = det_rootn(M, t, n);
      Variable d = M.variable("d", n, Domain.unbounded());

      // (b-Ad, AC) generate cones
      M.constraint("qc", Expr.hstack(Expr.sub(b, Expr.mul(A, d)), Expr.mul(A, C)),
                   Domain.inQCone());

      // Objective: Maximize t
      M.objective(ObjectiveSense.Maximize, t);
      M.solve();

      return new Object[] {C.level(), d.level()};
    } finally {
      M.dispose();
    }
  }

  /**
  The outer ellipsoidal approximation to a polytope given
  as the convex hull of a set of points

    S = conv{ x1, x2, ... , xm }

  minimizes the volume of the enclosing ellipsoid,

    { x | || P*x-c ||_2 <= 1 }

  The volume is proportional to det(P)^{-1/n}, so the problem can
  be solved as

    maximize         t
    subject to       t       <= det(P)^(1/n)
                || P*xi - c ||_2 <= 1,  i=1,...,m
                P is PSD.
  */
  public static Object[] lownerjohn_outer(double[][] x)
  throws SolutionError {
    Model M = new Model("lownerjohn_outer");
    try {
      int m = x.length;
      int n = x[0].length;

      //Setup variables
      Variable t = M.variable("t", 1, Domain.greaterThan(0.0));
      Variable P = det_rootn(M, t, n);
      Variable c = M.variable("c", n, Domain.unbounded());

      //(1, Px-c) in cone
      M.constraint("qc",
                   Expr.hstack(Expr.ones(m),
                               Expr.sub(Expr.mul(x, P),
                                        Var.reshape(Var.repeat(c, m), new int[] {m, n})
                                       )
                              ),
                   Domain.inQCone());

      //Objective: Maximize t
      M.objective(ObjectiveSense.Maximize, t);
      M.solve();

      return new Object[] {P.level(), c.level()};
    } finally {
      M.dispose();
    }
  }

  /**************************************************************************************/
  public static void main(String[] argv)
  throws SolutionError {
    //The list of vertices of a polygon
    final double[][] p = { {0., 0.}, {1., 3.}, {5.5, 4.5}, {7., 4.}, {7., 1.}, {3., -2.}  };
    double[][] A = new double[p.length][];
    double[]   b = new double[p.length];
    int n = p.length;

    //The h-representation of that polygon
    for (int i = 0; i < n; ++i) {
      A[i] = new double[] { -p[i][1] + p[(i - 1 + n) % n][1], p[i][0] - p[(i - 1 + n) % n][0] };
      b[i] = A[i][0] * p[i][0] + A[i][1] * p[i][1];
    }

    Object[] ResInn = lownerjohn_inner(A, b);
    Object[] ResOut = lownerjohn_outer(p);
    double[] Ci = (double[]) ResInn[0];
    double[] di = (double[]) ResInn[1];
    double[] Po = (double[]) ResOut[0];
    double[] co = (double[]) ResOut[1];
    System.out.println("Inner:");
    System.out.println("  C = " + Arrays.toString(Ci));
    System.out.println("  d = " + Arrays.toString(di));
    System.out.println("Outer:");
    System.out.println("  P = " + Arrays.toString(Po));
    System.out.println("  c = " + Arrays.toString(co));
  }
}