Export Yalmip Model to Cplex Format

[Lun Yang]

Dear professor Löfberg,

I was trying to export Yalmip model to Cplex format. After exporting, I tried to run the model directly in Cplex, but I got a different solution. Please see the code below,

n = 5;

S = randn(n);S = S*S'/1000; 

mu  = rand(1,n)/100;             

w = sdpvar(n,1);

F = [sum(w)==1, 1>=w>=0, w'*S*w<=sum(sum(S))/n^2];

Obj = -mu*w;

options = sdpsettings('solver','cplex');

optimize(F,Obj,options);

value(w)

% Export the model to Cplex, and rerun in Cplex

[model,~,~,~] = export(F,Obj,options);

cmodel = Cplex(model);

sol = cmodel.solve();

sol.x

Is this the correct way to export Yalmip model to Cplex? I am using Matlab 2018a, Cplex 12.8 and Yalmip '20180612'.

Thank you very much.

Best,

Lun Yang

[Johan Löfberg]

The call would be

 [x,fval,exitflag,output] = cplexqcp(model.H, model.f, model.Aineq,model.bineq,model.Aeq,model.beq,model.Li,model.Qi,model.ri,model.lb,model.ub,model.x0,model.options);

and the variables of interest are x(1:length(w)) (YALMIP introduces extra variables to normalize the SOCP cones)

[Lun Yang]

Thank you professor Löfberg. 

In order to get the same results, is there a way to see which Cplex Matlab function Yalmip calls? The reason I am asking is, later when my model is getting complicated, cplexqcp might not be the correct solver function Yalmip calls?

Thank you again,

Best,

Lun Yang

[Johan Löfberg]

which function is called depends on the model of course. You would have to study call_cplexibm_qcmiqp and  call_cplexibm_miqp.m

[Lun Yang]

thank you, exactly what I need.

Lun

[Lun Yang]

I quick follow up question. Is there a way to get the solution pool from directly calling the following

[x,fval,exitflag,output] = cplexqcp(model.H, model.f, model.Aineq,model.bineq,model.Aeq,model.beq,model.Li,model.Qi,model.ri,model.lb,model.ub,model.x0,model.options);

Maybe this is more a Cplex question than Yalmip. It will be great if you know the answer.

thanks,

Lun

[Johan Löfberg]

as you say, that's a cplex question