February 1, 2012
Just for my own reference, I’m documenting the interface to CPLEX.
CPLEX expects a problem in the form ( \begin{split} \min \qquad & g^Td + \frac12 d^TWd\ \text{subject to} \qquad & c_L \leq Ad \leq c_U\ & d_L \leq d \leq d_U \end{split} ) and is called by
cplex = Cplex('test'); cplex.Param.feasopt.tolerance.Cur = 1e-8; if params.printLevel < 8 cplex.DisplayFunc = []; end cplex.Model.sense = 'minimize'; cplex.Param.qpmethod.Cur = 1; cplex.addCols(gk,[],bl-xk,bu-xk); cplex.addRows(-ck, A0, -ck); cplex.