% Section 6.5.3, Figure 6.20
% Boyd & Vandenberghe "Convex Optimization"
% Original by Lieven Vandenberghe
% Adapted for CVX by Joelle Skaf - 10/03/05
% (a figure is generated)
%
% Given data u_1,...,u_m and v_1,...,v_m in R, the goal is to fit to the
% data piecewise polynomials with maximum degree 3 (with continuous first
% and second derivatives).
% The [0,1] interval is divided into 3 equal intervals: [-1, -1/3],
% [-1/3,1/3], [1/3,1] with the following polynomials defined on each
% interval respectively:
% p1(t) = x11 + x12*t + x13*t^2 + x14*t^3
% p2(t) = x21 + x22*t + x23*t^2 + x24*t^3
% p3(t) = x31 + x32*t + x33*t^2 + x34*t^3
% L2-norm and Linfty-norm cases are considered

% Input Data
n=4;  % variables per segment
m=40;
randn('state',0);
% generate 50 points ui, vi
u = linspace(-1,1,m);
v = 1./(5+40*u.^2) + 0.1*u.^3 + 0.01*randn(1,m);

a = -1/3;  b = 1/3;  % boundary points
u1 = u(find(u<a)); m1 = length(u1);
u2 = u(find((u >= a) & (u<b)));  m2 = length(u2);
u3 = u(find((u >= b)));  m3 = length(u3);

A1 = vander(u1');   A1 = fliplr(A1(:,m1-n+[1:n]));
A2 = vander(u2');   A2 = fliplr(A2(:,m2-n+[1:n]));
A3 = vander(u3');   A3 = fliplr(A3(:,m3-n+[1:n]));

%L-2 fit
fprintf(1,'Computing splines in the case of L2-norm...');

cvx_begin
    variables x1(n) x2(n) x3(n)
    minimize ( norm( [A1*x1;A2*x2;A3*x3] - v') )
    %continuity conditions at point a
    [1 a a^2   a^3]*x1 == [1 a a^2   a^3]*x2;
    [0 1 2*a 3*a^2]*x1 == [0 1 2*a 3*a^2]*x2;
    [0 0   2 6*a  ]*x1 == [0 0   2 6*a  ]*x2;
    %continuity conditions at point b
    [1 b b^2   b^3]*x2 == [1 b b^2   b^3]*x3;
    [0 1 2*b 3*b^2]*x2 == [0 1 2*b 3*b^2]*x3;
    [0 0   2 6*b  ]*x2 == [0 0   2 6*b  ]*x3;
cvx_end

fprintf(1,'Done! \n');

% L-infty fit
fprintf(1,'Computing splines in the case of Linfty-norm...');

cvx_begin
    variables xl1(n) xl2(n) xl3(n)
    minimize ( norm( [A1*xl1;A2*xl2;A3*xl3] - v', inf) )
    %continuity conditions at point a
    [1 a a^2   a^3]*xl1 == [1 a a^2   a^3]*xl2;
    [0 1 2*a 3*a^2]*xl1 == [0 1 2*a 3*a^2]*xl2;
    [0 0   2 6*a  ]*xl1 == [0 0   2 6*a  ]*xl2;
    %continuity conditions at point b
    [1 b b^2   b^3]*xl2 == [1 b b^2   b^3]*xl3;
    [0 1 2*b 3*b^2]*xl2 == [0 1 2*b 3*b^2]*xl3;
    [0 0   2 6*b  ]*xl2 == [0 0   2 6*b  ]*xl3;
cvx_end

fprintf(1,'Done! \n');

% evaluate the interpolating polynomials using Horner's method
u1s = linspace(-1.0,a,1000)';
p1 = x1(1) + x1(2)*u1s + x1(3)*u1s.^2 + x1(4).*u1s.^3;
p1l1 = xl1(1) + xl1(2)*u1s + xl1(3)*u1s.^2 + xl1(4).*u1s.^3;

u2s = linspace(a,b,1000)';
p2 = x2(1) + x2(2)*u2s + x2(3)*u2s.^2 + x2(4).*u2s.^3;
p2l1 = xl2(1) + xl2(2)*u2s + xl2(3)*u2s.^2 + xl2(4).*u2s.^3;

u3s = linspace(b,1.0,1000)';
p3 = x3(1) + x3(2)*u3s + x3(3)*u3s.^2 + x3(4).*u3s.^3;
p3l1 = xl3(1) + xl3(2)*u3s + xl3(3)*u3s.^2 + xl3(4).*u3s.^3;

us = [u1s;u2s;u3s];
p = [p1;p2;p3];
pl = [p1l1;p2l1;p3l1];
% plot function and cubic splines
d = plot(us,p,'b-',u,v,'go', us,pl,'r--',...
         [-1 -1], [-0.1 0.25], 'k--', [1 1], [-0.1 0.25], 'k--', ...
         [a a], [-0.1 0.25], 'k--', [b b], [-0.1 0.25], 'k--');

title('Approximation using 2 cubic splines');
xlabel('u');
ylabel('f(u)');
legend('L_2 norm','Data points','L_{\infty} norm', 'Location','Best');
% print -deps splineapprox.eps

Computing splines in the case of L2-norm... 
Calling Mosek 9.1.9: 47 variables, 13 equality constraints
   For improved efficiency, Mosek is solving the dual problem.
------------------------------------------------------------

MOSEK Version 9.1.9 (Build date: 2019-11-21 11:32:15)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: MACOSX/64-X86

Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 13              
  Cones                  : 1               
  Scalar variables       : 47              
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer started.
Presolve started.
Linear dependency checker started.
Linear dependency checker terminated.
Eliminator started.
Freed constraints in eliminator : 0
Eliminator terminated.
Eliminator started.
Freed constraints in eliminator : 0
Eliminator terminated.
Eliminator - tries                  : 2                 time                   : 0.00            
Lin. dep.  - tries                  : 1                 time                   : 0.00            
Lin. dep.  - number                 : 0               
Presolve terminated. Time: 0.00    
Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 13              
  Cones                  : 1               
  Scalar variables       : 47              
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer  - threads                : 8               
Optimizer  - solved problem         : the primal      
Optimizer  - Constraints            : 12
Optimizer  - Cones                  : 2
Optimizer  - Scalar variables       : 48                conic                  : 48              
Optimizer  - Semi-definite variables: 0                 scalarized             : 0               
Factor     - setup time             : 0.00              dense det. time        : 0.00            
Factor     - ML order time          : 0.00              GP order time          : 0.00            
Factor     - nonzeros before factor : 78                after factor           : 78              
Factor     - dense dim.             : 0                 flops                  : 2.03e+03        
ITE PFEAS    DFEAS    GFEAS    PRSTATUS   POBJ              DOBJ              MU       TIME  
0   0.0e+00  1.0e+00  2.0e+00  0.00e+00   0.000000000e+00   -1.000000000e+00  1.0e+00  0.00  
1   1.0e-15  1.2e-01  8.6e-02  9.89e-01   -1.876131318e-02  -1.352241468e-01  1.2e-01  0.01  
2   1.0e-15  2.2e-02  8.3e-03  8.52e-01   -1.009678909e-01  -1.162965077e-01  2.2e-02  0.01  
3   4.6e-15  7.1e-04  5.3e-05  8.61e-01   -1.163435428e-01  -1.167380076e-01  7.1e-04  0.01  
4   1.1e-14  5.7e-07  8.3e-10  9.99e-01   -1.166026860e-01  -1.166035383e-01  5.7e-07  0.01  
5   5.3e-13  7.5e-08  4.1e-11  1.00e+00   -1.166032400e-01  -1.166033506e-01  7.5e-08  0.01  
6   6.2e-13  3.6e-09  4.3e-13  1.00e+00   -1.166033515e-01  -1.166033567e-01  3.6e-09  0.01  
Optimizer terminated. Time: 0.01    


Interior-point solution summary
  Problem status  : PRIMAL_AND_DUAL_FEASIBLE
  Solution status : OPTIMAL
  Primal.  obj: -1.1660335149e-01   nrm: 1e+00    Viol.  con: 3e-12    var: 0e+00    cones: 0e+00  
  Dual.    obj: -1.1660335670e-01   nrm: 1e+00    Viol.  con: 0e+00    var: 9e-10    cones: 0e+00  
Optimizer summary
  Optimizer                 -                        time: 0.01    
    Interior-point          - iterations : 6         time: 0.01    
      Basis identification  -                        time: 0.00    
        Primal              - iterations : 0         time: 0.00    
        Dual                - iterations : 0         time: 0.00    
        Clean primal        - iterations : 0         time: 0.00    
        Clean dual          - iterations : 0         time: 0.00    
    Simplex                 -                        time: 0.00    
      Primal simplex        - iterations : 0         time: 0.00    
      Dual simplex          - iterations : 0         time: 0.00    
    Mixed integer           - relaxations: 0         time: 0.00    

------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +0.116603
 
Done! 
Computing splines in the case of Linfty-norm... 
Calling Mosek 9.1.9: 126 variables, 53 equality constraints
   For improved efficiency, Mosek is solving the dual problem.
------------------------------------------------------------

MOSEK Version 9.1.9 (Build date: 2019-11-21 11:32:15)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: MACOSX/64-X86

Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 53              
  Cones                  : 40              
  Scalar variables       : 126             
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer started.
Presolve started.
Linear dependency checker started.
Linear dependency checker terminated.
Eliminator started.
Freed constraints in eliminator : 0
Eliminator terminated.
Eliminator - tries                  : 1                 time                   : 0.00            
Lin. dep.  - tries                  : 1                 time                   : 0.00            
Lin. dep.  - number                 : 0               
Presolve terminated. Time: 0.00    
Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 53              
  Cones                  : 40              
  Scalar variables       : 126             
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer  - threads                : 8               
Optimizer  - solved problem         : the primal      
Optimizer  - Constraints            : 13
Optimizer  - Cones                  : 41
Optimizer  - Scalar variables       : 87                conic                  : 87              
Optimizer  - Semi-definite variables: 0                 scalarized             : 0               
Factor     - setup time             : 0.00              dense det. time        : 0.00            
Factor     - ML order time          : 0.00              GP order time          : 0.00            
Factor     - nonzeros before factor : 91                after factor           : 91              
Factor     - dense dim.             : 0                 flops                  : 3.40e+03        
ITE PFEAS    DFEAS    GFEAS    PRSTATUS   POBJ              DOBJ              MU       TIME  
0   3.9e+01  1.0e+00  1.0e+00  0.00e+00   0.000000000e+00   0.000000000e+00   1.0e+00  0.00  
1   1.9e+01  4.8e-01  6.8e-02  2.86e+00   -5.444035897e-03  -1.786263660e-01  4.8e-01  0.01  
2   1.3e+01  3.4e-01  5.7e-02  1.02e+01   -8.777315595e-03  -8.541770716e-03  3.4e-01  0.01  
3   5.6e+00  1.4e-01  1.7e-02  1.29e+00   -2.576830802e-02  -2.455982413e-02  1.4e-01  0.01  
4   1.6e+00  4.2e-02  2.5e-03  1.15e+00   -2.935524177e-02  -2.942035398e-02  4.2e-02  0.01  
5   1.7e-01  4.3e-03  4.0e-05  1.01e+00   -3.153740998e-02  -3.181022484e-02  4.3e-03  0.01  
6   4.2e-04  1.1e-05  5.2e-09  1.00e+00   -3.203705407e-02  -3.203774251e-02  1.1e-05  0.01  
7   1.7e-06  4.3e-08  1.3e-12  1.00e+00   -3.203832952e-02  -3.203833221e-02  4.3e-08  0.01  
8   6.7e-13  1.4e-12  5.1e-19  1.00e+00   -3.203833452e-02  -3.203833452e-02  1.9e-14  0.01  
Optimizer terminated. Time: 0.02    


Interior-point solution summary
  Problem status  : PRIMAL_AND_DUAL_FEASIBLE
  Solution status : OPTIMAL
  Primal.  obj: -3.2038334523e-02   nrm: 1e+00    Viol.  con: 6e-14    var: 0e+00    cones: 0e+00  
  Dual.    obj: -3.2038334523e-02   nrm: 1e+00    Viol.  con: 0e+00    var: 1e-13    cones: 5e-18  
Optimizer summary
  Optimizer                 -                        time: 0.02    
    Interior-point          - iterations : 8         time: 0.01    
      Basis identification  -                        time: 0.00    
        Primal              - iterations : 0         time: 0.00    
        Dual                - iterations : 0         time: 0.00    
        Clean primal        - iterations : 0         time: 0.00    
        Clean dual          - iterations : 0         time: 0.00    
    Simplex                 -                        time: 0.00    
      Primal simplex        - iterations : 0         time: 0.00    
      Dual simplex          - iterations : 0         time: 0.00    
    Mixed integer           - relaxations: 0         time: 0.00    

------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +0.0320383
 
Done!