目標：在windows 7 (64bit) ，python2.7 環境下面安裝cvxopt，以便進行線性規劃、二次規劃、半正定規劃等的計算。

解決過程簡略記錄：參考了cvxopt的官方說明 來安裝cvxopt，但卡在了LAPACK的編譯結果liblapack.a不能正確輸出上面，LAPACK啊LAPACK。。。

於是又參考了 《如何在Windows下使用LAPACK和ARPACK》 的工作，正確輸出了liblapack.a，之後再按照cvxopt的官方說明進行就沒有問題了。

整體的過程如下：

1，windows7上安裝矩陣計算BLAS/LAPACK

1.1編譯BLAS

下載BLAS的最新版原始檔

 並解壓為BLAS資料夾。

cd BLAS

sed 's/_LINUX/_WIN/' make.inc -i

make && cp blas_WIN.a ../libblas.a

這樣就得到了 libblas.a，在cvxopt的編譯過程中需要。

1.2編譯LAPACK

下載lapack的最新原始檔，解壓。

tar -xvf lapack-3.4.2.tgz

cd lapack-3.4.2

這後面編譯LAPACK的步驟就按照 這篇博文《如何在Windows下使用LAPACK和ARPACK》來進行了。 (1). 開啟解壓縮資料夾，把lapack-3.4.2\BLAS\SRC裡面的所有*.f檔案 以及 lapack-3.4.2\INSTALL裡面的dlamch.f和slamch.f兩個檔案 都複製到 lapack-3.4.2\SRC 資料夾裡面。複製的時候提示有兩個檔案是重複的，我選擇了不要覆蓋。這樣BLAS和LAPACK兩個庫的原始檔都在一起了。

(2). DOS進入lapack-3.4.2\SRC目錄，用gfortran 開始編譯
cd SRC
gfortran -fimplicit-none -g -c *.f -O2
（等待十幾分鍾，可以在Windows下看到SRC資料夾裡面源源不斷地冒出.o檔案）
然後以下檔案需要無優化地重新編譯
gfortran -fimplicit-none -g -c slaruv.f -O0
gfortran -fimplicit-none -g -c dlaruv.f -O0
gfortran -fimplicit-none -g -c sla_wwaddw.f -O0
gfortran -fimplicit-none -g -c dla_wwaddw.f-O0
gfortran -fimplicit-none -g -c cla_wwaddw.f -O0
gfortran -fimplicit-none -g -c zla_wwaddw.f -O0
我是一行一行執行的……
(3).用ar 連線成一個庫 ar rcs liblapack.a *.o
這樣就在SRC資料夾裡得到LAPACK庫檔案 liblapack.a。  

2，編譯cvxopt

按照cvxopt的官方說明 進行。

（2）解壓

tar -xvf cvxopt-1.1.6.tar.gz

cd cvxopt-1.1.6/src

（3）修改setup.py

• • 修改 變數 BLAS_LIB = [‘blas’,’gfortran’]
  • 修改變數 BLAS_LIB_DIR = ‘.’

(4)將之前編譯好的libblas.a 和liblapack.a拷貝到cvxopt-1.1.6資料夾下。 由於沒有時間細讀setup.py裡面的內容，所以不能確定libblas.a 和liblapack.a具體應該在哪個資料夾下面，所以很瘋狂的拷貝到了./ ，./src，./src/python ， ./src/C 四個位置下面。 (5) 修改python的編譯方式

sed 's/-mno-cygwin//g' -i'.bak' c:\Python27\Lib\distutils\cygwinccompiler.py

（6）在cvxopt-1.1.6資料夾下執行如下命令

python setup.py build --compiler=mingw32

python setup.py install

最終在 C:\Python27\Lib\site-packages 下看到了cvxopt-1.1.6-py2.7.egg-info，並且用ipython能夠順利的import cvxopt.  DONE！！！

（7）不要忘了把python的編譯方式改回來

mv c:\Python27\Lib\distutils\cygwinccompiler.py.bak c:\Python27\Lib\distutils\cygwinccompiler.py

==================================================

下面執行cvxopt官方的一個線性規劃的例子：

'''
Created on 2013-9-11
@author: Waleking
'''
from cvxopt import matrix, solvers

if __name__ == '__main__':

    Q = 2*matrix([ [2, .5], [.5, 1] ])
    p = matrix([1.0, 1.0])
    G = matrix([[-1.0,0.0],[0.0,-1.0]])
    h = matrix([0.0,0.0])
    A = matrix([1.0, 1.0], (1,2))
    b = matrix(1.0)
    sol=solvers.qp(Q, p, G, h, A, b)
    print(sol['x'])

在eclipse+pydev中的執行結果：

     pcost       dcost       gap    pres   dres
 0:  1.8889e+00  7.7778e-01  1e+00  3e-16  2e+00
 1:  1.8769e+00  1.8320e+00  4e-02  1e-16  6e-02
 2:  1.8750e+00  1.8739e+00  1e-03  2e-16  5e-04
 3:  1.8750e+00  1.8750e+00  1e-05  1e-16  5e-06
 4:  1.8750e+00  1.8750e+00  1e-07  3e-16  5e-08
Optimal solution found.
[ 2.50e-01]
[ 7.50e-01]

附上cvxopt的setup.py：

from distutils.core import setup, Extension
from glob import glob

# Modifiy this if BLAS and LAPACK libraries are not in /usr/lib.
#BLAS_LIB_DIR = '/usr/lib'
BLAS_LIB_DIR = '.'

# Default names of BLAS and LAPACK libraries
BLAS_LIB = ['blas','gfortran']
#LAPACK_LIB = ['lapack','gfortran']
LAPACK_LIB = ['lapack']
BLAS_EXTRA_LINK_ARGS = []

# Set environment variable BLAS_NOUNDERSCORES=1 if your BLAS/LAPACK do
# not use trailing underscores
BLAS_NOUNDERSCORES = False

# Set to 1 if you are using the random number generators in the GNU
# Scientific Library.
BUILD_GSL = 0

# Directory containing libgsl (used only when BUILD_GSL = 1).
GSL_LIB_DIR = '/usr/lib'

# Directory containing the GSL header files (used only when BUILD_GSL = 1).
GSL_INC_DIR = '/usr/include/gsl'

# Set to 1 if you are installing the fftw module.
BUILD_FFTW = 0 

# Directory containing libfftw3 (used only when BUILD_FFTW = 1).
FFTW_LIB_DIR = '/usr/lib'

# Directory containing fftw.h (used only when BUILD_FFTW = 1).
FFTW_INC_DIR = '/usr/include'

# Set to 1 if you are installing the glpk module.
BUILD_GLPK = 0 

# Directory containing libglpk (used only when BUILD_GLPK = 1).
GLPK_LIB_DIR = '/usr/lib'

# Directory containing glpk.h (used only when BUILD_GLPK = 1).
GLPK_INC_DIR = '/usr/include'

# Set to 1 if you are installing the DSDP module.
BUILD_DSDP = 0

# Directory containing libdsdp (used only when BUILD_DSDP = 1).
DSDP_LIB_DIR = '/usr/lib'
 
# Directory containing dsdp5.h (used only when BUILD_DSDP = 1).
DSDP_INC_DIR = '/usr/include/dsdp'

# No modifications should be needed below this line.

extmods = []

# Macros
MACROS = []
if BLAS_NOUNDERSCORES: MACROS.append(('BLAS_NO_UNDERSCORE',''))

# optional modules

if BUILD_GSL:
    gsl = Extension('gsl', libraries = ['m', 'gsl'] + BLAS_LIB,
        include_dirs = [ GSL_INC_DIR ],
        library_dirs = [ GSL_LIB_DIR, BLAS_LIB_DIR ],
        extra_link_args = BLAS_EXTRA_LINK_ARGS,
        sources = ['src/C/gsl.c'] )
    extmods += [gsl];

if BUILD_FFTW:
    fftw = Extension('fftw', libraries = ['fftw3'] + BLAS_LIB,
        include_dirs = [ FFTW_INC_DIR ],
        library_dirs = [ FFTW_LIB_DIR, BLAS_LIB_DIR ],
        extra_link_args = BLAS_EXTRA_LINK_ARGS,
        sources = ['src/C/fftw.c'] )
    extmods += [fftw];

if BUILD_GLPK:
    glpk = Extension('glpk', libraries = ['glpk'],
        include_dirs = [ GLPK_INC_DIR ],
        library_dirs = [ GLPK_LIB_DIR ],
        sources = ['src/C/glpk.c'] )
    extmods += [glpk];

if BUILD_DSDP:
    dsdp = Extension('dsdp', libraries = ['dsdp'] + LAPACK_LIB + BLAS_LIB,
        include_dirs = [ DSDP_INC_DIR ],
        library_dirs = [ DSDP_LIB_DIR, BLAS_LIB_DIR ],
        extra_link_args = BLAS_EXTRA_LINK_ARGS,
        sources = ['src/C/dsdp.c'] )
    extmods += [dsdp];

# Required modules

base = Extension('base', libraries = ['m'] + LAPACK_LIB + BLAS_LIB,
    library_dirs = [ BLAS_LIB_DIR ],
    define_macros = MACROS,
    extra_link_args = BLAS_EXTRA_LINK_ARGS,
    sources = ['src/C/base.c','src/C/dense.c','src/C/sparse.c']) 

blas = Extension('blas', libraries = BLAS_LIB,
    library_dirs = [ BLAS_LIB_DIR ],
    define_macros = MACROS,
    extra_link_args = BLAS_EXTRA_LINK_ARGS,
    sources = ['src/C/blas.c'] )

lapack = Extension('lapack', libraries = LAPACK_LIB + BLAS_LIB,
    library_dirs = [ BLAS_LIB_DIR ],
    define_macros = MACROS,
    extra_link_args = BLAS_EXTRA_LINK_ARGS,
    sources = ['src/C/lapack.c'] )

umfpack = Extension('umfpack', 
    include_dirs = [ 'src/C/SuiteSparse/UMFPACK/Include',
        'src/C/SuiteSparse/AMD/Include', 
        'src/C/SuiteSparse/AMD/Source', 
        'src/C/SuiteSparse/SuiteSparse_config' ],
    library_dirs = [ BLAS_LIB_DIR ],
    define_macros = MACROS + [('NTIMER', '1'), ('NCHOLMOD', '1')],
    libraries = LAPACK_LIB + BLAS_LIB,
    extra_compile_args = ['-Wno-unknown-pragmas'],
    extra_link_args = BLAS_EXTRA_LINK_ARGS,
    sources = [ 'src/C/umfpack.c',
        'src/C/SuiteSparse/UMFPACK/Source/umfpack_global.c',
        'src/C/SuiteSparse/UMFPACK/Source/umfpack_tictoc.c' ] +
        ['src/C/SuiteSparse/SuiteSparse_config/SuiteSparse_config.c'] +
        glob('src/C/SuiteSparse_cvxopt_extra/umfpack/*'))

# Build for int or long? 
import sys
if sys.maxsize > 2**31: MACROS += [('DLONG',None)]

cholmod = Extension('cholmod',
    library_dirs = [ BLAS_LIB_DIR ],
    libraries = LAPACK_LIB + BLAS_LIB,
    include_dirs = [ 'src/C/SuiteSparse/CHOLMOD/Include', 
        'src/C/SuiteSparse/COLAMD', 
        'src/C/SuiteSparse/AMD/Include', 
        'src/C/SuiteSparse/COLAMD/Include',
        'src/C/SuiteSparse/SuiteSparse_config' ],
    define_macros = MACROS + [('NPARTITION', '1'), ('NTIMER', '1')],
    extra_link_args = BLAS_EXTRA_LINK_ARGS,
    sources = [ 'src/C/cholmod.c' ] + 
        ['src/C/SuiteSparse/AMD/Source/' + s for s in ['amd_global.c',
            'amd_postorder.c', 'amd_post_tree.c', 'amd_2.c']] +
        ['src/C/SuiteSparse/COLAMD/Source/' + s for s in ['colamd.c',
            'colamd_global.c']] +
        ['src/C/SuiteSparse/SuiteSparse_config/SuiteSparse_config.c'] +
        glob('src/C/SuiteSparse/CHOLMOD/Core/c*.c') +
        glob('src/C/SuiteSparse/CHOLMOD/Cholesky/c*.c') +
        ['src/C/SuiteSparse/CHOLMOD/Check/cholmod_check.c'] +
        glob('src/C/SuiteSparse/CHOLMOD/Supernodal/c*.c') )

amd = Extension('amd', 
    include_dirs = [ 'src/C/SuiteSparse/AMD/Include', 
        'src/C/SuiteSparse/SuiteSparse_config' ],
    define_macros = MACROS,
    sources = [ 'src/C/amd.c' ] + glob('src/C/SuiteSparse/AMD/Source/*.c') )

misc_solvers = Extension('misc_solvers',
    libraries = LAPACK_LIB + BLAS_LIB,
    library_dirs = [ BLAS_LIB_DIR ],
    define_macros = MACROS,
    extra_link_args = BLAS_EXTRA_LINK_ARGS,
    sources = ['src/C/misc_solvers.c'] )

extmods += [base, blas, lapack, umfpack, cholmod, amd, misc_solvers] 

setup (name = 'cvxopt', 
    description = 'Convex optimization package',
    version = '1.1.6', 
    long_description = '''
CVXOPT is a free software package for convex optimization based on the 
Python programming language. It can be used with the interactive Python 
interpreter, on the command line by executing Python scripts, or 
integrated in other software via Python extension modules. Its main 
purpose is to make the development of software for convex optimization 
applications straightforward by building on Python's extensive standard 
library and on the strengths of Python as a high-level programming 
language.''', 
    author = 'M. Andersen, J. Dahl, and L. Vandenberghe',
    author_email = '[email protected], [email protected]gmail.com, [email protected]',
    url = 'http://abel.ee.ucla.edu/cvxopt',
    license = 'GNU GPL version 3',
    ext_package = "cvxopt",
    ext_modules = extmods,
    package_dir = {"cvxopt": "src/python"},
    packages = ["cvxopt"])