ESymSolverStatus AugRestoSystemSolver::Solve(const SymMatrix* W,
double W_factor,
const Vector* D_x,
double delta_x,
const Vector* D_s,
double delta_s,
const Matrix* J_c,
const Vector* D_c,
double delta_c,
const Matrix* J_d,
const Vector* D_d,
double delta_d,
const Vector& rhs_x,
const Vector& rhs_s,
const Vector& rhs_c,
const Vector& rhs_d,
Vector& sol_x,
Vector& sol_s,
Vector& sol_c,
Vector& sol_d,
bool check_NegEVals,
Index numberOfNegEVals)
{
DBG_START_METH("AugRestoSystemSolver::Solve",dbg_verbosity);
DBG_ASSERT(J_c && J_d); // should pass these by ref
// I think the comment below is incorrect
// Remember, W and the D's may be NULL!
// ToDo: I don't think the W's can ever be NULL (we always need the structure)
DBG_ASSERT(W);
SmartPtr<const CompoundSymMatrix> CW =
static_cast<const CompoundSymMatrix*>(W);
SmartPtr<const CompoundVector> CD_x =
static_cast<const CompoundVector*>(D_x);
SmartPtr<const CompoundMatrix> CJ_c =
static_cast<const CompoundMatrix*>(J_c);
DBG_ASSERT(IsValid(CJ_c));
SmartPtr<const CompoundMatrix> CJ_d =
static_cast<const CompoundMatrix*>(J_d);
DBG_ASSERT(IsValid(CJ_d));
SmartPtr<const CompoundVector> Crhs_x =
static_cast<const CompoundVector*>(&rhs_x);
DBG_ASSERT(IsValid(Crhs_x));
SmartPtr<CompoundVector> Csol_x = static_cast<CompoundVector*>(&sol_x);
DBG_ASSERT(IsValid(Csol_x));
// Get the Sigma inverses
SmartPtr<const Vector> sigma_n_c;
SmartPtr<const Vector> sigma_p_c;
SmartPtr<const Vector> sigma_n_d;
SmartPtr<const Vector> sigma_p_d;
if (IsValid(CD_x)) {
sigma_n_c = CD_x->GetComp(1);
sigma_p_c = CD_x->GetComp(2);
sigma_n_d = CD_x->GetComp(3);
sigma_p_d = CD_x->GetComp(4);
}
SmartPtr<const Vector> sigma_tilde_n_c_inv =
Sigma_tilde_n_c_inv(sigma_n_c, delta_x, *Crhs_x->GetComp(1));
SmartPtr<const Vector> sigma_tilde_p_c_inv =
Sigma_tilde_p_c_inv(sigma_p_c, delta_x, *Crhs_x->GetComp(2));
SmartPtr<const Vector> sigma_tilde_n_d_inv =
Sigma_tilde_n_d_inv(sigma_n_d, delta_x, *Crhs_x->GetComp(3));
SmartPtr<const Vector> sigma_tilde_p_d_inv =
Sigma_tilde_p_d_inv(sigma_p_d, delta_x, *Crhs_x->GetComp(4));
// Pull out the expansion matrices for d
SmartPtr<const Matrix> pd_l = CJ_d->GetComp(0,3);
SmartPtr<const Matrix> neg_pd_u = CJ_d->GetComp(0,4);
// Now map the correct entries into the Solve method
// pull out the parts of the hessian h_orig + diag
DBG_PRINT_MATRIX(2, "CW", *CW);
SmartPtr<const SymMatrix> h_orig;
SmartPtr<const Vector> D_xR;
SmartPtr<const SumSymMatrix> WR_sum =
dynamic_cast<const SumSymMatrix*>(GetRawPtr(CW->GetComp(0,0)));
Number orig_W_factor = W_factor;
if (IsValid(WR_sum)) {
// We seem to be in the regular situation with exact second
// derivatives
double temp_factor;
WR_sum->GetTerm(0, temp_factor, h_orig);
DBG_ASSERT(temp_factor == 1. || temp_factor == 0.);
orig_W_factor = temp_factor * W_factor;
SmartPtr<const SymMatrix> eta_DR;
double factor;
WR_sum->GetTerm(1, factor, eta_DR);
SmartPtr<const Vector> wr_d =
static_cast<const DiagMatrix*>(GetRawPtr(eta_DR))->GetDiag();
if (IsValid(CD_x)) {
D_xR = D_x_plus_wr_d(CD_x->GetComp(0), factor, *wr_d);
}
else {
D_xR = D_x_plus_wr_d(NULL, factor, *wr_d);
}
}
else {
// Looks like limited memory quasi-Newton stuff
const LowRankUpdateSymMatrix* LR_W =
static_cast<const LowRankUpdateSymMatrix*>(GetRawPtr(CW->GetComp(0,0)));
DBG_ASSERT(LR_W);
h_orig = LR_W;
if (IsValid(CD_x)) {
D_xR = CD_x->GetComp(0);
}
else {
D_xR = NULL;
}
}
Number delta_xR = delta_x;
SmartPtr<const Vector> D_sR = D_s;
Number delta_sR = delta_s;
SmartPtr<const Matrix> J_cR = CJ_c->GetComp(0,0);
SmartPtr<const Vector> D_cR =
Neg_Omega_c_plus_D_c(sigma_tilde_n_c_inv, sigma_tilde_p_c_inv,
D_c, rhs_c);
DBG_PRINT((1,"D_cR tag = %d\n",D_cR->GetTag()));
Number delta_cR = delta_c;
SmartPtr<const Matrix> J_dR = CJ_d->GetComp(0,0);
SmartPtr<const Vector> D_dR =
Neg_Omega_d_plus_D_d(*pd_l, sigma_tilde_n_d_inv, *neg_pd_u,
sigma_tilde_p_d_inv, D_d, rhs_d);
Number delta_dR = delta_d;
SmartPtr<const Vector> rhs_xR = Crhs_x->GetComp(0);
SmartPtr<const Vector> rhs_sR = &rhs_s;
SmartPtr<const Vector> rhs_cR = Rhs_cR(rhs_c, sigma_tilde_n_c_inv,
*Crhs_x->GetComp(1),
sigma_tilde_p_c_inv,
*Crhs_x->GetComp(2));
SmartPtr<const Vector> rhs_dR = Rhs_dR(rhs_d, sigma_tilde_n_d_inv,
*Crhs_x->GetComp(3), *pd_l,
sigma_tilde_p_d_inv,
*Crhs_x->GetComp(4), *neg_pd_u);
SmartPtr<Vector> sol_xR = Csol_x->GetCompNonConst(0);
Vector& sol_sR = sol_s;
Vector& sol_cR = sol_c;
Vector& sol_dR = sol_d;
ESymSolverStatus status = orig_aug_solver_->Solve(GetRawPtr(h_orig),
orig_W_factor,
GetRawPtr(D_xR), delta_xR,
GetRawPtr(D_sR), delta_sR,
GetRawPtr(J_cR), GetRawPtr(D_cR),
delta_cR,
GetRawPtr(J_dR), GetRawPtr(D_dR),
delta_dR,
*rhs_xR, *rhs_sR, *rhs_cR, *rhs_dR,
*sol_xR, sol_sR, sol_cR, sol_dR,
check_NegEVals,
numberOfNegEVals);
if (status == SYMSOLVER_SUCCESS) {
// Now back out the solutions for the n and p variables
SmartPtr<Vector> sol_n_c = Csol_x->GetCompNonConst(1);
sol_n_c->Set(0.0);
if (IsValid(sigma_tilde_n_c_inv)) {
sol_n_c->AddTwoVectors(1., *Crhs_x->GetComp(1), -1.0, sol_cR, 0.);
sol_n_c->ElementWiseMultiply(*sigma_tilde_n_c_inv);
}
SmartPtr<Vector> sol_p_c = Csol_x->GetCompNonConst(2);
sol_p_c->Set(0.0);
if (IsValid(sigma_tilde_p_c_inv)) {
DBG_PRINT_VECTOR(2, "rhs_pc", *Crhs_x->GetComp(2));
DBG_PRINT_VECTOR(2, "delta_y_c", sol_cR);
DBG_PRINT_VECTOR(2, "Sig~_{p_c}^{-1}", *sigma_tilde_p_c_inv);
sol_p_c->AddTwoVectors(1., *Crhs_x->GetComp(2), 1.0, sol_cR, 0.);
sol_p_c->ElementWiseMultiply(*sigma_tilde_p_c_inv);
}
SmartPtr<Vector> sol_n_d = Csol_x->GetCompNonConst(3);
sol_n_d->Set(0.0);
if (IsValid(sigma_tilde_n_d_inv)) {
pd_l->TransMultVector(-1.0, sol_dR, 0.0, *sol_n_d);
sol_n_d->Axpy(1.0, *Crhs_x->GetComp(3));
sol_n_d->ElementWiseMultiply(*sigma_tilde_n_d_inv);
}
SmartPtr<Vector> sol_p_d = Csol_x->GetCompNonConst(4);
sol_p_d->Set(0.0);
if (IsValid(sigma_tilde_p_d_inv)) {
neg_pd_u->TransMultVector(-1.0, sol_dR, 0.0, *sol_p_d);
sol_p_d->Axpy(1.0, *Crhs_x->GetComp(4));
sol_p_d->ElementWiseMultiply(*sigma_tilde_p_d_inv);
}
}
return status;
}
ESymSolverStatus LowRankAugSystemSolver::UpdateFactorization(
const SymMatrix* W,
double W_factor,
const Vector* D_x,
double delta_x,
const Vector* D_s,
double delta_s,
const Matrix& J_c,
const Vector* D_c,
double delta_c,
const Matrix& J_d,
const Vector* D_d,
double delta_d,
const Vector& proto_rhs_x,
const Vector& proto_rhs_s,
const Vector& proto_rhs_c,
const Vector& proto_rhs_d,
bool check_NegEVals,
Index numberOfNegEVals
)
{
DBG_START_METH("LowRankAugSystemSolver::UpdateFactorization",
dbg_verbosity);
DBG_ASSERT(W_factor == 0.0 || W_factor == 1.0);
ESymSolverStatus retval = SYMSOLVER_SUCCESS;
// Get the low update information out of W
const LowRankUpdateSymMatrix* LR_W = static_cast<const LowRankUpdateSymMatrix*>(W);
DBG_ASSERT(LR_W); DBG_PRINT_MATRIX(2, "LR_W", *LR_W);
SmartPtr<const Vector> B0;
SmartPtr<const MultiVectorMatrix> V;
SmartPtr<const MultiVectorMatrix> U;
if( W_factor == 1.0 )
{
V = LR_W->GetV();
U = LR_W->GetU();
B0 = LR_W->GetDiag();
}
SmartPtr<const Matrix> P_LM = LR_W->P_LowRank();
SmartPtr<const VectorSpace> LR_VecSpace = LR_W->LowRankVectorSpace();
if( IsNull(B0) )
{
SmartPtr<Vector> zero_B0 = (IsValid(P_LM)) ? LR_VecSpace->MakeNew() : proto_rhs_x.MakeNew();
zero_B0->Set(0.0);
B0 = GetRawPtr(zero_B0);
}
// set up the Hessian for the underlying augmented system solver
// without the low-rank update
if( IsValid(P_LM) && LR_W->ReducedDiag() )
{
DBG_ASSERT(IsValid(B0));
SmartPtr<Vector> fullx = proto_rhs_x.MakeNew();
P_LM->MultVector(1., *B0, 0., *fullx);
Wdiag_->SetDiag(*fullx);
}
else
{
Wdiag_->SetDiag(*B0);
DBG_PRINT_VECTOR(2, "B0", *B0);
}
SmartPtr<MultiVectorMatrix> Vtilde1_x;
if( IsValid(V) )
{
SmartPtr<MultiVectorMatrix> V_x;
Index nV = V->NCols();
//DBG_PRINT((1, "delta_x = %e\n", delta_x));
//DBG_PRINT_MATRIX(2, "V", *V);
retval = SolveMultiVector(D_x, delta_x, D_s, delta_s, J_c, D_c, delta_c, J_d, D_d, delta_d, proto_rhs_x,
proto_rhs_s, proto_rhs_c, proto_rhs_d, *V, P_LM, V_x, Vtilde1_, Vtilde1_x, check_NegEVals, numberOfNegEVals);
if( retval != SYMSOLVER_SUCCESS )
{
Jnlst().Printf(J_DETAILED, J_SOLVE_PD_SYSTEM,
"LowRankAugSystemSolver: SolveMultiVector returned retval = %d for V.\n", retval);
return retval;
}
//DBG_PRINT_MATRIX(2, "Vtilde1_x", *Vtilde1_x);
SmartPtr<DenseSymMatrixSpace> M1space = new DenseSymMatrixSpace(nV);
SmartPtr<DenseSymMatrix> M1 = M1space->MakeNewDenseSymMatrix();
M1->FillIdentity();
M1->HighRankUpdateTranspose(1., *Vtilde1_x, *V_x, 1.);
//DBG_PRINT_MATRIX(2, "M1", *M1);
SmartPtr<DenseGenMatrixSpace> J1space = new DenseGenMatrixSpace(nV, nV);
J1_ = J1space->MakeNewDenseGenMatrix();
bool retchol = J1_->ComputeCholeskyFactor(*M1);
// M1 must be positive definite!
//DBG_ASSERT(retchol);
if( !retchol )
{
Jnlst().Printf(J_DETAILED, J_SOLVE_PD_SYSTEM, "LowRankAugSystemSolver: Cholesky for M1 returned error!\n");
retval = SYMSOLVER_WRONG_INERTIA;
num_neg_evals_++;
return retval;
}
}
else
{
Vtilde1_ = NULL;
J1_ = NULL;
}
if( IsValid(U) )
{
Index nU = U->NCols();
SmartPtr<MultiVectorMatrix> U_x;
SmartPtr<MultiVectorMatrix> Utilde1;
SmartPtr<MultiVectorMatrix> Utilde1_x;
SmartPtr<MultiVectorMatrix> Utilde2_x;
retval = SolveMultiVector(D_x, delta_x, D_s, delta_s, J_c, D_c, delta_c, J_d, D_d, delta_d, proto_rhs_x,
proto_rhs_s, proto_rhs_c, proto_rhs_d, *U, P_LM, U_x, Utilde1, Utilde1_x, check_NegEVals, numberOfNegEVals);
if( retval != SYMSOLVER_SUCCESS )
{
Jnlst().Printf(J_DETAILED, J_SOLVE_PD_SYSTEM,
"LowRankAugSystemSolver: SolveMultiVector returned retval = %d for U.\n", retval);
return retval;
}
if( IsNull(Vtilde1_) )
{
Utilde2_ = Utilde1;
Utilde2_x = Utilde1_x;
}
else
{
Index nV = Vtilde1_->NCols();
SmartPtr<DenseGenMatrixSpace> Cspace = new DenseGenMatrixSpace(nV, nU);
SmartPtr<DenseGenMatrix> C = Cspace->MakeNewDenseGenMatrix();
C->HighRankUpdateTranspose(1., *Vtilde1_x, *U_x, 0.);
J1_->CholeskySolveMatrix(*C);
Utilde2_ = Utilde1;
Utilde2_->AddRightMultMatrix(-1, *Vtilde1_, *C, 1.);
Utilde2_x = Utilde1_x->MakeNewMultiVectorMatrix();
for( Index i = 0; i < Utilde1_x->NCols(); i++ )
{
const CompoundVector* cvec = static_cast<const CompoundVector*>(GetRawPtr(Utilde2_->GetVector(i)));
DBG_ASSERT(cvec);
Utilde2_x->SetVector(i, *cvec->GetComp(0));
}
}
SmartPtr<DenseSymMatrixSpace> M2space = new DenseSymMatrixSpace(nU);
SmartPtr<DenseSymMatrix> M2 = M2space->MakeNewDenseSymMatrix();
M2->FillIdentity();
M2->HighRankUpdateTranspose(-1., *Utilde2_x, *U_x, 1.);
SmartPtr<DenseGenMatrixSpace> J2space = new DenseGenMatrixSpace(nU, nU);
J2_ = J2space->MakeNewDenseGenMatrix();
//DBG_PRINT_MATRIX(2, "M2", *M2);
bool retchol = J2_->ComputeCholeskyFactor(*M2);
if( !retchol )
{
Jnlst().Printf(J_DETAILED, J_SOLVE_PD_SYSTEM, "LowRankAugSystemSolver: Cholesky for M2 returned error.\n");
retval = SYMSOLVER_WRONG_INERTIA;
num_neg_evals_++;
return retval;
}
}
else
{
J2_ = NULL;
Utilde2_ = NULL;
}
return retval;
}
