void relay_avi_caoferris(RelayProblem* problem, double *z, double *w, int *info, SolverOptions* options)
{
unsigned int n = problem->size;
assert(n > 0);
unsigned int s = 2*n;
/* Copy the data from Relay problem */
LinearComplementarityProblem lcplike_pb;
lcplike_pb.size = s;
NumericsMatrix num_mat;
fillNumericsMatrix(&num_mat, NM_DENSE, s, s, calloc(s*s, sizeof(double)));
lcplike_pb.M = &num_mat;
lcplike_pb.q = (double *)malloc(s*sizeof(double));
double* b_bar = (double *)malloc(s*sizeof(double));
/* We can always choose the extreme point such that the matrix of active
* constrains is the identity and the other matrix is minus the identity.
* B_A = Id, B_I = -Id, b_A = lb, b_I = -ub
* TODO: implement the case when the user gives an hint about the solution
*
* Siconos/Kernel is giving us column-major matrix and the solver is
* expecting matrix in this format
* */
double tmp;
for (unsigned int i = 0; i < n; ++i)
{
tmp = 0.0;
lcplike_pb.M->matrix0[i*(s+1)] = 1.0;
lcplike_pb.M->matrix0[(i + n)*(s+1)] = -1.0;
lcplike_pb.q[i] = problem->q[i];
lcplike_pb.q[i+n] = - problem->lb[i] + problem->ub[i];
for (unsigned j = 0; j < n; ++j)
{
lcplike_pb.M->matrix0[i + (j+n)*s] = problem->M->matrix0[i + j*n];
tmp += problem->M->matrix0[i + j*n]*problem->lb[j];
}
/* \bar{a} = -\tilde{a} + Ay_e */
lcplike_pb.q[i] += tmp;
}
double* d_vec = (double *)malloc(s*sizeof(double));
for (unsigned i = 0; i<n; ++i)
{
d_vec[i] = -1.0;
d_vec[i+n] = 0;
}
/* Set of active constraint is trivial */
unsigned* A = (unsigned*)malloc(n*sizeof(unsigned));
for (unsigned i = 0; i < n; ++i) A[i] = i + 1;
double* u_vec = (double *)calloc(s, sizeof(double));
double* s_vec = (double *)calloc(s, sizeof(double));
/* Call directly the 3rd stage
* Here w is used as u and z as s in the AVI */
*info = avi_caoferris_stage3(&lcplike_pb, u_vec, s_vec, d_vec, n, A, options);
/* Update z */
/* XXX why no w ? */
DEBUG_PRINT_VEC_INT(A, n);
for (unsigned i = 0; i<n; ++i) z[i] = s_vec[A[i]-1] + problem->lb[i];
/* free allocated stuff */
free(u_vec);
free(s_vec);
free(A);
free(d_vec);
freeNumericsMatrix(lcplike_pb.M);
free(lcplike_pb.q);
free(b_bar);
}
int avi_caoferris(AffineVariationalInequalities* problem, double *z, double *w, SolverOptions* options)
{
unsigned n = problem->size;
assert(n > 0);
unsigned nrows = problem->poly->size_ineq;
assert(nrows - n > 0);
unsigned n_I = nrows - n; /* Number of inactive constraints */
/* Create the data problem */
LinearComplementarityProblem lcplike_pb;
lcplike_pb.size = nrows;
NumericsMatrix num_mat;
fillNumericsMatrix(&num_mat, NM_DENSE, nrows, nrows, calloc(nrows*nrows, sizeof(double)));
lcplike_pb.M = &num_mat;
lcplike_pb.q = (double *)calloc(nrows, sizeof(double));
double* a_bar = (double *)malloc(nrows*sizeof(double));
double* B_A_T = (double*)malloc(n*n*sizeof(double));
double* copyA = (double*)malloc(n*n*sizeof(double));
double* B_I_T = (double*)malloc(n*(n_I)*sizeof(double));
double* d_vec = (double *)malloc(nrows*sizeof(double));
int* basis = (int *)malloc((2*nrows+1)*sizeof(int));
siconos_find_vertex(problem->poly, n, basis);
DEBUG_PRINT_VEC_INT(basis, nrows+1);
const double* H = problem->poly->H;
const double* K = problem->poly->K;
/* Set of active constraints */
unsigned* A = (unsigned*)malloc(n*sizeof(unsigned));
int* active_constraints = &basis[nrows+1];
/* set active_constraints to 1 at the beginning */
memset(active_constraints, -1, nrows*sizeof(int));
DEBUG_PRINT_VEC_INT(active_constraints, nrows);
unsigned indx_B_I_T = 0;
for (unsigned i = 1; i <= nrows; ++i)
{
assert((unsigned)abs(basis[i]) > nrows); /* we don't want slack variable here */
int indx = abs(basis[i]) - nrows - 1 - n;
if (indx >= 0)
{
/* this is an inactive constraint */
assert(indx_B_I_T < n_I);
assert((unsigned)indx < nrows);
cblas_dcopy(n, &H[indx], nrows, &B_I_T[indx_B_I_T*n], 1); /* form B_I_T */
active_constraints[indx] = 0; /* desactivate the constraint */
lcplike_pb.q[n+indx_B_I_T] = -K[indx]; /* partial construction of q[n:nrows] as -K_I */
indx_B_I_T++;
}
}
DEBUG_PRINT_VEC_INT(active_constraints, nrows);
unsigned indx_B_A_T = 0;
for (unsigned i = 0; i < nrows; ++i)
{
if (active_constraints[i] == -1)
{
assert(indx_B_A_T < n);
A[indx_B_A_T] = i+1; /* note which constraints is active */
cblas_dcopy(n, &H[i], nrows, &B_A_T[indx_B_A_T*n], 1); /* form B_A_T */
d_vec[indx_B_A_T] = K[i]; /* save K_A */
indx_B_A_T++;
}
}
assert(indx_B_A_T == n && "there were not enough active constraints");
DEBUG_PRINT_VEC_STR("K_A", d_vec, n);
cblas_dcopy(n*n, problem->M->matrix0, 1, copyA, 1);
DEBUG_PRINT_MAT(B_A_T, n, n);
DEBUG_PRINT_MAT(B_I_T, n, n_I);
/* get LU for B_A_T */
int* ipiv = basis;
int infoLAPACK = 0;
/* LU factorisation of B_A_T */
DGETRF(n, n, B_A_T, n, ipiv, &infoLAPACK);
assert(infoLAPACK <= 0 && "avi_caoferris :: info from DGETRF > 0, this should not append !\n");
/* compute B_A_T^{-1}B_I_T */
DGETRS(LA_NOTRANS, n, n_I, B_A_T, n, ipiv, B_I_T, n, &infoLAPACK);
assert(infoLAPACK == 0 && "avi_caoferris :: info from DGETRS for solving B_A_T X = B_I_T is not zero!\n");
DEBUG_PRINT("B_A_T^{-1}B_I_T\n");
DEBUG_PRINT_MAT(B_I_T, n, n_I);
/* Compute B_A_T^{-1} A */
DGETRS(LA_NOTRANS, n, n, B_A_T, n, ipiv, copyA, n, &infoLAPACK);
assert(infoLAPACK == 0 && "avi_caoferris :: info from DGETRS for solving B_A_T X = A is not zero!\n");
DEBUG_PRINT("B_A_T^{-1}A\n");
DEBUG_PRINT_MAT(copyA, n, n);
/* do some precomputation for \bar{q}: B_A_T^{-1}q_{AVI} */
cblas_dcopy_msan(n, problem->q, 1, a_bar, 1);
DGETRS(LA_NOTRANS, n, 1, B_A_T, n, ipiv, a_bar, n, &infoLAPACK);
assert(infoLAPACK == 0 && "avi_caoferris :: info from DGETRS for solving B_A_T X = a_bar is not zero!\n");
DEBUG_PRINT_VEC_STR("B_A_T{-1}q_{AVI}", a_bar, n);
/* Do the transpose of B_A_T^{-1} A */
double* basepointer = &num_mat.matrix0[nrows*nrows - n*n];
for (unsigned i = 0; i < n; ++i) cblas_dcopy(n, ©A[i*n], 1, &basepointer[i], n);
/* Compute B_A_T^{-1}(B_A_T^{-1}M)_T */
DGETRS(LA_NOTRANS, n, n, B_A_T, n, ipiv, basepointer, n, &infoLAPACK);
assert(infoLAPACK == 0 && "avi_caoferris :: info from DGETRS for solving B_A_T X = (B_A_T^{-1}M)_T is not zero!\n");
DEBUG_PRINT("B_A_T^{-1}(B_A_T^{-1}M)_T\n");
DEBUG_PRINT_MAT(basepointer, n, n);
for (unsigned i = 0; i < n; ++i) cblas_dcopy(n, &basepointer[n*i], 1, ©A[i], n);
DEBUG_PRINT_VEC_STR("b_I =: q[n:nrows]", (&lcplike_pb.q[n]), n_I);
/* partial construction of q: q[n:nrows] += (B_A_T^{-1}*B_I_T)_T K_A */
cblas_dgemv(CblasColMajor, CblasTrans, n_I, n, 1.0, B_I_T, n_I, d_vec, 1, 1.0, &lcplike_pb.q[n], 1);
DEBUG_PRINT_VEC_STR("final q[n:nrows] as b_I + B_I B_A^{-1}b_A", (&lcplike_pb.q[n]), n_I);
/* Compute B_A_T^{-1} M B_A^{-1} K_A
* We have to set CblasTrans since we still have a transpose */
/* XXX It looks like we could have 2 here, but not it does not work w/ it. Investigate why -- xhub */
cblas_dgemv(CblasColMajor, CblasTrans, n, n, 1.0, basepointer, n, d_vec, 1, 0.0, lcplike_pb.q, 1);
DEBUG_PRINT_VEC_STR("B_A_T^{-1} M B_A^{-1} K_A =: q[0:n]", lcplike_pb.q, n);
/* q[0:n] = 2 B_A_T^{-1} A B_A^{-1}b_A + B_A_T{-1} q_{AVI} */
/* XXX about the + or -: we do not follow the convention of Cao & Ferris */
cblas_daxpy(n, 1.0, a_bar, 1, lcplike_pb.q, 1);
DEBUG_PRINT("final q\n");
DEBUG_PRINT_VEC(lcplike_pb.q, nrows);
/* q is now ready, let's deal with M */
/* set some pointers to sub-matrices */
double* upper_left_mat = num_mat.matrix0;
double* upper_right_mat = &num_mat.matrix0[n*nrows];
double* lower_left_mat = &num_mat.matrix0[n];
double* lower_right_mat = &upper_right_mat[n];
/* copy the B_A_T^{-1} B_I_T (twice) and set the lower-left part to 0*/
for (unsigned i = 0, j = 0, k = 0; i < n_I; ++i, j += n_I, k += nrows)
{
cblas_dcopy(n, ©A[n*i], 1, &upper_right_mat[k], 1);/* copy into the right location B_A_T^{-1} M B_A^{-1} */
cblas_dcopy(n_I, &B_I_T[j], 1, &upper_left_mat[k], 1); /* copy B_A_T^{-1}*B_I_T to the upper-right block */
cblas_dscal(n, -1.0, &upper_left_mat[k], 1); /* take the opposite of the matrix */
cblas_dcopy(n_I, &B_I_T[j], 1, &lower_right_mat[i], nrows); /* copy B_IB_A^{-1} to the lower-left block */
memset(&lower_left_mat[k], 0, sizeof(double)*(n_I)); /* set the lower-left block to 0 */
}
DEBUG_PRINT_MAT(num_mat.matrix0, nrows, nrows);
/* Matrix M is now ready */
/* Save K_A */
double* K_A = a_bar;
cblas_dcopy(n, d_vec, 1, K_A, 1);
DEBUG_PRINT_VEC(K_A, n);
/* We put -1 because we directly copy it in stage 3 */
for (unsigned int i = 0; i < n; ++i) d_vec[i] = -1.0;
memset(&d_vec[n], 0, n_I*sizeof(double));
DEBUG_PRINT_VEC_INT_STR("Active set", A, n);
double* u_vec = (double *)calloc(nrows, sizeof(double));
double* s_vec = (double *)calloc(nrows, sizeof(double));
/* Call directly the 3rd stage
* Here w is used as u and z as s in the AVI */
int info = avi_caoferris_stage3(&lcplike_pb, u_vec, s_vec, d_vec, n, A, options);
/* Update z */
/* XXX why no w ? */
DEBUG_PRINT_VEC_INT(A, n);
for (unsigned i = 0; i < n; ++i) z[i] = s_vec[A[i]-1] + K_A[i];
DEBUG_PRINT_VEC_STR("s_A + K_A", z, n);
DGETRS(LA_TRANS, n, 1, B_A_T, n, ipiv, z, n, &infoLAPACK);
assert(infoLAPACK == 0 && "avi_caoferris :: info from DGETRS for solving B_A X = s_A + K_A is not zero!\n");
DEBUG_PRINT_VEC_STR("solution z", z, n);
/* free allocated stuff */
free(u_vec);
free(s_vec);
free(A);
free(basis);
free(d_vec);
free(B_I_T);
free(copyA);
free(B_A_T);
freeNumericsMatrix(lcplike_pb.M);
free(lcplike_pb.q);
free(a_bar);
return info;
}
