int solver2(
int m, /* number of constraints */
int N, /* number of variables */
int nz, /* number of nonzeros in sparse constraint matrix */
int *ia, /* array row indices */
int *ka, /* array of indices into ia and a */
double *a, /* array of nonzeros in the constraint matrix */
double *b, /* right-hand side */
double *c, /* objective coefficients */
double *c2, /* objective coefficients */
double f, /* objective function shift */
int *basics,
int *nonbasics,
int *basicflag,
int *freevars,
int d1,
int d2,
double **BETAhat
)
{
double *x_B; /* primal basics */
double *y_N; /* dual nonbasics */
double *xbar_B; /* primal basic perturbation */
double *ybar_N; /* dual nonbasic perturbation */
double *dy_N; /* dual basics step direction - values (sparse) */
int *idy_N; /* dual basics step direction - row indices */
int ndy_N; /* number of nonz in dy_N */
double *dx_B; /* primal basics step direction - values (sparse) */
int *idx_B; /* primal basics step direction - row indices */
int ndx_B; /* number of nonz in dx_B */
double *at; /* sparse data structure for A^T */
int *iat;
int *kat;
int col_in; /* entering column; index in 'nonbasics' */
int col_out; /* leaving column; index in 'basics' */
int iter = 0; /* number of iterations */
int i,j,k,n,v=0, j1,j2,ii;
double s, t, sbar, tbar, mu=HUGE_VAL, old_mu, primal_obj;
double *vec;
int *ivec;
int nvec;
int status=0;
int from_scratch;
/*******************************************************************
* For convenience, we put...
*******************************************************************/
int n0 = d1*d2;
n = N-m;
/*******************************************************************
* Read in the Data and initialize the common memory sites.
*******************************************************************/
CALLOC( x_B, m, double );
CALLOC( xbar_B, m, double );
CALLOC( dx_B, m, double );
CALLOC( y_N, n, double );
CALLOC( ybar_N, n, double );
CALLOC( dy_N, n, double );
CALLOC( vec, N, double );
CALLOC( idx_B, m, int );
CALLOC( idy_N, n, int );
CALLOC( ivec, N, int );
CALLOC( at, nz, double );
CALLOC( iat, nz, int );
CALLOC( kat, m+1, int );
/****************************************************************
* Initialization. *
****************************************************************/
atnum(m,N,ka,ia,a,kat,iat,at);
lufac( m, ka, ia, a, basics, 0);
for (j=0; j<n; j++) {
y_N[j] = 0;
}
nvec = 0;
for (i=0; i<m; i++) {
if (c[basics[i]] != 0.0) {
vec[nvec] = c[basics[i]];
ivec[nvec] = i;
nvec++;
}
}
btsolve( m, vec, ivec, &nvec );
Nt_times_y( N, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
for (k=0; k<ndy_N; k++) {
y_N[idy_N[k]] = dy_N[k];
}
for (j=0; j<n; j++) {
y_N[j] -= c[nonbasics[j]];
}
for (j=0; j<n; j++) {
ybar_N[j] = 0;
}
nvec = 0;
for (i=0; i<m; i++) {
if (c2[basics[i]] != 0.0) {
vec[nvec] = c2[basics[i]];
ivec[nvec] = i;
nvec++;
}
}
btsolve( m, vec, ivec, &nvec );
Nt_times_y( N, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
for (k=0; k<ndy_N; k++) {
ybar_N[idy_N[k]] = dy_N[k];
}
for (j=0; j<n; j++) {
ybar_N[j] -= c2[nonbasics[j]];
if (ybar_N[j] < 0) printf("error: ybar_N[%d] = %e \n", j, ybar_N[j]);
}
for (i=0; i<m; i++) {
x_B[i] = 0;
xbar_B[i] = 0;
}
nvec = 0;
for (i=0; i<m; i++) {
if ( b[i] != 0.0 ) {
vec[nvec] = b[i];
ivec[nvec] = i;
nvec++;
}
}
bsolve( m, vec, ivec, &nvec );
for (i=0; i<nvec; i++) {
x_B[ivec[i]] = vec[i];
if (vec[i] < 0) printf("error: x_B[%d] = %e \n", i, vec[i]);
}
/*
printf ("m = %d,n = %d,nz = %d\n",m,N,nz);
printf(
"---------------------------------------------------------------------------\n"
" | Primal | | arithmetic \n"
" Iter | Obj Value | mu | nonz(L) nonz(U) operations \n"
"- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -\n"
);*/
/****************************************************************
* Main loop *
****************************************************************/
for (iter=0; iter<MAX_ITER; iter++) {
/*************************************************************
* STEP 1: Find mu *
*************************************************************/
old_mu = mu;
mu = -HUGE_VAL;
col_in = -1;
for (j=0; j<n; j++) {
if (ybar_N[j] > EPS2) {
if ( mu < -y_N[j]/ybar_N[j] ) {
mu = -y_N[j]/ybar_N[j];
col_in = j;
}
}
}
col_out = -1;
for (i=0; i<m; i++) {
if (freevars[basics[i]] == 0) {
if (xbar_B[i] > EPS2) {
if ( mu < -x_B[i]/xbar_B[i] ) {
mu = -x_B[i]/xbar_B[i];
col_out = i;
col_in = -1;
}
}
}
}
/*************************************************************
* STEP 0: Record current portfolio *
*************************************************************/
primal_obj = sdotprod(c,x_B,basics,m) + f;
if ( mu <= EPS3 || primal_obj > -EPS0) { /* OPTIMAL */
for (j1=0; j1<d1; j1++) {
for (j2=0; j2<d2; j2++) {
BETAhat[j1][j2] = 0;
}
}
for (i=0; i<m; i++) {
if (basics[i] < n0 && x_B[i] > EPS0) {
ii = basics[i];
j1 = ii%d1;
j2 = ii/d1;
BETAhat[j1][j2] = x_B[i];
}
else if (basics[i] < 2*n0 && x_B[i] > EPS0) {
ii = basics[i]-n0;
j1 = ii%d1;
j2 = ii/d1;
BETAhat[j1][j2] = -x_B[i];
}
}
for (j1=0; j1<d1; j1++) {
for (j2=0; j2<d2; j2++) {
if (ABS(BETAhat[j1][j2]) > 1e-5) {
}
}
}
status = 0;
break;
}
if ( col_out >= 0 ) {
/*************************************************************
* -1 T *
* STEP 2: Compute dy = -(B N) e *
* N i *
* where i = col_out *
*************************************************************/
vec[0] = -1.0;
ivec[0] = col_out;
nvec = 1;
btsolve( m, vec, ivec, &nvec );
Nt_times_y( N, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
/*************************************************************
* STEP 3: Ratio test to find entering column *
*************************************************************/
col_in = ratio_test2( dy_N, idy_N, ndy_N, y_N, ybar_N, mu );
if (col_in == -1) { /* INFEASIBLE*/
status = 2;
printf("infeasible \n");
break;
}
/*************************************************************
* -1 *
* STEP 4: Compute dx = B N e *
* B j *
* *
*************************************************************/
j = nonbasics[col_in];
for (i=0, k=ka[j]; k<ka[j+1]; i++, k++) {
dx_B[i] = a[k];
idx_B[i] = ia[k];
}
ndx_B = i;
bsolve( m, dx_B, idx_B, &ndx_B );
} else {
/*************************************************************
* -1 *
* STEP 2: Compute dx = B N e *
* B j *
*************************************************************/
j = nonbasics[col_in];
for (i=0, k=ka[j]; k<ka[j+1]; i++, k++) {
dx_B[i] = a[k];
idx_B[i] = ia[k];
}
ndx_B = i;
bsolve( m, dx_B, idx_B, &ndx_B );
/*************************************************************
* STEP 3: Ratio test to find leaving column *
*************************************************************/
col_out = ratio_test( dx_B, idx_B, ndx_B, x_B, xbar_B, basics, freevars, mu );
if (col_out == -1) { /* UNBOUNDED */
status = 1;
printf("unbounded \n");
break;
}
/*************************************************************
* -1 T *
* STEP 4: Compute dy = -(B N) e *
* N i *
* *
*************************************************************/
vec[0] = -1.0;
ivec[0] = col_out;
nvec = 1;
btsolve( m, vec, ivec, &nvec );
Nt_times_y( N, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
}
/*************************************************************
* *
* STEP 5: Put t = x /dx *
* i i *
* _ _ *
* t = x /dx *
* i i *
* s = y /dy *
* j j *
* _ _ *
* s = y /dy *
* j j *
*************************************************************/
for (k=0; k<ndx_B; k++) if (idx_B[k] == col_out) break;
t = x_B[col_out]/dx_B[k];
tbar = xbar_B[col_out]/dx_B[k];
for (k=0; k<ndy_N; k++) if (idy_N[k] == col_in) break;
s = y_N[col_in]/dy_N[k];
sbar = ybar_N[col_in]/dy_N[k];
/*************************************************************
* _ _ _ *
* STEP 7: Set y = y - s dy y = y - s dy *
* N N N N N N *
* _ _ *
* y = s y = s *
* i i *
* _ _ _ *
* x = x - t dx x = x - t dx *
* B B B B B B *
* _ _ *
* x = t x = t *
* j j *
*************************************************************/
for (k=0; k<ndy_N; k++) {
j = idy_N[k];
y_N[j] -= s *dy_N[k];
ybar_N[j] -= sbar*dy_N[k];
}
y_N[col_in] = s;
ybar_N[col_in] = sbar;
for (k=0; k<ndx_B; k++) {
i = idx_B[k];
x_B[i] -= t *dx_B[k];
xbar_B[i] -= tbar*dx_B[k];
}
x_B[col_out] = t;
xbar_B[col_out] = tbar;
/*************************************************************
* STEP 8: Update basis *
*************************************************************/
i = basics[col_out];
j = nonbasics[col_in];
basics[col_out] = j;
nonbasics[col_in] = i;
basicflag[i] = -col_in-1;
basicflag[j] = col_out;
/*************************************************************
* STEP 9: Refactor basis and print statistics *
*************************************************************/
from_scratch = refactor( m, ka, ia, a, basics, col_out, v);
if (from_scratch) {
primal_obj = sdotprod(c,x_B,basics,m) + f;
/* printf("%8d %14.7e %9.2e \n", iter, high(primal_obj), high(mu));
fflush(stdout);*/
}
}
primal_obj = sdotprod(c,x_B,basics,m) + f;
/****************************************************************
* Transcribe solution to x vector and dual solution to y *
****************************************************************/
/****************************************************************
* Split out slack variables and shift dual variables.
****************************************************************/
/****************************************************************
* Free work space *
****************************************************************/
Nt_times_y(-1, at, iat, kat, basicflag, vec, ivec, nvec, dy_N, idy_N, &ndy_N);
FREE(at);
FREE(iat);
FREE(xbar_B);
FREE(kat);
FREE(ybar_N);
lu_clo();
btsolve(0, vec, ivec, &nvec);
bsolve(0, vec, ivec, &nvec);
FREE( vec );
FREE( ivec );
FREE( x_B );
FREE( y_N );
FREE( dx_B );
FREE(idx_B );
FREE( dy_N );
FREE(idy_N );
FREE( nonbasics );
FREE( basics );
return status;
} /* End of solver */
void solver20(
int m, /* number of constraints */
int n, /* number of variables */
int nz, /* number of nonzeros in sparse constraint matrix */
int *ia, /* array row indices */
int *ka, /* array of indices into ia and a */
double *a, /* array of nonzeros in the constraint matrix */
double *b, /* right-hand side */
double *c /* objective coefficients */
)
{
/*structure of the solver*/
int *basics;
int *nonbasics;
int *basicflag;
double *x_B; /* primal basics */
double *y_N; /* dual nonbasics */
double *xbar_B; /* primal basic perturbation */
double *ybar_N; /* dual nonbasic perturbation*/
double *dy_N; /* dual basics step direction - values (sparse) */
int *idy_N; /* dual basics step direction - row indices */
int ndy_N=0; /* number of nonz in dy_N */
double *dx_B; /* primal basics step direction - values (sparse) */
int *idx_B; /* primal basics step direction - row indices */
int ndx_B; /* number of nonz in dx_B */
double *at; /* sparse data structure for a^t */
int *iat;
int *kat;
int col_in; /* entering column; index in 'nonbasics' */
int col_out; /* leaving column; index in 'basics' */
int iter = 0; /* number of iterations */
int i,j,k,v=0;
double s, t, sbar, tbar, mu=HUGE_VAL;
double *vec;
int *ivec;
int nvec;
int N;
N=m+n;
/*******************************************************************
* read in the data and initialize the common memory sites.
*******************************************************************/
//add the slack variables
i = 0;
k = ka[n];
for (j=n; j<N; j++) {
a[k] = 1.0;
ia[k] = i;
i++;
k++;
ka[j+1] = k;
}
nz = k;
MALLOC( x_B, m, double );
MALLOC( xbar_B, m, double );
MALLOC( dx_B, m, double );
MALLOC( y_N, n, double );
MALLOC( ybar_N, n, double );
MALLOC( dy_N, n, double );
MALLOC( vec, N, double );
MALLOC( ivec, N, int );
MALLOC( idx_B, m, int );
MALLOC( idy_N, n, int );
MALLOC( at, nz, double );
MALLOC( iat, nz, int );
MALLOC( kat, m+1, int );
MALLOC( basics, m, int );
MALLOC( nonbasics, n, int );
MALLOC( basicflag, N, int );
CALLOC( x, N, double );
/****************************************************************
* initialization. *
****************************************************************/
atnum(m,N,ka,ia,a,kat,iat,at);
for (j=0; j<n; j++) {
nonbasics[j] = j;
basicflag[j] = -j-1;
y_N[j] = -c[j];
ybar_N[j] = 1;
}
for (i=0; i<m; i++) {
basics[i] = n+i;
basicflag[n+i] = i;
x_B[i] = b[i];
xbar_B[i] = 1;
}
lufac( m, ka, ia, a, basics, 0 );
for (iter=0; iter<MAX_ITER; iter++) {
/*************************************************************
* step 1: find mu *
*************************************************************/
mu = -HUGE_VAL;
col_in = -1;
for (j=0; j<n; j++) {
if (ybar_N[j] > EPS2) {
if ( mu < -y_N[j]/ybar_N[j] ) {
mu = -y_N[j]/ybar_N[j];
col_in = j;
}
}
}
col_out = -1;
for (i=0; i<m; i++) {
if (xbar_B[i] > EPS2) {
if ( mu < -x_B[i]/xbar_B[i] ) {
mu = -x_B[i]/xbar_B[i];
col_out = i;
col_in = -1;
}
}
}
if ( mu <= lambda0 ) { /* optimal */
status0=0;
break;
}
/*************************************************************
* -1 t *
* step 2: compute dy = -(b n) e *
* n i *
* where i = col_out *
*************************************************************/
if ( col_out >= 0 ) {
vec[0] = -1.0;
ivec[0] = col_out;
nvec = 1;
btsolve( m, vec, ivec, &nvec );
Nt_times_y( N, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
col_in = ratio_test0( dy_N, idy_N, ndy_N, y_N, ybar_N,mu );
/*************************************************************
* STEP 3: Ratio test to find entering column *
*************************************************************/
if (col_in == -1) { /* infeasible */
status0 = 1;
break;
}
/*************************************************************
* -1 *
* step 4: compute dx = b n e *
* b j *
* *
*************************************************************/
j = nonbasics[col_in];
for (i=0, k=ka[j]; k<ka[j+1]; i++, k++) {
dx_B[i] = a[k];
idx_B[i] = ia[k];
}
ndx_B = i;
bsolve( m, dx_B, idx_B, &ndx_B );
}
else {
/*************************************************************
* -1 *
* STEP 2: Compute dx = B N e *
* B j *
*************************************************************/
j = nonbasics[col_in];
for (i=0, k=ka[j]; k<ka[j+1]; i++, k++) {
dx_B[i] = a[k];
idx_B[i] = ia[k];
}
ndx_B = i;
bsolve( m, dx_B, idx_B, &ndx_B );
/*************************************************************
* STEP 3: Ratio test to find leaving column *
*************************************************************/
col_out = ratio_test0( dx_B, idx_B, ndx_B, x_B, xbar_B, mu );
if (col_out == -1) { /* UNBOUNDED */
status0 = 2;
break;
}
/*************************************************************
* -1 T *
* STEP 4: Compute dy = -(B N) e *
* N i *
* *
*************************************************************/
vec[0] = -1.0;
ivec[0] = col_out;
nvec = 1;
btsolve( m, vec, ivec, &nvec );
Nt_times_y( N, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
}
/*************************************************************
* *
* step 5: put t = x /dx *
* i i *
* _ _ *
* t = x /dx *
* i i *
* s = y /dy *
* j j *
* _ _ *
* s = y /dy *
* j j *
*************************************************************/
for (k=0; k<ndx_B; k++) if (idx_B[k] == col_out) break;
t = x_B[col_out]/dx_B[k];
tbar = xbar_B[col_out]/dx_B[k];
for (k=0; k<ndy_N; k++) if (idy_N[k] == col_in) break;
s = y_N[col_in]/dy_N[k];
sbar = ybar_N[col_in]/dy_N[k];
/*************************************************************
* _ _ _ *
* step 7: set y = y - s dy y = y - s dy *
* n n n n n n *
* _ _ *
* y = s y = s *
* i i *
* _ _ _ *
* x = x - t dx x = x - t dx *
* b b b b b b *
* _ _ *
* x = t x = t *
* j j *
*************************************************************/
for (k=0; k<ndy_N; k++) {
j = idy_N[k];
y_N[j] -= s *dy_N[k];
ybar_N[j] -= sbar*dy_N[k];
}
y_N[col_in] = s;
ybar_N[col_in] = sbar;
for (k=0; k<ndx_B; k++) {
i = idx_B[k];
x_B[i] -= t *dx_B[k];
xbar_B[i] -= tbar*dx_B[k];
}
x_B[col_out] = t;
xbar_B[col_out] = tbar;
/*************************************************************
* step 8: update basis *
*************************************************************/
i = basics[col_out];
j = nonbasics[col_in];
basics[col_out] = j;
nonbasics[col_in] = i;
basicflag[i] = -col_in-1;
basicflag[j] = col_out;
/*************************************************************
* step 9: refactor basis and print statistics *
*************************************************************/
refactor( m, ka, ia, a, basics, col_out, v );
}
for (i=0; i<m; i++) {
x[basics[i]] = x_B[i];
}
if(iter>=1){
Nt_times_y( -1, at, iat, kat, basicflag, vec, ivec, nvec,
dy_N, idy_N, &ndy_N );
}
/****************************************************************
* free work space *
****************************************************************/
FREE( vec );
FREE( ivec );
FREE( x_B );
FREE( y_N );
FREE( dx_B );
FREE(idx_B );
FREE( dy_N );
FREE(idy_N );
FREE(xbar_B);
FREE(ybar_N);
FREE( nonbasics );
FREE( basics );
FREE(at);
FREE(iat);
FREE(basicflag);
FREE(kat);
if(iter>=1){
lu_clo();
btsolve(0, vec, ivec, &nvec);
bsolve(0, vec, ivec, &nvec);
}
}
