ScaledMatrixSpace::ScaledMatrixSpace(
const SmartPtr<const Vector>& row_scaling,
bool row_scaling_reciprocal,
const SmartPtr<const MatrixSpace>& unscaled_matrix_space,
const SmartPtr<const Vector>& column_scaling,
bool column_scaling_reciprocal)
:
MatrixSpace(unscaled_matrix_space->NRows(),
unscaled_matrix_space->NCols()),
unscaled_matrix_space_(unscaled_matrix_space)
{
if (IsValid(row_scaling)) {
row_scaling_ = row_scaling->MakeNewCopy();
if (row_scaling_reciprocal) {
row_scaling_->ElementWiseReciprocal();
}
}
else {
row_scaling_ = NULL;
}
if (IsValid(column_scaling)) {
column_scaling_ = column_scaling->MakeNewCopy();
if (column_scaling_reciprocal) {
column_scaling_->ElementWiseReciprocal();
}
}
else {
column_scaling_ = NULL;
}
}
inline
Index Matrix::NCols() const
{
return owner_space_->NCols();
}
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;
}