/** * @brief A wrapper around private functions, which update Cholesky factor and * resolve the system. * * @param[in] ppar parameters. * @param[in] active_set a vector of active constraints. * @param[in] x initial guess. * @param[out] dx feasible descent direction, must be allocated. */ void chol_solve::up_resolve( const AS::problem_parameters& ppar, const vector <AS::constraint>& active_set, const double *x, double *dx) { int ic_num = active_set.size()-1; constraint c = active_set.back(); update (ppar, c, ic_num); update_z (ppar, c, ic_num, x); resolve (ppar, active_set, x, dx); }
void update_channels(void) { { if ((int )b0_req_up == 1) { { update_b0(); } } else { } if ((int )b1_req_up == 1) { { update_b1(); } } else { } if ((int )d0_req_up == 1) { { update_d0(); } } else { } if ((int )d1_req_up == 1) { { update_d1(); } } else { } if ((int )z_req_up == 1) { { update_z(); } } else { } return; } }
double QuadProg::solve_quadprog(Matrix<double>& G, Vector<double>& g0, const Matrix<double>& CE, const Vector<double>& ce0, const Matrix<double>& CI, const Vector<double>& ci0, Vector<double>& x) { std::ostringstream msg; { //Ensure that the dimensions of the matrices and vectors can be //safely converted from unsigned int into to int without overflow. unsigned mx = std::numeric_limits<int>::max(); if(G.ncols() >= mx || G.nrows() >= mx || CE.nrows() >= mx || CE.ncols() >= mx || CI.nrows() >= mx || CI.ncols() >= mx || ci0.size() >= mx || ce0.size() >= mx || g0.size() >= mx){ msg << "The dimensions of one of the input matrices or vectors were " << "too large." << std::endl << "The maximum allowable size for inputs to solve_quadprog is:" << mx << std::endl; throw std::logic_error(msg.str()); } } int n = G.ncols(), p = CE.ncols(), m = CI.ncols(); if ((int)G.nrows() != n) { msg << "The matrix G is not a square matrix (" << G.nrows() << " x " << G.ncols() << ")"; throw std::logic_error(msg.str()); } if ((int)CE.nrows() != n) { msg << "The matrix CE is incompatible (incorrect number of rows " << CE.nrows() << " , expecting " << n << ")"; throw std::logic_error(msg.str()); } if ((int)ce0.size() != p) { msg << "The vector ce0 is incompatible (incorrect dimension " << ce0.size() << ", expecting " << p << ")"; throw std::logic_error(msg.str()); } if ((int)CI.nrows() != n) { msg << "The matrix CI is incompatible (incorrect number of rows " << CI.nrows() << " , expecting " << n << ")"; throw std::logic_error(msg.str()); } if ((int)ci0.size() != m) { msg << "The vector ci0 is incompatible (incorrect dimension " << ci0.size() << ", expecting " << m << ")"; throw std::logic_error(msg.str()); } x.resize(n); register int i, j, k, l; /* indices */ int ip; // this is the index of the constraint to be added to the active set Matrix<double> R(n, n), J(n, n); Vector<double> s(m + p), z(n), r(m + p), d(n), np(n), u(m + p), x_old(n), u_old(m + p); double f_value, psi, c1, c2, sum, ss, R_norm; double inf; if (std::numeric_limits<double>::has_infinity) inf = std::numeric_limits<double>::infinity(); else inf = 1.0E300; double t, t1, t2; /* t is the step lenght, which is the minimum of the partial step length t1 * and the full step length t2 */ Vector<int> A(m + p), A_old(m + p), iai(m + p); int q, iq, iter = 0; Vector<bool> iaexcl(m + p); /* p is the number of equality constraints */ /* m is the number of inequality constraints */ q = 0; /* size of the active set A (containing the indices of the active constraints) */ #ifdef TRACE_SOLVER std::cout << std::endl << "Starting solve_quadprog" << std::endl; print_matrix("G", G); print_vector("g0", g0); print_matrix("CE", CE); print_vector("ce0", ce0); print_matrix("CI", CI); print_vector("ci0", ci0); #endif /* * Preprocessing phase */ /* compute the trace of the original matrix G */ c1 = 0.0; for (i = 0; i < n; i++) { c1 += G[i][i]; } /* decompose the matrix G in the form L^T L */ cholesky_decomposition(G); #ifdef TRACE_SOLVER print_matrix("G", G); #endif /* initialize the matrix R */ for (i = 0; i < n; i++) { d[i] = 0.0; for (j = 0; j < n; j++) R[i][j] = 0.0; } R_norm = 1.0; /* this variable will hold the norm of the matrix R */ /* compute the inverse of the factorized matrix G^-1, this is the initial value for H */ c2 = 0.0; for (i = 0; i < n; i++) { d[i] = 1.0; forward_elimination(G, z, d); for (j = 0; j < n; j++) J[i][j] = z[j]; c2 += z[i]; d[i] = 0.0; } #ifdef TRACE_SOLVER print_matrix("J", J); #endif /* c1 * c2 is an estimate for cond(G) */ /* * Find the unconstrained minimizer of the quadratic form 0.5 * x G x + g0 x * this is a feasible point in the dual space * x = G^-1 * g0 */ cholesky_solve(G, x, g0); for (i = 0; i < n; i++) x[i] = -x[i]; /* and compute the current solution value */ f_value = 0.5 * scalar_product(g0, x); #ifdef TRACE_SOLVER std::cout << "Unconstrained solution: " << f_value << std::endl; print_vector("x", x); #endif /* Add equality constraints to the working set A */ iq = 0; for (i = 0; i < p; i++) { for (j = 0; j < n; j++) np[j] = CE[j][i]; compute_d(d, J, np); update_z(z, J, d, iq); update_r(R, r, d, iq); #ifdef TRACE_SOLVER print_matrix("R", R, n, iq); print_vector("z", z); print_vector("r", r, iq); print_vector("d", d); #endif /* compute full step length t2: i.e., the minimum step in primal space s.t. the contraint becomes feasible */ t2 = 0.0; if (fabs(scalar_product(z, z)) > std::numeric_limits<double>::epsilon()) // i.e. z != 0 t2 = (-scalar_product(np, x) - ce0[i]) / scalar_product(z, np); /* set x = x + t2 * z */ for (k = 0; k < n; k++) x[k] += t2 * z[k]; /* set u = u+ */ u[iq] = t2; for (k = 0; k < iq; k++) u[k] -= t2 * r[k]; /* compute the new solution value */ f_value += 0.5 * (t2 * t2) * scalar_product(z, np); A[i] = -i - 1; if (!add_constraint(R, J, d, iq, R_norm)) { // Equality constraints are linearly dependent throw std::runtime_error("Constraints are linearly dependent"); return f_value; } } /* set iai = K \ A */ for (i = 0; i < m; i++) iai[i] = i; l1: iter++; #ifdef TRACE_SOLVER print_vector("x", x); #endif /* step 1: choose a violated constraint */ for (i = p; i < iq; i++) { ip = A[i]; iai[ip] = -1; } /* compute s[x] = ci^T * x + ci0 for all elements of K \ A */ ss = 0.0; psi = 0.0; /* this value will contain the sum of all infeasibilities */ ip = 0; /* ip will be the index of the chosen violated constraint */ for (i = 0; i < m; i++) { iaexcl[i] = true; sum = 0.0; for (j = 0; j < n; j++) sum += CI[j][i] * x[j]; sum += ci0[i]; s[i] = sum; psi += std::min(0.0, sum); } #ifdef TRACE_SOLVER print_vector("s", s, m); #endif if (fabs(psi) <= m * std::numeric_limits<double>::epsilon() * c1 * c2* 100.0) { /* numerically there are not infeasibilities anymore */ q = iq; return f_value; } /* save old values for u and A */ for (i = 0; i < iq; i++) { u_old[i] = u[i]; A_old[i] = A[i]; } /* and for x */ for (i = 0; i < n; i++) x_old[i] = x[i]; l2: /* Step 2: check for feasibility and determine a new S-pair */ for (i = 0; i < m; i++) { if (s[i] < ss && iai[i] != -1 && iaexcl[i]) { ss = s[i]; ip = i; } } if (ss >= 0.0) { q = iq; return f_value; } /* set np = n[ip] */ for (i = 0; i < n; i++) np[i] = CI[i][ip]; /* set u = [u 0]^T */ u[iq] = 0.0; /* add ip to the active set A */ A[iq] = ip; #ifdef TRACE_SOLVER std::cout << "Trying with constraint " << ip << std::endl; print_vector("np", np); #endif l2a:/* Step 2a: determine step direction */ /* compute z = H np: the step direction in the primal space (through J, see the paper) */ compute_d(d, J, np); update_z(z, J, d, iq); /* compute N* np (if q > 0): the negative of the step direction in the dual space */ update_r(R, r, d, iq); #ifdef TRACE_SOLVER std::cout << "Step direction z" << std::endl; print_vector("z", z); print_vector("r", r, iq + 1); print_vector("u", u, iq + 1); print_vector("d", d); print_vector("A", A, iq + 1); #endif /* Step 2b: compute step length */ l = 0; /* Compute t1: partial step length (maximum step in dual space without violating dual feasibility */ t1 = inf; /* +inf */ /* find the index l s.t. it reaches the minimum of u+[x] / r */ for (k = p; k < iq; k++) { if (r[k] > 0.0) { if (u[k] / r[k] < t1) { t1 = u[k] / r[k]; l = A[k]; } } } /* Compute t2: full step length (minimum step in primal space such that the constraint ip becomes feasible */ if (fabs(scalar_product(z, z)) > std::numeric_limits<double>::epsilon()) // i.e. z != 0 t2 = -s[ip] / scalar_product(z, np); else t2 = inf; /* +inf */ /* the step is chosen as the minimum of t1 and t2 */ t = std::min(t1, t2); #ifdef TRACE_SOLVER std::cout << "Step sizes: " << t << " (t1 = " << t1 << ", t2 = " << t2 << ") "; #endif /* Step 2c: determine new S-pair and take step: */ /* case (i): no step in primal or dual space */ if (t >= inf) { /* QPP is infeasible */ // FIXME: unbounded to raise q = iq; return inf; } /* case (ii): step in dual space */ if (t2 >= inf) { /* set u = u + t * [-r 1] and drop constraint l from the active set A */ for (k = 0; k < iq; k++) u[k] -= t * r[k]; u[iq] += t; iai[l] = l; delete_constraint(R, J, A, u, n, p, iq, l); #ifdef TRACE_SOLVER std::cout << " in dual space: " << f_value << std::endl; print_vector("x", x); print_vector("z", z); print_vector("A", A, iq + 1); #endif goto l2a; } /* case (iii): step in primal and dual space */ /* set x = x + t * z */ for (k = 0; k < n; k++) x[k] += t * z[k]; /* update the solution value */ f_value += t * scalar_product(z, np) * (0.5 * t + u[iq]); /* u = u + t * [-r 1] */ for (k = 0; k < iq; k++) u[k] -= t * r[k]; u[iq] += t; #ifdef TRACE_SOLVER std::cout << " in both spaces: " << f_value << std::endl; print_vector("x", x); print_vector("u", u, iq + 1); print_vector("r", r, iq + 1); print_vector("A", A, iq + 1); #endif if (fabs(t - t2) < std::numeric_limits<double>::epsilon()) { #ifdef TRACE_SOLVER std::cout << "Full step has taken " << t << std::endl; print_vector("x", x); #endif /* full step has taken */ /* add constraint ip to the active set*/ if (!add_constraint(R, J, d, iq, R_norm)) { iaexcl[ip] = false; delete_constraint(R, J, A, u, n, p, iq, ip); #ifdef TRACE_SOLVER print_matrix("R", R); print_vector("A", A, iq); print_vector("iai", iai); #endif for (i = 0; i < m; i++) iai[i] = i; for (i = p; i < iq; i++) { A[i] = A_old[i]; u[i] = u_old[i]; iai[A[i]] = -1; } for (i = 0; i < n; i++) x[i] = x_old[i]; goto l2; /* go to step 2 */ } else iai[ip] = -1; #ifdef TRACE_SOLVER print_matrix("R", R); print_vector("A", A, iq); print_vector("iai", iai); #endif goto l1; } /* a patial step has taken */ #ifdef TRACE_SOLVER std::cout << "Partial step has taken " << t << std::endl; print_vector("x", x); #endif /* drop constraint l */ iai[l] = l; delete_constraint(R, J, A, u, n, p, iq, l); #ifdef TRACE_SOLVER print_matrix("R", R); print_vector("A", A, iq); #endif /* update s[ip] = CI * x + ci0 */ sum = 0.0; for (k = 0; k < n; k++) sum += CI[k][ip] * x[k]; s[ip] = sum + ci0[ip]; #ifdef TRACE_SOLVER print_vector("s", s, m); #endif goto l2a; }
inline double solve_quadprog(MatrixXd & G, VectorXd & g0, const MatrixXd & CE, const VectorXd & ce0, const MatrixXd & CI, const VectorXd & ci0, VectorXd& x) { int i, j, k, l; /* indices */ int ip, me, mi; int n=g0.size(); int p=ce0.size(); int m=ci0.size(); MatrixXd R(G.rows(),G.cols()), J(G.rows(),G.cols()); LLT<MatrixXd,Lower> chol(G.cols()); VectorXd s(m+p), z(n), r(m + p), d(n), np(n), u(m + p); VectorXd x_old(n), u_old(m + p); double f_value, psi, c1, c2, sum, ss, R_norm; const double inf = std::numeric_limits<double>::infinity(); double t, t1, t2; /* t is the step length, which is the minimum of the partial step length t1 * and the full step length t2 */ VectorXi A(m + p), A_old(m + p), iai(m + p); int q; int iq, iter = 0; bool iaexcl[m + p]; me = p; /* number of equality constraints */ mi = m; /* number of inequality constraints */ q = 0; /* size of the active set A (containing the indices of the active constraints) */ /* * Preprocessing phase */ /* compute the trace of the original matrix G */ c1 = G.trace(); /* decompose the matrix G in the form LL^T */ chol.compute(G); /* initialize the matrix R */ d.setZero(); R.setZero(); R_norm = 1.0; /* this variable will hold the norm of the matrix R */ /* compute the inverse of the factorized matrix G^-1, this is the initial value for H */ // J = L^-T J.setIdentity(); J = chol.matrixU().solve(J); c2 = J.trace(); #ifdef TRACE_SOLVER print_matrix("J", J, n); #endif /* c1 * c2 is an estimate for cond(G) */ /* * Find the unconstrained minimizer of the quadratic form 0.5 * x G x + g0 x * this is a feasible point in the dual space * x = G^-1 * g0 */ x = chol.solve(g0); x = -x; /* and compute the current solution value */ f_value = 0.5 * g0.dot(x); #ifdef TRACE_SOLVER std::cerr << "Unconstrained solution: " << f_value << std::endl; print_vector("x", x, n); #endif /* Add equality constraints to the working set A */ iq = 0; for (i = 0; i < me; i++) { np = CE.col(i); compute_d(d, J, np); update_z(z, J, d, iq); update_r(R, r, d, iq); #ifdef TRACE_SOLVER print_matrix("R", R, iq); print_vector("z", z, n); print_vector("r", r, iq); print_vector("d", d, n); #endif /* compute full step length t2: i.e., the minimum step in primal space s.t. the contraint becomes feasible */ t2 = 0.0; if (internal::abs(z.dot(z)) > std::numeric_limits<double>::epsilon()) // i.e. z != 0 t2 = (-np.dot(x) - ce0(i)) / z.dot(np); x += t2 * z; /* set u = u+ */ u(iq) = t2; u.head(iq) -= t2 * r.head(iq); /* compute the new solution value */ f_value += 0.5 * (t2 * t2) * z.dot(np); A(i) = -i - 1; if (!add_constraint(R, J, d, iq, R_norm)) { // FIXME: it should raise an error // Equality constraints are linearly dependent return f_value; } } /* set iai = K \ A */ for (i = 0; i < mi; i++) iai(i) = i; l1: iter++; #ifdef TRACE_SOLVER print_vector("x", x, n); #endif /* step 1: choose a violated constraint */ for (i = me; i < iq; i++) { ip = A(i); iai(ip) = -1; } /* compute s(x) = ci^T * x + ci0 for all elements of K \ A */ ss = 0.0; psi = 0.0; /* this value will contain the sum of all infeasibilities */ ip = 0; /* ip will be the index of the chosen violated constraint */ for (i = 0; i < mi; i++) { iaexcl[i] = true; sum = CI.col(i).dot(x) + ci0(i); s(i) = sum; psi += std::min(0.0, sum); } #ifdef TRACE_SOLVER print_vector("s", s, mi); #endif if (internal::abs(psi) <= mi * std::numeric_limits<double>::epsilon() * c1 * c2* 100.0) { /* numerically there are not infeasibilities anymore */ q = iq; return f_value; } /* save old values for u, x and A */ u_old.head(iq) = u.head(iq); A_old.head(iq) = A.head(iq); x_old = x; l2: /* Step 2: check for feasibility and determine a new S-pair */ for (i = 0; i < mi; i++) { if (s(i) < ss && iai(i) != -1 && iaexcl[i]) { ss = s(i); ip = i; } } if (ss >= 0.0) { q = iq; return f_value; } /* set np = n(ip) */ np = CI.col(ip); /* set u = (u 0)^T */ u(iq) = 0.0; /* add ip to the active set A */ A(iq) = ip; #ifdef TRACE_SOLVER std::cerr << "Trying with constraint " << ip << std::endl; print_vector("np", np, n); #endif l2a:/* Step 2a: determine step direction */ /* compute z = H np: the step direction in the primal space (through J, see the paper) */ compute_d(d, J, np); update_z(z, J, d, iq); /* compute N* np (if q > 0): the negative of the step direction in the dual space */ update_r(R, r, d, iq); #ifdef TRACE_SOLVER std::cerr << "Step direction z" << std::endl; print_vector("z", z, n); print_vector("r", r, iq + 1); print_vector("u", u, iq + 1); print_vector("d", d, n); print_ivector("A", A, iq + 1); #endif /* Step 2b: compute step length */ l = 0; /* Compute t1: partial step length (maximum step in dual space without violating dual feasibility */ t1 = inf; /* +inf */ /* find the index l s.t. it reaches the minimum of u+(x) / r */ for (k = me; k < iq; k++) { double tmp; if (r(k) > 0.0 && ((tmp = u(k) / r(k)) < t1) ) { t1 = tmp; l = A(k); } } /* Compute t2: full step length (minimum step in primal space such that the constraint ip becomes feasible */ if (internal::abs(z.dot(z)) > std::numeric_limits<double>::epsilon()) // i.e. z != 0 t2 = -s(ip) / z.dot(np); else t2 = inf; /* +inf */ /* the step is chosen as the minimum of t1 and t2 */ t = std::min(t1, t2); #ifdef TRACE_SOLVER std::cerr << "Step sizes: " << t << " (t1 = " << t1 << ", t2 = " << t2 << ") "; #endif /* Step 2c: determine new S-pair and take step: */ /* case (i): no step in primal or dual space */ if (t >= inf) { /* QPP is infeasible */ // FIXME: unbounded to raise q = iq; return inf; } /* case (ii): step in dual space */ if (t2 >= inf) { /* set u = u + t * [-r 1) and drop constraint l from the active set A */ u.head(iq) -= t * r.head(iq); u(iq) += t; iai(l) = l; delete_constraint(R, J, A, u, p, iq, l); #ifdef TRACE_SOLVER std::cerr << " in dual space: " << f_value << std::endl; print_vector("x", x, n); print_vector("z", z, n); print_ivector("A", A, iq + 1); #endif goto l2a; } /* case (iii): step in primal and dual space */ x += t * z; /* update the solution value */ f_value += t * z.dot(np) * (0.5 * t + u(iq)); u.head(iq) -= t * r.head(iq); u(iq) += t; #ifdef TRACE_SOLVER std::cerr << " in both spaces: " << f_value << std::endl; print_vector("x", x, n); print_vector("u", u, iq + 1); print_vector("r", r, iq + 1); print_ivector("A", A, iq + 1); #endif if (t == t2) { #ifdef TRACE_SOLVER std::cerr << "Full step has taken " << t << std::endl; print_vector("x", x, n); #endif /* full step has taken */ /* add constraint ip to the active set*/ if (!add_constraint(R, J, d, iq, R_norm)) { iaexcl[ip] = false; delete_constraint(R, J, A, u, p, iq, ip); #ifdef TRACE_SOLVER print_matrix("R", R, n); print_ivector("A", A, iq); #endif for (i = 0; i < m; i++) iai(i) = i; for (i = 0; i < iq; i++) { A(i) = A_old(i); iai(A(i)) = -1; u(i) = u_old(i); } x = x_old; goto l2; /* go to step 2 */ } else iai(ip) = -1; #ifdef TRACE_SOLVER print_matrix("R", R, n); print_ivector("A", A, iq); #endif goto l1; } /* a patial step has taken */ #ifdef TRACE_SOLVER std::cerr << "Partial step has taken " << t << std::endl; print_vector("x", x, n); #endif /* drop constraint l */ iai(l) = l; delete_constraint(R, J, A, u, p, iq, l); #ifdef TRACE_SOLVER print_matrix("R", R, n); print_ivector("A", A, iq); #endif s(ip) = CI.col(ip).dot(x) + ci0(ip); #ifdef TRACE_SOLVER print_vector("s", s, mi); #endif goto l2a; }