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sdpa_parts.cpp
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/* -------------------------------------------------------------
This file is a component of SDPA
Copyright (C) 2004-2012 SDPA Project
This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation; either version 2 of the License, or
(at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
------------------------------------------------------------- */
#include "sdpa_parts.h"
#include "sdpa_jordan.h"
#include "sdpa_linear.h"
#include "sdpa_newton.h"
namespace sdpa {
ComputeTime::ComputeTime()
{
Predictor = 0.0;
Corrector = 0.0;
StepPredictor = 0.0;
StepCorrector = 0.0;
xMatTime = 0.0;
zMatTime = 0.0;
xMatzMatTime = 0.0;
invzMatTime = 0.0;
EigxMatTime = 0.0;
EigzMatTime = 0.0;
EigxMatzMatTime = 0.0;
makebMat = 0.0;
B_DIAG = 0.0;
B_F1 = 0.0;
B_F2 = 0.0;
B_F3 = 0.0;
B_PRE = 0.0;
makegVecMul = 0.0;
makegVec = 0.0;
makerMat = 0.0;
choleskybMat = 0.0;
solve = 0.0;
sumDz = 0.0;
makedX = 0.0;
symmetriseDx = 0.0;
makedXdZ = 0.0;
updateRes = 0.0;
MainLoop = 0.0;
FileRead = 0.0;
FileCheck = 0.0;
FileChange= 0.0;
TotalTime = 0.0;
}
ComputeTime::~ComputeTime()
{
// Nothing needs.
}
void ComputeTime::display(FILE* fpout)
{
if (fpout == NULL) {
return;
}
fprintf(fpout,"\n");
#if 0
if (TotalTime <= 0.0) {
return;
}
#endif
fprintf(fpout, " Time(sec) ");
fprintf(fpout," Ratio(%% : MainLoop) \n");
fprintf(fpout, " Predictor time = %f, %f\n",
Predictor, Predictor/MainLoop*100.0);
fprintf(fpout, " Corrector time = %f, %f\n",
Corrector, Corrector/MainLoop*100.0);
fprintf(fpout, " Make bMat time = %f, %f\n",
makebMat, makebMat/MainLoop*100.0);
fprintf(fpout, " Make bDia time = %f, %f\n",
B_DIAG,B_DIAG/MainLoop*100.0);
fprintf(fpout, " Make bF1 time = %f, %f\n",
B_F1,B_F1/MainLoop*100.0);
fprintf(fpout, " Make bF2 time = %f, %f\n",
B_F2,B_F2/MainLoop*100.0);
fprintf(fpout, " Make bF3 time = %f, %f\n",
B_F3,B_F3/MainLoop*100.0);
fprintf(fpout, " Make bPRE time = %f, %f\n",
B_PRE,B_PRE/MainLoop*100.0);
fprintf(fpout, " Make rMat time = %f, %f\n",
makerMat, makerMat/MainLoop*100.0);
fprintf(fpout, " Make gVec Mul = %f, %f\n",
makegVecMul, makegVecMul/MainLoop*100.0);
fprintf(fpout, " Make gVec time = %f, %f\n",
makegVec, makegVec/MainLoop*100.0);
fprintf(fpout, " Cholesky bMat = %f, %f\n",
choleskybMat, choleskybMat/MainLoop*100.0);
fprintf(fpout, " Ste Pre time = %f, %f\n",
StepPredictor, StepPredictor/MainLoop*100.0);
fprintf(fpout, " Ste Cor time = %f, %f\n",
StepCorrector, StepCorrector/MainLoop*100.0);
fprintf(fpout, " solve = %f, %f\n",
solve, solve/MainLoop*100.0);
fprintf(fpout, " sumDz = %f, %f\n",
sumDz, sumDz/MainLoop*100.0);
fprintf(fpout, " makedX = %f, %f\n",
makedX, makedX/MainLoop*100.0);
fprintf(fpout, " symmetriseDx = %f, %f\n",
symmetriseDx, symmetriseDx/MainLoop*100.0);
fprintf(fpout, " makedXdZ = %f, %f\n",
makedXdZ, makedXdZ/MainLoop*100.0);
fprintf(fpout, " xMatTime = %f, %f\n",
xMatTime, xMatTime/MainLoop*100.0);
fprintf(fpout, " zMatTime = %f, %f\n",
zMatTime, zMatTime/MainLoop*100.0);
fprintf(fpout, " invzMatTime = %f, %f\n",
invzMatTime, invzMatTime/MainLoop*100.0);
fprintf(fpout, " xMatzMatTime = %f, %f\n",
xMatzMatTime, xMatzMatTime/MainLoop*100.0);
fprintf(fpout, " EigxMatTime = %f, %f\n",
EigxMatTime, EigxMatTime/MainLoop*100.0);
fprintf(fpout, " EigzMatTime = %f, %f\n",
EigzMatTime, EigzMatTime/MainLoop*100.0);
fprintf(fpout, " EigxMatzMatTime = %f, %f\n",
EigxMatzMatTime, EigxMatzMatTime/MainLoop*100.0);
fprintf(fpout, " updateRes = %f, %f\n",
updateRes, updateRes/MainLoop*100.0);
double total_eigen = EigxMatTime + EigzMatTime + EigxMatzMatTime;
fprintf(fpout, " EigTime = %f, %f\n",
total_eigen, total_eigen/MainLoop*100.0);
double sub_total_bMat = MainLoop - makebMat;
fprintf(fpout, " sub_total_bMat = %f, %f\n",
sub_total_bMat, sub_total_bMat/MainLoop*100.0);
fprintf(fpout, " Main Loop = %f, %f\n",
MainLoop, MainLoop/MainLoop*100.0);
fprintf(fpout, " File Check = %f, %f\n",
FileCheck, FileCheck/MainLoop*100.0);
fprintf(fpout, " File Change = %f, %f\n",
FileChange, FileChange/MainLoop*100.0);
fprintf(fpout, " File Read = %f, %f\n",
FileRead, FileRead/MainLoop*100.0);
fprintf(fpout, " Total = %f, %f\n",
TotalTime, TotalTime/MainLoop*100.0);
fprintf(fpout, "\n");
return;
}
//-------------------------------------------------------------
Parameter::Parameter()
{
// setDefaultParameter();
}
Parameter::Parameter(FILE* parameterFile)
{
readFile(parameterFile);
}
Parameter::~Parameter()
{
// Nothings needs.
}
void Parameter::setDefaultParameter(Parameter::parameterType type)
{
if (type == PARAMETER_STABLE_BUT_SLOW) {
maxIteration = 1000;
epsilonStar = 1.0e-7;
lambdaStar = 1.0e+4;
omegaStar = 2.0;
lowerBound = -1.0e+5;
upperBound = 1.0e+5;
betaStar = 0.1;
betaBar = 0.3;
gammaStar = 0.8;
epsilonDash = 1.0e-7;
}
else if (type == PARAMETER_UNSTABLE_BUT_FAST) {
maxIteration = 100;
epsilonStar = 1.0e-7;
lambdaStar = 1.0e+2;
omegaStar = 2.0;
lowerBound = -1.0e+5;
upperBound = 1.0e+5;
betaStar = 0.01;
betaBar = 0.02;
gammaStar = 0.95;
epsilonDash = 1.0e-7;
}
else {
maxIteration = 100;
epsilonStar = 1.0e-7;
lambdaStar = 1.0e+2;
omegaStar = 2.0;
lowerBound = -1.0e+5;
upperBound = 1.0e+5;
betaStar = 0.1;
betaBar = 0.2;
gammaStar = 0.9;
epsilonDash = 1.0e-7;
}
strcpy(xPrint,xPRINT_DEFAULT);
strcpy(XPrint,XPRINT_DEFAULT);
strcpy(YPrint,YPRINT_DEFAULT);
strcpy(infPrint,infPRINT_DEFAULT);
}
char Parameter::xPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+8.3e";
char Parameter::XPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+8.3e";
char Parameter::YPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+8.3e";
char Parameter::infPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+10.16e";
void Parameter::readFile(FILE* parameterFile)
{
fscanf(parameterFile,"%d%*[^\n]",&maxIteration);
fscanf(parameterFile,"%lf%*[^\n]",&epsilonStar);
fscanf(parameterFile,"%lf%*[^\n]",&lambdaStar);
fscanf(parameterFile,"%lf%*[^\n]",&omegaStar);
fscanf(parameterFile,"%lf%*[^\n]",&lowerBound);
fscanf(parameterFile,"%lf%*[^\n]",&upperBound);
fscanf(parameterFile,"%lf%*[^\n]",&betaStar);
fscanf(parameterFile,"%lf%*[^\n]",&betaBar);
fscanf(parameterFile,"%lf%*[^\n]",&gammaStar);
fscanf(parameterFile,"%lf%*[^\n]",&epsilonDash);
fscanf(parameterFile,"%s %*[^\n]",xPrint);
fscanf(parameterFile,"%s %*[^\n]",XPrint);
fscanf(parameterFile,"%s %*[^\n]",YPrint);
fscanf(parameterFile,"%s %*[^\n]",infPrint);
if (strcmp(xPrint,NO_P_FORMAT)!=0 && xPrint[0]!='%') {
rMessage("Strange xPrint[" << xPrint << "]"
" migh cause trouble when printing x");
}
if (strcmp(XPrint,NO_P_FORMAT)!=0 && XPrint[0]!='%') {
rMessage("Strange XPrint[" << XPrint << "]"
" migh cause trouble when printing X.");
}
if (strcmp(YPrint,NO_P_FORMAT)!=0 && YPrint[0]!='%') {
rMessage("Strange YPrint[" << YPrint << "]"
" migh cause trouble when printing Y.");
}
if (strcmp(infPrint,NO_P_FORMAT)!=0 && infPrint[0]!='%') {
rMessage("Strange infPrint[" << infPrint << "]"
" migh cause trouble when printing information.");
}
}
void Parameter::display(FILE* fpout, char* printFormat)
{
if (fpout == NULL) {
return;
}
if (strcmp(printFormat,NO_P_FORMAT) == 0) {
fprintf(fpout,"%s\n",NO_P_FORMAT);
return;
}
fprintf(fpout, "** Parameters **\n");
fprintf(fpout, "maxIteration = %d\n",maxIteration);
fprintf(fpout, "epsilonStar = ");
fprintf(fpout, printFormat, epsilonStar );
fprintf(fpout, "\n");
fprintf(fpout, "lambdaStar = ");
fprintf(fpout, printFormat, lambdaStar );
fprintf(fpout, "\n");
fprintf(fpout, "omegaStar = ");
fprintf(fpout, printFormat, omegaStar );
fprintf(fpout, "\n");
fprintf(fpout, "lowerBound = ");
fprintf(fpout, printFormat, lowerBound);
fprintf(fpout, "\n");
fprintf(fpout, "upperBound = ");
fprintf(fpout, printFormat, upperBound);
fprintf(fpout, "\n");
fprintf(fpout, "betaStar = ");
fprintf(fpout, printFormat, betaStar );
fprintf(fpout, "\n");
fprintf(fpout, "betaBar = ");
fprintf(fpout, printFormat, betaBar );
fprintf(fpout, "\n");
fprintf(fpout, "gammaStar = ");
fprintf(fpout, printFormat, gammaStar );
fprintf(fpout, "\n");
fprintf(fpout, "epsilonDash = ");
fprintf(fpout, printFormat, epsilonDash );
fprintf(fpout, "\n");
#if 1
fprintf(fpout, "xPrint = %s \n", xPrint );
fprintf(fpout, "XPrint = %s \n", XPrint );
fprintf(fpout, "YPrint = %s \n", YPrint );
fprintf(fpout, "infPrint = %s \n", infPrint );
#endif
return;
}
//----------------------------------------------------------
StepLength::StepLength()
{
primal = 0.0;
dual = 0.0;
}
StepLength::~StepLength()
{
terminate();
}
void StepLength::initialize(double alphaP, double alphaD)
{
primal = alphaP;
dual = alphaD;
}
void StepLength::terminate()
{
// Nothing needs.
}
double StepLength::minBlockVector(BlockVector& aVec)
{
int nBlock = aVec.nBlock;
double ret = aVec.ele[0].ele[0];
double tmp;
int size = aVec.ele[0].nDim;
for (int j=1; j<size; ++j) {
tmp = aVec.ele[0].ele[j];
if (tmp < ret) {
ret = tmp;
}
}
for (int k=1; k<nBlock; ++k) {
size = aVec.ele[k].nDim;
for (int j=0; j<size; ++j) {
tmp = aVec.ele[k].ele[j];
if (tmp < ret) {
ret = tmp;
}
}
}
return ret;
}
void StepLength::computeStepLength(Solutions& currentPt,
Newton& newton,
WorkVariables& work,
ComputeTime& com)
{
double alphaBD = 100.0;
// calculate eigenvalues of X^{-1} dX
TimeStart(START1);
// rMessage("invCholeskyX=");
// currentPt.invCholeskyX.display();
// rMessage("Dx=");
// newton.DxMat.display();
double minxInvDxEigenValue;
#define ALL_EIGEN 0
#if ALL_EIGEN
Lal::let(work.DLS2,'=',newton.DxMat,'T',currentPt.invCholeskyX);
Lal::let(work.DLS1,'=',currentPt.invCholeskyX,'*',work.DLS2);
// rMessage("LDxLT=");
// workMat1.display();
// rMessage("eigen test");
Lal::getMinEigenValue(work.DLS1,xInvDxEigenValues,workVec);
minxInvDxEigenValue = minBlockVector(xInvDxEigenValues);
// rMessage("minxInvDxEigenValue = " << minxInvDxEigenValue);
#else
minxInvDxEigenValue
= Jal::getMinEigen(currentPt.invCholeskyX,newton.DxMat,work);
// rMessage("minxInvDxEigenValue = " << minxInvDxEigenValue);
#endif
if (-minxInvDxEigenValue > 1.0 /alphaBD) {
primal = - 1.0/minxInvDxEigenValue;
// the limint of primal steplength
} else {
primal = alphaBD;
}
TimeEnd(END1);
com.EigxMatTime += TimeCal(START1,END1);
// calculate eigenvalues of Z^{-1} dZ
TimeStart(START2);
// rMessage("invCholeskyZ=");
// currentPt.invCholeskyZ.display();
// rMessage("Dz=");
// newton.DzMat.display();
double minzInvDzEigenValue;
#if ALL_EIGEN
Lal::let(work.DLS2,'=',newton.DzMat,'T',currentPt.invCholeskyZ);
Lal::let(work.DLS1,'=',currentPt.invCholeskyZ,'*',work.DLS2);
// rMessage("LDzLT=");
// workMat1.display();
// rMessage("eigen test");
Lal::getMinEigenValue(work.DLS1,zInvDzEigenValues,workVec);
minzInvDzEigenValue = minBlockVector(zInvDzEigenValues);
// rMessage("minzInvDzEigenValue = " << minzInvDzEigenValue);
#else
minzInvDzEigenValue
= Jal::getMinEigen(currentPt.invCholeskyZ,newton.DzMat,work);
// rMessage("minzInvDzEigenValue = " << minzInvDzEigenValue);
#endif
if (-minzInvDzEigenValue > 1.0 /alphaBD) {
dual = - 1.0/minzInvDzEigenValue;
// the limint of dual steplength
} else {
dual = alphaBD;
}
TimeEnd(END2);
com.EigzMatTime += TimeCal(START2,END2);
}
void StepLength::MehrotraPredictor(InputData& inputData,
Solutions& currentPt,
Phase& phase,
Newton& newton,
WorkVariables& work,
ComputeTime& com)
{
#if 1
primal = dual = 0.9;
#else
computeStepLength(currentPt, newton, work, com);
#endif
Vector& b = inputData.b;
SparseLinearSpace& C = inputData.C;
if (phase.value==SolveInfo::noINFO
|| phase.value==SolveInfo::dFEAS) {
// primal is infeasible
if (primal>1.0) {
primal = 1.0;
}
} else {
// when primal is feasible,
// check stepP1 is effective or not.
double incPrimalObj;
Lal::let(incPrimalObj,'=',C,'.',newton.DxMat);
if (incPrimalObj>0.0) {
if (primal>dual) {
primal = dual;
}
if (primal>1.0) {
primal = 1.0;
}
}
}
if (phase.value==SolveInfo::noINFO
|| phase.value==SolveInfo::pFEAS) {
// dual is infeasible
if (dual>1.0) {
dual = 1.0;
}
} else {
// when dual is feasible
// check stepD1 is effective or not.
double incDualObj;
Lal::let(incDualObj,'=',b,'.',newton.DyVec);
if(incDualObj<0.0) {
if (dual>primal) {
dual = primal;
}
if (dual>1.0) {
dual = 1.0;
}
}
}
}
void StepLength::MehrotraCorrector(InputData& inputData,
Solutions& currentPt,
Phase& phase,
Switch& reduction,
Newton& newton,
AverageComplementarity& mu,
RatioInitResCurrentRes& theta,
WorkVariables& work,
Parameter& param,
ComputeTime& com)
{
double xi = 3.0;
Vector& b = inputData.b;
SparseLinearSpace& C = inputData.C;
int nDim = currentPt.nDim;
computeStepLength(currentPt, newton, work, com);
// adjust steplength with param.gammaStar
// param.gammaStar = 0.5;
primal = param.gammaStar * primal;
dual = param.gammaStar * dual;
// rMessage("primal = " << primal);
// rMessage("dual = " << dual);
// rMessage("phase = ");
// phase.display();
if (phase.value==SolveInfo::noINFO
|| phase.value==SolveInfo::dFEAS) {
// primal is infeasible.
if (primal>1.0) {
primal = 1.0;
}
} else {
double incPrimalObj;
Lal::let(incPrimalObj,'=',C,'.',newton.DxMat);
if(incPrimalObj>0.0) {
// when primal is feasible
// check stepD1 is effective or not.
if (primal>dual) {
primal = dual;
}
if (primal>1.0) {
primal = 1.0;
}
}
}
if (phase.value==SolveInfo::noINFO
|| phase.value==SolveInfo::pFEAS) {
// dual is infeasible
if (dual>1.0) {
dual = 1.0;
}
} else {
// when dual is feasible
// check stepD1 is effective or not.
double incDualObj;
Lal::let(incDualObj,'=',b,'.',newton.DyVec);
if(incDualObj<0.0) {
if (dual>primal) {
// change because noneffective
dual = primal;
}
if (dual>1.0) {
dual = 1.0;
}
}
}
#if 1
// attain feasibility before mu reduction
if (reduction.switchType==Switch::CENTERING
&& (phase.value == SolveInfo::noINFO
|| phase.value == SolveInfo::pFEAS
|| phase.value == SolveInfo::dFEAS) ) {
double xMatvMat;
Lal::let(xMatvMat,'=',currentPt.xMat,'.',newton.DzMat);
double uMatzMat;
Lal::let(uMatzMat,'=',newton.DxMat,'.',currentPt.zMat);
double uMatvMat;
Lal::let(uMatvMat,'=',newton.DxMat,'.',newton.DzMat);
double thetaMax = max((1.0-primal)*theta.primal,
(1.0-dual )*theta.dual);
double muNew = mu.current
+ (primal*uMatzMat + dual*xMatvMat
+ primal*dual*uMatvMat) / nDim;
double alphaMax;
// memo by kazuhide nakata
// thetaMax*mu.initial -> thetamax*thetaMax*mu.initial ???
// while (thetaMax*mu.initial > xi*muNew) {
while (thetaMax*thetaMax*mu.initial > xi*muNew) {
alphaMax = 0.95 * max(primal,dual);
primal = min(primal,alphaMax);
dual = min(dual ,alphaMax);
thetaMax = max((1.0-primal)*theta.primal,
(1.0-dual )*theta.dual);
muNew = mu.current + (primal*uMatzMat + dual*xMatvMat
+ primal*dual*uMatvMat) / nDim;
// if "too short step", then break down the algorithm.
if (primal < 1.0e-6 && dual < 1.0e-6) {
break;
}
}
}
#endif
// 2007/09/18 kazuhide nakata
// keep primal objective value >= dual objective value
if (phase.value == SolveInfo::pdFEAS){
// if (mu.current < 1.0){
double objValDual,objValPrimal,incDualObj,incPrimalObj,maxRatio;
Lal::let(objValDual,'=',inputData.b,'.',currentPt.yVec);
Lal::let(objValPrimal,'=',inputData.C,'.',currentPt.xMat);
Lal::let(incDualObj,'=',b,'.',newton.DyVec);
incDualObj *= dual;
Lal::let(incPrimalObj,'=',C,'.',newton.DxMat);
incPrimalObj *= primal;
maxRatio = (objValDual - objValPrimal)
/ (incPrimalObj - incDualObj);
if ((maxRatio > 0.0) && (maxRatio < 1.0)){
primal *= maxRatio;
dual *= maxRatio;
#if 0
printf("max stepsise ratio: %9.1e\n",maxRatio);
printf("new stepsize primal:%9.1e, dual:%9.1Fe\n",primal,dual);
#endif
}
}
}
void StepLength::display(FILE* fpout)
{
if (fpout == NULL) {
return;
}
fprintf(fpout,"alpha.primal = %8.3e\n",primal);
fprintf(fpout,"alpha.dual = %8.3e\n",dual);
}
//-------------------------------------------------
DirectionParameter::DirectionParameter(double betaStar)
{
initialize(betaStar);
}
DirectionParameter::~DirectionParameter()
{
// Nothing needs.
}
void DirectionParameter::initialize(double betaStar)
{
value = betaStar;
}
void DirectionParameter::MehrotraPredictor(Phase& phase,
Switch& reduction,
Parameter& param)
{
const double nu = 2.0;
if (phase.value == SolveInfo::pdFEAS) {
value = 0.0;
} else {
value = param.betaBar;
if (reduction.switchType==Switch::AFFINE) {
value = nu;
}
}
}
void DirectionParameter::
MehrotraCorrector(Phase& phase,StepLength& alpha,
Solutions& currentPt,Newton& newton,
AverageComplementarity& mu,Parameter& param)
{
int nDim = currentPt.nDim;
double xMatvMat;
Lal::let(xMatvMat,'=',currentPt.xMat,'.',newton.DzMat);
double uMatzMat;
Lal::let(uMatzMat,'=',newton.DxMat,'.',currentPt.zMat);
double uMatvMat;
Lal::let(uMatvMat,'=',newton.DxMat,'.',newton.DzMat);
double muTarget = mu.current
+ (alpha.primal*uMatzMat + alpha.dual*xMatvMat
+ alpha.primal*alpha.dual*uMatvMat) / nDim;
// rMessage("muTarget : " << muTarget);
// rMessage("muCurrent : " << mu.current);
value = muTarget/mu.current;
// rMessage("muValue : " << value);
if (value < 1.0) {
value = value*value;
}
if (phase.value==SolveInfo::pdFEAS) {
// rMessage("MehrotraCorrector : pdFEAS" << value);
if (value < param.betaStar) {
value = param.betaStar;
}
if (value > 1.0) {
value = 1.0;
}
} else {
if (value < param.betaBar) {
value = param.betaBar;
}
}
// rMessage("MehrotraCorrector : " << value);
}
void DirectionParameter::display(FILE* fpout)
{
if (fpout == NULL) {
return;
}
fprintf(fpout,"beta.value = %8.3e\n",value);
}
//---------------------------------------------------
Switch::Switch(SwitchType switchType)
{
initialize(switchType);
}
Switch::~Switch()
{
// Nothing needs.
}
void Switch::initialize(SwitchType switchType)
{
this->switchType = switchType;
}
void Switch::MehrotraPredictor(Phase& phase)
{
if (phase.value==SolveInfo::noINFO
|| phase.value==SolveInfo::pFEAS
|| phase.value==SolveInfo::dFEAS) {
// At least one of primal or dual is infeasible.
switchType = CENTERING;
} else {
switchType = AFFINE;
}
}
void Switch::display(FILE* fpout)
{
if (fpout == NULL) {
return;
}
if (switchType == CENTERING) {
fprintf(fpout,"reduction.switchType == CENTERING\n");
} else {
fprintf(fpout,"reduction.switchType == AFFINE\n");
}
}
// ----------------------------------------
AverageComplementarity::AverageComplementarity(double lambdaStar)
{
initialize(lambdaStar);
}
AverageComplementarity::~AverageComplementarity()
{
// Nothing needs.
}
void AverageComplementarity::initialize(double lambdaStar)
{
initial = lambdaStar*lambdaStar;
current = initial;
// rMessage("initial average = " << initial);
}
void AverageComplementarity::initialize(Solutions& initPt)
{
int nDim = initPt.nDim;
Lal::let(initial,'=',initPt.xMat,'.',initPt.zMat);
initial /= nDim;
current = initial;
}
void AverageComplementarity::update(Solutions& currentPt)
{
int nDim = currentPt.nDim;
Lal::let(current,'=',currentPt.xMat,'.',currentPt.zMat);
current /= nDim;
}
void AverageComplementarity::display(FILE* fpout)
{
if (fpout == NULL) {
return;
}
fprintf(fpout,"mu0 = %8.3e\n",initial);
fprintf(fpout,"mu = %8.3e\n",current);
}
//--------------------------------------------------
RatioInitResCurrentRes::RatioInitResCurrentRes()
{
primal = 0.0;
dual = 0.0;
}
RatioInitResCurrentRes::~RatioInitResCurrentRes()
{
// Nothing needs.
}
RatioInitResCurrentRes::RatioInitResCurrentRes(Parameter& param,
Residuals& initRes)
{
initialize(param,initRes);
}
void RatioInitResCurrentRes::initialize(Parameter& param,
Residuals& initRes)
{
double accuracy = param.epsilonDash;
if (initRes.normPrimalVec < accuracy) {
primal = 0.0;
} else {
primal = 1.0;
}
if (initRes.normDualMat < accuracy) {
dual = 0.0;
} else {
dual = 1.0;
}
}
void RatioInitResCurrentRes::update(Switch& reduction,
StepLength& alpha)
{
if (reduction.switchType==Switch::CENTERING) {
// At least one of primal or dual is infeasible
primal = fabs((1.0-alpha.primal)*primal);
dual = fabs((1.0-alpha.dual )*dual );
}
}
void RatioInitResCurrentRes::update_exact(Residuals& initRes,
Residuals& currentRes,
Parameter& param)
{
if (initRes.normPrimalVec
> param.epsilonDash * 1.0e-2) {
primal = currentRes.normPrimalVec / initRes.normPrimalVec;
}
else {
primal = 0.0;
}
if (initRes.normDualMat
> param.epsilonDash * 1.0e-2) {
dual = currentRes.normDualMat / initRes.normDualMat;
}
else {
dual = 0.0;
}
}
void RatioInitResCurrentRes::display(FILE* fpout)
{
if (fpout == NULL) {
return;
}
fprintf(fpout,"theta.primal = %8.3e\n",primal);
fprintf(fpout,"theta.dual = %8.3e\n",dual);
}
//---------------------------------------------------
SolveInfo::SolveInfo()
{
rho = 0.0;
etaPrimal = 0.0;
etaDual = 0.0;
objValPrimal = 0.0;
objValDual = 0.0;
}
SolveInfo::SolveInfo(InputData& inputData, Solutions& currentPt,
double mu0, double omegaStar)
{
initialize(inputData,currentPt,mu0,omegaStar);
}
SolveInfo::~SolveInfo()
{
// Nothing needs.
}
void SolveInfo::initialize(InputData& inputData, Solutions& currentPt,
double mu0, double omegaStar)
{
int nDim = currentPt.nDim;
Vector& b = inputData.b;
SparseLinearSpace& C = inputData.C;
rho = 1.0;
etaPrimal = omegaStar * nDim * mu0;
etaDual = omegaStar * nDim * mu0;
Lal::let(objValPrimal,'=',C,'.',currentPt.xMat);
Lal::let(objValDual ,'=',b,'.',currentPt.yVec);
}
void SolveInfo::update(InputData& inputData,
DenseLinearSpace& initPt_xMat,
DenseLinearSpace& initPt_zMat,
Solutions& currentPt,
Residuals& currentRes,
AverageComplementarity& mu,
RatioInitResCurrentRes& theta,
Parameter& param)
{
int nDim = currentPt.nDim;
Vector& b = inputData.b;
SparseLinearSpace& C = inputData.C;
Lal::let(objValPrimal,'=',C,'.',currentPt.xMat);
Lal::let(objValDual ,'=',b,'.',currentPt.yVec);
double primal = theta.primal;
double dual = theta.dual;
double omega = param.omegaStar;
rho = 0.0;
double x0z0 = nDim*mu.initial;
double xMatzMat = nDim*mu.current;
double x0zMat = 0.0;
double xMatz0 = 0.0;
Lal::let(x0zMat,'=',initPt_xMat,'.',currentPt.zMat);
Lal::let(xMatz0,'=',currentPt.xMat,'.',initPt_zMat);
double accuracy = param.epsilonDash;
if (currentRes.normPrimalVec <= accuracy) {
// rMessage("primal accuracy");
if (xMatz0 < etaPrimal) {
etaPrimal = xMatz0;
}
}
if (currentRes.normDualMat <= accuracy) {
// rMessage("dual accuracy");
if (x0zMat < etaDual) {
etaDual = x0zMat;
}
}
// primal is infeasible and dual is feasible
if (currentRes.normPrimalVec > accuracy
&& currentRes.normDualMat <= accuracy) {
rho = primal*x0zMat
/ ((primal+(1.0-primal)*omega)*etaDual + xMatzMat);
}
// primal is feasible and dual is infeasible
if (currentRes.normPrimalVec <= accuracy
&& currentRes.normDualMat > accuracy) {
rho = dual*xMatz0
/ ((dual+(1.0-dual)*omega)* etaPrimal + xMatzMat);
}
// primal and dual are infeasible
if (currentRes.normPrimalVec > accuracy
&& currentRes.normDualMat > accuracy) {
rho = (dual*xMatz0+primal*x0zMat)
/ ((primal*dual
+ omega *(primal*(1.0-dual) + (1.0-primal)*dual))* x0z0
+ xMatzMat);
}
// rMessage("eta Primal = " << etaPrimal);
// rMessage("eta Dual = " << etaDual);
}
void SolveInfo::update(double& lambda,
InputData& inputData,
Solutions& currentPt,
Residuals& currentRes,
AverageComplementarity& mu,
RatioInitResCurrentRes& theta,
Parameter& param)
{
int nDim = currentPt.nDim;
Vector& b = inputData.b;
SparseLinearSpace& C = inputData.C;
Lal::let(objValPrimal,'=',C,'.',currentPt.xMat);
Lal::let(objValDual ,'=',b,'.',currentPt.yVec);
double primal = theta.primal;
double dual = theta.dual;
double omega = param.omegaStar;
rho = 0.0;
double x0z0 = nDim*mu.initial;