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sdpa_parts.cpp
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sdpa_parts.cpp
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/* -------------------------------------------------------------
This file is a component of SDPA
Copyright (C) 2004 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>
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-30;
lambdaStar = 1.0e+2;
omegaStar = 2.0;
lowerBound = -1.0e+5;
upperBound = 1.0e+5;
betaStar = 0.2;
betaBar = 0.4;
gammaStar = 0.5;
epsilonDash = 1.0e-30;
precision = 300;
mpf_set_default_prec(precision);
} else if (type == PARAMETER_UNSTABLE_BUT_FAST) {
maxIteration = 100;
epsilonStar = 1.0e-30;
lambdaStar = 1.0e+2;
omegaStar = 2.0;
lowerBound = -1.0e+5;
upperBound = 1.0e+5;
betaStar = 0.01;
betaBar = 0.02;
gammaStar = 0.98;
epsilonDash = 1.0e-30;
precision = 100;
mpf_set_default_prec(precision);
} else {
maxIteration = 200;
epsilonStar = 1.0e-30;
lambdaStar = 1.0e+4;
omegaStar = 2.0;
lowerBound = -1.0e+5;
upperBound = 1.0e+5;
betaStar = 0.1;
betaBar = 0.3;
gammaStar = 0.9;
epsilonDash = 1.0e-30;
precision = 200;
mpf_set_default_prec(precision);
}
strcpy(xPrint, xPRINT_DEFAULT);
strcpy(XPrint, XPRINT_DEFAULT);
strcpy(YPrint, YPRINT_DEFAULT);
strcpy(infPrint, infPRINT_DEFAULT);
}
char Parameter::xPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+50.40Fe";
char Parameter::XPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+50.40Fe";
char Parameter::YPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+50.40Fe";
char Parameter::infPRINT_DEFAULT[PRINT_DEFAULT_LENGTH] = "%+50.40Fe";
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, "%d%*[^\n]", &precision);
mpf_set_default_prec(precision);
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
<< "]"
" might cause trouble when printing x");
}
if (strcmp(XPrint, NO_P_FORMAT) != 0 && XPrint[0] != '%') {
rMessage("Strange XPrint[" << XPrint
<< "]"
" might cause trouble when printing X.");
}
if (strcmp(YPrint, NO_P_FORMAT) != 0 && YPrint[0] != '%') {
rMessage("Strange YPrint[" << YPrint
<< "]"
" might cause trouble when printing Y.");
}
if (strcmp(infPrint, NO_P_FORMAT) != 0 && infPrint[0] != '%') {
rMessage("Strange infPrint[" << infPrint
<< "]"
" might cause trouble when printing information.");
}
}
void Parameter::display(FILE *fpout, const 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 = %8.3e\n", epsilonStar);
fprintf(fpout, "lambdaStar = %8.3e\n", lambdaStar);
fprintf(fpout, "omegaStar = %8.3e\n", omegaStar);
fprintf(fpout, "lowerBound = %8.3e\n", lowerBound);
fprintf(fpout, "upperBound = %8.3e\n", upperBound);
fprintf(fpout, "betaStar = %8.3e\n", betaStar);
fprintf(fpout, "betaBar = %8.3e\n", betaBar);
fprintf(fpout, "gammaStar = %8.3e\n", gammaStar);
fprintf(fpout, "epsilonDash = %8.3e\n", epsilonDash);
fprintf(fpout, "precision = %d\n", precision);
#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(mpf_class alphaP, mpf_class alphaD) {
primal = alphaP;
dual = alphaD;
}
void StepLength::terminate() {
// Nothing needs.
}
mpf_class StepLength::minBlockVector(BlockVector &aVec) {
int nBlock = aVec.nBlock;
mpf_class ret = aVec.ele[0].ele[0];
mpf_class 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 ¤tPt, Newton &newton, WorkVariables &work, ComputeTime &com) {
mpf_class alphaBD = 100.0;
// calculate eigenvalues of X^{-1} dX
TimeStart(START1);
// rMessage("invCholeskyX=");
// currentPt.invCholeskyX.display();
// rMessage("Dx=");
// newton.DxMat.display();
mpf_class 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();
mpf_class 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 ¤tPt, 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.
mpf_class 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.
mpf_class 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 ¤tPt, Phase &phase, Switch &reduction, Newton &newton, AverageComplementarity &mu, RatioInitResCurrentRes &theta, WorkVariables &work, Parameter ¶m, ComputeTime &com) {
mpf_class 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 {
mpf_class 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.
mpf_class 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::ON && (phase.value == SolveInfo::noINFO || phase.value == SolveInfo::pFEAS || phase.value == SolveInfo::dFEAS)) {
mpf_class xMatvMat;
Lal::let(xMatvMat, '=', currentPt.xMat, '.', newton.DzMat);
mpf_class uMatzMat;
Lal::let(uMatzMat, '=', newton.DxMat, '.', currentPt.zMat);
mpf_class uMatvMat;
Lal::let(uMatvMat, '=', newton.DxMat, '.', newton.DzMat);
mpf_class thetaMax = max((1.0 - primal) * theta.primal, (1.0 - dual) * theta.dual);
mpf_class muNew = mu.current + (primal * uMatzMat + dual * xMatvMat + primal * dual * uMatvMat) / nDim;
mpf_class 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){
mpf_class 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
gmp_printf("max stepsise ratio: %9.1Fe\n",maxRatio.get_mpf_t());
gmp_printf("new stepsize primal:%9.1Fe, dual:%9.1Fe\n",primal.get_mpf_t(),dual.get_mpf_t());
#endif
}
}
}
void StepLength::display(FILE *fpout) {
if (fpout == NULL) {
return;
}
gmp_fprintf(fpout, "alpha.primal = %8.3Fe\n", primal.get_mpf_t());
gmp_fprintf(fpout, "alpha.dual = %8.3Fe\n", dual.get_mpf_t());
}
//-------------------------------------------------
DirectionParameter::DirectionParameter(mpf_class betaStar) { initialize(betaStar); }
DirectionParameter::~DirectionParameter() {
// Nothing needs.
}
void DirectionParameter::initialize(mpf_class betaStar) { value = betaStar; }
void DirectionParameter::MehrotraPredictor(Phase &phase, Switch &reduction, Parameter ¶m) {
const mpf_class nu = 2.0;
if (phase.value == SolveInfo::pdFEAS) {
value = 0.0;
} else {
value = param.betaBar;
if (reduction.switchType == Switch::OFF) {
value = nu;
}
}
}
void DirectionParameter::MehrotraCorrector(Phase &phase, StepLength &alpha, Solutions ¤tPt, Newton &newton, AverageComplementarity &mu, Parameter ¶m) {
int nDim = currentPt.nDim;
mpf_class xMatvMat;
Lal::let(xMatvMat, '=', currentPt.xMat, '.', newton.DzMat);
mpf_class uMatzMat;
Lal::let(uMatzMat, '=', newton.DxMat, '.', currentPt.zMat);
mpf_class uMatvMat;
Lal::let(uMatvMat, '=', newton.DxMat, '.', newton.DzMat);
mpf_class muTarget = mu.current + (alpha.primal * uMatzMat + alpha.dual * xMatvMat + alpha.primal * alpha.dual * uMatvMat) / nDim;
// rMessage("muTarget : " << muTarget);
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;
}
gmp_fprintf(fpout, "beta.value = %8.3Fe\n", value.get_mpf_t());
}
//---------------------------------------------------
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 = ON;
} else {
switchType = OFF;
}
}
void Switch::display(FILE *fpout) {
if (fpout == NULL) {
return;
}
if (switchType == ON) {
fprintf(fpout, "reduction.switchType == ON\n");
} else {
fprintf(fpout, "reduction.switchType == OFF\n");
}
}
// ----------------------------------------
AverageComplementarity::AverageComplementarity(mpf_class lambdaStar) { initialize(lambdaStar); }
AverageComplementarity::~AverageComplementarity() {
// Nothing needs.
}
void AverageComplementarity::initialize(mpf_class 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 ¤tPt) {
int nDim = currentPt.nDim;
Lal::let(current, '=', currentPt.xMat, '.', currentPt.zMat);
current /= nDim;
}
void AverageComplementarity::display(FILE *fpout) {
if (fpout == NULL) {
return;
}
gmp_fprintf(fpout, "mu0 = %8.3Fe\n", initial.get_mpf_t());
gmp_fprintf(fpout, "mu = %8.3Fe\n", current.get_mpf_t());
}
//--------------------------------------------------
RatioInitResCurrentRes::RatioInitResCurrentRes() {
primal = 0.0;
dual = 0.0;
}
RatioInitResCurrentRes::~RatioInitResCurrentRes() {
// Nothing needs.
}
RatioInitResCurrentRes::RatioInitResCurrentRes(Parameter ¶m, Residuals &initRes) { initialize(param, initRes); }
void RatioInitResCurrentRes::initialize(Parameter ¶m, Residuals &initRes) {
mpf_class 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::ON) {
// At least one of primal or dual is infeasible
primal = abs((1.0 - alpha.primal) * primal);
dual = abs((1.0 - alpha.dual) * dual);
}
}
void RatioInitResCurrentRes::update_exact(Residuals &initRes, Residuals ¤tRes) {
if (initRes.normPrimalVec > 1.0e-10) {
primal = currentRes.normPrimalVec / initRes.normPrimalVec;
} else {
primal = 0.0;
}
if (initRes.normDualMat > 1.0e-10) {
dual = currentRes.normDualMat / initRes.normDualMat;
} else {
dual = 0.0;
}
}
void RatioInitResCurrentRes::display(FILE *fpout) {
if (fpout == NULL) {
return;
}
gmp_fprintf(fpout, "theta.primal = %8.3Fe\n", primal.get_mpf_t());
gmp_fprintf(fpout, "theta.dual = %8.3Fe\n", dual.get_mpf_t());
}
//---------------------------------------------------
SolveInfo::SolveInfo() {
rho = 0.0;
etaPrimal = 0.0;
etaDual = 0.0;
objValPrimal = 0.0;
objValDual = 0.0;
}
SolveInfo::SolveInfo(InputData &inputData, Solutions ¤tPt, mpf_class mu0, mpf_class omegaStar) { initialize(inputData, currentPt, mu0, omegaStar); }
SolveInfo::~SolveInfo() {
// Nothing needs.
}
void SolveInfo::initialize(InputData &inputData, Solutions ¤tPt, mpf_class mu0, mpf_class 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 ¤tPt, Residuals ¤tRes, AverageComplementarity &mu, RatioInitResCurrentRes &theta, Parameter ¶m) {
int nDim = currentPt.nDim;
Vector &b = inputData.b;
SparseLinearSpace &C = inputData.C;
Lal::let(objValPrimal, '=', C, '.', currentPt.xMat);
Lal::let(objValDual, '=', b, '.', currentPt.yVec);
mpf_class primal = theta.primal;
mpf_class dual = theta.dual;
mpf_class omega = param.omegaStar;
rho = 0.0;
mpf_class x0z0 = nDim * mu.initial;
mpf_class xMatzMat = nDim * mu.current;
mpf_class x0zMat = 0.0;
mpf_class xMatz0 = 0.0;
Lal::let(x0zMat, '=', initPt_xMat, '.', currentPt.zMat);
Lal::let(xMatz0, '=', currentPt.xMat, '.', initPt_zMat);
mpf_class 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 ¤tPt, Residuals ¤tRes, AverageComplementarity &mu, RatioInitResCurrentRes &theta, Parameter ¶m) {
int nDim = currentPt.nDim;
Vector &b = inputData.b;
SparseLinearSpace &C = inputData.C;
Lal::let(objValPrimal, '=', C, '.', currentPt.xMat);
Lal::let(objValDual, '=', b, '.', currentPt.yVec);
mpf_class primal = theta.primal;
mpf_class dual = theta.dual;
mpf_class omega = param.omegaStar;
rho = 0.0;
mpf_class x0z0 = nDim * mu.initial;
mpf_class xMatzMat = nDim * mu.current;
mpf_class x0zMat = 0.0;
mpf_class xMatz0 = 0.0;
for (int b = 0; b < currentPt.xMat.SDP_nBlock; b++) {
int dim = currentPt.xMat.SDP_block[b].nRow;
for (int i = 0; i < dim; i++) {
x0zMat += lambda * currentPt.zMat.SDP_block[b].de_ele[i * dim + i];
xMatz0 += lambda * currentPt.xMat.SDP_block[b].de_ele[i * dim + i];
}
}
for (int b = 0; b < currentPt.xMat.SOCP_nBlock; b++) {
rError("no support for SOCP");
}
for (int b = 0; b < currentPt.xMat.LP_nBlock; b++) {
x0zMat += lambda * currentPt.zMat.LP_block[b];
xMatz0 += lambda * currentPt.xMat.LP_block[b];
}
mpf_class 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);
}
// 2007/09/13 kazuhide nakata
// print information of ObjVal, residual, gap, complementarity
// b^T y + R \bullet X = value, norm(r), norm(Z)
// C \bullet X + r^T y = value, norm(R), norm(X)
// gap gap, mu * nDim
void SolveInfo::check(InputData &inputData, Solutions ¤tPt, Residuals ¤tRes, AverageComplementarity &mu, RatioInitResCurrentRes &theta, Parameter ¶m) {
mpf_class tmp, tmp1p, tmp1d, tmp2p, tmp2d, tmp3p, tmp3d, tmp4, tmp5p, tmp5d;
Lal::let(tmp, '=', inputData.b, '.', currentPt.yVec);
tmp1p = -tmp;
gmp_printf("Primal: %9.1Fe", tmp1p.get_mpf_t());
Lal::let(tmp, '=', currentRes.dualMat, '.', currentPt.xMat);
tmp2p = -tmp;
gmp_printf(" + %9.1Fe", tmp2p.get_mpf_t());
tmp3p = tmp1p + tmp2p;
gmp_printf(" = %9.1Fe", tmp3p.get_mpf_t());
gmp_printf(", residual:%-9.1Fe", currentRes.normDualMat.get_mpf_t());
tmp5p = currentRes.computeMaxNorm(currentPt.zMat);
gmp_printf(" norm:%-9.1Fe\n", tmp5p.get_mpf_t());
Lal::let(tmp, '=', inputData.C, '.', currentPt.xMat);
tmp1d = -tmp;
gmp_printf("Dual: %9.1Fe", tmp1d.get_mpf_t());
Lal::let(tmp, '=', currentRes.primalVec, '.', currentPt.yVec);
tmp2d = -tmp;
gmp_printf(" + %9.1Fe", tmp2d.get_mpf_t());
tmp3d = tmp1d + tmp2d;
gmp_printf(" = %9.1Fe", tmp3d.get_mpf_t());
gmp_printf(", residual:%-9.1Fe", currentRes.normPrimalVec.get_mpf_t());
tmp5d = currentRes.computeMaxNorm(currentPt.xMat);
gmp_printf(" norm:%-9.1Fe\n", tmp5d.get_mpf_t());
tmp4 = tmp1p - tmp1d;
gmp_printf("P-D: %9.1Fe", tmp4.get_mpf_t());
tmp4 = tmp3p - tmp3d;
gmp_printf(" %9.1Fe", tmp4.get_mpf_t());
tmp4 = mu.current * currentPt.nDim;
gmp_printf(", mu * n:%-9.1Fe\n", tmp4.get_mpf_t());
}
void SolveInfo::display(FILE *fpout) {
if (fpout == NULL) {
return;
}
gmp_fprintf(fpout, "rSolveInfo.rho = %8.3Fe\n", rho.get_mpf_t());
gmp_fprintf(fpout, "rSolveInfo.etaPrimal = %8.3Fe\n", etaPrimal.get_mpf_t());
gmp_fprintf(fpout, "rSolveInfo.etaDual = %8.3Fe\n", etaDual.get_mpf_t());
gmp_fprintf(fpout, "rSolveInfo.objValPrimal = %8.3Fe\n", objValPrimal.get_mpf_t());
gmp_fprintf(fpout, "rSolveInfo.objValDual = %8.3Fe\n", objValDual.get_mpf_t());
}
// ----------------------------------------------------
Phase::Phase() {
nDim = 0;
value = SolveInfo::noINFO;
}
Phase::Phase(Residuals &initRes, SolveInfo &solveInfo, Parameter ¶m, int nDim) { initialize(initRes, solveInfo, param, nDim); }
Phase::~Phase() {
// Nothing needs.
}
bool Phase::initialize(Residuals &initRes, SolveInfo &solveInfo, Parameter ¶m, int nDim) {
this->nDim = nDim;
return updateCheck(initRes, solveInfo, param);
}
bool Phase::updateCheck(Residuals ¤tRes, SolveInfo &solveInfo, Parameter ¶m) {
const mpf_class NONZERO = 1.0e-6;
mpf_class accuracy = param.epsilonDash;
value = SolveInfo::noINFO;
if (currentRes.normPrimalVec <= accuracy) {
if (currentRes.normDualMat <= accuracy) {
value = SolveInfo::pdFEAS;
} else {
value = SolveInfo::pFEAS;
}
}
if (value == SolveInfo::noINFO && currentRes.normDualMat <= accuracy) {
value = SolveInfo::dFEAS;
}
if (value == SolveInfo::pdFEAS) {
mpf_class mean = (abs(solveInfo.objValPrimal) + abs(solveInfo.objValDual)) / 2.0;
mpf_class PDgap = abs(solveInfo.objValPrimal - solveInfo.objValDual);
mpf_class dominator;
if (mean < 1.0) {
dominator = 1.0;
} else {
dominator = mean;
}
#if 0
rMessage("PDgap = " << PDgap);
rMessage("dominator = " << dominator);
rMessage("PDgap/dominator = " << PDgap/dominator);
#endif
if (PDgap / dominator <= param.epsilonStar) {
value = SolveInfo::pdOPT;
return false;
}
}
if (value == SolveInfo::noINFO && solveInfo.rho > 1.0 + NONZERO) {
value = SolveInfo::pdINF;
return false;
}
if (value == SolveInfo::pFEAS) {
#if REVERSE_PRIMAL_DUAL
if (solveInfo.objValPrimal <= -param.upperBound) {
value = SolveInfo::pUNBD;
return false;
}
#else
if (solveInfo.objValPrimal <= param.lowerBound) {
value = SolveInfo::pUNBD;
return false;
}
#endif
if (solveInfo.rho > 1.0 + NONZERO) {
value = SolveInfo::pFEAS_dINF;
return false;
}
}
if (value == SolveInfo::dFEAS) {
#if REVERSE_PRIMAL_DUAL
if (solveInfo.objValDual >= -param.lowerBound) {
value = SolveInfo::dUNBD;
return false;
}
#else
if (solveInfo.objValDual >= param.upperBound) {
value = SolveInfo::dUNBD;
return false;
}
#endif