Example #1
0
File: misc.go Project: hrautila/cvx
func sinv(x, y *matrix.FloatMatrix, dims *sets.DimensionSet, mnl int) (err error) {
	/*DEBUGGED*/

	err = nil

	// For the nonlinear and 'l' blocks:
	//
	//     yk o\ xk = yk .\ xk.

	ind := mnl + dims.At("l")[0]
	blas.Tbsv(y, x, &la_.IOpt{"n", ind}, &la_.IOpt{"k", 0}, &la_.IOpt{"ldA", 1})

	// For the 'q' blocks:
	//
	//                        [ l0   -l1'              ]
	//     yk o\ xk = 1/a^2 * [                        ] * xk
	//                        [ -l1  (a*I + l1*l1')/l0 ]
	//
	// where yk = (l0, l1) and a = l0^2 - l1'*l1.

	for _, m := range dims.At("q") {
		aa := blas.Nrm2Float(y, &la_.IOpt{"n", m - 1}, &la_.IOpt{"offset", ind + 1})
		ee := y.GetIndex(ind)
		aa = (ee + aa) * (ee - aa)
		cc := x.GetIndex(ind)
		dd := blas.DotFloat(x, y, &la_.IOpt{"n", m - 1}, &la_.IOpt{"offsetx", ind + 1},
			&la_.IOpt{"offsety", ind + 1})
		x.SetIndex(ind, cc*ee-dd)
		blas.ScalFloat(x, aa/ee, &la_.IOpt{"n", m - 1}, &la_.IOpt{"offset", ind + 1})
		blas.AxpyFloat(y, x, dd/ee-cc, &la_.IOpt{"n", m - 1},
			&la_.IOpt{"offsetx", ind + 1}, &la_.IOpt{"offsety", ind + 1})
		blas.ScalFloat(x, 1.0/aa, &la_.IOpt{"n", m}, &la_.IOpt{"offset", ind})
		ind += m
	}

	// For the 's' blocks:
	//
	//     yk o\ xk =  xk ./ gamma
	//
	// where gammaij = .5 * (yk_i + yk_j).

	ind2 := ind
	for _, m := range dims.At("s") {
		for j := 0; j < m; j++ {
			u := matrix.FloatVector(y.FloatArray()[ind2+j : ind2+m])
			u.Add(y.GetIndex(ind2 + j))
			u.Scale(0.5)
			blas.Tbsv(u, x, &la_.IOpt{"n", m - j}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1},
				&la_.IOpt{"offsetx", ind + j*(m+1)})
		}
		ind += m * m
		ind2 += m
	}
	return
}
Example #2
0
File: misc.go Project: hrautila/cvx
/*
   Evaluates

       x := H(lambda^{1/2}) * x   (inverse is 'N')
       x := H(lambda^{-1/2}) * x  (inverse is 'I').

   H is the Hessian of the logarithmic barrier.

*/
func scale2(lmbda, x *matrix.FloatMatrix, dims *sets.DimensionSet, mnl int, inverse bool) (err error) {
	err = nil

	//var minor int = 0
	//if ! checkpnt.MinorEmpty() {
	//	minor = checkpnt.MinorTop()
	//}

	//fmt.Printf("\n%d.%04d scale2 x=\n%v\nlmbda=\n%v\n", checkpnt.Major(), minor,
	//	x.ToString("%.17f"), lmbda.ToString("%.17f"))

	//if ! checkpnt.MinorEmpty() {
	//	checkpnt.Check("000scale2", minor)
	//}

	// For the nonlinear and 'l' blocks,
	//
	//     xk := xk ./ l   (inverse is 'N')
	//     xk := xk .* l   (inverse is 'I')
	//
	// where l is lmbda[:mnl+dims['l']].
	ind := mnl + dims.Sum("l")
	if !inverse {
		blas.TbsvFloat(lmbda, x, &la_.IOpt{"n", ind}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1})
	} else {
		blas.TbmvFloat(lmbda, x, &la_.IOpt{"n", ind}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1})
	}

	//if ! checkpnt.MinorEmpty() {
	//	checkpnt.Check("010scale2", minor)
	//}

	// For 'q' blocks, if inverse is 'N',
	//
	//     xk := 1/a * [ l'*J*xk;
	//         xk[1:] - (xk[0] + l'*J*xk) / (l[0] + 1) * l[1:] ].
	//
	// If inverse is 'I',
	//
	//     xk := a * [ l'*xk;
	//         xk[1:] + (xk[0] + l'*xk) / (l[0] + 1) * l[1:] ].
	//
	// a = sqrt(lambda_k' * J * lambda_k), l = lambda_k / a.
	for _, m := range dims.At("q") {
		var lx, a, c, x0 float64
		a = jnrm2(lmbda, m, ind) //&la_.IOpt{"n", m}, &la_.IOpt{"offset", ind})
		if !inverse {
			lx = jdot(lmbda, x, m, ind, ind) //&la_.IOpt{"n", m}, &la_.IOpt{"offsetx", ind},
			//&la_.IOpt{"offsety", ind})
			lx /= a
		} else {
			lx = blas.DotFloat(lmbda, x, &la_.IOpt{"n", m}, &la_.IOpt{"offsetx", ind},
				&la_.IOpt{"offsety", ind})
			lx /= a
		}
		x0 = x.GetIndex(ind)
		x.SetIndex(ind, lx)
		c = (lx + x0) / (lmbda.GetIndex(ind)/a + 1.0) / a
		if !inverse {
			c *= -1.0
		}
		blas.AxpyFloat(lmbda, x, c, &la_.IOpt{"n", m - 1}, &la_.IOpt{"offsetx", ind + 1},
			&la_.IOpt{"offsety", ind + 1})
		if !inverse {
			a = 1.0 / a
		}
		blas.ScalFloat(x, a, &la_.IOpt{"offset", ind}, &la_.IOpt{"n", m})
		ind += m
	}

	//if ! checkpnt.MinorEmpty() {
	//	checkpnt.Check("020scale2", minor)
	//}

	// For the 's' blocks, if inverse is 'N',
	//
	//     xk := vec( diag(l)^{-1/2} * mat(xk) * diag(k)^{-1/2}).
	//
	// If inverse is true,
	//
	//     xk := vec( diag(l)^{1/2} * mat(xk) * diag(k)^{1/2}).
	//
	// where l is kth block of lambda.
	//
	// We scale upper and lower triangular part of mat(xk) because the
	// inverse operation will be applied to nonsymmetric matrices.
	ind2 := ind
	sdims := dims.At("s")
	for k := 0; k < len(sdims); k++ {
		m := sdims[k]
		scaleF := func(v, x float64) float64 {
			return math.Sqrt(v) * math.Sqrt(x)
		}
		for j := 0; j < m; j++ {
			c := matrix.FloatVector(lmbda.FloatArray()[ind2 : ind2+m])
			c.ApplyConst(lmbda.GetIndex(ind2+j), scaleF)
			if !inverse {
				blas.Tbsv(c, x, &la_.IOpt{"n", m}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1},
					&la_.IOpt{"offsetx", ind + j*m})
			} else {
				blas.Tbmv(c, x, &la_.IOpt{"n", m}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1},
					&la_.IOpt{"offsetx", ind + j*m})
			}
		}
		ind += m * m
		ind2 += m
	}

	//if ! checkpnt.MinorEmpty() {
	//	checkpnt.Check("030scale2", minor)
	//}
	return
}