// Radau5 step function
func radau5_step_mpi(o *Solver, y0 []float64, x0 float64, args ...interface{}) (rerr float64, err error) {
// factors
α := r5.α_ / o.h
β := r5.β_ / o.h
γ := r5.γ_ / o.h
// Jacobian and decomposition
if o.reuseJdec {
o.reuseJdec = false
} else {
// calculate only first Jacobian for all iterations (simple/modified Newton's method)
if o.reuseJ {
o.reuseJ = false
} else if !o.jacIsOK {
// Jacobian triplet
if o.jac == nil { // numerical
//if x0 == 0.0 { io.Pfgrey(" > > > > > > > > . . . numerical Jacobian . . . < < < < < < < < <\n") }
err = num.JacobianMpi(&o.dfdyT, func(fy, y []float64) (e error) {
e = o.fcn(fy, o.h, x0, y, args...)
return
}, y0, o.f0, o.w[0], o.Distr) // w works here as workspace variable
} else { // analytical
//if x0 == 0.0 { io.Pfgrey(" > > > > > > > > . . . analytical Jacobian . . . < < < < < < < < <\n") }
err = o.jac(&o.dfdyT, o.h, x0, y0, args...)
}
if err != nil {
return
}
// create M matrix
if o.doinit && !o.hasM {
o.mTri = new(la.Triplet)
if o.Distr {
id, sz := mpi.Rank(), mpi.Size()
start, endp1 := (id*o.ndim)/sz, ((id+1)*o.ndim)/sz
o.mTri.Init(o.ndim, o.ndim, endp1-start)
for i := start; i < endp1; i++ {
o.mTri.Put(i, i, 1.0)
}
} else {
o.mTri.Init(o.ndim, o.ndim, o.ndim)
for i := 0; i < o.ndim; i++ {
o.mTri.Put(i, i, 1.0)
}
}
}
o.njeval += 1
o.jacIsOK = true
}
// initialise triplets
if o.doinit {
o.rctriR = new(la.Triplet)
o.rctriC = new(la.TripletC)
o.rctriR.Init(o.ndim, o.ndim, o.mTri.Len()+o.dfdyT.Len())
xzmono := o.Distr
o.rctriC.Init(o.ndim, o.ndim, o.mTri.Len()+o.dfdyT.Len(), xzmono)
}
// update triplets
la.SpTriAdd(o.rctriR, γ, o.mTri, -1, &o.dfdyT) // rctriR := γ*M - dfdy
la.SpTriAddR2C(o.rctriC, α, β, o.mTri, -1, &o.dfdyT) // rctriC := (α+βi)*M - dfdy
// initialise solver
if o.doinit {
err = o.lsolR.InitR(o.rctriR, false, false, false)
if err != nil {
return
}
err = o.lsolC.InitC(o.rctriC, false, false, false)
if err != nil {
return
}
}
// perform factorisation
o.lsolR.Fact()
o.lsolC.Fact()
o.ndecomp += 1
}
// updated u[i]
o.u[0] = x0 + r5.c[0]*o.h
o.u[1] = x0 + r5.c[1]*o.h
o.u[2] = x0 + r5.c[2]*o.h
// (trial/initial) updated z[i] and w[i]
if o.first || o.ZeroTrial {
for m := 0; m < o.ndim; m++ {
o.z[0][m], o.w[0][m] = 0.0, 0.0
o.z[1][m], o.w[1][m] = 0.0, 0.0
o.z[2][m], o.w[2][m] = 0.0, 0.0
}
} else {
c3q := o.h / o.hprev
c1q := r5.μ1 * c3q
c2q := r5.μ2 * c3q
for m := 0; m < o.ndim; m++ {
o.z[0][m] = c1q * (o.ycol[0][m] + (c1q-r5.μ4)*(o.ycol[1][m]+(c1q-r5.μ3)*o.ycol[2][m]))
o.z[1][m] = c2q * (o.ycol[0][m] + (c2q-r5.μ4)*(o.ycol[1][m]+(c2q-r5.μ3)*o.ycol[2][m]))
o.z[2][m] = c3q * (o.ycol[0][m] + (c3q-r5.μ4)*(o.ycol[1][m]+(c3q-r5.μ3)*o.ycol[2][m]))
o.w[0][m] = r5.Ti[0][0]*o.z[0][m] + r5.Ti[0][1]*o.z[1][m] + r5.Ti[0][2]*o.z[2][m]
o.w[1][m] = r5.Ti[1][0]*o.z[0][m] + r5.Ti[1][1]*o.z[1][m] + r5.Ti[1][2]*o.z[2][m]
o.w[2][m] = r5.Ti[2][0]*o.z[0][m] + r5.Ti[2][1]*o.z[1][m] + r5.Ti[2][2]*o.z[2][m]
}
}
// iterations
o.nit = 0
o.η = math.Pow(max(o.η, o.ϵ), 0.8)
o.θ = o.θmax
o.diverg = false
var Lδw, oLδw, thq, othq, iterr, itRerr, qnewt float64
var it int
for it = 0; it < o.NmaxIt; it++ {
// max iterations ?
o.nit = it + 1
if o.nit > o.nitmax {
o.nitmax = o.nit
}
// evaluate f(x,y) at (u[i],v[i]=y0+z[i])
for i := 0; i < 3; i++ {
for m := 0; m < o.ndim; m++ {
o.v[i][m] = y0[m] + o.z[i][m]
}
o.nfeval += 1
err = o.fcn(o.f[i], o.h, o.u[i], o.v[i], args...)
if err != nil {
return
}
}
// calc rhs
if o.hasM {
// using δw as workspace here
la.SpMatVecMul(o.δw[0], 1, o.mMat, o.w[0]) // δw0 := M * w0
la.SpMatVecMul(o.δw[1], 1, o.mMat, o.w[1]) // δw1 := M * w1
la.SpMatVecMul(o.δw[2], 1, o.mMat, o.w[2]) // δw2 := M * w2
if o.Distr {
mpi.AllReduceSum(o.δw[0], o.v[0]) // v is used as workspace here
mpi.AllReduceSum(o.δw[1], o.v[1]) // v is used as workspace here
mpi.AllReduceSum(o.δw[2], o.v[2]) // v is used as workspace here
}
for m := 0; m < o.ndim; m++ {
o.v[0][m] = r5.Ti[0][0]*o.f[0][m] + r5.Ti[0][1]*o.f[1][m] + r5.Ti[0][2]*o.f[2][m] - γ*o.δw[0][m]
o.v[1][m] = r5.Ti[1][0]*o.f[0][m] + r5.Ti[1][1]*o.f[1][m] + r5.Ti[1][2]*o.f[2][m] - α*o.δw[1][m] + β*o.δw[2][m]
o.v[2][m] = r5.Ti[2][0]*o.f[0][m] + r5.Ti[2][1]*o.f[1][m] + r5.Ti[2][2]*o.f[2][m] - β*o.δw[1][m] - α*o.δw[2][m]
}
} else {
for m := 0; m < o.ndim; m++ {
o.v[0][m] = r5.Ti[0][0]*o.f[0][m] + r5.Ti[0][1]*o.f[1][m] + r5.Ti[0][2]*o.f[2][m] - γ*o.w[0][m]
o.v[1][m] = r5.Ti[1][0]*o.f[0][m] + r5.Ti[1][1]*o.f[1][m] + r5.Ti[1][2]*o.f[2][m] - α*o.w[1][m] + β*o.w[2][m]
o.v[2][m] = r5.Ti[2][0]*o.f[0][m] + r5.Ti[2][1]*o.f[1][m] + r5.Ti[2][2]*o.f[2][m] - β*o.w[1][m] - α*o.w[2][m]
}
}
// solve linear system
o.nlinsol += 1
var errR, errC error
if !o.Distr && o.Pll {
wg := new(sync.WaitGroup)
wg.Add(2)
go func() {
errR = o.lsolR.SolveR(o.δw[0], o.v[0], false)
wg.Done()
}()
go func() {
errC = o.lsolC.SolveC(o.δw[1], o.δw[2], o.v[1], o.v[2], false)
wg.Done()
}()
wg.Wait()
} else {
errR = o.lsolR.SolveR(o.δw[0], o.v[0], false)
errC = o.lsolC.SolveC(o.δw[1], o.δw[2], o.v[1], o.v[2], false)
}
// check for errors from linear solution
if errR != nil || errC != nil {
var errmsg string
if errR != nil {
errmsg += errR.Error()
}
if errC != nil {
if errR != nil {
errmsg += "\n"
}
errmsg += errC.Error()
}
err = errors.New(errmsg)
return
}
// update w and z
for m := 0; m < o.ndim; m++ {
o.w[0][m] += o.δw[0][m]
o.w[1][m] += o.δw[1][m]
o.w[2][m] += o.δw[2][m]
o.z[0][m] = r5.T[0][0]*o.w[0][m] + r5.T[0][1]*o.w[1][m] + r5.T[0][2]*o.w[2][m]
o.z[1][m] = r5.T[1][0]*o.w[0][m] + r5.T[1][1]*o.w[1][m] + r5.T[1][2]*o.w[2][m]
o.z[2][m] = r5.T[2][0]*o.w[0][m] + r5.T[2][1]*o.w[1][m] + r5.T[2][2]*o.w[2][m]
}
// rms norm of δw
Lδw = 0.0
for m := 0; m < o.ndim; m++ {
Lδw += math.Pow(o.δw[0][m]/o.scal[m], 2.0) + math.Pow(o.δw[1][m]/o.scal[m], 2.0) + math.Pow(o.δw[2][m]/o.scal[m], 2.0)
}
Lδw = math.Sqrt(Lδw / float64(3*o.ndim))
// check convergence
if it > 0 {
thq = Lδw / oLδw
if it == 1 {
o.θ = thq
} else {
o.θ = math.Sqrt(thq * othq)
}
othq = thq
if o.θ < 0.99 {
o.η = o.θ / (1.0 - o.θ)
iterr = Lδw * math.Pow(o.θ, float64(o.NmaxIt-o.nit)) / (1.0 - o.θ)
itRerr = iterr / o.fnewt
if itRerr >= 1.0 { // diverging
qnewt = max(1.0e-4, min(20.0, itRerr))
o.dvfac = 0.8 * math.Pow(qnewt, -1.0/(4.0+float64(o.NmaxIt)-1.0-float64(o.nit)))
o.diverg = true
break
}
} else { // diverging badly (unexpected step-rejection)
o.dvfac = 0.5
o.diverg = true
break
}
}
// save old norm
oLδw = Lδw
// converged
if o.η*Lδw < o.fnewt {
break
}
}
// did not converge
if it == o.NmaxIt-1 {
chk.Panic("radau5_step failed with it=%d", it)
}
// diverging => stop
if o.diverg {
rerr = 2.0 // must leave state intact, any rerr is OK
return
}
// error estimate
if o.LerrStrat == 1 {
// simple strategy => HW-VII p123 Eq.(8.17) (not good for stiff problems)
for m := 0; m < o.ndim; m++ {
o.ez[m] = r5.e0*o.z[0][m] + r5.e1*o.z[1][m] + r5.e2*o.z[2][m]
o.lerr[m] = r5.γ0*o.h*o.f0[m] + o.ez[m]
rerr += math.Pow(o.lerr[m]/o.scal[m], 2.0)
}
rerr = max(math.Sqrt(rerr/float64(o.ndim)), 1.0e-10)
} else {
// common
if o.hasM {
for m := 0; m < o.ndim; m++ {
o.ez[m] = r5.e0*o.z[0][m] + r5.e1*o.z[1][m] + r5.e2*o.z[2][m]
o.rhs[m] = o.f0[m]
}
if o.Distr {
la.SpMatVecMul(o.δw[0], γ, o.mMat, o.ez) // δw[0] = γ * M * ez (δw[0] is workspace)
mpi.AllReduceSumAdd(o.rhs, o.δw[0], o.δw[1]) // rhs += join_with_sum(δw[0]) (δw[1] is workspace)
} else {
la.SpMatVecMulAdd(o.rhs, γ, o.mMat, o.ez) // rhs += γ * M * ez
}
} else {
for m := 0; m < o.ndim; m++ {
o.ez[m] = r5.e0*o.z[0][m] + r5.e1*o.z[1][m] + r5.e2*o.z[2][m]
o.rhs[m] = o.f0[m] + γ*o.ez[m]
}
}
// HW-VII p123 Eq.(8.19)
if o.LerrStrat == 2 {
o.lsolR.SolveR(o.lerr, o.rhs, false)
rerr = o.rms_norm(o.lerr)
// HW-VII p123 Eq.(8.20)
} else {
o.lsolR.SolveR(o.lerr, o.rhs, false)
rerr = o.rms_norm(o.lerr)
if !(rerr < 1.0) {
if o.first || o.reject {
for m := 0; m < o.ndim; m++ {
o.v[0][m] = y0[m] + o.lerr[m] // y0perr
}
o.nfeval += 1
err = o.fcn(o.f[0], o.h, x0, o.v[0], args...) // f0perr
if err != nil {
return
}
if o.hasM {
la.VecCopy(o.rhs, 1, o.f[0]) // rhs := f0perr
if o.Distr {
la.SpMatVecMul(o.δw[0], γ, o.mMat, o.ez) // δw[0] = γ * M * ez (δw[0] is workspace)
mpi.AllReduceSumAdd(o.rhs, o.δw[0], o.δw[1]) // rhs += join_with_sum(δw[0]) (δw[1] is workspace)
} else {
la.SpMatVecMulAdd(o.rhs, γ, o.mMat, o.ez) // rhs += γ * M * ez
}
} else {
la.VecAdd2(o.rhs, 1, o.f[0], γ, o.ez) // rhs = f0perr + γ * ez
}
o.lsolR.SolveR(o.lerr, o.rhs, false)
rerr = o.rms_norm(o.lerr)
}
}
}
}
return
}
// Solve solves linear programming problem
func (o *LinIpm) Solve(verbose bool) (err error) {
// starting point
AAt := la.MatAlloc(o.Nl, o.Nl) // A*Aᵀ
d := make([]float64, o.Nl) // inv(AAt) * b
e := make([]float64, o.Nl) // A * c
la.SpMatMatTrMul(AAt, 1, o.A) // AAt := A*Aᵀ
la.SpMatVecMul(e, 1, o.A, o.C) // e := A * c
la.SPDsolve2(d, o.L, AAt, o.B, e) // d := inv(AAt) * b and L := inv(AAt) * e
la.SpMatTrVecMul(o.X, 1, o.A, d) // x := Aᵀ * d
la.VecCopy(o.S, 1, o.C) // s := c
la.SpMatTrVecMulAdd(o.S, -1, o.A, o.L) // s -= Aᵀλ
xmin := o.X[0]
smin := o.S[0]
for i := 1; i < o.Nx; i++ {
xmin = min(xmin, o.X[i])
smin = min(smin, o.S[i])
}
δx := max(-1.5*xmin, 0)
δs := max(-1.5*smin, 0)
var xdots, xsum, ssum float64
for i := 0; i < o.Nx; i++ {
o.X[i] += δx
o.S[i] += δs
xdots += o.X[i] * o.S[i]
xsum += o.X[i]
ssum += o.S[i]
}
δx = 0.5 * xdots / ssum
δs = 0.5 * xdots / xsum
for i := 0; i < o.Nx; i++ {
o.X[i] += δx
o.S[i] += δs
}
// constants for linear solver
symmetric := false
timing := false
// auxiliary
I := o.Nx + o.Nl
// control variables
var μ, σ float64 // μ and σ
var xrmin float64 // min{ x_i / (-Δx_i) } (x_ratio_minimum)
var srmin float64 // min{ s_i / (-Δs_i) } (s_ratio_minimum)
var αpa float64 // α_prime_affine
var αda float64 // α_dual_affine
var μaff float64 // μ_affine
var ctx, btl float64 // cᵀx and bᵀl
// message
if verbose {
io.Pf("%3s%16s%16s\n", "it", "f(x)", "error")
}
// perform iterations
it := 0
for it = 0; it < o.NmaxIt; it++ {
// compute residual
la.SpMatTrVecMul(o.Rx, 1, o.A, o.L) // rx := Aᵀλ
la.SpMatVecMul(o.Rl, 1, o.A, o.X) // rλ := A x
ctx, btl, μ = 0, 0, 0
for i := 0; i < o.Nx; i++ {
o.Rx[i] += o.S[i] - o.C[i]
o.Rs[i] = o.X[i] * o.S[i]
ctx += o.C[i] * o.X[i]
μ += o.X[i] * o.S[i]
}
for i := 0; i < o.Nl; i++ {
o.Rl[i] -= o.B[i]
btl += o.B[i] * o.L[i]
}
μ /= float64(o.Nx)
// check convergence
lerr := math.Abs(ctx-btl) / (1.0 + math.Abs(ctx))
if verbose {
fx := la.VecDot(o.C, o.X)
io.Pf("%3d%16.8e%16.8e\n", it, fx, lerr)
}
if lerr < o.Tol {
break
}
// assemble Jacobian
o.J.Start()
o.J.PutCCMatAndMatT(o.A)
for i := 0; i < o.Nx; i++ {
o.J.Put(i, I+i, 1.0)
o.J.Put(I+i, i, o.S[i])
o.J.Put(I+i, I+i, o.X[i])
}
// solve linear system
if it == 0 {
err = o.Lis.InitR(o.J, symmetric, false, timing)
if err != nil {
return
}
}
err = o.Lis.Fact()
if err != nil {
return
}
err = o.Lis.SolveR(o.Mdy, o.R, false) // mdy := inv(J) * R
if err != nil {
return
}
// control variables
xrmin, srmin = o.calc_min_ratios()
αpa = min(1, xrmin)
αda = min(1, srmin)
μaff = 0
for i := 0; i < o.Nx; i++ {
μaff += (o.X[i] - αpa*o.Mdx[i]) * (o.S[i] - αda*o.Mds[i])
}
μaff /= float64(o.Nx)
σ = math.Pow(μaff/μ, 3)
// update residual
for i := 0; i < o.Nx; i++ {
o.Rs[i] += o.Mdx[i]*o.Mds[i] - σ*μ
}
// solve linear system again
err = o.Lis.SolveR(o.Mdy, o.R, false) // mdy := inv(J) * R
if err != nil {
return
}
// step lengths
xrmin, srmin = o.calc_min_ratios()
αpa = min(1, 0.99*xrmin)
αda = min(1, 0.99*srmin)
// update
for i := 0; i < o.Nx; i++ {
o.X[i] -= αpa * o.Mdx[i]
o.S[i] -= αda * o.Mds[i]
}
for i := 0; i < o.Nl; i++ {
o.L[i] -= αda * o.Mdl[i]
}
}
// check convergence
if it == o.NmaxIt {
err = chk.Err("iterations did not converge")
}
return
}