/*
Copy x to y using packed storage.
The vector x is an element of S, with the 's' components stored in
unpacked storage. On return, x is copied to y with the 's' components
stored in packed storage and the off-diagonal entries scaled by
sqrt(2).
*/
func pack(x, y *matrix.FloatMatrix, dims *sets.DimensionSet, opts ...la_.Option) (err error) {
/*DEBUGGED*/
err = nil
mnl := la_.GetIntOpt("mnl", 0, opts...)
offsetx := la_.GetIntOpt("offsetx", 0, opts...)
offsety := la_.GetIntOpt("offsety", 0, opts...)
nlq := mnl + dims.At("l")[0] + dims.Sum("q")
blas.Copy(x, y, &la_.IOpt{"n", nlq}, &la_.IOpt{"offsetx", offsetx},
&la_.IOpt{"offsety", offsety})
iu, ip := offsetx+nlq, offsety+nlq
for _, n := range dims.At("s") {
for k := 0; k < n; k++ {
blas.Copy(x, y, &la_.IOpt{"n", n - k}, &la_.IOpt{"offsetx", iu + k*(n+1)},
&la_.IOpt{"offsety", ip})
y.SetIndex(ip, (y.GetIndex(ip) / math.Sqrt(2.0)))
ip += n - k
}
iu += n * n
}
np := dims.SumPacked("s")
blas.ScalFloat(y, math.Sqrt(2.0), &la_.IOpt{"n", np}, &la_.IOpt{"offset", offsety + nlq})
return
}
// Here problem is already translated to epigraph format except original convex problem.
// We wrap it and create special CP epigraph kktsolver.
func cp_problem(F ConvexProg, c MatrixVariable, G MatrixVarG, h *matrix.FloatMatrix, A MatrixVarA,
b MatrixVariable, dims *sets.DimensionSet, kktsolver KKTCpSolver,
solopts *SolverOptions, x0 *matrix.FloatMatrix, mnl int) (sol *Solution, err error) {
err = nil
F_e := &cpProg{F}
//mx0 := newEpigraph(x0, 0.0)
cdim := dims.Sum("l", "q") + dims.SumSquared("s")
ux := x0.Copy()
uz := matrix.FloatZeros(mnl+cdim, 1)
kktsolver_e := func(W *sets.FloatMatrixSet, xa MatrixVariable, znl *matrix.FloatMatrix) (KKTFuncVar, error) {
x, x_ok := xa.(*epigraph)
_ = x_ok
We := W.Copy()
// dnl is matrix
dnl := W.At("dnl")[0]
dnli := W.At("dnli")[0]
We.Set("dnl", matrix.FloatVector(dnl.FloatArray()[1:]))
We.Set("dnli", matrix.FloatVector(dnli.FloatArray()[1:]))
g, err := kktsolver(We, x.m(), znl)
_, Df, _ := F.F1(x.m())
gradf0 := Df.GetRow(0, nil).Transpose()
solve := func(xa, ya MatrixVariable, z *matrix.FloatMatrix) (err error) {
x, x_ok := xa.(*epigraph)
_ = x_ok // TODO: remove or use x_ok
y := ya.Matrix()
err = nil
a := z.GetIndex(0)
blas.Copy(x.m(), ux)
blas.AxpyFloat(gradf0, ux, x.t())
blas.Copy(z, uz, &la.IOpt{"offsetx", 1})
err = g(ux, y, uz)
z.SetIndex(0, -x.t()*dnl.GetIndex(0))
blas.Copy(uz, z, &la.IOpt{"offsety", 1})
blas.Copy(ux, x.m())
val := blas.DotFloat(gradf0, x.m()) + dnl.GetIndex(0)*dnl.GetIndex(0)*x.t() - a
x.set(val)
return
}
return solve, err
}
return cpl_solver(F_e, c, G, h, A, b, dims, kktsolver_e, solopts, nil, mnl)
}
// Returns min {t | x + t*e >= 0}, where e is defined as follows
//
// - For the nonlinear and 'l' blocks: e is the vector of ones.
// - For the 'q' blocks: e is the first unit vector.
// - For the 's' blocks: e is the identity matrix.
//
// When called with the argument sigma, also returns the eigenvalues
// (in sigma) and the eigenvectors (in x) of the 's' components of x.
func maxStep(x *matrix.FloatMatrix, dims *sets.DimensionSet, mnl int, sigma *matrix.FloatMatrix) (rval float64, err error) {
/*DEBUGGED*/
rval = 0.0
err = nil
t := make([]float64, 0, 10)
ind := mnl + dims.Sum("l")
if ind > 0 {
t = append(t, -minvec(x.FloatArray()[:ind]))
}
for _, m := range dims.At("q") {
if m > 0 {
v := blas.Nrm2Float(x, &la_.IOpt{"offset", ind + 1}, &la_.IOpt{"n", m - 1})
v -= x.GetIndex(ind)
t = append(t, v)
}
ind += m
}
//var Q *matrix.FloatMatrix
//var w *matrix.FloatMatrix
ind2 := 0
//if sigma == nil && len(dims.At("s")) > 0 {
// mx := dims.Max("s")
// Q = matrix.FloatZeros(mx, mx)
// w = matrix.FloatZeros(mx, 1)
//}
for _, m := range dims.At("s") {
if sigma == nil {
Q := matrix.FloatZeros(m, m)
w := matrix.FloatZeros(m, 1)
blas.Copy(x, Q, &la_.IOpt{"offsetx", ind}, &la_.IOpt{"n", m * m})
err = lapack.SyevrFloat(Q, w, nil, 0.0, nil, []int{1, 1}, la_.OptRangeInt,
&la_.IOpt{"n", m}, &la_.IOpt{"lda", m})
if m > 0 && err == nil {
t = append(t, -w.GetIndex(0))
}
} else {
err = lapack.SyevdFloat(x, sigma, la_.OptJobZValue, &la_.IOpt{"n", m},
&la_.IOpt{"lda", m}, &la_.IOpt{"offseta", ind}, &la_.IOpt{"offsetw", ind2})
if m > 0 {
t = append(t, -sigma.GetIndex(ind2))
}
}
ind += m * m
ind2 += m
}
if len(t) > 0 {
rval = maxvec(t)
}
return
}
// Converts lower triangular matrix to symmetric.
// Fills in the upper triangular part of the symmetric matrix stored in
// x[offset : offset+n*n] using 'L' storage.
func symm(x *matrix.FloatMatrix, n, offset int) (err error) {
/*DEBUGGED*/
err = nil
if n <= 1 {
return
}
for i := 0; i < n; i++ {
err = blas.Copy(x, x, &la_.IOpt{"offsetx", offset + i*(n+1) + 1},
&la_.IOpt{"offsety", offset + (i+1)*(n+1) - 1}, &la_.IOpt{"incy", n},
&la_.IOpt{"n", n - i - 1})
//if err != nil { return }
}
return
}
/*
The vector x is an element of S, with the 's' components stored
in unpacked storage and off-diagonal entries scaled by sqrt(2).
On return, x is copied to y with the 's' components stored in
unpacked storage.
*/
func unpack(x, y *matrix.FloatMatrix, dims *sets.DimensionSet, opts ...la_.Option) (err error) {
/*DEBUGGED*/
err = nil
mnl := la_.GetIntOpt("mnl", 0, opts...)
offsetx := la_.GetIntOpt("offsetx", 0, opts...)
offsety := la_.GetIntOpt("offsety", 0, opts...)
nlq := mnl + dims.At("l")[0] + dims.Sum("q")
err = blas.Copy(x, y, &la_.IOpt{"n", nlq}, &la_.IOpt{"offsetx", offsetx},
&la_.IOpt{"offsety", offsety})
if err != nil {
return
}
ip, iu := offsetx+nlq, offsety+nlq
for _, n := range dims.At("s") {
for k := 0; k < n; k++ {
err = blas.Copy(x, y, &la_.IOpt{"n", n - k}, &la_.IOpt{"offsetx", ip},
&la_.IOpt{"offsety", iu + k*(n+1)})
if err != nil {
return
}
ip += n - k
blas.ScalFloat(y, 1.0/math.Sqrt(2.0),
&la_.IOpt{"n", n - k - 1}, &la_.IOpt{"offset", iu + k*(n+1) + 1})
}
iu += n * n
}
/*
nu := dims.SumSquared("s")
fmt.Printf("-- UnPack: nu=%d, offset=%d\n", nu, offsety+nlq)
err = blas.ScalFloat(y,
&la_.IOpt{"n", nu}, &la_.IOpt{"offset", offsety+nlq})
*/
return
}
// The product x := y o y. The 's' components of y are diagonal and
// only the diagonals of x and y are stored.
func ssqr(x, y *matrix.FloatMatrix, dims *sets.DimensionSet, mnl int) (err error) {
/*DEBUGGED*/
blas.Copy(y, x)
ind := mnl + dims.At("l")[0]
err = blas.Tbmv(y, x, &la_.IOpt{"n", ind}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1})
if err != nil {
return
}
for _, m := range dims.At("q") {
v := blas.Nrm2Float(y, &la_.IOpt{"n", m}, &la_.IOpt{"offset", ind})
x.SetIndex(ind, v*v)
blas.ScalFloat(x, 2.0*y.GetIndex(ind), &la_.IOpt{"n", m - 1}, &la_.IOpt{"offset", ind + 1})
ind += m
}
err = blas.Tbmv(y, x, &la_.IOpt{"n", dims.Sum("s")}, &la_.IOpt{"k", 0},
&la_.IOpt{"lda", 1}, &la_.IOpt{"offseta", ind}, &la_.IOpt{"offsetx", ind})
return
}
// Internal CPL solver for CP and CLP problems. Everything is wrapped to proper interfaces
func cpl_solver(F ConvexVarProg, c MatrixVariable, G MatrixVarG, h *matrix.FloatMatrix,
A MatrixVarA, b MatrixVariable, dims *sets.DimensionSet, kktsolver KKTCpSolverVar,
solopts *SolverOptions, x0 MatrixVariable, mnl int) (sol *Solution, err error) {
const (
STEP = 0.99
BETA = 0.5
ALPHA = 0.01
EXPON = 3
MAX_RELAXED_ITERS = 8
)
var refinement int
sol = &Solution{Unknown,
nil,
0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0}
feasTolerance := FEASTOL
absTolerance := ABSTOL
relTolerance := RELTOL
maxIter := MAXITERS
if solopts.FeasTol > 0.0 {
feasTolerance = solopts.FeasTol
}
if solopts.AbsTol > 0.0 {
absTolerance = solopts.AbsTol
}
if solopts.RelTol > 0.0 {
relTolerance = solopts.RelTol
}
if solopts.Refinement > 0 {
refinement = solopts.Refinement
} else {
refinement = 1
}
if solopts.MaxIter > 0 {
maxIter = solopts.MaxIter
}
if x0 == nil {
mnl, x0, err = F.F0()
if err != nil {
return
}
}
if c == nil {
err = errors.New("Must define objective.")
return
}
if h == nil {
h = matrix.FloatZeros(0, 1)
}
if dims == nil {
err = errors.New("Problem dimensions not defined.")
return
}
if err = checkConeLpDimensions(dims); err != nil {
return
}
cdim := dims.Sum("l", "q") + dims.SumSquared("s")
cdim_diag := dims.Sum("l", "q", "s")
if h.Rows() != cdim {
err = errors.New(fmt.Sprintf("'h' must be float matrix of size (%d,1)", cdim))
return
}
if G == nil {
err = errors.New("'G' must be non-nil MatrixG interface.")
return
}
fG := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
return G.Gf(x, y, alpha, beta, trans)
}
// Check A and set defaults if it is nil
if A == nil {
err = errors.New("'A' must be non-nil MatrixA interface.")
return
}
fA := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
return A.Af(x, y, alpha, beta, trans)
}
if b == nil {
err = errors.New("'b' must be non-nil MatrixVariable interface.")
return
}
if kktsolver == nil {
err = errors.New("nil kktsolver not allowed.")
return
}
x := x0.Copy()
y := b.Copy()
y.Scal(0.0)
z := matrix.FloatZeros(mnl+cdim, 1)
s := matrix.FloatZeros(mnl+cdim, 1)
ind := mnl + dims.At("l")[0]
z.SetIndexes(1.0, matrix.MakeIndexSet(0, ind, 1)...)
s.SetIndexes(1.0, matrix.MakeIndexSet(0, ind, 1)...)
for _, m := range dims.At("q") {
z.SetIndexes(1.0, ind)
s.SetIndexes(1.0, ind)
ind += m
}
for _, m := range dims.At("s") {
iset := matrix.MakeIndexSet(ind, ind+m*m, m+1)
z.SetIndexes(1.0, iset...)
s.SetIndexes(1.0, iset...)
ind += m * m
}
rx := x0.Copy()
ry := b.Copy()
dx := x.Copy()
dy := y.Copy()
rznl := matrix.FloatZeros(mnl, 1)
rzl := matrix.FloatZeros(cdim, 1)
dz := matrix.FloatZeros(mnl+cdim, 1)
ds := matrix.FloatZeros(mnl+cdim, 1)
lmbda := matrix.FloatZeros(mnl+cdim_diag, 1)
lmbdasq := matrix.FloatZeros(mnl+cdim_diag, 1)
sigs := matrix.FloatZeros(dims.Sum("s"), 1)
sigz := matrix.FloatZeros(dims.Sum("s"), 1)
dz2 := matrix.FloatZeros(mnl+cdim, 1)
ds2 := matrix.FloatZeros(mnl+cdim, 1)
newx := x.Copy()
newy := y.Copy()
newrx := x0.Copy()
newz := matrix.FloatZeros(mnl+cdim, 1)
news := matrix.FloatZeros(mnl+cdim, 1)
newrznl := matrix.FloatZeros(mnl, 1)
rx0 := rx.Copy()
ry0 := ry.Copy()
rznl0 := matrix.FloatZeros(mnl, 1)
rzl0 := matrix.FloatZeros(cdim, 1)
x0, dx0 := x.Copy(), dx.Copy()
y0, dy0 := y.Copy(), dy.Copy()
z0 := matrix.FloatZeros(mnl+cdim, 1)
dz0 := matrix.FloatZeros(mnl+cdim, 1)
dz20 := matrix.FloatZeros(mnl+cdim, 1)
s0 := matrix.FloatZeros(mnl+cdim, 1)
ds0 := matrix.FloatZeros(mnl+cdim, 1)
ds20 := matrix.FloatZeros(mnl+cdim, 1)
checkpnt.AddMatrixVar("z", z)
checkpnt.AddMatrixVar("s", s)
checkpnt.AddMatrixVar("dz", dz)
checkpnt.AddMatrixVar("ds", ds)
checkpnt.AddMatrixVar("rznl", rznl)
checkpnt.AddMatrixVar("rzl", rzl)
checkpnt.AddMatrixVar("lmbda", lmbda)
checkpnt.AddMatrixVar("lmbdasq", lmbdasq)
checkpnt.AddMatrixVar("z0", z0)
checkpnt.AddMatrixVar("dz0", dz0)
checkpnt.AddVerifiable("c", c)
checkpnt.AddVerifiable("x", x)
checkpnt.AddVerifiable("rx", rx)
checkpnt.AddVerifiable("dx", dx)
checkpnt.AddVerifiable("newrx", newrx)
checkpnt.AddVerifiable("newx", newx)
checkpnt.AddVerifiable("x0", x0)
checkpnt.AddVerifiable("dx0", dx0)
checkpnt.AddVerifiable("rx0", rx0)
checkpnt.AddVerifiable("y", y)
checkpnt.AddVerifiable("dy", dy)
W0 := sets.NewFloatSet("d", "di", "dnl", "dnli", "v", "r", "rti", "beta")
W0.Set("dnl", matrix.FloatZeros(mnl, 1))
W0.Set("dnli", matrix.FloatZeros(mnl, 1))
W0.Set("d", matrix.FloatZeros(dims.At("l")[0], 1))
W0.Set("di", matrix.FloatZeros(dims.At("l")[0], 1))
W0.Set("beta", matrix.FloatZeros(len(dims.At("q")), 1))
for _, n := range dims.At("q") {
W0.Append("v", matrix.FloatZeros(n, 1))
}
for _, n := range dims.At("s") {
W0.Append("r", matrix.FloatZeros(n, n))
W0.Append("rti", matrix.FloatZeros(n, n))
}
lmbda0 := matrix.FloatZeros(mnl+dims.Sum("l", "q", "s"), 1)
lmbdasq0 := matrix.FloatZeros(mnl+dims.Sum("l", "q", "s"), 1)
var f MatrixVariable = nil
var Df MatrixVarDf = nil
var H MatrixVarH = nil
var ws3, wz3, wz2l, wz2nl *matrix.FloatMatrix
var ws, wz, wz2, ws2 *matrix.FloatMatrix
var wx, wx2, wy, wy2 MatrixVariable
var gap, gap0, theta1, theta2, theta3, ts, tz, phi, phi0, mu, sigma, eta float64
var resx, resy, reszl, resznl, pcost, dcost, dres, pres, relgap float64
var resx0, resznl0, dres0, pres0 float64
var dsdz, dsdz0, step, step0, dphi, dphi0, sigma0, eta0 float64
var newresx, newresznl, newgap, newphi float64
var W *sets.FloatMatrixSet
var f3 KKTFuncVar
checkpnt.AddFloatVar("gap", &gap)
checkpnt.AddFloatVar("pcost", &pcost)
checkpnt.AddFloatVar("dcost", &dcost)
checkpnt.AddFloatVar("pres", &pres)
checkpnt.AddFloatVar("dres", &dres)
checkpnt.AddFloatVar("relgap", &relgap)
checkpnt.AddFloatVar("step", &step)
checkpnt.AddFloatVar("dsdz", &dsdz)
checkpnt.AddFloatVar("resx", &resx)
checkpnt.AddFloatVar("resy", &resy)
checkpnt.AddFloatVar("reszl", &reszl)
checkpnt.AddFloatVar("resznl", &resznl)
// Declare fDf and fH here, they bind to Df and H as they are already declared.
// ??really??
var fDf func(u, v MatrixVariable, alpha, beta float64, trans la.Option) error = nil
var fH func(u, v MatrixVariable, alpha, beta float64) error = nil
relaxed_iters := 0
for iters := 0; iters <= maxIter+1; iters++ {
checkpnt.MajorNext()
checkpnt.Check("loopstart", 10)
checkpnt.MinorPush(10)
if refinement != 0 || solopts.Debug {
f, Df, H, err = F.F2(x, matrix.FloatVector(z.FloatArray()[:mnl]))
fDf = func(u, v MatrixVariable, alpha, beta float64, trans la.Option) error {
return Df.Df(u, v, alpha, beta, trans)
}
fH = func(u, v MatrixVariable, alpha, beta float64) error {
return H.Hf(u, v, alpha, beta)
}
} else {
f, Df, err = F.F1(x)
fDf = func(u, v MatrixVariable, alpha, beta float64, trans la.Option) error {
return Df.Df(u, v, alpha, beta, trans)
}
}
checkpnt.MinorPop()
gap = sdot(s, z, dims, mnl)
// these are helpers, copies of parts of z,s
z_mnl := matrix.FloatVector(z.FloatArray()[:mnl])
z_mnl2 := matrix.FloatVector(z.FloatArray()[mnl:])
s_mnl := matrix.FloatVector(s.FloatArray()[:mnl])
s_mnl2 := matrix.FloatVector(s.FloatArray()[mnl:])
// rx = c + A'*y + Df'*z[:mnl] + G'*z[mnl:]
// -- y, rx MatrixArg
mCopy(c, rx)
fA(y, rx, 1.0, 1.0, la.OptTrans)
fDf(&matrixVar{z_mnl}, rx, 1.0, 1.0, la.OptTrans)
fG(&matrixVar{z_mnl2}, rx, 1.0, 1.0, la.OptTrans)
resx = math.Sqrt(rx.Dot(rx))
// rznl = s[:mnl] + f
blas.Copy(s_mnl, rznl)
blas.AxpyFloat(f.Matrix(), rznl, 1.0)
resznl = blas.Nrm2Float(rznl)
// rzl = s[mnl:] + G*x - h
blas.Copy(s_mnl2, rzl)
blas.AxpyFloat(h, rzl, -1.0)
fG(x, &matrixVar{rzl}, 1.0, 1.0, la.OptNoTrans)
reszl = snrm2(rzl, dims, 0)
// Statistics for stopping criteria
// pcost = c'*x
// dcost = c'*x + y'*(A*x-b) + znl'*f(x) + zl'*(G*x-h)
// = c'*x + y'*(A*x-b) + znl'*(f(x)+snl) + zl'*(G*x-h+sl)
// - z'*s
// = c'*x + y'*ry + znl'*rznl + zl'*rzl - gap
//pcost = blas.DotFloat(c, x)
pcost = c.Dot(x)
dcost = pcost + blas.DotFloat(y.Matrix(), ry.Matrix()) + blas.DotFloat(z_mnl, rznl)
dcost += sdot(z_mnl2, rzl, dims, 0) - gap
if pcost < 0.0 {
relgap = gap / -pcost
} else if dcost > 0.0 {
relgap = gap / dcost
} else {
relgap = math.NaN()
}
pres = math.Sqrt(resy*resy + resznl*resznl + reszl*reszl)
dres = resx
if iters == 0 {
resx0 = math.Max(1.0, resx)
resznl0 = math.Max(1.0, resznl)
pres0 = math.Max(1.0, pres)
dres0 = math.Max(1.0, dres)
gap0 = gap
theta1 = 1.0 / gap0
theta2 = 1.0 / resx0
theta3 = 1.0 / resznl0
}
phi = theta1*gap + theta2*resx + theta3*resznl
pres = pres / pres0
dres = dres / dres0
if solopts.ShowProgress {
if iters == 0 {
// some headers
fmt.Printf("% 10s% 12s% 10s% 8s% 7s\n",
"pcost", "dcost", "gap", "pres", "dres")
}
fmt.Printf("%2d: % 8.4e % 8.4e % 4.0e% 7.0e% 7.0e\n",
iters, pcost, dcost, gap, pres, dres)
}
checkpnt.Check("checkgap", 50)
// Stopping criteria
if (pres <= feasTolerance && dres <= feasTolerance &&
(gap <= absTolerance || (!math.IsNaN(relgap) && relgap <= relTolerance))) ||
iters == maxIter {
if iters == maxIter {
s := "Terminated (maximum number of iterations reached)"
if solopts.ShowProgress {
fmt.Printf(s + "\n")
}
err = errors.New(s)
sol.Status = Unknown
} else {
err = nil
sol.Status = Optimal
}
sol.Result = sets.NewFloatSet("x", "y", "znl", "zl", "snl", "sl")
sol.Result.Set("x", x.Matrix())
sol.Result.Set("y", y.Matrix())
sol.Result.Set("znl", matrix.FloatVector(z.FloatArray()[:mnl]))
sol.Result.Set("zl", matrix.FloatVector(z.FloatArray()[mnl:]))
sol.Result.Set("sl", matrix.FloatVector(s.FloatArray()[mnl:]))
sol.Result.Set("snl", matrix.FloatVector(s.FloatArray()[:mnl]))
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
return
}
// Compute initial scaling W:
//
// W * z = W^{-T} * s = lambda.
//
// lmbdasq = lambda o lambda
if iters == 0 {
W, _ = computeScaling(s, z, lmbda, dims, mnl)
checkpnt.AddScaleVar(W)
}
ssqr(lmbdasq, lmbda, dims, mnl)
checkpnt.Check("lmbdasq", 90)
// f3(x, y, z) solves
//
// [ H A' GG'*W^{-1} ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ by ].
// [ GG 0 -W' ] [ uz ] [ bz ]
//
// On entry, x, y, z contain bx, by, bz.
// On exit, they contain ux, uy, uz.
checkpnt.MinorPush(95)
f3, err = kktsolver(W, x, z_mnl)
checkpnt.MinorPop()
checkpnt.Check("f3", 100)
if err != nil {
// ?? z_mnl is really copy of z[:mnl] ... should we copy here back to z??
singular_kkt_matrix := false
if iters == 0 {
err = errors.New("Rank(A) < p or Rank([H(x); A; Df(x); G] < n")
return
} else if relaxed_iters > 0 && relaxed_iters < MAX_RELAXED_ITERS {
// The arithmetic error may be caused by a relaxed line
// search in the previous iteration. Therefore we restore
// the last saved state and require a standard line search.
phi, gap = phi0, gap0
mu = gap / float64(mnl+dims.Sum("l", "s")+len(dims.At("q")))
blas.Copy(W0.At("dnl")[0], W.At("dnl")[0])
blas.Copy(W0.At("dnli")[0], W.At("dnli")[0])
blas.Copy(W0.At("d")[0], W.At("d")[0])
blas.Copy(W0.At("di")[0], W.At("di")[0])
blas.Copy(W0.At("beta")[0], W.At("beta")[0])
for k, _ := range dims.At("q") {
blas.Copy(W0.At("v")[k], W.At("v")[k])
}
for k, _ := range dims.At("s") {
blas.Copy(W0.At("r")[k], W.At("r")[k])
blas.Copy(W0.At("rti")[k], W.At("rti")[k])
}
//blas.Copy(x0, x)
//x0.CopyTo(x)
mCopy(x0, x)
//blas.Copy(y0, y)
mCopy(y0, y)
blas.Copy(s0, s)
blas.Copy(z0, z)
blas.Copy(lmbda0, lmbda)
blas.Copy(lmbdasq0, lmbdasq) // ???
//blas.Copy(rx0, rx)
//rx0.CopyTo(rx)
mCopy(rx0, rx)
//blas.Copy(ry0, ry)
mCopy(ry0, ry)
//resx = math.Sqrt(blas.DotFloat(rx, rx))
resx = math.Sqrt(rx.Dot(rx))
blas.Copy(rznl0, rznl)
blas.Copy(rzl0, rzl)
resznl = blas.Nrm2Float(rznl)
relaxed_iters = -1
// How about z_mnl here???
checkpnt.MinorPush(120)
f3, err = kktsolver(W, x, z_mnl)
checkpnt.MinorPop()
if err != nil {
singular_kkt_matrix = true
}
} else {
singular_kkt_matrix = true
}
if singular_kkt_matrix {
msg := "Terminated (singular KKT matrix)."
if solopts.ShowProgress {
fmt.Printf(msg + "\n")
}
zl := matrix.FloatVector(z.FloatArray()[mnl:])
sl := matrix.FloatVector(s.FloatArray()[mnl:])
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(sl, m, ind)
symm(zl, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, mnl, nil)
tz, _ = maxStep(z, dims, mnl, nil)
err = errors.New(msg)
sol.Status = Unknown
sol.Result = sets.NewFloatSet("x", "y", "znl", "zl", "snl", "sl")
sol.Result.Set("x", x.Matrix())
sol.Result.Set("y", y.Matrix())
sol.Result.Set("znl", matrix.FloatVector(z.FloatArray()[:mnl]))
sol.Result.Set("zl", zl)
sol.Result.Set("sl", sl)
sol.Result.Set("snl", matrix.FloatVector(s.FloatArray()[:mnl]))
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
return
}
}
// f4_no_ir(x, y, z, s) solves
//
// [ 0 ] [ H A' GG' ] [ ux ] [ bx ]
// [ 0 ] + [ A 0 0 ] [ uy ] = [ by ]
// [ W'*us ] [ GG 0 0 ] [ W^{-1}*uz ] [ bz ]
//
// lmbda o (uz + us) = bs.
//
// On entry, x, y, z, x, contain bx, by, bz, bs.
// On exit, they contain ux, uy, uz, us.
if iters == 0 {
ws3 = matrix.FloatZeros(mnl+cdim, 1)
wz3 = matrix.FloatZeros(mnl+cdim, 1)
checkpnt.AddMatrixVar("ws3", ws3)
checkpnt.AddMatrixVar("wz3", wz3)
}
f4_no_ir := func(x, y MatrixVariable, z, s *matrix.FloatMatrix) (err error) {
// Solve
//
// [ H A' GG' ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ by ]
// [ GG 0 -W'*W ] [ W^{-1}*uz ] [ bz - W'*(lmbda o\ bs) ]
//
// us = lmbda o\ bs - uz.
err = nil
// s := lmbda o\ s
// = lmbda o\ bs
sinv(s, lmbda, dims, mnl)
// z := z - W'*s
// = bz - W' * (lambda o\ bs)
blas.Copy(s, ws3)
scale(ws3, W, true, false)
blas.AxpyFloat(ws3, z, -1.0)
// Solve for ux, uy, uz
err = f3(x, y, z)
// s := s - z
// = lambda o\ bs - z.
blas.AxpyFloat(z, s, -1.0)
return
}
if iters == 0 {
wz2nl = matrix.FloatZeros(mnl, 1)
wz2l = matrix.FloatZeros(cdim, 1)
checkpnt.AddMatrixVar("wz2nl", wz2nl)
checkpnt.AddMatrixVar("wz2l", wz2l)
}
res := func(ux, uy MatrixVariable, uz, us *matrix.FloatMatrix, vx, vy MatrixVariable, vz, vs *matrix.FloatMatrix) (err error) {
// Evaluates residuals in Newton equations:
//
// [ vx ] [ 0 ] [ H A' GG' ] [ ux ]
// [ vy ] -= [ 0 ] + [ A 0 0 ] [ uy ]
// [ vz ] [ W'*us ] [ GG 0 0 ] [ W^{-1}*uz ]
//
// vs -= lmbda o (uz + us).
err = nil
minor := checkpnt.MinorTop()
// vx := vx - H*ux - A'*uy - GG'*W^{-1}*uz
fH(ux, vx, -1.0, 1.0)
fA(uy, vx, -1.0, 1.0, la.OptTrans)
blas.Copy(uz, wz3)
scale(wz3, W, false, true)
wz3_nl := matrix.FloatVector(wz3.FloatArray()[:mnl])
wz3_l := matrix.FloatVector(wz3.FloatArray()[mnl:])
fDf(&matrixVar{wz3_nl}, vx, -1.0, 1.0, la.OptTrans)
fG(&matrixVar{wz3_l}, vx, -1.0, 1.0, la.OptTrans)
checkpnt.Check("10res", minor+10)
// vy := vy - A*ux
fA(ux, vy, -1.0, 1.0, la.OptNoTrans)
// vz := vz - W'*us - GG*ux
err = fDf(ux, &matrixVar{wz2nl}, 1.0, 0.0, la.OptNoTrans)
checkpnt.Check("15res", minor+10)
blas.AxpyFloat(wz2nl, vz, -1.0)
fG(ux, &matrixVar{wz2l}, 1.0, 0.0, la.OptNoTrans)
checkpnt.Check("20res", minor+10)
blas.AxpyFloat(wz2l, vz, -1.0, &la.IOpt{"offsety", mnl})
blas.Copy(us, ws3)
scale(ws3, W, true, false)
blas.AxpyFloat(ws3, vz, -1.0)
checkpnt.Check("30res", minor+10)
// vs -= lmbda o (uz + us)
blas.Copy(us, ws3)
blas.AxpyFloat(uz, ws3, 1.0)
sprod(ws3, lmbda, dims, mnl, &la.SOpt{"diag", "D"})
blas.AxpyFloat(ws3, vs, -1.0)
checkpnt.Check("90res", minor+10)
return
}
// f4(x, y, z, s) solves the same system as f4_no_ir, but applies
// iterative refinement.
if iters == 0 {
if refinement > 0 || solopts.Debug {
wx = c.Copy()
wy = b.Copy()
wz = z.Copy()
ws = s.Copy()
checkpnt.AddVerifiable("wx", wx)
checkpnt.AddMatrixVar("ws", ws)
checkpnt.AddMatrixVar("wz", wz)
}
if refinement > 0 {
wx2 = c.Copy()
wy2 = b.Copy()
wz2 = matrix.FloatZeros(mnl+cdim, 1)
ws2 = matrix.FloatZeros(mnl+cdim, 1)
checkpnt.AddVerifiable("wx2", wx2)
checkpnt.AddMatrixVar("ws2", ws2)
checkpnt.AddMatrixVar("wz2", wz2)
}
}
f4 := func(x, y MatrixVariable, z, s *matrix.FloatMatrix) (err error) {
if refinement > 0 || solopts.Debug {
mCopy(x, wx)
mCopy(y, wy)
blas.Copy(z, wz)
blas.Copy(s, ws)
}
minor := checkpnt.MinorTop()
checkpnt.Check("0_f4", minor+100)
checkpnt.MinorPush(minor + 100)
err = f4_no_ir(x, y, z, s)
checkpnt.MinorPop()
checkpnt.Check("1_f4", minor+200)
for i := 0; i < refinement; i++ {
mCopy(wx, wx2)
mCopy(wy, wy2)
blas.Copy(wz, wz2)
blas.Copy(ws, ws2)
checkpnt.Check("2_f4", minor+(1+i)*200)
checkpnt.MinorPush(minor + (1+i)*200)
res(x, y, z, s, wx2, wy2, wz2, ws2)
checkpnt.MinorPop()
checkpnt.Check("3_f4", minor+(1+i)*200+100)
err = f4_no_ir(wx2, wy2, wz2, ws2)
checkpnt.MinorPop()
checkpnt.Check("4_f4", minor+(1+i)*200+199)
wx2.Axpy(x, 1.0)
wy2.Axpy(y, 1.0)
blas.AxpyFloat(wz2, z, 1.0)
blas.AxpyFloat(ws2, s, 1.0)
}
if solopts.Debug {
res(x, y, z, s, wx, wy, wz, ws)
fmt.Printf("KKT residuals:\n")
}
return
}
sigma, eta = 0.0, 0.0
for i := 0; i < 2; i++ {
minor := (i + 2) * 1000
checkpnt.MinorPush(minor)
checkpnt.Check("loop01", minor)
// Solve
//
// [ 0 ] [ H A' GG' ] [ dx ]
// [ 0 ] + [ A 0 0 ] [ dy ] = -(1 - eta)*r
// [ W'*ds ] [ GG 0 0 ] [ W^{-1}*dz ]
//
// lmbda o (dz + ds) = -lmbda o lmbda + sigma*mu*e.
//
mu = gap / float64(mnl+dims.Sum("l", "s")+len(dims.At("q")))
blas.ScalFloat(ds, 0.0)
blas.AxpyFloat(lmbdasq, ds, -1.0, &la.IOpt{"n", mnl + dims.Sum("l", "q")})
ind = mnl + dims.At("l")[0]
iset := matrix.MakeIndexSet(0, ind, 1)
ds.Add(sigma*mu, iset...)
for _, m := range dims.At("q") {
ds.Add(sigma*mu, ind)
ind += m
}
ind2 := ind
for _, m := range dims.At("s") {
blas.AxpyFloat(lmbdasq, ds, -1.0, &la.IOpt{"n", m}, &la.IOpt{"offsetx", ind2},
&la.IOpt{"offsety", ind}, &la.IOpt{"incy", m + 1})
ds.Add(sigma*mu, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
ind2 += m
}
dx.Scal(0.0)
rx.Axpy(dx, -1.0+eta)
dy.Scal(0.0)
ry.Axpy(dy, -1.0+eta)
dz.Scale(0.0)
blas.AxpyFloat(rznl, dz, -1.0+eta)
blas.AxpyFloat(rzl, dz, -1.0+eta, &la.IOpt{"offsety", mnl})
//fmt.Printf("dx=\n%v\n", dx)
//fmt.Printf("dz=\n%v\n", dz.ToString("%.7f"))
//fmt.Printf("ds=\n%v\n", ds.ToString("%.7f"))
checkpnt.Check("pref4", minor)
checkpnt.MinorPush(minor)
err = f4(dx, dy, dz, ds)
if err != nil {
if iters == 0 {
s := fmt.Sprintf("Rank(A) < p or Rank([H(x); A; Df(x); G] < n (%s)", err)
err = errors.New(s)
return
}
msg := "Terminated (singular KKT matrix)."
if solopts.ShowProgress {
fmt.Printf(msg + "\n")
}
zl := matrix.FloatVector(z.FloatArray()[mnl:])
sl := matrix.FloatVector(s.FloatArray()[mnl:])
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(sl, m, ind)
symm(zl, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, mnl, nil)
tz, _ = maxStep(z, dims, mnl, nil)
err = errors.New(msg)
sol.Status = Unknown
sol.Result = sets.NewFloatSet("x", "y", "znl", "zl", "snl", "sl")
sol.Result.Set("x", x.Matrix())
sol.Result.Set("y", y.Matrix())
sol.Result.Set("znl", matrix.FloatVector(z.FloatArray()[:mnl]))
sol.Result.Set("zl", zl)
sol.Result.Set("sl", sl)
sol.Result.Set("snl", matrix.FloatVector(s.FloatArray()[:mnl]))
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
return
}
checkpnt.MinorPop()
checkpnt.Check("postf4", minor+400)
// Inner product ds'*dz and unscaled steps are needed in the
// line search.
dsdz = sdot(ds, dz, dims, mnl)
blas.Copy(dz, dz2)
scale(dz2, W, false, true)
blas.Copy(ds, ds2)
scale(ds2, W, true, false)
checkpnt.Check("dsdz", minor+400)
// Maximum steps to boundary.
//
// Also compute the eigenvalue decomposition of 's' blocks in
// ds, dz. The eigenvectors Qs, Qz are stored in ds, dz.
// The eigenvalues are stored in sigs, sigz.
scale2(lmbda, ds, dims, mnl, false)
ts, _ = maxStep(ds, dims, mnl, sigs)
scale2(lmbda, dz, dims, mnl, false)
tz, _ = maxStep(dz, dims, mnl, sigz)
t := maxvec([]float64{0.0, ts, tz})
if t == 0 {
step = 1.0
} else {
step = math.Min(1.0, STEP/t)
}
checkpnt.Check("maxstep", minor+400)
var newDf MatrixVarDf = nil
var newf MatrixVariable = nil
// Backtrack until newx is in domain of f.
backtrack := true
for backtrack {
mCopy(x, newx)
dx.Axpy(newx, step)
newf, newDf, err = F.F1(newx)
if newf != nil {
backtrack = false
} else {
step *= BETA
}
}
// Merit function
//
// phi = theta1 * gap + theta2 * norm(rx) +
// theta3 * norm(rznl)
//
// and its directional derivative dphi.
phi = theta1*gap + theta2*resx + theta3*resznl
if i == 0 {
dphi = -phi
} else {
dphi = -theta1*(1-sigma)*gap - theta2*(1-eta)*resx - theta3*(1-eta)*resznl
}
var newfDf func(x, y MatrixVariable, a, b float64, trans la.Option) error
// Line search
backtrack = true
for backtrack {
mCopy(x, newx)
dx.Axpy(newx, step)
mCopy(y, newy)
dy.Axpy(newy, step)
blas.Copy(z, newz)
blas.AxpyFloat(dz2, newz, step)
blas.Copy(s, news)
blas.AxpyFloat(ds2, news, step)
newf, newDf, err = F.F1(newx)
newfDf = func(u, v MatrixVariable, a, b float64, trans la.Option) error {
return newDf.Df(u, v, a, b, trans)
}
// newrx = c + A'*newy + newDf'*newz[:mnl] + G'*newz[mnl:]
newz_mnl := matrix.FloatVector(newz.FloatArray()[:mnl])
newz_ml := matrix.FloatVector(newz.FloatArray()[mnl:])
//blas.Copy(c, newrx)
//c.CopyTo(newrx)
mCopy(c, newrx)
fA(newy, newrx, 1.0, 1.0, la.OptTrans)
newfDf(&matrixVar{newz_mnl}, newrx, 1.0, 1.0, la.OptTrans)
fG(&matrixVar{newz_ml}, newrx, 1.0, 1.0, la.OptTrans)
newresx = math.Sqrt(newrx.Dot(newrx))
// newrznl = news[:mnl] + newf
news_mnl := matrix.FloatVector(news.FloatArray()[:mnl])
//news_ml := matrix.FloatVector(news.FloatArray()[mnl:])
blas.Copy(news_mnl, newrznl)
blas.AxpyFloat(newf.Matrix(), newrznl, 1.0)
newresznl = blas.Nrm2Float(newrznl)
newgap = (1.0-(1.0-sigma)*step)*gap + step*step*dsdz
newphi = theta1*newgap + theta2*newresx + theta3*newresznl
if i == 0 {
if newgap <= (1.0-ALPHA*step)*gap &&
(relaxed_iters > 0 && relaxed_iters < MAX_RELAXED_ITERS ||
newphi <= phi+ALPHA*step*dphi) {
backtrack = false
sigma = math.Min(newgap/gap, math.Pow((newgap/gap), EXPON))
//fmt.Printf("break 1: sigma=%.7f\n", sigma)
eta = 0.0
} else {
step *= BETA
}
} else {
if relaxed_iters == -1 || (relaxed_iters == 0 && MAX_RELAXED_ITERS == 0) {
// Do a standard line search.
if newphi <= phi+ALPHA*step*dphi {
relaxed_iters = 0
backtrack = false
//fmt.Printf("break 2 : newphi=%.7f\n", newphi)
} else {
step *= BETA
}
} else if relaxed_iters == 0 && relaxed_iters < MAX_RELAXED_ITERS {
if newphi <= phi+ALPHA*step*dphi {
// Relaxed l.s. gives sufficient decrease.
relaxed_iters = 0
} else {
// Save state.
phi0, dphi0, gap0 = phi, dphi, gap
step0 = step
blas.Copy(W.At("dnl")[0], W0.At("dnl")[0])
blas.Copy(W.At("dnli")[0], W0.At("dnli")[0])
blas.Copy(W.At("d")[0], W0.At("d")[0])
blas.Copy(W.At("di")[0], W0.At("di")[0])
blas.Copy(W.At("beta")[0], W0.At("beta")[0])
for k, _ := range dims.At("q") {
blas.Copy(W.At("v")[k], W0.At("v")[k])
}
for k, _ := range dims.At("s") {
blas.Copy(W.At("r")[k], W0.At("r")[k])
blas.Copy(W.At("rti")[k], W0.At("rti")[k])
}
mCopy(x, x0)
mCopy(y, y0)
mCopy(dx, dx0)
mCopy(dy, dy0)
blas.Copy(s, s0)
blas.Copy(z, z0)
blas.Copy(ds, ds0)
blas.Copy(dz, dz0)
blas.Copy(ds2, ds20)
blas.Copy(dz2, dz20)
blas.Copy(lmbda, lmbda0)
blas.Copy(lmbdasq, lmbdasq0) // ???
mCopy(rx, rx0)
mCopy(ry, ry0)
blas.Copy(rznl, rznl0)
blas.Copy(rzl, rzl0)
dsdz0 = dsdz
sigma0, eta0 = sigma, eta
relaxed_iters = 1
}
backtrack = false
//fmt.Printf("break 3 : newphi=%.7f\n", newphi)
} else if relaxed_iters >= 0 && relaxed_iters < MAX_RELAXED_ITERS &&
MAX_RELAXED_ITERS > 0 {
if newphi <= phi0+ALPHA*step0*dphi0 {
// Relaxed l.s. gives sufficient decrease.
relaxed_iters = 0
} else {
// Relaxed line search
relaxed_iters += 1
}
backtrack = false
//fmt.Printf("break 4 : newphi=%.7f\n", newphi)
} else if relaxed_iters == MAX_RELAXED_ITERS && MAX_RELAXED_ITERS > 0 {
if newphi <= phi0+ALPHA*step0*dphi0 {
// Series of relaxed line searches ends
// with sufficient decrease w.r.t. phi0.
backtrack = false
relaxed_iters = 0
//fmt.Printf("break 5 : newphi=%.7f\n", newphi)
} else if newphi >= phi0 {
// Resume last saved line search
phi, dphi, gap = phi0, dphi0, gap0
step = step0
blas.Copy(W0.At("dnl")[0], W.At("dnl")[0])
blas.Copy(W0.At("dnli")[0], W.At("dnli")[0])
blas.Copy(W0.At("d")[0], W.At("d")[0])
blas.Copy(W0.At("di")[0], W.At("di")[0])
blas.Copy(W0.At("beta")[0], W.At("beta")[0])
for k, _ := range dims.At("q") {
blas.Copy(W0.At("v")[k], W.At("v")[k])
}
for k, _ := range dims.At("s") {
blas.Copy(W0.At("r")[k], W.At("r")[k])
blas.Copy(W0.At("rti")[k], W.At("rti")[k])
}
mCopy(x, x0)
mCopy(y, y0)
mCopy(dx, dx0)
mCopy(dy, dy0)
blas.Copy(s, s0)
blas.Copy(z, z0)
blas.Copy(ds2, ds20)
blas.Copy(dz2, dz20)
blas.Copy(lmbda, lmbda0)
blas.Copy(lmbdasq, lmbdasq0) // ???
mCopy(rx, rx0)
mCopy(ry, ry0)
blas.Copy(rznl, rznl0)
blas.Copy(rzl, rzl0)
dsdz = dsdz0
sigma, eta = sigma0, eta0
relaxed_iters = -1
} else if newphi <= phi+ALPHA*step*dphi {
// Series of relaxed line searches ends
// with sufficient decrease w.r.t. phi0.
backtrack = false
relaxed_iters = -1
//fmt.Printf("break 6 : newphi=%.7f\n", newphi)
}
}
}
} // end of line search
checkpnt.Check("eol", minor+900)
} // end for [0,1]
// Update x, y
dx.Axpy(x, step)
dy.Axpy(y, step)
checkpnt.Check("updatexy", 5000)
// Replace nonlinear, 'l' and 'q' blocks of ds and dz with the
// updated variables in the current scaling.
// Replace 's' blocks of ds and dz with the factors Ls, Lz in a
// factorization Ls*Ls', Lz*Lz' of the updated variables in the
// current scaling.
// ds := e + step*ds for nonlinear, 'l' and 'q' blocks.
// dz := e + step*dz for nonlinear, 'l' and 'q' blocks.
blas.ScalFloat(ds, step, &la.IOpt{"n", mnl + dims.Sum("l", "q")})
blas.ScalFloat(dz, step, &la.IOpt{"n", mnl + dims.Sum("l", "q")})
ind := mnl + dims.At("l")[0]
is := matrix.MakeIndexSet(0, ind, 1)
ds.Add(1.0, is...)
dz.Add(1.0, is...)
for _, m := range dims.At("q") {
ds.SetIndex(ind, 1.0+ds.GetIndex(ind))
dz.SetIndex(ind, 1.0+dz.GetIndex(ind))
ind += m
}
checkpnt.Check("updatedsdz", 5100)
// ds := H(lambda)^{-1/2} * ds and dz := H(lambda)^{-1/2} * dz.
//
// This replaces the 'l' and 'q' components of ds and dz with the
// updated variables in the current scaling.
// The 's' components of ds and dz are replaced with
//
// diag(lmbda_k)^{1/2} * Qs * diag(lmbda_k)^{1/2}
// diag(lmbda_k)^{1/2} * Qz * diag(lmbda_k)^{1/2}
scale2(lmbda, ds, dims, mnl, true)
scale2(lmbda, dz, dims, mnl, true)
checkpnt.Check("scale2", 5200)
// sigs := ( e + step*sigs ) ./ lambda for 's' blocks.
// sigz := ( e + step*sigz ) ./ lambda for 's' blocks.
blas.ScalFloat(sigs, step)
blas.ScalFloat(sigz, step)
sigs.Add(1.0)
sigz.Add(1.0)
sdimsum := dims.Sum("s")
qdimsum := dims.Sum("l", "q")
blas.TbsvFloat(lmbda, sigs, &la.IOpt{"n", sdimsum}, &la.IOpt{"k", 0},
&la.IOpt{"lda", 1}, &la.IOpt{"offseta", mnl + qdimsum})
blas.TbsvFloat(lmbda, sigz, &la.IOpt{"n", sdimsum}, &la.IOpt{"k", 0},
&la.IOpt{"lda", 1}, &la.IOpt{"offseta", mnl + qdimsum})
checkpnt.Check("sigs", 5300)
ind2 := mnl + qdimsum
ind3 := 0
sdims := dims.At("s")
for k := 0; k < len(sdims); k++ {
m := sdims[k]
for i := 0; i < m; i++ {
a := math.Sqrt(sigs.GetIndex(ind3 + i))
blas.ScalFloat(ds, a, &la.IOpt{"offset", ind2 + m*i}, &la.IOpt{"n", m})
a = math.Sqrt(sigz.GetIndex(ind3 + i))
blas.ScalFloat(dz, a, &la.IOpt{"offset", ind2 + m*i}, &la.IOpt{"n", m})
}
ind2 += m * m
ind3 += m
}
checkpnt.Check("scaling", 5400)
err = updateScaling(W, lmbda, ds, dz)
checkpnt.Check("postscaling", 5500)
// Unscale s, z, tau, kappa (unscaled variables are used only to
// compute feasibility residuals).
ind = mnl + dims.Sum("l", "q")
ind2 = ind
blas.Copy(lmbda, s, &la.IOpt{"n", ind})
for _, m := range dims.At("s") {
blas.ScalFloat(s, 0.0, &la.IOpt{"offset", ind2})
blas.Copy(lmbda, s, &la.IOpt{"offsetx", ind}, &la.IOpt{"offsety", ind2},
&la.IOpt{"n", m}, &la.IOpt{"incy", m + 1})
ind += m
ind2 += m * m
}
scale(s, W, true, false)
checkpnt.Check("unscale_s", 5600)
ind = mnl + dims.Sum("l", "q")
ind2 = ind
blas.Copy(lmbda, z, &la.IOpt{"n", ind})
for _, m := range dims.At("s") {
blas.ScalFloat(z, 0.0, &la.IOpt{"offset", ind2})
blas.Copy(lmbda, z, &la.IOpt{"offsetx", ind}, &la.IOpt{"offsety", ind2},
&la.IOpt{"n", m}, &la.IOpt{"incy", m + 1})
ind += m
ind2 += m * m
}
scale(z, W, false, true)
checkpnt.Check("unscale_z", 5700)
gap = blas.DotFloat(lmbda, lmbda)
}
return
}
/*
Applies Nesterov-Todd scaling or its inverse.
Computes
x := W*x (trans is false 'N', inverse = false 'N')
x := W^T*x (trans is true 'T', inverse = false 'N')
x := W^{-1}*x (trans is false 'N', inverse = true 'T')
x := W^{-T}*x (trans is true 'T', inverse = true 'T').
x is a dense float matrix.
W is a MatrixSet with entries:
- W['dnl']: positive vector
- W['dnli']: componentwise inverse of W['dnl']
- W['d']: positive vector
- W['di']: componentwise inverse of W['d']
- W['v']: lists of 2nd order cone vectors with unit hyperbolic norms
- W['beta']: list of positive numbers
- W['r']: list of square matrices
- W['rti']: list of square matrices. rti[k] is the inverse transpose
of r[k].
The 'dnl' and 'dnli' entries are optional, and only present when the
function is called from the nonlinear solver.
*/
func scale(x *matrix.FloatMatrix, W *sets.FloatMatrixSet, trans, inverse bool) (err error) {
/*DEBUGGED*/
var wl []*matrix.FloatMatrix
var w *matrix.FloatMatrix
ind := 0
err = nil
// var minor int = 0
//if ! checkpnt.MinorEmpty() {
// minor = checkpnt.MinorTop()
//}
//fmt.Printf("\n%d.%04d scaling x=\n%v\n", checkpnt.Major(), minor, x.ToString("%.17f"))
// Scaling for nonlinear component xk is xk := dnl .* xk; inverse
// scaling is xk ./ dnl = dnli .* xk, where dnl = W['dnl'],
// dnli = W['dnli'].
if wl = W.At("dnl"); wl != nil {
if inverse {
w = W.At("dnli")[0]
} else {
w = W.At("dnl")[0]
}
for k := 0; k < x.Cols(); k++ {
err = blas.TbmvFloat(w, x, &la_.IOpt{"n", w.Rows()}, &la_.IOpt{"k", 0},
&la_.IOpt{"lda", 1}, &la_.IOpt{"offsetx", k * x.Rows()})
if err != nil {
//fmt.Printf("1. TbmvFloat: %v\n", err)
return
}
}
ind += w.Rows()
}
//if ! checkpnt.MinorEmpty() {
// checkpnt.Check("000scale", minor)
//}
// Scaling for linear 'l' component xk is xk := d .* xk; inverse
// scaling is xk ./ d = di .* xk, where d = W['d'], di = W['di'].
if inverse {
w = W.At("di")[0]
} else {
w = W.At("d")[0]
}
for k := 0; k < x.Cols(); k++ {
err = blas.TbmvFloat(w, x, &la_.IOpt{"n", w.Rows()}, &la_.IOpt{"k", 0},
&la_.IOpt{"lda", 1}, &la_.IOpt{"offsetx", k*x.Rows() + ind})
if err != nil {
//fmt.Printf("2. TbmvFloat: %v\n", err)
return
}
}
ind += w.Rows()
//if ! checkpnt.MinorEmpty() {
// checkpnt.Check("010scale", minor)
//}
// Scaling for 'q' component is
//
// xk := beta * (2*v*v' - J) * xk
// = beta * (2*v*(xk'*v)' - J*xk)
//
// where beta = W['beta'][k], v = W['v'][k], J = [1, 0; 0, -I].
//
//Inverse scaling is
//
// xk := 1/beta * (2*J*v*v'*J - J) * xk
// = 1/beta * (-J) * (2*v*((-J*xk)'*v)' + xk).
//wf := matrix.FloatZeros(x.Cols(), 1)
w = matrix.FloatZeros(x.Cols(), 1)
for k, v := range W.At("v") {
m := v.Rows()
if inverse {
blas.ScalFloat(x, -1.0, &la_.IOpt{"offset", ind}, &la_.IOpt{"inc", x.Rows()})
}
err = blas.GemvFloat(x, v, w, 1.0, 0.0, la_.OptTrans, &la_.IOpt{"m", m},
&la_.IOpt{"n", x.Cols()}, &la_.IOpt{"offsetA", ind},
&la_.IOpt{"lda", x.Rows()})
if err != nil {
//fmt.Printf("3. GemvFloat: %v\n", err)
return
}
err = blas.ScalFloat(x, -1.0, &la_.IOpt{"offset", ind}, &la_.IOpt{"inc", x.Rows()})
if err != nil {
return
}
err = blas.GerFloat(v, w, x, 2.0, &la_.IOpt{"m", m},
&la_.IOpt{"n", x.Cols()}, &la_.IOpt{"lda", x.Rows()},
&la_.IOpt{"offsetA", ind})
if err != nil {
//fmt.Printf("4. GerFloat: %v\n", err)
return
}
var a float64
if inverse {
blas.ScalFloat(x, -1.0,
&la_.IOpt{"offset", ind}, &la_.IOpt{"inc", x.Rows()})
// a[i,j] := 1.0/W[i,j]
a = 1.0 / W.At("beta")[0].GetIndex(k)
} else {
a = W.At("beta")[0].GetIndex(k)
}
for i := 0; i < x.Cols(); i++ {
blas.ScalFloat(x, a, &la_.IOpt{"n", m}, &la_.IOpt{"offset", ind + i*x.Rows()})
}
ind += m
}
//if ! checkpnt.MinorEmpty() {
// checkpnt.Check("020scale", minor)
//}
// Scaling for 's' component xk is
//
// xk := vec( r' * mat(xk) * r ) if trans = 'N'
// xk := vec( r * mat(xk) * r' ) if trans = 'T'.
//
// r is kth element of W['r'].
//
// Inverse scaling is
//
// xk := vec( rti * mat(xk) * rti' ) if trans = 'N'
// xk := vec( rti' * mat(xk) * rti ) if trans = 'T'.
//
// rti is kth element of W['rti'].
maxn := 0
for _, r := range W.At("r") {
if r.Rows() > maxn {
maxn = r.Rows()
}
}
a := matrix.FloatZeros(maxn, maxn)
for k, v := range W.At("r") {
t := trans
var r *matrix.FloatMatrix
if !inverse {
r = v
t = !trans
} else {
r = W.At("rti")[k]
}
n := r.Rows()
for i := 0; i < x.Cols(); i++ {
// scale diagonal of xk by 0.5
blas.ScalFloat(x, 0.5, &la_.IOpt{"offset", ind + i*x.Rows()},
&la_.IOpt{"inc", n + 1}, &la_.IOpt{"n", n})
// a = r*tril(x) (t is 'N') or a = tril(x)*r (t is 'T')
blas.Copy(r, a)
if !t {
err = blas.TrmmFloat(x, a, 1.0, la_.OptRight, &la_.IOpt{"m", n},
&la_.IOpt{"n", n}, &la_.IOpt{"lda", n}, &la_.IOpt{"ldb", n},
&la_.IOpt{"offsetA", ind + i*x.Rows()})
if err != nil {
//fmt.Printf("5. TrmmFloat: %v\n", err)
return
}
// x := (r*a' + a*r') if t is 'N'
err = blas.Syr2kFloat(r, a, x, 1.0, 0.0, la_.OptNoTrans, &la_.IOpt{"n", n},
&la_.IOpt{"k", n}, &la_.IOpt{"ldb", n}, &la_.IOpt{"ldc", n},
&la_.IOpt{"offsetC", ind + i*x.Rows()})
if err != nil {
//fmt.Printf("6. Syr2kFloat: %v\n", err)
return
}
} else {
err = blas.TrmmFloat(x, a, 1.0, la_.OptLeft, &la_.IOpt{"m", n},
&la_.IOpt{"n", n}, &la_.IOpt{"lda", n}, &la_.IOpt{"ldb", n},
&la_.IOpt{"offsetA", ind + i*x.Rows()})
if err != nil {
//fmt.Printf("7. TrmmFloat: %v\n", err)
return
}
// x := (r'*a + a'*r) if t is 'T'
err = blas.Syr2kFloat(r, a, x, 1.0, 0.0, la_.OptTrans, &la_.IOpt{"n", n},
&la_.IOpt{"k", n}, &la_.IOpt{"ldb", n}, &la_.IOpt{"ldc", n},
&la_.IOpt{"offsetC", ind + i*x.Rows()})
if err != nil {
//fmt.Printf("8. Syr2kFloat: %v\n", err)
return
}
}
}
ind += n * n
}
//if ! checkpnt.MinorEmpty() {
// checkpnt.Check("030scale", minor)
//}
return
}
// The product x := (y o x). If diag is 'D', the 's' part of y is
// diagonal and only the diagonal is stored.
func sprod(x, y *matrix.FloatMatrix, dims *sets.DimensionSet, mnl int, opts ...la_.Option) (err error) {
err = nil
diag := la_.GetStringOpt("diag", "N", opts...)
// For the nonlinear and 'l' blocks:
//
// yk o xk = yk .* xk.
ind := mnl + dims.At("l")[0]
err = blas.Tbmv(y, x, &la_.IOpt{"n", ind}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1})
if err != nil {
return
}
//fmt.Printf("Sprod l:x=\n%v\n", x)
// For 'q' blocks:
//
// [ l0 l1' ]
// yk o xk = [ ] * xk
// [ l1 l0*I ]
//
// where yk = (l0, l1).
for _, m := range dims.At("q") {
dd := blas.DotFloat(x, y, &la_.IOpt{"offsetx", ind}, &la_.IOpt{"offsety", ind},
&la_.IOpt{"n", m})
//fmt.Printf("dd=%v\n", dd)
alpha := y.GetIndex(ind)
//fmt.Printf("scal=%v\n", alpha)
blas.ScalFloat(x, alpha, &la_.IOpt{"offset", ind + 1}, &la_.IOpt{"n", m - 1})
alpha = x.GetIndex(ind)
//fmt.Printf("axpy=%v\n", alpha)
blas.AxpyFloat(y, x, alpha, &la_.IOpt{"offsetx", ind + 1}, &la_.IOpt{"offsety", ind + 1},
&la_.IOpt{"n", m - 1})
x.SetIndex(ind, dd)
ind += m
}
//fmt.Printf("Sprod q :x=\n%v\n", x)
// For the 's' blocks:
//
// yk o sk = .5 * ( Yk * mat(xk) + mat(xk) * Yk )
//
// where Yk = mat(yk) if diag is 'N' and Yk = diag(yk) if diag is 'D'.
if diag[0] == 'N' {
// DEBUGGED
maxm := maxdim(dims.At("s"))
A := matrix.FloatZeros(maxm, maxm)
for _, m := range dims.At("s") {
blas.Copy(x, A, &la_.IOpt{"offsetx", ind}, &la_.IOpt{"n", m * m})
for i := 0; i < m-1; i++ { // i < m-1 --> i < m
symm(A, m, 0)
symm(y, m, ind)
}
err = blas.Syr2kFloat(A, y, x, 0.5, 0.0, &la_.IOpt{"n", m}, &la_.IOpt{"k", m},
&la_.IOpt{"lda", m}, &la_.IOpt{"ldb", m}, &la_.IOpt{"ldc", m},
&la_.IOpt{"offsetb", ind}, &la_.IOpt{"offsetc", ind})
if err != nil {
return
}
ind += m * m
}
//fmt.Printf("Sprod diag=N s:x=\n%v\n", x)
} else {
ind2 := ind
for _, m := range dims.At("s") {
for i := 0; i < m; i++ {
// original: u = 0.5 * ( y[ind2+i:ind2+m] + y[ind2+i] )
// creates matrix of elements: [ind2+i ... ind2+m] then
// element wisely adds y[ind2+i] and scales by 0.5
iset := matrix.MakeIndexSet(ind2+i, ind2+m, 1)
u := matrix.FloatVector(y.GetIndexes(iset...))
u.Add(y.GetIndex(ind2 + i))
u.Scale(0.5)
err = blas.Tbmv(u, x, &la_.IOpt{"n", m - i}, &la_.IOpt{"k", 0}, &la_.IOpt{"lda", 1},
&la_.IOpt{"offsetx", ind + i*(m+1)})
if err != nil {
return
}
}
ind += m * m
ind2 += m
}
//fmt.Printf("Sprod diag=T s:x=\n%v\n", x)
}
return
}
func coneqp_solver(P MatrixVarP, q MatrixVariable, G MatrixVarG, h *matrix.FloatMatrix,
A MatrixVarA, b MatrixVariable, dims *sets.DimensionSet, kktsolver KKTConeSolverVar,
solopts *SolverOptions, initvals *sets.FloatMatrixSet) (sol *Solution, err error) {
err = nil
EXPON := 3
STEP := 0.99
sol = &Solution{Unknown,
nil,
0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0}
//var kktsolver func(*sets.FloatMatrixSet)(KKTFunc, error) = nil
var refinement int
var correction bool = true
feasTolerance := FEASTOL
absTolerance := ABSTOL
relTolerance := RELTOL
maxIter := MAXITERS
if solopts.FeasTol > 0.0 {
feasTolerance = solopts.FeasTol
}
if solopts.AbsTol > 0.0 {
absTolerance = solopts.AbsTol
}
if solopts.RelTol > 0.0 {
relTolerance = solopts.RelTol
}
if solopts.MaxIter > 0 {
maxIter = solopts.MaxIter
}
if q == nil {
err = errors.New("'q' must be non-nil MatrixVariable with one column")
return
}
if h == nil {
h = matrix.FloatZeros(0, 1)
}
if h.Cols() != 1 {
err = errors.New("'h' must be non-nil matrix with one column")
return
}
if dims == nil {
dims = sets.NewDimensionSet("l", "q", "s")
dims.Set("l", []int{h.Rows()})
}
err = checkConeQpDimensions(dims)
if err != nil {
return
}
cdim := dims.Sum("l", "q") + dims.SumSquared("s")
//cdim_pckd := dims.Sum("l", "q") + dims.SumPacked("s")
cdim_diag := dims.Sum("l", "q", "s")
if h.Rows() != cdim {
err = errors.New(fmt.Sprintf("'h' must be float matrix of size (%d,1)", cdim))
return
}
// Data for kth 'q' constraint are found in rows indq[k]:indq[k+1] of G.
indq := make([]int, 0)
indq = append(indq, dims.At("l")[0])
for _, k := range dims.At("q") {
indq = append(indq, indq[len(indq)-1]+k)
}
// Data for kth 's' constraint are found in rows inds[k]:inds[k+1] of G.
inds := make([]int, 0)
inds = append(inds, indq[len(indq)-1])
for _, k := range dims.At("s") {
inds = append(inds, inds[len(inds)-1]+k*k)
}
if P == nil {
err = errors.New("'P' must be non-nil MatrixVarP interface.")
return
}
fP := func(u, v MatrixVariable, alpha, beta float64) error {
return P.Pf(u, v, alpha, beta)
}
if G == nil {
err = errors.New("'G' must be non-nil MatrixG interface.")
return
}
fG := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
return G.Gf(x, y, alpha, beta, trans)
}
// Check A and set defaults if it is nil
fA := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
return A.Af(x, y, alpha, beta, trans)
}
// Check b and set defaults if it is nil
if b == nil {
err = errors.New("'b' must be non-nil MatrixVariable interface.")
return
}
// kktsolver(W) returns a routine for solving 3x3 block KKT system
//
// [ 0 A' G'*W^{-1} ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ by ].
// [ G 0 -W' ] [ uz ] [ bz ]
if kktsolver == nil {
err = errors.New("nil kktsolver not allowed.")
return
}
ws3 := matrix.FloatZeros(cdim, 1)
wz3 := matrix.FloatZeros(cdim, 1)
checkpnt.AddMatrixVar("ws3", ws3)
checkpnt.AddMatrixVar("wz3", wz3)
//
res := func(ux, uy MatrixVariable, uz, us *matrix.FloatMatrix, vx, vy MatrixVariable, vz, vs *matrix.FloatMatrix, W *sets.FloatMatrixSet, lmbda *matrix.FloatMatrix) (err error) {
// Evaluates residual in Newton equations:
//
// [ vx ] [ vx ] [ 0 ] [ P A' G' ] [ ux ]
// [ vy ] := [ vy ] - [ 0 ] - [ A 0 0 ] * [ uy ]
// [ vz ] [ vz ] [ W'*us ] [ G 0 0 ] [ W^{-1}*uz ]
//
// vs := vs - lmbda o (uz + us).
// vx := vx - P*ux - A'*uy - G'*W^{-1}*uz
minor := checkpnt.MinorTop()
checkpnt.Check("00res", minor)
fP(ux, vx, -1.0, 1.0)
fA(uy, vx, -1.0, 1.0, la.OptTrans)
blas.Copy(uz, wz3)
scale(wz3, W, true, false)
fG(&matrixVar{wz3}, vx, -1.0, 1.0, la.OptTrans)
// vy := vy - A*ux
fA(ux, vy, -1.0, 1.0, la.OptNoTrans)
checkpnt.Check("50res", minor)
// vz := vz - G*ux - W'*us
fG(ux, &matrixVar{vz}, -1.0, 1.0, la.OptNoTrans)
blas.Copy(us, ws3)
scale(ws3, W, true, false)
blas.AxpyFloat(ws3, vz, -1.0)
// vs := vs - lmbda o (uz + us)
blas.Copy(us, ws3)
blas.AxpyFloat(uz, ws3, 1.0)
sprod(ws3, lmbda, dims, 0, la.OptDiag)
blas.AxpyFloat(ws3, vs, -1.0)
checkpnt.Check("90res", minor)
return
}
resx0 := math.Max(1.0, math.Sqrt(q.Dot(q)))
resy0 := math.Max(1.0, math.Sqrt(b.Dot(b)))
resz0 := math.Max(1.0, snrm2(h, dims, 0))
//fmt.Printf("resx0: %.17f, resy0: %.17f, resz0: %.17f\n", resx0, resy0, resz0)
var x, y, dx, dy, rx, ry MatrixVariable
var z, s, ds, dz, rz *matrix.FloatMatrix
var lmbda, lmbdasq, sigs, sigz *matrix.FloatMatrix
var W *sets.FloatMatrixSet
var f, f3 KKTFuncVar
var resx, resy, resz, step, sigma, mu, eta float64
var gap, pcost, dcost, relgap, pres, dres, f0 float64
if cdim == 0 {
// Solve
//
// [ P A' ] [ x ] [ -q ]
// [ ] [ ] = [ ].
// [ A 0 ] [ y ] [ b ]
//
Wtmp := sets.NewFloatSet("d", "di", "beta", "v", "r", "rti")
Wtmp.Set("d", matrix.FloatZeros(0, 1))
Wtmp.Set("di", matrix.FloatZeros(0, 1))
f3, err = kktsolver(Wtmp)
if err != nil {
s := fmt.Sprintf("kkt error: %s", err)
err = errors.New("2: Rank(A) < p or Rank(([P; A; G;]) < n : " + s)
return
}
x = q.Copy()
x.Scal(0.0)
y = b.Copy()
f3(x, y, matrix.FloatZeros(0, 1))
// dres = || P*x + q + A'*y || / resx0
rx = q.Copy()
fP(x, rx, 1.0, 1.0)
pcost = 0.5 * (x.Dot(rx) + x.Dot(q))
fA(y, rx, 1.0, 1.0, la.OptTrans)
dres = math.Sqrt(rx.Dot(rx) / resx0)
ry = b.Copy()
fA(x, ry, 1.0, -1.0, la.OptNoTrans)
pres = math.Sqrt(ry.Dot(ry) / resy0)
relgap = 0.0
if pcost == 0.0 {
relgap = math.NaN()
}
sol.Result = sets.NewFloatSet("x", "y", "s", "z")
sol.Result.Set("x", x.Matrix())
sol.Result.Set("y", y.Matrix())
sol.Result.Set("s", matrix.FloatZeros(0, 1))
sol.Result.Set("z", matrix.FloatZeros(0, 1))
sol.Status = Optimal
sol.Gap = 0.0
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = pcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = 0.0
sol.DualSlack = 0.0
return
}
x = q.Copy()
y = b.Copy()
s = matrix.FloatZeros(cdim, 1)
z = matrix.FloatZeros(cdim, 1)
checkpnt.AddVerifiable("x", x)
checkpnt.AddVerifiable("y", y)
checkpnt.AddMatrixVar("s", s)
checkpnt.AddMatrixVar("z", z)
var ts, tz, nrms, nrmz float64
if initvals == nil {
// Factor
//
// [ 0 A' G' ]
// [ A 0 0 ].
// [ G 0 -I ]
//
W = sets.NewFloatSet("d", "di", "v", "beta", "r", "rti")
W.Set("d", matrix.FloatOnes(dims.At("l")[0], 1))
W.Set("di", matrix.FloatOnes(dims.At("l")[0], 1))
W.Set("beta", matrix.FloatOnes(len(dims.At("q")), 1))
for _, n := range dims.At("q") {
vm := matrix.FloatZeros(n, 1)
vm.SetIndex(0, 1.0)
W.Append("v", vm)
}
for _, n := range dims.At("s") {
W.Append("r", matrix.FloatIdentity(n))
W.Append("rti", matrix.FloatIdentity(n))
}
checkpnt.AddScaleVar(W)
f, err = kktsolver(W)
if err != nil {
s := fmt.Sprintf("kkt error: %s", err)
err = errors.New("3: Rank(A) < p or Rank([P; G; A]) < n : " + s)
return
}
// Solve
//
// [ P A' G' ] [ x ] [ -q ]
// [ A 0 0 ] * [ y ] = [ b ].
// [ G 0 -I ] [ z ] [ h ]
mCopy(q, x)
x.Scal(-1.0)
mCopy(b, y)
blas.Copy(h, z)
checkpnt.Check("00init", 1)
err = f(x, y, z)
if err != nil {
s := fmt.Sprintf("kkt error: %s", err)
err = errors.New("4: Rank(A) < p or Rank([P; G; A]) < n : " + s)
return
}
blas.Copy(z, s)
blas.ScalFloat(s, -1.0)
checkpnt.Check("05init", 1)
nrms = snrm2(s, dims, 0)
ts, _ = maxStep(s, dims, 0, nil)
//fmt.Printf("nrms = %.7f, ts = %.7f\n", nrms, ts)
if ts >= -1e-8*math.Max(nrms, 1.0) {
// a = 1.0 + ts
a := 1.0 + ts
is := make([]int, 0)
// indexes s[:dims['l']]
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
// indexes s[indq[:-1]]
is = append(is, indq[:len(indq)-1]...)
ind := dims.Sum("l", "q")
// indexes s[ind:ind+m*m:m+1] (diagonal)
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range is {
s.SetIndex(k, a+s.GetIndex(k))
}
}
nrmz = snrm2(z, dims, 0)
tz, _ = maxStep(z, dims, 0, nil)
//fmt.Printf("nrmz = %.7f, tz = %.7f\n", nrmz, tz)
if tz >= -1e-8*math.Max(nrmz, 1.0) {
a := 1.0 + tz
is := make([]int, 0)
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
is = append(is, indq[:len(indq)-1]...)
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range is {
z.SetIndex(k, a+z.GetIndex(k))
}
}
} else {
ix := initvals.At("x")[0]
if ix != nil {
mCopy(&matrixVar{ix}, x)
} else {
x.Scal(0.0)
}
is := initvals.At("s")[0]
if is != nil {
blas.Copy(is, s)
} else {
iset := make([]int, 0)
iset = append(iset, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
iset = append(iset, indq[:len(indq)-1]...)
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
iset = append(iset, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range iset {
s.SetIndex(k, 1.0)
}
}
iy := initvals.At("y")[0]
if iy != nil {
mCopy(&matrixVar{iy}, y)
} else {
y.Scal(0.0)
}
iz := initvals.At("z")[0]
if iz != nil {
blas.Copy(iz, z)
} else {
iset := make([]int, 0)
iset = append(iset, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
iset = append(iset, indq[:len(indq)-1]...)
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
iset = append(iset, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range iset {
z.SetIndex(k, 1.0)
}
}
}
rx = q.Copy()
ry = b.Copy()
rz = matrix.FloatZeros(cdim, 1)
dx = x.Copy()
dy = y.Copy()
dz = matrix.FloatZeros(cdim, 1)
ds = matrix.FloatZeros(cdim, 1)
lmbda = matrix.FloatZeros(cdim_diag, 1)
lmbdasq = matrix.FloatZeros(cdim_diag, 1)
sigs = matrix.FloatZeros(dims.Sum("s"), 1)
sigz = matrix.FloatZeros(dims.Sum("s"), 1)
checkpnt.AddVerifiable("rx", rx)
checkpnt.AddVerifiable("ry", ry)
checkpnt.AddVerifiable("dx", dx)
checkpnt.AddVerifiable("dy", dy)
//checkpnt.AddMatrixVar("rs", rs)
checkpnt.AddMatrixVar("rz", rz)
checkpnt.AddMatrixVar("ds", ds)
checkpnt.AddMatrixVar("dz", dz)
checkpnt.AddMatrixVar("lmbda", lmbda)
checkpnt.AddMatrixVar("lmbdasq", lmbdasq)
//var resx, resy, resz, step, sigma, mu, eta float64
//var gap, pcost, dcost, relgap, pres, dres, f0 float64
checkpnt.AddFloatVar("resx", &resx)
checkpnt.AddFloatVar("resy", &resy)
checkpnt.AddFloatVar("resz", &resz)
checkpnt.AddFloatVar("step", &step)
checkpnt.AddFloatVar("gap", &gap)
checkpnt.AddFloatVar("dcost", &dcost)
checkpnt.AddFloatVar("pcost", &pcost)
checkpnt.AddFloatVar("dres", &dres)
checkpnt.AddFloatVar("pres", &pres)
checkpnt.AddFloatVar("relgap", &relgap)
checkpnt.AddFloatVar("sigma", &sigma)
var WS fVarClosure
gap = sdot(s, z, dims, 0)
for iter := 0; iter < maxIter+1; iter++ {
checkpnt.MajorNext()
checkpnt.Check("loopstart", 10)
// f0 = (1/2)*x'*P*x + q'*x + r and rx = P*x + q + A'*y + G'*z.
mCopy(q, rx)
fP(x, rx, 1.0, 1.0)
f0 = 0.5 * (x.Dot(rx) + x.Dot(q))
fA(y, rx, 1.0, 1.0, la.OptTrans)
fG(&matrixVar{z}, rx, 1.0, 1.0, la.OptTrans)
resx = math.Sqrt(rx.Dot(rx))
// ry = A*x - b
mCopy(b, ry)
fA(x, ry, 1.0, -1.0, la.OptNoTrans)
resy = math.Sqrt(ry.Dot(ry))
// rz = s + G*x - h
blas.Copy(s, rz)
blas.AxpyFloat(h, rz, -1.0)
fG(x, &matrixVar{rz}, 1.0, 1.0, la.OptNoTrans)
resz = snrm2(rz, dims, 0)
//fmt.Printf("resx: %.17f, resy: %.17f, resz: %.17f\n", resx, resy, resz)
// Statistics for stopping criteria.
// pcost = (1/2)*x'*P*x + q'*x
// dcost = (1/2)*x'*P*x + q'*x + y'*(A*x-b) + z'*(G*x-h) '
// = (1/2)*x'*P*x + q'*x + y'*(A*x-b) + z'*(G*x-h+s) - z'*s
// = (1/2)*x'*P*x + q'*x + y'*ry + z'*rz - gap
pcost = f0
dcost = f0 + y.Dot(ry) + sdot(z, rz, dims, 0) - gap
if pcost < 0.0 {
relgap = gap / -pcost
} else if dcost > 0.0 {
relgap = gap / dcost
} else {
relgap = math.NaN()
}
pres = math.Max(resy/resy0, resz/resz0)
dres = resx / resx0
if solopts.ShowProgress {
if iter == 0 {
// show headers of something
fmt.Printf("% 10s% 12s% 10s% 8s% 7s\n",
"pcost", "dcost", "gap", "pres", "dres")
}
// show something
fmt.Printf("%2d: % 8.4e % 8.4e % 4.0e% 7.0e% 7.0e\n",
iter, pcost, dcost, gap, pres, dres)
}
checkpnt.Check("stoptest", 100)
if pres <= feasTolerance && dres <= feasTolerance &&
(gap <= absTolerance || (!math.IsNaN(relgap) && relgap <= relTolerance)) ||
iter == maxIter {
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(s, m, ind)
symm(z, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, 0, nil)
tz, _ = maxStep(z, dims, 0, nil)
if iter == maxIter {
// terminated on max iterations.
sol.Status = Unknown
err = errors.New("Terminated (maximum iterations reached)")
fmt.Printf("Terminated (maximum iterations reached)\n")
return
}
// optimal solution found
//fmt.Print("Optimal solution.\n")
err = nil
sol.Result = sets.NewFloatSet("x", "y", "s", "z")
sol.Result.Set("x", x.Matrix())
sol.Result.Set("y", y.Matrix())
sol.Result.Set("s", s)
sol.Result.Set("z", z)
sol.Status = Optimal
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
sol.PrimalResidualCert = math.NaN()
sol.DualResidualCert = math.NaN()
sol.Iterations = iter
return
}
// Compute initial scaling W and scaled iterates:
//
// W * z = W^{-T} * s = lambda.
//
// lmbdasq = lambda o lambda.
if iter == 0 {
W, err = computeScaling(s, z, lmbda, dims, 0)
checkpnt.AddScaleVar(W)
}
ssqr(lmbdasq, lmbda, dims, 0)
f3, err = kktsolver(W)
if err != nil {
if iter == 0 {
s := fmt.Sprintf("kkt error: %s", err)
err = errors.New("5: Rank(A) < p or Rank([P; A; G]) < n : " + s)
return
} else {
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(s, m, ind)
symm(z, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, 0, nil)
tz, _ = maxStep(z, dims, 0, nil)
// terminated (singular KKT matrix)
fmt.Printf("Terminated (singular KKT matrix).\n")
err = errors.New("Terminated (singular KKT matrix).")
sol.Result = sets.NewFloatSet("x", "y", "s", "z")
sol.Result.Set("x", x.Matrix())
sol.Result.Set("y", y.Matrix())
sol.Result.Set("s", s)
sol.Result.Set("z", z)
sol.Status = Unknown
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
sol.Iterations = iter
return
}
}
// f4_no_ir(x, y, z, s) solves
//
// [ 0 ] [ P A' G' ] [ ux ] [ bx ]
// [ 0 ] + [ A 0 0 ] * [ uy ] = [ by ]
// [ W'*us ] [ G 0 0 ] [ W^{-1}*uz ] [ bz ]
//
// lmbda o (uz + us) = bs.
//
// On entry, x, y, z, s contain bx, by, bz, bs.
// On exit, they contain ux, uy, uz, us.
f4_no_ir := func(x, y MatrixVariable, z, s *matrix.FloatMatrix) error {
// Solve
//
// [ P A' G' ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ by ]
// [ G 0 -W'*W ] [ W^{-1}*uz ] [ bz - W'*(lmbda o\ bs) ]
//
// us = lmbda o\ bs - uz.
//
// On entry, x, y, z, s contains bx, by, bz, bs.
// On exit they contain x, y, z, s.
minor := checkpnt.MinorTop()
checkpnt.Check("f4_no_ir_start", minor)
// s := lmbda o\ s
// = lmbda o\ bs
sinv(s, lmbda, dims, 0)
// z := z - W'*s
// = bz - W'*(lambda o\ bs)
blas.Copy(s, ws3)
scale(ws3, W, true, false)
blas.AxpyFloat(ws3, z, -1.0)
checkpnt.Check("f4_no_ir_f3", minor+50)
err := f3(x, y, z)
if err != nil {
return err
}
checkpnt.Check("f4_no_ir_f3", minor+60)
// s := s - z
// = lambda o\ bs - uz.
blas.AxpyFloat(z, s, -1.0)
checkpnt.Check("f4_no_ir_f3", minor+90)
return nil
}
if iter == 0 {
if refinement > 0 || solopts.Debug {
WS.wx = q.Copy()
WS.wy = y.Copy()
WS.ws = matrix.FloatZeros(cdim, 1)
WS.wz = matrix.FloatZeros(cdim, 1)
checkpnt.AddVerifiable("wx", WS.wx)
checkpnt.AddVerifiable("wy", WS.wy)
checkpnt.AddMatrixVar("ws", WS.ws)
checkpnt.AddMatrixVar("wz", WS.wz)
}
if refinement > 0 {
WS.wx2 = q.Copy()
WS.wy2 = y.Copy()
WS.ws2 = matrix.FloatZeros(cdim, 1)
WS.wz2 = matrix.FloatZeros(cdim, 1)
checkpnt.AddVerifiable("wx2", WS.wx2)
checkpnt.AddVerifiable("wy2", WS.wy2)
checkpnt.AddMatrixVar("ws2", WS.ws2)
checkpnt.AddMatrixVar("wz2", WS.wz2)
}
}
f4 := func(x, y MatrixVariable, z, s *matrix.FloatMatrix) (err error) {
minor := checkpnt.MinorTop()
checkpnt.Check("f4start", minor)
err = nil
if refinement > 0 || solopts.Debug {
mCopy(x, WS.wx)
mCopy(y, WS.wy)
blas.Copy(z, WS.wz)
blas.Copy(s, WS.ws)
}
checkpnt.MinorPush(minor + 100)
err = f4_no_ir(x, y, z, s)
checkpnt.MinorPop()
for i := 0; i < refinement; i++ {
mCopy(WS.wx, WS.wx2)
mCopy(WS.wy, WS.wy2)
blas.Copy(WS.wz, WS.wz2)
blas.Copy(WS.ws, WS.ws2)
checkpnt.MinorPush(minor + (i+1)*300)
res(x, y, z, s, WS.wx2, WS.wy2, WS.wz2, WS.ws2, W, lmbda)
checkpnt.MinorPop()
checkpnt.MinorPush(minor + (i+1)*500)
f4_no_ir(WS.wx2, WS.wy2, WS.wz2, WS.ws2)
checkpnt.MinorPop()
WS.wx2.Axpy(x, 1.0)
WS.wy2.Axpy(y, 1.0)
blas.AxpyFloat(WS.wz2, z, 1.0)
blas.AxpyFloat(WS.ws2, s, 1.0)
}
checkpnt.Check("f4end", minor+1500)
return
}
//var mu, sigma, eta float64
mu = gap / float64(dims.Sum("l", "s")+len(dims.At("q")))
sigma, eta = 0.0, 0.0
for i := 0; i < 2; i++ {
// Solve
//
// [ 0 ] [ P A' G' ] [ dx ]
// [ 0 ] + [ A 0 0 ] * [ dy ] = -(1 - eta) * r
// [ W'*ds ] [ G 0 0 ] [ W^{-1}*dz ]
//
// lmbda o (dz + ds) = -lmbda o lmbda + sigma*mu*e (i=0)
// lmbda o (dz + ds) = -lmbda o lmbda - dsa o dza
// + sigma*mu*e (i=1) where dsa, dza
// are the solution for i=0.
minor_base := (i + 1) * 2000
// ds = -lmbdasq + sigma * mu * e (if i is 0)
// = -lmbdasq - dsa o dza + sigma * mu * e (if i is 1),
// where ds, dz are solution for i is 0.
blas.ScalFloat(ds, 0.0)
if correction && i == 1 {
blas.AxpyFloat(ws3, ds, -1.0)
}
blas.AxpyFloat(lmbdasq, ds, -1.0, &la.IOpt{"n", dims.Sum("l", "q")})
ind := dims.At("l")[0]
ds.Add(sigma*mu, matrix.MakeIndexSet(0, ind, 1)...)
for _, m := range dims.At("q") {
ds.SetIndex(ind, sigma*mu+ds.GetIndex(ind))
ind += m
}
ind2 := ind
for _, m := range dims.At("s") {
blas.AxpyFloat(lmbdasq, ds, -1.0, &la.IOpt{"n", m}, &la.IOpt{"incy", m + 1},
&la.IOpt{"offsetx", ind2}, &la.IOpt{"offsety", ind})
ds.Add(sigma*mu, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
ind2 += m
}
checkpnt.Check("00loop01", minor_base)
// (dx, dy, dz) := -(1 - eta) * (rx, ry, rz)
//blas.ScalFloat(dx, 0.0)
//blas.AxpyFloat(rx, dx, -1.0+eta)
dx.Scal(0.0)
rx.Axpy(dx, -1.0+eta)
dy.Scal(0.0)
ry.Axpy(dy, -1.0+eta)
blas.ScalFloat(dz, 0.0)
blas.AxpyFloat(rz, dz, -1.0+eta)
//fmt.Printf("== Calling f4 %d\n", i)
//fmt.Printf("dx=\n%v\n", dx.ToString("%.17f"))
//fmt.Printf("ds=\n%v\n", ds.ToString("%.17f"))
//fmt.Printf("dz=\n%v\n", dz.ToString("%.17f"))
//fmt.Printf("== Entering f4 %d\n", i)
checkpnt.MinorPush(minor_base)
err = f4(dx, dy, dz, ds)
checkpnt.MinorPop()
if err != nil {
if iter == 0 {
s := fmt.Sprintf("kkt error: %s", err)
err = errors.New("6: Rank(A) < p or Rank([P; A; G]) < n : " + s)
return
} else {
ind = dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(s, m, ind)
symm(z, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, 0, nil)
tz, _ = maxStep(z, dims, 0, nil)
return
}
}
dsdz := sdot(ds, dz, dims, 0)
if correction && i == 0 {
blas.Copy(ds, ws3)
sprod(ws3, dz, dims, 0)
}
// Maximum step to boundary.
//
// If i is 1, also compute eigenvalue decomposition of the 's'
// blocks in ds, dz. The eigenvectors Qs, Qz are stored in
// dsk, dzk. The eigenvalues are stored in sigs, sigz.
scale2(lmbda, ds, dims, 0, false)
scale2(lmbda, dz, dims, 0, false)
checkpnt.Check("maxstep", minor_base+1500)
if i == 0 {
ts, _ = maxStep(ds, dims, 0, nil)
tz, _ = maxStep(dz, dims, 0, nil)
} else {
ts, _ = maxStep(ds, dims, 0, sigs)
tz, _ = maxStep(dz, dims, 0, sigz)
}
t := maxvec([]float64{0.0, ts, tz})
//fmt.Printf("== t=%.17f from %v\n", t, []float64{ts, tz})
if t == 0.0 {
step = 1.0
} else {
if i == 0 {
step = math.Min(1.0, 1.0/t)
} else {
step = math.Min(1.0, STEP/t)
}
}
if i == 0 {
m := math.Max(0.0, 1.0-step+dsdz/gap*(step*step))
sigma = math.Pow(math.Min(1.0, m), float64(EXPON))
eta = 0.0
}
//fmt.Printf("== step=%.17f sigma=%.17f dsdz=%.17f\n", step, sigma, dsdz)
}
checkpnt.Check("updatexy", 8000)
dx.Axpy(x, step)
dy.Axpy(y, step)
//fmt.Printf("x=\n%v\n", x.ConvertToString())
//fmt.Printf("y=\n%v\n", y.ConvertToString())
//fmt.Printf("ds=\n%v\n", ds.ConvertToString())
//fmt.Printf("dz=\n%v\n", dz.ConvertToString())
// We will now replace the 'l' and 'q' blocks of ds and dz with
// the updated iterates in the current scaling.
// We also replace the 's' blocks of ds and dz with the factors
// Ls, Lz in a factorization Ls*Ls', Lz*Lz' of the updated variables
// in the current scaling.
// ds := e + step*ds for nonlinear, 'l' and 'q' blocks.
// dz := e + step*dz for nonlinear, 'l' and 'q' blocks.
blas.ScalFloat(ds, step, &la.IOpt{"n", dims.Sum("l", "q")})
blas.ScalFloat(dz, step, &la.IOpt{"n", dims.Sum("l", "q")})
ind := dims.At("l")[0]
is := matrix.MakeIndexSet(0, ind, 1)
ds.Add(1.0, is...)
dz.Add(1.0, is...)
for _, m := range dims.At("q") {
ds.SetIndex(ind, 1.0+ds.GetIndex(ind))
dz.SetIndex(ind, 1.0+dz.GetIndex(ind))
ind += m
}
checkpnt.Check("updatedsdz", 8010)
// ds := H(lambda)^{-1/2} * ds and dz := H(lambda)^{-1/2} * dz.
//
// This replaces the 'l' and 'q' components of ds and dz with the
// updated variables in the current scaling.
// The 's' components of ds and dz are replaced with
//
// diag(lmbda_k)^{1/2} * Qs * diag(lmbda_k)^{1/2}
// diag(lmbda_k)^{1/2} * Qz * diag(lmbda_k)^{1/2}
scale2(lmbda, ds, dims, 0, true)
scale2(lmbda, dz, dims, 0, true)
checkpnt.Check("scale2", 8030)
// sigs := ( e + step*sigs ) ./ lambda for 's' blocks.
// sigz := ( e + step*sigz ) ./ lambda for 's' blocks.
blas.ScalFloat(sigs, step)
blas.ScalFloat(sigz, step)
sigs.Add(1.0)
sigz.Add(1.0)
sdimsum := dims.Sum("s")
qdimsum := dims.Sum("l", "q")
blas.TbsvFloat(lmbda, sigs, &la.IOpt{"n", sdimsum}, &la.IOpt{"k", 0},
&la.IOpt{"lda", 1}, &la.IOpt{"offseta", qdimsum})
blas.TbsvFloat(lmbda, sigz, &la.IOpt{"n", sdimsum}, &la.IOpt{"k", 0},
&la.IOpt{"lda", 1}, &la.IOpt{"offseta", qdimsum})
ind2 := qdimsum
ind3 := 0
sdims := dims.At("s")
for k := 0; k < len(sdims); k++ {
m := sdims[k]
for i := 0; i < m; i++ {
a := math.Sqrt(sigs.GetIndex(ind3 + i))
blas.ScalFloat(ds, a, &la.IOpt{"offset", ind2 + m*i}, &la.IOpt{"n", m})
a = math.Sqrt(sigz.GetIndex(ind3 + i))
blas.ScalFloat(dz, a, &la.IOpt{"offset", ind2 + m*i}, &la.IOpt{"n", m})
}
ind2 += m * m
ind3 += m
}
checkpnt.Check("updatescaling", 8050)
err = updateScaling(W, lmbda, ds, dz)
checkpnt.Check("afterscaling", 8060)
// Unscale s, z, tau, kappa (unscaled variables are used only to
// compute feasibility residuals).
ind = dims.Sum("l", "q")
ind2 = ind
blas.Copy(lmbda, s, &la.IOpt{"n", ind})
for _, m := range dims.At("s") {
blas.ScalFloat(s, 0.0, &la.IOpt{"offset", ind2})
blas.Copy(lmbda, s, &la.IOpt{"offsetx", ind}, &la.IOpt{"offsety", ind2},
&la.IOpt{"n", m}, &la.IOpt{"incy", m + 1})
ind += m
ind2 += m * m
}
scale(s, W, true, false)
ind = dims.Sum("l", "q")
ind2 = ind
blas.Copy(lmbda, z, &la.IOpt{"n", ind})
for _, m := range dims.At("s") {
blas.ScalFloat(z, 0.0, &la.IOpt{"offset", ind2})
blas.Copy(lmbda, z, &la.IOpt{"offsetx", ind}, &la.IOpt{"offsety", ind2},
&la.IOpt{"n", m}, &la.IOpt{"incy", m + 1})
ind += m
ind2 += m * m
}
scale(z, W, false, true)
gap = blas.DotFloat(lmbda, lmbda)
checkpnt.Check("eol", 8900)
//fmt.Printf("== gap = %.17f\n", gap)
}
return
}
func conelp_solver(c MatrixVariable, G MatrixVarG, h *matrix.FloatMatrix,
A MatrixVarA, b MatrixVariable, dims *sets.DimensionSet, kktsolver KKTConeSolverVar,
solopts *SolverOptions, primalstart, dualstart *sets.FloatMatrixSet) (sol *Solution, err error) {
err = nil
const EXPON = 3
const STEP = 0.99
sol = &Solution{Unknown,
nil,
0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0}
var refinement int
if solopts.Refinement > 0 {
refinement = solopts.Refinement
} else {
refinement = 0
if len(dims.At("q")) > 0 || len(dims.At("s")) > 0 {
refinement = 1
}
}
feasTolerance := FEASTOL
absTolerance := ABSTOL
relTolerance := RELTOL
maxIter := MAXITERS
if solopts.FeasTol > 0.0 {
feasTolerance = solopts.FeasTol
}
if solopts.AbsTol > 0.0 {
absTolerance = solopts.AbsTol
}
if solopts.RelTol > 0.0 {
relTolerance = solopts.RelTol
}
if solopts.MaxIter > 0 {
maxIter = solopts.MaxIter
}
if err = checkConeLpDimensions(dims); err != nil {
return
}
cdim := dims.Sum("l", "q") + dims.SumSquared("s")
//cdim_pckd := dims.Sum("l", "q") + dims.SumPacked("s")
cdim_diag := dims.Sum("l", "q", "s")
if h.Rows() != cdim {
err = errors.New(fmt.Sprintf("'h' must be float matrix of size (%d,1)", cdim))
return
}
// Data for kth 'q' constraint are found in rows indq[k]:indq[k+1] of G.
indq := make([]int, 0)
indq = append(indq, dims.At("l")[0])
for _, k := range dims.At("q") {
indq = append(indq, indq[len(indq)-1]+k)
}
// Data for kth 's' constraint are found in rows inds[k]:inds[k+1] of G.
inds := make([]int, 0)
inds = append(inds, indq[len(indq)-1])
for _, k := range dims.At("s") {
inds = append(inds, inds[len(inds)-1]+k*k)
}
Gf := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
return G.Gf(x, y, alpha, beta, trans)
}
Af := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
return A.Af(x, y, alpha, beta, trans)
}
// kktsolver(W) returns a routine for solving 3x3 block KKT system
//
// [ 0 A' G'*W^{-1} ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ by ].
// [ G 0 -W' ] [ uz ] [ bz ]
if kktsolver == nil {
err = errors.New("nil kktsolver not allowed.")
return
}
// res() evaluates residual in 5x5 block KKT system
//
// [ vx ] [ 0 ] [ 0 A' G' c ] [ ux ]
// [ vy ] [ 0 ] [-A 0 0 b ] [ uy ]
// [ vz ] += [ W'*us ] - [-G 0 0 h ] [ W^{-1}*uz ]
// [ vtau ] [ dg*ukappa ] [-c' -b' -h' 0 ] [ utau/dg ]
//
// vs += lmbda o (dz + ds)
// vkappa += lmbdg * (dtau + dkappa).
ws3 := matrix.FloatZeros(cdim, 1)
wz3 := matrix.FloatZeros(cdim, 1)
checkpnt.AddMatrixVar("ws3", ws3)
checkpnt.AddMatrixVar("wz3", wz3)
//
res := func(ux, uy MatrixVariable, uz, utau, us, ukappa *matrix.FloatMatrix,
vx, vy MatrixVariable, vz, vtau, vs, vkappa *matrix.FloatMatrix,
W *sets.FloatMatrixSet, dg float64, lmbda *matrix.FloatMatrix) (err error) {
err = nil
// vx := vx - A'*uy - G'*W^{-1}*uz - c*utau/dg
Af(uy, vx, -1.0, 1.0, la.OptTrans)
//fmt.Printf("post-Af vx=\n%v\n", vx)
blas.Copy(uz, wz3)
scale(wz3, W, false, true)
Gf(&matrixVar{wz3}, vx, -1.0, 1.0, la.OptTrans)
//blas.AxpyFloat(c, vx, -utau.Float()/dg)
c.Axpy(vx, -utau.Float()/dg)
// vy := vy + A*ux - b*utau/dg
Af(ux, vy, 1.0, 1.0, la.OptNoTrans)
//blas.AxpyFloat(b, vy, -utau.Float()/dg)
b.Axpy(vy, -utau.Float()/dg)
// vz := vz + G*ux - h*utau/dg + W'*us
Gf(ux, &matrixVar{vz}, 1.0, 1.0, la.OptNoTrans)
blas.AxpyFloat(h, vz, -utau.Float()/dg)
blas.Copy(us, ws3)
scale(ws3, W, true, false)
blas.AxpyFloat(ws3, vz, 1.0)
// vtau := vtau + c'*ux + b'*uy + h'*W^{-1}*uz + dg*ukappa
var vtauplus float64 = dg*ukappa.Float() + c.Dot(ux) +
b.Dot(uy) + sdot(h, wz3, dims, 0)
vtau.SetValue(vtau.Float() + vtauplus)
// vs := vs + lmbda o (uz + us)
blas.Copy(us, ws3)
blas.AxpyFloat(uz, ws3, 1.0)
sprod(ws3, lmbda, dims, 0, &la.SOpt{"diag", "D"})
blas.AxpyFloat(ws3, vs, 1.0)
// vkappa += vkappa + lmbdag * (utau + ukappa)
lscale := lmbda.GetIndex(-1)
var vkplus float64 = lscale * (utau.Float() + ukappa.Float())
vkappa.SetValue(vkappa.Float() + vkplus)
return
}
resx0 := math.Max(1.0, math.Sqrt(c.Dot(c)))
resy0 := math.Max(1.0, math.Sqrt(b.Dot(b)))
resz0 := math.Max(1.0, snrm2(h, dims, 0))
// select initial points
//fmt.Printf("** initial resx0=%.4f, resy0=%.4f, resz0=%.4f \n", resx0, resy0, resz0)
x := c.Copy()
//blas.ScalFloat(x, 0.0)
x.Scal(0.0)
y := b.Copy()
//blas.ScalFloat(y, 0.0)
y.Scal(0.0)
s := matrix.FloatZeros(cdim, 1)
z := matrix.FloatZeros(cdim, 1)
dx := c.Copy()
dy := b.Copy()
ds := matrix.FloatZeros(cdim, 1)
dz := matrix.FloatZeros(cdim, 1)
// these are singleton matrix
dkappa := matrix.FloatValue(0.0)
dtau := matrix.FloatValue(0.0)
checkpnt.AddVerifiable("x", x)
checkpnt.AddMatrixVar("s", s)
checkpnt.AddMatrixVar("z", z)
checkpnt.AddVerifiable("dx", dx)
checkpnt.AddMatrixVar("ds", ds)
checkpnt.AddMatrixVar("dz", dz)
checkpnt.Check("00init", 1)
var W *sets.FloatMatrixSet
var f KKTFuncVar
if primalstart == nil || dualstart == nil {
// Factor
//
// [ 0 A' G' ]
// [ A 0 0 ].
// [ G 0 -I ]
//
W = sets.NewFloatSet("d", "di", "v", "beta", "r", "rti")
dd := dims.At("l")[0]
mat := matrix.FloatOnes(dd, 1)
W.Set("d", mat)
mat = matrix.FloatOnes(dd, 1)
W.Set("di", mat)
dq := len(dims.At("q"))
W.Set("beta", matrix.FloatOnes(dq, 1))
for _, n := range dims.At("q") {
vm := matrix.FloatZeros(n, 1)
vm.SetIndex(0, 1.0)
W.Append("v", vm)
}
for _, n := range dims.At("s") {
W.Append("r", matrix.FloatIdentity(n))
W.Append("rti", matrix.FloatIdentity(n))
}
f, err = kktsolver(W)
if err != nil {
fmt.Printf("kktsolver error: %s\n", err)
return
}
checkpnt.AddScaleVar(W)
}
checkpnt.Check("05init", 5)
if primalstart == nil {
// minimize || G * x - h ||^2
// subject to A * x = b
//
// by solving
//
// [ 0 A' G' ] [ x ] [ 0 ]
// [ A 0 0 ] * [ dy ] = [ b ].
// [ G 0 -I ] [ -s ] [ h ]
//blas.ScalFloat(x, 0.0)
//blas.CopyFloat(b, dy)
checkpnt.MinorPush(5)
x.Scal(0.0)
mCopy(b, dy)
blas.CopyFloat(h, s)
err = f(x, dy, s)
if err != nil {
fmt.Printf("f(x,dy,s): %s\n", err)
return
}
blas.ScalFloat(s, -1.0)
//fmt.Printf("initial s=\n%v\n", s.ToString("%.5f"))
checkpnt.MinorPop()
} else {
mCopy(&matrixVar{primalstart.At("x")[0]}, x)
blas.Copy(primalstart.At("s")[0], s)
}
// ts = min{ t | s + t*e >= 0 }
ts, _ := maxStep(s, dims, 0, nil)
if ts >= 0 && primalstart != nil {
err = errors.New("initial s is not positive")
return
}
//fmt.Printf("initial ts=%.5f\n", ts)
checkpnt.Check("10init", 10)
if dualstart == nil {
// minimize || z ||^2
// subject to G'*z + A'*y + c = 0
//
// by solving
//
// [ 0 A' G' ] [ dx ] [ -c ]
// [ A 0 0 ] [ y ] = [ 0 ].
// [ G 0 -I ] [ z ] [ 0 ]
//blas.Copy(c, dx)
//blas.ScalFloat(dx, -1.0)
//blas.ScalFloat(y, 0.0)
checkpnt.MinorPush(10)
mCopy(c, dx)
dx.Scal(-1.0)
y.Scal(0.0)
blas.ScalFloat(z, 0.0)
err = f(dx, y, z)
if err != nil {
fmt.Printf("f(dx,y,z): %s\n", err)
return
}
//fmt.Printf("initial z=\n%v\n", z.ToString("%.5f"))
checkpnt.MinorPop()
} else {
if len(dualstart.At("y")) > 0 {
mCopy(&matrixVar{dualstart.At("y")[0]}, y)
}
blas.Copy(dualstart.At("z")[0], z)
}
// ts = min{ t | z + t*e >= 0 }
tz, _ := maxStep(z, dims, 0, nil)
if tz >= 0 && dualstart != nil {
err = errors.New("initial z is not positive")
return
}
//fmt.Printf("initial tz=%.5f\n", tz)
nrms := snrm2(s, dims, 0)
nrmz := snrm2(z, dims, 0)
gap := 0.0
pcost := 0.0
dcost := 0.0
relgap := 0.0
checkpnt.Check("20init", 0)
if primalstart == nil && dualstart == nil {
gap = sdot(s, z, dims, 0)
pcost = c.Dot(x)
dcost = -b.Dot(y) - sdot(h, z, dims, 0)
if pcost < 0.0 {
relgap = gap / -pcost
} else if dcost > 0.0 {
relgap = gap / dcost
} else {
relgap = math.NaN()
}
if ts <= 0 && tz < 0 &&
(gap <= absTolerance || (!math.IsNaN(relgap) && relgap <= relTolerance)) {
// Constructed initial points happen to be feasible and optimal
ind := dims.At("l")[0] + dims.Sum("q")
for _, m := range dims.At("s") {
symm(s, m, ind)
symm(z, m, ind)
ind += m * m
}
// rx = A'*y + G'*z + c
rx := c.Copy()
Af(y, rx, 1.0, 1.0, la.OptTrans)
Gf(&matrixVar{z}, rx, 1.0, 1.0, la.OptTrans)
resx := math.Sqrt(rx.Dot(rx))
// ry = b - A*x
ry := b.Copy()
Af(x, ry, -1.0, -1.0, la.OptNoTrans)
resy := math.Sqrt(ry.Dot(ry))
// rz = s + G*x - h
rz := matrix.FloatZeros(cdim, 1)
Gf(x, &matrixVar{rz}, 1.0, 0.0, la.OptNoTrans)
blas.AxpyFloat(s, rz, 1.0)
blas.AxpyFloat(h, rz, -1.0)
resz := snrm2(rz, dims, 0)
pres := math.Max(resy/resy0, resz/resz0)
dres := resx / resx0
cx := c.Dot(x)
by := b.Dot(y)
hz := sdot(h, z, dims, 0)
//sol.X = x; sol.Y = y; sol.S = s; sol.Z = z
sol.Result = sets.NewFloatSet("x", "y", "s", "x")
sol.Result.Append("x", x.Matrix())
sol.Result.Append("y", y.Matrix())
sol.Result.Append("s", s)
sol.Result.Append("z", z)
sol.Status = Optimal
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = cx
sol.DualObjective = -(by + hz)
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
return
}
if ts >= -1e-8*math.Max(nrms, 1.0) {
a := 1.0 + ts
is := make([]int, 0)
// indexes s[:dims['l']]
if dims.At("l")[0] > 0 {
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
}
// indexes s[indq[:-1]]
if len(indq) > 1 {
is = append(is, indq[:len(indq)-1]...)
}
// indexes s[ind:ind+m*m:m+1] (diagonal)
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range is {
s.SetIndex(k, a+s.GetIndex(k))
}
}
if tz >= -1e-8*math.Max(nrmz, 1.0) {
a := 1.0 + tz
is := make([]int, 0)
// indexes z[:dims['l']]
if dims.At("l")[0] > 0 {
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
}
// indexes z[indq[:-1]]
if len(indq) > 1 {
is = append(is, indq[:len(indq)-1]...)
}
// indexes z[ind:ind+m*m:m+1] (diagonal)
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range is {
z.SetIndex(k, a+z.GetIndex(k))
}
}
} else if primalstart == nil && dualstart != nil {
if ts >= -1e-8*math.Max(nrms, 1.0) {
a := 1.0 + ts
is := make([]int, 0)
if dims.At("l")[0] > 0 {
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
}
if len(indq) > 1 {
is = append(is, indq[:len(indq)-1]...)
}
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range is {
s.SetIndex(k, a+s.GetIndex(k))
}
}
} else if primalstart != nil && dualstart == nil {
if tz >= -1e-8*math.Max(nrmz, 1.0) {
a := 1.0 + tz
is := make([]int, 0)
if dims.At("l")[0] > 0 {
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
}
if len(indq) > 1 {
is = append(is, indq[:len(indq)-1]...)
}
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
for _, k := range is {
z.SetIndex(k, a+z.GetIndex(k))
}
}
}
tau := matrix.FloatValue(1.0)
kappa := matrix.FloatValue(1.0)
wkappa3 := matrix.FloatValue(0.0)
rx := c.Copy()
hrx := c.Copy()
ry := b.Copy()
hry := b.Copy()
rz := matrix.FloatZeros(cdim, 1)
hrz := matrix.FloatZeros(cdim, 1)
sigs := matrix.FloatZeros(dims.Sum("s"), 1)
sigz := matrix.FloatZeros(dims.Sum("s"), 1)
lmbda := matrix.FloatZeros(cdim_diag+1, 1)
lmbdasq := matrix.FloatZeros(cdim_diag+1, 1)
gap = sdot(s, z, dims, 0)
var x1, y1 MatrixVariable
var z1 *matrix.FloatMatrix
var dg, dgi float64
var th *matrix.FloatMatrix
var WS fVarClosure
var f3 KKTFuncVar
var cx, by, hz, rt float64
var hresx, resx, hresy, resy, hresz, resz float64
var dres, pres, dinfres, pinfres float64
// check point variables
checkpnt.AddMatrixVar("lmbda", lmbda)
checkpnt.AddMatrixVar("lmbdasq", lmbdasq)
checkpnt.AddVerifiable("rx", rx)
checkpnt.AddVerifiable("ry", ry)
checkpnt.AddMatrixVar("rz", rz)
checkpnt.AddFloatVar("resx", &resx)
checkpnt.AddFloatVar("resy", &resy)
checkpnt.AddFloatVar("resz", &resz)
checkpnt.AddFloatVar("hresx", &hresx)
checkpnt.AddFloatVar("hresy", &hresy)
checkpnt.AddFloatVar("hresz", &hresz)
checkpnt.AddFloatVar("cx", &cx)
checkpnt.AddFloatVar("by", &by)
checkpnt.AddFloatVar("hz", &hz)
checkpnt.AddFloatVar("gap", &gap)
checkpnt.AddFloatVar("pres", &pres)
checkpnt.AddFloatVar("dres", &dres)
for iter := 0; iter < maxIter+1; iter++ {
checkpnt.MajorNext()
checkpnt.Check("loop-start", 100)
// hrx = -A'*y - G'*z
Af(y, hrx, -1.0, 0.0, la.OptTrans)
Gf(&matrixVar{z}, hrx, -1.0, 1.0, la.OptTrans)
hresx = math.Sqrt(hrx.Dot(hrx))
// rx = hrx - c*tau
// = -A'*y - G'*z - c*tau
mCopy(hrx, rx)
c.Axpy(rx, -tau.Float())
resx = math.Sqrt(rx.Dot(rx)) / tau.Float()
// hry = A*x
Af(x, hry, 1.0, 0.0, la.OptNoTrans)
hresy = math.Sqrt(hry.Dot(hry))
// ry = hry - b*tau
// = A*x - b*tau
mCopy(hry, ry)
b.Axpy(ry, -tau.Float())
resy = math.Sqrt(ry.Dot(ry)) / tau.Float()
// hrz = s + G*x
Gf(x, &matrixVar{hrz}, 1.0, 0.0, la.OptNoTrans)
blas.AxpyFloat(s, hrz, 1.0)
hresz = snrm2(hrz, dims, 0)
// rz = hrz - h*tau
// = s + G*x - h*tau
blas.ScalFloat(rz, 0.0)
blas.AxpyFloat(hrz, rz, 1.0)
blas.AxpyFloat(h, rz, -tau.Float())
resz = snrm2(rz, dims, 0) / tau.Float()
// rt = kappa + c'*x + b'*y + h'*z '
cx = c.Dot(x)
by = b.Dot(y)
hz = sdot(h, z, dims, 0)
rt = kappa.Float() + cx + by + hz
// Statistics for stopping criteria
pcost = cx / tau.Float()
dcost = -(by + hz) / tau.Float()
if pcost < 0.0 {
relgap = gap / -pcost
} else if dcost > 0.0 {
relgap = gap / dcost
} else {
relgap = math.NaN()
}
pres = math.Max(resy/resy0, resz/resz0)
dres = resx / resx0
pinfres = math.NaN()
if hz+by < 0.0 {
pinfres = hresx / resx0 / (-hz - by)
}
dinfres = math.NaN()
if cx < 0.0 {
dinfres = math.Max(hresy/resy0, hresz/resz0) / (-cx)
}
if solopts.ShowProgress {
if iter == 0 {
// show headers of something
fmt.Printf("% 10s% 12s% 10s% 8s% 7s % 5s\n",
"pcost", "dcost", "gap", "pres", "dres", "k/t")
}
// show something
fmt.Printf("%2d: % 8.4e % 8.4e % 4.0e% 7.0e% 7.0e% 7.0e\n",
iter, pcost, dcost, gap, pres, dres, kappa.GetIndex(0)/tau.GetIndex(0))
}
checkpnt.Check("isready", 200)
if (pres <= feasTolerance && dres <= feasTolerance &&
(gap <= absTolerance || (!math.IsNaN(relgap) && relgap <= relTolerance))) ||
iter == maxIter {
// done
x.Scal(1.0 / tau.Float())
y.Scal(1.0 / tau.Float())
blas.ScalFloat(s, 1.0/tau.Float())
blas.ScalFloat(z, 1.0/tau.Float())
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(s, m, ind)
symm(z, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, 0, nil)
tz, _ = maxStep(z, dims, 0, nil)
if iter == maxIter {
// MaxIterations exceeded
if solopts.ShowProgress {
fmt.Printf("No solution. Max iterations exceeded\n")
}
err = errors.New("No solution. Max iterations exceeded")
//sol.X = x; sol.Y = y; sol.S = s; sol.Z = z
sol.Result = sets.NewFloatSet("x", "y", "s", "x")
sol.Result.Append("x", x.Matrix())
sol.Result.Append("y", y.Matrix())
sol.Result.Append("s", s)
sol.Result.Append("z", z)
sol.Status = Unknown
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
sol.PrimalResidualCert = pinfres
sol.DualResidualCert = dinfres
sol.Iterations = iter
return
} else {
// Optimal
if solopts.ShowProgress {
fmt.Printf("Optimal solution.\n")
}
err = nil
//sol.X = x; sol.Y = y; sol.S = s; sol.Z = z
sol.Result = sets.NewFloatSet("x", "y", "s", "x")
sol.Result.Append("x", x.Matrix())
sol.Result.Append("y", y.Matrix())
sol.Result.Append("s", s)
sol.Result.Append("z", z)
sol.Status = Optimal
sol.Gap = gap
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
sol.PrimalResidualCert = math.NaN()
sol.DualResidualCert = math.NaN()
sol.Iterations = iter
return
}
} else if !math.IsNaN(pinfres) && pinfres <= feasTolerance {
// Primal Infeasible
if solopts.ShowProgress {
fmt.Printf("Primal infeasible.\n")
}
err = errors.New("Primal infeasible")
y.Scal(1.0 / (-hz - by))
blas.ScalFloat(z, 1.0/(-hz-by))
//sol.X = nil; sol.Y = nil; sol.S = nil; sol.Z = nil
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(z, m, ind)
ind += m * m
}
tz, _ = maxStep(z, dims, 0, nil)
sol.Status = PrimalInfeasible
sol.Result = sets.NewFloatSet("x", "y", "s", "x")
sol.Result.Append("x", nil)
sol.Result.Append("y", nil)
sol.Result.Append("s", nil)
sol.Result.Append("z", nil)
sol.Gap = math.NaN()
sol.RelativeGap = math.NaN()
sol.PrimalObjective = math.NaN()
sol.DualObjective = 1.0
sol.PrimalInfeasibility = math.NaN()
sol.DualInfeasibility = math.NaN()
sol.PrimalSlack = math.NaN()
sol.DualSlack = -tz
sol.PrimalResidualCert = pinfres
sol.DualResidualCert = math.NaN()
sol.Iterations = iter
return
} else if !math.IsNaN(dinfres) && dinfres <= feasTolerance {
// Dual Infeasible
if solopts.ShowProgress {
fmt.Printf("Dual infeasible.\n")
}
err = errors.New("Primal infeasible")
x.Scal(1.0 / (-cx))
blas.ScalFloat(s, 1.0/(-cx))
//sol.X = nil; sol.Y = nil; sol.S = nil; sol.Z = nil
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(s, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, 0, nil)
sol.Status = PrimalInfeasible
sol.Result = sets.NewFloatSet("x", "y", "s", "x")
sol.Result.Append("x", nil)
sol.Result.Append("y", nil)
sol.Result.Append("s", nil)
sol.Result.Append("z", nil)
sol.Gap = math.NaN()
sol.RelativeGap = math.NaN()
sol.PrimalObjective = 1.0
sol.DualObjective = math.NaN()
sol.PrimalInfeasibility = math.NaN()
sol.DualInfeasibility = math.NaN()
sol.PrimalSlack = -ts
sol.DualSlack = math.NaN()
sol.PrimalResidualCert = math.NaN()
sol.DualResidualCert = dinfres
sol.Iterations = iter
return
}
// Compute initial scaling W:
//
// W * z = W^{-T} * s = lambda
// dg * tau = 1/dg * kappa = lambdag.
if iter == 0 {
//fmt.Printf("compute scaling: lmbda=\n%v\n", lmbda.ToString("%.17f"))
//fmt.Printf("s=\n%v\n", s.ToString("%.17f"))
//fmt.Printf("z=\n%v\n", z.ToString("%.17f"))
W, err = computeScaling(s, z, lmbda, dims, 0)
checkpnt.AddScaleVar(W)
// dg = sqrt( kappa / tau )
// dgi = sqrt( tau / kappa )
// lambda_g = sqrt( tau * kappa )
//
// lambda_g is stored in the last position of lmbda.
dg = math.Sqrt(kappa.Float() / tau.Float())
dgi = math.Sqrt(float64(tau.Float() / kappa.Float()))
lmbda.SetIndex(-1, math.Sqrt(float64(tau.Float()*kappa.Float())))
//fmt.Printf("lmbda=\n%v\n", lmbda.ToString("%.17f"))
//W.Print()
checkpnt.Check("compute_scaling", 300)
}
// lmbdasq := lmbda o lmbda
ssqr(lmbdasq, lmbda, dims, 0)
lmbdasq.SetIndex(-1, lmbda.GetIndex(-1)*lmbda.GetIndex(-1))
// f3(x, y, z) solves
//
// [ 0 A' G' ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ by ].
// [ G 0 -W'*W ] [ W^{-1}*uz ] [ bz ]
//
// On entry, x, y, z contain bx, by, bz.
// On exit, they contain ux, uy, uz.
//
// Also solve
//
// [ 0 A' G' ] [ x1 ] [ c ]
// [-A 0 0 ]*[ y1 ] = -dgi * [ b ].
// [-G 0 W'*W ] [ W^{-1}*z1 ] [ h ]
f3, err = kktsolver(W)
if err != nil {
fmt.Printf("kktsolver error=%v\n", err)
return
}
if iter == 0 {
x1 = c.Copy()
y1 = b.Copy()
z1 = matrix.FloatZeros(cdim, 1)
checkpnt.AddVerifiable("x1", x1)
checkpnt.AddMatrixVar("z1", z1)
}
mCopy(c, x1)
x1.Scal(-1.0)
mCopy(b, y1)
blas.Copy(h, z1)
err = f3(x1, y1, z1)
//fmt.Printf("f3 result: x1=\n%v\nf3 result: z1=\n%v\n", x1, z1)
x1.Scal(dgi)
y1.Scal(dgi)
blas.ScalFloat(z1, dgi)
if err != nil {
if iter == 0 && primalstart != nil && dualstart != nil {
err = errors.New("Rank(A) < p or Rank([G; A]) < n")
return
} else {
t_ := 1.0 / tau.Float()
x.Scal(t_)
y.Scal(t_)
blas.ScalFloat(s, t_)
blas.ScalFloat(z, t_)
ind := dims.Sum("l", "q")
for _, m := range dims.At("s") {
symm(s, m, ind)
symm(z, m, ind)
ind += m * m
}
ts, _ = maxStep(s, dims, 0, nil)
tz, _ = maxStep(z, dims, 0, nil)
err = errors.New("Terminated (singular KKT matrix).")
//sol.X = x; sol.Y = y; sol.S = s; sol.Z = z
sol.Result = sets.NewFloatSet("x", "y", "s", "x")
sol.Result.Append("x", x.Matrix())
sol.Result.Append("y", y.Matrix())
sol.Result.Append("s", s)
sol.Result.Append("z", z)
sol.Status = Unknown
sol.RelativeGap = relgap
sol.PrimalObjective = pcost
sol.DualObjective = dcost
sol.PrimalInfeasibility = pres
sol.DualInfeasibility = dres
sol.PrimalSlack = -ts
sol.DualSlack = -tz
sol.Iterations = iter
return
}
}
// f6_no_ir(x, y, z, tau, s, kappa) solves
//
// [ 0 ] [ 0 A' G' c ] [ ux ] [ bx ]
// [ 0 ] [ -A 0 0 b ] [ uy ] [ by ]
// [ W'*us ] - [ -G 0 0 h ] [ W^{-1}*uz ] = -[ bz ]
// [ dg*ukappa ] [ -c' -b' -h' 0 ] [ utau/dg ] [ btau ]
//
// lmbda o (uz + us) = -bs
// lmbdag * (utau + ukappa) = -bkappa.
//
// On entry, x, y, z, tau, s, kappa contain bx, by, bz, btau,
// bkappa. On exit, they contain ux, uy, uz, utau, ukappa.
// th = W^{-T} * h
if iter == 0 {
th = matrix.FloatZeros(cdim, 1)
checkpnt.AddMatrixVar("th", th)
}
blas.Copy(h, th)
scale(th, W, true, true)
f6_no_ir := func(x, y MatrixVariable, z, tau, s, kappa *matrix.FloatMatrix) (err error) {
// Solve
//
// [ 0 A' G' 0 ] [ ux ]
// [ -A 0 0 b ] [ uy ]
// [ -G 0 W'*W h ] [ W^{-1}*uz ]
// [ -c' -b' -h' k/t ] [ utau/dg ]
//
// [ bx ]
// [ by ]
// = [ bz - W'*(lmbda o\ bs) ]
// [ btau - bkappa/tau ]
//
// us = -lmbda o\ bs - uz
// ukappa = -bkappa/lmbdag - utau.
// First solve
//
// [ 0 A' G' ] [ ux ] [ bx ]
// [ A 0 0 ] [ uy ] = [ -by ]
// [ G 0 -W'*W ] [ W^{-1}*uz ] [ -bz + W'*(lmbda o\ bs) ]
minor := checkpnt.MinorTop()
err = nil
// y := -y = -by
y.Scal(-1.0)
// s := -lmbda o\ s = -lmbda o\ bs
err = sinv(s, lmbda, dims, 0)
blas.ScalFloat(s, -1.0)
// z := -(z + W'*s) = -bz + W'*(lambda o\ bs)
blas.Copy(s, ws3)
checkpnt.Check("prescale", minor+5)
checkpnt.MinorPush(minor + 5)
err = scale(ws3, W, true, false)
checkpnt.MinorPop()
if err != nil {
fmt.Printf("scale error: %s\n", err)
}
blas.AxpyFloat(ws3, z, 1.0)
blas.ScalFloat(z, -1.0)
checkpnt.Check("f3-call", minor+20)
checkpnt.MinorPush(minor + 20)
err = f3(x, y, z)
checkpnt.MinorPop()
checkpnt.Check("f3-return", minor+40)
// Combine with solution of
//
// [ 0 A' G' ] [ x1 ] [ c ]
// [-A 0 0 ] [ y1 ] = -dgi * [ b ]
// [-G 0 W'*W ] [ W^{-1}*dzl ] [ h ]
//
// to satisfy
//
// -c'*x - b'*y - h'*W^{-1}*z + dg*tau = btau - bkappa/tau. '
// , kappa[0] := -kappa[0] / lmbd[-1] = -bkappa / lmbdag
kap_ := kappa.Float()
tau_ := tau.Float()
kap_ = -kap_ / lmbda.GetIndex(-1)
// tau[0] = tau[0] + kappa[0] / dgi = btau[0] - bkappa / tau
tau_ = tau_ + kap_/dgi
//tau[0] = dgi * ( tau[0] + xdot(c,x) + ydot(b,y) +
// misc.sdot(th, z, dims) ) / (1.0 + misc.sdot(z1, z1, dims))
//tau_ = tau_ + blas.DotFloat(c, x) + blas.DotFloat(b, y) + sdot(th, z, dims, 0)
tau_ += c.Dot(x)
tau_ += b.Dot(y)
tau_ += sdot(th, z, dims, 0)
tau_ = dgi * tau_ / (1.0 + sdot(z1, z1, dims, 0))
tau.SetValue(tau_)
x1.Axpy(x, tau_)
y1.Axpy(y, tau_)
blas.AxpyFloat(z1, z, tau_)
blas.AxpyFloat(z, s, -1.0)
kap_ = kap_ - tau_
kappa.SetValue(kap_)
return
}
// f6(x, y, z, tau, s, kappa) solves the same system as f6_no_ir,
// but applies iterative refinement. Following variables part of f6-closure
// and ~ 12 is the limit. We wrap them to a structure.
if iter == 0 {
if refinement > 0 || solopts.Debug {
WS.wx = c.Copy()
WS.wy = b.Copy()
WS.wz = matrix.FloatZeros(cdim, 1)
WS.ws = matrix.FloatZeros(cdim, 1)
WS.wtau = matrix.FloatValue(0.0)
WS.wkappa = matrix.FloatValue(0.0)
checkpnt.AddVerifiable("wx", WS.wx)
checkpnt.AddMatrixVar("wz", WS.wz)
checkpnt.AddMatrixVar("ws", WS.ws)
}
if refinement > 0 {
WS.wx2 = c.Copy()
WS.wy2 = b.Copy()
WS.wz2 = matrix.FloatZeros(cdim, 1)
WS.ws2 = matrix.FloatZeros(cdim, 1)
WS.wtau2 = matrix.FloatValue(0.0)
WS.wkappa2 = matrix.FloatValue(0.0)
checkpnt.AddVerifiable("wx2", WS.wx2)
checkpnt.AddMatrixVar("wz2", WS.wz2)
checkpnt.AddMatrixVar("ws2", WS.ws2)
}
}
f6 := func(x, y MatrixVariable, z, tau, s, kappa *matrix.FloatMatrix) error {
var err error = nil
minor := checkpnt.MinorTop()
checkpnt.Check("startf6", minor+100)
if refinement > 0 || solopts.Debug {
mCopy(x, WS.wx)
mCopy(y, WS.wy)
blas.Copy(z, WS.wz)
blas.Copy(s, WS.ws)
WS.wtau.SetValue(tau.Float())
WS.wkappa.SetValue(kappa.Float())
}
checkpnt.Check("pref6_no_ir", minor+200)
err = f6_no_ir(x, y, z, tau, s, kappa)
checkpnt.Check("postf6_no_ir", minor+399)
for i := 0; i < refinement; i++ {
mCopy(WS.wx, WS.wx2)
mCopy(WS.wy, WS.wy2)
blas.Copy(WS.wz, WS.wz2)
blas.Copy(WS.ws, WS.ws2)
WS.wtau2.SetValue(WS.wtau.Float())
WS.wkappa2.SetValue(WS.wkappa.Float())
checkpnt.Check("res-call", minor+400)
checkpnt.MinorPush(minor + 400)
err = res(x, y, z, tau, s, kappa, WS.wx2, WS.wy2, WS.wz2, WS.wtau2, WS.ws2, WS.wkappa2, W, dg, lmbda)
checkpnt.MinorPop()
checkpnt.Check("refine_pref6_no_ir", minor+500)
checkpnt.MinorPush(minor + 500)
err = f6_no_ir(WS.wx2, WS.wy2, WS.wz2, WS.wtau2, WS.ws2, WS.wkappa2)
checkpnt.MinorPop()
checkpnt.Check("refine_postf6_no_ir", minor+600)
WS.wx2.Axpy(x, 1.0)
WS.wy2.Axpy(y, 1.0)
blas.AxpyFloat(WS.wz2, z, 1.0)
blas.AxpyFloat(WS.ws2, s, 1.0)
tau.SetValue(tau.Float() + WS.wtau2.Float())
kappa.SetValue(kappa.Float() + WS.wkappa2.Float())
}
if solopts.Debug {
checkpnt.MinorPush(minor + 700)
res(x, y, z, tau, s, kappa, WS.wx, WS.wy, WS.wz, WS.wtau, WS.ws, WS.wkappa, W, dg, lmbda)
checkpnt.MinorPop()
fmt.Printf("KKT residuals\n")
fmt.Printf(" 'x' : %.6e\n", math.Sqrt(WS.wx.Dot(WS.wx)))
fmt.Printf(" 'y' : %.6e\n", math.Sqrt(WS.wy.Dot(WS.wy)))
fmt.Printf(" 'z' : %.6e\n", snrm2(WS.wz, dims, 0))
fmt.Printf(" 'tau' : %.6e\n", math.Abs(WS.wtau.Float()))
fmt.Printf(" 's' : %.6e\n", snrm2(WS.ws, dims, 0))
fmt.Printf(" 'kappa': %.6e\n", math.Abs(WS.wkappa.Float()))
}
return err
}
var nrm float64 = blas.Nrm2Float(lmbda)
mu := math.Pow(nrm, 2.0) / (1.0 + float64(cdim_diag))
sigma := 0.0
var step, tt, tk float64
for i := 0; i < 2; i++ {
// Solve
//
// [ 0 ] [ 0 A' G' c ] [ dx ]
// [ 0 ] [ -A 0 0 b ] [ dy ]
// [ W'*ds ] - [ -G 0 0 h ] [ W^{-1}*dz ]
// [ dg*dkappa ] [ -c' -b' -h' 0 ] [ dtau/dg ]
//
// [ rx ]
// [ ry ]
// = - (1-sigma) [ rz ]
// [ rtau ]
//
// lmbda o (dz + ds) = -lmbda o lmbda + sigma*mu*e
// lmbdag * (dtau + dkappa) = - kappa * tau + sigma*mu
//
// ds = -lmbdasq if i is 0
// = -lmbdasq - dsa o dza + sigma*mu*e if i is 1
// dkappa = -lambdasq[-1] if i is 0
// = -lambdasq[-1] - dkappaa*dtaua + sigma*mu if i is 1.
ind := dims.Sum("l", "q")
ind2 := ind
blas.Copy(lmbdasq, ds, &la.IOpt{"n", ind})
blas.ScalFloat(ds, 0.0, &la.IOpt{"offset", ind})
for _, m := range dims.At("s") {
blas.Copy(lmbdasq, ds, &la.IOpt{"n", m}, &la.IOpt{"offsetx", ind2},
&la.IOpt{"offsety", ind}, &la.IOpt{"incy", m + 1})
ind += m * m
ind2 += m
}
// dkappa[0] = lmbdasq[-1]
dkappa.SetValue(lmbdasq.GetIndex(-1))
if i == 1 {
blas.AxpyFloat(ws3, ds, 1.0)
ind = dims.Sum("l", "q")
is := make([]int, 0)
// indexes: [:dims['l']]
if dims.At("l")[0] > 0 {
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
}
// ...[indq[:-1]]
if len(indq) > 1 {
is = append(is, indq[:len(indq)-1]...)
}
// ...[ind : ind+m*m : m+1] (diagonal)
for _, m := range dims.At("s") {
is = append(is, matrix.MakeIndexSet(ind, ind+m*m, m+1)...)
ind += m * m
}
//ds.Add(-sigma*mu, is...)
for _, k := range is {
ds.SetIndex(k, ds.GetIndex(k)-sigma*mu)
}
dk_ := dkappa.Float()
wk_ := wkappa3.Float()
dkappa.SetValue(dk_ + wk_ - sigma*mu)
}
// (dx, dy, dz, dtau) = (1-sigma)*(rx, ry, rz, rt)
mCopy(rx, dx)
dx.Scal(1.0 - sigma)
mCopy(ry, dy)
dy.Scal(1.0 - sigma)
blas.Copy(rz, dz)
blas.ScalFloat(dz, 1.0-sigma)
// dtau[0] = (1.0 - sigma) * rt
dtau.SetValue((1.0 - sigma) * rt)
checkpnt.Check("pref6", (1+i)*1000)
checkpnt.MinorPush((1 + i) * 1000)
err = f6(dx, dy, dz, dtau, ds, dkappa)
checkpnt.MinorPop()
checkpnt.Check("postf6", (1+i)*1000+800)
// Save ds o dz and dkappa * dtau for Mehrotra correction
if i == 0 {
blas.Copy(ds, ws3)
sprod(ws3, dz, dims, 0)
wkappa3.SetValue(dtau.Float() * dkappa.Float())
}
// Maximum step to boundary.
//
// If i is 1, also compute eigenvalue decomposition of the 's'
// blocks in ds, dz. The eigenvectors Qs, Qz are stored in
// dsk, dzk. The eigenvalues are stored in sigs, sigz.
var ts, tz float64
checkpnt.MinorPush((1+i)*1000 + 900)
scale2(lmbda, ds, dims, 0, false)
scale2(lmbda, dz, dims, 0, false)
checkpnt.MinorPop()
checkpnt.Check("post-scale2", (1+i)*1000+990)
if i == 0 {
ts, _ = maxStep(ds, dims, 0, nil)
tz, _ = maxStep(dz, dims, 0, nil)
} else {
ts, _ = maxStep(ds, dims, 0, sigs)
tz, _ = maxStep(dz, dims, 0, sigz)
}
dt_ := dtau.Float()
dk_ := dkappa.Float()
tt = -dt_ / lmbda.GetIndex(-1)
tk = -dk_ / lmbda.GetIndex(-1)
t := maxvec([]float64{0.0, ts, tz, tt, tk})
if t == 0.0 {
step = 1.0
} else {
if i == 0 {
step = math.Min(1.0, 1.0/t)
} else {
step = math.Min(1.0, STEP/t)
}
}
if i == 0 {
// sigma = (1 - step)^3
sigma = (1.0 - step) * (1.0 - step) * (1.0 - step)
//sigma = math.Pow((1.0 - step), EXPON)
}
}
//fmt.Printf("** tau = %.17f, kappa = %.17f\n", tau.Float(), kappa.Float())
//fmt.Printf("** step = %.17f, sigma = %.17f\n", step, sigma)
checkpnt.Check("update-xy", 7000)
// Update x, y
dx.Axpy(x, step)
dy.Axpy(y, step)
// Replace 'l' and 'q' blocks of ds and dz with the updated
// variables in the current scaling.
// Replace 's' blocks of ds and dz with the factors Ls, Lz in a
// factorization Ls*Ls', Lz*Lz' of the updated variables in the
// current scaling.
//
// ds := e + step*ds for 'l' and 'q' blocks.
// dz := e + step*dz for 'l' and 'q' blocks.
blas.ScalFloat(ds, step, &la.IOpt{"n", dims.Sum("l", "q")})
blas.ScalFloat(dz, step, &la.IOpt{"n", dims.Sum("l", "q")})
is := make([]int, 0)
is = append(is, matrix.MakeIndexSet(0, dims.At("l")[0], 1)...)
is = append(is, indq[:len(indq)-1]...)
for _, k := range is {
ds.SetIndex(k, 1.0+ds.GetIndex(k))
dz.SetIndex(k, 1.0+dz.GetIndex(k))
}
checkpnt.Check("update-dsdz", 7500)
// ds := H(lambda)^{-1/2} * ds and dz := H(lambda)^{-1/2} * dz.
//
// This replaces the 'l' and 'q' components of ds and dz with the
// updated variables in the current scaling.
// The 's' components of ds and dz are replaced with
//
// diag(lmbda_k)^{1/2} * Qs * diag(lmbda_k)^{1/2}
// diag(lmbda_k)^{1/2} * Qz * diag(lmbda_k)^{1/2}
checkpnt.MinorPush(7500)
scale2(lmbda, ds, dims, 0, true)
scale2(lmbda, dz, dims, 0, true)
checkpnt.MinorPop()
// sigs := ( e + step*sigs ) ./ lambda for 's' blocks.
// sigz := ( e + step*sigz ) ./ lambda for 's' blocks.
blas.ScalFloat(sigs, step)
blas.ScalFloat(sigz, step)
sigs.Add(1.0)
sigz.Add(1.0)
sdimsum := dims.Sum("s")
qdimsum := dims.Sum("l", "q")
blas.TbsvFloat(lmbda, sigs, &la.IOpt{"n", sdimsum}, &la.IOpt{"k", 0},
&la.IOpt{"lda", 1}, &la.IOpt{"offseta", qdimsum})
blas.TbsvFloat(lmbda, sigz, &la.IOpt{"n", sdimsum}, &la.IOpt{"k", 0},
&la.IOpt{"lda", 1}, &la.IOpt{"offseta", qdimsum})
ind2 := qdimsum
ind3 := 0
sdims := dims.At("s")
for k := 0; k < len(sdims); k++ {
m := sdims[k]
for i := 0; i < m; i++ {
a := math.Sqrt(sigs.GetIndex(ind3 + i))
blas.ScalFloat(ds, a, &la.IOpt{"offset", ind2 + m*i}, &la.IOpt{"n", m})
a = math.Sqrt(sigz.GetIndex(ind3 + i))
blas.ScalFloat(dz, a, &la.IOpt{"offset", ind2 + m*i}, &la.IOpt{"n", m})
}
ind2 += m * m
ind3 += m
}
checkpnt.Check("pre-update-scaling", 7700)
err = updateScaling(W, lmbda, ds, dz)
checkpnt.Check("post-update-scaling", 7800)
// For kappa, tau block:
//
// dg := sqrt( (kappa + step*dkappa) / (tau + step*dtau) )
// = dg * sqrt( (1 - step*tk) / (1 - step*tt) )
//
// lmbda[-1] := sqrt((tau + step*dtau) * (kappa + step*dkappa))
// = lmbda[-1] * sqrt(( 1 - step*tt) * (1 - step*tk))
dg *= math.Sqrt(1.0-step*tk) / math.Sqrt(1.0-step*tt)
dgi = 1.0 / dg
a := math.Sqrt(1.0-step*tk) * math.Sqrt(1.0-step*tt)
lmbda.SetIndex(-1, a*lmbda.GetIndex(-1))
// Unscale s, z, tau, kappa (unscaled variables are used only to
// compute feasibility residuals).
ind := dims.Sum("l", "q")
ind2 = ind
blas.Copy(lmbda, s, &la.IOpt{"n", ind})
for _, m := range dims.At("s") {
blas.ScalFloat(s, 0.0, &la.IOpt{"offset", ind2})
blas.Copy(lmbda, s, &la.IOpt{"offsetx", ind}, &la.IOpt{"offsety", ind2},
&la.IOpt{"n", m}, &la.IOpt{"incy", m + 1})
ind += m
ind2 += m * m
}
scale(s, W, true, false)
ind = dims.Sum("l", "q")
ind2 = ind
blas.Copy(lmbda, z, &la.IOpt{"n", ind})
for _, m := range dims.At("s") {
blas.ScalFloat(z, 0.0, &la.IOpt{"offset", ind2})
blas.Copy(lmbda, z, &la.IOpt{"offsetx", ind}, &la.IOpt{"offsety", ind2},
&la.IOpt{"n", m}, &la.IOpt{"incy", m + 1})
ind += m
ind2 += m * m
}
scale(z, W, false, true)
kappa.SetValue(lmbda.GetIndex(-1) / dgi)
tau.SetValue(lmbda.GetIndex(-1) * dgi)
g := blas.Nrm2Float(lmbda, &la.IOpt{"n", lmbda.Rows() - 1}) / tau.Float()
gap = g * g
checkpnt.Check("end-of-loop", 8000)
//fmt.Printf(" ** kappa=%.10f, tau=%.10f, gap=%.10f\n", kappa.Float(), tau.Float(), gap)
}
return
}
// Solution of KKT equations by a dense LDL factorization of the
// 3 x 3 system.
//
// Returns a function that (1) computes the LDL factorization of
//
// [ H A' GG'*W^{-1} ]
// [ A 0 0 ],
// [ W^{-T}*GG 0 -I ]
//
// given H, Df, W, where GG = [Df; G], and (2) returns a function for
// solving
//
// [ H A' GG' ] [ ux ] [ bx ]
// [ A 0 0 ] * [ uy ] = [ by ].
// [ GG 0 -W'*W ] [ uz ] [ bz ]
//
// H is n x n, A is p x n, Df is mnl x n, G is N x n where
// N = dims['l'] + sum(dims['q']) + sum( k**2 for k in dims['s'] ).
//
func kktLdl(G *matrix.FloatMatrix, dims *sets.DimensionSet, A *matrix.FloatMatrix, mnl int) (kktFactor, error) {
p, n := A.Size()
ldK := n + p + mnl + dims.At("l")[0] + dims.Sum("q") + dims.SumPacked("s")
K := matrix.FloatZeros(ldK, ldK)
ipiv := make([]int32, ldK)
u := matrix.FloatZeros(ldK, 1)
g := matrix.FloatZeros(mnl+G.Rows(), 1)
//checkpnt.AddMatrixVar("u", u)
//checkpnt.AddMatrixVar("K", K)
factor := func(W *sets.FloatMatrixSet, H, Df *matrix.FloatMatrix) (KKTFunc, error) {
var err error = nil
// Zero K for each call.
blas.ScalFloat(K, 0.0)
if H != nil {
K.SetSubMatrix(0, 0, H)
}
K.SetSubMatrix(n, 0, A)
for k := 0; k < n; k++ {
// g is (mnl + G.Rows(), 1) matrix, Df is (mnl, n), G is (N, n)
if mnl > 0 {
// set values g[0:mnl] = Df[,k]
g.SetIndexesFromArray(Df.GetColumnArray(k, nil), matrix.MakeIndexSet(0, mnl, 1)...)
}
// set values g[mnl:] = G[,k]
g.SetIndexesFromArray(G.GetColumnArray(k, nil), matrix.MakeIndexSet(mnl, mnl+g.Rows(), 1)...)
scale(g, W, true, true)
if err != nil {
//fmt.Printf("scale error: %s\n", err)
}
pack(g, K, dims, &la.IOpt{"mnl", mnl}, &la.IOpt{"offsety", k*ldK + n + p})
}
setDiagonal(K, n+p, n+n, ldK, ldK, -1.0)
err = lapack.Sytrf(K, ipiv)
if err != nil {
return nil, err
}
solve := func(x, y, z *matrix.FloatMatrix) (err error) {
// Solve
//
// [ H A' GG'*W^{-1} ] [ ux ] [ bx ]
// [ A 0 0 ] * [ uy [ = [ by ]
// [ W^{-T}*GG 0 -I ] [ W*uz ] [ W^{-T}*bz ]
//
// and return ux, uy, W*uz.
//
// On entry, x, y, z contain bx, by, bz. On exit, they contain
// the solution ux, uy, W*uz.
err = nil
blas.Copy(x, u)
blas.Copy(y, u, &la.IOpt{"offsety", n})
err = scale(z, W, true, true)
if err != nil {
return
}
err = pack(z, u, dims, &la.IOpt{"mnl", mnl}, &la.IOpt{"offsety", n + p})
if err != nil {
return
}
err = lapack.Sytrs(K, u, ipiv)
if err != nil {
return
}
blas.Copy(u, x, &la.IOpt{"n", n})
blas.Copy(u, y, &la.IOpt{"n", p}, &la.IOpt{"offsetx", n})
err = unpack(u, z, dims, &la.IOpt{"mnl", mnl}, &la.IOpt{"offsetx", n + p})
return
}
return solve, err
}
return factor, nil
}
// Solution of KKT equations by reduction to a 2 x 2 system, a QR
// factorization to eliminate the equality constraints, and a dense
// Cholesky factorization of order n-p.
//
// Computes the QR factorization
//
// A' = [Q1, Q2] * [R; 0]
//
// and returns a function that (1) computes the Cholesky factorization
//
// Q_2^T * (H + GG^T * W^{-1} * W^{-T} * GG) * Q2 = L * L^T,
//
// given H, Df, W, where GG = [Df; G], and (2) returns a function for
// solving
//
// [ H A' GG' ] [ ux ] [ bx ]
// [ A 0 0 ] * [ uy ] = [ by ].
// [ GG 0 -W'*W ] [ uz ] [ bz ]
//
// H is n x n, A is p x n, Df is mnl x n, G is N x n where
// N = dims['l'] + sum(dims['q']) + sum( k**2 for k in dims['s'] ).
//
func kktChol(G *matrix.FloatMatrix, dims *sets.DimensionSet, A *matrix.FloatMatrix, mnl int) (kktFactor, error) {
p, n := A.Size()
cdim := mnl + dims.Sum("l", "q") + dims.SumSquared("s")
cdim_pckd := mnl + dims.Sum("l", "q") + dims.SumPacked("s")
QA := A.Transpose()
tauA := matrix.FloatZeros(p, 1)
lapack.Geqrf(QA, tauA)
Gs := matrix.FloatZeros(cdim, n)
K := matrix.FloatZeros(n, n)
bzp := matrix.FloatZeros(cdim_pckd, 1)
yy := matrix.FloatZeros(p, 1)
checkpnt.AddMatrixVar("tauA", tauA)
checkpnt.AddMatrixVar("Gs", Gs)
checkpnt.AddMatrixVar("K", K)
factor := func(W *sets.FloatMatrixSet, H, Df *matrix.FloatMatrix) (KKTFunc, error) {
// Compute
//
// K = [Q1, Q2]' * (H + GG' * W^{-1} * W^{-T} * GG) * [Q1, Q2]
//
// and take the Cholesky factorization of the 2,2 block
//
// Q_2' * (H + GG^T * W^{-1} * W^{-T} * GG) * Q2.
var err error = nil
minor := 0
if !checkpnt.MinorEmpty() {
minor = checkpnt.MinorTop()
}
// Gs = W^{-T} * GG in packed storage.
if mnl > 0 {
Gs.SetSubMatrix(0, 0, Df)
}
Gs.SetSubMatrix(mnl, 0, G)
checkpnt.Check("00factor_chol", minor)
scale(Gs, W, true, true)
pack2(Gs, dims, mnl)
//checkpnt.Check("10factor_chol", minor)
// K = [Q1, Q2]' * (H + Gs' * Gs) * [Q1, Q2].
blas.SyrkFloat(Gs, K, 1.0, 0.0, la.OptTrans, &la.IOpt{"k", cdim_pckd})
if H != nil {
K.SetSubMatrix(0, 0, matrix.Plus(H, K.GetSubMatrix(0, 0, H.Rows(), H.Cols())))
}
//checkpnt.Check("20factor_chol", minor)
symm(K, n, 0)
lapack.Ormqr(QA, tauA, K, la.OptLeft, la.OptTrans)
lapack.Ormqr(QA, tauA, K, la.OptRight)
//checkpnt.Check("30factor_chol", minor)
// Cholesky factorization of 2,2 block of K.
lapack.Potrf(K, &la.IOpt{"n", n - p}, &la.IOpt{"offseta", p * (n + 1)})
checkpnt.Check("40factor_chol", minor)
solve := func(x, y, z *matrix.FloatMatrix) (err error) {
// Solve
//
// [ 0 A' GG'*W^{-1} ] [ ux ] [ bx ]
// [ A 0 0 ] * [ uy ] = [ by ]
// [ W^{-T}*GG 0 -I ] [ W*uz ] [ W^{-T}*bz ]
//
// and return ux, uy, W*uz.
//
// On entry, x, y, z contain bx, by, bz. On exit, they contain
// the solution ux, uy, W*uz.
//
// If we change variables ux = Q1*v + Q2*w, the system becomes
//
// [ K11 K12 R ] [ v ] [Q1'*(bx+GG'*W^{-1}*W^{-T}*bz)]
// [ K21 K22 0 ] * [ w ] = [Q2'*(bx+GG'*W^{-1}*W^{-T}*bz)]
// [ R^T 0 0 ] [ uy ] [by ]
//
// W*uz = W^{-T} * ( GG*ux - bz ).
minor := 0
if !checkpnt.MinorEmpty() {
minor = checkpnt.MinorTop()
}
// bzp := W^{-T} * bz in packed storage
scale(z, W, true, true)
pack(z, bzp, dims, &la.IOpt{"mnl", mnl})
// x := [Q1, Q2]' * (x + Gs' * bzp)
// = [Q1, Q2]' * (bx + Gs' * W^{-T} * bz)
blas.GemvFloat(Gs, bzp, x, 1.0, 1.0, la.OptTrans, &la.IOpt{"m", cdim_pckd})
lapack.Ormqr(QA, tauA, x, la.OptLeft, la.OptTrans)
// y := x[:p]
// = Q1' * (bx + Gs' * W^{-T} * bz)
blas.Copy(y, yy)
blas.Copy(x, y, &la.IOpt{"n", p})
// x[:p] := v = R^{-T} * by
blas.Copy(yy, x)
lapack.Trtrs(QA, x, la.OptUpper, la.OptTrans, &la.IOpt{"n", p})
// x[p:] := K22^{-1} * (x[p:] - K21*x[:p])
// = K22^{-1} * (Q2' * (bx + Gs' * W^{-T} * bz) - K21*v)
blas.GemvFloat(K, x, x, -1.0, 1.0, &la.IOpt{"m", n - p}, &la.IOpt{"n", p},
&la.IOpt{"offseta", p}, &la.IOpt{"offsety", p})
lapack.Potrs(K, x, &la.IOpt{"n", n - p}, &la.IOpt{"offseta", p * (n + 1)},
&la.IOpt{"offsetb", p})
// y := y - [K11, K12] * x
// = Q1' * (bx + Gs' * W^{-T} * bz) - K11*v - K12*w
blas.GemvFloat(K, x, y, -1.0, 1.0, &la.IOpt{"m", p}, &la.IOpt{"n", n})
// y := R^{-1}*y
// = R^{-1} * (Q1' * (bx + Gs' * W^{-T} * bz) - K11*v
// - K12*w)
lapack.Trtrs(QA, y, la.OptUpper, &la.IOpt{"n", p})
// x := [Q1, Q2] * x
lapack.Ormqr(QA, tauA, x, la.OptLeft)
// bzp := Gs * x - bzp.
// = W^{-T} * ( GG*ux - bz ) in packed storage.
// Unpack and copy to z.
blas.GemvFloat(Gs, x, bzp, 1.0, -1.0, &la.IOpt{"m", cdim_pckd})
unpack(bzp, z, dims, &la.IOpt{"mnl", mnl})
checkpnt.Check("90solve_chol", minor)
return nil
}
return solve, err
}
return factor, nil
}
// Solution of KKT equations with zero 1,1 block, by eliminating the
// equality constraints via a QR factorization, and solving the
// reduced KKT system by another QR factorization.
//
// Computes the QR factorization
//
// A' = [Q1, Q2] * [R1; 0]
//
// and returns a function that (1) computes the QR factorization
//
// W^{-T} * G * Q2 = Q3 * R3
//
// (with columns of W^{-T}*G in packed storage), and (2) returns a function for solving
//
// [ 0 A' G' ] [ ux ] [ bx ]
// [ A 0 0 ] * [ uy ] = [ by ].
// [ G 0 -W'*W ] [ uz ] [ bz ]
//
// A is p x n and G is N x n where N = dims['l'] + sum(dims['q']) +
// sum( k**2 for k in dims['s'] ).
//
func kktQr(G *matrix.FloatMatrix, dims *sets.DimensionSet, A *matrix.FloatMatrix, mnl int) (kktFactor, error) {
p, n := A.Size()
cdim := dims.Sum("l", "q") + dims.SumSquared("s")
cdim_pckd := dims.Sum("l", "q") + dims.SumPacked("s")
QA := A.Transpose()
tauA := matrix.FloatZeros(p, 1)
lapack.Geqrf(QA, tauA)
Gs := matrix.FloatZeros(cdim, n)
tauG := matrix.FloatZeros(n-p, 1)
u := matrix.FloatZeros(cdim_pckd, 1)
vv := matrix.FloatZeros(n, 1)
w := matrix.FloatZeros(cdim_pckd, 1)
checkpnt.AddMatrixVar("tauA", tauA)
checkpnt.AddMatrixVar("tauG", tauG)
checkpnt.AddMatrixVar("Gs", Gs)
checkpnt.AddMatrixVar("qr_u", u)
checkpnt.AddMatrixVar("qr_vv", vv)
factor := func(W *sets.FloatMatrixSet, H, Df *matrix.FloatMatrix) (KKTFunc, error) {
var err error = nil
minor := 0
if !checkpnt.MinorEmpty() {
minor = checkpnt.MinorTop()
}
// Gs = W^{-T}*G, in packed storage.
blas.Copy(G, Gs)
//checkpnt.Check("00factor_qr", minor)
scale(Gs, W, true, true)
//checkpnt.Check("01factor_qr", minor)
pack2(Gs, dims, 0)
//checkpnt.Check("02factor_qr", minor)
// Gs := [ Gs1, Gs2 ]
// = Gs * [ Q1, Q2 ]
lapack.Ormqr(QA, tauA, Gs, la.OptRight, &la.IOpt{"m", cdim_pckd})
//checkpnt.Check("03factor_qr", minor)
// QR factorization Gs2 := [ Q3, Q4 ] * [ R3; 0 ]
lapack.Geqrf(Gs, tauG, &la.IOpt{"n", n - p}, &la.IOpt{"m", cdim_pckd},
&la.IOpt{"offseta", Gs.Rows() * p})
checkpnt.Check("10factor_qr", minor)
solve := func(x, y, z *matrix.FloatMatrix) (err error) {
// On entry, x, y, z contain bx, by, bz. On exit, they
// contain the solution x, y, W*z of
//
// [ 0 A' G'*W^{-1} ] [ x ] [bx ]
// [ A 0 0 ] * [ y ] = [by ].
// [ W^{-T}*G 0 -I ] [ W*z ] [W^{-T}*bz]
//
// The system is solved in five steps:
//
// w := W^{-T}*bz - Gs1*R1^{-T}*by
// u := R3^{-T}*Q2'*bx + Q3'*w
// W*z := Q3*u - w
// y := R1^{-1} * (Q1'*bx - Gs1'*(W*z))
// x := [ Q1, Q2 ] * [ R1^{-T}*by; R3^{-1}*u ]
minor := 0
if !checkpnt.MinorEmpty() {
minor = checkpnt.MinorTop()
}
// w := W^{-T} * bz in packed storage
scale(z, W, true, true)
pack(z, w, dims)
//checkpnt.Check("00solve_qr", minor)
// vv := [ Q1'*bx; R3^{-T}*Q2'*bx ]
blas.Copy(x, vv)
lapack.Ormqr(QA, tauA, vv, la.OptTrans)
lapack.Trtrs(Gs, vv, la.OptUpper, la.OptTrans, &la.IOpt{"n", n - p},
&la.IOpt{"offseta", Gs.Rows() * p}, &la.IOpt{"offsetb", p})
//checkpnt.Check("10solve_qr", minor)
// x[:p] := R1^{-T} * by
blas.Copy(y, x)
lapack.Trtrs(QA, x, la.OptUpper, la.OptTrans, &la.IOpt{"n", p})
//checkpnt.Check("20solve_qr", minor)
// w := w - Gs1 * x[:p]
// = W^{-T}*bz - Gs1*by
blas.GemvFloat(Gs, x, w, -1.0, 1.0, &la.IOpt{"n", p}, &la.IOpt{"m", cdim_pckd})
//checkpnt.Check("30solve_qr", minor)
// u := [ Q3'*w + v[p:]; 0 ]
// = [ Q3'*w + R3^{-T}*Q2'*bx; 0 ]
blas.Copy(w, u)
lapack.Ormqr(Gs, tauG, u, la.OptTrans, &la.IOpt{"k", n - p},
&la.IOpt{"offseta", Gs.Rows() * p}, &la.IOpt{"m", cdim_pckd})
blas.AxpyFloat(vv, u, 1.0, &la.IOpt{"offsetx", p}, &la.IOpt{"n", n - p})
blas.ScalFloat(u, 0.0, &la.IOpt{"offset", n - p})
//checkpnt.Check("40solve_qr", minor)
// x[p:] := R3^{-1} * u[:n-p]
blas.Copy(u, x, &la.IOpt{"offsety", p}, &la.IOpt{"n", n - p})
lapack.Trtrs(Gs, x, la.OptUpper, &la.IOpt{"n", n - p},
&la.IOpt{"offset", Gs.Rows() * p}, &la.IOpt{"offsetb", p})
//checkpnt.Check("50solve_qr", minor)
// x is now [ R1^{-T}*by; R3^{-1}*u[:n-p] ]
// x := [Q1 Q2]*x
lapack.Ormqr(QA, tauA, x)
//checkpnt.Check("60solve_qr", minor)
// u := [Q3, Q4] * u - w
// = Q3 * u[:n-p] - w
lapack.Ormqr(Gs, tauG, u, &la.IOpt{"k", n - p}, &la.IOpt{"m", cdim_pckd},
&la.IOpt{"offseta", Gs.Rows() * p})
blas.AxpyFloat(w, u, -1.0)
//checkpnt.Check("70solve_qr", minor)
// y := R1^{-1} * ( v[:p] - Gs1'*u )
// = R1^{-1} * ( Q1'*bx - Gs1'*u )
blas.Copy(vv, y, &la.IOpt{"n", p})
blas.GemvFloat(Gs, u, y, -1.0, 1.0, &la.IOpt{"m", cdim_pckd},
&la.IOpt{"n", p}, la.OptTrans)
lapack.Trtrs(QA, y, la.OptUpper, &la.IOpt{"n", p})
//checkpnt.Check("80solve_qr", minor)
unpack(u, z, dims)
checkpnt.Check("90solve_qr", minor)
return nil
}
return solve, err
}
return factor, nil
}