예제 #1
0
파일: testqcl1.go 프로젝트: hrautila/go.opt
func (g *matrixFs) Gf(x, y *matrix.FloatMatrix, alpha, beta float64, trans linalg.Option) error {
	//
	minor := 0
	if !checkpnt.MinorEmpty() {
		minor = checkpnt.MinorTop()
	} else {
		loopg += 1
		minor = loopg
	}
	checkpnt.Check("00-Gfunc", minor)

	m, n := g.A.Size()
	y.Scale(beta)

	// x_n = x[:n]
	//x_n := matrix.FloatVector(x.FloatArray()[:n])
	x_n := x.SubMatrix(0, 0, n, 1).Copy()

	// x_n_2n = x[n:2*n]
	//x_n_2n := matrix.FloatVector(x.FloatArray()[n : 2*n])
	x_n_2n := x.SubMatrix(n, 0, n, 1).Copy()

	if linalg.Equal(trans, linalg.OptNoTrans) {
		// y += alpha * G * x

		// y[:n] += alpha * (x[:n] - x[n:2*n])
		y_n := matrix.Minus(x_n, x_n_2n).Scale(alpha)
		y.SubMatrix(0, 0, n, 1).Plus(y_n)
		//y.AddIndexes(matrix.Indexes(n), y_n.FloatArray())

		// y[n:2*n] += alpha * (-x[:n] - x[n:2*n]) = -alpha * (x[:n]+x[n:2*n])
		y_n = matrix.Plus(x_n, x_n_2n).Scale(-alpha)
		y.SubMatrix(n, 0, n, 1).Plus(y_n)
		//y.AddIndexes(matrix.Indexes(n, 2*n), y_n.FloatArray())

		// y[2*n+1:] += -alpha * A * x[:n]
		y_2n := matrix.Times(g.A, x_n).Scale(-alpha)
		//y.AddIndexes(matrix.Indexes(2*n+1, y.NumElements()), y_2n.FloatArray())
		y.SubMatrix(2*n+1, 0, y_2n.NumElements(), 1).Plus(y_2n)
	} else {
		// x_m = x[-m:]
		//x_m := matrix.FloatVector(x.FloatArray()[x.NumElements()-m:])
		x_m := x.SubMatrix(x.NumElements()-m, 0)

		// x_tmp = (x[:n] - x[n:2*n] - A.T * x[-m:])
		x_tmp := matrix.Minus(x_n, x_n_2n, matrix.Times(g.A.Transpose(), x_m))

		// y[:n] += alpha * (x[:n] - x[n:2*n] - A.T * x[-m:])
		//y.AddIndexes(matrix.Indexes(n), x_tmp.Scale(alpha).FloatArray())
		y.SubMatrix(0, 0, n, 1).Plus(x_tmp.Scale(alpha))

		x_tmp = matrix.Plus(x_n, x_n_2n).Scale(-alpha)
		//y.AddIndexes(matrix.Indexes(n, y.NumElements()), x_tmp.FloatArray())
		y.SubMatrix(n, 0).Plus(x_tmp)
	}
	checkpnt.Check("10-Gfunc", minor)
	return nil
}
예제 #2
0
파일: testqcl1.go 프로젝트: hrautila/go.opt
func qcl1(A, b *matrix.FloatMatrix) (*cvx.Solution, error) {

	// Returns the solution u, z of
	//
	//   (primal)  minimize    || u ||_1
	//             subject to  || A * u - b ||_2  <= 1
	//
	//   (dual)    maximize    b^T z - ||z||_2
	//             subject to  || A'*z ||_inf <= 1.
	//
	// Exploits structure, assuming A is m by n with m >= n.

	m, n := A.Size()
	Fkkt := func(W *sets.FloatMatrixSet) (f cvx.KKTFunc, err error) {

		minor := 0
		if !checkpnt.MinorEmpty() {
			minor = checkpnt.MinorTop()
		}

		err = nil
		f = nil
		beta := W.At("beta")[0].GetIndex(0)
		v := W.At("v")[0]

		// As = 2 * v *(v[1:].T * A)
		//v_1 := matrix.FloatNew(1, v.NumElements()-1, v.FloatArray()[1:])
		v_1 := v.SubMatrix(1, 0).Transpose()

		As := matrix.Times(v, matrix.Times(v_1, A)).Scale(2.0)

		//As_1 := As.GetSubMatrix(1, 0, m, n)
		//As_1.Scale(-1.0)
		//As.SetSubMatrix(1, 0, matrix.Minus(As_1, A))
		As_1 := As.SubMatrix(1, 0, m, n)
		As_1.Scale(-1.0)
		As_1.Minus(A)
		As.Scale(1.0 / beta)

		S := matrix.Times(As.Transpose(), As)
		checkpnt.AddMatrixVar("S", S)

		d1 := W.At("d")[0].SubMatrix(0, 0, n, 1).Copy()
		d2 := W.At("d")[0].SubMatrix(n, 0).Copy()

		// D = 4.0 * (d1**2 + d2**2)**-1
		d := matrix.Plus(matrix.Mul(d1, d1), matrix.Mul(d2, d2)).Inv().Scale(4.0)
		// S[::n+1] += d
		S.Diag().Plus(d.Transpose())

		err = lapack.Potrf(S)
		checkpnt.Check("00-Fkkt", minor)
		if err != nil {
			return
		}

		f = func(x, y, z *matrix.FloatMatrix) (err error) {

			minor := 0
			if !checkpnt.MinorEmpty() {
				minor = checkpnt.MinorTop()
			} else {
				loopf += 1
				minor = loopf
			}
			checkpnt.Check("00-f", minor)

			// -- z := - W**-T * z
			// z[:n] = -div( z[:n], d1 )
			z_val := z.SubMatrix(0, 0, n, 1)
			z_res := matrix.Div(z_val, d1).Scale(-1.0)
			z.SubMatrix(0, 0, n, 1).Set(z_res)

			// z[n:2*n] = -div( z[n:2*n], d2 )
			z_val = z.SubMatrix(n, 0, n, 1)
			z_res = matrix.Div(z_val, d2).Scale(-1.0)
			z.SubMatrix(n, 0, n, 1).Set(z_res)

			// z[2*n:] -= 2.0*v*( v[0]*z[2*n] - blas.dot(v[1:], z[2*n+1:]) )
			v0_z2n := v.GetIndex(0) * z.GetIndex(2*n)
			v1_z2n := blas.DotFloat(v, z, &linalg.IOpt{"offsetx", 1}, &linalg.IOpt{"offsety", 2*n + 1})
			z_res = matrix.Scale(v, -2.0*(v0_z2n-v1_z2n))
			z.SubMatrix(2*n, 0, z_res.NumElements(), 1).Plus(z_res)

			// z[2*n+1:] *= -1.0
			z.SubMatrix(2*n+1, 0).Scale(-1.0)

			// z[2*n:] /= beta
			z.SubMatrix(2*n, 0).Scale(1.0 / beta)

			// -- x := x - G' * W**-1 * z

			// z_n = z[:n], z_2n = z[n:2*n], z_m = z[-(m+1):],
			z_n := z.SubMatrix(0, 0, n, 1)
			z_2n := z.SubMatrix(n, 0, n, 1)
			z_m := z.SubMatrix(z.NumElements()-(m+1), 0)

			// x[:n] -= div(z[:n], d1) - div(z[n:2*n], d2) + As.T * z[-(m+1):]
			z_res = matrix.Minus(matrix.Div(z_n, d1), matrix.Div(z_2n, d2))
			a_res := matrix.Times(As.Transpose(), z_m)
			z_res.Plus(a_res).Scale(-1.0)
			x.SubMatrix(0, 0, n, 1).Plus(z_res)

			// x[n:] += div(z[:n], d1) + div(z[n:2*n], d2)
			z_res = matrix.Plus(matrix.Div(z_n, d1), matrix.Div(z_2n, d2))
			x.SubMatrix(n, 0, z_res.NumElements(), 1).Plus(z_res)
			checkpnt.Check("15-f", minor)

			// Solve for x[:n]:
			//
			//    S*x[:n] = x[:n] - (W1**2 - W2**2)(W1**2 + W2**2)^-1 * x[n:]

			// w1 = (d1**2 - d2**2), w2 = (d1**2 + d2**2)
			w1 := matrix.Minus(matrix.Mul(d1, d1), matrix.Mul(d2, d2))
			w2 := matrix.Plus(matrix.Mul(d1, d1), matrix.Mul(d2, d2))

			// x[:n] += -mul( div(w1, w2), x[n:])
			x_n := x.SubMatrix(n, 0)
			x_val := matrix.Mul(matrix.Div(w1, w2), x_n).Scale(-1.0)
			x.SubMatrix(0, 0, n, 1).Plus(x_val)
			checkpnt.Check("25-f", minor)

			// Solve for x[n:]:
			//
			//    (d1**-2 + d2**-2) * x[n:] = x[n:] + (d1**-2 - d2**-2)*x[:n]

			err = lapack.Potrs(S, x)
			if err != nil {
				fmt.Printf("Potrs error: %s\n", err)
			}
			checkpnt.Check("30-f", minor)

			// Solve for x[n:]:
			//
			//    (d1**-2 + d2**-2) * x[n:] = x[n:] + (d1**-2 - d2**-2)*x[:n]

			// w1 = (d1**-2 - d2**-2), w2 = (d1**-2 + d2**-2)
			w1 = matrix.Minus(matrix.Mul(d1, d1).Inv(), matrix.Mul(d2, d2).Inv())
			w2 = matrix.Plus(matrix.Mul(d1, d1).Inv(), matrix.Mul(d2, d2).Inv())
			x_n = x.SubMatrix(0, 0, n, 1)

			// x[n:] += mul( d1**-2 - d2**-2, x[:n])
			x_val = matrix.Mul(w1, x_n)
			x.SubMatrix(n, 0, x_val.NumElements(), 1).Plus(x_val)
			checkpnt.Check("35-f", minor)

			// x[n:] = div( x[n:], d1**-2 + d2**-2)
			x_n = x.SubMatrix(n, 0)
			x_val = matrix.Div(x_n, w2)
			x.SubMatrix(n, 0, x_val.NumElements(), 1).Set(x_val)
			checkpnt.Check("40-f", minor)

			// x_n = x[:n], x-2n = x[n:2*n]
			x_n = x.SubMatrix(0, 0, n, 1)
			x_2n := x.SubMatrix(n, 0, n, 1)

			// z := z + W^-T * G*x
			// z[:n] += div( x[:n] - x[n:2*n], d1)
			x_val = matrix.Div(matrix.Minus(x_n, x_2n), d1)
			z.SubMatrix(0, 0, n, 1).Plus(x_val)
			checkpnt.Check("44-f", minor)

			// z[n:2*n] += div( -x[:n] - x[n:2*n], d2)
			x_val = matrix.Div(matrix.Plus(x_n, x_2n).Scale(-1.0), d2)
			z.SubMatrix(n, 0, n, 1).Plus(x_val)
			checkpnt.Check("48-f", minor)

			// z[2*n:] += As*x[:n]
			x_val = matrix.Times(As, x_n)
			z.SubMatrix(2*n, 0, x_val.NumElements(), 1).Plus(x_val)

			checkpnt.Check("50-f", minor)

			return nil
		}
		return
	}

	// matrix(n*[0.0] + n*[1.0])
	c := matrix.FloatZeros(2*n, 1)
	c.SubMatrix(n, 0).SetIndexes(1.0)

	h := matrix.FloatZeros(2*n+m+1, 1)
	h.SetIndexes(1.0, 2*n)
	// h[2*n+1:] = -b
	h.SubMatrix(2*n+1, 0).Plus(b).Scale(-1.0)
	G := &matrixFs{A}

	dims := sets.DSetNew("l", "q", "s")
	dims.Set("l", []int{2 * n})
	dims.Set("q", []int{m + 1})

	var solopts cvx.SolverOptions
	solopts.ShowProgress = true
	if maxIter > 0 {
		solopts.MaxIter = maxIter
	}
	if len(solver) > 0 {
		solopts.KKTSolverName = solver
	}
	return cvx.ConeLpCustomMatrix(c, G, h, nil, nil, dims, Fkkt, &solopts, nil, nil)
}