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1 // QPSOL.cc -*- C++ -*- |
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2 /* |
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3 |
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4 Copyright (C) 1992, 1993 John W. Eaton |
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5 |
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6 This file is part of Octave. |
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7 |
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8 Octave is free software; you can redistribute it and/or modify it |
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9 under the terms of the GNU General Public License as published by the |
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10 Free Software Foundation; either version 2, or (at your option) any |
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11 later version. |
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12 |
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13 Octave is distributed in the hope that it will be useful, but WITHOUT |
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14 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or |
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15 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License |
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16 for more details. |
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17 |
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18 You should have received a copy of the GNU General Public License |
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19 along with Octave; see the file COPYING. If not, write to the Free |
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20 Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA. |
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21 |
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22 */ |
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23 |
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238
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24 #ifdef HAVE_CONFIG_H |
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25 #include "config.h" |
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26 #endif |
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27 |
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28 #include <math.h> |
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29 #include <float.h> |
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30 |
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31 #ifndef QPSOL_MISSING |
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32 |
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33 #include "QPSOL.h" |
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34 #include "f77-uscore.h" |
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35 |
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36 extern "C" |
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37 { |
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38 int F77_FCN (qpsol) (int*, int*, int*, int*, int*, int*, int*, int*, |
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39 double*, double*, double*, double*, double*, |
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40 double*, double*, |
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41 int (*)(int*, int*, int*, int*, double*, |
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42 double*, double*), |
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43 int*, int*, int*, int*, double*, int*, int*, |
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44 double*, double*, int*, int*, double*, int*); |
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45 |
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46 int F77_FCN (dgemv) (const char*, const int*, const int*, |
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47 const double*, const double*, const int*, |
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48 const double*, const int*, const double*, |
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49 double*, const int*, long); |
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50 } |
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51 |
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52 int |
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53 qphess (int *pn, int *pnrowh, int *ncolh, int *pcol, double *hess, |
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54 double *x, double *hx) |
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55 { |
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56 int n = *pn; |
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57 int nrowh = *pnrowh; |
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58 int jthcol = *pcol; |
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59 |
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60 if (jthcol > 0) |
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61 { |
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62 int hp = (jthcol - 1) * nrowh; |
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63 for (int i = 0; i < n; i++) |
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64 hx[i] = hess[hp+i]; |
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65 } |
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66 else |
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67 { |
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68 char trans = 'N'; |
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69 double alpha = 1.0; |
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70 double beta = 0.0; |
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71 int i_one = 1; |
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72 |
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73 F77_FCN (dgemv) (&trans, pn, pn, &alpha, hess, pn, x, &i_one, |
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74 &beta, hx, &i_one, 1L); |
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75 } |
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76 |
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77 return 0; |
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78 } |
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79 |
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80 Vector |
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81 QPSOL::minimize (double& objf, int& inform, Vector& lambda) |
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82 { |
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83 int i; |
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84 |
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85 int n = x.capacity (); |
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86 |
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87 int itmax = (iteration_limit () < 0) ? 50 * n : iteration_limit (); |
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88 int msglvl = print_level (); |
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89 int nclin = lc.size (); |
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90 int nctotl = nclin + n; |
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91 |
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92 double bigbnd = infinite_bound (); |
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93 |
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94 double dummy; |
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95 double *pa = &dummy; |
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96 Matrix clin; |
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97 if (nclin > 0) |
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98 { |
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99 clin = lc.constraint_matrix (); |
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100 pa = clin.fortran_vec (); |
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101 } |
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102 |
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103 double *pbl = new double [nctotl]; |
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104 double *pbu = new double [nctotl]; |
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105 |
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106 if (bnds.size () > 0) |
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107 { |
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108 for (i = 0; i < n; i++) |
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109 { |
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110 pbl[i] = bnds.lower_bound (i); |
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111 pbu[i] = bnds.upper_bound (i); |
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112 } |
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113 } |
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114 else |
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115 { |
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116 for (i = 0; i < n; i++) |
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117 { |
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118 pbl[i] = -bigbnd; |
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119 pbu[i] = bigbnd; |
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120 } |
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121 } |
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122 |
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123 for (i = 0; i < nclin; i++) |
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124 { |
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125 pbl[i+n] = lc.lower_bound (i); |
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126 pbu[i+n] = lc.upper_bound (i); |
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127 } |
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128 |
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129 double *pc = c.fortran_vec (); |
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130 |
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131 double *featol = new double [nctotl]; |
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132 double tmp = feasibility_tolerance (); |
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133 for (i = 0; i < nctotl; i++) |
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134 featol[i] = tmp; |
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135 |
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136 double *ph = H.fortran_vec (); |
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137 |
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138 int cold = 1; |
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139 int lp = 0; |
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140 int orthog = 1; |
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141 |
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142 int *istate = new int [nctotl]; |
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143 |
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144 double *px = x.fortran_vec (); |
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145 |
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146 int iter = 0; |
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147 lambda.resize (nctotl); |
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148 double *pclambda = lambda.fortran_vec (); |
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149 |
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150 int leniw = 2 * n; |
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151 |
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152 int lenw; |
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153 int ncon = nclin > 1 ? nclin : 1; |
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154 if (lp == 0 || nclin >= n) |
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155 lenw = 2*n*(n + 2) + nclin + 2*ncon; |
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156 else |
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157 lenw = 2*ncon*(1 + ncon) + 4*n + nclin; |
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158 |
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159 int *iw = new int [leniw]; |
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160 double *w = new double [lenw]; |
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161 |
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162 F77_FCN (qpsol) (&itmax, &msglvl, &n, &nclin, &nctotl, &ncon, &n, |
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163 &n, &bigbnd, pa, pbl, pbu, pc, featol, ph, qphess, |
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164 &cold, &lp, &orthog, istate, px, &inform, &iter, |
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165 &objf, pclambda, iw, &leniw, w, &lenw); |
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166 |
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167 delete [] featol; |
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168 delete [] istate; |
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169 delete [] iw; |
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170 delete [] w; |
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171 |
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172 return x; |
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173 } |
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174 |
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175 QPSOL_options::QPSOL_options (void) |
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176 { |
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177 init (); |
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178 } |
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179 |
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180 QPSOL_options::QPSOL_options (const QPSOL_options& opt) |
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181 { |
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182 copy (opt); |
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183 } |
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184 |
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185 QPSOL_options& |
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186 QPSOL_options::operator = (const QPSOL_options& opt) |
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187 { |
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188 if (this != &opt) |
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189 copy (opt); |
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190 |
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191 return *this; |
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192 } |
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193 |
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194 QPSOL_options::~QPSOL_options (void) |
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195 { |
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196 } |
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197 |
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198 void |
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199 QPSOL_options::init (void) |
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200 { |
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201 x_feasibility_tolerance = sqrt (DBL_EPSILON); |
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202 x_infinite_bound = 1.0e+30; |
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203 x_iteration_limit = -1; |
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204 x_print_level = 0; |
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205 } |
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206 |
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207 void |
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208 QPSOL_options::copy (const QPSOL_options& opt) |
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209 { |
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210 x_feasibility_tolerance = opt.x_feasibility_tolerance; |
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211 x_infinite_bound = opt.x_infinite_bound; |
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212 x_iteration_limit = opt.x_iteration_limit; |
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213 x_print_level = opt.x_print_level; |
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214 } |
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215 |
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216 void |
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217 QPSOL_options::set_default_options (void) |
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218 { |
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219 init (); |
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220 } |
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221 |
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222 void |
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223 QPSOL_options::set_feasibility_tolerance (double val) |
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224 { |
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225 x_feasibility_tolerance = (val > 0.0) ? val : sqrt (DBL_EPSILON); |
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226 } |
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227 |
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228 void |
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229 QPSOL_options::set_infinite_bound (double val) |
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230 { |
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231 x_infinite_bound = (val > 0.0) ? val : 1.0e+30; |
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232 } |
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233 |
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234 void |
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235 QPSOL_options::set_iteration_limit (int val) |
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236 { |
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237 x_iteration_limit = (val > 0) ? val : -1; |
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238 } |
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239 |
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240 void |
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241 QPSOL_options::set_print_level (int val) |
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242 { |
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243 x_print_level = (val >= 0) ? val : 0; |
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244 } |
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245 |
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246 double |
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247 QPSOL_options::feasibility_tolerance (void) |
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248 { |
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249 return x_feasibility_tolerance; |
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250 } |
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251 |
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252 double |
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253 QPSOL_options::infinite_bound (void) |
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254 { |
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255 return x_infinite_bound; |
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256 } |
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257 |
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258 int |
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259 QPSOL_options::iteration_limit (void) |
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260 { |
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261 return x_iteration_limit; |
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262 } |
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263 |
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264 int |
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265 QPSOL_options::print_level (void) |
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266 { |
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267 return x_print_level; |
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268 } |
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269 |
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270 #endif /* QPSOL_MISSING */ |
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271 |
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272 /* |
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273 ;;; Local Variables: *** |
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274 ;;; mode: C++ *** |
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275 ;;; page-delimiter: "^/\\*" *** |
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276 ;;; End: *** |
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277 */ |
