Mercurial > octave
annotate scripts/optimization/pqpnonneg.m @ 10200:7c1b1c084af1
handle cholesky update failure in pqpnonneg
| author | Jaroslav Hajek <highegg@gmail.com> |
|---|---|
| date | Tue, 26 Jan 2010 09:48:07 +0100 |
| parents | 36d885c4a1ac |
| children | d1978e7364ad |
| rev | line source |
|---|---|
| 9635 | 1 ## Copyright (C) 2008 Bill Denney |
| 2 ## Copyright (C) 2008 Jaroslav Hajek | |
| 3 ## Copyright (C) 2009 VZLU Prague | |
| 4 ## | |
| 5 ## This file is part of Octave. | |
| 6 ## | |
| 7 ## Octave is free software; you can redistribute it and/or modify it | |
| 8 ## under the terms of the GNU General Public License as published by | |
| 9 ## the Free Software Foundation; either version 3 of the License, or (at | |
| 10 ## your option) any later version. | |
| 11 ## | |
| 12 ## Octave is distributed in the hope that it will be useful, but | |
| 13 ## WITHOUT ANY WARRANTY; without even the implied warranty of | |
| 14 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 15 ## General Public License for more details. | |
| 16 ## | |
| 17 ## You should have received a copy of the GNU General Public License | |
| 18 ## along with Octave; see the file COPYING. If not, see | |
| 19 ## <http://www.gnu.org/licenses/>. | |
| 20 | |
| 21 ## -*- texinfo -*- | |
| 22 ## @deftypefn {Function File} {@var{x} =} pqpnonneg (@var{c}, @var{d}) | |
| 23 ## @deftypefnx {Function File} {@var{x} =} pqpnonneg (@var{c}, @var{d}, @var{x0}) | |
| 24 ## @deftypefnx {Function File} {[@var{x}, @var{minval}] =} pqpnonneg (@dots{}) | |
| 25 ## @deftypefnx {Function File} {[@var{x}, @var{minval}, @var{exitflag}] =} pqpnonneg (@dots{}) | |
| 26 ## @deftypefnx {Function File} {[@var{x}, @var{minval}, @var{exitflag}, @var{output}] =} pqpnonneg (@dots{}) | |
| 27 ## @deftypefnx {Function File} {[@var{x}, @var{minval}, @var{exitflag}, @var{output}, @var{lambda}] =} pqpnonneg (@dots{}) | |
| 28 ## Minimize @code{1/2*x'*c*x + d'*x} subject to @code{@var{x} >= | |
| 29 ## 0}. @var{c} and @var{d} must be real, and @var{c} must be symmetric and positive definite. | |
| 30 ## @var{x0} is an optional initial guess for @var{x}. | |
| 31 ## | |
| 32 ## Outputs: | |
| 33 ## @itemize @bullet | |
| 34 ## @item minval | |
| 35 ## | |
| 36 ## The minimum attained model value, 1/2*xmin'*c*xmin + d'*xmin | |
| 37 ## @item exitflag | |
| 38 ## | |
| 39 ## An indicator of convergence. 0 indicates that the iteration count | |
| 40 ## was exceeded, and therefore convergence was not reached; >0 indicates | |
| 41 ## that the algorithm converged. (The algorithm is stable and will | |
| 42 ## converge given enough iterations.) | |
| 43 ## @item output | |
| 44 ## | |
| 45 ## A structure with two fields: | |
| 46 ## @itemize @bullet | |
| 47 ## @item "algorithm": The algorithm used ("nnls") | |
| 48 ## @item "iterations": The number of iterations taken. | |
| 49 ## @end itemize | |
| 50 ## @item lambda | |
| 51 ## | |
| 52 ## Not implemented. | |
| 53 ## @end itemize | |
| 54 ## @seealso{optimset, lsqnonneg, qp} | |
| 55 ## @end deftypefn | |
| 56 | |
| 57 ## PKG_ADD: __all_opts__ ("pqpnonneg"); | |
| 58 | |
| 59 ## This is analogical to the lsqnonneg implementation, which is | |
| 60 ## implemented from Lawson and Hanson's 1973 algorithm on page | |
| 61 ## 161 of Solving Least Squares Problems. | |
| 62 ## It shares the convergence guarantees. | |
| 63 | |
| 64 function [x, minval, exitflag, output, lambda] = pqpnonneg (c, d, x = [], options = struct ()) | |
| 65 | |
| 66 if (nargin == 1 && ischar (c) && strcmp (c, 'defaults')) | |
| 67 x = optimset ("MaxIter", 1e5); | |
| 68 return | |
| 69 endif | |
| 70 | |
| 71 if (! (nargin >= 2 && nargin <= 4 && ismatrix (c) && ismatrix (d) && isstruct (options))) | |
| 72 print_usage (); | |
| 73 endif | |
| 74 | |
| 75 ## Lawson-Hanson Step 1 (LH1): initialize the variables. | |
| 76 m = rows (c); | |
| 77 n = columns (c); | |
| 78 if (m != n) | |
| 79 error ("matrix must be square"); | |
| 80 endif | |
| 81 | |
| 82 if (isempty (x)) | |
| 83 ## Initial guess is 0s. | |
| 84 x = zeros (n, 1); | |
| 85 else | |
| 86 ## ensure nonnegative guess. | |
| 87 x = max (x, 0); | |
| 88 endif | |
| 89 | |
| 90 max_iter = optimget (options, "MaxIter", 1e5); | |
| 91 | |
| 92 ## Initialize P, according to zero pattern of x. | |
| 93 p = find (x > 0).'; | |
| 94 ## Initialize the Cholesky factorization. | |
| 95 r = chol (c(p, p)); | |
| 96 usechol = true; | |
| 97 | |
| 98 iter = 0; | |
| 99 | |
| 100 ## LH3: test for completion. | |
| 101 while (iter < max_iter) | |
| 102 while (iter < max_iter) | |
| 103 iter++; | |
| 104 | |
| 105 ## LH6: compute the positive matrix and find the min norm solution | |
| 106 ## of the positive problem. | |
| 107 if (usechol) | |
| 108 xtmp = -(r \ (r' \ d(p))); | |
| 109 else | |
| 110 xtmp = -(c(p,p) \ d(p)); | |
| 111 endif | |
| 112 idx = find (xtmp < 0); | |
| 113 | |
| 114 if (isempty (idx)) | |
| 115 ## LH7: tmp solution found, iterate. | |
| 116 x(:) = 0; | |
| 117 x(p) = xtmp; | |
| 118 break; | |
| 119 else | |
| 120 ## LH8, LH9: find the scaling factor. | |
| 121 pidx = p(idx); | |
| 122 sf = x(pidx)./(x(pidx) - xtmp(idx)); | |
| 123 alpha = min (sf); | |
| 124 ## LH10: adjust X. | |
| 125 xx = zeros (n, 1); | |
| 126 xx(p) = xtmp; | |
| 127 x += alpha*(xx - x); | |
| 128 ## LH11: move from P to Z all X == 0. | |
| 129 ## This corresponds to those indices where minimum of sf is attained. | |
| 130 idx = idx (sf == alpha); | |
| 131 p(idx) = []; | |
| 132 if (usechol) | |
| 133 ## update the Cholesky factorization. | |
| 134 r = choldelete (r, idx); | |
| 135 endif | |
| 136 endif | |
| 137 endwhile | |
| 138 | |
| 139 ## compute the gradient. | |
| 140 w = -(d + c*x); | |
| 141 w(p) = []; | |
| 142 if (! any (w > 0)) | |
| 143 if (usechol) | |
| 144 ## verify the solution achieved using qr updating. | |
| 145 ## in the best case, this should only take a single step. | |
| 146 usechol = false; | |
| 147 continue; | |
| 148 else | |
| 149 ## we're finished. | |
| 150 break; | |
| 151 endif | |
| 152 endif | |
| 153 | |
| 154 ## find the maximum gradient. | |
| 155 idx = find (w == max (w)); | |
| 156 if (numel (idx) > 1) | |
| 157 warning ("pqpnonneg:nonunique", | |
| 158 "A non-unique solution may be returned due to equal gradients."); | |
| 159 idx = idx(1); | |
| 160 endif | |
| 161 ## move the index from Z to P. Keep P sorted. | |
| 162 z = [1:n]; z(p) = []; | |
| 163 zidx = z(idx); | |
| 164 jdx = 1 + lookup (p, zidx); | |
| 165 p = [p(1:jdx-1), zidx, p(jdx:end)]; | |
| 166 if (usechol) | |
| 167 ## insert the column into the Cholesky factorization. | |
|
10200
7c1b1c084af1
handle cholesky update failure in pqpnonneg
Jaroslav Hajek <highegg@gmail.com>
parents:
9635
diff
changeset
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168 [r, bad] = cholinsert (r, jdx, c(p,zidx)); |
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7c1b1c084af1
handle cholesky update failure in pqpnonneg
Jaroslav Hajek <highegg@gmail.com>
parents:
9635
diff
changeset
|
169 if (bad) |
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7c1b1c084af1
handle cholesky update failure in pqpnonneg
Jaroslav Hajek <highegg@gmail.com>
parents:
9635
diff
changeset
|
170 ## If the insertion failed, we switch off updates and go on. |
|
7c1b1c084af1
handle cholesky update failure in pqpnonneg
Jaroslav Hajek <highegg@gmail.com>
parents:
9635
diff
changeset
|
171 usechol = false; |
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7c1b1c084af1
handle cholesky update failure in pqpnonneg
Jaroslav Hajek <highegg@gmail.com>
parents:
9635
diff
changeset
|
172 endif |
| 9635 | 173 endif |
| 174 | |
| 175 endwhile | |
| 176 ## LH12: complete. | |
| 177 | |
| 178 ## Generate the additional output arguments. | |
| 179 if (nargout > 1) | |
| 180 minval = 1/2*(x'*c*x) + d'*x; | |
| 181 endif | |
| 182 exitflag = iter; | |
| 183 if (nargout > 2 && iter >= max_iter) | |
| 184 exitflag = 0; | |
| 185 endif | |
| 186 if (nargout > 3) | |
| 187 output = struct ("algorithm", "nnls-pqp", "iterations", iter); | |
| 188 endif | |
| 189 if (nargout > 4) | |
| 190 lambda = zeros (size (x)); | |
| 191 lambda(p) = w; | |
| 192 endif | |
| 193 | |
| 194 endfunction | |
| 195 | |
| 196 ## Tests | |
| 197 %!test | |
| 198 %! C = [5 2;2 2]; | |
| 199 %! d = [3; -1]; | |
| 200 %! assert (pqpnonneg (C, d), [0;0.5], 100*eps) | |
| 201 | |
| 202 ## Test equivalence of lsq and pqp | |
| 203 %!test | |
| 204 %! C = rand (20, 10); | |
| 205 %! d = rand (20, 1); | |
| 206 %! assert (pqpnonneg (C'*C, -C'*d), lsqnonneg (C, d), 100*eps) |