Mercurial > octave
view libinterp/corefcn/__qp__.cc @ 21200:fcac5dbbf9ed
maint: Indent #ifdef blocks in libinterp.
* builtins.h, Cell.cc, __contourc__.cc, __dispatch__.cc, __dsearchn__.cc,
__ichol__.cc, __ilu__.cc, __lin_interpn__.cc, __pchip_deriv__.cc, __qp__.cc,
balance.cc, besselj.cc, betainc.cc, bitfcns.cc, bsxfun.cc,
c-file-ptr-stream.cc, c-file-ptr-stream.h, cellfun.cc, colloc.cc,
comment-list.cc, conv2.cc, daspk.cc, dasrt.cc, dassl.cc, data.cc, debug.cc,
defaults.cc, defaults.in.h, defun-dld.h, defun.cc, defun.h, det.cc, dirfns.cc,
display.cc, dlmread.cc, dot.cc, dynamic-ld.cc, eig.cc, ellipj.cc, error.cc,
errwarn.cc, event-queue.cc, fft.cc, fft2.cc, fftn.cc, file-io.cc, filter.cc,
find.cc, gammainc.cc, gcd.cc, getgrent.cc, getpwent.cc, getrusage.cc,
givens.cc, gl-render.cc, gl2ps-print.cc, graphics.cc, graphics.in.h, gripes.cc,
hash.cc, help.cc, hess.cc, hex2num.cc, input.cc, inv.cc, jit-ir.cc,
jit-typeinfo.cc, jit-util.cc, jit-util.h, kron.cc, load-path.cc, load-save.cc,
lookup.cc, ls-ascii-helper.cc, ls-hdf5.cc, ls-mat-ascii.cc, ls-mat4.cc,
ls-mat5.cc, ls-oct-binary.cc, ls-oct-text.cc, ls-oct-text.h, ls-utils.cc,
ls-utils.h, lsode.cc, lu.cc, luinc.cc, mappers.cc, matrix_type.cc, max.cc,
mex.h, mexproto.h, mgorth.cc, nproc.cc, oct-errno.in.cc, oct-fstrm.cc,
oct-hdf5-types.cc, oct-hdf5.h, oct-hist.cc, oct-iostrm.cc, oct-lvalue.cc,
oct-map.cc, oct-prcstrm.cc, oct-procbuf.cc, oct-stream.cc, oct-strstrm.cc,
octave-link.cc, ordschur.cc, pager.cc, pinv.cc, pr-output.cc, procstream.cc,
profiler.cc, psi.cc, pt-jit.cc, quad.cc, quadcc.cc, qz.cc, rand.cc, rcond.cc,
regexp.cc, schur.cc, sighandlers.cc, sparse-xdiv.cc, sparse-xpow.cc, sparse.cc,
spparms.cc, sqrtm.cc, str2double.cc, strfind.cc, strfns.cc, sub2ind.cc, svd.cc,
sylvester.cc, symtab.cc, syscalls.cc, sysdep.cc, sysdep.h, time.cc, toplev.cc,
tril.cc, tsearch.cc, txt-eng-ft.cc, txt-eng.cc, typecast.cc, urlwrite.cc,
utils.cc, variables.cc, xdiv.cc, xnorm.cc, xpow.cc, zfstream.cc,
__delaunayn__.cc, __eigs__.cc, __fltk_uigetfile__.cc, __glpk__.cc,
__init_fltk__.cc, __init_gnuplot__.cc, __magick_read__.cc, __osmesa_print__.cc,
__voronoi__.cc, amd.cc, audiodevinfo.cc, audioread.cc, ccolamd.cc, chol.cc,
colamd.cc, convhulln.cc, dmperm.cc, fftw.cc, oct-qhull.h, qr.cc, symbfact.cc,
symrcm.cc, oct-conf.in.cc, ov-base-diag.cc, ov-base-int.cc, ov-base-mat.cc,
ov-base-scalar.cc, ov-base-sparse.cc, ov-base.cc, ov-bool-mat.cc,
ov-bool-sparse.cc, ov-bool.cc, ov-builtin.cc, ov-cell.cc, ov-ch-mat.cc,
ov-class.cc, ov-classdef.cc, ov-colon.cc, ov-complex.cc, ov-cs-list.cc,
ov-cx-diag.cc, ov-cx-mat.cc, ov-cx-sparse.cc, ov-dld-fcn.cc, ov-fcn-handle.cc,
ov-fcn-inline.cc, ov-fcn.cc, ov-float.cc, ov-flt-complex.cc, ov-flt-cx-diag.cc,
ov-flt-cx-mat.cc, ov-flt-re-diag.cc, ov-flt-re-mat.cc, ov-int16.cc,
ov-int32.cc, ov-int64.cc, ov-int8.cc, ov-java.cc, ov-lazy-idx.cc,
ov-mex-fcn.cc, ov-null-mat.cc, ov-oncleanup.cc, ov-perm.cc, ov-range.cc,
ov-re-diag.cc, ov-re-mat.cc, ov-re-sparse.cc, ov-scalar.cc, ov-str-mat.cc,
ov-struct.cc, ov-typeinfo.cc, ov-uint16.cc, ov-uint32.cc, ov-uint64.cc,
ov-uint8.cc, ov-usr-fcn.cc, ov.cc, ovl.cc, octave.cc, op-b-b.cc, op-b-bm.cc,
op-b-sbm.cc, op-bm-b.cc, op-bm-bm.cc, op-bm-sbm.cc, op-cdm-cdm.cc, op-cell.cc,
op-chm.cc, op-class.cc, op-cm-cm.cc, op-cm-cs.cc, op-cm-m.cc, op-cm-s.cc,
op-cm-scm.cc, op-cm-sm.cc, op-cs-cm.cc, op-cs-cs.cc, op-cs-m.cc, op-cs-s.cc,
op-cs-scm.cc, op-cs-sm.cc, op-dm-dm.cc, op-dm-scm.cc, op-dm-sm.cc,
op-dm-template.cc, op-dms-template.cc, op-double-conv.cc, op-fcdm-fcdm.cc,
op-fcdm-fdm.cc, op-fcm-fcm.cc, op-fcm-fcs.cc, op-fcm-fm.cc, op-fcm-fs.cc,
op-fcn.cc, op-fcs-fcm.cc, op-fcs-fcs.cc, op-fcs-fm.cc, op-fcs-fs.cc,
op-fdm-fdm.cc, op-float-conv.cc, op-fm-fcm.cc, op-fm-fcs.cc, op-fm-fm.cc,
op-fm-fs.cc, op-fs-fcm.cc, op-fs-fcs.cc, op-fs-fm.cc, op-fs-fs.cc,
op-i16-i16.cc, op-i32-i32.cc, op-i64-i64.cc, op-i8-i8.cc, op-int-concat.cc,
op-int-conv.cc, op-m-cm.cc, op-m-cs.cc, op-m-m.cc, op-m-s.cc, op-m-scm.cc,
op-m-sm.cc, op-pm-pm.cc, op-pm-scm.cc, op-pm-sm.cc, op-pm-template.cc,
op-range.cc, op-s-cm.cc, op-s-cs.cc, op-s-m.cc, op-s-s.cc, op-s-scm.cc,
op-s-sm.cc, op-sbm-b.cc, op-sbm-bm.cc, op-sbm-sbm.cc, op-scm-cm.cc,
op-scm-cs.cc, op-scm-m.cc, op-scm-s.cc, op-scm-scm.cc, op-scm-sm.cc,
op-sm-cm.cc, op-sm-cs.cc, op-sm-m.cc, op-sm-s.cc, op-sm-scm.cc, op-sm-sm.cc,
op-str-m.cc, op-str-s.cc, op-str-str.cc, op-struct.cc, op-ui16-ui16.cc,
op-ui32-ui32.cc, op-ui64-ui64.cc, op-ui8-ui8.cc, pt-arg-list.cc,
pt-array-list.cc, pt-assign.cc, pt-binop.cc, pt-bp.cc, pt-cbinop.cc,
pt-cell.cc, pt-check.cc, pt-classdef.cc, pt-cmd.cc, pt-colon.cc, pt-colon.h,
pt-const.cc, pt-decl.cc, pt-eval.cc, pt-except.cc, pt-exp.cc, pt-fcn-handle.cc,
pt-funcall.cc, pt-id.cc, pt-idx.cc, pt-jump.cc, pt-loop.cc, pt-mat.cc,
pt-misc.cc, pt-pr-code.cc, pt-select.cc, pt-stmt.cc, pt-unop.cc, pt.cc,
token.cc, Array-jit.cc, Array-os.cc, Array-sym.cc, Array-tc.cc, version.cc:
Indent #ifdef blocks in libinterp.
author | Rik <rik@octave.org> |
---|---|
date | Fri, 05 Feb 2016 16:29:08 -0800 |
parents | e39e05d90788 |
children | 3c8a3d35661a |
line wrap: on
line source
/* Copyright (C) 2000-2015 Gabriele Pannocchia This file is part of Octave. Octave is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 3 of the License, or (at your option) any later version. Octave is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with Octave; see the file COPYING. If not, see <http://www.gnu.org/licenses/>. */ #ifdef HAVE_CONFIG_H # include <config.h> #endif #include <cfloat> #include "dbleCHOL.h" #include "dbleSVD.h" #include "mx-m-dm.h" #include "EIG.h" #include "defun.h" #include "error.h" #include "errwarn.h" #include "ovl.h" #include "pr-output.h" #include "utils.h" static Matrix null (const Matrix& A, octave_idx_type& rank) { Matrix retval; rank = 0; if (! A.is_empty ()) { SVD A_svd (A); DiagMatrix S = A_svd.singular_values (); ColumnVector s = S.extract_diag (); Matrix V = A_svd.right_singular_matrix (); octave_idx_type A_nr = A.rows (); octave_idx_type A_nc = A.cols (); octave_idx_type tmp = A_nr > A_nc ? A_nr : A_nc; double tol = tmp * s(0) * std::numeric_limits<double>::epsilon (); octave_idx_type n = s.numel (); for (octave_idx_type i = 0; i < n; i++) { if (s(i) > tol) rank++; } if (rank < A_nc) retval = V.extract (0, rank, A_nc-1, A_nc-1); else retval.resize (A_nc, 0); for (octave_idx_type i = 0; i < retval.numel (); i++) if (std::abs (retval(i)) < std::numeric_limits<double>::epsilon ()) retval(i) = 0; } return retval; } static int qp (const Matrix& H, const ColumnVector& q, const Matrix& Aeq, const ColumnVector& beq, const Matrix& Ain, const ColumnVector& bin, int maxit, ColumnVector& x, ColumnVector& lambda, int& iter) { int info = 0; iter = 0; double rtol = sqrt (std::numeric_limits<double>::epsilon ()); // Problem dimension. octave_idx_type n = x.numel (); // Dimension of constraints. octave_idx_type n_eq = beq.numel (); octave_idx_type n_in = bin.numel (); // Filling the current active set. octave_idx_type n_act = n_eq; octave_idx_type n_tot = n_eq + n_in; // Equality constraints come first. We won't check the sign of the // Lagrange multiplier for those. Matrix Aact = Aeq; ColumnVector bact = beq; ColumnVector Wact; if (n_in > 0) { ColumnVector res = Ain*x - bin; for (octave_idx_type i = 0; i < n_in; i++) { res(i) /= (1.0 + std::abs (bin(i))); if (res(i) < rtol) { n_act++; Aact = Aact.stack (Ain.row (i)); bact.resize (n_act, bin(i)); Wact.resize (n_act-n_eq, i); } } } // Computing the ??? EIG eigH; try { eigH = EIG (H); } catch (octave_execution_exception& e) { error (e, "qp: failed to compute eigenvalues of H"); } ColumnVector eigenvalH = real (eigH.eigenvalues ()); Matrix eigenvecH = real (eigH.eigenvectors ()); double minReal = eigenvalH.min (); octave_idx_type indminR = 0; for (octave_idx_type i = 0; i < n; i++) { if (minReal == eigenvalH(i)) { indminR = i; break; } } bool done = false; double alpha = 0.0; Matrix R; Matrix Y (n, 0, 0.0); ColumnVector g (n, 0.0); ColumnVector p (n, 0.0); ColumnVector lambda_tmp (n_in, 0.0); while (! done) { iter++; // Current Gradient // g = q + H * x; g = q + H * x; if (n_act == 0) { // There are no active constraints. if (minReal > 0.0) { // Inverting the Hessian. Using the Cholesky // factorization since the Hessian is positive // definite. CHOL cholH (H); R = cholH.chol_matrix (); Matrix Hinv = chol2inv (R); // Computing the unconstrained step. // p = -Hinv * g; p = -Hinv * g; info = 0; } else { // Finding the negative curvature of H. p = eigenvecH.column (indminR); // Following the negative curvature of H. if (p.transpose () * g > std::numeric_limits<double>::epsilon ()) p = -p; info = 1; } // Multipliers are zero. lambda_tmp.fill (0.0); } else { // There are active constraints. // Computing the null space. octave_idx_type rank; Matrix Z = null (Aact, rank); octave_idx_type dimZ = n - rank; // FIXME: still remain to handle the case of // non-full rank active set matrix. // Computing the Y matrix (orthogonal to Z) Y = Aact.pseudo_inverse (); // Reduced Hessian Matrix Zt = Z.transpose (); Matrix rH = Zt * H * Z; octave_idx_type pR = 0; if (dimZ > 0) { // Computing the Cholesky factorization (pR = 0 means // that the reduced Hessian was positive definite). CHOL cholrH (rH, pR); Matrix tR = cholrH.chol_matrix (); if (pR == 0) R = tR; } if (pR == 0) { info = 0; // Computing the step pz. if (dimZ > 0) { // Using the Cholesky factorization to invert rH Matrix rHinv = chol2inv (R); ColumnVector pz = -rHinv * Zt * g; // Global step. p = Z * pz; } else { // Global step. p.fill (0.0); } } else { info = 1; // Searching for the most negative curvature. EIG eigrH; try { eigrH = EIG (rH); } catch (octave_execution_exception& e) { error (e, "qp: failed to compute eigenvalues of rH"); } ColumnVector eigenvalrH = real (eigrH.eigenvalues ()); Matrix eigenvecrH = real (eigrH.eigenvectors ()); double mRrH = eigenvalrH.min (); indminR = 0; for (octave_idx_type i = 0; i < n; i++) { if (mRrH == eigenvalH(i)) { indminR = i; break; } } ColumnVector eVrH = eigenvecrH.column (indminR); // Computing the step pz. p = Z * eVrH; if (p.transpose () * g > std::numeric_limits<double>::epsilon ()) p = -p; } } // Checking the step-size. ColumnVector abs_p (n); for (octave_idx_type i = 0; i < n; i++) abs_p(i) = std::abs (p(i)); double max_p = abs_p.max (); if (max_p < rtol) { // The step is null. Checking constraints. if (n_act - n_eq == 0) // Solution is found because no inequality // constraints are active. done = true; else { // Computing the multipliers only for the inequality // constraints that are active. We do NOT compute // multipliers for the equality constraints. Matrix Yt = Y.transpose (); Yt = Yt.extract_n (n_eq, 0, n_act-n_eq, n); lambda_tmp = Yt * (g + H * p); // Checking the multipliers. We remove the most // negative from the set (if any). double min_lambda = lambda_tmp.min (); if (min_lambda >= 0) { // Solution is found. done = true; } else { octave_idx_type which_eig = 0; for (octave_idx_type i = 0; i < n_act; i++) { if (lambda_tmp(i) == min_lambda) { which_eig = i; break; } } // At least one multiplier is negative, we // remove it from the set. n_act--; for (octave_idx_type i = which_eig; i < n_act - n_eq; i++) { Wact(i) = Wact(i+1); for (octave_idx_type j = 0; j < n; j++) Aact(n_eq+i,j) = Aact(n_eq+i+1,j); bact(n_eq+i) = bact(n_eq+i+1); } // Resizing the active set. Wact.resize (n_act-n_eq); bact.resize (n_act); Aact.resize (n_act, n); } } } else { // The step is not null. if (n_act - n_eq == n_in) { // All inequality constraints were active. We can // add the whole step. x += p; } else { // Some constraints were not active. Checking if // there is a blocking constraint. alpha = 1.0; octave_idx_type is_block = -1; for (octave_idx_type i = 0; i < n_in; i++) { bool found = false; for (octave_idx_type j = 0; j < n_act-n_eq; j++) { if (Wact(j) == i) { found = true; break; } } if (! found) { // The i-th constraint was not in the set. Is it a // blocking constraint? RowVector tmp_row = Ain.row (i); double tmp = tmp_row * p; double res = tmp_row * x; if (tmp < 0.0) { double alpha_tmp = (bin(i) - res) / tmp; if (alpha_tmp < alpha) { alpha = alpha_tmp; is_block = i; } } } } // In is_block there is the index of the blocking // constraint (if any). if (is_block >= 0) { // There is a blocking constraint (index in // is_block) which is added to the active set. n_act++; Aact = Aact.stack (Ain.row (is_block)); bact.resize (n_act, bin(is_block)); Wact.resize (n_act-n_eq, is_block); // Adding the reduced step x += alpha * p; } else { // There are no blocking constraints. Adding the // whole step. x += alpha * p; } } } if (iter == maxit) { done = true; // warning ("qp_main: maximum number of iteration reached"); info = 3; } } lambda_tmp = Y.transpose () * (g + H * p); // Reordering the Lagrange multipliers. lambda.resize (n_tot); lambda.fill (0.0); for (octave_idx_type i = 0; i < n_eq; i++) lambda(i) = lambda_tmp(i); for (octave_idx_type i = n_eq; i < n_tot; i++) { for (octave_idx_type j = 0; j < n_act-n_eq; j++) { if (Wact(j) == i - n_eq) { lambda(i) = lambda_tmp(n_eq+j); break; } } } return info; } DEFUN (__qp__, args, , "-*- texinfo -*-\n\ @deftypefn {} {[@var{x}, @var{lambda}, @var{info}, @var{iter}] =} __qp__ (@var{x0}, @var{H}, @var{q}, @var{Aeq}, @var{beq}, @var{Ain}, @var{bin}, @var{maxit})\n\ Undocumented internal function.\n\ @end deftypefn") { if (args.length () != 8) print_usage (); const ColumnVector x0 (args(0).vector_value ()); const Matrix H (args(1).matrix_value ()); const ColumnVector q (args(2).vector_value ()); const Matrix Aeq (args(3).matrix_value ()); const ColumnVector beq (args(4).vector_value ()); const Matrix Ain (args(5).matrix_value ()); const ColumnVector bin (args(6).vector_value ()); const int maxit (args(7).int_value ()); int iter = 0; // Copy the initial guess into the working variable ColumnVector x = x0; // Reordering the Lagrange multipliers ColumnVector lambda; int info = qp (H, q, Aeq, beq, Ain, bin, maxit, x, lambda, iter); return ovl (x, lambda, info, iter); } /* ## No test needed for internal helper function. %!assert (1) */