MoochoPack::PBFGSPack Namespace Reference


Helper functions for PBFGS updating.

bool act_set_calmed_down (const ActSetStats &act_set_stats, const value_type act_set_frac_proj_start, EJournalOutputLevel olevel, std::ostream &out)
 Determine if the active set has calmed down enough and print this test.
void init_i_x_free_sRTsR_sRTyR (const SpVectorSlice &nu_indep, const DVectorSlice &s, const DVectorSlice &y, size_type *n_pz_R, size_type i_x_free[], value_type *sRTsR, value_type *sRTyR)
 Initialize i_x_free[], s_R'*s_R and s_R'*y_R for free variables not in nu_indep.
void sort_fixed_max_cond_viol (const SpVectorSlice &nu_indep, const DVectorSlice &s, const DVectorSlice &y, const DVectorSlice &B_XX, const value_type sRTBRRsR, const value_type sRTyR, value_type *sXTBXXsX, value_type *sXTyX, size_type l_x_fixed_sorted[])
 Sort fixed variables according to the condition:.
void choose_fixed_free (const value_type project_error_tol, const value_type super_basic_mult_drop_tol, const SpVectorSlice &nu_indep, const DVectorSlice &s, const DVectorSlice &y, const DVectorSlice &B_XX, const size_type l_x_fixed_sorted[], EJournalOutputLevel olevel, std::ostream &out, value_type *sRTBRRsR, value_type *sRTyR, value_type *sXTBXXsX, value_type *sXTyX, size_type *n_pz_X, size_type *n_pz_R, size_type i_x_free[], size_type i_x_fixed[], ConstrainedOptPack::EBounds bnd_fixed[])
 Choose the rest of i_x_free[] and i_x_fixed[].


Function Documentation

bool MoochoPack::PBFGSPack::act_set_calmed_down ( const ActSetStats &  act_set_stats,
const value_type  act_set_frac_proj_start,
EJournalOutputLevel  olevel,
std::ostream &  out 
)

Determine if the active set has calmed down enough and print this test.

This function will return true if: {verbatim} ( num_adds_indep == NOT_KNOWN || num_drops_indep == NOT_KNOWN || num_active_indep == 0 ? 0.0 : std::_MAX(((double)(num_active_indep)-num_adds_indep-num_drops_indep) / num_active_indep, 0.0 ) >= act_set_frac_proj_start && num_active_indep > 0 {verbatim} Otherwise this function will return false.

void MoochoPack::PBFGSPack::init_i_x_free_sRTsR_sRTyR ( const SpVectorSlice &  nu_indep,
const DVectorSlice &  s,
const DVectorSlice &  y,
size_type n_pz_R,
size_type  i_x_free[],
value_type *  sRTsR,
value_type *  sRTyR 
)

Initialize i_x_free[], s_R'*s_R and s_R'*y_R for free variables not in nu_indep.

Parameters:
nu_indep [in] Sparse vector (n_pz = nu_indep.size(), n_pz_R = n_pz - nu_indep.nz()) of Lagrange multipliers for the independent variables.
s [in] DVector (size n_pz) secant update vector for B*s=y
y [in] DVector (size n_pz) secant update vector for B*s=y
n_pz_R [out] Number of free super basic variables (n_pz_R = n_pz - nu_indep.nz())
i_x_free [out] Array (size n_pz_R) of indices the free independent (superbasic) variables. These are the indices not in nu_indep.
sRTsR [out] s_R'*s_R
yRTyR [out] y_R'*y_R

void MoochoPack::PBFGSPack::sort_fixed_max_cond_viol ( const SpVectorSlice &  nu_indep,
const DVectorSlice &  s,
const DVectorSlice &  y,
const DVectorSlice &  B_XX,
const value_type  sRTBRRsR,
const value_type  sRTyR,
value_type *  sXTBXXsX,
value_type *  sXTyX,
size_type  l_x_fixed_sorted[] 
)

Sort fixed variables according to the condition:.

#|s_X(i)^2*B(i,i)|/|sRTBRRsR| + |s_X(i)*y_X(i)|/|sRTyR|#.

The input quantities are defined as follows: {verbatim} for k = 0...nu_indep.nz()-1 i = (nu_indep.begin()+k)->indice() + nu_indep.offset() B_ii = B_XX[k] s_i = s(i) y_i = y(i) {verbatim}

Parameters:
nu_indep [in] Sparse vector (n_pz = nu_indep.size(), n_pz_R = n_pz - nu_indep.nz()) of Lagrange multipliers for the independent variables.
s [in] DVector (size n_pz), secant update vector for B*s=y
y [in] DVector (size n_pz), secant update vector for B*s=y
B_XX [in] DVector (size nu_indep.nz()), Diagonal elements for B_XX
sRTBRRsR [in] s_R' * B_RR * s_R
sRTyR [in] s_R' * y_R
sXTBXXsX [out] s_X' * B_XX * s_X
sXTyX [out] s_X' * y_X
l_x_fixed_sorted [out] Array (size nu_indep.nz()) which gives the indices l = l_x_fixed_sorted[k], k = 0...nu_indep.nz()-1, where i = (nu_indep.begin() + l)->indice() + nu_indep.offset() which are sorted according to: #|s(i)^2*B_XX(l,l)|/|sRTBRRsR| + |s(i)*y(i)|/|sRTyR|#

void MoochoPack::PBFGSPack::choose_fixed_free ( const value_type  project_error_tol,
const value_type  super_basic_mult_drop_tol,
const SpVectorSlice &  nu_indep,
const DVectorSlice &  s,
const DVectorSlice &  y,
const DVectorSlice &  B_XX,
const size_type  l_x_fixed_sorted[],
EJournalOutputLevel  olevel,
std::ostream &  out,
value_type *  sRTBRRsR,
value_type *  sRTyR,
value_type *  sXTBXXsX,
value_type *  sXTyX,
size_type n_pz_X,
size_type n_pz_R,
size_type  i_x_free[],
size_type  i_x_fixed[],
ConstrainedOptPack::EBounds  bnd_fixed[] 
)

Choose the rest of i_x_free[] and i_x_fixed[].

The input quantities are defined as follows: {verbatim} for k = 0...nu_indep.nz()-1 i = (nu_indep.begin()+k)->indice() + nu_indep.offset() B_ii = B_XX[k] s_i = s(i) y_i = y(i) {verbatim} This function adjusts i_x_free[] and i_x_fixed[] so that the following conditions are satisfied:

#(s_X'*B_XX*s_X)/(s_R'*B_RR*s_R) <= project_error_tol#

#(s_X'*y_X')/(s_R'*y_R') <= project_error_tol#

#|nu_indep(i_x_fixed[k])|/||nu_indep||inf >= super_basic_mult_drop_tol#

Parameters:
project_error_tol [in] see above
super_basic_mult_drop_tol [in] see above
nu_indep [in] Sparse vector (n_pz = nu_indep.size(), n_pz_R = n_pz - nu_indep.nz()) of Lagrange multipliers for the independent variables.
s [in] DVector (size n_pz), secant update vector for B*s=y
y [in] DVector (size n_pz), secant update vector for B*s=y
B_XX [in] DVector (size nu_indep.nz()), Diagonal elements for B_XX
l_x_fixed_sorted [in] Array (size nu_indep.nz()) which gives the indices l = l_x_fixed_sorted[k], k = 0...nu_indep.nz()-1, where i = (nu_indep.begin() + l)->indice() + nu_indep.offset() which are sorted according to: #|s(i)^2*B_XX(l,l)|/|sRTBRRsR| + |s(i)*y(i)|/|sRTyR|#
olevel [in] Printing level.
out [out] Stream the output is printed to based on olevel.
sRTBRRsR [in/out] On input, this must equal s_R'*B_RR*s_R where Q_R is defined by i_x_free[] on input. On output, it will equal s_R'*B_RR*s_R where Q_R is defined by i_x_free[] on output.
sRTyR [in/out] On input, this must equal s_R'*y_R where Q_R is defined by i_x_free[] on input. On output, it will equal s_R'*y_R where Q_R is defined by i_x_free[] on output.
sXTBXXsX [in/out] On input, this must equal s_X'*B_XX*s_X where Q_X is defined by what is not in i_x_free[] on input. On output, it will equal s_X_'*B_XX*s_X where Q_X is defined by i_x_fixed[] on output.
sXTyX [in/out] On input, this must equal s_X'*y_X where Q_X is defined by what is not in i_x_free[] on input. On output, it will equal s_X_'*y_X where Q_X is defined by i_x_fixed[] on output.
n_pz_X [out] Number of dropped super basic variables (n_pz_X <= nu_indep.nz()).
n_pz_R [in/out] On input contains the number of free variables in i_x_free[] on input. On output contaitns the adjusted number of superbasic variables (n-r == n_pz_R + n_pz_X)
i_x_free [in/out] Array (length n_pz_R on output). On input i_x_free[0...n_pz_R-1] must contain the indicies as initialized by init_i_x_free...(nu_indep,n_pz_R,i_x_free...). One output it will contain any addition indices that define Q_R needed to satsify the above conditions. This array must be sorted in accending order on input and will be sorted on output.
i_x_fixed [out] Array (length n_pz_X on output). On output will contain the indices that define Q_X that satisfy the above conditions.
bnd_fixed [out] Array (lenght n_pz_X on output). On output will contain the bounds of the indices in i_x_fixed[] on output.


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