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. More...
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. More...
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: More...
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[]. More...

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.