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Warning, file /include/root/TQpSolverBase.h was not indexed or was modified since last indexation (in which case cross-reference links may be missing, inaccurate or erroneous).
0001 // @(#)root/quadp:$Id$ 0002 // Author: Eddy Offermann May 2004 0003 0004 /************************************************************************* 0005 * Copyright (C) 1995-2000, Rene Brun and Fons Rademakers. * 0006 * All rights reserved. * 0007 * * 0008 * For the licensing terms see $ROOTSYS/LICENSE. * 0009 * For the list of contributors see $ROOTSYS/README/CREDITS. * 0010 *************************************************************************/ 0011 0012 /************************************************************************* 0013 * Parts of this file are copied from the OOQP distribution and * 0014 * are subject to the following license: * 0015 * * 0016 * COPYRIGHT 2001 UNIVERSITY OF CHICAGO * 0017 * * 0018 * The copyright holder hereby grants you royalty-free rights to use, * 0019 * reproduce, prepare derivative works, and to redistribute this software* 0020 * to others, provided that any changes are clearly documented. This * 0021 * software was authored by: * 0022 * * 0023 * E. MICHAEL GERTZ gertz@mcs.anl.gov * 0024 * Mathematics and Computer Science Division * 0025 * Argonne National Laboratory * 0026 * 9700 S. Cass Avenue * 0027 * Argonne, IL 60439-4844 * 0028 * * 0029 * STEPHEN J. WRIGHT swright@cs.wisc.edu * 0030 * Computer Sciences Department * 0031 * University of Wisconsin * 0032 * 1210 West Dayton Street * 0033 * Madison, WI 53706 FAX: (608)262-9777 * 0034 * * 0035 * Any questions or comments may be directed to one of the authors. * 0036 * * 0037 * ARGONNE NATIONAL LABORATORY (ANL), WITH FACILITIES IN THE STATES OF * 0038 * ILLINOIS AND IDAHO, IS OWNED BY THE UNITED STATES GOVERNMENT, AND * 0039 * OPERATED BY THE UNIVERSITY OF CHICAGO UNDER PROVISION OF A CONTRACT * 0040 * WITH THE DEPARTMENT OF ENERGY. * 0041 *************************************************************************/ 0042 0043 #ifndef ROOT_TQpSolverBase 0044 #define ROOT_TQpSolverBase 0045 0046 #include "TError.h" 0047 0048 #include "TObject.h" 0049 #include "TQpVar.h" 0050 #include "TQpDataBase.h" 0051 #include "TQpResidual.h" 0052 #include "TQpProbBase.h" 0053 #include "TQpLinSolverBase.h" 0054 0055 #include "TMatrixD.h" 0056 0057 /////////////////////////////////////////////////////////////////////////// 0058 // // 0059 // Abstract base class for QP solver using interior-point // 0060 // // 0061 /////////////////////////////////////////////////////////////////////////// 0062 0063 enum ETerminationCode 0064 { 0065 kSUCCESSFUL_TERMINATION = 0, 0066 kNOT_FINISHED, 0067 kMAX_ITS_EXCEEDED, 0068 kINFEASIBLE, 0069 kUNKNOWN 0070 }; 0071 0072 class TQpSolverBase : public TObject 0073 { 0074 0075 protected: 0076 TQpLinSolverBase *fSys; 0077 0078 Double_t fDnorm; // norm of problem data 0079 0080 Double_t fMutol; // termination parameters 0081 Double_t fArtol; 0082 0083 Double_t fGamma_f; // parameters associated with the step length heuristic 0084 Double_t fGamma_a; 0085 Double_t fPhi; // merit function, defined as the sum of the complementarity gap 0086 // the residual norms, divided by (1+norm of problem data) 0087 Int_t fMaxit; // maximum number of iterations allowed 0088 0089 Double_t *fMu_history; //[fMaxit] history of values of mu obtained on all iterations to date 0090 Double_t *fRnorm_history; //[fMaxit] history of values of residual norm obtained on all iterations to date 0091 Double_t *fPhi_history; //[fMaxit] history of values of phi obtained on all iterations to date 0092 0093 Double_t *fPhi_min_history; //[fMaxit] the i-th entry of this array contains the minimum value of phi 0094 // encountered by the algorithm on or before iteration i 0095 0096 public: 0097 Int_t fIter; // iteration counter 0098 0099 TQpSolverBase(); 0100 TQpSolverBase(const TQpSolverBase &another); 0101 0102 ~TQpSolverBase() override; 0103 0104 virtual void Start (TQpProbBase *formulation, 0105 TQpVar *iterate,TQpDataBase *prob, 0106 TQpResidual *resid,TQpVar *step); 0107 // starting point heuristic 0108 virtual void DefStart (TQpProbBase *formulation, 0109 TQpVar *iterate,TQpDataBase *prob, 0110 TQpResidual *resid,TQpVar *step); 0111 // default starting point heuristic 0112 virtual void SteveStart (TQpProbBase *formulation, 0113 TQpVar *iterate,TQpDataBase *prob, 0114 TQpResidual *resid,TQpVar *step); 0115 // alternative starting point heuristic 0116 virtual void DumbStart (TQpProbBase *formulation, 0117 TQpVar *iterate,TQpDataBase *prob, 0118 TQpResidual *resid,TQpVar *step); 0119 // alternative starting point heuristic: sets the 0120 // "complementary" variables to a large positive value 0121 // (based on the norm of the problem data) and the 0122 // remaining variables to zero 0123 0124 virtual Int_t Solve (TQpDataBase *prob,TQpVar *iterate, 0125 TQpResidual *resids) = 0; 0126 // implements the interior-point method for solving the QP 0127 0128 virtual Double_t FinalStepLength 0129 (TQpVar *iterate,TQpVar *step); 0130 // Mehrotra's heuristic to calculate the final step 0131 0132 virtual void DoMonitor (TQpDataBase *data,TQpVar *vars, 0133 TQpResidual *resids,Double_t alpha, 0134 Double_t sigma,Int_t i,Double_t mu, 0135 Int_t stop_code,Int_t level); 0136 // perform monitor operation at each interior-point iteration 0137 virtual void DefMonitor (TQpDataBase *data,TQpVar *vars, 0138 TQpResidual *resids,Double_t alpha, 0139 Double_t sigma,Int_t i,Double_t mu, 0140 Int_t stop_code,Int_t level) = 0; 0141 // default monitor: prints out one line of information 0142 // on each interior-point iteration 0143 virtual Int_t DoStatus (TQpDataBase *data,TQpVar *vars, 0144 TQpResidual *resids,Int_t i,Double_t mu, 0145 Int_t level); 0146 // this method called to test for convergence status at 0147 // at the end of each interior-point iteration 0148 virtual Int_t DefStatus (TQpDataBase *data,TQpVar *vars, 0149 TQpResidual *resids,Int_t i,Double_t mu, 0150 Int_t level); 0151 // default method for checking status. May be replaced 0152 // by a user-defined method 0153 0154 TQpLinSolverBase *GetLinearSystem() { return fSys; } 0155 void SetMuTol (Double_t m) { fMutol = m; } 0156 Double_t GetMuTol () { return fMutol; } 0157 0158 void SetArTol (Double_t ar) { fArtol = ar; } 0159 Double_t GetArTol () { return fArtol; } 0160 Double_t DataNorm () { return fDnorm; } 0161 0162 TQpSolverBase &operator= (const TQpSolverBase &source); 0163 0164 ClassDefOverride(TQpSolverBase,1) // Qp Solver class 0165 }; 0166 #endif
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