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ClpHelperFunctions.hpp
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1 /* $Id: ClpHelperFunctions.hpp 2385 2019-01-06 19:43:06Z unxusr $ */
2 // Copyright (C) 2003, International Business Machines
3 // Corporation and others. All Rights Reserved.
4 // This code is licensed under the terms of the Eclipse Public License (EPL).
5 
6 #ifndef ClpHelperFunctions_H
7 #define ClpHelperFunctions_H
8 
9 #include "ClpConfig.h"
10 #ifdef HAVE_CMATH
11 #include <cmath>
12 #else
13 #ifdef HAVE_MATH_H
14 #include <math.h>
15 #else
16 #error "don't have header file for math"
17 #endif
18 #endif
19 
28 double maximumAbsElement(const double *region, int size);
29 void setElements(double *region, int size, double value);
30 void multiplyAdd(const double *region1, int size, double multiplier1,
31  double *region2, double multiplier2);
32 double innerProduct(const double *region1, int size, const double *region2);
33 void getNorms(const double *region, int size, double &norm1, double &norm2);
34 #if COIN_LONG_WORK
35 // For long double versions
36 CoinWorkDouble maximumAbsElement(const CoinWorkDouble *region, int size);
37 void setElements(CoinWorkDouble *region, int size, CoinWorkDouble value);
38 void multiplyAdd(const CoinWorkDouble *region1, int size, CoinWorkDouble multiplier1,
39  CoinWorkDouble *region2, CoinWorkDouble multiplier2);
40 CoinWorkDouble innerProduct(const CoinWorkDouble *region1, int size, const CoinWorkDouble *region2);
41 void getNorms(const CoinWorkDouble *region, int size, CoinWorkDouble &norm1, CoinWorkDouble &norm2);
42 inline void
43 CoinMemcpyN(const double *from, const int size, CoinWorkDouble *to)
44 {
45  for (int i = 0; i < size; i++)
46  to[i] = from[i];
47 }
48 inline void
49 CoinMemcpyN(const CoinWorkDouble *from, const int size, double *to)
50 {
51  for (int i = 0; i < size; i++)
52  to[i] = static_cast< double >(from[i]);
53 }
54 inline CoinWorkDouble
55 CoinMax(const CoinWorkDouble x1, const double x2)
56 {
57  return (x1 > x2) ? x1 : x2;
58 }
59 inline CoinWorkDouble
60 CoinMax(double x1, const CoinWorkDouble x2)
61 {
62  return (x1 > x2) ? x1 : x2;
63 }
64 inline CoinWorkDouble
65 CoinMin(const CoinWorkDouble x1, const double x2)
66 {
67  return (x1 < x2) ? x1 : x2;
68 }
69 inline CoinWorkDouble
70 CoinMin(double x1, const CoinWorkDouble x2)
71 {
72  return (x1 < x2) ? x1 : x2;
73 }
75 {
76  return sqrtl(x);
77 }
78 #else
79 inline double CoinSqrt(double x)
80 {
81  return sqrt(x);
82 }
83 #endif
84 #ifdef NDEBUG
86 #define ClpTraceDebug(expression) \
87  { \
88  }
89 #else
90 void ClpTracePrint(std::string fileName, std::string message, int line);
91 #define ClpTraceDebug(expression) \
92  { \
93  if (!(expression)) { \
94  ClpTracePrint(__FILE__, __STRING(expression), __LINE__); \
95  } \
96  }
97 #endif
98 #ifdef ClpPdco_H
100 
101 inline double pdxxxmerit(int nlow, int nupp, int *low, int *upp, CoinDenseVector< double > &r1,
105 {
106 
107  // Evaluate the merit function for Newton's method.
108  // It is the 2-norm of the three sets of residuals.
109  double sum1, sum2;
111  f[0] = r1.twoNorm();
112  f[1] = r2.twoNorm();
113  sum1 = sum2 = 0.0;
114  for (int k = 0; k < nlow; k++) {
115  sum1 += rL[low[k]] * rL[low[k]];
116  sum2 += cL[low[k]] * cL[low[k]];
117  }
118  f[2] = sqrt(sum1);
119  f[4] = sqrt(sum2);
120  sum1 = sum2 = 0.0;
121  for (int k = 0; k < nupp; k++) {
122  sum1 += rL[upp[k]] * rL[upp[k]];
123  sum2 += cL[upp[k]] * cL[upp[k]];
124  }
125  f[3] = sqrt(sum1);
126  f[5] = sqrt(sum2);
127 
128  return f.twoNorm();
129 }
130 
131 //-----------------------------------------------------------------------
132 // End private function pdxxxmerit
133 //-----------------------------------------------------------------------
134 
135 //function [r1,r2,rL,rU,Pinf,Dinf] = ...
136 // pdxxxresid1( Aname,fix,low,upp, ...
137 // b,bl,bu,d1,d2,grad,rL,rU,x,x1,x2,y,z1,z2 )
138 
139 inline void pdxxxresid1(ClpPdco *model, const int nlow, const int nupp, const int nfix,
140  int *low, int *upp, int *fix,
141  CoinDenseVector< double > &b, double *bl, double *bu, double d1, double d2,
147  CoinDenseVector< double > &r2, double *Pinf, double *Dinf)
148 {
149 
150  // Form residuals for the primal and dual equations.
151  // rL, rU are output, but we input them as full vectors
152  // initialized (permanently) with any relevant zeros.
153 
154  // Get some element pointers for efficiency
155  double *x_elts = x.getElements();
156  double *r2_elts = r2.getElements();
157 
158  for (int k = 0; k < nfix; k++)
159  x_elts[fix[k]] = 0;
160 
161  r1.clear();
162  r2.clear();
163  model->matVecMult(1, r1, x);
164  model->matVecMult(2, r2, y);
165  for (int k = 0; k < nfix; k++)
166  r2_elts[fix[k]] = 0;
167 
168  r1 = b - r1 - d2 * d2 * y;
169  r2 = grad - r2 - z1; // grad includes d1*d1*x
170  if (nupp > 0)
171  r2 = r2 + z2;
172 
173  for (int k = 0; k < nlow; k++)
174  rL[low[k]] = bl[low[k]] - x[low[k]] + x1[low[k]];
175  for (int k = 0; k < nupp; k++)
176  rU[upp[k]] = -bu[upp[k]] + x[upp[k]] + x2[upp[k]];
177 
178  double normL = 0.0;
179  double normU = 0.0;
180  for (int k = 0; k < nlow; k++)
181  if (rL[low[k]] > normL)
182  normL = rL[low[k]];
183  for (int k = 0; k < nupp; k++)
184  if (rU[upp[k]] > normU)
185  normU = rU[upp[k]];
186 
187  *Pinf = CoinMax(normL, normU);
188  *Pinf = CoinMax(r1.infNorm(), *Pinf);
189  *Dinf = r2.infNorm();
190  *Pinf = CoinMax(*Pinf, 1e-99);
191  *Dinf = CoinMax(*Dinf, 1e-99);
192 }
193 
194 //-----------------------------------------------------------------------
195 // End private function pdxxxresid1
196 //-----------------------------------------------------------------------
197 
198 //function [cL,cU,center,Cinf,Cinf0] = ...
199 // pdxxxresid2( mu,low,upp,cL,cU,x1,x2,z1,z2 )
200 
201 inline void pdxxxresid2(double mu, int nlow, int nupp, int *low, int *upp,
205  double *center, double *Cinf, double *Cinf0)
206 {
207 
208  // Form residuals for the complementarity equations.
209  // cL, cU are output, but we input them as full vectors
210  // initialized (permanently) with any relevant zeros.
211  // Cinf is the complementarity residual for X1 z1 = mu e, etc.
212  // Cinf0 is the same for mu=0 (i.e., for the original problem).
213 
214  double maxXz = -1e20;
215  double minXz = 1e20;
216 
217  double *x1_elts = x1.getElements();
218  double *z1_elts = z1.getElements();
219  double *cL_elts = cL.getElements();
220  for (int k = 0; k < nlow; k++) {
221  double x1z1 = x1_elts[low[k]] * z1_elts[low[k]];
222  cL_elts[low[k]] = mu - x1z1;
223  if (x1z1 > maxXz)
224  maxXz = x1z1;
225  if (x1z1 < minXz)
226  minXz = x1z1;
227  }
228 
229  double *x2_elts = x2.getElements();
230  double *z2_elts = z2.getElements();
231  double *cU_elts = cU.getElements();
232  for (int k = 0; k < nupp; k++) {
233  double x2z2 = x2_elts[upp[k]] * z2_elts[upp[k]];
234  cU_elts[upp[k]] = mu - x2z2;
235  if (x2z2 > maxXz)
236  maxXz = x2z2;
237  if (x2z2 < minXz)
238  minXz = x2z2;
239  }
240 
241  maxXz = CoinMax(maxXz, 1e-99);
242  minXz = CoinMax(minXz, 1e-99);
243  *center = maxXz / minXz;
244 
245  double normL = 0.0;
246  double normU = 0.0;
247  for (int k = 0; k < nlow; k++)
248  if (cL_elts[low[k]] > normL)
249  normL = cL_elts[low[k]];
250  for (int k = 0; k < nupp; k++)
251  if (cU_elts[upp[k]] > normU)
252  normU = cU_elts[upp[k]];
253  *Cinf = CoinMax(normL, normU);
254  *Cinf0 = maxXz;
255 }
256 //-----------------------------------------------------------------------
257 // End private function pdxxxresid2
258 //-----------------------------------------------------------------------
259 
260 inline double pdxxxstep(CoinDenseVector< double > &x, CoinDenseVector< double > &dx)
261 {
262 
263  // Assumes x > 0.
264  // Finds the maximum step such that x + step*dx >= 0.
265 
266  double step = 1e+20;
267 
268  int n = x.size();
269  double *x_elts = x.getElements();
270  double *dx_elts = dx.getElements();
271  for (int k = 0; k < n; k++)
272  if (dx_elts[k] < 0)
273  if ((x_elts[k] / (-dx_elts[k])) < step)
274  step = x_elts[k] / (-dx_elts[k]);
275  return step;
276 }
277 //-----------------------------------------------------------------------
278 // End private function pdxxxstep
279 //-----------------------------------------------------------------------
280 
281 inline double pdxxxstep(int nset, int *set, CoinDenseVector< double > &x, CoinDenseVector< double > &dx)
282 {
283 
284  // Assumes x > 0.
285  // Finds the maximum step such that x + step*dx >= 0.
286 
287  double step = 1e+20;
288 
289  int n = x.size();
290  double *x_elts = x.getElements();
291  double *dx_elts = dx.getElements();
292  for (int k = 0; k < n; k++)
293  if (dx_elts[k] < 0)
294  if ((x_elts[k] / (-dx_elts[k])) < step)
295  step = x_elts[k] / (-dx_elts[k]);
296  return step;
297 }
298 //-----------------------------------------------------------------------
299 // End private function pdxxxstep
300 //-----------------------------------------------------------------------
301 #endif
302 #endif
303 
304 /* vi: softtabstop=2 shiftwidth=2 expandtab tabstop=2
305 */
This solves problems in Primal Dual Convex Optimization.
Definition: ClpPdco.hpp:22
void multiplyAdd(const double *region1, int size, double multiplier1, double *region2, double multiplier2)
void getNorms(const double *region, int size, double &norm1, double &norm2)
double twoNorm() const
2-norm of vector
T infNorm() const
infinity-norm of vector
const T * getElements() const
Get element values.
int size() const
void CoinMemcpyN(const T *from, const CoinBigIndex size, T *to)
This helper function copies an array to another location.
void clear()
Reset the vector (i.e. set all elemenets to zero)
T CoinMax(const T x1, const T x2)
Return the larger (according to operator&lt;() of the arguments.
Dense Vector.
double CoinSqrt(double x)
void setElements(double *region, int size, double value)
T CoinMin(const T x1, const T x2)
Return the smaller (according to operator&lt;() of the arguments.
double CoinWorkDouble
Definition: CoinTypes.hpp:53
void ClpTracePrint(std::string fileName, std::string message, int line)
Trace.
double maximumAbsElement(const double *region, int size)
Note (JJF) I have added some operations on arrays even though they may duplicate CoinDenseVector.
void matVecMult(int, double *, double *)
double innerProduct(const double *region1, int size, const double *region2)