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IpLowRankSSAugSystemSolver.hpp
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1 // Copyright (C) 2005, 2009 International Business Machines and others.
2 // All Rights Reserved.
3 // This code is published under the Eclipse Public License.
4 //
5 // $Id: IpLowRankSSAugSystemSolver.hpp 1861 2010-12-21 21:34:47Z andreasw $
6 //
7 // Authors: Andreas Waechter IBM 2009-11-05
8 // (based on IpLowRankAugSystemSolver.hpp rev 1324)
9 
10 #ifndef __IP_LOWRANKSSAUGSYSTEMSOLVER_HPP__
11 #define __IP_LOWRANKSSAUGSYSTEMSOLVER_HPP__
12 
13 #include "IpAugSystemSolver.hpp"
14 #include "IpDiagMatrix.hpp"
15 #include "IpCompoundMatrix.hpp"
16 #include "IpCompoundVector.hpp"
18 
19 namespace Ipopt
20 {
21 
28  {
29  public:
34  LowRankSSAugSystemSolver(AugSystemSolver& aug_system_solver,
35  Index max_rank);
36 
38  virtual ~LowRankSSAugSystemSolver();
40 
42  bool InitializeImpl(const OptionsList& options,
43  const std::string& prefix);
44 
48  virtual ESymSolverStatus Solve(
49  const SymMatrix* W,
50  double W_factor,
51  const Vector* D_x,
52  double delta_x,
53  const Vector* D_s,
54  double delta_s,
55  const Matrix* J_c,
56  const Vector* D_c,
57  double delta_c,
58  const Matrix* J_d,
59  const Vector* D_d,
60  double delta_d,
61  const Vector& rhs_x,
62  const Vector& rhs_s,
63  const Vector& rhs_c,
64  const Vector& rhs_d,
65  Vector& sol_x,
66  Vector& sol_s,
67  Vector& sol_c,
68  Vector& sol_d,
69  bool check_NegEVals,
70  Index numberOfNegEVals);
71 
78  virtual Index NumberOfNegEVals() const;
79 
83  virtual bool ProvidesInertia() const;
84 
91  virtual bool IncreaseQuality();
92 
93  private:
106 
108  void operator=(const LowRankSSAugSystemSolver&);
110 
116 
119 
130  double w_factor_;
136  double delta_x_;
142  double delta_s_;
152  double delta_c_;
162  double delta_d_;
164 
167 
186 
195 
201  const SymMatrix* W,
202  double W_factor,
203  const Vector* D_x,
204  double delta_x,
205  const Vector* D_s,
206  double delta_s,
207  const Matrix& J_c,
208  const Vector* D_c,
209  double delta_c,
210  const Matrix& J_d,
211  const Vector* D_d,
212  double delta_d,
213  const Vector& proto_rhs_x,
214  const Vector& proto_rhs_s,
215  const Vector& proto_rhs_c,
216  const Vector& proto_rhs_d);
217 
222  const SymMatrix* W,
223  double W_factor,
224  const Vector* D_x,
225  double delta_x,
226  const Vector* D_s,
227  double delta_s,
228  const Matrix& J_c,
229  const Vector* D_c,
230  double delta_c,
231  const Matrix& J_d,
232  const Vector* D_d,
233  double delta_d);
235 
236  };
237 
238 } // namespace Ipopt
239 
240 #endif
SmartPtr< CompoundMatrix > J_c_ext_
Extended Jac_c to include expanded_vu_.
TaggedObject::Tag w_tag_
Tag for W matrix.
void operator=(const LowRankSSAugSystemSolver &)
Overloaded Equals Operator.
ESymSolverStatus
Enum to report outcome of a linear solve.
LowRankSSAugSystemSolver()
Default constructor.
TaggedObject::Tag d_d_tag_
Tag for D_d vector, representing the diagonal matrix D_d.
TaggedObject::Tag j_d_tag_
Tag for J_d matrix.
virtual Index NumberOfNegEVals() const
Number of negative eigenvalues detected during last solve.
TaggedObject::Tag j_c_tag_
Tag for J_c matrix.
SmartPtr< CompoundVectorSpace > y_c_ext_space_
Extended vector space for y_c.
TaggedObject::Tag d_s_tag_
Tag for D_s vector, representing the diagonal matrix D_s.
Vector Base Class.
Definition: IpVector.hpp:47
Index num_neg_evals_
Stores the number of negative eigenvalues detected during most recent factorization.
Solver for the augmented system with LowRankUpdateSymMatrix Hessian matrices.
double delta_s_
Most recent value of delta_s from Set method.
ESymSolverStatus UpdateExtendedData(const SymMatrix *W, double W_factor, const Vector *D_x, double delta_x, const Vector *D_s, double delta_s, const Matrix &J_c, const Vector *D_c, double delta_c, const Matrix &J_d, const Vector *D_d, double delta_d, const Vector &proto_rhs_x, const Vector &proto_rhs_s, const Vector &proto_rhs_c, const Vector &proto_rhs_d)
Method for updating the factorization, including J1_, J2_, Vtilde1_, Utilde2, Wdiag_, compound_sol_vecspace_.
This is the base class for all derived symmetric matrix types.
Definition: IpSymMatrix.hpp:23
Template class for Smart Pointers.
Definition: IpSmartPtr.hpp:172
virtual bool IncreaseQuality()
Request to increase quality of solution for next solve.
This class stores a list of user set options.
Base class for Solver for the augmented system.
Index max_rank_
Maximal rank of low rank Hessian update.
virtual ~LowRankSSAugSystemSolver()
Default destructor.
double delta_d_
Most recent value of delta_d from Set method.
Matrix Base Class.
Definition: IpMatrix.hpp:27
double w_factor_
Most recent value of W_factor.
double delta_x_
Most recent value of delta_x from Set method.
int Index
Type of all indices of vectors, matrices etc.
Definition: IpTypes.hpp:19
Index negEvalsCorrection_
Number of components in V, so that it can be used to correct the inertia.
unsigned int Tag
Type for the Tag values.
TaggedObject::Tag d_c_tag_
Tag for D_c vector, representing the diagonal matrix D_c.
bool InitializeImpl(const OptionsList &options, const std::string &prefix)
overloaded from AlgorithmStrategyObject
TaggedObject::Tag d_x_tag_
Tag for D_x vector, representing the diagonal matrix D_x.
SmartPtr< CompoundVector > D_c_ext_
Extended D_c diagonal.
bool first_call_
Flag indicating if this is the first call.
SmartPtr< AugSystemSolver > aug_system_solver_
The augmented system solver object that should be used for the factorization of the augmented system ...
SmartPtr< DiagMatrix > Wdiag_
Hessian Matrix passed to the augmented system solver solving the matrix without the low-rank update...
virtual bool ProvidesInertia() const
Query whether inertia is computed by linear solver.
bool AugmentedSystemRequiresChange(const SymMatrix *W, double W_factor, const Vector *D_x, double delta_x, const Vector *D_s, double delta_s, const Matrix &J_c, const Vector *D_c, double delta_c, const Matrix &J_d, const Vector *D_d, double delta_d)
Method that compares the tags of the data for the matrix with those from the previous call...
SmartPtr< ExpandedMultiVectorMatrix > expanded_vu_
Artifical rows for Jac_c part for low rank data.
virtual ESymSolverStatus Solve(const SymMatrix *W, double W_factor, const Vector *D_x, double delta_x, const Vector *D_s, double delta_s, const Matrix *J_c, const Vector *D_c, double delta_c, const Matrix *J_d, const Vector *D_d, double delta_d, const Vector &rhs_x, const Vector &rhs_s, const Vector &rhs_c, const Vector &rhs_d, Vector &sol_x, Vector &sol_s, Vector &sol_c, Vector &sol_d, bool check_NegEVals, Index numberOfNegEVals)
Set up the augmented system and solve it for a given right hand side.
double delta_c_
Most recent value of delta_c from Set method.