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ClpHelperFunctions.hpp
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1 /* $Id: ClpHelperFunctions.hpp 2034 2014-06-12 16:10:26Z stefan $ */
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 }
74 inline CoinWorkDouble CoinSqrt(CoinWorkDouble x)
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 # else
88 void ClpTracePrint(std::string fileName, std::string message, int line);
89 # define ClpTraceDebug(expression) { \
90 if (!(expression)) { ClpTracePrint(__FILE__,__STRING(expression),__LINE__); } \
91 }
92 # endif
93 #ifdef ClpPdco_H
95
96
97 inline double pdxxxmerit(int nlow, int nupp, int *low, int *upp, CoinDenseVector <double> &r1,
98 CoinDenseVector <double> &r2, CoinDenseVector <double> &rL,
99 CoinDenseVector <double> &rU, CoinDenseVector <double> &cL,
100 CoinDenseVector <double> &cU )
101 {
102
103 // Evaluate the merit function for Newton's method.
104 // It is the 2-norm of the three sets of residuals.
105 double sum1, sum2;
106 CoinDenseVector <double> f(6);
107 f[0] = r1.twoNorm();
108 f[1] = r2.twoNorm();
109 sum1 = sum2 = 0.0;
110 for (int k = 0; k < nlow; k++) {
111 sum1 += rL[low[k]] * rL[low[k]];
112 sum2 += cL[low[k]] * cL[low[k]];
113 }
114 f[2] = sqrt(sum1);
115 f[4] = sqrt(sum2);
116 sum1 = sum2 = 0.0;
117 for (int k = 0; k < nupp; k++) {
118 sum1 += rL[upp[k]] * rL[upp[k]];
119 sum2 += cL[upp[k]] * cL[upp[k]];
120 }
121 f[3] = sqrt(sum1);
122 f[5] = sqrt(sum2);
123
124 return f.twoNorm();
125 }
126
127 //-----------------------------------------------------------------------
128 // End private function pdxxxmerit
129 //-----------------------------------------------------------------------
130
131
132 //function [r1,r2,rL,rU,Pinf,Dinf] = ...
133 // pdxxxresid1( Aname,fix,low,upp, ...
134 // b,bl,bu,d1,d2,grad,rL,rU,x,x1,x2,y,z1,z2 )
135
136 inline void pdxxxresid1(ClpPdco *model, const int nlow, const int nupp, const int nfix,
137 int *low, int *upp, int *fix,
138 CoinDenseVector <double> &b, double *bl, double *bu, double d1, double d2,
139 CoinDenseVector <double> &grad, CoinDenseVector <double> &rL,
140 CoinDenseVector <double> &rU, CoinDenseVector <double> &x,
141 CoinDenseVector <double> &x1, CoinDenseVector <double> &x2,
142 CoinDenseVector <double> &y, CoinDenseVector <double> &z1,
143 CoinDenseVector <double> &z2, CoinDenseVector <double> &r1,
144 CoinDenseVector <double> &r2, double *Pinf, double *Dinf)
145 {
146
147 // Form residuals for the primal and dual equations.
148 // rL, rU are output, but we input them as full vectors
149 // initialized (permanently) with any relevant zeros.
150
151 // Get some element pointers for efficiency
152 double *x_elts = x.getElements();
153 double *r2_elts = r2.getElements();
154
155 for (int k = 0; k < nfix; k++)
156 x_elts[fix[k]] = 0;
157
158 r1.clear();
159 r2.clear();
160 model->matVecMult( 1, r1, x );
161 model->matVecMult( 2, r2, y );
162 for (int k = 0; k < nfix; k++)
163 r2_elts[fix[k]] = 0;
164
165
166 r1 = b - r1 - d2 * d2 * y;
167 r2 = grad - r2 - z1; // grad includes d1*d1*x
168 if (nupp > 0)
169 r2 = r2 + z2;
170
171 for (int k = 0; k < nlow; k++)
172 rL[low[k]] = bl[low[k]] - x[low[k]] + x1[low[k]];
173 for (int k = 0; k < nupp; k++)
174 rU[upp[k]] = - bu[upp[k]] + x[upp[k]] + x2[upp[k]];
175
176 double normL = 0.0;
177 double normU = 0.0;
178 for (int k = 0; k < nlow; k++)
179 if (rL[low[k]] > normL) normL = rL[low[k]];
180 for (int k = 0; k < nupp; k++)
181 if (rU[upp[k]] > normU) normU = rU[upp[k]];
182
183 *Pinf = CoinMax(normL, normU);
184 *Pinf = CoinMax( r1.infNorm() , *Pinf );
185 *Dinf = r2.infNorm();
186 *Pinf = CoinMax( *Pinf, 1e-99 );
187 *Dinf = CoinMax( *Dinf, 1e-99 );
188 }
189
190 //-----------------------------------------------------------------------
191 // End private function pdxxxresid1
192 //-----------------------------------------------------------------------
193
194
195 //function [cL,cU,center,Cinf,Cinf0] = ...
196 // pdxxxresid2( mu,low,upp,cL,cU,x1,x2,z1,z2 )
197
198 inline void pdxxxresid2(double mu, int nlow, int nupp, int *low, int *upp,
199 CoinDenseVector <double> &cL, CoinDenseVector <double> &cU,
200 CoinDenseVector <double> &x1, CoinDenseVector <double> &x2,
201 CoinDenseVector <double> &z1, CoinDenseVector <double> &z2,
202 double *center, double *Cinf, double *Cinf0)
203 {
204
205 // Form residuals for the complementarity equations.
206 // cL, cU are output, but we input them as full vectors
207 // initialized (permanently) with any relevant zeros.
208 // Cinf is the complementarity residual for X1 z1 = mu e, etc.
209 // Cinf0 is the same for mu=0 (i.e., for the original problem).
210
211 double maxXz = -1e20;
212 double minXz = 1e20;
213
214 double *x1_elts = x1.getElements();
215 double *z1_elts = z1.getElements();
216 double *cL_elts = cL.getElements();
217 for (int k = 0; k < nlow; k++) {
218 double x1z1 = x1_elts[low[k]] * z1_elts[low[k]];
219 cL_elts[low[k]] = mu - x1z1;
220 if (x1z1 > maxXz) maxXz = x1z1;
221 if (x1z1 < minXz) minXz = x1z1;
222 }
223
224 double *x2_elts = x2.getElements();
225 double *z2_elts = z2.getElements();
226 double *cU_elts = cU.getElements();
227 for (int k = 0; k < nupp; k++) {
228 double x2z2 = x2_elts[upp[k]] * z2_elts[upp[k]];
229 cU_elts[upp[k]] = mu - x2z2;
230 if (x2z2 > maxXz) maxXz = x2z2;
231 if (x2z2 < minXz) minXz = x2z2;
232 }
233
234 maxXz = CoinMax( maxXz, 1e-99 );
235 minXz = CoinMax( minXz, 1e-99 );
236 *center = maxXz / minXz;
237
238 double normL = 0.0;
239 double normU = 0.0;
240 for (int k = 0; k < nlow; k++)
241 if (cL_elts[low[k]] > normL) normL = cL_elts[low[k]];
242 for (int k = 0; k < nupp; k++)
243 if (cU_elts[upp[k]] > normU) normU = cU_elts[upp[k]];
244 *Cinf = CoinMax( normL, normU);
245 *Cinf0 = maxXz;
246 }
247 //-----------------------------------------------------------------------
248 // End private function pdxxxresid2
249 //-----------------------------------------------------------------------
250
251 inline double pdxxxstep( CoinDenseVector <double> &x, CoinDenseVector <double> &dx )
252 {
253
254 // Assumes x > 0.
255 // Finds the maximum step such that x + step*dx >= 0.
256
257 double step = 1e+20;
258
259 int n = x.size();
260 double *x_elts = x.getElements();
261 double *dx_elts = dx.getElements();
262 for (int k = 0; k < n; k++)
263 if (dx_elts[k] < 0)
264 if ((x_elts[k] / (-dx_elts[k])) < step)
265 step = x_elts[k] / (-dx_elts[k]);
266 return step;
267 }
268 //-----------------------------------------------------------------------
269 // End private function pdxxxstep
270 //-----------------------------------------------------------------------
271
272 inline double pdxxxstep(int nset, int *set, CoinDenseVector <double> &x, CoinDenseVector <double> &dx )
273 {
274
275 // Assumes x > 0.
276 // Finds the maximum step such that x + step*dx >= 0.
277
278 double step = 1e+20;
279
280 int n = x.size();
281 double *x_elts = x.getElements();
282 double *dx_elts = dx.getElements();
283 for (int k = 0; k < n; k++)
284 if (dx_elts[k] < 0)
285 if ((x_elts[k] / (-dx_elts[k])) < step)
286 step = x_elts[k] / (-dx_elts[k]);
287 return step;
288 }
289 //-----------------------------------------------------------------------
290 // End private function pdxxxstep
291 //-----------------------------------------------------------------------
292 #endif
293 #endif
ClpPdco
This solves problems in Primal Dual Convex Optimization.
Definition: ClpPdco.hpp:22
multiplyAdd
void multiplyAdd(const double *region1, int size, double multiplier1, double *region2, double multiplier2)
getNorms
void getNorms(const double *region, int size, double &norm1, double &norm2)
CoinDenseVector::twoNorm
double twoNorm() const
2-norm of vector
Definition: CoinDenseVector.hpp:135
CoinDenseVector::infNorm
T infNorm() const
infinity-norm of vector
Definition: CoinDenseVector.hpp:144
CoinMemcpyN
void CoinMemcpyN(register const T *from, const int size, register T *to)
This helper function copies an array to another location.
Definition: CoinHelperFunctions.hpp:259
CoinMin
T CoinMin(register const T x1, register const T x2)
Return the smaller (according to operator&lt;() of the arguments.
Definition: CoinHelperFunctions.hpp:559
CoinDenseVector::getElements
const T * getElements() const
Get element values.
Definition: CoinDenseVector.hpp:84
CoinDenseVector::size
int size() const
Definition: CoinDenseVector.hpp:82
ClpConfig.h
CoinDenseVector::clear
void clear()
Reset the vector (i.e. set all elemenets to zero)
CoinDenseVector
Dense Vector.
Definition: CoinDenseVector.hpp:67
CoinSqrt
double CoinSqrt(double x)
Definition: ClpHelperFunctions.hpp:79
setElements
void setElements(double *region, int size, double value)
CoinWorkDouble
double CoinWorkDouble
Definition: CoinTypes.hpp:53
CoinMax
T CoinMax(register const T x1, register const T x2)
Return the larger (according to operator&lt;() of the arguments.
Definition: CoinHelperFunctions.hpp:548
ClpTracePrint
void ClpTracePrint(std::string fileName, std::string message, int line)
Trace.
maximumAbsElement
double maximumAbsElement(const double *region, int size)
Note (JJF) I have added some operations on arrays even though they may duplicate CoinDenseVector.
ClpPdco::matVecMult
void matVecMult(int, double *, double *)
innerProduct
double innerProduct(const double *region1, int size, const double *region2)