?? qpcsolver.c
字號:
{
double LB;
double UB;
double aHa, ac;
double tmp, tmp1;
double Huu, Huv, Hvv;
double min_beta, max_beta, beta;
double max_improv1, max_improv2, improv;
double lambda;
double *History;
double *Ha;
double *tmp_ptr;
double *col_u, *col_v;
long u;
long v;
long new_u;
long new_v;
long i;
long t;
long History_size;
int exitflag;
/* ------------------------------------------------------------ */
/* Initialization */
/* ------------------------------------------------------------ */
Ha = mxCalloc(dim, sizeof(double));
if( Ha == NULL ) mexErrMsgTxt("Not enough memory.");
History_size = (tmax < HISTORY_BUF ) ? tmax+1 : HISTORY_BUF;
History = mxCalloc(History_size*2,sizeof(double));
if( History == NULL ) mexErrMsgTxt("Not enough memory.");
/* inx = argmin(0.5*diag_H + vector_c ); */
for( tmp1 = PLUS_INF, i = 0; i < dim; i++ ) {
tmp = 0.5*diag_H[i] + vector_c[i];
if( tmp1 > tmp) {
tmp1 = tmp;
v = i;
}
}
col_v = (double*)get_col(v,-1);
for( min_beta = PLUS_INF, i = 0; i < dim; i++ )
{
alpha[i] = 0;
Ha[i] = col_v[i];
beta = Ha[i] + vector_c[i];
if( beta < min_beta ) {
min_beta = beta;
u = i;
}
}
alpha[v] = 1;
aHa = diag_H[v];
ac = vector_c[v];
UB = 0.5*aHa + ac;
LB = min_beta - 0.5*aHa;
t = 0;
History[INDEX(0,0,2)] = LB;
History[INDEX(1,0,2)] = UB;
if( verb ) {
mexPrintf("Init: UB=%f, LB=%f, UB-LB=%f, (UB-LB)/|UB|=%f \n",
UB, LB, UB-LB,(UB-LB)/UB);
}
/* Stopping conditions */
if( UB-LB <= tolabs ) exitflag = 1;
else if(UB-LB <= ABS(UB)*tolrel ) exitflag = 2;
else exitflag = -1;
/* ------------------------------------------------------------ */
/* Main optimization loop */
/* ------------------------------------------------------------ */
col_u = (double*)get_col(u,-1);
col_v = (double*)get_col(v,u);
while( exitflag == -1 )
{
t++;
/* Adaptation rule and update */
Huu = diag_H[u];
Hvv = diag_H[v];
Huv = col_u[v];
lambda = (Ha[v]-Ha[u]+vector_c[v]-vector_c[u])/(alpha[v]*(Huu-2*Huv+Hvv));
if( lambda < 0 ) lambda = 0; else if (lambda > 1) lambda = 1;
aHa = aHa + 2*alpha[v]*lambda*(Ha[u]-Ha[v])+
lambda*lambda*alpha[v]*alpha[v]*(Huu-2*Huv+Hvv);
ac = ac + lambda*alpha[v]*(vector_c[u]-vector_c[v]);
tmp = alpha[v];
alpha[u]=alpha[u]+lambda*alpha[v];
alpha[v]=alpha[v]-lambda*alpha[v];
UB = 0.5*aHa + ac;
for( max_beta = MINUS_INF, min_beta = PLUS_INF, i = 0; i < dim; i++ )
{
Ha[i] = Ha[i] + lambda*tmp*(col_u[i] - col_v[i]);
beta = Ha[i]+ vector_c[i];
if( beta < min_beta )
{
new_u = i;
min_beta = beta;
}
if( alpha[i] != 0 && max_beta < beta )
{
new_v = i;
max_beta = beta;
}
}
LB = min_beta - 0.5*aHa;
col_u = (double*)get_col(new_u,-1);
col_v = (double*)get_col(new_v,new_u);
/* search for optimal v while u is fixed */
max_improv1 = MINUS_INF; max_improv2 = MINUS_INF;
for( i = 0; i < dim; i++ ) {
beta = Ha[i] + vector_c[i];
if( alpha[i] != 0 && beta > min_beta ) {
tmp = diag_H[new_u] - 2*col_u[i] + diag_H[i];
if( tmp != 0 )
{
if((beta-min_beta)/(alpha[i]*tmp) < 1)
{
improv = (0.5*(beta-min_beta)*(beta-min_beta))/tmp;
} else {
improv = alpha[i]*(beta-min_beta) - 0.5*alpha[i]*alpha[i]*tmp;
}
if( improv > max_improv1 )
{
max_improv1 = improv;
v = i;
}
}
}
if( max_beta > beta ) {
tmp = diag_H[new_v] - 2*col_v[i] + diag_H[i];
if( tmp != 0 )
{
if((max_beta-beta)/(alpha[new_v]*tmp) < 1 )
{
improv = (0.5*(max_beta-beta)*(max_beta-beta))/tmp;
} else {
improv = alpha[new_v]*(max_beta-beta)
-0.5*alpha[new_v]*alpha[new_v]*tmp;
}
if( improv > max_improv2 )
{
max_improv2 = improv;
u = i;
}
}
}
}
if( max_improv1 > max_improv2 ) {
u = new_u;
col_v = (double*)get_col(v,u);
} else {
v = new_v;
col_u = (double*)get_col(u,v);
}
/* tmp = Ha[v] + vector_c[v] - Ha[u] - vector_c[u];*/
/* Stopping conditions */
if( UB-LB <= tolabs ) exitflag = 1;
else if( UB-LB <= ABS(UB)*tolrel ) exitflag = 2;
else if(t >= tmax) exitflag = 0;
/* print info */
if(verb && (t % verb) == 0 ) {
mexPrintf("%d: UB=%f, LB=%f, UB-LB=%f, (UB-LB)/|UB|=%f \n",
t, UB, LB, UB-LB,(UB-LB)/UB);
}
/* Store selected values */
if( t < History_size ) {
History[INDEX(0,t,2)] = LB;
History[INDEX(1,t,2)] = UB;
}
else {
tmp_ptr = mxCalloc((History_size+HISTORY_BUF)*2,sizeof(double));
if( tmp_ptr == NULL ) mexErrMsgTxt("Not enough memory.");
for( i = 0; i < History_size; i++ ) {
tmp_ptr[INDEX(0,i,2)] = History[INDEX(0,i,2)];
tmp_ptr[INDEX(1,i,2)] = History[INDEX(1,i,2)];
}
tmp_ptr[INDEX(0,t,2)] = LB;
tmp_ptr[INDEX(1,t,2)] = UB;
History_size += HISTORY_BUF;
mxFree( History );
History = tmp_ptr;
}
}
/* print info about last iteration*/
if(verb && (t % verb) ) {
mexPrintf("%d: UB=%f, LB=%f, UB-LB=%f, (UB-LB)/|UB|=%f \n",
t, UB, LB, UB-LB,(UB-LB)/UB);
}
/*------------------------------------------------------- */
/* Set outputs */
/*------------------------------------------------------- */
(*ptr_t) = t;
(*ptr_History) = History;
/* Free memory */
mxFree( Ha );
return( exitflag );
}
/* --------------------------------------------------------------
QPC solver based on Keerthi's algorithm.
Usage: exitflag = qpc_keerthi( &get_col, diag_H, vector_c, dim,
tmax, tolabs, tolrel, &alpha, &t, &History );
-------------------------------------------------------------- */
int qpc_keerthi(const void* (*get_col)(long,long),
double *diag_H,
double *vector_c,
long dim,
long tmax,
double tolabs,
double tolrel,
double *alpha,
long *ptr_t,
double **ptr_History,
long verb)
{
double LB;
double UB;
double aHa, ac;
double den, tmp, tmp1;
double Huu, Huv, Hvv;
double min_beta, max_beta, beta;
double gamma, omega;
double *History;
double *Ha;
double *tmp_ptr;
double x11, x12, x13, x23, x22, x33, x10, x20, x30;
double a1, a2, a3, a4, a5;
double UB123, UB1, UB2, UB3;
double gamma1, gamma2, gamma3;
double tmp_aHa1, tmp_aHa2, tmp_aHa3;
double tmp_ac1, tmp_ac2, tmp_ac3;
double *col_u, *col_v;
long u;
long v;
long i;
long t;
long History_size;
int exitflag;
int nearest_segment;
/* ------------------------------------------------------------ */
/* Initialization */
/* ------------------------------------------------------------ */
Ha = mxCalloc(dim, sizeof(double));
if( Ha == NULL ) mexErrMsgTxt("Not enough memory.");
History_size = (tmax < HISTORY_BUF ) ? tmax+1 : HISTORY_BUF;
History = mxCalloc(History_size*2,sizeof(double));
if( History == NULL ) mexErrMsgTxt("Not enough memory.");
/* inx = argmin(0.5*diag_H + vector_c ); */
for( tmp1 = PLUS_INF, i = 0; i < dim; i++ ) {
tmp = 0.5*diag_H[i] + vector_c[i];
if( tmp1 > tmp) {
tmp1 = tmp;
v = i;
}
}
col_v = (double*)get_col(v,-1);
for( min_beta = PLUS_INF, i = 0; i < dim; i++ )
{
alpha[i] = 0;
Ha[i] = col_v[i];
beta = Ha[i] + vector_c[i];
if( beta < min_beta ) {
min_beta = beta;
u = i;
}
}
alpha[v] = 1;
aHa = diag_H[v];
ac = vector_c[v];
UB = 0.5*aHa + ac;
LB = min_beta - 0.5*aHa;
t = 0;
History[INDEX(0,0,2)] = LB;
History[INDEX(1,0,2)] = UB;
if( verb ) {
mexPrintf("Init: UB=%f, LB=%f, UB-LB=%f, (UB-LB)/|UB|=%f \n",
UB, LB, UB-LB,(UB-LB)/UB);
}
/* Stopping conditions */
if( UB-LB <= tolabs ) exitflag = 1;
else if(UB-LB <= ABS(UB)*tolrel ) exitflag = 2;
else exitflag = -1;
/* ------------------------------------------------------------ */
/* Main optimization loop */
/* ------------------------------------------------------------ */
while( exitflag == -1 )
{
t++;
col_u = (double*)get_col(u,-1);
col_v = (double*)get_col(v,u);
/* Adaptation rule and update */
Huu = diag_H[u];
Hvv = diag_H[v];
Huv = col_u[v];
x11 = aHa;
x12 = Ha[u];
x13 = aHa + alpha[v]*(Ha[u]-Ha[v]);
x22 = Huu;
x23 = Ha[u] + alpha[v]*(Huu-Huv);
x33 = aHa + 2*alpha[v]*(Ha[u]-Ha[v])+alpha[v]*alpha[v]*(Huu-2*Huv+Hvv);
x10 = ac;
x20 = vector_c[u];
x30 = ac + alpha[v]*(vector_c[u]-vector_c[v]);
a1 = x11 - x12 - x13 + x23;
a2 = x11 - 2*x12 + x22;
a3 = x12 - x11 + x20 - x10;
a4 = x11 - 2*x13 + x33;
a5 = x13 - x11 + x30 - x10;
den = a1*a1 - a2*a4;
if( den ) {
gamma = (a3*a4-a1*a5)/den;
omega = (a2*a5-a3*a1)/den;
if( gamma > 0 && omega > 0 && 1-gamma-omega > 0 ) {
/* Ha = Ha*(1-gamma) + H(:,u)*(gamma+alpha(v)*omega)-H(:,v)*alpha(v)*omega;*/
tmp = alpha[v]*omega;
for(i = 0; i < dim; i++ ) {
Ha[i] = Ha[i]*(1-gamma) + col_u[i]*(gamma+tmp) - col_v[i]*tmp;
}
/*
aHa = (1-omega-gamma)^2*x11 + gamma^2*x22 + omega^2*x33 + ...
2*(1-omega-gamma)*gamma*x12 + 2*(1-omega-gamma)*omega*x13 + ...
2*gamma*omega*x23;
*/
aHa = (1-omega-gamma)*(1-omega-gamma)*x11 + gamma*gamma*x22
+ omega*omega*x33 + 2*(1-omega-gamma)*gamma*x12
+ 2*(1-omega-gamma)*omega*x13 + 2*gamma*omega*x23;
ac = (1-gamma-omega)*x10 + gamma*x20 + omega*x30;
/*
alpha1 = zeros(dim,1);
alpha1(u) = 1;
alpha2 = alpha;
alpha2(u) = alpha(u)+alpha(v);
alpha2(v) = 0;
alpha = alpha*(1-gamma-omega) + alpha1*gamma + alpha2*omega;
*/
for(i = 0; i < dim; i++ ) {
alpha[i] = alpha[i]*(1-gamma);
}
alpha[u] = alpha[u] + gamma + tmp;
alpha[v] = alpha[v] - tmp;
UB123 = 0.5*aHa + ac;
}
else
{
UB123 = PLUS_INF;
}
}
else
{
UB123 = PLUS_INF;
}
if( UB123 == PLUS_INF ) {
/*
% line segment between alpha and alpha1
gamma1 = (x11-x12+x10-x20)/(x11-2*x12+x22);
gamma1 = min(1,gamma1);
tmp_aHa1 = (1-gamma1)^2*x11+2*gamma1*(1-gamma1)*x12+gamma1^2*x22;
tmp_ac1 = (1-gamma1)*x10 + gamma1*x20;
UB1 = 0.5*tmp_aHa1 + tmp_ac1;
*/
gamma1 = (x11-x12+x10-x20)/(x11-2*x12+x22);
gamma1 = MIN(1,gamma1);
tmp_aHa1 = (1-gamma1)*(1-gamma1)*x11+2*gamma1*(1-gamma1)*x12+gamma1*gamma1*x22;
tmp_ac1 = (1-gamma1)*x10 + gamma1*x20;
UB1 = 0.5*tmp_aHa1 + tmp_ac1;
/*
% line segment between alpha and alpha2
gamma2 = (x11-x13+x10-x30)/(x11-2*x13+x33);
gamma2 = min(1,gamma2);
tmp_aHa2 = (1-gamma2)^2*x11+2*gamma2*(1-gamma2)*x13+gamma2^2*x33;
tmp_ac2 = (1-gamma2)*x10 + gamma2*x30;
UB2 = 0.5*tmp_aHa2 + tmp_ac2;
*/
gamma2 = (x11-x13+x10-x30)/(x11-2*x13+x33);
gamma2 = MIN(1,gamma2);
tmp_aHa2 = (1-gamma2)*(1-gamma2)*x11+2*gamma2*(1-gamma2)*x13+gamma2*gamma2*x33;
tmp_ac2 = (1-gamma2)*x10 + gamma2*x30;
UB2 = 0.5*tmp_aHa2 + tmp_ac2;
/*
% line segment between alpha1 and alpha2
tmp_den = (x22-2*x23+x33);
if tmp_den ~= 0,
gamma3 = (x22-x23+x20-x30)/tmp_den;
if gamma3 > 1 gamma3 = 1; end
if gamma3 < 0 gamma3 = 0; end
tmp_aHa3 = (1-gamma3)^2*x22+2*gamma3*(1-gamma3)*x23+gamma3^2*x33;
tmp_ac3 = (1-gamma3)*x20 + gamma3*x30;
UB3 = 0.5*tmp_aHa3 + tmp_ac3;
else
UB3 = UB;
end
*/
den = (x22-2*x23+x33);
if( den ) {
gamma3 = (x22-x23+x20-x30)/den;
if( gamma3 > 1) gamma3 = 1;
if( gamma3 < 0) gamma3 = 0;
tmp_aHa3 = (1-gamma3)*(1-gamma3)*x22+2*gamma3*(1-gamma3)*x23+
gamma3*gamma3*x33;
tmp_ac3 = (1-gamma3)*x20 + gamma3*x30;
UB3 = 0.5*tmp_aHa3 + tmp_ac3;
}
else
{
UB3 = UB;
}
/* nearest_segment = argmin( UB1, UB2, UB3 ) */
if( UB1 <= UB2 ) {
if( UB1 <= UB3 ) nearest_segment = 1; else nearest_segment = 3;
}
else
{
if( UB2 <= UB3 ) nearest_segment = 2; else nearest_segment = 3;
}
/*
alpha1 = zeros(dim,1);
alpha1(u) = 1;
alpha2 = alpha;
alpha2(u) = alpha(u)+alpha(v);
alpha2(v) = 0;
*/
switch( nearest_segment )
{
case 1:
aHa = tmp_aHa1;
ac = tmp_ac1;
/*
Ha = Ha*(1-gamma1) + gamma1*H(:,u);
alpha = alpha*(1-gamma1)+gamma1*alpha1;
*/
for( i = 0; i < dim; i++ ) {
Ha[i] = Ha[i]*(1-gamma1) + gamma1*col_u[i];
alpha[i] = alpha[i]*(1-gamma1);
}
alpha[u] += gamma1;
break;
case 2:
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