/usr/include/root/TQpVar.h is in libroot-math-quadp-dev 5.34.30-0ubuntu8.
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// Author: Eddy Offermann May 2004
/*************************************************************************
* Copyright (C) 1995-2000, Rene Brun and Fons Rademakers. *
* All rights reserved. *
* *
* For the licensing terms see $ROOTSYS/LICENSE. *
* For the list of contributors see $ROOTSYS/README/CREDITS. *
*************************************************************************/
/*************************************************************************
* Parts of this file are copied from the OOQP distribution and *
* are subject to the following license: *
* *
* COPYRIGHT 2001 UNIVERSITY OF CHICAGO *
* *
* The copyright holder hereby grants you royalty-free rights to use, *
* reproduce, prepare derivative works, and to redistribute this software*
* to others, provided that any changes are clearly documented. This *
* software was authored by: *
* *
* E. MICHAEL GERTZ gertz@mcs.anl.gov *
* Mathematics and Computer Science Division *
* Argonne National Laboratory *
* 9700 S. Cass Avenue *
* Argonne, IL 60439-4844 *
* *
* STEPHEN J. WRIGHT swright@cs.wisc.edu *
* Computer Sciences Department *
* University of Wisconsin *
* 1210 West Dayton Street *
* Madison, WI 53706 FAX: (608)262-9777 *
* *
* Any questions or comments may be directed to one of the authors. *
* *
* ARGONNE NATIONAL LABORATORY (ANL), WITH FACILITIES IN THE STATES OF *
* ILLINOIS AND IDAHO, IS OWNED BY THE UNITED STATES GOVERNMENT, AND *
* OPERATED BY THE UNIVERSITY OF CHICAGO UNDER PROVISION OF A CONTRACT *
* WITH THE DEPARTMENT OF ENERGY. *
*************************************************************************/
#ifndef ROOT_TQpVar
#define ROOT_TQpVar
#ifndef ROOT_TError
#include "TError.h"
#endif
#ifndef ROOT_TMatrixD
#include "TMatrixD.h"
#endif
#ifndef ROOT_TVectorD
#include "TVectorD.h"
#endif
///////////////////////////////////////////////////////////////////////////
// //
// Class containing the variables for the general QP formulation //
// In terms of in our abstract problem formulation, these variables are //
// the vectors x, y, z and s. //
// //
///////////////////////////////////////////////////////////////////////////
class TQpVar : public TObject
{
protected:
Int_t fNx;
Int_t fMy;
Int_t fMz;
Int_t fNxup;
Int_t fNxlo;
Int_t fMcup;
Int_t fMclo;
// these variables will be "Used" not copied
TVectorD fXloIndex;
TVectorD fXupIndex;
TVectorD fCupIndex;
TVectorD fCloIndex;
static Double_t StepBound (TVectorD &v,TVectorD &dir,Double_t maxStep);
static Double_t FindBlocking (TVectorD &w,TVectorD &wstep,TVectorD &u,TVectorD &ustep,
Double_t maxStep,Double_t &w_elt,Double_t &wstep_elt,Double_t &u_elt,
Double_t &ustep_elt,int& first_or_second);
static Double_t FindBlockingSub(Int_t n,Double_t *w,Int_t incw,Double_t *wstep,Int_t incwstep,
Double_t *u,Int_t incu,Double_t *ustep,Int_t incustep,
Double_t maxStep,Double_t &w_elt,Double_t &wstep_elt,
Double_t &u_elt,Double_t &ustep_elt,Int_t &first_or_second);
public:
Int_t fNComplementaryVariables; // number of complementary primal-dual variables.
// these variables will be "Used" not copied
TVectorD fX;
TVectorD fS;
TVectorD fY;
TVectorD fZ;
TVectorD fV;
TVectorD fPhi;
TVectorD fW;
TVectorD fGamma;
TVectorD fT;
TVectorD fLambda;
TVectorD fU;
TVectorD fPi;
TQpVar();
// constructor in which the data and variable pointers are set to point to the given arguments
TQpVar(TVectorD &x_in,TVectorD &s_in,TVectorD &y_in,TVectorD &z_in,
TVectorD &v_in,TVectorD &gamma_in,TVectorD &w_in,TVectorD &phi_in,
TVectorD &t_in,TVectorD &lambda_in,TVectorD &u_in,TVectorD &pi_in,
TVectorD &ixlow_in,TVectorD &ixupp_in,TVectorD &iclow_in,TVectorD &icupp_in);
// constructor that creates variables objects of specified dimensions.
TQpVar(Int_t nx,Int_t my,Int_t mz,
TVectorD &ixlow,TVectorD &ixupp,TVectorD &iclow,TVectorD &icupp);
TQpVar(const TQpVar &another);
virtual ~TQpVar() {}
// Indicates what type is the blocking variable in the step length determination. If kt_block,
// then the blocking variable is one of the slack variables t for a general lower bound,
// and so on. Special value kno_block is for the case in which a step length of 1 can be
// taken without hitting the bound.
enum EVarBlock { kno_block,kt_block,klambda_block,ku_block,kpi_block,
kv_block,kgamma_block,kw_block,kphi_block };
virtual Double_t GetMu (); // compute complementarity gap, obtained by taking the
// inner product of the complementary vectors and dividing
// by the total number of components
// computes mu = (t'lambda +u'pi + v'gamma + w'phi)/
// (mclow+mcupp+nxlow+nxupp)
virtual Double_t MuStep (TQpVar *step,Double_t alpha);
// compute the complementarity gap resulting from a step
// of length "alpha" along direction "step"
virtual void Saxpy (TQpVar *b,Double_t alpha);
// given variables b, compute a <- a + alpha b,
// where a are the variables in this class
virtual void Negate (); // negate the value of all the variables in this structure
virtual Double_t StepBound (TQpVar *b); // calculate the largest alpha in (0,1] such that the
// nonnegative variables stay nonnegative in the given
// search direction. In the general QP problem formulation
// this is the largest value of alpha such that
// (t,u,v,w,lambda,pi,phi,gamma) + alpha * (b->t,b->u,
// b->v,b->w,b->lambda,b->pi,b->phi,b->gamma) >= 0.
virtual Double_t FindBlocking(TQpVar *step,Double_t &primalValue,Double_t &primalStep,Double_t &dualValue,
Double_t &dualStep,Int_t &firstOrSecond);
// Performs the same function as StepBound, and supplies
// additional information about which component of the
// nonnegative variables is responsible for restricting
// alpha. In terms of the abstract formulation, the
// components have the following meanings.
//
// primalValue: the value of the blocking component of the
// primal variables (u,t,v,w).
// primalStep: the corresponding value of the blocking
// component of the primal step variables (b->u,b->t,
// b->v,b->w)
// dualValue: the value of the blocking component of the
// dual variables (lambda,pi,phi,gamma).
// dualStep: the corresponding value of the blocking
// component of the dual step variables (b->lambda,b->pi,
// b->phi,b->gamma)
// firstOrSecond: 1 if the primal step is blocking, 2
// if the dual step is block, 0 if no step is blocking.
virtual void InteriorPoint(Double_t alpha,Double_t beta);
// sets components of (u,t,v,w) to alpha and of
// (lambda,pi,phi,gamma) to beta
virtual void ShiftBoundVariables
(Double_t alpha,Double_t beta);
// add alpha to components of (u,t,v,w) and beta to
// components of (lambda,pi,phi,gamma)
virtual Bool_t IsInteriorPoint(); // check whether this is an interior point. Useful as a
// sanity check.
virtual Double_t Violation (); // The amount by which the current variables violate the
// non-negativity constraints.
virtual void Print (Option_t *option="") const;
virtual Double_t Norm1 (); // compute the 1-norm of the variables
virtual Double_t NormInf (); // compute the inf-norm of the variables
virtual Bool_t ValidNonZeroPattern();
TQpVar &operator= (const TQpVar &source);
ClassDef(TQpVar,1) // Qp Variables class
};
#endif
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