/*
Author: Luca Di Gaspero
DIEGM - University of Udine, Italy
l.digaspero@uniud.it
http://www.diegm.uniud.it/digaspero/
LICENSE
This file is part of QuadProg++: a C++ library implementing
the algorithm of Goldfarb and Idnani for the solution of a (convex)
Quadratic Programming problem by means of an active-set dual method.
Copyright (C) 2007-2009 Luca Di Gaspero.
Copyright (C) 2009 Eric Moyer.
QuadProg++ is free software: you can redistribute it and/or modify
it under the terms of the GNU Lesser General Public License as published by
the Free Software Foundation, either version 3 of the License, or
(at your option) any later version.
QuadProg++ is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU Lesser General Public License for more details.
You should have received a copy of the GNU Lesser General Public License
along with QuadProg++. If not, see .
*/
#include
#include
#include
#include
#include
#include
#include "vislearning/optimization/quadprog/QuadProg++.h"
#include "core/algebra/CholeskyRobustAuto.h"
#include "core/algebra/CholeskyRobust.h"
#include "core/vector/VectorT.h"
#include "core/vector/MatrixT.h"
#include "core/image/ImageT.h"
#include "core/imagedisplay/ImageDisplay.h"
//#define TRACE_SOLVER
namespace QuadProgPP{
// Utility functions for updating some data needed by the solution method
void compute_d(Vector& d, const Matrix& J, const Vector& np);
void update_z(Vector& z, const Matrix& J, const Vector& d, int iq);
void update_r(const Matrix& R, Vector& r, const Vector& d, int iq);
bool add_constraint(Matrix& R, Matrix& J, Vector& d, int& iq, double& rnorm);
void delete_constraint(Matrix& R, Matrix& J, Vector& A, Vector& u, int n, int p, int& iq, int l);
// Utility functions for computing the Cholesky decomposition and solving
// linear systems
void cholesky_decomposition(Matrix& A);
void cholesky_solve(const Matrix& L, Vector& x, const Vector& b);
void forward_elimination(const Matrix& L, Vector& y, const Vector& b);
void backward_elimination(const Matrix& U, Vector& x, const Vector& y);
// Utility functions for computing the scalar product and the euclidean
// distance between two numbers
double scalar_product(const Vector& x, const Vector& y);
double distance(double a, double b);
// Utility functions for printing vectors and matrices
void print_matrix(const char* name, const Matrix& A, int n = -1, int m = -1);
template
void print_vector(const char* name, const Vector& v, int n = -1);
// The Solving function, implementing the Goldfarb-Idnani method
double solve_quadprog(Matrix& G, Vector& g0,
const Matrix& CE, const Vector& ce0,
const Matrix& CI, const Vector& ci0,
Vector& x)
{
std::ostringstream msg;
{
//Ensure that the dimensions of the matrices and vectors can be
//safely converted from unsigned int into to int without overflow.
unsigned mx = std::numeric_limits::max();
if(G.ncols() >= mx || G.nrows() >= mx ||
CE.nrows() >= mx || CE.ncols() >= mx ||
CI.nrows() >= mx || CI.ncols() >= mx ||
ci0.size() >= mx || ce0.size() >= mx || g0.size() >= mx){
msg << "The dimensions of one of the input matrices or vectors were "
<< "too large." << std::endl
<< "The maximum allowable size for inputs to solve_quadprog is:"
<< mx << std::endl;
throw std::logic_error(msg.str());
}
}
int n = G.ncols(), p = CE.ncols(), m = CI.ncols();
if ((int)G.nrows() != n)
{
msg << "The matrix G is not a square matrix (" << G.nrows() << " x "
<< G.ncols() << ")";
throw std::logic_error(msg.str());
}
if ((int)CE.nrows() != n)
{
msg << "The matrix CE is incompatible (incorrect number of rows "
<< CE.nrows() << " , expecting " << n << ")";
throw std::logic_error(msg.str());
}
if ((int)ce0.size() != p)
{
msg << "The vector ce0 is incompatible (incorrect dimension "
<< ce0.size() << ", expecting " << p << ")";
throw std::logic_error(msg.str());
}
if ((int)CI.nrows() != n)
{
msg << "The matrix CI is incompatible (incorrect number of rows "
<< CI.nrows() << " , expecting " << n << ")";
throw std::logic_error(msg.str());
}
if ((int)ci0.size() != m)
{
msg << "The vector ci0 is incompatible (incorrect dimension "
<< ci0.size() << ", expecting " << m << ")";
throw std::logic_error(msg.str());
}
x.resize(n);
register int i, j, k, l; /* indices */
int ip; // this is the index of the constraint to be added to the active set
Matrix R(n, n), J(n, n);
Vector s(m + p), z(n), r(m + p), d(n), np(n), u(m + p), x_old(n), u_old(m + p);
double f_value, psi, c1, c2, sum, ss, R_norm;
double inf;
if (std::numeric_limits::has_infinity)
inf = std::numeric_limits::infinity();
else
inf = 1.0E300;
double t, t1, t2; /* t is the step lenght, which is the minimum of the partial step length t1
* and the full step length t2 */
Vector A(m + p), A_old(m + p), iai(m + p);
int q, iq, iter = 0;
Vector iaexcl(m + p);
/* p is the number of equality constraints */
/* m is the number of inequality constraints */
q = 0; /* size of the active set A (containing the indices of the active constraints) */
#ifdef TRACE_SOLVER
std::cout << std::endl << "Starting solve_quadprog" << std::endl;
print_matrix("G", G);
print_vector("g0", g0);
print_matrix("CE", CE);
print_vector("ce0", ce0);
print_matrix("CI", CI);
print_vector("ci0", ci0);
#endif
/*
* Preprocessing phase
*/
/* compute the trace of the original matrix G */
c1 = 0.0;
for (i = 0; i < n; i++)
{
c1 += G[i][i];
}
/* decompose the matrix G in the form L^T L */
cholesky_decomposition(G);
#ifdef TRACE_SOLVER
print_matrix("G", G);
#endif
/* initialize the matrix R */
for (i = 0; i < n; i++)
{
d[i] = 0.0;
for (j = 0; j < n; j++)
R[i][j] = 0.0;
}
R_norm = 1.0; /* this variable will hold the norm of the matrix R */
/* compute the inverse of the factorized matrix G^-1, this is the initial value for H */
c2 = 0.0;
for (i = 0; i < n; i++)
{
d[i] = 1.0;
forward_elimination(G, z, d);
for (j = 0; j < n; j++)
J[i][j] = z[j];
c2 += z[i];
d[i] = 0.0;
}
#ifdef TRACE_SOLVER
print_matrix("J", J);
#endif
/* c1 * c2 is an estimate for cond(G) */
/*
* Find the unconstrained minimizer of the quadratic form 0.5 * x G x + g0 x
* this is a feasible point in the dual space
* x = G^-1 * g0
*/
cholesky_solve(G, x, g0);
for (i = 0; i < n; i++)
x[i] = -x[i];
/* and compute the current solution value */
f_value = 0.5 * scalar_product(g0, x);
#ifdef TRACE_SOLVER
std::cout << "Unconstrained solution: " << f_value << std::endl;
print_vector("x", x);
#endif
/* Add equality constraints to the working set A */
iq = 0;
for (i = 0; i < p; i++)
{
for (j = 0; j < n; j++)
np[j] = CE[j][i];
compute_d(d, J, np);
update_z(z, J, d, iq);
update_r(R, r, d, iq);
#ifdef TRACE_SOLVER
print_matrix("R", R, n, iq);
print_vector("z", z);
print_vector("r", r, iq);
print_vector("d", d);
#endif
/* compute full step length t2: i.e., the minimum step in primal space s.t. the contraint
becomes feasible */
t2 = 0.0;
if (fabs(scalar_product(z, z)) > std::numeric_limits::epsilon()) // i.e. z != 0
t2 = (-scalar_product(np, x) - ce0[i]) / scalar_product(z, np);
/* set x = x + t2 * z */
for (k = 0; k < n; k++)
x[k] += t2 * z[k];
/* set u = u+ */
u[iq] = t2;
for (k = 0; k < iq; k++)
u[k] -= t2 * r[k];
/* compute the new solution value */
f_value += 0.5 * (t2 * t2) * scalar_product(z, np);
A[i] = -i - 1;
if (!add_constraint(R, J, d, iq, R_norm))
{
// Equality constraints are linearly dependent
throw std::runtime_error("Constraints are linearly dependent");
return f_value;
}
}
/* set iai = K \ A */
for (i = 0; i < m; i++)
iai[i] = i;
l1: iter++;
#ifdef TRACE_SOLVER
print_vector("x", x);
#endif
/* step 1: choose a violated constraint */
for (i = p; i < iq; i++)
{
ip = A[i];
iai[ip] = -1;
}
/* compute s[x] = ci^T * x + ci0 for all elements of K \ A */
ss = 0.0;
psi = 0.0; /* this value will contain the sum of all infeasibilities */
ip = 0; /* ip will be the index of the chosen violated constraint */
for (i = 0; i < m; i++)
{
iaexcl[i] = true;
sum = 0.0;
for (j = 0; j < n; j++)
sum += CI[j][i] * x[j];
sum += ci0[i];
s[i] = sum;
psi += std::min(0.0, sum);
}
#ifdef TRACE_SOLVER
print_vector("s", s, m);
#endif
if (fabs(psi) <= m * std::numeric_limits::epsilon() * c1 * c2* 100.0)
{
/* numerically there are not infeasibilities anymore */
q = iq;
return f_value;
}
/* save old values for u and A */
for (i = 0; i < iq; i++)
{
u_old[i] = u[i];
A_old[i] = A[i];
}
/* and for x */
for (i = 0; i < n; i++)
x_old[i] = x[i];
l2: /* Step 2: check for feasibility and determine a new S-pair */
for (i = 0; i < m; i++)
{
if (s[i] < ss && iai[i] != -1 && iaexcl[i])
{
ss = s[i];
ip = i;
}
}
if (ss >= 0.0)
{
q = iq;
return f_value;
}
/* set np = n[ip] */
for (i = 0; i < n; i++)
np[i] = CI[i][ip];
/* set u = [u 0]^T */
u[iq] = 0.0;
/* add ip to the active set A */
A[iq] = ip;
#ifdef TRACE_SOLVER
std::cout << "Trying with constraint " << ip << std::endl;
print_vector("np", np);
#endif
l2a:/* Step 2a: determine step direction */
/* compute z = H np: the step direction in the primal space (through J, see the paper) */
compute_d(d, J, np);
update_z(z, J, d, iq);
/* compute N* np (if q > 0): the negative of the step direction in the dual space */
update_r(R, r, d, iq);
#ifdef TRACE_SOLVER
std::cout << "Step direction z" << std::endl;
print_vector("z", z);
print_vector("r", r, iq + 1);
print_vector("u", u, iq + 1);
print_vector("d", d);
print_vector("A", A, iq + 1);
#endif
/* Step 2b: compute step length */
l = 0;
/* Compute t1: partial step length (maximum step in dual space without violating dual feasibility */
t1 = inf; /* +inf */
/* find the index l s.t. it reaches the minimum of u+[x] / r */
for (k = p; k < iq; k++)
{
if (r[k] > 0.0)
{
if (u[k] / r[k] < t1)
{
t1 = u[k] / r[k];
l = A[k];
}
}
}
/* Compute t2: full step length (minimum step in primal space such that the constraint ip becomes feasible */
if (fabs(scalar_product(z, z)) > std::numeric_limits::epsilon()) // i.e. z != 0
t2 = -s[ip] / scalar_product(z, np);
else
t2 = inf; /* +inf */
/* the step is chosen as the minimum of t1 and t2 */
t = std::min(t1, t2);
#ifdef TRACE_SOLVER
std::cout << "Step sizes: " << t << " (t1 = " << t1 << ", t2 = " << t2 << ") ";
#endif
/* Step 2c: determine new S-pair and take step: */
/* case (i): no step in primal or dual space */
if (t >= inf)
{
/* QPP is infeasible */
// FIXME: unbounded to raise
q = iq;
return inf;
}
/* case (ii): step in dual space */
if (t2 >= inf)
{
/* set u = u + t * [-r 1] and drop constraint l from the active set A */
for (k = 0; k < iq; k++)
u[k] -= t * r[k];
u[iq] += t;
iai[l] = l;
delete_constraint(R, J, A, u, n, p, iq, l);
#ifdef TRACE_SOLVER
std::cout << " in dual space: "
<< f_value << std::endl;
print_vector("x", x);
print_vector("z", z);
print_vector("A", A, iq + 1);
#endif
goto l2a;
}
/* case (iii): step in primal and dual space */
/* set x = x + t * z */
for (k = 0; k < n; k++)
x[k] += t * z[k];
/* update the solution value */
f_value += t * scalar_product(z, np) * (0.5 * t + u[iq]);
/* u = u + t * [-r 1] */
for (k = 0; k < iq; k++)
u[k] -= t * r[k];
u[iq] += t;
#ifdef TRACE_SOLVER
std::cout << " in both spaces: "
<< f_value << std::endl;
print_vector("x", x);
print_vector("u", u, iq + 1);
print_vector("r", r, iq + 1);
print_vector("A", A, iq + 1);
#endif
if (fabs(t - t2) < std::numeric_limits::epsilon())
{
#ifdef TRACE_SOLVER
std::cout << "Full step has taken " << t << std::endl;
print_vector("x", x);
#endif
/* full step has taken */
/* add constraint ip to the active set*/
if (!add_constraint(R, J, d, iq, R_norm))
{
iaexcl[ip] = false;
delete_constraint(R, J, A, u, n, p, iq, ip);
#ifdef TRACE_SOLVER
print_matrix("R", R);
print_vector("A", A, iq);
print_vector("iai", iai);
#endif
for (i = 0; i < m; i++)
iai[i] = i;
for (i = p; i < iq; i++)
{
A[i] = A_old[i];
u[i] = u_old[i];
iai[A[i]] = -1;
}
for (i = 0; i < n; i++)
x[i] = x_old[i];
goto l2; /* go to step 2 */
}
else
iai[ip] = -1;
#ifdef TRACE_SOLVER
print_matrix("R", R);
print_vector("A", A, iq);
print_vector("iai", iai);
#endif
goto l1;
}
/* a patial step has taken */
#ifdef TRACE_SOLVER
std::cout << "Partial step has taken " << t << std::endl;
print_vector("x", x);
#endif
/* drop constraint l */
iai[l] = l;
delete_constraint(R, J, A, u, n, p, iq, l);
#ifdef TRACE_SOLVER
print_matrix("R", R);
print_vector("A", A, iq);
#endif
/* update s[ip] = CI * x + ci0 */
sum = 0.0;
for (k = 0; k < n; k++)
sum += CI[k][ip] * x[k];
s[ip] = sum + ci0[ip];
#ifdef TRACE_SOLVER
print_vector("s", s, m);
#endif
goto l2a;
}
inline void compute_d(Vector& d, const Matrix& J, const Vector& np)
{
register int i, j, n = d.size();
register double sum;
/* compute d = H^T * np */
for (i = 0; i < n; i++)
{
sum = 0.0;
for (j = 0; j < n; j++)
sum += J[j][i] * np[j];
d[i] = sum;
}
}
inline void update_z(Vector& z, const Matrix& J, const Vector& d, int iq)
{
register int i, j, n = z.size();
/* setting of z = H * d */
for (i = 0; i < n; i++)
{
z[i] = 0.0;
for (j = iq; j < n; j++)
z[i] += J[i][j] * d[j];
}
}
inline void update_r(const Matrix& R, Vector& r, const Vector& d, int iq)
{
register int i, j;/*, n = d.size();*/
register double sum;
/* setting of r = R^-1 d */
for (i = iq - 1; i >= 0; i--)
{
sum = 0.0;
for (j = i + 1; j < iq; j++)
sum += R[i][j] * r[j];
r[i] = (d[i] - sum) / R[i][i];
}
}
bool add_constraint(Matrix& R, Matrix& J, Vector& d, int& iq, double& R_norm)
{
int n = d.size();
#ifdef TRACE_SOLVER
std::cout << "Add constraint " << iq << '/';
#endif
register int i, j, k;
double cc, ss, h, t1, t2, xny;
/* we have to find the Givens rotation which will reduce the element
d[j] to zero.
if it is already zero we don't have to do anything, except of
decreasing j */
for (j = n - 1; j >= iq + 1; j--)
{
/* The Givens rotation is done with the matrix (cc cs, cs -cc).
If cc is one, then element (j) of d is zero compared with element
(j - 1). Hence we don't have to do anything.
If cc is zero, then we just have to switch column (j) and column (j - 1)
of J. Since we only switch columns in J, we have to be careful how we
update d depending on the sign of gs.
Otherwise we have to apply the Givens rotation to these columns.
The i - 1 element of d has to be updated to h. */
cc = d[j - 1];
ss = d[j];
h = distance(cc, ss);
if (fabs(h) < std::numeric_limits::epsilon()) // h == 0
continue;
d[j] = 0.0;
ss = ss / h;
cc = cc / h;
if (cc < 0.0)
{
cc = -cc;
ss = -ss;
d[j - 1] = -h;
}
else
d[j - 1] = h;
xny = ss / (1.0 + cc);
for (k = 0; k < n; k++)
{
t1 = J[k][j - 1];
t2 = J[k][j];
J[k][j - 1] = t1 * cc + t2 * ss;
J[k][j] = xny * (t1 + J[k][j - 1]) - t2;
}
}
/* update the number of constraints added*/
iq++;
/* To update R we have to put the iq components of the d vector
into column iq - 1 of R
*/
for (i = 0; i < iq; i++)
R[i][iq - 1] = d[i];
#ifdef TRACE_SOLVER
std::cout << iq << std::endl;
print_matrix("R", R, iq, iq);
print_matrix("J", J);
print_vector("d", d, iq);
#endif
if (fabs(d[iq - 1]) <= std::numeric_limits::epsilon() * R_norm)
{
// problem degenerate
return false;
}
R_norm = std::max(R_norm, fabs(d[iq - 1]));
return true;
}
void delete_constraint(Matrix& R, Matrix& J, Vector& A, Vector& u, int n, int p, int& iq, int l)
{
#ifdef TRACE_SOLVER
std::cout << "Delete constraint " << l << ' ' << iq;
#endif
register int i, j, k, qq = -1; // just to prevent warnings from smart compilers
double cc, ss, h, xny, t1, t2;
/* Find the index qq for active constraint l to be removed */
for (i = p; i < iq; i++)
if (A[i] == l)
{
qq = i;
break;
}
/* remove the constraint from the active set and the duals */
for (i = qq; i < iq - 1; i++)
{
A[i] = A[i + 1];
u[i] = u[i + 1];
for (j = 0; j < n; j++)
R[j][i] = R[j][i + 1];
}
A[iq - 1] = A[iq];
u[iq - 1] = u[iq];
A[iq] = 0;
u[iq] = 0.0;
for (j = 0; j < iq; j++)
R[j][iq - 1] = 0.0;
/* constraint has been fully removed */
iq--;
#ifdef TRACE_SOLVER
std::cout << '/' << iq << std::endl;
#endif
if (iq == 0)
return;
for (j = qq; j < iq; j++)
{
cc = R[j][j];
ss = R[j + 1][j];
h = distance(cc, ss);
if (fabs(h) < std::numeric_limits::epsilon()) // h == 0
continue;
cc = cc / h;
ss = ss / h;
R[j + 1][j] = 0.0;
if (cc < 0.0)
{
R[j][j] = -h;
cc = -cc;
ss = -ss;
}
else
R[j][j] = h;
xny = ss / (1.0 + cc);
for (k = j + 1; k < iq; k++)
{
t1 = R[j][k];
t2 = R[j + 1][k];
R[j][k] = t1 * cc + t2 * ss;
R[j + 1][k] = xny * (t1 + R[j][k]) - t2;
}
for (k = 0; k < n; k++)
{
t1 = J[k][j];
t2 = J[k][j + 1];
J[k][j] = t1 * cc + t2 * ss;
J[k][j + 1] = xny * (J[k][j] + t1) - t2;
}
}
}
inline double distance(double a, double b)
{
register double a1, b1, t;
a1 = fabs(a);
b1 = fabs(b);
if (a1 > b1)
{
t = (b1 / a1);
return a1 * ::std::sqrt(1.0 + t * t);
}
else
if (b1 > a1)
{
t = (a1 / b1);
return b1 * ::std::sqrt(1.0 + t * t);
}
return a1 * ::std::sqrt(2.0);
}
inline double scalar_product(const Vector& x, const Vector& y)
{
register int i, n = x.size();
register double sum;
sum = 0.0;
for (i = 0; i < n; i++)
sum += x[i] * y[i];
return sum;
}
void cholesky_decomposition(Matrix& A)
{
register int n = A.nrows(),i,j;
NICE::Matrix M;
M.resize(n,n);
//copy array to nice matrix
for (i = 0; i < n; i++)
{
for (j = 0; j < n; j++)
{
M(n,n)= A[i][j];
}
}
NICE::Matrix L;
L.resize(n,n);
NICE::CholeskyRobust *cra = new NICE::CholeskyRobustAuto(false);
cra->robustChol ( M, L );
//copy back
for (i = 0; i < n; i++)
{
for (j = 0; j <= i; j++)
{
A[i][j]=L(i,j);
A[j][i]=L(i,j);
}
}
delete cra;
/*
register int i, j, k, n = A.nrows();
register double sum;
for (i = 0; i < n; i++)
{
for (j = i; j < n; j++)
{
sum = A[i][j];
for (k = i - 1; k >= 0; k--)
sum -= A[i][k]*A[j][k];
if (i == j)
{
if (sum <= 0.0)
{
std::ostringstream os;
// raise error
print_matrix("A", A);
os << "Error in cholesky decomposition, sum: " << sum;
throw std::logic_error(os.str());
exit(-1);
}
A[i][i] = ::std::sqrt(sum);
}
else
A[j][i] = sum / A[i][i];
}
for (k = i + 1; k < n; k++)
A[i][k] = A[k][i];
}
*/
}
void cholesky_solve(const Matrix& L, Vector& x, const Vector& b)
{
int n = L.nrows();
Vector y(n);
/* Solve L * y = b */
forward_elimination(L, y, b);
/* Solve L^T * x = y */
backward_elimination(L, x, y);
}
inline void forward_elimination(const Matrix& L, Vector& y, const Vector& b)
{
register int i, j, n = L.nrows();
y[0] = b[0] / L[0][0];
for (i = 1; i < n; i++)
{
y[i] = b[i];
for (j = 0; j < i; j++)
y[i] -= L[i][j] * y[j];
y[i] = y[i] / L[i][i];
}
}
inline void backward_elimination(const Matrix& U, Vector& x, const Vector& y)
{
register int i, j, n = U.nrows();
x[n - 1] = y[n - 1] / U[n - 1][n - 1];
for (i = n - 2; i >= 0; i--)
{
x[i] = y[i];
for (j = i + 1; j < n; j++)
x[i] -= U[i][j] * x[j];
x[i] = x[i] / U[i][i];
}
}
void print_matrix(const char* name, const Matrix& A, int n, int m)
{
std::ostringstream s;
std::string t;
if (n == -1)
n = A.nrows();
if (m == -1)
m = A.ncols();
s << name << ": " << std::endl;
for (int i = 0; i < n; i++)
{
s << " ";
for (int j = 0; j < m; j++)
s << A[i][j] << ", ";
s << std::endl;
}
t = s.str();
t = t.substr(0, t.size() - 3); // To remove the trailing space, comma and newline
std::cout << t << std::endl;
}
template
void print_vector(const char* name, const Vector& v, int n)
{
std::ostringstream s;
std::string t;
if (n == -1)
n = v.size();
s << name << ": " << std::endl << " ";
for (int i = 0; i < n; i++)
{
s << v[i] << ", ";
}
t = s.str();
t = t.substr(0, t.size() - 2); // To remove the trailing space and comma
std::cout << t << std::endl;
}
}