// @(#)root/quadp:$Id: TQpSolverBase.h 20882 2007-11-19 11:31:26Z rdm $ // 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_TQpSolverBase #define ROOT_TQpSolverBase #ifndef ROOT_TError #include "TError.h" #endif #ifndef ROOT_TQpVar #include "TQpVar.h" #endif #ifndef ROOT_TQpDataBase #include "TQpDataBase.h" #endif #ifndef ROOT_TQpResidual #include "TQpResidual.h" #endif #ifndef ROOT_TQpProbBase #include "TQpProbBase.h" #endif #ifndef ROOT_TQpLinSolverBase #include "TQpLinSolverBase.h" #endif #ifndef ROOT_TMatrixD #include "TMatrixD.h" #endif /////////////////////////////////////////////////////////////////////////// // // // Abstract base class for QP solver using interior-point // // // /////////////////////////////////////////////////////////////////////////// enum ETerminationCode { kSUCCESSFUL_TERMINATION = 0, kNOT_FINISHED, kMAX_ITS_EXCEEDED, kINFEASIBLE, kUNKNOWN }; class TQpSolverBase : public TObject { protected: TQpLinSolverBase *fSys; Double_t fDnorm; // norm of problem data Double_t fMutol; // termination parameters Double_t fArtol; Double_t fGamma_f; // parameters associated with the step length heuristic Double_t fGamma_a; Double_t fPhi; // merit function, defined as the sum of the complementarity gap // the residual norms, divided by (1+norm of problem data) Int_t fMaxit; // maximum number of iterations allowed Double_t *fMu_history; //[fMaxit] history of values of mu obtained on all iterations to date Double_t *fRnorm_history; //[fMaxit] history of values of residual norm obtained on all iterations to date Double_t *fPhi_history; //[fMaxit] history of values of phi obtained on all iterations to date Double_t *fPhi_min_history; //[fMaxit] the i-th entry of this array contains the minimum value of phi // encountered by the algorithm on or before iteration i public: Int_t fIter; // iteration counter TQpSolverBase(); TQpSolverBase(const TQpSolverBase &another); virtual ~TQpSolverBase(); virtual void Start (TQpProbBase *formulation, TQpVar *iterate,TQpDataBase *prob, TQpResidual *resid,TQpVar *step); // starting point heuristic virtual void DefStart (TQpProbBase *formulation, TQpVar *iterate,TQpDataBase *prob, TQpResidual *resid,TQpVar *step); // default starting point heuristic virtual void SteveStart (TQpProbBase *formulation, TQpVar *iterate,TQpDataBase *prob, TQpResidual *resid,TQpVar *step); // alternative starting point heuristic virtual void DumbStart (TQpProbBase *formulation, TQpVar *iterate,TQpDataBase *prob, TQpResidual *resid,TQpVar *step); // alternative starting point heuristic: sets the // "complementary" variables to a large positive value // (based on the norm of the problem data) and the // remaining variables to zero virtual Int_t Solve (TQpDataBase *prob,TQpVar *iterate, TQpResidual *resids) = 0; // implements the interior-point method for solving the QP virtual Double_t FinalStepLength (TQpVar *iterate,TQpVar *step); // Mehrotra's heuristic to calculate the final step virtual void DoMonitor (TQpDataBase *data,TQpVar *vars, TQpResidual *resids,Double_t alpha, Double_t sigma,Int_t i,Double_t mu, Int_t stop_code,Int_t level); // perform monitor operation at each interior-point iteration virtual void DefMonitor (TQpDataBase *data,TQpVar *vars, TQpResidual *resids,Double_t alpha, Double_t sigma,Int_t i,Double_t mu, Int_t stop_code,Int_t level) = 0; // default monitor: prints out one line of information // on each interior-point iteration virtual Int_t DoStatus (TQpDataBase *data,TQpVar *vars, TQpResidual *resids,Int_t i,Double_t mu, Int_t level); // this method called to test for convergence status at // at the end of each interior-point iteration virtual Int_t DefStatus (TQpDataBase *data,TQpVar *vars, TQpResidual *resids,Int_t i,Double_t mu, Int_t level); // default method for checking status. May be replaced // by a user-defined method TQpLinSolverBase *GetLinearSystem() { return fSys; } void SetMuTol (Double_t m) { fMutol = m; } Double_t GetMuTol () { return fMutol; } void SetArTol (Double_t ar) { fArtol = ar; } Double_t GetArTol () { return fArtol; } Double_t DataNorm () { return fDnorm; } TQpSolverBase &operator= (const TQpSolverBase &source); ClassDef(TQpSolverBase,1) // Qp Solver class }; #endif