#include <ReducedSpaceSolver.h>

Inheritance diagram for ReducedSpaceSolver:

Public Member Functions
virtual int	getDecisionDim ()

virtual int	matrixChanged ()

	ReducedSpaceSolver ()

	ReducedSpaceSolver (DoubleMatrix MatIn, const int decisionVarSize, int decisionVarID, const int fullVarXSize, const int fullVarYSize, const int fullVarSSize)

	~ReducedSpaceSolver ()

Public Member Functions inherited from DoubleLinearSolver
	DoubleLinearSolver ()

virtual void	solveTrans (OoqpVector &x)

virtual void	Lsolve (OoqpVector &x)

virtual void	Dsolve (OoqpVector &x)

virtual void	Ltsolve (OoqpVector &x)

virtual	~DoubleLinearSolver ()

Protected Member Functions
virtual void	firstCall ()

virtual int	_numericalFact ()

virtual void	diagonalChanged (int idiag, int extent)

virtual void	solve (OoqpVector &rhs_)

virtual void	solve (GenMatrix &rhs_in)

Protected Attributes
DoubleLinearSolver *	Ax_solver

DoubleLinearSolver *	SC_solver

int	firstCallFlag

int	firstSCsolve

int	doBuildSc

SparseSymMatrix *	kkt_diag

DenseSymMatrix *	kktsc

DoubleLinearSolver *	SparseAug_solver

bool	firstHxxUpdate

bool	firstHssUpdate

bool	firstAxUpdate

bool	firstTxUpdate

std::map< int, int >	LocHxxMap

std::map< int, int >	LocHssMap

std::map< int, int >	LocAxMap

std::map< int, int >	LocTxMap

int	Hxx_Dim

int	Huu_Dim

int	Hss_Dim

int	Ax_Dim_m

int	Tx_Dim_m

int	fullMatDim

int	Hxx_NNz

int	Huu_NNz

int	Hss_NNz

int	Hux_NNz

int	Ax_NNz

int	Au_NNz

int	Tx_NNz

int	Tu_NNz

int	I_NNz

int	fullMatNNz

double *	Hxx_ele

double *	Huu_ele

double *	Hss_ele

double *	Hux_ele

double *	Ax_ele

double *	Au_ele

double *	Tx_ele

double *	Tu_ele

double *	I_ele

int *	Hxx_rowBeg

int *	Huu_rowBeg

int *	Hss_rowBeg

int *	Hux_rowBeg

int *	Ax_rowBeg

int *	Au_rowBeg

int *	Tx_rowBeg

int *	Tu_rowBeg

int *	I_rowBeg

int *	Hxx_colIdx

int *	Huu_colIdx

int *	Hss_colIdx

int *	Hux_colIdx

int *	Ax_colIdx

int *	Au_colIdx

int *	Tx_colIdx

int *	Tu_colIdx

int *	I_colIdx

int *	Hxx_Full_eleMap

int *	Huu_Full_eleMap

int *	Hss_Full_eleMap

int *	Hux_Full_eleMap

int *	Ax_Full_eleMap

int *	Au_Full_eleMap

int *	Tx_Full_eleMap

int *	Tu_Full_eleMap

int *	I_Full_eleMap

int *	decisionVarIDinFull

int	DecisionVarDim

int	slackVarDim

int	stateVarDim

int	dualYDim

SparseSymMatrix *	Hxx_Mat

SparseSymMatrix *	Huu_Mat

SparseSymMatrix *	Hss_Mat

SparseSymMatrix *	I_Mat

SparseGenMatrix *	Hux_Mat

SparseGenMatrix *	Hxu_Mat

SparseGenMatrix *	Ax_Mat

SparseGenMatrix *	Au_Mat

SparseGenMatrix *	Tx_Mat

SparseGenMatrix *	Tu_Mat

SparseSymMatrix *	Msys

int	localNegaEigVal

Private Member Functions
void	reducedSpaceJacSolve (OoqpVector rhs_y_, OoqpVector rhs_z_)

void	reducedSpaceJacTransSolve (OoqpVector rhs_x_, OoqpVector rhs_s_)

void	solveDeltaU (OoqpVector &rhs_u, OoqpVector *rhs_Full)

void	schursolveDeltaU (OoqpVector &rhs_u, OoqpVector *rhs_Full)

void	schursolveDeltaU_BuildSC (OoqpVector &rhs_, OoqpVector *rhs_Full)

void	_schursolveDeltaU_BuildSC_firstCall ()

void	addTermToDenseSchurCompl (DenseSymMatrix &SC)

Private Attributes
int *	stateVarIDinFull

int *	FullVarIDinLocal

Additional Inherited Members
Public Attributes inherited from DoubleLinearSolver
int	negEigVal

int	KryIter

Detailed Description

u is the decision matrix, x is the others (state var) in this solver, we assume Ax and Ax' are invertible.

fullMat = Hxx | Hxu | |Ax' | Tx' | r_x Hux | Huu | |Au' | Tu' | r_u | | Hss | | -I | = r_s Ax | Au | | | | r_y Tx | Tu | -I | | | r_z

this can be reordered as fullMat = Hxx | | Hxu |Ax' | Tx' | r_x | Hss | | | -I | r_s Hux | | Huu |Au' | Tu' | = r_u (1) Ax | | Au | | | r_y Tx | -I | Tu | | | r_z

let C = ( Ax ) , Ac = ( Au ), Huc = ( Hux 0 ) = Hcu' (*) ( Tx -I ) ( Tu )

the invert mat of C is ^{-1} = ( Ax^{-1} ) ( TxAx^{-1} -I )

(1)can be rewrited as Hc | Hcu | C' | r_p Huc | Huu | Ac' | = r_u (2) C | Ac | | r_d

Hc | C' | Hcu | r_p C | | Ac | r_d (3) Huc | Ac' | Huu | = r_u

similar to the schur complement method, we solve the problem fullMat*(x,u,y,z)=r by the following sequence: (a) solve following equation to get ( Huu-Huc*C^{-1}*Ac-Ac'*C^{-T}Hcu+Ac'*C^{-T}*Hc*C^{-1}*Ac ) * = r_u -Ac'*C^{-T}(r_p-Hc*C^{-1}r_d)-Huc*C^{-1}r_d

here we save rhs_p = C^{-1}r_d and rhs_d = C^{-T}(r_p-Hc*C^{-1}r_d)

(b) compute = C^{-1}(r_d-Ac*) = rhs_p - C^{-1}Ac*

(c) compute = C^{-T} [ (r_p-Hc*C^{-1}r_d) - (Hcu-Hc*C^{-1}*Ac)* ] or = C^{-T} ( r_p - Hc*delta_p- Hcu*delta_u) or = rhs_d - C^{-T} (Hcu* -Hc*C^{-1}*Ac* )

the later terms in (b) and (c) are computed by solving

Hc  |      C'   |   =               r_p     =   Hcu*\delta_u

C | | r_d Ac*

note that input matrix fullMat is symmetric, and in a row-wise, lower-triangular form

Constructor & Destructor Documentation

ReducedSpaceSolver::ReducedSpaceSolver ( )

ReducedSpaceSolver::ReducedSpaceSolver	(	DoubleMatrix *	MatIn,
		const int	decisionVarSize,
		int *	decisionVarID,
		const int	fullVarXSize,
		const int	fullVarYSize,
		const int	fullVarSSize
	)

ReducedSpaceSolver::~ReducedSpaceSolver ( )

inline

Member Function Documentation

int ReducedSpaceSolver::_numericalFact ( )

protectedvirtual

void ReducedSpaceSolver::_schursolveDeltaU_BuildSC_firstCall ( )

private

void ReducedSpaceSolver::addTermToDenseSchurCompl ( DenseSymMatrix & SC )

private

virtual void ReducedSpaceSolver::diagonalChanged	(	int	idiag,
		int	extent
	)

inlineprotectedvirtual

called if the diagonal elements of the matrix have changed. Triggers a refactorization of the matrix, if necessary.

Parameters

idiag	index of the first diagonal element that changed
extent	the number of diagonal element that changed.

Implements DoubleLinearSolver.

void ReducedSpaceSolver::firstCall ( )

protectedvirtual

virtual int ReducedSpaceSolver::getDecisionDim ( )

inlinevirtual

virtual int ReducedSpaceSolver::matrixChanged ( )

inlinevirtual

called if some elements of the matrix have changed. Triggers a refactorization of the matrix, if necessary.

Implements DoubleLinearSolver.

void ReducedSpaceSolver::reducedSpaceJacSolve	(	OoqpVector *	rhs_y_,
		OoqpVector *	rhs_z_
	)

private

void ReducedSpaceSolver::reducedSpaceJacTransSolve	(	OoqpVector *	rhs_x_,
		OoqpVector *	rhs_s_
	)

private

void ReducedSpaceSolver::schursolveDeltaU	(	OoqpVector &	rhs_u,
		OoqpVector *	rhs_Full
	)

private

void ReducedSpaceSolver::schursolveDeltaU_BuildSC	(	OoqpVector &	rhs_,
		OoqpVector *	rhs_Full
	)

private

void ReducedSpaceSolver::solve ( OoqpVector & x )

protectedvirtual

solves a linear system.

Parameters

x	on entry the right hand side of the system to be solved. On exit, the solution.

Implements DoubleLinearSolver.

void ReducedSpaceSolver::solve ( GenMatrix & rhs_in )

protectedvirtual

Reimplemented from DoubleLinearSolver.

void ReducedSpaceSolver::solveDeltaU	(	OoqpVector &	rhs_u,
		OoqpVector *	rhs_Full
	)

private

Member Data Documentation

int * ReducedSpaceSolver::Au_colIdx

protected

double * ReducedSpaceSolver::Au_ele

protected

int * ReducedSpaceSolver::Au_Full_eleMap

protected

SparseGenMatrix * ReducedSpaceSolver::Au_Mat

protected

int ReducedSpaceSolver::Au_NNz

protected

int * ReducedSpaceSolver::Au_rowBeg

protected

int * ReducedSpaceSolver::Ax_colIdx

protected

int ReducedSpaceSolver::Ax_Dim_m

protected

double * ReducedSpaceSolver::Ax_ele

protected

int * ReducedSpaceSolver::Ax_Full_eleMap

protected

SparseGenMatrix * ReducedSpaceSolver::Ax_Mat

protected

int ReducedSpaceSolver::Ax_NNz

protected

int * ReducedSpaceSolver::Ax_rowBeg

protected

DoubleLinearSolver* ReducedSpaceSolver::Ax_solver

protected

int ReducedSpaceSolver::DecisionVarDim

protected

int* ReducedSpaceSolver::decisionVarIDinFull

protected

int ReducedSpaceSolver::doBuildSc

protected

int ReducedSpaceSolver::dualYDim

protected

bool ReducedSpaceSolver::firstAxUpdate

protected

int ReducedSpaceSolver::firstCallFlag

protected

bool ReducedSpaceSolver::firstHssUpdate

protected

bool ReducedSpaceSolver::firstHxxUpdate

protected

int ReducedSpaceSolver::firstSCsolve

protected

bool ReducedSpaceSolver::firstTxUpdate

protected

int ReducedSpaceSolver::fullMatDim

protected

int ReducedSpaceSolver::fullMatNNz

protected

int* ReducedSpaceSolver::FullVarIDinLocal

private

int * ReducedSpaceSolver::Hss_colIdx

protected

int ReducedSpaceSolver::Hss_Dim

protected

double * ReducedSpaceSolver::Hss_ele

protected

int * ReducedSpaceSolver::Hss_Full_eleMap

protected

SparseSymMatrix * ReducedSpaceSolver::Hss_Mat

protected

int ReducedSpaceSolver::Hss_NNz

protected

int * ReducedSpaceSolver::Hss_rowBeg

protected

int * ReducedSpaceSolver::Huu_colIdx

protected

int ReducedSpaceSolver::Huu_Dim

protected

double * ReducedSpaceSolver::Huu_ele

protected

int * ReducedSpaceSolver::Huu_Full_eleMap

protected

SparseSymMatrix * ReducedSpaceSolver::Huu_Mat

protected

int ReducedSpaceSolver::Huu_NNz

protected

int * ReducedSpaceSolver::Huu_rowBeg

protected

int * ReducedSpaceSolver::Hux_colIdx

protected

double * ReducedSpaceSolver::Hux_ele

protected

int * ReducedSpaceSolver::Hux_Full_eleMap

protected

SparseGenMatrix* ReducedSpaceSolver::Hux_Mat

protected

int ReducedSpaceSolver::Hux_NNz

protected

int * ReducedSpaceSolver::Hux_rowBeg

protected

SparseGenMatrix * ReducedSpaceSolver::Hxu_Mat

protected

int* ReducedSpaceSolver::Hxx_colIdx

protected

int ReducedSpaceSolver::Hxx_Dim

protected

double* ReducedSpaceSolver::Hxx_ele

protected

int* ReducedSpaceSolver::Hxx_Full_eleMap

protected

SparseSymMatrix* ReducedSpaceSolver::Hxx_Mat

protected

int ReducedSpaceSolver::Hxx_NNz

protected

int* ReducedSpaceSolver::Hxx_rowBeg

protected

int * ReducedSpaceSolver::I_colIdx

protected

double * ReducedSpaceSolver::I_ele

protected

int * ReducedSpaceSolver::I_Full_eleMap

protected

SparseSymMatrix * ReducedSpaceSolver::I_Mat

protected

int ReducedSpaceSolver::I_NNz

protected

int * ReducedSpaceSolver::I_rowBeg

protected

SparseSymMatrix* ReducedSpaceSolver::kkt_diag

protected

DenseSymMatrix* ReducedSpaceSolver::kktsc

protected

int ReducedSpaceSolver::localNegaEigVal

protected

std::map<int,int> ReducedSpaceSolver::LocAxMap

protected

std::map<int,int> ReducedSpaceSolver::LocHssMap

protected

std::map<int,int> ReducedSpaceSolver::LocHxxMap

protected

std::map<int,int> ReducedSpaceSolver::LocTxMap

protected

SparseSymMatrix* ReducedSpaceSolver::Msys

protected

DoubleLinearSolver* ReducedSpaceSolver::SC_solver

protected

int ReducedSpaceSolver::slackVarDim

protected

DoubleLinearSolver* ReducedSpaceSolver::SparseAug_solver

protected

int ReducedSpaceSolver::stateVarDim

protected

int* ReducedSpaceSolver::stateVarIDinFull

private

int * ReducedSpaceSolver::Tu_colIdx

protected

double * ReducedSpaceSolver::Tu_ele

protected

int * ReducedSpaceSolver::Tu_Full_eleMap

protected

SparseGenMatrix * ReducedSpaceSolver::Tu_Mat

protected

int ReducedSpaceSolver::Tu_NNz

protected

int * ReducedSpaceSolver::Tu_rowBeg

protected

int * ReducedSpaceSolver::Tx_colIdx

protected

int ReducedSpaceSolver::Tx_Dim_m

protected

double * ReducedSpaceSolver::Tx_ele

protected

int * ReducedSpaceSolver::Tx_Full_eleMap

protected

SparseGenMatrix * ReducedSpaceSolver::Tx_Mat

protected

int ReducedSpaceSolver::Tx_NNz

protected

int * ReducedSpaceSolver::Tx_rowBeg

protected

The documentation for this class was generated from the following files:

/home/michel/git/PIPS/PIPS-NLP/Core/MtxSchurDecomp/ReducedSpaceSolver.h
/home/michel/git/PIPS/PIPS-NLP/Core/MtxSchurDecomp/ReducedSpaceSolver.C

Public Member Functions

Protected Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation