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ClpHelperFunctions.hpp
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00001 /* $Id$ */
00002 // Copyright (C) 2003, International Business Machines
00003 // Corporation and others.  All Rights Reserved.
00004 // This code is licensed under the terms of the Eclipse Public License (EPL).
00005 
00006 #ifndef ClpHelperFunctions_H
00007 #define ClpHelperFunctions_H
00008 
00009 #include "ClpConfig.h"
00010 #ifdef HAVE_CMATH
00011 # include <cmath>
00012 #else
00013 # ifdef HAVE_MATH_H
00014 #  include <math.h>
00015 # else
00016 #  error "don't have header file for math"
00017 # endif
00018 #endif
00019 
00028 double maximumAbsElement(const double * region, int size);
00029 void setElements(double * region, int size, double value);
00030 void multiplyAdd(const double * region1, int size, double multiplier1,
00031                  double * region2, double multiplier2);
00032 double innerProduct(const double * region1, int size, const double * region2);
00033 void getNorms(const double * region, int size, double & norm1, double & norm2);
00034 #if COIN_LONG_WORK
00035 // For long double versions
00036 CoinWorkDouble maximumAbsElement(const CoinWorkDouble * region, int size);
00037 void setElements(CoinWorkDouble * region, int size, CoinWorkDouble value);
00038 void multiplyAdd(const CoinWorkDouble * region1, int size, CoinWorkDouble multiplier1,
00039                  CoinWorkDouble * region2, CoinWorkDouble multiplier2);
00040 CoinWorkDouble innerProduct(const CoinWorkDouble * region1, int size, const CoinWorkDouble * region2);
00041 void getNorms(const CoinWorkDouble * region, int size, CoinWorkDouble & norm1, CoinWorkDouble & norm2);
00042 inline void
00043 CoinMemcpyN(const double * from, const int size, CoinWorkDouble * to)
00044 {
00045      for (int i = 0; i < size; i++)
00046           to[i] = from[i];
00047 }
00048 inline void
00049 CoinMemcpyN(const CoinWorkDouble * from, const int size, double * to)
00050 {
00051      for (int i = 0; i < size; i++)
00052           to[i] = static_cast<double>(from[i]);
00053 }
00054 inline CoinWorkDouble
00055 CoinMax(const CoinWorkDouble x1, const double x2)
00056 {
00057      return (x1 > x2) ? x1 : x2;
00058 }
00059 inline CoinWorkDouble
00060 CoinMax(double x1, const CoinWorkDouble x2)
00061 {
00062      return (x1 > x2) ? x1 : x2;
00063 }
00064 inline CoinWorkDouble
00065 CoinMin(const CoinWorkDouble x1, const double x2)
00066 {
00067      return (x1 < x2) ? x1 : x2;
00068 }
00069 inline CoinWorkDouble
00070 CoinMin(double x1, const CoinWorkDouble x2)
00071 {
00072      return (x1 < x2) ? x1 : x2;
00073 }
00074 inline CoinWorkDouble CoinSqrt(CoinWorkDouble x)
00075 {
00076      return sqrtl(x);
00077 }
00078 #else
00079 inline double CoinSqrt(double x)
00080 {
00081      return sqrt(x);
00082 }
00083 #endif
00084 
00086 #ifdef ClpPdco_H
00087 
00088 
00089 inline double pdxxxmerit(int nlow, int nupp, int *low, int *upp, CoinDenseVector <double> &r1,
00090                          CoinDenseVector <double> &r2, CoinDenseVector <double> &rL,
00091                          CoinDenseVector <double> &rU, CoinDenseVector <double> &cL,
00092                          CoinDenseVector <double> &cU )
00093 {
00094 
00095 // Evaluate the merit function for Newton's method.
00096 // It is the 2-norm of the three sets of residuals.
00097      double sum1, sum2;
00098      CoinDenseVector <double> f(6);
00099      f[0] = r1.twoNorm();
00100      f[1] = r2.twoNorm();
00101      sum1 = sum2 = 0.0;
00102      for (int k = 0; k < nlow; k++) {
00103           sum1 += rL[low[k]] * rL[low[k]];
00104           sum2 += cL[low[k]] * cL[low[k]];
00105      }
00106      f[2] = sqrt(sum1);
00107      f[4] = sqrt(sum2);
00108      sum1 = sum2 = 0.0;
00109      for (int k = 0; k < nupp; k++) {
00110           sum1 += rL[upp[k]] * rL[upp[k]];
00111           sum2 += cL[upp[k]] * cL[upp[k]];
00112      }
00113      f[3] = sqrt(sum1);
00114      f[5] = sqrt(sum2);
00115 
00116      return f.twoNorm();
00117 }
00118 
00119 //-----------------------------------------------------------------------
00120 // End private function pdxxxmerit
00121 //-----------------------------------------------------------------------
00122 
00123 
00124 //function [r1,r2,rL,rU,Pinf,Dinf] =    ...
00125 //      pdxxxresid1( Aname,fix,low,upp, ...
00126 //                   b,bl,bu,d1,d2,grad,rL,rU,x,x1,x2,y,z1,z2 )
00127 
00128 inline void pdxxxresid1(ClpPdco *model, const int nlow, const int nupp, const int nfix,
00129                         int *low, int *upp, int *fix,
00130                         CoinDenseVector <double> &b, double *bl, double *bu, double d1, double d2,
00131                         CoinDenseVector <double> &grad, CoinDenseVector <double> &rL,
00132                         CoinDenseVector <double> &rU, CoinDenseVector <double> &x,
00133                         CoinDenseVector <double> &x1, CoinDenseVector <double> &x2,
00134                         CoinDenseVector <double> &y,  CoinDenseVector <double> &z1,
00135                         CoinDenseVector <double> &z2, CoinDenseVector <double> &r1,
00136                         CoinDenseVector <double> &r2, double *Pinf, double *Dinf)
00137 {
00138 
00139 // Form residuals for the primal and dual equations.
00140 // rL, rU are output, but we input them as full vectors
00141 // initialized (permanently) with any relevant zeros.
00142 
00143 // Get some element pointers for efficiency
00144      double *x_elts  = x.getElements();
00145      double *r2_elts = r2.getElements();
00146 
00147      for (int k = 0; k < nfix; k++)
00148           x_elts[fix[k]]  = 0;
00149 
00150      r1.clear();
00151      r2.clear();
00152      model->matVecMult( 1, r1, x );
00153      model->matVecMult( 2, r2, y );
00154      for (int k = 0; k < nfix; k++)
00155           r2_elts[fix[k]]  = 0;
00156 
00157 
00158      r1      = b    - r1 - d2 * d2 * y;
00159      r2      = grad - r2 - z1;              // grad includes d1*d1*x
00160      if (nupp > 0)
00161           r2    = r2 + z2;
00162 
00163      for (int k = 0; k < nlow; k++)
00164           rL[low[k]] = bl[low[k]] - x[low[k]] + x1[low[k]];
00165      for (int k = 0; k < nupp; k++)
00166           rU[upp[k]] = - bu[upp[k]] + x[upp[k]] + x2[upp[k]];
00167 
00168      double normL = 0.0;
00169      double normU = 0.0;
00170      for (int k = 0; k < nlow; k++)
00171           if (rL[low[k]] > normL) normL = rL[low[k]];
00172      for (int k = 0; k < nupp; k++)
00173           if (rU[upp[k]] > normU) normU = rU[upp[k]];
00174 
00175      *Pinf    = CoinMax(normL, normU);
00176      *Pinf    = CoinMax( r1.infNorm() , *Pinf );
00177      *Dinf    = r2.infNorm();
00178      *Pinf    = CoinMax( *Pinf, 1e-99 );
00179      *Dinf    = CoinMax( *Dinf, 1e-99 );
00180 }
00181 
00182 //-----------------------------------------------------------------------
00183 // End private function pdxxxresid1
00184 //-----------------------------------------------------------------------
00185 
00186 
00187 //function [cL,cU,center,Cinf,Cinf0] = ...
00188 //      pdxxxresid2( mu,low,upp,cL,cU,x1,x2,z1,z2 )
00189 
00190 inline void pdxxxresid2(double mu, int nlow, int nupp, int *low, int *upp,
00191                         CoinDenseVector <double> &cL, CoinDenseVector <double> &cU,
00192                         CoinDenseVector <double> &x1, CoinDenseVector <double> &x2,
00193                         CoinDenseVector <double> &z1, CoinDenseVector <double> &z2,
00194                         double *center, double *Cinf, double *Cinf0)
00195 {
00196 
00197 // Form residuals for the complementarity equations.
00198 // cL, cU are output, but we input them as full vectors
00199 // initialized (permanently) with any relevant zeros.
00200 // Cinf  is the complementarity residual for X1 z1 = mu e, etc.
00201 // Cinf0 is the same for mu=0 (i.e., for the original problem).
00202 
00203      double maxXz = -1e20;
00204      double minXz = 1e20;
00205 
00206      double *x1_elts = x1.getElements();
00207      double *z1_elts = z1.getElements();
00208      double *cL_elts = cL.getElements();
00209      for (int k = 0; k < nlow; k++) {
00210           double x1z1    = x1_elts[low[k]] * z1_elts[low[k]];
00211           cL_elts[low[k]] = mu - x1z1;
00212           if (x1z1 > maxXz) maxXz = x1z1;
00213           if (x1z1 < minXz) minXz = x1z1;
00214      }
00215 
00216      double *x2_elts = x2.getElements();
00217      double *z2_elts = z2.getElements();
00218      double *cU_elts = cU.getElements();
00219      for (int k = 0; k < nupp; k++) {
00220           double x2z2    = x2_elts[upp[k]] * z2_elts[upp[k]];
00221           cU_elts[upp[k]] = mu - x2z2;
00222           if (x2z2 > maxXz) maxXz = x2z2;
00223           if (x2z2 < minXz) minXz = x2z2;
00224      }
00225 
00226      maxXz   = CoinMax( maxXz, 1e-99 );
00227      minXz   = CoinMax( minXz, 1e-99 );
00228      *center  = maxXz / minXz;
00229 
00230      double normL = 0.0;
00231      double normU = 0.0;
00232      for (int k = 0; k < nlow; k++)
00233           if (cL_elts[low[k]] > normL) normL = cL_elts[low[k]];
00234      for (int k = 0; k < nupp; k++)
00235           if (cU_elts[upp[k]] > normU) normU = cU_elts[upp[k]];
00236      *Cinf    = CoinMax( normL, normU);
00237      *Cinf0   = maxXz;
00238 }
00239 //-----------------------------------------------------------------------
00240 // End private function pdxxxresid2
00241 //-----------------------------------------------------------------------
00242 
00243 inline double  pdxxxstep( CoinDenseVector <double> &x, CoinDenseVector <double> &dx )
00244 {
00245 
00246 // Assumes x > 0.
00247 // Finds the maximum step such that x + step*dx >= 0.
00248 
00249      double step     = 1e+20;
00250 
00251      int n = x.size();
00252      double *x_elts = x.getElements();
00253      double *dx_elts = dx.getElements();
00254      for (int k = 0; k < n; k++)
00255           if (dx_elts[k] < 0)
00256                if ((x_elts[k] / (-dx_elts[k])) < step)
00257                     step = x_elts[k] / (-dx_elts[k]);
00258      return step;
00259 }
00260 //-----------------------------------------------------------------------
00261 // End private function pdxxxstep
00262 //-----------------------------------------------------------------------
00263 
00264 inline double  pdxxxstep(int nset, int *set, CoinDenseVector <double> &x, CoinDenseVector <double> &dx )
00265 {
00266 
00267 // Assumes x > 0.
00268 // Finds the maximum step such that x + step*dx >= 0.
00269 
00270      double step     = 1e+20;
00271 
00272      int n = x.size();
00273      double *x_elts = x.getElements();
00274      double *dx_elts = dx.getElements();
00275      for (int k = 0; k < n; k++)
00276           if (dx_elts[k] < 0)
00277                if ((x_elts[k] / (-dx_elts[k])) < step)
00278                     step = x_elts[k] / (-dx_elts[k]);
00279      return step;
00280 }
00281 //-----------------------------------------------------------------------
00282 // End private function pdxxxstep
00283 //-----------------------------------------------------------------------
00284 #endif
00285 #endif
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