jrl::qp::GoldfarbIdnaniSolver Class Reference

#include <jrl-qp/GoldfarbIdnaniSolver.h>

Inheritance diagram for jrl::qp::GoldfarbIdnaniSolver:

Collaboration diagram for jrl::qp::GoldfarbIdnaniSolver:

Classes
struct	Problem

Public Member Functions
	GoldfarbIdnaniSolver ()
	GoldfarbIdnaniSolver (int nbVar, int nbCstr, bool useBounds)
virtual	~GoldfarbIdnaniSolver ()=default
TerminationStatus	solve (MatrixRef G, const VectorConstRef &a, const MatrixConstRef &C, const VectorConstRef &bl, const VectorConstRef &bu, const VectorConstRef &xl, const VectorConstRef &xu)
Public Member Functions inherited from jrl::qp::DualSolver
	DualSolver ()
	DualSolver (int nbVar, int nbCstr, bool useBounds)
virtual	~DualSolver ()=default
void	resize (int nbVar, int nbCstr, bool useBounds)
void	options (const SolverOptions &options)
WConstVector	solution () const
WConstVector	multipliers () const
double	objectiveValue () const
int	iterations () const
const std::vector< ActivationStatus > &	activeSet () const
void	resetActiveSet ()

Protected Member Functions
internal::InitTermination	init_ () override
internal::SelectedConstraint	selectViolatedConstraint_ (const VectorConstRef &x) const override
void	computeStep_ (VectorRef z, VectorRef r, const internal::SelectedConstraint &sc) const override
StepLength	computeStepLength_ (const internal::SelectedConstraint &sc, const VectorConstRef &x, const VectorConstRef &u, const VectorConstRef &z, const VectorConstRef &r) const override
bool	addConstraint_ (const internal::SelectedConstraint &sc) override
bool	removeConstraint_ (int l) override
double	dot_ (const internal::SelectedConstraint &sc, const VectorConstRef &z) override
void	resize_ (int nbVar, int nbCstr, bool useBounds) override
virtual void	initActiveSet ()
void	addInitialConstraint (const internal::SelectedConstraint &sc)
Protected Member Functions inherited from jrl::qp::DualSolver
TerminationStatus	solve ()
TerminationStatus	terminate (TerminationStatus status)
internal::InitTermination	init ()
internal::SelectedConstraint	selectViolatedConstraint (const VectorConstRef &x) const
void	computeStep (VectorRef z, VectorRef r, const internal::SelectedConstraint &sc) const
StepLength	computeStepLength (const internal::SelectedConstraint &sc, const VectorConstRef &x, const VectorConstRef &u, const VectorConstRef &z, const VectorConstRef &r) const
bool	addConstraint (const internal::SelectedConstraint &sc)
bool	removeConstraint (int l, VectorRef u)
virtual double	dot (const internal::SelectedConstraint &sc, const VectorConstRef &z)

Protected Attributes
internal::Workspace	work_d_
internal::Workspace	work_J_
internal::Workspace	work_R_
Problem	pb_
Protected Attributes inherited from jrl::qp::DualSolver
SolverOptions	options_
utils::Logger	log_
int	it_
int	nbVar_
internal::ActiveSet	A_
double	f_
internal::Workspace	work_x_
internal::Workspace	work_z_
internal::Workspace	work_u_
internal::Workspace	work_r_
bool	needToExpandMultipliers_

Detailed Description

Implementation of the Goldfarb-Idnani dual QP solver.

Constructor & Destructor Documentation

GoldfarbIdnaniSolver() [1/2]

jrl::qp::GoldfarbIdnaniSolver::GoldfarbIdnaniSolver

(

)

GoldfarbIdnaniSolver() [2/2]

jrl::qp::GoldfarbIdnaniSolver::GoldfarbIdnaniSolver	(	int	nbVar,
		int	nbCstr,
		bool	useBounds
	)

Pre-allocate the data for a problem with nbVar variables, nbCstr (general) constraints, and bounds if useBounds is true.

~GoldfarbIdnaniSolver()

virtual jrl::qp::GoldfarbIdnaniSolver::~GoldfarbIdnaniSolver ( )

virtualdefault

Member Function Documentation

addConstraint_()

bool jrl::qp::GoldfarbIdnaniSolver::addConstraint_ ( const internal::SelectedConstraint &  sc )

overrideprotectedvirtual

Add a constraint to the active set and update the computation data accordingly.

Implements jrl::qp::DualSolver.

addInitialConstraint()

void jrl::qp::GoldfarbIdnaniSolver::addInitialConstraint ( const internal::SelectedConstraint &  sc )

protected

computeStep_()

void jrl::qp::GoldfarbIdnaniSolver::computeStep_ ( VectorRef  z, VectorRef  r, const internal::SelectedConstraint &  sc  ) const

overrideprotectedvirtual

Compute a primal step z and dual step r, given n+

Implements jrl::qp::DualSolver.

computeStepLength_()

DualSolver::StepLength jrl::qp::GoldfarbIdnaniSolver::computeStepLength_ ( const internal::SelectedConstraint &  sc, const VectorConstRef &  x, const VectorConstRef &  u, const VectorConstRef &  z, const VectorConstRef &  r  ) const

overrideprotectedvirtual

Compute a step length and update x and u given the data n+, z and r.

Implements jrl::qp::DualSolver.

dot_()

double jrl::qp::GoldfarbIdnaniSolver::dot_ ( const internal::SelectedConstraint &  sc, const VectorConstRef &  z  )

overrideprotectedvirtual

Compute the dot product between the vector corresponding to sc and z.

Implements jrl::qp::DualSolver.

init_()

internal::InitTermination jrl::qp::GoldfarbIdnaniSolver::init_ ( )

overrideprotectedvirtual

Compute the initial iterate, the corresponding objective value and initialize any relevant data of the derived class.

Implements jrl::qp::DualSolver.

initActiveSet()

void jrl::qp::GoldfarbIdnaniSolver::initActiveSet ( )

protectedvirtual

removeConstraint_()

bool jrl::qp::GoldfarbIdnaniSolver::removeConstraint_ ( int  l )

overrideprotectedvirtual

Remove the l-th active constraint from the active set and update the computation data accordingly.

Implements jrl::qp::DualSolver.

resize_()

void jrl::qp::GoldfarbIdnaniSolver::resize_ ( int  nbVar, int  nbCstr, bool  useBounds  )

overrideprotectedvirtual

Resize the data managed by the derived class.

Implements jrl::qp::DualSolver.

selectViolatedConstraint_()

internal::SelectedConstraint jrl::qp::GoldfarbIdnaniSolver::selectViolatedConstraint_ ( const VectorConstRef &  x ) const

overrideprotectedvirtual

Select the violated constraint to be considered for the current iteration.

Implements jrl::qp::DualSolver.

solve()

TerminationStatus jrl::qp::GoldfarbIdnaniSolver::solve	(	MatrixRef	G,
		const VectorConstRef &	a,
		const MatrixConstRef &	C,
		const VectorConstRef &	bl,
		const VectorConstRef &	bu,
		const VectorConstRef &	xl,
		const VectorConstRef &	xu
	)

Solve the problem min. 0.5 x^T G x + a^T x s.t. bl <= C^T x <= bu xl <= x <= xu

Member Data Documentation

pb_

Problem jrl::qp::GoldfarbIdnaniSolver::pb_

protected

work_d_

internal::Workspace jrl::qp::GoldfarbIdnaniSolver::work_d_

mutableprotected

work_J_

internal::Workspace jrl::qp::GoldfarbIdnaniSolver::work_J_

protected

work_R_

internal::Workspace jrl::qp::GoldfarbIdnaniSolver::work_R_

protected

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

• include/jrl-qp/GoldfarbIdnaniSolver.h
• src/GoldfarbIdnaniSolver.cpp