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oj! Algorithms - ojAlgo - is Open Source Java code that has to do with mathematics, linear algebra and optimisation.
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/*
* Copyright 1997-2025 Optimatika
*
* Permission is hereby granted, free of charge, to any person obtaining a copy
* of this software and associated documentation files (the "Software"), to deal
* in the Software without restriction, including without limitation the rights
* to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
* copies of the Software, and to permit persons to whom the Software is
* furnished to do so, subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in
* all copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
* FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
* AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
* LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
* OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
* SOFTWARE.
*/
package org.ojalgo.optimisation.convex;
import static org.ojalgo.function.constant.PrimitiveMath.*;
import java.util.Arrays;
import org.ojalgo.matrix.store.ElementsSupplier;
import org.ojalgo.matrix.store.MatrixStore;
import org.ojalgo.matrix.store.R064Store;
import org.ojalgo.optimisation.Optimisation;
/**
* Solves optimisation problems of the form:
*
* min 1/2 [X]T[Q][X] - [C]T[X]
* when [AE][X] == [BE]
* and [AI][X] <= [BI]
*
* Where [AE] and [BE] are optional.
*
* @author apete
*/
final class DirectASS extends ActiveSetSolver {
DirectASS(final ConvexData convexData, final Optimisation.Options optimisationOptions) {
super(convexData, optimisationOptions);
}
@Override
protected void performIteration() {
if (this.isLogDebug()) {
this.log();
this.log("PerformIteration {}", 1 + this.countIterations());
this.log(this.toActivatorString());
}
this.getConstraintToInclude();
this.setConstraintToInclude(-1);
int[] incl = this.getIncluded();
int[] excl = this.getExcluded();
boolean solved = false;
int numbConstr = this.countIterationConstraints();
int numbVars = this.countVariables();
R064Store iterX = this.getIterationX();
R064Store iterL = MATRIX_FACTORY.make(numbConstr, 1L);
R064Store soluL = this.getSolutionL();
if (numbConstr <= numbVars && (solved = this.isSolvableQ())) {
// Q is SPD
MatrixStore invQC = this.getInvQC();
if (numbConstr == 0L) {
// Unconstrained - can happen when there are no equality constraints and all inequalities are inactive
iterX.fillMatching(invQC);
} else {
// Actual/normal optimisation problem
MatrixStore iterA = this.getIterationA();
MatrixStore iterB = this.getIterationB();
MatrixStore iterC = this.getIterationC();
MatrixStore invQAt = this.getSolutionQ(iterA.transpose());
// TODO Only 1 column change inbetween active set iterations (add or remove 1 column)
if (this.isLogDebug()) {
this.log("invQAt", invQAt);
}
// Negated Schur complement
ElementsSupplier tmpS = invQAt.premultiply(iterA);
// TODO Symmetric, only need to calculate half the Schur complement, and only 1 row/column changes per iteration
if (this.isLogDebug()) {
this.log("Negated Schur complement: " + Arrays.toString(incl), tmpS.collect(MATRIX_FACTORY));
}
if (solved = this.computeGeneral(tmpS)) {
ElementsSupplier rhsL = invQC.premultiply(iterA).onMatching(SUBTRACT, iterB);
this.getSolutionGeneral(rhsL, iterL);
if (this.isLogDebug()) {
this.log("RHS={}", rhsL.collect(MATRIX_FACTORY).toRawCopy1D());
this.log("Relative error {} in solution for L={}", NaN, Arrays.toString(iterL.toRawCopy1D()));
}
// ElementsSupplier rhsX = iterL.premultiply(iterA.transpose()).onMatching(iterC, SUBTRACT);
// this.getSolutionQ(rhsX, iterX);
iterL.premultiply(invQAt).onMatching(invQC, SUBTRACT).supplyTo(iterX);
}
}
}
if (!solved) {
// The above failed, try solving the full KKT system instaed
R064Store tmpXL = MATRIX_FACTORY.make(numbVars + numbConstr, 1L);
if (solved = this.solveFullKKT(tmpXL)) {
iterX.fillMatching(tmpXL.limits(numbVars, 1));
iterL.fillMatching(tmpXL.offsets(numbVars, 0));
}
}
soluL.fillAll(ZERO);
if (solved) {
for (int i = 0; i < this.countEqualityConstraints(); i++) {
soluL.set(i, iterL.doubleValue(i));
}
for (int i = 0; i < incl.length; i++) {
soluL.set(this.countEqualityConstraints() + incl[i], iterL.doubleValue(this.countEqualityConstraints() + i));
}
}
this.handleIterationResults(solved, iterX, incl, excl);
}
}
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