def lsq(lsq_ff):
"""
:param lsq_ff:
Convert the LSQP in the First Form(FF) ::
minimize c'x + 1/2|Qx-d|^2
subject to L <= Bx <= U, (LSQP-FF)
l <= x <= u,
to the Second Form (SF)::
minimize c'x +1/2|r|^2
subject to. [d] <= [Q I][r] <= [d],
[L] <= [B 0][x] <= [U], (LSQP-SF)
[l] <= [x] <= [u],
-[inf] <= [r] <= [inf].
"""
p,n = lsq_ff.Q.shape
m,n = lsq_ff.B.shape
new_B = spmatrix.ll_mat(m+p, n+p, m+n+2*p+lsq_ff.B.nnz+lsq_ff.Q.nnz)
new_B[:p,:n] = lsq_ff.Q
new_B[p:,:n] = lsq_ff.B
new_B.put(1, range(p), range(n,n+p))
new_Lcon = np.zeros(p+m)
new_Lcon[:p] = lsq_ff.d
new_Lcon[p:] = lsq_ff.Lcon
new_Ucon = np.zeros(p+m)
new_Ucon[:p] = lsq_ff.d
new_Ucon[p:] = lsq_ff.Ucon
new_Lvar = -np.inf * np.ones(n+p)
new_Lvar[:n] = lsq_ff.Lvar
new_Uvar = np.inf * np.ones(n+p)
new_Uvar[:n] = lsq_ff.Uvar
new_Q = PysparseMatrix(nrow=n+p, ncol=n+p,\
sizeHint=p)
new_Q.put(1, range(n,n+p), range(n,n+p))
new_d = np.zeros(n+p)
new_c = np.zeros(n+p)
new_c[:n] = lsq_ff.c
return LSQModel(Q=new_Q, B=new_B, d=new_d, c= new_c, Lcon=new_Lcon, \
Ucon=new_Ucon, Lvar=new_Lvar, Uvar=new_Uvar,
name= lsq_ff.name, dimQB=(p,n,m))
class RegQPInteriorPointSolver(object):
def __init__(self, qp, **kwargs):
"""
Solve a convex quadratic program of the form::
minimize c' x + 1/2 x' Q x
subject to A1 x + A2 s = b, (QP)
s >= 0,
where Q is a symmetric positive semi-definite matrix, the variables
x are the original problem variables and s are slack variables. Any
quadratic program may be converted to the above form by instantiation
of the `SlackFramework` class. The conversion to the slack formulation
is mandatory in this implementation.
The method is a variant of Mehrotra's predictor-corrector method where
steps are computed by solving the primal-dual system in augmented form.
Primal and dual regularization parameters may be specified by the user
via the opional keyword arguments `regpr` and `regdu`. Both should be
positive real numbers and should not be "too large". By default they are
set to 1.0 and updated at each iteration.
If `scale` is set to `True`, (QP) is scaled automatically prior to
solution so as to equilibrate the rows and columns of the constraint
matrix [A1 A2].
Advantages of this method are that it is not sensitive to dense columns
in A, no special treatment of the unbounded variables x is required, and
a sparse symmetric quasi-definite system of equations is solved at each
iteration. The latter, although indefinite, possesses a Cholesky-like
factorization. Those properties makes the method typically more robust
that a standard predictor-corrector implementation and the linear system
solves are often much faster than in a traditional interior-point method
in augmented form.
:keywords:
:scale: Perform row and column equilibration of the constraint
matrix [A1 A2] prior to solution (default: `True`).
:regpr: Initial value of primal regularization parameter
(default: `1.0`).
:regdu: Initial value of dual regularization parameter
(default: `1.0`).
:bump_max: Max number of times regularization parameters are
increased when a factorization fails (default 5).
:logger_name: Name of a logger to control output.
:verbose: Turn on verbose mode (default `False`).
"""
if not isinstance(qp, SlackFramework):
msg = 'Input problem must be an instance of SlackFramework'
raise ValueError, msg
# Grab logger if one was configured.
logger_name = kwargs.get('logger_name', 'cqp.solver')
self.log = logging.getLogger(logger_name)
self.verbose = kwargs.get('verbose', True)
scale = kwargs.get('scale', True)
self.qp = qp
self.A = qp.A() # Constraint matrix
if not isinstance(self.A, PysparseMatrix):
self.A = PysparseMatrix(matrix=self.A)
m, n = self.A.shape ; on = qp.original_n
# Record number of slack variables in QP
self.nSlacks = qp.n - on
# Collect basic info about the problem.
zero = np.zeros(n)
self.b = -qp.cons(zero) # Right-hand side
self.c0 = qp.obj(zero) # Constant term in objective
self.c = qp.grad(zero[:on]) # Cost vector
self.Q = PysparseMatrix(matrix=qp.hess(zero[:on],
np.zeros(qp.original_m)))
# Apply in-place problem scaling if requested.
self.prob_scaled = False
if scale:
self.t_scale = cputime()
self.scale()
self.t_scale = cputime() - self.t_scale
else:
# self.scale() sets self.normQ to the Frobenius norm of Q
# and self.normA to the Frobenius norm of A as a by-product.
# If we're not scaling, set normQ and normA manually.
self.normQ = self.Q.matrix.norm('fro')
self.normA = self.A.matrix.norm('fro')
self.normb = norm_infty(self.b)
self.normc = norm_infty(self.c)
self.normbc = 1 + max(self.normb, self.normc)
# Initialize augmented matrix.
self.H = self.initialize_kkt_matrix()
# It will be more efficient to keep the diagonal of Q around.
self.diagQ = self.Q.take(range(qp.original_n))
# We perform the analyze phase on the augmented system only once.
# self.LBL will be initialized in solve().
self.LBL = None
# Set regularization parameters.
self.regpr = kwargs.get('regpr', 1.0) ; self.regpr_min = 1.0e-8
self.regdu = kwargs.get('regdu', 1.0) ; self.regdu_min = 1.0e-8
# Max number of times regularization parameters are increased.
self.bump_max = kwargs.get('bump_max', 5)
# Check input parameters.
if self.regpr < 0.0: self.regpr = 0.0
if self.regdu < 0.0: self.regdu = 0.0
# Initialize format strings for display
fmt_hdr = '%-4s %9s' + ' %-8s'*6 + ' %-7s %-4s %-4s' + ' %-8s'*8
self.header = fmt_hdr % ('Iter', 'Cost', 'pResid', 'dResid', 'cResid',
'rGap', 'qNorm', 'rNorm', 'Mu', 'AlPr', 'AlDu',
'LS Resid', 'RegPr', 'RegDu', 'Rho q', 'Del r',
'Min(s)', 'Min(z)', 'Max(s)')
self.format1 = '%-4d %9.2e'
self.format1 += ' %-8.2e' * 6
self.format2 = ' %-7.1e %-4.2f %-4.2f'
self.format2 += ' %-8.2e' * 8
self.cond_history = []
self.berr_history = []
self.derr_history = []
self.nrms_history = []
self.lres_history = []
if self.verbose: self.display_stats()
return
def initialize_kkt_matrix(self):
# [ -(Q+ρI) 0 A1' ] [∆x] [c + Q x - A1' y ]
# [ 0 -(S^{-1} Z + ρI) A2' ] [∆s] = [- A2' y - µ S^{-1} e]
# [ A1 A2 δI ] [∆y] [b - A1 x - A2 s ]
m, n = self.A.shape
on = self.qp.original_n
H = PysparseMatrix(size=n+m,
sizeHint=n+m+self.A.nnz+self.Q.nnz,
symmetric=True)
# The (1,1) block will always be Q (save for its diagonal).
H[:on,:on] = -self.Q
# The (3,1) and (3,2) blocks will always be A.
# We store it now once and for all.
H[n:,:n] = self.A
return H
def initialize_rhs(self):
m, n = self.A.shape
return np.zeros(n+m)
def set_affine_scaling_rhs(self, rhs, pFeas, dFeas, s, z):
"Set rhs for affine-scaling step."
m, n = self.A.shape
on = self.qp.original_n
rhs[:n] = -dFeas
rhs[on:n] += z
rhs[n:] = -pFeas
return
def display_stats(self):
"""
Display vital statistics about the input problem.
"""
import os
qp = self.qp
log = self.log
log.info('Problem Path: %s' % qp.name)
log.info('Problem Name: %s' % os.path.basename(qp.name))
log.info('Number of problem variables: %d' % qp.original_n)
log.info('Number of free variables: %d' % qp.nfreeB)
log.info('Number of problem constraints excluding bounds: %d' % \
qp.original_m)
log.info('Number of slack variables: %d' % (qp.n - qp.original_n))
log.info('Adjusted number of variables: %d' % qp.n)
log.info('Adjusted number of constraints excluding bounds: %d' % qp.m)
log.info('Number of nonzeros in Hessian matrix Q: %d' % self.Q.nnz)
log.info('Number of nonzeros in constraint matrix: %d' % self.A.nnz)
log.info('Constant term in objective: %8.2e' % self.c0)
log.info('Cost vector norm: %8.2e' % self.normc)
log.info('Right-hand side norm: %8.2e' % self.normb)
log.info('Hessian norm: %8.2e' % self.normQ)
log.info('Jacobian norm: %8.2e' % self.normA)
log.info('Initial primal regularization: %8.2e' % self.regpr)
log.info('Initial dual regularization: %8.2e' % self.regdu)
if self.prob_scaled:
log.info('Time for scaling: %6.2fs' % self.t_scale)
return
def scale(self, **kwargs):
"""
Equilibrate the constraint matrix of the linear program. Equilibration
is done by first dividing every row by its largest element in absolute
value and then by dividing every column by its largest element in
absolute value. In effect the original problem::
minimize c' x + 1/2 x' Q x
subject to A1 x + A2 s = b, x >= 0
is converted to::
minimize (Cc)' x + 1/2 x' (CQC') x
subject to R A1 C x + R A2 C s = Rb, x >= 0,
where the diagonal matrices R and C operate row and column scaling
respectively.
Upon return, the matrix A and the right-hand side b are scaled and the
members `row_scale` and `col_scale` are set to the row and column
scaling factors.
The scaling may be undone by subsequently calling :meth:`unscale`. It is
necessary to unscale the problem in order to unscale the final dual
variables. Normally, the :meth:`solve` method takes care of unscaling
the problem upon termination.
"""
log = self.log
m, n = self.A.shape
row_scale = np.zeros(m)
col_scale = np.zeros(n)
(values,irow,jcol) = self.A.find()
if self.verbose:
log.info('Smallest and largest elements of A prior to scaling: ')
log.info('%8.2e %8.2e' % (np.min(np.abs(values)),
np.max(np.abs(values))))
# Find row scaling.
for k in range(len(values)):
row = irow[k]
val = abs(values[k])
row_scale[row] = max(row_scale[row], val)
row_scale[row_scale == 0.0] = 1.0
if self.verbose:
log.info('Max row scaling factor = %8.2e' % np.max(row_scale))
# Apply row scaling to A and b.
values /= row_scale[irow]
self.b /= row_scale
# Find column scaling.
for k in range(len(values)):
col = jcol[k]
val = abs(values[k])
col_scale[col] = max(col_scale[col], val)
col_scale[col_scale == 0.0] = 1.0
if self.verbose:
log.info('Max column scaling factor = %8.2e' % np.max(col_scale))
# Apply column scaling to A and c.
values /= col_scale[jcol]
self.c[:self.qp.original_n] /= col_scale[:self.qp.original_n]
if self.verbose:
log.info('Smallest and largest elements of A after scaling: ')
log.info('%8.2e %8.2e' % (np.min(np.abs(values)),
np.max(np.abs(values))))
# Overwrite A with scaled values.
self.A.put(values,irow,jcol)
self.normA = norm2(values) # Frobenius norm of A.
# Apply scaling to Hessian matrix Q.
(values,irow,jcol) = self.Q.find()
values /= col_scale[irow]
values /= col_scale[jcol]
self.Q.put(values,irow,jcol)
self.normQ = norm2(values) # Frobenius norm of Q
# Save row and column scaling.
self.row_scale = row_scale
self.col_scale = col_scale
self.prob_scaled = True
return
def unscale(self, **kwargs):
"""
Restore the constraint matrix A, the right-hand side b and the cost
vector c to their original value by undoing the row and column
equilibration scaling.
"""
row_scale = self.row_scale
col_scale = self.col_scale
on = self.qp.original_n
# Unscale constraint matrix A.
self.A.row_scale(row_scale)
self.A.col_scale(col_scale)
# Unscale right-hand side and cost vectors.
self.b *= row_scale
self.c[:on] *= col_scale[:on]
# Unscale Hessian matrix Q.
(values,irow,jcol) = self.Q.find()
values *= col_scale[irow]
values *= col_scale[jcol]
self.Q.put(values,irow,jcol)
# Recover unscaled multipliers y and z.
self.y *= self.row_scale
self.z /= self.col_scale[on:]
self.prob_scaled = False
return
def solve(self, **kwargs):
"""
Solve the input problem with the primal-dual-regularized
interior-point method. Accepted input keyword arguments are
:keywords:
:itermax: The maximum allowed number of iterations (default: 10n)
:tolerance: Stopping tolerance (default: 1.0e-6)
:PredictorCorrector: Use the predictor-corrector method
(default: `True`). If set to `False`, a variant
of the long-step method is used. The long-step
method is generally slower and less robust.
:returns:
:x: final iterate
:y: final value of the Lagrange multipliers associated
to `A1 x + A2 s = b`
:z: final value of the Lagrange multipliers associated
to `s >= 0`
:obj_value: final cost
:iter: total number of iterations
:kktResid: final relative residual
:solve_time: time to solve the QP
:status: string describing the exit status.
:short_status: short version of status, used for printing.
"""
qp = self.qp
itermax = kwargs.get('itermax', max(100,10*qp.n))
tolerance = kwargs.get('tolerance', 1.0e-6)
PredictorCorrector = kwargs.get('PredictorCorrector', True)
check_infeasible = kwargs.get('check_infeasible', True)
# Transfer pointers for convenience.
m, n = self.A.shape ; on = qp.original_n
A = self.A ; b = self.b ; c = self.c ; Q = self.Q ; diagQ = self.diagQ
H = self.H
regpr = self.regpr ; regdu = self.regdu
regpr_min = self.regpr_min ; regdu_min = self.regdu_min
# Obtain initial point from Mehrotra's heuristic.
(x,y,z) = self.set_initial_guess(**kwargs)
# Slack variables are the trailing variables in x.
s = x[on:] ; ns = self.nSlacks
# Initialize steps in dual variables.
dz = np.zeros(ns)
# Allocate room for right-hand side of linear systems.
rhs = self.initialize_rhs()
finished = False
iter = 0
setup_time = cputime()
# Main loop.
while not finished:
# Display initial header every so often.
if iter % 50 == 0:
self.log.info(self.header)
self.log.info('-' * len(self.header))
# Compute residuals.
pFeas = A*x - b
comp = s*z ; sz = sum(comp) # comp = Sz
Qx = Q*x[:on]
dFeas = y*A ; dFeas[:on] -= self.c + Qx # dFeas1 = A1'y - c - Qx
dFeas[on:] += z # dFeas2 = A2'y + z
# Compute duality measure.
if ns > 0:
mu = sz/ns
else:
mu = 0.0
# Compute residual norms and scaled residual norms.
pResid = norm2(pFeas)
spResid = pResid/(1+self.normb+self.normA+self.normQ)
dResid = norm2(dFeas)
sdResid = dResid/(1+self.normc+self.normA+self.normQ)
if ns > 0:
cResid = norm_infty(comp)/(self.normbc+self.normA+self.normQ)
else:
cResid = 0.0
# Compute relative duality gap.
cx = np.dot(c,x[:on])
xQx = np.dot(x[:on],Qx)
by = np.dot(b,y)
rgap = cx + xQx - by
rgap = abs(rgap) / (1 + abs(cx) + self.normA + self.normQ)
rgap2 = mu / (1 + abs(cx) + self.normA + self.normQ)
# Compute overall residual for stopping condition.
kktResid = max(spResid, sdResid, rgap2)
# At the first iteration, initialize perturbation vectors
# (q=primal, r=dual).
# Should probably get rid of q when regpr=0 and of r when regdu=0.
if iter == 0:
if regpr > 0:
q = dFeas/regpr ; qNorm = dResid/regpr ; rho_q = dResid
else:
q = dFeas ; qNorm = dResid ; rho_q = 0.0
rho_q_min = rho_q
if regdu > 0:
r = -pFeas/regdu ; rNorm = pResid/regdu ; del_r = pResid
else:
r = -pFeas ; rNorm = pResid ; del_r = 0.0
del_r_min = del_r
pr_infeas_count = 0 # Used to detect primal infeasibility.
du_infeas_count = 0 # Used to detect dual infeasibility.
pr_last_iter = 0
du_last_iter = 0
mu0 = mu
else:
if regdu > 0:
regdu = regdu/10
regdu = max(regdu, regdu_min)
if regpr > 0:
regpr = regpr/10
regpr = max(regpr, regpr_min)
# Check for infeasible problem.
if check_infeasible:
if mu < tolerance/100 * mu0 and \
rho_q > 1./tolerance/1.0e+6 * rho_q_min:
pr_infeas_count += 1
if pr_infeas_count > 1 and pr_last_iter == iter-1:
if pr_infeas_count > 6:
status = 'Problem seems to be (locally) dual'
status += ' infeasible'
short_status = 'dInf'
finished = True
continue
pr_last_iter = iter
else:
pr_infeas_count = 0
if mu < tolerance/100 * mu0 and \
del_r > 1./tolerance/1.0e+6 * del_r_min:
du_infeas_count += 1
if du_infeas_count > 1 and du_last_iter == iter-1:
if du_infeas_count > 6:
status = 'Problem seems to be (locally) primal'
status += ' infeasible'
short_status = 'pInf'
finished = True
continue
du_last_iter = iter
else:
du_infeas_count = 0
# Display objective and residual data.
output_line = self.format1 % (iter, cx + 0.5 * xQx, pResid,
dResid, cResid, rgap, qNorm,
rNorm)
if kktResid <= tolerance:
status = 'Optimal solution found'
short_status = 'opt'
finished = True
continue
if iter >= itermax:
status = 'Maximum number of iterations reached'
short_status = 'iter'
finished = True
continue
# Record some quantities for display
if ns > 0:
mins = np.min(s)
minz = np.min(z)
maxs = np.max(s)
else:
mins = minz = maxs = 0
# Compute augmented matrix and factorize it.
factorized = False
degenerate = False
nb_bump = 0
while not factorized and not degenerate:
self.update_linear_system(s, z, regpr, regdu)
self.log.debug('Factorizing')
self.LBL.factorize(H)
factorized = True
# If the augmented matrix does not have full rank, bump up the
# regularization parameters.
if not self.LBL.isFullRank:
if self.verbose:
self.log.info('Primal-Dual Matrix Rank Deficient' + \
'... bumping up reg parameters')
if regpr == 0. and regdu == 0.:
degenerate = True
else:
if regpr > 0:
regpr *= 100
if regdu > 0:
regdu *= 100
nb_bump += 1
degenerate = nb_bump > self.bump_max
factorized = False
# Abandon if regularization is unsuccessful.
if not self.LBL.isFullRank and degenerate:
status = 'Unable to regularize sufficiently.'
short_status = 'degn'
finished = True
continue
if PredictorCorrector:
# Use Mehrotra predictor-corrector method.
# Compute affine-scaling step, i.e. with centering = 0.
self.set_affine_scaling_rhs(rhs, pFeas, dFeas, s, z)
(step, nres, neig) = self.solveSystem(rhs)
# Recover dx and dz.
dx, ds, dy, dz = self.get_affine_scaling_dxsyz(step, x, s, y, z)
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, ip) = self.maxStepLength(z, dz)
# Estimate duality gap after affine-scaling step.
muAff = np.dot(s + alpha_p * ds, z + alpha_d * dz)/ns
sigma = (muAff/mu)**3
# Incorporate predictor information for corrector step.
# Only update rhs[on:n]; the rest of the vector did not change.
comp += ds*dz
comp -= sigma * mu
self.update_corrector_rhs(rhs, s, z, comp)
else:
# Use long-step method: Compute centering parameter.
sigma = min(0.1, 100*mu)
comp -= sigma * mu
# Assemble rhs.
self.update_long_step_rhs(rhs, pFeas, dFeas, comp, s)
# Solve augmented system.
(step, nres, neig) = self.solveSystem(rhs)
# Recover step.
dx, ds, dy, dz = self.get_dxsyz(step, x, s, y, z, comp)
normds = norm2(ds) ; normdy = norm2(dy) ; normdx = norm2(dx)
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, id) = self.maxStepLength(z, dz)
# Compute fraction-to-the-boundary factor.
tau = max(.9995, 1.0-mu)
if PredictorCorrector:
# Compute actual stepsize using Mehrotra's heuristic.
mult = 0.1
# ip=-1 if ds ≥ 0, and id=-1 if dz ≥ 0
if (ip != -1 or id != -1) and ip != id:
mu_tmp = np.dot(s + alpha_p * ds, z + alpha_d * dz)/ns
if ip != -1 and ip != id:
zip = z[ip] + alpha_d * dz[ip]
gamma_p = (mult*mu_tmp - s[ip]*zip)/(alpha_p*ds[ip]*zip)
alpha_p *= max(1-mult, gamma_p)
if id != -1 and ip != id:
sid = s[id] + alpha_p * ds[id]
gamma_d = (mult*mu_tmp - z[id]*sid)/(alpha_d*dz[id]*sid)
alpha_d *= max(1-mult, gamma_d)
if ip==id and ip != -1:
# There is a division by zero in Mehrotra's heuristic
# Fall back on classical rule.
alpha_p *= tau
alpha_d *= tau
else:
alpha_p *= tau
alpha_d *= tau
# Display data.
output_line += self.format2 % (mu, alpha_p, alpha_d,
nres, regpr, regdu, rho_q,
del_r, mins, minz, maxs)
self.log.info(output_line)
# Update iterates and perturbation vectors.
x += alpha_p * dx # This also updates slack variables.
y += alpha_d * dy
z += alpha_d * dz
q *= (1-alpha_p) ; q += alpha_p * dx
r *= (1-alpha_d) ; r += alpha_d * dy
qNorm = norm2(q) ; rNorm = norm2(r)
if regpr > 0:
rho_q = regpr * qNorm/(1+self.normc)
rho_q_min = min(rho_q_min, rho_q)
else:
rho_q = 0.0
if regdu > 0:
del_r = regdu * rNorm/(1+self.normb)
del_r_min = min(del_r_min, del_r)
else:
del_r = 0.0
iter += 1
solve_time = cputime() - setup_time
self.log.info('-' * len(self.header))
# Transfer final values to class members.
self.x = x
self.y = y
self.z = z
self.iter = iter
self.pResid = pResid ; self.cResid = cResid ; self.dResid = dResid
self.rgap = rgap
self.kktResid = kktResid
self.solve_time = solve_time
self.status = status
self.short_status = short_status
# Unscale problem if applicable.
if self.prob_scaled: self.unscale()
# Recompute final objective value.
self.obj_value = self.c0 + cx + 0.5 * xQx
return
def set_initial_guess(self, **kwargs):
"""
Compute initial guess according the Mehrotra's heuristic. Initial values
of x are computed as the solution to the least-squares problem::
minimize ||s|| subject to A1 x + A2 s = b
which is also the solution to the augmented system::
[ Q 0 A1' ] [x] [0]
[ 0 I A2' ] [s] = [0]
[ A1 A2 0 ] [w] [b].
Initial values for (y,z) are chosen as the solution to the least-squares
problem::
minimize ||z|| subject to A1' y = c, A2' y + z = 0
which can be computed as the solution to the augmented system::
[ Q 0 A1' ] [w] [c]
[ 0 I A2' ] [z] = [0]
[ A1 A2 0 ] [y] [0].
To ensure stability and nonsingularity when A does not have full row
rank, the (1,1) block is perturbed to 1.0e-4 * I and the (3,3) block is
perturbed to -1.0e-4 * I.
The values of s and z are subsequently adjusted to ensure they are
positive. See [Methrotra, 1992] for details.
"""
qp = self.qp
n = qp.n ; m = qp.m ; ns = self.nSlacks ; on = qp.original_n
self.log.debug('Computing initial guess')
# Set up augmented system matrix and factorize it.
self.set_initial_guess_system()
self.LBL = LBLContext(self.H, sqd=self.regdu > 0) # Analyze + factorize
# Assemble first right-hand side and solve.
rhs = self.set_initial_guess_rhs()
(step, nres, neig) = self.solveSystem(rhs)
dx, _, _, _ = self.get_dxsyz(step, 0, 1, 0, 0, 0)
# dx is just a reference; we need to make a copy.
x = dx.copy()
s = x[on:] # Slack variables. Must be positive.
# Assemble second right-hand side and solve.
self.update_initial_guess_rhs(rhs)
(step, nres, neig) = self.solveSystem(rhs)
_, dz, dy, _ = self.get_dxsyz(step, 0, 1, 0, 0, 0)
# dy and dz are just references; we need to make copies.
y = dy.copy()
z = -dz
# If there are no inequality constraints, this is it.
if n == on: return (x,y,z)
# Use Mehrotra's heuristic to ensure (s,z) > 0.
if np.all(s >= 0):
dp = 0.0
else:
dp = -1.5 * min(s[s < 0])
if np.all(z >= 0):
dd = 0.0
else:
dd = -1.5 * min(z[z < 0])
if dp == 0.0: dp = 1.5
if dd == 0.0: dd = 1.5
es = sum(s+dp)
ez = sum(z+dd)
xs = sum((s+dp) * (z+dd))
dp += 0.5 * xs/ez
dd += 0.5 * xs/es
s += dp
z += dd
if not np.all(s>0) or not np.all(z>0):
raise ValueError, 'Initial point not strictly feasible'
return (x,y,z)
def maxStepLength(self, x, d):
"""
Returns the max step length from x to the boundary of the nonnegative
orthant in the direction d. Also return the component index responsible
for cutting the steplength the most (or -1 if no such index exists).
"""
self.log.debug('Computing step length to boundary')
whereneg = np.where(d < 0)[0]
if len(whereneg) > 0:
dxneg = -x[whereneg]/d[whereneg]
kmin = np.argmin(dxneg)
stepmax = min(1.0, dxneg[kmin])
if stepmax == 1.0:
kmin = -1
else:
kmin = whereneg[kmin]
else:
stepmax = 1.0
kmin = -1
return (stepmax, kmin)
def set_initial_guess_system(self):
self.log.debug('Setting up linear system for initial guess')
m, n = self.A.shape
on = self.qp.original_n
self.H.put(-self.diagQ - 1.0e-4, range(on))
self.H.put(-1.0, range(on,n))
self.H.put( 1.0e-4, range(n,n+m))
return
def set_initial_guess_rhs(self):
self.log.debug('Setting up right-hand side for initial guess')
m, n = self.A.shape
rhs = np.zeros(n+m)
rhs[n:] = self.b
return rhs
def update_initial_guess_rhs(self, rhs):
self.log.debug('Updating right-hand side for initial guess')
on = self.qp.original_n
rhs[:on] = self.c
rhs[on:] = 0.0
return
def update_linear_system(self, s, z, regpr, regdu, **kwargs):
self.log.debug('Updating linear system for current iteration')
qp = self.qp ; n = qp.n ; m = qp.m ; on = qp.original_n
diagQ = self.diagQ
self.H.put(-diagQ - regpr, range(on))
self.H.put(-z/s - regpr, range(on,n))
if regdu > 0:
self.H.put(regdu, range(n,n+m))
return
def solveSystem(self, rhs, itref_threshold=1.0e-5, nitrefmax=5):
"""
Solve the augmented system with right-hand side `rhs` and optionally
perform iterative refinement.
Return the solution vector (as a reference), the 2-norm of the residual
and the number of negative eigenvalues of the coefficient matrix.
"""
self.log.debug('Solving linear system')
self.LBL.solve(rhs)
self.LBL.refine(rhs, tol=itref_threshold, nitref=nitrefmax)
# Collect statistics on the linear system solve.
self.cond_history.append((self.LBL.cond, self.LBL.cond2))
self.berr_history.append((self.LBL.berr, self.LBL.berr2))
self.derr_history.append(self.LBL.dirError)
self.nrms_history.append((self.LBL.matNorm, self.LBL.xNorm))
self.lres_history.append(self.LBL.relRes)
nr = norm2(self.LBL.residual)
return (self.LBL.x, nr, self.LBL.neig)
def get_affine_scaling_dxsyz(self, step, x, s, y, z):
"""
Split `step` into steps along x, s, y and z. This function returns
*references*, not copies. Only dz is computed from `step` without being
a subvector of `step`.
"""
self.log.debug('Recovering affine-scaling step')
m, n = self.A.shape
on = self.qp.original_n
dx = step[:n]
ds = dx[on:]
dy = step[n:]
dz = -z * (1 + ds/s)
return (dx, ds, dy, dz)
def update_corrector_rhs(self, rhs, s, z, comp):
self.log.debug('Updating right-hand side for corrector step')
m, n = self.A.shape
on = self.qp.original_n
rhs[on:n] += comp/s - z
return
def update_long_step_rhs(self, rhs, pFeas, dFeas, comp, s):
self.log.debug('Updating right-hand side for long step')
m, n = self.A.shape
on = self.qp.original_n
rhs[:n] = -dFeas
rhs[on:n] += comp/s
rhs[n:] = -pFeas
return
def get_dxsyz(self, step, x, s, y, z, comp):
"""
Split `step` into steps along x, s, y and z. This function returns
*references*, not copies. Only dz is computed from `step` without being
a subvector of `step`.
"""
self.log.debug('Recovering step')
m, n = self.A.shape
on = self.qp.original_n
dx = step[:n]
ds = dx[on:]
dy = step[n:]
dz = -(comp + z*ds)/s
return (dx, ds, dy, dz)
class RegLPInteriorPointSolver:
def __init__(self, lp, **kwargs):
"""
Solve a linear program of the form::
minimize c' x subject to A1 x + A2 s = b and s >= 0, (LP)
where the variables x are the original problem variables and s are
slack variables. Any linear program may be converted to the above form
by instantiation of the `SlackFramework` class. The conversion to the
slack formulation is mandatory in this implementation.
The method is a variant of Mehrotra's predictor-corrector method where
steps are computed by solving the primal-dual system in augmented form.
Primal and dual regularization parameters may be specified by the user
via the opional keyword arguments `regpr` and `regdu`. Both should be
positive real numbers and should not be "too large". By default they are
set to 1.0 and updated at each iteration.
If `scale` is set to `True`, (LP) is scaled automatically prior to
solution so as to equilibrate the rows and columns of the constraint
matrix [A1 A2].
Advantages of this method are that it is not sensitive to dense columns
in A, no special treatment of the unbounded variables x is required, and
a sparse symmetric quasi-definite system of equations is solved at each
iteration. The latter, although indefinite, possesses a Cholesky-like
factorization. Those properties makes the method typically more robust
that a standard predictor-corrector implementation and the linear system
solves are often much faster than in a traditional interior-point method
in augmented form.
:keywords:
:scale: Perform row and column equilibration of the constraint
matrix [A1 A2] prior to solution (default: `True`).
:stabilize: Scale the linear system to be solved at each iteration
(default: `True`).
:regpr: Initial value of primal regularization parameter
(default: `1.0`).
:regdu: Initial value of dual regularization parameter
(default: `1.0`).
:verbose: Turn on verbose mode (default `False`).
"""
if not isinstance(lp, SlackFramework):
msg = 'Input problem must be an instance of SlackFramework'
raise ValueError, msg
scale = kwargs.get('scale', True)
self.verbose = kwargs.get('verbose', True)
self.stabilize = kwargs.get('stabilize', True)
self.lp = lp
self.A = lp.A() # Constraint matrix
if not isinstance(self.A, PysparseMatrix):
self.A = PysparseMatrix(matrix=self.A)
m, n = self.A.shape
# Record number of slack variables in LP
self.nSlacks = lp.n - lp.original_n
# Constant vectors
zero = np.zeros(n)
self.b = -lp.cons(zero) # Right-hand side
self.c0 = lp.obj(zero) # Constant term in objective
self.c = lp.grad(zero[:lp.original_n]) #lp.cost() # Cost vector
# Apply in-place problem scaling if requested.
self.prob_scaled = False
if scale:
self.t_scale = cputime()
self.scale()
self.t_scale = cputime() - self.t_scale
else:
# scale() sets self.normA to the Frobenius norm of A as a
# by-product. Set it manually here if scaling is not enabled.
self.normA = self.A.matrix.norm('fro')
self.normb = norm_infty(self.b) #norm2(self.b)
self.normc = norm_infty(self.c) #norm2(self.c)
self.normbc = 1 + max(self.normb, self.normc)
# Initialize augmented matrix
self.H = PysparseMatrix(size=n+m,
sizeHint=n+m+self.A.nnz,
symmetric=True)
# We perform the analyze phase on the augmented system only once.
# self.LBL will be initialized in set_initial_guess().
self.LBL = None
self.regpr = kwargs.get('regpr', 1.0) ; self.regpr_min = 1.0e-8
self.regdu = kwargs.get('regdu', 1.0) ; self.regdu_min = 1.0e-8
# Check input parameters.
if self.regpr < 0.0: self.regpr = 0.0
if self.regdu < 0.0: self.regdu = 0.0
# Dual regularization is necessary for stabilization.
if self.regdu == 0.0:
sys.stderr.write('Warning: No dual regularization in effect\n')
sys.stderr.write(' Stabilization has been turned off\n')
self.stabilize = False
# Initialize format strings for display
fmt_hdr = '%-4s %9s' + ' %-8s'*6 + ' %-7s %-4s %-4s' + ' %-8s'*8
self.header = fmt_hdr % ('Iter', 'Cost', 'pResid', 'dResid', 'cResid',
'rGap', 'qNorm', 'rNorm', 'Mu', 'AlPr', 'AlDu',
'LS Resid', 'RegPr', 'RegDu', 'Rho q', 'Del r',
'Min(s)', 'Min(z)', 'Max(s)')
self.format1 = '%-4d %9.2e'
self.format1 += ' %-8.2e' * 6
self.format2 = ' %-7.1e %-4.2f %-4.2f'
self.format2 += ' %-8.2e' * 8 + '\n'
if self.verbose: self.display_stats()
return
def display_stats(self):
"""
Display vital statistics about the input problem.
"""
import os
lp = self.lp
w = sys.stdout.write
w('\n')
w('Problem Path: %s\n' % lp.name)
w('Problem Name: %s\n' % os.path.basename(lp.name))
w('Number of problem variables: %d\n' % lp.original_n)
w('Number of free variables: %d\n' % lp.nfreeB)
w('Number of problem constraints excluding bounds: %d\n' %lp.original_m)
w('Number of slack variables: %d\n' % (lp.n - lp.original_n))
w('Adjusted number of variables: %d\n' % lp.n)
w('Adjusted number of constraints excluding bounds: %d\n' % lp.m)
w('Number of nonzeros in constraint matrix: %d\n' % self.A.nnz)
w('Constant term in objective: %8.2e\n' % self.c0)
w('Cost vector norm: %8.2e\n' % self.normc)
w('Right-hand side norm: %8.2e\n' % self.normb)
w('Jacobian norm: %8.2e\n' % self.normA)
w('Initial primal regularization: %8.2e\n' % self.regpr)
w('Initial dual regularization: %8.2e\n' % self.regdu)
if self.prob_scaled:
w('Time for scaling: %6.2fs\n' % self.t_scale)
w('\n')
return
def scale(self, **kwargs):
"""
Equilibrate the constraint matrix of the linear program. Equilibration
is done by first dividing every row by its largest element in absolute
value and then by dividing every column by its largest element in
absolute value. In effect the original problem::
minimize c'x subject to A1 x + A2 s = b, x >= 0
is converted to::
minimize (Cc)'x subject to R A1 C x + R A2 C s = Rb, x >= 0,
where the diagonal matrices R and C operate row and column scaling
respectively.
Upon return, the matrix A and the right-hand side b are scaled and the
members `row_scale` and `col_scale` are set to the row and column
scaling factors.
The scaling may be undone by subsequently calling :meth:`unscale`. It is
necessary to unscale the problem in order to unscale the final dual
variables. Normally, the :meth:`solve` method takes care of unscaling
the problem upon termination.
"""
w = sys.stdout.write
m, n = self.A.shape
row_scale = np.zeros(m)
col_scale = np.zeros(n)
(values,irow,jcol) = self.A.find()
if self.verbose:
w('Smallest and largest elements of A prior to scaling: ')
w('%8.2e %8.2e\n' % (np.min(np.abs(values)),np.max(np.abs(values))))
# Find row scaling.
for k in range(len(values)):
row = irow[k]
val = abs(values[k])
row_scale[row] = max(row_scale[row], val)
row_scale[row_scale == 0.0] = 1.0
if self.verbose:
w('Largest row scaling factor = %8.2e\n' % np.max(row_scale))
# Apply row scaling to A and b.
values /= row_scale[irow]
self.b /= row_scale
# Find column scaling.
for k in range(len(values)):
col = jcol[k]
val = abs(values[k])
col_scale[col] = max(col_scale[col], val)
col_scale[col_scale == 0.0] = 1.0
if self.verbose:
w('Largest column scaling factor = %8.2e\n' % np.max(col_scale))
# Apply column scaling to A and c.
values /= col_scale[jcol]
self.c[:self.lp.original_n] /= col_scale[:self.lp.original_n]
if self.verbose:
w('Smallest and largest elements of A after scaling: ')
w('%8.2e %8.2e\n' % (np.min(np.abs(values)),np.max(np.abs(values))))
# Overwrite A with scaled values.
self.A.put(values,irow,jcol)
self.normA = norm2(values) # Frobenius norm of scaled A.
# Save row and column scaling.
self.row_scale = row_scale
self.col_scale = col_scale
self.prob_scaled = True
return
def unscale(self, **kwargs):
"""
Restore the constraint matrix A, the right-hand side b and the cost
vector c to their original value by undoing the row and column
equilibration scaling.
"""
row_scale = self.row_scale
col_scale = self.col_scale
on = self.lp.original_n
# Unscale constraint matrix A.
self.A.row_scale(row_scale)
self.A.col_scale(col_scale)
# Unscale right-hand side and cost vectors.
self.b *= row_scale
self.c[:on] *= col_scale[:on]
# Recover unscaled multipliers y and z.
self.y *= self.row_scale
self.z /= self.col_scale[on:]
self.prob_scaled = False
return
def solve(self, **kwargs):
"""
Solve the input problem with the primal-dual-regularized
interior-point method. Accepted input keyword arguments are
:keywords:
:itermax: The maximum allowed number of iterations
(default 10n)
:tolerance: Stopping tolerance (default 1.0e-6)
:PredictorCorrector: Use the predictor-corrector method
(default `True`). If set to `False`, a variant
of the long-step method is used. The long-step
method is generally slower and less robust.
:return:
:x: final iterate
:y: final value of the Lagrange multipliers associated
to `A1 x + A2 s = b`
:z: final value of the Lagrange multipliers associated
to `s >= 0`
:obj_value: final cost
:iter: total number of iterations
:kktResid: final relative residual
:solve_time: time to solve the LP
:status: string describing the exit status
:short_status: short version of status, used for printing.
"""
lp = self.lp
itermax = kwargs.get('itermax', max(100,10*lp.n))
tolerance = kwargs.get('tolerance', 1.0e-6)
PredictorCorrector = kwargs.get('PredictorCorrector', True)
check_infeasible = kwargs.get('check_infeasible', True)
# Transfer pointers for convenience.
m, n = self.A.shape ; on = lp.original_n
A = self.A ; b = self.b ; c = self.c ; H = self.H
regpr = self.regpr ; regdu = self.regdu
regpr_min = self.regpr_min ; regdu_min = self.regdu_min
# Obtain initial point from Mehrotra's heuristic.
# set_initial_guess() initializes self.LBL which is reused below.
(x,y,z) = self.set_initial_guess(self.lp, **kwargs)
# Slack variables are the trailing variables in x.
s = x[on:] ; ns = self.nSlacks
# Initialize steps in dual variables.
dz = np.zeros(ns)
col_scale = np.empty(n)
# Allocate room for right-hand side of linear systems.
rhs = np.zeros(n+m)
finished = False
iter = 0
# Acceptance thresholds for primal and dual reg parameters.
#t1 = t2 = 0.99
solve_time = cputime()
# Main loop.
while not finished:
# Display initial header every so often.
if self.verbose and iter % 20 == 0:
sys.stdout.write('\n' + self.header + '\n')
sys.stdout.write('-' * len(self.header) + '\n')
# Compute residuals.
pFeas = A*x - b
comp = s*z ; sz = sum(comp) # comp = S z
dFeas = y*A ; dFeas[:on] -= self.c # dFeas1 = A1'y - c
dFeas[on:] += z # dFeas2 = A2'y + z
mu = sz/ns
# Compute residual norms and scaled residual norms.
pResid = norm2(pFeas) ; spResid = pResid/(1+self.normb+self.normA)
cResid = norm2(comp) ; scResid = cResid/self.normbc
dResid = norm2(dFeas) ; sdResid = dResid/(1+self.normc+self.normA)
# Compute relative duality gap.
cx = np.dot(c,x[:on])
by = np.dot(b,y)
rgap = cx - by
rgap = abs(rgap) / (1 + abs(cx))
rgap2 = mu /(1 + abs(cx))
# Compute overall residual for stopping condition.
kktResid = max(spResid, sdResid, rgap2)
#kktResid = max(pResid, cResid, dResid)
if kktResid <= tolerance:
status = 'Optimal solution found'
short_status = 'opt'
finished = True
continue
if iter >= itermax:
status = 'Maximum number of iterations reached'
short_status= 'iter'
finished = True
continue
# Adjust regularization parameters
#mu = sum(comp)/ns
#if mu < 1:
# regpr = sqrt(mu)
# regdu = sqrt(mu)
# At the first iteration, initialize perturbation vectors
# (q=primal, r=dual).
if iter == 0:
regpr = self.regpr ; regdu = self.regdu
if regpr > 0:
q = dFeas/regpr ; qNorm = norm2(q) ; rho_q = regpr * qNorm
else:
q = dFeas ; qNorm = norm2(q) ; rho_q = 0.0
rho_q_min = rho_q
if regdu > 0:
r = -pFeas/regdu ; rNorm = norm2(r) ; del_r = regdu * rNorm
else:
r = -pFeas ; rNorm = norm2(r) ; del_r = 0.0
del_r_min = del_r
pr_infeas_count = 0 # Used to detect primal infeasibility.
du_infeas_count = 0 # Used to detect dual infeasibility.
pr_last_iter = 0
du_last_iter = 0
mu0 = mu
else:
# Adjust regularization parameters.
#regpr = max(min(regpr/10, regpr**(1.1)), regpr_min)
#regdu = max(min(regdu/10, regdu**(1.1)), regdu_min)
# 1) rho+ |dx| <= const * s'z
# 2) del+ |dy| <= const * s'z
if regdu > 0:
regdu = min(regdu/10, sz/normdy/10, (sz/normdy)**(1.1))
regdu = max(regdu, regdu_min)
if regpr > 0:
regpr = min(regpr/10, sz/normdx/10, (sz/normdx)**(1.1))
regpr = max(regpr, regpr_min)
# Check for infeasible problem.
if check_infeasible:
#if mu < 1.0e-8 * mu0 and rho_q > 1.0e+3 * kktResid * self.normbc: #* mu * self.normbc:
if mu < 1.0e-8 * mu0 and rho_q > 1.0e+2 * rho_q_min:
pr_infeas_count += 1
if pr_infeas_count > 1 and pr_last_iter == iter-1:
if pr_infeas_count > 6:
status = 'Problem seems to be (locally) dual infeasible'
short_status = 'dInf'
finished = True
continue
pr_last_iter = iter
#if mu < 1.0e-8 * mu0 and del_r > 1.0e+3 * kktResid * self.normbc: # * mu * self.normbc:
if mu < 1.0e-8 * mu0 and del_r > 1.0e+2 * del_r_min:
du_infeas_count += 1
if du_infeas_count > 1 and du_last_iter == iter-1:
if du_infeas_count > 6:
status='Problem seems to be (locally) primal infeasible'
short_status = 'pInf'
finished = True
continue
du_last_iter = iter
# Display objective and residual data.
if self.verbose:
sys.stdout.write(self.format1 % (iter, cx, pResid, dResid,
cResid, rgap, qNorm, rNorm))
# Record some quantities for display
mins = np.min(s)
minz = np.min(z)
maxs = np.max(s)
# Repeatedly assemble system and compute step until primal and
# dual regularization parameters have appropriate values.
# Reset primal and dual regularization parameters to best guess
#if iter > 0:
# regpr = max(regpr_min, 0.5*sigma*dResid/normds)
# regdu = max(regdu_min, 0.5*sigma*pResid/normdy)
step_acceptable = False
while not step_acceptable:
# Solve the linear system
#
# [-pI 0 A1'] [∆x] [c - A1' y ]
# [ 0 -(S^{-1} Z + pI) A2'] [∆s] = [ - A2' y - µ S^{-1} e]
# [ A1 A2 dI ] [∆y] [b - A1 x - A2 s ]
#
# where s are the slack variables, p is the primal
# regularization parameter, d is the dual regularization
# parameter, and A = [ A1 A2 ] where the columns of A1
# correspond to the original problem variables and those of A2
# correspond to slack variables.
#
# We recover ∆z = -z - S^{-1} (Z ∆s + µ e).
# Compute augmented matrix and factorize it.
factorized = False
nb_bump = 0
while not factorized and nb_bump < 5:
if self.stabilize:
col_scale[:on] = sqrt(regpr)
col_scale[on:] = np.sqrt(z/s + regpr)
H.put(-sqrt(regdu), range(n))
H.put( sqrt(regdu), range(n,n+m))
AA = self.A.copy()
AA.col_scale(1/col_scale)
H[n:,:n] = AA
else:
if regpr > 0: H.put(-regpr, range(on))
H.put(-z/s - regpr, range(on,n))
if regdu > 0: H.put(regdu, range(n,n+m))
#if iter == 5:
# # Export current matrix to file for futher inspection.
# import os
# name = os.path.basename(self.lp.name)
# fname = '.'.join(name.split('.')[:-1]) + '.mtx'
# H.exportMmf(fname)
self.LBL.factorize(H)
factorized = True
# If the augmented matrix does not have full rank, bump up
# regularization parameters.
if not self.LBL.isFullRank:
if self.verbose:
sys.stderr.write('Primal-Dual Matrix ')
sys.stderr.write('Rank Deficient')
if regdu == 0.0:
sys.stderr.write('... No regularization in effect')
sys.stderr.write('... bailing out\n')
factorized = False
nb_bump = 5
continue
else:
sys.stderr.write('... bumping up reg parameters\n')
regpr *= 10 ; regdu *= 10
nb_bump += 1
factorized = False
# Abandon if regularization is unsuccessful.
if not self.LBL.isFullRank and nb_bump >= 5:
status = 'Unable to regularize sufficiently.'
short_status = 'degn'
finished = True
continue # Does this get us out of the outer while?
# Compute duality measure.
mu = sz/ns
if PredictorCorrector:
# Use Mehrotra predictor-corrector method.
# Compute affine-scaling step, i.e. with centering = 0.
rhs[:n] = -dFeas
rhs[on:n] += z
rhs[n:] = -pFeas
# if 'stabilize' is on, must scale right-hand side.
if self.stabilize:
rhs[:n] /= col_scale
rhs[n:] /= sqrt(regdu)
(step, nres, neig) = self.solveSystem(rhs)
# Unscale step if 'stabilize' is on.
if self.stabilize:
step[:n] *= sqrt(regdu) / col_scale
# Recover dx and dz.
dx = step[:n]
ds = dx[on:]
dz = -z * (1 + ds/s)
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, ip) = self.maxStepLength(z, dz)
# Estimate duality gap after affine-scaling step.
muAff = np.dot(s + alpha_p * ds, z + alpha_d * dz)/ns
sigma = (muAff/mu)**3
# Incorporate predictor information for corrector step.
comp += ds*dz
else:
# Use long-step method: Compute centering parameter.
sigma = min(0.1, 100*mu)
# Assemble right-hand side with centering information.
comp -= sigma * mu
if PredictorCorrector:
# Only update rhs[on:n]; the rest of rhs did not change.
if self.stabilize:
rhs[on:n] += (comp/s - z)/col_scale[on:n]
else:
rhs[on:n] += comp/s - z
else:
rhs[:n] = -dFeas
rhs[on:n] += comp/s
rhs[n:] = -pFeas
# If 'stabilize' is on, must scale right-hand side.
# In the predictor-corrector method, this has already been
# done.
if self.stabilize:
rhs[:n] /= col_scale
rhs[n:] /= sqrt(regdu)
# Solve augmented system.
(step, nres, neig) = self.solveSystem(rhs)
# Unscale step if 'stabilize' is on.
if self.stabilize:
step[:n] *= sqrt(regdu) / col_scale
# Recover step.
dx = step[:n]
ds = dx[on:]
dy = step[n:]
normds = norm2(ds) ; normdy = norm2(dy) ; normdx = norm2(dx)
step_acceptable = True # Must get rid of this
# End while not step_acceptable
# Recover step in z.
dz = -(comp + z*ds)/s
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, id) = self.maxStepLength(z, dz)
# Compute fraction-to-the-boundary factor.
tau = max(.9995, 1.0-mu)
if PredictorCorrector:
# Compute actual stepsize using Mehrotra's heuristic
mult = 0.1
# ip=-1 if ds ≥ 0, and id=-1 if dz ≥ 0
if (ip != -1 or id != -1) and ip != id:
mu_tmp = np.dot(s + alpha_p * ds, z + alpha_d * dz)/ns
if ip != -1 and ip != id:
zip = z[ip] + alpha_d * dz[ip]
gamma_p = (mult*mu_tmp - s[ip]*zip)/(alpha_p*ds[ip]*zip)
alpha_p *= max(1-mult, gamma_p)
if id != -1 and ip != id:
sid = s[id] + alpha_p * ds[id]
gamma_d = (mult*mu_tmp - z[id]*sid)/(alpha_d*dz[id]*sid)
alpha_d *= max(1-mult, gamma_d)
if ip==id and ip != -1:
# There is a division by zero in Mehrotra's heuristic
# Fall back on classical rule.
alpha_p *= tau
alpha_d *= tau
else:
alpha_p *= tau
alpha_d *= tau
# Display data.
if self.verbose:
sys.stdout.write(self.format2 % (mu, alpha_p, alpha_d,
nres, regpr, regdu, rho_q,
del_r, mins, minz, maxs))
# Update primal variables and slacks.
x += alpha_p * dx
# Update dual variables.
y += alpha_d * dy
z += alpha_d * dz
# Update perturbation vectors.
q *= (1-alpha_p) ; q += alpha_p * dx
r *= (1-alpha_d) ; r += alpha_d * dy
qNorm = norm2(q) ; rNorm = norm2(r)
rho_q = regpr * qNorm/(1+self.normc) ; rho_q_min = min(rho_q_min, rho_q)
del_r = regdu * rNorm/(1+self.normb) ; del_r_min = min(del_r_min, del_r)
iter += 1
solve_time = cputime() - solve_time
if self.verbose:
sys.stdout.write('\n')
sys.stdout.write('-' * len(self.header) + '\n')
# Transfer final values to class members.
self.x = x
self.y = y
self.z = z
self.iter = iter
self.pResid = pResid ; self.cResid = cResid ; self.dResid = dResid
self.rgap = rgap
self.kktResid = kktResid
self.solve_time = solve_time
self.status = status
self.short_status = short_status
# Unscale problem if applicable.
if self.prob_scaled: self.unscale()
# Recompute final objective value.
self.obj_value = np.dot(self.c, x[:on]) + self.c0
return
def set_initial_guess(self, lp, **kwargs):
"""
Compute initial guess according the Mehrotra's heuristic. Initial values
of x are computed as the solution to the least-squares problem::
minimize ||s|| subject to A1 x + A2 s = b
which is also the solution to the augmented system::
[ 0 0 A1' ] [x] [0]
[ 0 I A2' ] [s] = [0]
[ A1 A2 0 ] [w] [b].
Initial values for (y,z) are chosen as the solution to the least-squares
problem::
minimize ||z|| subject to A1' y = c, A2' y + z = 0
which can be computed as the solution to the augmented system::
[ 0 0 A1' ] [w] [c]
[ 0 I A2' ] [z] = [0]
[ A1 A2 0 ] [y] [0].
To ensure stability and nonsingularity when A does not have full row
rank, the (1,1) block is perturbed to 1.0e-4 * I and the (3,3) block is
perturbed to -1.0e-4 * I.
The values of s and z are subsequently adjusted to ensure they are
positive. See [Methrotra, 1992] for details.
"""
n = lp.n ; m = lp.m ; ns = self.nSlacks ; on = lp.original_n
# Set up augmented system matrix and factorize it.
self.H.put(1.0e-4, range(on))
self.H.put(1.0, range(on,n))
self.H.put(-1.0e-4, range(n,n+m))
self.H[n:,:n] = self.A
self.LBL = LBLContext(self.H, sqd=True) # Perform analyze and factorize
# Assemble first right-hand side and solve.
rhs = np.zeros(n+m)
rhs[n:] = self.b
(step, nres, neig) = self.solveSystem(rhs)
x = step[:n].copy()
s = x[on:] # Slack variables. Must be positive.
# Assemble second right-hand side and solve.
rhs[:on] = self.c
rhs[on:] = 0.0
(step, nres, neig) = self.solveSystem(rhs)
y = step[n:].copy()
z = step[on:n].copy()
# Use Mehrotra's heuristic to ensure (s,z) > 0.
if np.all(s >= 0):
dp = 0.0
else:
dp = -1.5 * min(s[s < 0])
if np.all(z >= 0):
dd = 0.0
else:
dd = -1.5 * min(z[z < 0])
if dp == 0.0: dp = 1.5
if dd == 0.0: dd = 1.5
es = sum(s+dp)
ez = sum(z+dd)
xs = sum((s+dp) * (z+dd))
dp += 0.5 * xs/ez
dd += 0.5 * xs/es
s += dp
z += dd
if not np.all(s>0) or not np.all(z>0):
raise ValueError, 'Initial point not strictly feasible'
return (x,y,z)
def maxStepLength(self, x, d):
"""
Returns the max step length from x to the boundary of the nonnegative
orthant in the direction d.
"""
whereneg = np.where(d < 0)[0]
if len(whereneg) > 0:
dxneg = -x[whereneg]/d[whereneg]
kmin = np.argmin(dxneg)
stepmax = min(1.0, dxneg[kmin])
if stepmax == 1.0:
kmin = -1
else:
kmin = whereneg[kmin]
else:
stepmax = 1.0
kmin = -1
return (stepmax, kmin)
def solveSystem(self, rhs, itref_threshold=1.0e-5, nitrefmax=3):
self.LBL.solve(rhs)
#nr = norm2(self.LBL.residual)
self.LBL.refine(rhs, tol=itref_threshold, nitref=nitrefmax)
nr = norm2(self.LBL.residual)
return (self.LBL.x, nr, self.LBL.neig)
class RegLPInteriorPointSolver:
def __init__(self, lp, **kwargs):
"""
Solve a linear program of the form::
minimize c' x subject to A1 x + A2 s = b and s >= 0, (LP)
where the variables x are the original problem variables and s are
slack variables. Any linear program may be converted to the above form
by instantiation of the `SlackFramework` class. The conversion to the
slack formulation is mandatory in this implementation.
The method is a variant of Mehrotra's predictor-corrector method where
steps are computed by solving the primal-dual system in augmented form.
Primal and dual regularization parameters may be specified by the user
via the opional keyword arguments `regpr` and `regdu`. Both should be
positive real numbers and should not be "too large". By default they are
set to 1.0 and updated at each iteration.
If `scale` is set to `True`, (LP) is scaled automatically prior to
solution so as to equilibrate the rows and columns of the constraint
matrix [A1 A2].
Advantages of this method are that it is not sensitive to dense columns
in A, no special treatment of the unbounded variables x is required, and
a sparse symmetric quasi-definite system of equations is solved at each
iteration. The latter, although indefinite, possesses a Cholesky-like
factorization. Those properties makes the method typically more robust
that a standard predictor-corrector implementation and the linear system
solves are often much faster than in a traditional interior-point method
in augmented form.
:keywords:
:scale: Perform row and column equilibration of the constraint
matrix [A1 A2] prior to solution (default: `True`).
:stabilize: Scale the linear system to be solved at each iteration
(default: `True`).
:regpr: Initial value of primal regularization parameter
(default: `1.0`).
:regdu: Initial value of dual regularization parameter
(default: `1.0`).
:verbose: Turn on verbose mode (default `False`).
"""
if not isinstance(lp, SlackFramework):
msg = 'Input problem must be an instance of SlackFramework'
raise ValueError, msg
scale = kwargs.get('scale', True)
self.verbose = kwargs.get('verbose', True)
self.stabilize = kwargs.get('stabilize', True)
self.lp = lp
self.A = lp.A() # Constraint matrix
if not isinstance(self.A, PysparseMatrix):
self.A = PysparseMatrix(matrix=self.A)
m, n = self.A.shape
# Record number of slack variables in LP
self.nSlacks = lp.n - lp.original_n
# Constant vectors
zero = np.zeros(n)
self.b = -lp.cons(zero) # Right-hand side
self.c0 = lp.obj(zero) # Constant term in objective
self.c = lp.grad(zero[:lp.original_n]) #lp.cost() # Cost vector
# Apply in-place problem scaling if requested.
self.prob_scaled = False
if scale:
self.t_scale = cputime()
self.scale()
self.t_scale = cputime() - self.t_scale
self.normb = norm2(self.b)
self.normc = norm2(self.c)
self.normbc = 1 + max(self.normb, self.normc)
# Initialize augmented matrix
self.H = PysparseMatrix(size=n+m,
sizeHint=n+m+self.A.nnz,
symmetric=True)
# We perform the analyze phase on the augmented system only once.
# self.LBL will be initialized in set_initial_guess().
self.LBL = None
self.regpr = kwargs.get('regpr', 1.0) ; self.regpr_min = 1.0e-8
self.regdu = kwargs.get('regdu', 1.0) ; self.regdu_min = 1.0e-8
# Check input parameters.
if self.regpr < 0.0: self.regpr = 0.0
if self.regdu < 0.0: self.regdu = 0.0
# Dual regularization is necessary for stabilization.
if self.regdu == 0.0:
sys.stderr.write('Warning: No dual regularization in effect\n')
sys.stderr.write(' Stabilization has been turned off\n')
self.stabilize = False
# Initialize format strings for display
fmt_hdr = '%-4s %9s' + ' %-8s'*6 + ' %-7s %-4s %-4s' + ' %-8s'*8
self.header = fmt_hdr % ('Iter', 'Cost', 'pResid', 'dResid', 'cResid',
'rGap', 'qNorm', 'rNorm', 'Mu', 'AlPr', 'AlDu',
'LS Resid', 'RegPr', 'RegDu', 'Rho q', 'Del r',
'Min(s)', 'Min(z)', 'Max(s)')
self.format1 = '%-4d %9.2e'
self.format1 += ' %-8.2e' * 6
self.format2 = ' %-7.1e %-4.2f %-4.2f'
self.format2 += ' %-8.2e' * 8 + '\n'
if self.verbose: self.display_stats()
return
def display_stats(self):
"""
Display vital statistics about the input problem.
"""
import os
lp = self.lp
w = sys.stdout.write
w('\n')
w('Problem Path: %s\n' % lp.name)
w('Problem Name: %s\n' % os.path.basename(lp.name))
w('Number of problem variables: %d\n' % lp.original_n)
w('Number of free variables: %d\n' % lp.nfreeB)
w('Number of problem constraints excluding bounds: %d\n' %lp.original_m)
w('Number of slack variables: %d\n' % (lp.n - lp.original_n))
w('Adjusted number of variables: %d\n' % lp.n)
w('Adjusted number of constraints excluding bounds: %d\n' % lp.m)
w('Number of nonzeros in constraint matrix: %d\n' % self.A.nnz)
w('Constant term in objective: %8.2e\n' % self.c0)
w('Cost vector norm: %8.2e\n' % self.normc)
w('Right-hand side norm: %8.2e\n' % self.normb)
w('Initial primal regularization: %8.2e\n' % self.regpr)
w('Initial dual regularization: %8.2e\n' % self.regdu)
if self.prob_scaled:
w('Time for scaling: %6.2fs\n' % self.t_scale)
w('\n')
return
def scale(self, **kwargs):
"""
Equilibrate the constraint matrix of the linear program. Equilibration
is done by first dividing every row by its largest element in absolute
value and then by dividing every column by its largest element in
absolute value. In effect the original problem::
minimize c'x subject to A1 x + A2 s = b, x >= 0
is converted to::
minimize (Cc)'x subject to R A1 C x + R A2 C s = Rb, x >= 0,
where the diagonal matrices R and C operate row and column scaling
respectively.
Upon return, the matrix A and the right-hand side b are scaled and the
members `row_scale` and `col_scale` are set to the row and column
scaling factors.
The scaling may be undone by subsequently calling :meth:`unscale`. It is
necessary to unscale the problem in order to unscale the final dual
variables. Normally, the :meth:`solve` method takes care of unscaling
the problem upon termination.
"""
w = sys.stdout.write
m, n = self.A.shape
row_scale = np.zeros(m)
col_scale = np.zeros(n)
(values,irow,jcol) = self.A.find()
if self.verbose:
w('Smallest and largest elements of A prior to scaling: ')
w('%8.2e %8.2e\n' % (np.min(np.abs(values)),np.max(np.abs(values))))
# Find row scaling.
for k in range(len(values)):
row = irow[k]
val = abs(values[k])
row_scale[row] = max(row_scale[row], val)
row_scale[row_scale == 0.0] = 1.0
if self.verbose:
w('Largest row scaling factor = %8.2e\n' % np.max(row_scale))
# Apply row scaling to A and b.
values /= row_scale[irow]
self.b /= row_scale
# Find column scaling.
for k in range(len(values)):
col = jcol[k]
val = abs(values[k])
col_scale[col] = max(col_scale[col], val)
col_scale[col_scale == 0.0] = 1.0
if self.verbose:
w('Largest column scaling factor = %8.2e\n' % np.max(col_scale))
# Apply column scaling to A and c.
values /= col_scale[jcol]
self.c[:self.lp.original_n] /= col_scale[:self.lp.original_n]
if self.verbose:
w('Smallest and largest elements of A after scaling: ')
w('%8.2e %8.2e\n' % (np.min(np.abs(values)),np.max(np.abs(values))))
# Overwrite A with scaled values.
self.A.put(values,irow,jcol)
# Save row and column scaling.
self.row_scale = row_scale
self.col_scale = col_scale
self.prob_scaled = True
return
def unscale(self, **kwargs):
"""
Restore the constraint matrix A, the right-hand side b and the cost
vector c to their original value by undoing the row and column
equilibration scaling.
"""
row_scale = self.row_scale
col_scale = self.col_scale
on = self.lp.original_n
# Unscale constraint matrix A.
self.A.row_scale(row_scale)
self.A.col_scale(col_scale)
# Unscale right-hand side and cost vectors.
self.b *= row_scale
self.c[:on] *= col_scale[:on]
# Recover unscaled multipliers y and z.
self.y *= self.row_scale
self.z /= self.col_scale[on:]
self.prob_scaled = False
return
def solve(self, **kwargs):
"""
Solve the input problem with the primal-dual-regularized
interior-point method. Accepted input keyword arguments are
:keywords:
:itermax: The maximum allowed number of iterations (default: 10n)
:tolerance: Stopping tolerance (default: 1.0e-6)
:PredictorCorrector: Use the predictor-corrector method
(default: `True`). If set to `False`, a variant
of the long-step method is used. The long-step
method is generally slower and less robust.
Upon exit, the following members of the class instance are set:
x..............final iterate
y..............final value of the Lagrange multipliers associated
to A1 x + A2 s = b
z..............final value of the Lagrange multipliers associated
to s>=0
obj_value......final cost
iter...........total number of iterations
kktResid.......final relative residual
solve_time.....time to solve the LP
status.........string describing the exit status
short_status...short version of status, used for printing.
"""
lp = self.lp
itermax = kwargs.get('itermax', max(100,10*lp.n))
tolerance = kwargs.get('tolerance', 1.0e-6)
PredictorCorrector = kwargs.get('PredictorCorrector', True)
check_infeasible = kwargs.get('check_infeasible', True)
# Transfer pointers for convenience.
m, n = self.A.shape ; on = lp.original_n
A = self.A ; b = self.b ; c = self.c ; H = self.H
regpr = self.regpr ; regdu = self.regdu
regpr_min = self.regpr_min ; regdu_min = self.regdu_min
# Obtain initial point from Mehrotra's heuristic.
# set_initial_guess() initializes self.LBL which is reused below.
(x,y,z) = self.set_initial_guess(self.lp, **kwargs)
# Slack variables are the trailing variables in x.
s = x[on:] ; ns = self.nSlacks
# Initialize steps in dual variables.
dz = np.zeros(ns)
col_scale = np.empty(n)
# Allocate room for right-hand side of linear systems.
rhs = np.zeros(n+m)
finished = False
iter = 0
# Acceptance thresholds for primal and dual reg parameters.
#t1 = t2 = 0.99
solve_time = cputime()
# Main loop.
while not finished:
# Display initial header every so often.
if self.verbose and iter % 20 == 0:
sys.stdout.write('\n' + self.header + '\n')
sys.stdout.write('-' * len(self.header) + '\n')
# Compute residuals.
pFeas = A*x - b
comp = s*z ; sz = sum(comp) # comp = S z
dFeas = y*A ; dFeas[:on] -= self.c # dFeas1 = A1'y - c
dFeas[on:] += z # dFeas2 = A2'y + z
mu = sz/ns
# Compute residual norms and scaled residual norms.
# We don't need to keep both the scaled and unscaled residuals
# store.
#pResid = norm_infty(pFeas + regdu * r)/(1+self.normc)
#dResid = norm_infty(dFeas - regpr * q)/(1+self.normb)
pResid = norm2(pFeas) ; spResid = pResid/(1+self.normc)
cResid = norm2(comp) ; scResid = cResid/self.normbc
dResid = norm2(dFeas) ; sdResid = dResid/(1+self.normb)
# Compute relative duality gap.
cx = np.dot(c,x[:on])
by = np.dot(b,y)
rgap = cx - by
#rgap += regdu * (rNorm**2 + np.dot(r,y))
rgap = abs(rgap) / (1 + abs(cx))
rgap2 = mu /(1 + abs(cx))
# Compute overall residual for stopping condition.
kktResid = max(spResid, sdResid, rgap2)
#kktResid = max(pResid, cResid, dResid)
if kktResid <= tolerance:
status = 'Optimal solution found'
short_status = 'opt'
finished = True
continue
if iter >= itermax:
status = 'Maximum number of iterations reached'
short_status= 'iter'
finished = True
continue
# Adjust regularization parameters
#mu = sum(comp)/ns
#if mu < 1:
# regpr = sqrt(mu)
# regdu = sqrt(mu)
# At the first iteration, initialize perturbation vectors
# (q=primal, r=dual).
if iter == 0:
regpr = self.regpr ; regdu = self.regdu
if regpr > 0:
q = dFeas/regpr ; qNorm = norm2(q) ; rho_q = regpr * qNorm
else:
q = dFeas ; qNorm = norm2(q) ; rho_q = 0.0
rho_q_min = rho_q
if regdu > 0:
r = -pFeas/regdu ; rNorm = norm2(r) ; del_r = regdu * rNorm
else:
r = -pFeas ; rNorm = norm2(r) ; del_r = 0.0
del_r_min = del_r
pr_infeas_count = 0 # Used to detect primal infeasibility.
du_infeas_count = 0 # Used to detect dual infeasibility.
pr_last_iter = 0
du_last_iter = 0
mu0 = mu
else:
# Adjust regularization parameters.
#regpr = max(min(regpr/10, regpr**(1.1)), regpr_min)
#regdu = max(min(regdu/10, regdu**(1.1)), regdu_min)
# 1) rho+ |dx| <= const * s'z
# 2) del+ |dy| <= const * s'z
if regdu > 0:
regdu = min(regdu/10, sz/normdy/10, (sz/normdy)**(1.1))
regdu = max(regdu, regdu_min)
if regpr > 0:
regpr = min(regpr/10, sz/normdx/10, (sz/normdx)**(1.1))
regpr = max(regpr, regpr_min)
# Check for infeasible problem.
if check_infeasible:
#if mu < 1.0e-8 * mu0 and rho_q > 1.0e+3 * kktResid * self.normbc: #* mu * self.normbc:
if mu < 1.0e-8 * mu0 and rho_q > 1.0e+2 * rho_q_min:
pr_infeas_count += 1
if pr_infeas_count > 1 and pr_last_iter == iter-1:
if pr_infeas_count > 6:
status = 'Problem seems to be (locally) dual infeasible'
short_status = 'dInf'
finished = True
continue
pr_last_iter = iter
#if mu < 1.0e-8 * mu0 and del_r > 1.0e+3 * kktResid * self.normbc: # * mu * self.normbc:
if mu < 1.0e-8 * mu0 and del_r > 1.0e+2 * del_r_min:
du_infeas_count += 1
if du_infeas_count > 1 and du_last_iter == iter-1:
if du_infeas_count > 6:
status='Problem seems to be (locally) primal infeasible'
short_status = 'pInf'
finished = True
continue
du_last_iter = iter
# Display objective and residual data.
if self.verbose:
sys.stdout.write(self.format1 % (iter, cx, pResid, dResid,
cResid, rgap, qNorm, rNorm))
# Record some quantities for display
mins = np.min(s)
minz = np.min(z)
maxs = np.max(s)
# Repeatedly assemble system and compute step until primal and
# dual regularization parameters have appropriate values.
# Reset primal and dual regularization parameters to best guess
#if iter > 0:
# regpr = max(regpr_min, 0.5*sigma*dResid/normds)
# regdu = max(regdu_min, 0.5*sigma*pResid/normdy)
step_acceptable = False
while not step_acceptable:
# Solve the linear system
#
# [-pI 0 A1'] [∆x] [c - A1' y ]
# [ 0 -(S^{-1} Z + pI) A2'] [∆s] = [ - A2' y - µ S^{-1} e]
# [ A1 A2 dI ] [∆y] [b - A1 x - A2 s ]
#
# where s are the slack variables, p is the primal
# regularization parameter, d is the dual regularization
# parameter, and A = [ A1 A2 ] where the columns of A1
# correspond to the original problem variables and those of A2
# correspond to slack variables.
#
# We recover ∆z = -z - S^{-1} (Z ∆s + µ e).
# Compute augmented matrix and factorize it.
factorized = False
nb_bump = 0
while not factorized and nb_bump < 5:
if self.stabilize:
col_scale[:on] = sqrt(regpr)
col_scale[on:] = np.sqrt(z/s + regpr)
H.put(-sqrt(regdu), range(n))
H.put( sqrt(regdu), range(n,n+m))
AA = self.A.copy()
AA.col_scale(1/col_scale)
H[n:,:n] = AA
else:
if regpr > 0: H.put(-regpr, range(on))
H.put(-z/s - regpr, range(on,n))
if regdu > 0: H.put(regdu, range(n,n+m))
#if iter == 5:
# # Export current matrix to file for futher inspection.
# import os
# name = os.path.basename(self.lp.name)
# fname = '.'.join(name.split('.')[:-1]) + '.mtx'
# H.exportMmf(fname)
self.LBL.factorize(H)
factorized = True
# If the augmented matrix does not have full rank, bump up
# regularization parameters.
if not self.LBL.isFullRank:
if self.verbose:
sys.stderr.write('Primal-Dual Matrix ')
sys.stderr.write('Rank Deficient')
if regdu == 0.0:
sys.stderr.write('... No regularization in effect')
sys.stderr.write('... bailing out\n')
factorized = False
nb_bump = 5
continue
else:
sys.stderr.write('... bumping up reg parameters\n')
regpr *= 10 ; regdu *= 10
nb_bump += 1
factorized = False
# Abandon if regularization is unsuccessful.
if not self.LBL.isFullRank and nb_bump >= 5:
status = 'Unable to regularize sufficiently.'
short_status = 'degn'
finished = True
continue # Does this get us out of the outer while?
# Compute duality measure.
mu = sz/ns
if PredictorCorrector:
# Use Mehrotra predictor-corrector method.
# Compute affine-scaling step, i.e. with centering = 0.
rhs[:n] = -dFeas
rhs[on:n] += z
rhs[n:] = -pFeas
# if 'stabilize' is on, must scale right-hand side.
if self.stabilize:
rhs[:n] /= col_scale
rhs[n:] /= sqrt(regdu)
(step, nres, neig) = self.solveSystem(rhs)
# Unscale step if 'stabilize' is on.
if self.stabilize:
step[:n] *= sqrt(regdu) / col_scale
# Recover dx and dz.
dx = step[:n]
ds = dx[on:]
dz = -z * (1 + ds/s)
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, ip) = self.maxStepLength(z, dz)
# Estimate duality gap after affine-scaling step.
muAff = np.dot(s + alpha_p * ds, z + alpha_d * dz)/ns
sigma = (muAff/mu)**3
# Incorporate predictor information for corrector step.
comp += ds*dz
else:
# Use long-step method: Compute centering parameter.
sigma = min(0.1, 100*mu)
# Assemble right-hand side with centering information.
comp -= sigma * mu
if PredictorCorrector:
# Only update rhs[on:n]; the rest of rhs did not change.
if self.stabilize:
rhs[on:n] += (comp/s - z)/col_scale[on:n]
else:
rhs[on:n] += comp/s - z
else:
rhs[:n] = -dFeas
rhs[on:n] += comp/s
rhs[n:] = -pFeas
# If 'stabilize' is on, must scale right-hand side.
# In the predictor-corrector method, this has already been
# done.
if self.stabilize:
rhs[:n] /= col_scale
rhs[n:] /= sqrt(regdu)
# Solve augmented system.
(step, nres, neig) = self.solveSystem(rhs)
# Unscale step if 'stabilize' is on.
if self.stabilize:
step[:n] *= sqrt(regdu) / col_scale
# Recover step.
dx = step[:n]
ds = dx[on:]
dy = step[n:]
normds = norm2(ds) ; normdy = norm2(dy) ; normdx = norm2(dx)
step_acceptable = True # Must get rid of this
# End while not step_acceptable
# Recover step in z.
dz = -(comp + z*ds)/s
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, id) = self.maxStepLength(z, dz)
# Compute fraction-to-the-boundary factor.
tau = max(.9995, 1.0-mu)
if PredictorCorrector:
# Compute actual stepsize using Mehrotra's heuristic
mult = 0.1
# ip=-1 if ds ≥ 0, and id=-1 if dz ≥ 0
if (ip != -1 or id != -1) and ip != id:
mu_tmp = np.dot(s + alpha_p * ds, z + alpha_d * dz)/ns
if ip != -1 and ip != id:
zip = z[ip] + alpha_d * dz[ip]
gamma_p = (mult*mu_tmp - s[ip]*zip)/(alpha_p*ds[ip]*zip)
alpha_p *= max(1-mult, gamma_p)
if id != -1 and ip != id:
sid = s[id] + alpha_p * ds[id]
gamma_d = (mult*mu_tmp - z[id]*sid)/(alpha_d*dz[id]*sid)
alpha_d *= max(1-mult, gamma_d)
if ip==id and ip != -1:
# There is a division by zero in Mehrotra's heuristic
# Fall back on classical rule.
alpha_p *= tau
alpha_d *= tau
else:
alpha_p *= tau
alpha_d *= tau
# Display data.
if self.verbose:
sys.stdout.write(self.format2 % (mu, alpha_p, alpha_d,
nres, regpr, regdu, rho_q,
del_r, mins, minz, maxs))
# Update primal variables and slacks.
x += alpha_p * dx
# Update dual variables.
y += alpha_d * dy
z += alpha_d * dz
# Update perturbation vectors.
q *= (1-alpha_p) ; q += alpha_p * dx
r *= (1-alpha_d) ; r += alpha_d * dy
qNorm = norm2(q) ; rNorm = norm2(r)
rho_q = regpr * qNorm/(1+self.normc) ; rho_q_min = min(rho_q_min, rho_q)
del_r = regdu * rNorm/(1+self.normb) ; del_r_min = min(del_r_min, del_r)
iter += 1
solve_time = cputime() - solve_time
if self.verbose:
sys.stdout.write('\n')
sys.stdout.write('-' * len(self.header) + '\n')
# Transfer final values to class members.
self.x = x
self.y = y
self.z = z
self.iter = iter
self.pResid = pResid ; self.cResid = cResid ; self.dResid = dResid
self.rgap = rgap
self.kktResid = kktResid
self.solve_time = solve_time
self.status = status
self.short_status = short_status
# Unscale problem if applicable.
if self.prob_scaled: self.unscale()
# Recompute final objective value.
self.obj_value = np.dot(self.c, x[:on]) + self.c0
return
def set_initial_guess(self, lp, **kwargs):
"""
Compute initial guess according the Mehrotra's heuristic. Initial values
of x are computed as the solution to the least-squares problem::
minimize ||s|| subject to A1 x + A2 s = b
which is also the solution to the augmented system::
[ 0 0 A1' ] [x] [0]
[ 0 I A2' ] [s] = [0]
[ A1 A2 0 ] [w] [b].
Initial values for (y,z) are chosen as the solution to the least-squares
problem::
minimize ||z|| subject to A1' y = c, A2' y + z = 0
which can be computed as the solution to the augmented system::
[ 0 0 A1' ] [w] [c]
[ 0 I A2' ] [z] = [0]
[ A1 A2 0 ] [y] [0].
To ensure stability and nonsingularity when A does not have full row
rank, the (1,1) block is perturbed to 1.0e-4 * I and the (3,3) block is
perturbed to -1.0e-4 * I.
The values of s and z are subsequently adjusted to ensure they are
positive. See [Methrotra, 1992] for details.
"""
n = lp.n ; m = lp.m ; ns = self.nSlacks ; on = lp.original_n
# Set up augmented system matrix and factorize it.
self.H.put(1.0e-4, range(on))
self.H.put(1.0, range(on,n))
self.H.put(-1.0e-4, range(n,n+m))
self.H[n:,:n] = self.A
self.LBL = LBLContext(self.H, sqd=True) # Perform analyze and factorize
# Assemble first right-hand side and solve.
rhs = np.zeros(n+m)
rhs[n:] = self.b
(step, nres, neig) = self.solveSystem(rhs)
x = step[:n].copy()
s = x[on:] # Slack variables. Must be positive.
# Assemble second right-hand side and solve.
rhs[:on] = self.c
rhs[on:] = 0.0
(step, nres, neig) = self.solveSystem(rhs)
y = step[n:].copy()
z = step[on:n].copy()
# Use Mehrotra's heuristic to ensure (s,z) > 0.
if np.all(s >= 0):
dp = 0.0
else:
dp = -1.5 * min(s[s < 0])
if np.all(z >= 0):
dd = 0.0
else:
dd = -1.5 * min(z[z < 0])
if dp == 0.0: dp = 1.5
if dd == 0.0: dd = 1.5
es = sum(s+dp)
ez = sum(z+dd)
xs = sum((s+dp) * (z+dd))
dp += 0.5 * xs/ez
dd += 0.5 * xs/es
s += dp
z += dd
if not np.all(s>0) or not np.all(z>0):
raise ValueError, 'Initial point not strictly feasible'
return (x,y,z)
def maxStepLength(self, x, d):
"""
Returns the max step length from x to the boundary of the nonnegative
orthant in the direction d.
"""
whereneg = np.where(d < 0)[0]
if len(whereneg) > 0:
dxneg = -x[whereneg]/d[whereneg]
kmin = np.argmin(dxneg)
stepmax = min(1.0, dxneg[kmin])
if stepmax == 1.0:
kmin = -1
else:
kmin = whereneg[kmin]
else:
stepmax = 1.0
kmin = -1
return (stepmax, kmin)
def solveSystem(self, rhs, itref_threshold=1.0e-5, nitrefmax=3):
self.LBL.solve(rhs)
#nr = norm2(self.LBL.residual)
self.LBL.refine(rhs, tol=itref_threshold, nitref=nitrefmax)
nr = norm2(self.LBL.residual)
return (self.LBL.x, nr, self.LBL.neig)
class RegQPInteriorPointSolver(object):
def __init__(self, qp, **kwargs):
"""
Solve a convex quadratic program of the form::
minimize c' x + 1/2 x' Q x
subject to A1 x + A2 s = b, (QP)
s >= 0,
where Q is a symmetric positive semi-definite matrix, the variables
x are the original problem variables and s are slack variables. Any
quadratic program may be converted to the above form by instantiation
of the `SlackFramework` class. The conversion to the slack formulation
is mandatory in this implementation.
The method is a variant of Mehrotra's predictor-corrector method where
steps are computed by solving the primal-dual system in augmented form.
Primal and dual regularization parameters may be specified by the user
via the opional keyword arguments `regpr` and `regdu`. Both should be
positive real numbers and should not be "too large". By default they are
set to 1.0 and updated at each iteration.
If `scale` is set to `True`, (QP) is scaled automatically prior to
solution so as to equilibrate the rows and columns of the constraint
matrix [A1 A2].
Advantages of this method are that it is not sensitive to dense columns
in A, no special treatment of the unbounded variables x is required, and
a sparse symmetric quasi-definite system of equations is solved at each
iteration. The latter, although indefinite, possesses a Cholesky-like
factorization. Those properties makes the method typically more robust
that a standard predictor-corrector implementation and the linear system
solves are often much faster than in a traditional interior-point method
in augmented form.
:keywords:
:scale: Perform row and column equilibration of the constraint
matrix [A1 A2] prior to solution (default: `True`).
:regpr: Initial value of primal regularization parameter
(default: `1.0`).
:regdu: Initial value of dual regularization parameter
(default: `1.0`).
:bump_max: Max number of times regularization parameters are
increased when a factorization fails (default 5).
:logger_name: Name of a logger to control output.
:verbose: Turn on verbose mode (default `False`).
"""
if not isinstance(qp, SlackFramework):
msg = 'Input problem must be an instance of SlackFramework'
raise ValueError, msg
# Grab logger if one was configured.
logger_name = kwargs.get('logger_name', 'cqp.solver')
self.log = logging.getLogger(logger_name)
self.verbose = kwargs.get('verbose', True)
scale = kwargs.get('scale', True)
self.qp = qp
self.A = qp.A() # Constraint matrix
if not isinstance(self.A, PysparseMatrix):
self.A = PysparseMatrix(matrix=self.A)
m, n = self.A.shape
on = qp.original_n
# Record number of slack variables in QP
self.nSlacks = qp.n - on
# Collect basic info about the problem.
zero = np.zeros(n)
self.b = -qp.cons(zero) # Right-hand side
self.c0 = qp.obj(zero) # Constant term in objective
self.c = qp.grad(zero[:on]) # Cost vector
self.Q = PysparseMatrix(
matrix=qp.hess(zero[:on], np.zeros(qp.original_m)))
# Apply in-place problem scaling if requested.
self.prob_scaled = False
if scale:
self.t_scale = cputime()
self.scale()
self.t_scale = cputime() - self.t_scale
else:
# self.scale() sets self.normQ to the Frobenius norm of Q
# and self.normA to the Frobenius norm of A as a by-product.
# If we're not scaling, set normQ and normA manually.
self.normQ = self.Q.matrix.norm('fro')
self.normA = self.A.matrix.norm('fro')
self.normb = norm_infty(self.b)
self.normc = norm_infty(self.c)
self.normbc = 1 + max(self.normb, self.normc)
# Initialize augmented matrix.
self.H = self.initialize_kkt_matrix()
# It will be more efficient to keep the diagonal of Q around.
self.diagQ = self.Q.take(range(qp.original_n))
# We perform the analyze phase on the augmented system only once.
# self.LBL will be initialized in solve().
self.LBL = None
# Set regularization parameters.
self.regpr = kwargs.get('regpr', 1.0)
self.regpr_min = 1.0e-8
self.regdu = kwargs.get('regdu', 1.0)
self.regdu_min = 1.0e-8
# Max number of times regularization parameters are increased.
self.bump_max = kwargs.get('bump_max', 5)
# Check input parameters.
if self.regpr < 0.0: self.regpr = 0.0
if self.regdu < 0.0: self.regdu = 0.0
# Initialize format strings for display
fmt_hdr = '%-4s %9s' + ' %-8s' * 6 + ' %-7s %-4s %-4s' + ' %-8s' * 8
self.header = fmt_hdr % ('Iter', 'Cost', 'pResid', 'dResid', 'cResid',
'rGap', 'qNorm', 'rNorm', 'Mu', 'AlPr',
'AlDu', 'LS Resid', 'RegPr', 'RegDu', 'Rho q',
'Del r', 'Min(s)', 'Min(z)', 'Max(s)')
self.format1 = '%-4d %9.2e'
self.format1 += ' %-8.2e' * 6
self.format2 = ' %-7.1e %-4.2f %-4.2f'
self.format2 += ' %-8.2e' * 8
self.cond_history = []
self.berr_history = []
self.derr_history = []
self.nrms_history = []
self.lres_history = []
if self.verbose: self.display_stats()
return
def initialize_kkt_matrix(self):
# [ -(Q+ρI) 0 A1' ] [∆x] [c + Q x - A1' y ]
# [ 0 -(S^{-1} Z + ρI) A2' ] [∆s] = [- A2' y - µ S^{-1} e]
# [ A1 A2 δI ] [∆y] [b - A1 x - A2 s ]
m, n = self.A.shape
on = self.qp.original_n
H = PysparseMatrix(size=n + m,
sizeHint=n + m + self.A.nnz + self.Q.nnz,
symmetric=True)
# The (1,1) block will always be Q (save for its diagonal).
H[:on, :on] = -self.Q
# The (3,1) and (3,2) blocks will always be A.
# We store it now once and for all.
H[n:, :n] = self.A
return H
def initialize_rhs(self):
m, n = self.A.shape
return np.zeros(n + m)
def set_affine_scaling_rhs(self, rhs, pFeas, dFeas, s, z):
"Set rhs for affine-scaling step."
m, n = self.A.shape
on = self.qp.original_n
rhs[:n] = -dFeas
rhs[on:n] += z
rhs[n:] = -pFeas
return
def display_stats(self):
"""
Display vital statistics about the input problem.
"""
import os
qp = self.qp
log = self.log
log.info('Problem Path: %s' % qp.name)
log.info('Problem Name: %s' % os.path.basename(qp.name))
log.info('Number of problem variables: %d' % qp.original_n)
log.info('Number of free variables: %d' % qp.nfreeB)
log.info('Number of problem constraints excluding bounds: %d' % \
qp.original_m)
log.info('Number of slack variables: %d' % (qp.n - qp.original_n))
log.info('Adjusted number of variables: %d' % qp.n)
log.info('Adjusted number of constraints excluding bounds: %d' % qp.m)
log.info('Number of nonzeros in Hessian matrix Q: %d' % self.Q.nnz)
log.info('Number of nonzeros in constraint matrix: %d' % self.A.nnz)
log.info('Constant term in objective: %8.2e' % self.c0)
log.info('Cost vector norm: %8.2e' % self.normc)
log.info('Right-hand side norm: %8.2e' % self.normb)
log.info('Hessian norm: %8.2e' % self.normQ)
log.info('Jacobian norm: %8.2e' % self.normA)
log.info('Initial primal regularization: %8.2e' % self.regpr)
log.info('Initial dual regularization: %8.2e' % self.regdu)
if self.prob_scaled:
log.info('Time for scaling: %6.2fs' % self.t_scale)
return
def scale(self, **kwargs):
"""
Equilibrate the constraint matrix of the linear program. Equilibration
is done by first dividing every row by its largest element in absolute
value and then by dividing every column by its largest element in
absolute value. In effect the original problem::
minimize c' x + 1/2 x' Q x
subject to A1 x + A2 s = b, x >= 0
is converted to::
minimize (Cc)' x + 1/2 x' (CQC') x
subject to R A1 C x + R A2 C s = Rb, x >= 0,
where the diagonal matrices R and C operate row and column scaling
respectively.
Upon return, the matrix A and the right-hand side b are scaled and the
members `row_scale` and `col_scale` are set to the row and column
scaling factors.
The scaling may be undone by subsequently calling :meth:`unscale`. It is
necessary to unscale the problem in order to unscale the final dual
variables. Normally, the :meth:`solve` method takes care of unscaling
the problem upon termination.
"""
log = self.log
m, n = self.A.shape
row_scale = np.zeros(m)
col_scale = np.zeros(n)
(values, irow, jcol) = self.A.find()
if self.verbose:
log.info('Smallest and largest elements of A prior to scaling: ')
log.info('%8.2e %8.2e' %
(np.min(np.abs(values)), np.max(np.abs(values))))
# Find row scaling.
for k in range(len(values)):
row = irow[k]
val = abs(values[k])
row_scale[row] = max(row_scale[row], val)
row_scale[row_scale == 0.0] = 1.0
if self.verbose:
log.info('Max row scaling factor = %8.2e' % np.max(row_scale))
# Apply row scaling to A and b.
values /= row_scale[irow]
self.b /= row_scale
# Find column scaling.
for k in range(len(values)):
col = jcol[k]
val = abs(values[k])
col_scale[col] = max(col_scale[col], val)
col_scale[col_scale == 0.0] = 1.0
if self.verbose:
log.info('Max column scaling factor = %8.2e' % np.max(col_scale))
# Apply column scaling to A and c.
values /= col_scale[jcol]
self.c[:self.qp.original_n] /= col_scale[:self.qp.original_n]
if self.verbose:
log.info('Smallest and largest elements of A after scaling: ')
log.info('%8.2e %8.2e' %
(np.min(np.abs(values)), np.max(np.abs(values))))
# Overwrite A with scaled values.
self.A.put(values, irow, jcol)
self.normA = norm2(values) # Frobenius norm of A.
# Apply scaling to Hessian matrix Q.
(values, irow, jcol) = self.Q.find()
values /= col_scale[irow]
values /= col_scale[jcol]
self.Q.put(values, irow, jcol)
self.normQ = norm2(values) # Frobenius norm of Q
# Save row and column scaling.
self.row_scale = row_scale
self.col_scale = col_scale
self.prob_scaled = True
return
def unscale(self, **kwargs):
"""
Restore the constraint matrix A, the right-hand side b and the cost
vector c to their original value by undoing the row and column
equilibration scaling.
"""
row_scale = self.row_scale
col_scale = self.col_scale
on = self.qp.original_n
# Unscale constraint matrix A.
self.A.row_scale(row_scale)
self.A.col_scale(col_scale)
# Unscale right-hand side and cost vectors.
self.b *= row_scale
self.c[:on] *= col_scale[:on]
# Unscale Hessian matrix Q.
(values, irow, jcol) = self.Q.find()
values *= col_scale[irow]
values *= col_scale[jcol]
self.Q.put(values, irow, jcol)
# Recover unscaled multipliers y and z.
self.y *= self.row_scale
self.z /= self.col_scale[on:]
self.prob_scaled = False
return
def solve(self, **kwargs):
"""
Solve the input problem with the primal-dual-regularized
interior-point method. Accepted input keyword arguments are
:keywords:
:itermax: The maximum allowed number of iterations (default: 10n)
:tolerance: Stopping tolerance (default: 1.0e-6)
:PredictorCorrector: Use the predictor-corrector method
(default: `True`). If set to `False`, a variant
of the long-step method is used. The long-step
method is generally slower and less robust.
:returns:
:x: final iterate
:y: final value of the Lagrange multipliers associated
to `A1 x + A2 s = b`
:z: final value of the Lagrange multipliers associated
to `s >= 0`
:obj_value: final cost
:iter: total number of iterations
:kktResid: final relative residual
:solve_time: time to solve the QP
:status: string describing the exit status.
:short_status: short version of status, used for printing.
"""
qp = self.qp
itermax = kwargs.get('itermax', max(100, 10 * qp.n))
tolerance = kwargs.get('tolerance', 1.0e-6)
PredictorCorrector = kwargs.get('PredictorCorrector', True)
check_infeasible = kwargs.get('check_infeasible', True)
# Transfer pointers for convenience.
m, n = self.A.shape
on = qp.original_n
A = self.A
b = self.b
c = self.c
Q = self.Q
diagQ = self.diagQ
H = self.H
regpr = self.regpr
regdu = self.regdu
regpr_min = self.regpr_min
regdu_min = self.regdu_min
# Obtain initial point from Mehrotra's heuristic.
(x, y, z) = self.set_initial_guess(**kwargs)
# Slack variables are the trailing variables in x.
s = x[on:]
ns = self.nSlacks
# Initialize steps in dual variables.
dz = np.zeros(ns)
# Allocate room for right-hand side of linear systems.
rhs = self.initialize_rhs()
finished = False
iter = 0
setup_time = cputime()
# Main loop.
while not finished:
# Display initial header every so often.
if iter % 50 == 0:
self.log.info(self.header)
self.log.info('-' * len(self.header))
# Compute residuals.
pFeas = A * x - b
comp = s * z
sz = sum(comp) # comp = Sz
Qx = Q * x[:on]
dFeas = y * A
dFeas[:on] -= self.c + Qx # dFeas1 = A1'y - c - Qx
dFeas[on:] += z # dFeas2 = A2'y + z
# Compute duality measure.
if ns > 0:
mu = sz / ns
else:
mu = 0.0
# Compute residual norms and scaled residual norms.
pResid = norm2(pFeas)
spResid = pResid / (1 + self.normb + self.normA + self.normQ)
dResid = norm2(dFeas)
sdResid = dResid / (1 + self.normc + self.normA + self.normQ)
if ns > 0:
cResid = norm_infty(comp) / (self.normbc + self.normA +
self.normQ)
else:
cResid = 0.0
# Compute relative duality gap.
cx = np.dot(c, x[:on])
xQx = np.dot(x[:on], Qx)
by = np.dot(b, y)
rgap = cx + xQx - by
rgap = abs(rgap) / (1 + abs(cx) + self.normA + self.normQ)
rgap2 = mu / (1 + abs(cx) + self.normA + self.normQ)
# Compute overall residual for stopping condition.
kktResid = max(spResid, sdResid, rgap2)
# At the first iteration, initialize perturbation vectors
# (q=primal, r=dual).
# Should probably get rid of q when regpr=0 and of r when regdu=0.
if iter == 0:
if regpr > 0:
q = dFeas / regpr
qNorm = dResid / regpr
rho_q = dResid
else:
q = dFeas
qNorm = dResid
rho_q = 0.0
rho_q_min = rho_q
if regdu > 0:
r = -pFeas / regdu
rNorm = pResid / regdu
del_r = pResid
else:
r = -pFeas
rNorm = pResid
del_r = 0.0
del_r_min = del_r
pr_infeas_count = 0 # Used to detect primal infeasibility.
du_infeas_count = 0 # Used to detect dual infeasibility.
pr_last_iter = 0
du_last_iter = 0
mu0 = mu
else:
if regdu > 0:
regdu = regdu / 10
regdu = max(regdu, regdu_min)
if regpr > 0:
regpr = regpr / 10
regpr = max(regpr, regpr_min)
# Check for infeasible problem.
if check_infeasible:
if mu < tolerance/100 * mu0 and \
rho_q > 1./tolerance/1.0e+6 * rho_q_min:
pr_infeas_count += 1
if pr_infeas_count > 1 and pr_last_iter == iter - 1:
if pr_infeas_count > 6:
status = 'Problem seems to be (locally) dual'
status += ' infeasible'
short_status = 'dInf'
finished = True
continue
pr_last_iter = iter
else:
pr_infeas_count = 0
if mu < tolerance/100 * mu0 and \
del_r > 1./tolerance/1.0e+6 * del_r_min:
du_infeas_count += 1
if du_infeas_count > 1 and du_last_iter == iter - 1:
if du_infeas_count > 6:
status = 'Problem seems to be (locally) primal'
status += ' infeasible'
short_status = 'pInf'
finished = True
continue
du_last_iter = iter
else:
du_infeas_count = 0
# Display objective and residual data.
output_line = self.format1 % (iter, cx + 0.5 * xQx, pResid, dResid,
cResid, rgap, qNorm, rNorm)
if kktResid <= tolerance:
status = 'Optimal solution found'
short_status = 'opt'
finished = True
continue
if iter >= itermax:
status = 'Maximum number of iterations reached'
short_status = 'iter'
finished = True
continue
# Record some quantities for display
if ns > 0:
mins = np.min(s)
minz = np.min(z)
maxs = np.max(s)
else:
mins = minz = maxs = 0
# Compute augmented matrix and factorize it.
factorized = False
degenerate = False
nb_bump = 0
while not factorized and not degenerate:
self.update_linear_system(s, z, regpr, regdu)
self.log.debug('Factorizing')
self.LBL.factorize(H)
factorized = True
# If the augmented matrix does not have full rank, bump up the
# regularization parameters.
if not self.LBL.isFullRank:
if self.verbose:
self.log.info('Primal-Dual Matrix Rank Deficient' + \
'... bumping up reg parameters')
if regpr == 0. and regdu == 0.:
degenerate = True
else:
if regpr > 0:
regpr *= 100
if regdu > 0:
regdu *= 100
nb_bump += 1
degenerate = nb_bump > self.bump_max
factorized = False
# Abandon if regularization is unsuccessful.
if not self.LBL.isFullRank and degenerate:
status = 'Unable to regularize sufficiently.'
short_status = 'degn'
finished = True
continue
if PredictorCorrector:
# Use Mehrotra predictor-corrector method.
# Compute affine-scaling step, i.e. with centering = 0.
self.set_affine_scaling_rhs(rhs, pFeas, dFeas, s, z)
(step, nres, neig) = self.solveSystem(rhs)
# Recover dx and dz.
dx, ds, dy, dz = self.get_affine_scaling_dxsyz(
step, x, s, y, z)
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, ip) = self.maxStepLength(z, dz)
# Estimate duality gap after affine-scaling step.
muAff = np.dot(s + alpha_p * ds, z + alpha_d * dz) / ns
sigma = (muAff / mu)**3
# Incorporate predictor information for corrector step.
# Only update rhs[on:n]; the rest of the vector did not change.
comp += ds * dz
comp -= sigma * mu
self.update_corrector_rhs(rhs, s, z, comp)
else:
# Use long-step method: Compute centering parameter.
sigma = min(0.1, 100 * mu)
comp -= sigma * mu
# Assemble rhs.
self.update_long_step_rhs(rhs, pFeas, dFeas, comp, s)
# Solve augmented system.
(step, nres, neig) = self.solveSystem(rhs)
# Recover step.
dx, ds, dy, dz = self.get_dxsyz(step, x, s, y, z, comp)
normds = norm2(ds)
normdy = norm2(dy)
normdx = norm2(dx)
# Compute largest allowed primal and dual stepsizes.
(alpha_p, ip) = self.maxStepLength(s, ds)
(alpha_d, id) = self.maxStepLength(z, dz)
# Compute fraction-to-the-boundary factor.
tau = max(.9995, 1.0 - mu)
if PredictorCorrector:
# Compute actual stepsize using Mehrotra's heuristic.
mult = 0.1
# ip=-1 if ds ≥ 0, and id=-1 if dz ≥ 0
if (ip != -1 or id != -1) and ip != id:
mu_tmp = np.dot(s + alpha_p * ds, z + alpha_d * dz) / ns
if ip != -1 and ip != id:
zip = z[ip] + alpha_d * dz[ip]
gamma_p = (mult * mu_tmp - s[ip] * zip) / (alpha_p *
ds[ip] * zip)
alpha_p *= max(1 - mult, gamma_p)
if id != -1 and ip != id:
sid = s[id] + alpha_p * ds[id]
gamma_d = (mult * mu_tmp - z[id] * sid) / (alpha_d *
dz[id] * sid)
alpha_d *= max(1 - mult, gamma_d)
if ip == id and ip != -1:
# There is a division by zero in Mehrotra's heuristic
# Fall back on classical rule.
alpha_p *= tau
alpha_d *= tau
else:
alpha_p *= tau
alpha_d *= tau
# Display data.
output_line += self.format2 % (mu, alpha_p, alpha_d, nres, regpr,
regdu, rho_q, del_r, mins, minz,
maxs)
self.log.info(output_line)
# Update iterates and perturbation vectors.
x += alpha_p * dx # This also updates slack variables.
y += alpha_d * dy
z += alpha_d * dz
q *= (1 - alpha_p)
q += alpha_p * dx
r *= (1 - alpha_d)
r += alpha_d * dy
qNorm = norm2(q)
rNorm = norm2(r)
if regpr > 0:
rho_q = regpr * qNorm / (1 + self.normc)
rho_q_min = min(rho_q_min, rho_q)
else:
rho_q = 0.0
if regdu > 0:
del_r = regdu * rNorm / (1 + self.normb)
del_r_min = min(del_r_min, del_r)
else:
del_r = 0.0
iter += 1
solve_time = cputime() - setup_time
self.log.info('-' * len(self.header))
# Transfer final values to class members.
self.x = x
self.y = y
self.z = z
self.iter = iter
self.pResid = pResid
self.cResid = cResid
self.dResid = dResid
self.rgap = rgap
self.kktResid = kktResid
self.solve_time = solve_time
self.status = status
self.short_status = short_status
# Unscale problem if applicable.
if self.prob_scaled: self.unscale()
# Recompute final objective value.
self.obj_value = self.c0 + cx + 0.5 * xQx
return
def set_initial_guess(self, **kwargs):
"""
Compute initial guess according the Mehrotra's heuristic. Initial values
of x are computed as the solution to the least-squares problem::
minimize ||s|| subject to A1 x + A2 s = b
which is also the solution to the augmented system::
[ Q 0 A1' ] [x] [0]
[ 0 I A2' ] [s] = [0]
[ A1 A2 0 ] [w] [b].
Initial values for (y,z) are chosen as the solution to the least-squares
problem::
minimize ||z|| subject to A1' y = c, A2' y + z = 0
which can be computed as the solution to the augmented system::
[ Q 0 A1' ] [w] [c]
[ 0 I A2' ] [z] = [0]
[ A1 A2 0 ] [y] [0].
To ensure stability and nonsingularity when A does not have full row
rank, the (1,1) block is perturbed to 1.0e-4 * I and the (3,3) block is
perturbed to -1.0e-4 * I.
The values of s and z are subsequently adjusted to ensure they are
positive. See [Methrotra, 1992] for details.
"""
qp = self.qp
n = qp.n
m = qp.m
ns = self.nSlacks
on = qp.original_n
self.log.debug('Computing initial guess')
# Set up augmented system matrix and factorize it.
self.set_initial_guess_system()
self.LBL = LBLContext(self.H,
sqd=self.regdu > 0) # Analyze + factorize
# Assemble first right-hand side and solve.
rhs = self.set_initial_guess_rhs()
(step, nres, neig) = self.solveSystem(rhs)
dx, _, _, _ = self.get_dxsyz(step, 0, 1, 0, 0, 0)
# dx is just a reference; we need to make a copy.
x = dx.copy()
s = x[on:] # Slack variables. Must be positive.
# Assemble second right-hand side and solve.
self.update_initial_guess_rhs(rhs)
(step, nres, neig) = self.solveSystem(rhs)
_, dz, dy, _ = self.get_dxsyz(step, 0, 1, 0, 0, 0)
# dy and dz are just references; we need to make copies.
y = dy.copy()
z = -dz
# If there are no inequality constraints, this is it.
if n == on: return (x, y, z)
# Use Mehrotra's heuristic to ensure (s,z) > 0.
if np.all(s >= 0):
dp = 0.0
else:
dp = -1.5 * min(s[s < 0])
if np.all(z >= 0):
dd = 0.0
else:
dd = -1.5 * min(z[z < 0])
if dp == 0.0: dp = 1.5
if dd == 0.0: dd = 1.5
es = sum(s + dp)
ez = sum(z + dd)
xs = sum((s + dp) * (z + dd))
dp += 0.5 * xs / ez
dd += 0.5 * xs / es
s += dp
z += dd
if not np.all(s > 0) or not np.all(z > 0):
raise ValueError, 'Initial point not strictly feasible'
return (x, y, z)
def maxStepLength(self, x, d):
"""
Returns the max step length from x to the boundary of the nonnegative
orthant in the direction d. Also return the component index responsible
for cutting the steplength the most (or -1 if no such index exists).
"""
self.log.debug('Computing step length to boundary')
whereneg = np.where(d < 0)[0]
if len(whereneg) > 0:
dxneg = -x[whereneg] / d[whereneg]
kmin = np.argmin(dxneg)
stepmax = min(1.0, dxneg[kmin])
if stepmax == 1.0:
kmin = -1
else:
kmin = whereneg[kmin]
else:
stepmax = 1.0
kmin = -1
return (stepmax, kmin)
def set_initial_guess_system(self):
self.log.debug('Setting up linear system for initial guess')
m, n = self.A.shape
on = self.qp.original_n
self.H.put(-self.diagQ - 1.0e-4, range(on))
self.H.put(-1.0, range(on, n))
self.H.put(1.0e-4, range(n, n + m))
return
def set_initial_guess_rhs(self):
self.log.debug('Setting up right-hand side for initial guess')
m, n = self.A.shape
rhs = np.zeros(n + m)
rhs[n:] = self.b
return rhs
def update_initial_guess_rhs(self, rhs):
self.log.debug('Updating right-hand side for initial guess')
on = self.qp.original_n
rhs[:on] = self.c
rhs[on:] = 0.0
return
def update_linear_system(self, s, z, regpr, regdu, **kwargs):
self.log.debug('Updating linear system for current iteration')
qp = self.qp
n = qp.n
m = qp.m
on = qp.original_n
diagQ = self.diagQ
self.H.put(-diagQ - regpr, range(on))
self.H.put(-z / s - regpr, range(on, n))
if regdu > 0:
self.H.put(regdu, range(n, n + m))
return
def solveSystem(self, rhs, itref_threshold=1.0e-5, nitrefmax=5):
"""
Solve the augmented system with right-hand side `rhs` and optionally
perform iterative refinement.
Return the solution vector (as a reference), the 2-norm of the residual
and the number of negative eigenvalues of the coefficient matrix.
"""
self.log.debug('Solving linear system')
self.LBL.solve(rhs)
self.LBL.refine(rhs, tol=itref_threshold, nitref=nitrefmax)
# Collect statistics on the linear system solve.
self.cond_history.append((self.LBL.cond, self.LBL.cond2))
self.berr_history.append((self.LBL.berr, self.LBL.berr2))
self.derr_history.append(self.LBL.dirError)
self.nrms_history.append((self.LBL.matNorm, self.LBL.xNorm))
self.lres_history.append(self.LBL.relRes)
nr = norm2(self.LBL.residual)
return (self.LBL.x, nr, self.LBL.neig)
def get_affine_scaling_dxsyz(self, step, x, s, y, z):
"""
Split `step` into steps along x, s, y and z. This function returns
*references*, not copies. Only dz is computed from `step` without being
a subvector of `step`.
"""
self.log.debug('Recovering affine-scaling step')
m, n = self.A.shape
on = self.qp.original_n
dx = step[:n]
ds = dx[on:]
dy = step[n:]
dz = -z * (1 + ds / s)
return (dx, ds, dy, dz)
def update_corrector_rhs(self, rhs, s, z, comp):
self.log.debug('Updating right-hand side for corrector step')
m, n = self.A.shape
on = self.qp.original_n
rhs[on:n] += comp / s - z
return
def update_long_step_rhs(self, rhs, pFeas, dFeas, comp, s):
self.log.debug('Updating right-hand side for long step')
m, n = self.A.shape
on = self.qp.original_n
rhs[:n] = -dFeas
rhs[on:n] += comp / s
rhs[n:] = -pFeas
return
def get_dxsyz(self, step, x, s, y, z, comp):
"""
Split `step` into steps along x, s, y and z. This function returns
*references*, not copies. Only dz is computed from `step` without being
a subvector of `step`.
"""
self.log.debug('Recovering step')
m, n = self.A.shape
on = self.qp.original_n
dx = step[:n]
ds = dx[on:]
dy = step[n:]
dz = -(comp + z * ds) / s
return (dx, ds, dy, dz)