u = []
q = []
p = []
v = []
w = []
k = []
for i in range(30):
(A, b, c) = input_data(i)
x.append(A.shape[0])
y.append(A.shape[1])
(A, c) = stdForm(A, c)
(x1, y1, s1) = sp(A, c, b)
(x2, y2, s2) = sp2(A, c, b)
r1 = np.concatenate((np.dot(A, x1) - b, c - s1 - np.dot(A.T, y1)))
r2 = np.concatenate((np.dot(A, x2) - b, c - s2 - np.dot(A.T, y2)))
w1 = np.divide((np.dot(b, y1) - np.dot(c, x1)), A.shape[1])
w2 = np.divide((np.dot(b, y2) - np.dot(c, x2)), A.shape[1])
# Mehrotra's method
u.append("%5.2e" % np.linalg.norm(r1))
q.append("%5.2e" % w1)
t = np.divide(np.linalg.norm(r1), w1)
p.append(t)
# STP1 method
v.append("%5.2e" % np.linalg.norm(r2))
w.append("%5.2e" % w2)
def longpath2(A,
b,
c,
gamma=0.001,
c_form=0,
w=10**(-8),
max_it=500,
info=0,
ip=1):
print('\n\tCOMPUTATION OF LPF ALGORITHM 2')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..obtain the search direction
# 3..find the largest step
""" Input error checking & construction in a standard form """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
raise Exception('Inputs must be a numpy arrays')
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
if not np.linalg.matrix_rank(
A) == r_A: # Check full rank matrix:Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points: Initial infeasible positive (x,y,s) and initial gap g """
if ip == 0:
(x, y, s) = sp(A, c, b)
else:
(x, y, s) = sp2(A, c, b)
(x, y, s) = sp(A, c, b)
g = np.dot(c, x) - np.dot(y, b)
if info == 0:
print('\nInitial primal-dual point:\nx = {} \nlambda = {} \ns = {}'.
format(x, y, s))
print('Dual initial g: {}.\n'.format("%10.3f" % g))
# Check if (x, y, s) in neighborhood N_inf:
mu = np.dot(x, s) / c_A
if not (x * s > gamma * mu).all():
print("Initial point is not in N")
E = lambda a: (s + a * s1) * (x + a * x1) - (gamma * np.dot(
(s + a * s1),
(x + a * x1))) / c_A # Function E: set of values in N_(gamma)
#%%
""" Search vector direction """
'''Modified Newton's method with with normal equations: find the direction vector (y1, s1, x1)'''
it = 0 # Num of iterations
tm = term(it) # Define tollerance tm = inf
u = [] # Construct list of info elements
u.append([it, g, x, s, b - np.dot(A, x), c - np.dot(A.T, y) - s])
sig = []
while tm > w:
cp = min(0.1, 100 * np.dot(x, s) / c_A) # sigma2
if info == 0:
print("\tIteration: {}\n".format(it), end='')
print("Centering parameter sigma:{}.\n".format("%10.3f" % cp))
X_inv = np.linalg.inv(np.diag(x))
W1 = X_inv * np.diag(s) # W1 = X^(-1)*S
T = np.concatenate((np.zeros((r_A, r_A)), A), axis=1)
U = np.concatenate((A.T, -W1), axis=1)
V = np.concatenate((T, U), axis=0)
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = -x * s + cp * (sum(x * s) / c_A) * np.ones(
c_A) # Newton step toward x*s = sigma*mi
r = np.hstack((rb, rc - np.dot(X_inv, rxs)))
o = np.linalg.solve(V, r)
y1 = o[:r_A]
x1 = o[r_A:c_A + r_A]
s1 = np.dot(X_inv, rxs) - np.dot(W1, x1)
if info == 0:
print(
'Search direction vectors: \n delta_x = {} \n delta_lambda = {} \n delta_s = {}.\n'
.format(x1.round(decimals=3), y1.round(decimals=3),
s1.round(decimals=3)))
""" Compute the largest step length & increment of the points and the iteration"""
# We find the maximum alpha s. t the next iteration is in N_gamma
v = np.arange(0, 1.000, 0.0001)
i = len(v) - 1
while i >= 0:
if (E(v[i]) > 0).all():
t = v[i]
# print('Largest step length:{}'.format("%10.3f"%t))
break
else:
i -= 1
# Update step
x += t * x1 # Current x
y += t * y1 # Current y
s += t * s1 # Current s
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
z = np.dot(c, x) # Current opt. solution
g = z - np.dot(y, b) # Current gap
it += 1
u.append([it, g, x.copy(), s.copy(), rb.copy(), rc.copy()])
sig.append([cp])
# Termination elements
m, n, q = term(it, b, c, rb, rc, z, g)
tm = max(m, n, q)
if it == max_it:
raise TimeoutError("Iterations maxed out")
if info == 0:
print(
'\nCurrent point:\n x = {} \n lambda = {} \n s = {}.\n'.format(
x.round(decimals=3), y.round(decimals=3),
s.round(decimals=3)))
print('Dual next gap: {}.\n'.format("%10.3f" % g))
#%%
print_boxed("Found optimal solution of the problem at\n x* = {}.\n\n".
format(x.round(decimals=3)) +
"Dual gap: {}\n".format("%2.2e" % g) +
"Optimal cost: {}\n".format("%10.8E" % z) +
"Number of iteration: {}".format(it))
return x, s, u, sig
def aff_an(A, b, c, c_form=0, w=10**(-8), max_iter=500):
print('\n\tCOMPUTATION OF PRIMAL-DUAL AFFINE SCALING ALGORITHM')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..obtain the search direction
# 3..find the largest step
""" Input error checking """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
raise Exception('Inputs must be a numpy arrays')
# Construction in a standard form [A | I]
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
""" Check full rank matrix """
if not np.linalg.matrix_rank(A) == r_A: # Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points """
# Initial infeasible positive (x,y,s) and initial gap g
(x, y, s) = sp(A, c, b)
g = np.dot(c, x) - np.dot(y, b)
print('\nInitial primal-dual point:\n x = {} \n lambda = {} \n s = {}.\n'.
format(x, y, s))
print('Dual initial gap: {}.\n'.format("%10.3f" % g))
#%%
""" Search vector direction """
it = 0
tm = term(it)
u = []
v = []
while tm > w:
u.append(sum(x.copy() * s.copy()) / c_A)
print("\tIteration: {}\n".format(it))
S_inv = np.linalg.inv(np.diag(s))
W1 = S_inv * np.diag(x) # W1 = D = S^(-1)*X
W2 = np.dot(A, W1) # W A*S^(-1)*X
W = np.dot(W2, A.T)
L = np.linalg.cholesky(W) # CHOLESKY for A* D^2 *A^T
L_inv = np.linalg.inv(L)
# RHS of the system
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = -x * s # Newton step toward x*s = 0
B = rb + np.dot(W2, rc) - np.dot(np.dot(A, S_inv),
rxs) #RHS of normal equation form
z = np.dot(L_inv, B)
# SEARCH DIRECTION:
y1 = np.dot(L_inv.T, z)
s1 = rc - np.dot(A.T, y1)
x1 = np.dot(S_inv, rxs) - np.dot(W1, s1)
q1 = np.concatenate((x1, s1))
v.append(np.linalg.norm(q1))
print(
'Search direction vectors: \n delta_x = {} \n delta_lambda = {} \n delta_s = {}.\n'
.format(x1.round(decimals=3), y1.round(decimals=3),
s1.round(decimals=3)))
#%%
""" largest step length """
# Largest step length T such that (x, s) + T (x1, s1) is positive
m = min([(-x[i] / x1[i], i) for i in range(c_A) if x1[i] < 0],
default=[1])[0]
n = min([(-s[i] / s1[i], i) for i in range(c_A) if s1[i] < 0],
default=[1])[0]
T = (0.9) * min(m, n)
# INCREMENT of the vectors and iterations
x += min(T, 1) * x1
y += min(T, 1) * y1
s += min(T, 1) * s1
z = np.dot(c, x) # Current optimal solution
g = z - np.dot(y, b)
it += 1
# Termination elements
tm = term(it, b, c, rb, rc, z, g)
if it == max_iter:
raise TimeoutError("Iterations maxed out")
print('Current point:\n x = {} \n lambda = {} \n s = {}.\n'.format(
x, y, s))
print('Dual next gap: {}.\n'.format("%10.3f" % g))
print_boxed(
"Found optimal solution of the problem at\n x* = {}.\n".format(x) +
"Dual gap: {}\n".format("%10.6f" % g) +
"Optimal cost: {}\n".format("%10.3f" % z) +
"Number of iterations: {}".format(it))
return x, s, u, v
def longpathPC(A,
b,
c,
gamma=0.001,
c_form=0,
w=10**(-8),
max_it=500,
info=0,
ip=0):
print('\n\tLPF predictor-corrector')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..Predictor step
# 3..Corrector step
""" Input error checking & construction in a standard form """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
info = 1
raise Exception('Inputs must be a numpy arrays: INFO {}'.format(info))
if c_form == 0: # Construction in a standard form [A | I]
A, c = stdForm(A, c)
r_A, c_A = A.shape
if not np.linalg.matrix_rank(A) == r_A: # Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points: Initial infeasible positive (x,y,s) and initial gap g """
if ip == 0:
(x, y, s) = sp(A, c, b)
else:
(x, y, s) = sp2(A, c, b)
g = np.dot(c, x) - np.dot(y, b)
if info == 0:
print('\nInitial primal-dual point:\nx = {} \nlambda = {} \ns = {}'.
format(x, y, s))
print('Dual initial gap: {}.\n'.format("%10.3f" % g))
# Check if (x, y, s) in neighborhood N_inf and define E:
if not (x * s > gamma * np.dot(x, s) / c_A).all():
print("Initial point is not in N")
E = lambda a: (s + a * s1) * (x + a * x1) - (gamma * np.dot(
(s + a * s1),
(x + a * x1))) / c_A # Function E: set of values in N_(gamma)
#%%
""" Predictor step """
'''Pure Newton's method with with normal equations: find the direction vector (y1, s1, x1)'''
it = 0 # Num of iterations
tm = term(it) # Define tollerance tm = inf
u = [] # Construct list of info elements
u.append([it, g, x, s, b - np.dot(A, x), c - np.dot(A.T, y) - s])
sig = []
while tm > w:
if info == 0:
print("\tIteration: {}\n".format(it + 1))
# Choose cp = 0 and compute the direction with augmented system
(x1, y1, s1, rb, rc) = augm(A, b, c, x, y, s, 0)
# Find the maximum alpha s.t the next iteration is in N_gamma
v = np.arange(0, 1.0000, 0.0001)
i = len(v) - 1
while i >= 0:
if (E(v[i]) > 0).all():
t = v[i]
# print('Largest step length:{}'.format("%10.3f"%t))
break
else:
i -= 1
mi = np.dot(x, s) / c_A # Duality measure
mi_aff = np.dot(
x + t * x1,
s + t * s1) / c_A # Average value of the incremented vectors
Sigma = (mi_aff / mi)**3
""" Corrector step: compute (x_k+1, lambda_k+1, s_k+1) """
(x1, y1, s1, rb, rc) = augm(A, b, c, x, y, s, Sigma)
if info == 0:
print(
'Search direction vectors: \n delta_x = {} \n delta_lambda = {} \n delta_s = {}.\n'
.format(x1.round(decimals=3), x1.round(decimals=3),
s1.round(decimals=3)))
# Update
x += t * x1 # Current x
y += t * y1 # Current y
s += t * s1 # Current s
z = np.dot(c, x) # Current optimal solution
g = z - np.dot(y, b) # Current gap
it += 1
u.append([it, g, x.copy(), s.copy(), rb.copy(), rc.copy()])
sig.append(Sigma)
# Termination elements
tm = term(it, b, c, rb, rc, z, g)
if it == max_it:
raise TimeoutError("Iterations maxed out")
if info == 0:
print(
'\nCurrent primal-dual point:\n x = {} \n lambda = {} \n s = {}.\n'
.format(x.round(decimals=3), y.round(decimals=3),
s.round(decimals=3)))
print('Dual next gap: {}.\n'.format("%10.3f" % g))
#%%
print_boxed("Found optimal solution of the problem at\n x* = {}.\n\n".
format(x.round(decimals=3)) +
"Dual gap: {}\n".format("%2.2e" % g) +
"Optimal cost: {}\n".format("%10.3f" % z) +
"Number of iteration: {}".format(it))
return x, s, u, sig
def longpathC(A,
b,
c,
gamma=0.001,
s_min=0.1,
s_max=0.9,
c_form=0,
cp=0.6,
w=0.005,
max_iter=300):
print('\n\tCOMPUTATION OF LPF ALGORITHM')
""" Input error checking """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
info = 1
raise Exception('Inputs must be a numpy arrays: INFO {}'.format(info))
# Construction in a standard form [A | I]
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
E = lambda a: (s + a * s1) * (x + a * x1) - (gamma * np.dot(
(s + a * s1),
(x + a * x1))) / c_A #Function E: set of values in N_(gamma)
""" Check full rank matrix """
if not np.linalg.matrix_rank(A) == r_A: # Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points """
# Initial infeasible positive (x,y,s) and Initial gap g
(x, y, s) = sp(A, c, b)
g = np.dot(c, x) - np.dot(y, b)
print('\nInitial primal-dual point:\nx = {} \nlambda = {} \ns = {}'.format(
x, y, s))
print('Dual initial gap: {}.\n'.format("%10.3f" % g))
# Check if (x, y, s) in neighborhood N_inf:
if (x * s > gamma * np.dot(x, s) / c_A).all():
print("Initial point is in N_inf(gamma), gamma = {}\n".format(
"%10.6f" % gamma))
#%%
""" search vector direction """
# Compute the search direction solving the matricial system
# Instead of solving the std system matrix it is uses AUGMENT SYSTEM with CHOL approach
it = 0
tm = term(it)
u = []
u.append([it, g, x, s, b - np.dot(A, x), c - np.dot(A.T, y) - s])
# sigma = random.uniform(s_min, s_max) Choose centering parameter SIGMA_k in [sigma_min , sigma_max]
while tm > 10**(-8):
print("\tIteration: {}\n".format(it + 1), end='')
S_inv = np.linalg.inv(np.diag(s))
W1 = S_inv * np.diag(x) # W1 = D = S^(-1)*X
W2 = np.dot(A, W1) # W A*S^(-1)*X
W = np.dot(W2, A.T)
L = np.linalg.cholesky(W) # CHOLESKY for A* D^2 *A^T
L_inv = np.linalg.inv(L)
# RHS of the system
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = -x * s + cp * (sum(x * s) / c_A) * np.ones(
c_A) # Newton step toward x*s = sigma*mi
B = rb + np.dot(W2, rc) - np.dot(np.dot(A, S_inv),
rxs) #RHS of normal equation form
z = np.dot(L_inv, B)
# SEARCH DIRECTION:
y1 = np.dot(L_inv.T, z)
s1 = rc - np.dot(A.T, y1)
x1 = np.dot(S_inv, rxs) - np.dot(W1, s1)
print(
'Search direction vectors: \n delta_x = {} \n delta_lambda = {} \n delta_s = {}.\n'
.format(x1.round(decimals=3), x1.round(decimals=3),
s1.round(decimals=3)))
#%%
""" largest step length """
# We find the maximum alpha s. t the next iteration is in N_gamma
v = np.arange(0, 0.999, 0.0001)
i = len(v) - 1
while i >= 0:
if (E(v[i]) > 0).all():
t = v[i]
print('Largest step length:{}'.format("%10.3f" % t))
break
else:
i -= 1
# Increment the points and iteration
x += t * x1
y += t * y1
s += t * s1
it += 1
if it == max_iter:
print("Iterations maxed out")
return x, s, u
print('\nCurrent point:\n x = {} \n lambda = {} \n s = {}.\n'.format(
x.round(decimals=3), y.round(decimals=3), s.round(decimals=3)))
z = np.dot(c, x)
g = z - np.dot(y, b)
# Termination elements
tm = term(it, b, c, rb, rc, z, g)
u.append([it, g, x.copy(), s.copy(), rb.copy(), rc.copy()])
print('Dual next gap: {}.\n'.format("%10.3f" % g))
print_boxed("Found optimal solution of the problem at\n x* = {}.\n\n".
format(x.round(decimals=3)) +
"Dual gap: {}\n".format("%10.6f" % g) +
"Optimal cost: {}\n".format("%10.3f" % z) +
"Number of iteration: {}".format(it))
print("Centering parameter sigma:{}.\n".format("%10.3f" % cp))
return x, s, u
def affine2(A, b, c, c_form=0, w=10**(-8), max_iter=500):
print('\n\tCOMPUTATION OF PRIMAL-DUAL AFFINE SCALING ALGORITHM')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..obtain the search direction,
# 3..find the largest step
""" Input error checking """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
raise Exception('Inputs must be a numpy arrays')
# Construction in a standard form [A | I]
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
""" Check full rank matrix """
if not np.linalg.matrix_rank(A) == r_A: # Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points """
# Initial infeasible positive (x,y,s) and Initial gap g
(x, y, s) = sp(A, c, b)
g = np.dot(c, x) - np.dot(y, b)
print('\nInitial primal-dual point:\n x = {} \n lambda = {} \n s = {}.\n'.
format(x, y, s))
print('Dual initial gap: {}.\n'.format("%10.3f" % g))
#%%
""" search vector direction """
it = 0
tm = term(it)
u = []
u.append([it, g, x, s, b - np.dot(A, x), c - np.dot(A.T, y) - s])
while tm > w:
print("\tIteration: {}\n".format(it))
# solve search direction with AUGMENTED SYSTEM
X_inv = np.linalg.inv(np.diag(x))
W1 = X_inv * np.diag(s) # W1 = D = X^(-1)*S
T = np.concatenate((np.zeros((r_A, r_A)), A), axis=1)
U = np.concatenate((A.T, -W1), axis=1)
V = np.concatenate((T, U), axis=0)
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = -x * s # Newton step toward x*s
r = np.hstack((rb, -np.dot(X_inv, rxs)))
o = np.linalg.solve(V, r)
y1 = o[:r_A]
x1 = o[r_A:c_A + r_A]
s1 = np.dot(X_inv, rxs) - np.dot(W1, x1)
print(
'Search direction vectors: \n delta_x = {} \n delta_lambda = {} \n delta_s = {}.\n'
.format(x1.round(decimals=3), y1.round(decimals=3),
s1.round(decimals=3)))
#%%
""" largest step length """
# Largest step length T such that (x, s) + T (x1, s1) is positive
m = min([(-x[i] / x1[i], i) for i in range(c_A) if x1[i] < 0],
default=[1])[0]
n = min([(-s[i] / s1[i], i) for i in range(c_A) if s1[i] < 0],
default=[1])[0]
T = (0.9) * min(m, n)
# INCREMENT of the vectors and iterations
x += min(T, 1) * x1
y += min(T, 1) * y1
s += min(T, 1) * s1
z = np.dot(c, x) # Current optimal solution
g = z - np.dot(y, b)
u.append([it, g, x.copy(), s.copy(), rb.copy(), rc.copy()])
# Termination elements
tm = term(it, b, c, rb, rc, z, g)
it += 1
if it == max_iter:
raise TimeoutError("Iterations maxed out")
print('Current point:\n x = {} \n lambda = {} \n s = {}.\n'.format(
x, y, s))
print('Dual next gap: {}.\n'.format("%10.3f" % g))
print_boxed(
"Found optimal solution of the problem at\n x* = {}.\n".format(x) +
"Dual gap: {}\n".format("%10.6f" % g) +
"Optimal cost: {}\n".format("%10.3f" % z) +
"Number of iterations: {}".format(it))
return x, s, u
def mehrotra(A, b, c, c_form=0, w=10**(-8), max_it=500, info=0, ip=1):
print('\n\tCOMPUTATION OF MEHROTRA ALGORITHM\n')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..Predictor step
# 3..Centering step
# 4..Corrector step
""" Input error checking & construction in a standard form """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
raise Exception('Inputs must be a numpy arrays')
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
if not np.linalg.matrix_rank(
A) == r_A: # Check full rank matrix:Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points: Initial infeasible positive (x,y,s) and initial gap g """
if ip == 0:
(x, y, s) = sp(A, c, b) # MIP
else:
(x, y, s) = sp2(A, c, b) # STP1
g = np.dot(c, x) - np.dot(y, b)
if info == 0:
print('\nInitial primal-dual point:\nx = {} \nlambda = {} \ns = {}'.
format(x, y, s))
print('Dual initial g: {}.\n'.format("%10.3f" % g))
#%%
""" Predictor step: compute affine direction """
'''
Compute affine scaling direction solving Qs = R with system D^2 = S^{-1}*X
with Q a large sparse matrix
and R = [rb, rc, - x_0*s_0]
'''
it = 0 # Num of iterations
tm = term(it) # Tollerance in the cycle
u = [] # Construct list of info elements
sig = []
u.append([it, g, x, s, b - np.dot(A, x), c - np.dot(A.T, y) - s])
while tm > w:
""" Pure Newton's method with with normal equations: find the direction vector (y1, s1, x1)"""
S_inv = np.linalg.inv(np.diag(s)) # S^{-1}
W1 = np.dot(S_inv, np.diag(x)) # W1 = D = S^(-1)*X
W2 = np.dot(A, W1) # W2 A*S^(-1)*X
W = np.dot(W2, A.T)
L = np.linalg.cholesky(W)
L_inv = np.linalg.inv(L)
# RHS of the system, including the minus
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = -x * s
B = rb + np.dot(W2, rc) - np.dot(np.dot(A, S_inv),
rxs) #RHS of normal equation form
z = np.dot(L_inv, B)
# SEARCH DIRECTION affine:
y1 = np.dot(L_inv.T, z)
s1 = rc - np.dot(A.T, y1)
x1 = np.dot(S_inv, rxs) - np.dot(W1, s1)
if info == 0:
print("\n\tIteration: {}\n".format(it), end='')
print(
"\nPREDICTOR STEP:\nAffine direction:\n({}, {}, {})\n".format(
x1, y1, s1))
#%%
""" Centering step: compute search direction """
'''
Find alfa1_affine and alfa2_affine : maximum steplength along affine-scaling direction
Find the minimum( x_{i}/x1_{i} , 1) and the minimum( s_{i}/s1_{i} , 1)
'''
h = min([(-x[i] / x1[i], i) for i in range(c_A) if x1[i] < 0],
default=[0])[0]
k = min([(-s[i] / s1[i], i) for i in range(c_A) if s1[i] < 0],
default=[0])[0]
alfa1 = min(h, 1)
alfa2 = min(k, 1)
# Set the centering parameter to Sigma = (mi_aff/mi)^{3}
mi = np.dot(x, s) / c_A # Duality measure
mi_af = np.dot(
x + alfa1 * x1,
s + alfa2 * s1) / c_A # Average value of the incremented vectors
Sigma = (mi_af / mi)**(3)
# SECOND SEARCH DIRECTION
Rxs = -x1 * s1 + Sigma * mi * np.ones(
(c_A)) # RHS of the New system, including minus
Rb = -np.dot(np.dot(A, S_inv), Rxs) # RHS of New normal equation form
z = np.dot(L_inv, Rb)
# SEARCH DIRECTION centering-orrector:
y2 = np.dot(L_inv.T, z)
s2 = -np.dot(A.T, y2)
x2 = np.dot(S_inv, Rxs) - np.dot(W1, s2)
if info == 0:
print("Cc direction:\n({}, {}, {})\n".format(x2, y2, s2))
#%%
""" Corrector step: compute (x_k+1, lambda_k+1, s_k+1) """
# The steplength without eta_k
x2 += x1
s2 += s1
y2 += y1
H = min([(-x[i] / x2[i], i) for i in range(c_A) if x2[i] < 0],
default=[0])[0]
K = min([(-s[i] / s2[i], i) for i in range(c_A) if s2[i] < 0],
default=[0])[0]
Alfa1 = min(0.99 * H, 1)
Alfa2 = min(0.99 * K, 1)
# Update
x += Alfa1 * x2 # Current x
y += Alfa2 * y2 # Current y
s += Alfa2 * s2 # Current s
z = np.dot(c, x) # Current optimal solution
g = z - np.dot(y, b) # Current gap
it += 1
u.append([it, g, x.copy(), s.copy(), rb.copy(), rc.copy()])
sig.append([Sigma])
# Termination elements
tm = term(it, b, c, rb, rc, z, g)
if it == max_it:
raise TimeoutError("Iterations maxed out")
if info == 0:
print('CORRECTOR STEP:\nCurrent primal-dual point: \n x = ', x,
'\nlambda = ', y, '\n s = ', s)
print('Current g: {}\n'.format("%.3f" % g))
#%%
print_boxed(
"Found optimal solution of the standard problem at\n x* = {}.\n\n".
format(x) + "Dual gap: {}\n".format("%2.2e" % g) +
"Optimal cost: {}\n".format("%10.3f" % z) +
"Number of iteration: {}".format(it))
return x, s, u, sig
def affine(A, b, c, c_form = 0, w = 10**(-8), max_it = 500, info = 0, ip = 0):
print('\n\tCOMPUTATION OF PRIMAL-DUAL AFFINE SCALING ALGORITHM')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..obtain the search direction
# 3..find the largest step
""" Input error checking & construction in a standard form """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray) or isinstance(c, np.ndarray)):
raise Exception('Inputs must be a numpy arrays')
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
if not np.linalg.matrix_rank(A) == r_A: # Check full rank matrix: Remove ld rows
A = A[[i for i in range(r_A) if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points: Initial infeasible positive (x,y,s) and initial gap g """
if ip == 0:
(x, y, s) = sp(A, c, b)
else:
(x, y, s) = sp2(A, c, b)
g = np.dot(c,x) - np.dot(y,b)
if info == 0:
print('\nInitial primal-dual point:\n x = {} \n lambda = {} \n s = {}.\n'.format(x, y, s))
print('Dual initial gap: {}.\n'.format("%10.3f"%g))
#%%
""" Search vector direction """
it = 0 # Num of iterations
tm = term(it) # Tollerance in the cycle
u = [] # Construct list of info elements
u.append([it, g, x, s, b - np.dot(A,x), c - np.dot(A.T, y) - s])
while tm > w:
""" Pure Newton's method with with normal equations: find the direction vector (y1, s1, x1)"""
S_inv = np.linalg.inv(np.diag(s))
W1 = S_inv*np.diag(x) # W1 = D = S^(-1)*X
W2 = np.dot(A, W1) # W A*S^(-1)*X
W = np.dot(W2, A.T)
L = np.linalg.cholesky(W) # CHOLESKY for A* D^2 *A^T
L_inv = np.linalg.inv(L)
# RHS of the system
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = - x*s # Newton step toward x*s = 0
B = rb + np.dot(W2, rc) - np.dot(np.dot(A, S_inv), rxs) #RHS of normal equation form
z = np.dot(L_inv, B)
# SEARCH DIRECTION:
y1 = np.dot(L_inv.T, z)
s1 = rc - np.dot(A.T, y1)
x1 = np.dot(S_inv, rxs) - np.dot(W1,s1)
if info == 0:
print("\tIteration: {}\n".format(it))
print('Search direction vectors: \n delta_x = {} \n delta_lambda = {} \n delta_s = {}.\n'.format(x1.round(decimals = 3),y1.round(decimals = 3),s1.round(decimals = 3)))
""" Compute the largest step length & increment of the points and the iteration"""
# Largest step length T such that (x, s) + T (x1, s1) is positive
m = min([(-x[i] / x1[i], i) for i in range(c_A) if x1[i] < 0], default = [1])[0]
n = min([(-s[i] / s1[i], i) for i in range(c_A) if s1[i] < 0], default = [1])[0]
T = (0.9)*min(m, n)
# Update step
x += min(T,1)*x1 # Current x
y += min(T,1)*y1 # Current y
s += min(T,1)*s1 # Current s
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
z = np.dot(c, x) # Current optimal solution
g = np.abs(z - np.dot(y, b))# Current gap
it += 1
u.append([it, g.copy(), x.copy(), s.copy(), rb.copy(), rc.copy()])
# Termination elements
m, n, q = term(it, b, c, rb, rc, z, g)
tm = max(m, n, q)
if it == max_it:
raise TimeoutError("Iterations maxed out")
if info == 0:
print('Current point:\n x = {} \n lambda = {} \n s = {}.\n'.format(x, y, s))
print('Dual next gap: {}.\n'.format("%10.3f"%g))
#%%
print_boxed("Found optimal solution of the problem at\n x* = {}.\n".format(x) +
"Dual gap: {}\n".format("%10.6f"%g) +
"Optimal cost: {}\n".format("%.8E" %z) +
"Number of iterations: {}".format(it))
return x, s, u
def mehrotra2(A, b, c, c_form=0, w=10**(-8), max_it=500, info=0, ip=0):
print('\n\tCOMPUTATION OF MEHROTRA ALGORITHMwith Augmented system\n')
# Algorithm in 4 steps:
# 0..Input error checking
# 1..Find the initial point with Mehrotra's method
# 2..Predictor step
# 3..Centering step
# 4..Corrector step
""" Input error checking & construction in a standard form """
if not (isinstance(A, np.ndarray) or isinstance(b, np.ndarray)
or isinstance(c, np.ndarray)):
raise Exception('Inputs must be a numpy arrays')
if c_form == 0:
A, c = stdForm(A, c)
r_A, c_A = A.shape
if not np.linalg.matrix_rank(
A) == r_A: # Check full rank matrix:Remove ld rows:
A = A[[
i for i in range(r_A)
if not np.array_equal(np.linalg.qr(A)[1][i, :], np.zeros(c_A))
], :]
r_A = A.shape[0] # Update no. of rows
""" Initial points: Initial infeasible positive (x,y,s) and initial gap g """
if ip == 0:
(x, y, s) = sp(A, c, b)
else:
(x, y, s) = sp2(A, c, b)
g = np.dot(c, x) - np.dot(y, b)
if info == 0:
print('\nInitial primal-dual point:\nx = {} \nlambda = {} \ns = {}'.
format(x, y, s))
print('Dual initial g: {}.\n'.format("%10.3f" % g))
#%%
""" Predictor step: compute affine direction """
'''
Compute affine scaling direction solving Qs = R with an augmented system D^2 = S^{-1}*X
with Q a large sparse matrix
and R = [rb, rc, - x_0*s_0]
'''
it = 0 # Num of iterations
tm = term(it) # Tollerance in the cycle
u = [] # Construct list of info elements
sig = []
u.append([it, g, x, s, b - np.dot(A, x), c - np.dot(A.T, y) - s])
while tm > w:
if info == 0:
print("\n\tIteration: {}\n".format(it), end='')
X_inv = np.linalg.inv(np.diag(x))
W1 = X_inv * np.diag(s) # W1 = X^(-1)*S
T = np.concatenate((np.zeros((r_A, r_A)), A), axis=1)
U = np.concatenate((A.T, -W1), axis=1)
V = np.concatenate((T, U), axis=0)
# RHS of the system, including the minus
rb = b - np.dot(A, x)
rc = c - np.dot(A.T, y) - s
rxs = -x * s
r = np.hstack((rb, rc - np.dot(X_inv, rxs)))
o = np.linalg.solve(V, r)
# SEARCH DIRECTION affine:
y1 = o[:r_A]
x1 = o[r_A:c_A + r_A]
s1 = np.dot(X_inv, rxs) - np.dot(W1, x1)
if info == 0:
print(
"\nPREDICTOR STEP:\nAffine direction:\n({}, {}, {})\n".format(
x1, y1, s1))
#%%
""" Centering step: compute search direction """
# Find alfa1_affine and alfa2_affine : maximum steplength along affine-scaling direction
# Find the minimum( x_{i}/x1_{i} , 1) and the minimum( s_{i}/s1_{i} , 1)
h = min([(-x[i] / x1[i], i) for i in range(c_A) if x1[i] < 0],
default=[0])[0]
k = min([(-s[i] / s1[i], i) for i in range(c_A) if s1[i] < 0],
default=[0])[0]
alfa1 = min(h, 1)
alfa2 = min(k, 1)
# Set the centering parameter to Sigma = (mi_aff/mi)^{3}
mi = np.dot(x, s) / c_A # Duality measure
mi_af = np.dot(
x + alfa1 * x1,
s + alfa2 * s1) / c_A # Average value of the incremented vectors
Sigma = (mi_af / mi)**(3)
# SECOND SEARCH DIRECTION
Rxs = -x1 * s1 + Sigma * mi * np.ones(
(c_A)) # RHS of the New system, including minus
r = np.hstack((np.zeros(r_A), -np.dot(X_inv, Rxs)))
o = np.linalg.solve(V, r)
# SEARCH DIRECTION centering-corrector:
y2 = o[:r_A]
x2 = o[r_A:c_A + r_A]
s2 = np.dot(X_inv, Rxs) - np.dot(W1, x2)
if info == 0:
print("\nPREDICTOR STEP:\nCC direction:\n({}, {}, {})\n".format(
x2, y2, s2))
#%%
""" Corrector step: compute (x_k+1, lambda_k+1, s_k+1) """
# The steplength without eta_k
x2 += x1
s2 += s1
y2 += y1
H = min([(-x[i] / x2[i], i) for i in range(c_A) if x2[i] < 0],
default=[0])[0]
K = min([(-s[i] / s2[i], i) for i in range(c_A) if s2[i] < 0],
default=[0])[0]
Alfa1 = min(0.99 * H, 1)
Alfa2 = min(0.99 * K, 1)
# Compute the final update , using sol2 and Alfa_i
x += Alfa1 * x2
y += Alfa2 * y2
s += Alfa2 * s2
it += 1
if it == max_it:
return x, s, u, sig
raise TimeoutError("Iterations maxed out")
# Dual gap c^{T}*x - b^{T}*y = x*s
z = np.dot(c, x)
g = np.dot(x, s)
g1 = z - np.dot(y, b)
u.append([it, g, x.copy(), s.copy(), rb.copy(), rc.copy()])
sig.append([Sigma])
# Termination elements
m, n, q = term(it, b, c, rb, rc, z, g)
tm = max(m, n, q)
if info == 0:
print('Tollerance: {}.\n'.format("%10.3f" % tm))
print('CORRECTOR STEP:\nCurrent primal-dual point: \n x = ', x,
'\nlambda = ', y, '\n s = ', s)
print('Current g: {}\nCurrent g1: {}\n'.format(
"%.3f" % g, "%.3f" % g1))
print_boxed(
"Found optimal solution of the standard problem at\n x* = {}.\n\n".
format(x) + "Dual gap: {}\n".format("%2.2e" % g) +
"Optimal cost: {}\n".format("%2.8E" % z) +
"Number of iteration: {}".format(it))
return x, s, u, sig