fr.cnes.sirius.patrius.math.optim.joptimizer.solvers

Class UpperDiagonalHKKTSolver

java.lang.Object

fr.cnes.sirius.patrius.math.optim.joptimizer.solvers.AbstractKKTSolver

fr.cnes.sirius.patrius.math.optim.joptimizer.solvers.UpperDiagonalHKKTSolver

public class UpperDiagonalHKKTSolver
extends AbstractKKTSolver

Solves H.v + [A]T.w = -g,
A.v = -h for upper diagonal H. H is expected to be diagonal in its upper left corner of dimension diagonalLength. Only the subdiagonal elements are relevant.

Since:

4.6

Author:

alberto trivellato (alberto.trivellato@gmail.com)

See Also:

"S.Boyd and L.Vandenberghe, Convex Optimization, p. 542"

Field Summary

Fields inherited from class fr.cnes.sirius.patrius.math.optim.joptimizer.solvers.AbstractKKTSolver

checkKKTSolutionAcc, DEFAULT_SCALAR, defaultScalar, g, h, matA, matAT, matH, toleranceKKT

Constructor Summary

Constructors

Constructor and Description
UpperDiagonalHKKTSolver(int diagonalLen) Solver
UpperDiagonalHKKTSolver(int diagonalLen, boolean avoidScal) Solver

Method Summary

Modifier and Type	Method and Description
protected boolean	checkKKTSolutionAccuracy(RealVector v, RealVector w) Check the solution of the system KKT.x = b against the scaled residual beta < gamma, where gamma is a parameter chosen by the user and beta is the scaled residual, beta = ||KKT.x-b||_oo/( ||KKT||_oo .
int	getDiagonalLength() Get diagonal length
void	setDiagonalLength(int diagonalLength) Set diagonal length
RealVector[]	solve() Returns the two vectors v and w.

Methods inherited from class fr.cnes.sirius.patrius.math.optim.joptimizer.solvers.AbstractKKTSolver

setAMatrix, setCheckKKTSolutionAccuracy, setGVector, setHMatrix, setHVector, setToleranceKKT, solveAugmentedKKT

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

UpperDiagonalHKKTSolver

public UpperDiagonalHKKTSolver(int diagonalLen)

Solver

Parameters:

diagonalLen - diagonal length

UpperDiagonalHKKTSolver

public UpperDiagonalHKKTSolver(int diagonalLen,
                               boolean avoidScal)

Solver

Parameters:

diagonalLen - diagonal length

avoidScal - avoid scaling?

Method Detail

solve

public RealVector[] solve()
                   throws PatriusException

Returns the two vectors v and w.

Specified by:

solve in class AbstractKKTSolver

Returns:

v and w

Throws:

PatriusException - if an error occurs

checkKKTSolutionAccuracy

protected boolean checkKKTSolutionAccuracy(RealVector v,
                                           RealVector w)

Check the solution of the system KKT.x = b against the scaled residual beta < gamma, where gamma is a parameter chosen by the user and beta is the scaled residual, beta = ||KKT.x-b||_oo/( ||KKT||_oo . ||x||_oo + ||b||_oo ), with ||x||_oo = max(||x[i]||)

Overrides:

checkKKTSolutionAccuracy in class AbstractKKTSolver

Parameters:

v - vector V

w - vector W

Returns:

true/false

setDiagonalLength

public void setDiagonalLength(int diagonalLength)

Set diagonal length

Parameters:

diagonalLength - length

getDiagonalLength

public int getDiagonalLength()

Get diagonal length

Returns:

length