use crate::estimate::EstimationError;
use crate::faer_ndarray::{FaerArrayView, FaerLinalgError, FaerSvd, array1_to_col_matmut};
use crate::linalg::utils::{StableSolver, array_is_finite, boundary_hit_step_fraction};
use faer::linalg::solvers::{Lblt as FaerLblt, Solve as FaerSolve};
use faer::{Side, Unbind};
use gam_problem::LinearInequalityConstraints;
use ndarray::{Array1, Array2, s};
use serde::{Deserialize, Serialize};
use std::collections::HashSet;
pub const ACTIVE_SET_PRIMAL_FEASIBILITY_TOL: f64 = 1e-8;
const ACTIVE_SET_KKT_STATIONARITY_TOL: f64 = 2e-6;
const ACTIVE_SET_KKT_COMPLEMENTARITY_TOL: f64 = 1e-6;
const ACTIVE_SET_KKT_DUAL_FEASIBILITY_TOL: f64 = 1e-8;
pub(crate) const ACTIVE_SET_KKT_DEGENERATE_STATIONARITY_TOL: f64 = 1e-3;
const ACTIVE_SET_MODEL_DESCENT_REL_TOL: f64 = 1e-10;
#[derive(Clone, Debug, Serialize, Deserialize)]
pub struct ConstraintKktDiagnostics {
pub n_constraints: usize,
pub n_active: usize,
pub primal_feasibility: f64,
pub dual_feasibility: f64,
pub complementarity: f64,
pub stationarity: f64,
pub active_tolerance: f64,
#[serde(default)]
pub working_set_rank_deficient: bool,
#[serde(default)]
pub gradient_scale: f64,
}
fn gradient_inf_norm(gradient: &Array1<f64>) -> f64 {
gradient.iter().fold(0.0_f64, |acc, &v| acc.max(v.abs()))
}
fn solve_newton_direction_dense(
hessian: &Array2<f64>,
gradient: &Array1<f64>,
direction_out: &mut Array1<f64>,
) -> Result<(), EstimationError> {
if direction_out.len() != gradient.len() {
*direction_out = Array1::zeros(gradient.len());
}
let factor = StableSolver::new("active-set newton direction")
.factorize(hessian)
.map_err(EstimationError::LinearSystemSolveFailed)?;
direction_out.assign(gradient);
let mut rhsview = array1_to_col_matmut(direction_out);
factor.solve_in_place(rhsview.as_mut());
direction_out.mapv_inplace(|v| -v);
if array_is_finite(direction_out) {
return Ok(());
}
Err(EstimationError::LinearSystemSolveFailed(
FaerLinalgError::FactorizationFailed {
context: "active-set newton direction non-finite solve",
},
))
}
fn solve_dense_system_via_pseudoinverse(
matrix: &Array2<f64>,
rhs: &Array1<f64>,
out: &mut Array1<f64>,
) -> Result<(), EstimationError> {
if matrix.nrows() != matrix.ncols() || rhs.len() != matrix.nrows() {
crate::bail_invalid_estim!("dense pseudoinverse solve dimension mismatch");
}
let (u_opt, singular, vt_opt) = matrix.svd(true, true).map_err(|_| {
EstimationError::InvalidInput("dense pseudoinverse solve SVD failed".to_string())
})?;
let (Some(u), Some(vt)) = (u_opt, vt_opt) else {
crate::bail_invalid_estim!("dense pseudoinverse solve missing singular vectors");
};
let max_singular = singular.iter().fold(0.0_f64, |acc, &v| acc.max(v.abs()));
let tol = 100.0
* f64::EPSILON
* (matrix.nrows().max(matrix.ncols()).max(1) as f64)
* max_singular.max(1.0);
let mut coeff = u.t().dot(rhs);
for (idx, value) in coeff.iter_mut().enumerate() {
let sigma = singular[idx];
if sigma.abs() > tol {
*value /= sigma;
} else {
*value = 0.0;
}
}
let solution = vt.t().dot(&coeff);
if !array_is_finite(&solution) {
crate::bail_invalid_estim!("dense pseudoinverse solve produced non-finite values");
}
if out.len() != solution.len() {
*out = Array1::zeros(solution.len());
}
out.assign(&solution);
Ok(())
}
pub(crate) fn compute_constraint_kkt_diagnostics(
beta: &Array1<f64>,
gradient: &Array1<f64>,
constraints: &LinearInequalityConstraints,
) -> ConstraintKktDiagnostics {
let m = constraints.a.nrows();
let active_tolerance = ACTIVE_SET_PRIMAL_FEASIBILITY_TOL;
let p = constraints.a.ncols();
let mut a_scaled = constraints.a.clone();
let mut b_scaled = constraints.b.clone();
for i in 0..m {
let n_i = constraints.a.row(i).dot(&constraints.a.row(i)).sqrt();
if n_i > 0.0 {
let inv = 1.0 / n_i;
a_scaled.row_mut(i).mapv_inplace(|v| v * inv);
b_scaled[i] *= inv;
}
}
let mut slack = Array1::<f64>::zeros(m);
let mut primal_feasibility: f64 = 0.0;
for i in 0..m {
let s_i = a_scaled.row(i).dot(beta) - b_scaled[i];
slack[i] = s_i;
primal_feasibility = primal_feasibility.max((-s_i).max(0.0));
}
let active_idx: Vec<usize> = (0..m).filter(|&i| slack[i] <= active_tolerance).collect();
let mut lambda = Array1::<f64>::zeros(m);
let mut working_set_rank_deficient = false;
if !active_idx.is_empty() {
let n_active = active_idx.len();
let mut a_active = Array2::<f64>::zeros((n_active, p));
for (r, &idx) in active_idx.iter().enumerate() {
a_active.row_mut(r).assign(&a_scaled.row(idx));
}
if let Some((_, lambda_active)) =
project_stationarity_residual_on_constraint_cone(gradient, &a_active)
{
for (r, &idx) in active_idx.iter().enumerate() {
lambda[idx] = lambda_active[r];
}
}
working_set_rank_deficient = if n_active > p {
true
} else if n_active > 1 {
let groups: Vec<Vec<usize>> = (0..n_active).map(|i| vec![i]).collect();
let b_dummy = Array1::<f64>::zeros(n_active);
let (reduced_a, _, _, _) =
rank_reduce_rows_pivoted_qr_with_dependence(a_active, b_dummy, groups);
reduced_a.nrows() < n_active
} else {
false
};
}
let mut dual_feasibility: f64 = 0.0;
let mut complementarity: f64 = 0.0;
for i in 0..m {
dual_feasibility = dual_feasibility.max((-lambda[i]).max(0.0));
complementarity = complementarity.max((lambda[i] * slack[i]).abs());
}
let stationarity = {
let mut resid = gradient.to_owned();
resid -= &a_scaled.t().dot(&lambda);
resid.iter().fold(0.0_f64, |acc, &v| acc.max(v.abs()))
};
ConstraintKktDiagnostics {
n_constraints: m,
n_active: active_idx.len(),
primal_feasibility,
dual_feasibility,
complementarity,
stationarity,
active_tolerance,
working_set_rank_deficient,
gradient_scale: gradient_inf_norm(gradient),
}
}
pub(crate) fn project_stationarity_residual_on_constraint_cone(
residual: &Array1<f64>,
active_a: &Array2<f64>,
) -> Option<(Array1<f64>, Array1<f64>)> {
let p = residual.len();
if active_a.ncols() != p {
return None;
}
if active_a.nrows() == 0 {
return Some((residual.clone(), Array1::zeros(0)));
}
let m = active_a.nrows();
let residual_scale = residual
.iter()
.fold(0.0_f64, |acc, &v| acc.max(v.abs()))
.max(1.0);
let row_scale = active_a
.iter()
.fold(0.0_f64, |acc, &v| acc.max(v.abs()))
.max(1.0);
let tol = 100.0 * f64::EPSILON * (p.max(m).max(1) as f64) * residual_scale * row_scale;
let mut lambda = Array1::<f64>::zeros(m);
let mut passive = vec![false; m];
let mut projected = residual.clone();
let max_iter = (3 * m * m).max(10);
for _ in 0..max_iter {
let dual = active_a.dot(&projected);
let entering = (0..m)
.filter(|&idx| !passive[idx] && dual[idx] > tol)
.max_by(|&left, &right| {
dual[left]
.partial_cmp(&dual[right])
.unwrap_or(std::cmp::Ordering::Equal)
});
let Some(entering) = entering else {
lambda.mapv_inplace(|v| if v > tol { v } else { 0.0 });
projected = residual - &active_a.t().dot(&lambda);
if !array_is_finite(&projected) || !array_is_finite(&lambda) {
return None;
}
return Some((projected, lambda));
};
passive[entering] = true;
loop {
let passive_rows: Vec<usize> = (0..m).filter(|&idx| passive[idx]).collect();
if passive_rows.is_empty() {
lambda.fill(0.0);
projected.assign(residual);
break;
}
let mut a_passive = Array2::<f64>::zeros((passive_rows.len(), p));
for (pos, &row) in passive_rows.iter().enumerate() {
a_passive.row_mut(pos).assign(&active_a.row(row));
}
let gram = a_passive.dot(&a_passive.t());
let rhs = a_passive.dot(residual);
let mut lambda_passive = Array1::<f64>::zeros(passive_rows.len());
solve_dense_system_via_pseudoinverse(&gram, &rhs, &mut lambda_passive).ok()?;
if !array_is_finite(&lambda_passive) {
return None;
}
let all_positive = lambda_passive.iter().all(|&v| v > tol);
if all_positive {
lambda.fill(0.0);
for (pos, &row) in passive_rows.iter().enumerate() {
lambda[row] = lambda_passive[pos];
}
projected = residual - &active_a.t().dot(&lambda);
break;
}
let mut alpha = f64::INFINITY;
for (pos, &row) in passive_rows.iter().enumerate() {
let candidate = lambda_passive[pos];
if candidate <= tol {
let current = lambda[row];
let denom = current - candidate;
if denom > 0.0 {
alpha = alpha.min(current / denom);
}
}
}
if !alpha.is_finite() {
alpha = 0.0;
}
alpha = alpha.clamp(0.0, 1.0);
for (pos, &row) in passive_rows.iter().enumerate() {
lambda[row] += alpha * (lambda_passive[pos] - lambda[row]);
if lambda[row] <= tol {
lambda[row] = 0.0;
passive[row] = false;
}
}
if passive.iter().all(|&is_passive| !is_passive) {
projected.assign(residual);
break;
}
}
}
None
}
pub(crate) fn feasible_point_for_linear_constraints(
constraints: &LinearInequalityConstraints,
p: usize,
) -> Option<Array1<f64>> {
if constraints.a.ncols() != p
|| constraints.a.nrows() == 0
|| constraints.b.len() != constraints.a.nrows()
{
return None;
}
if constraints.b.iter().all(|v| v.abs() <= 1e-14) {
return Some(Array1::zeros(p));
}
let gram = constraints.a.dot(&constraints.a.t());
let (u_opt, singular, vt_opt) = gram.svd(true, true).ok()?;
let (Some(u), Some(vt)) = (u_opt, vt_opt) else {
return None;
};
let max_singular = singular.iter().fold(0.0_f64, |acc, &v| acc.max(v.abs()));
let tol = 100.0 * f64::EPSILON * constraints.a.nrows().max(1) as f64 * max_singular.max(1.0);
let mut coeff = u.t().dot(&constraints.b);
for (idx, value) in coeff.iter_mut().enumerate() {
let sigma = singular[idx];
if sigma.abs() > tol {
*value /= sigma;
} else {
*value = 0.0;
}
}
let dual = vt.t().dot(&coeff);
let beta = constraints.a.t().dot(&dual);
if beta.len() != p || beta.iter().any(|v| !v.is_finite()) {
return None;
}
let slack = constraints.a.dot(&beta) - &constraints.b;
if slack.iter().all(|v| *v >= -1e-8) {
Some(beta)
} else {
None
}
}
const ACTIVE_SET_INTERIOR_SEED_MARGIN: f64 = 1e-6;
#[inline]
pub(crate) fn interior_seed_margin() -> f64 {
ACTIVE_SET_INTERIOR_SEED_MARGIN
}
pub(crate) fn project_point_strictly_into_feasible_cone(
point: &Array1<f64>,
constraints: &LinearInequalityConstraints,
) -> Option<Array1<f64>> {
let p = point.len();
let m = constraints.a.nrows();
if constraints.a.ncols() != p || m == 0 || constraints.b.len() != m {
return None;
}
let norms: Vec<f64> = (0..m)
.map(|i| constraints.a.row(i).dot(&constraints.a.row(i)).sqrt())
.collect();
const ANTIPARALLEL_COS_TOL: f64 = -1.0 + 1e-9;
const EQUALITY_WIDTH_TOL: f64 = 1e-9;
let mut is_equality_member = vec![false; m];
let mut equality_rows: Vec<usize> = Vec::new();
let mut margin = vec![ACTIVE_SET_INTERIOR_SEED_MARGIN; m];
for i in 0..m {
if norms[i] == 0.0 {
margin[i] = 0.0;
continue;
}
for j in (i + 1)..m {
if norms[j] == 0.0 {
continue;
}
let cos = constraints.a.row(i).dot(&constraints.a.row(j)) / (norms[i] * norms[j]);
if cos > ANTIPARALLEL_COS_TOL {
continue;
}
let width = -constraints.b[j] / norms[j] - constraints.b[i] / norms[i];
if width.abs() <= EQUALITY_WIDTH_TOL {
if !is_equality_member[i] && !is_equality_member[j] {
equality_rows.push(i);
}
is_equality_member[i] = true;
is_equality_member[j] = true;
} else {
let cap = (width / 3.0).max(0.0);
margin[i] = margin[i].min(cap);
margin[j] = margin[j].min(cap);
}
}
}
let ineq_rows: Vec<usize> = (0..m).filter(|&i| !is_equality_member[i]).collect();
let mut a_ineq = Array2::<f64>::zeros((ineq_rows.len(), p));
let mut b_ineq = Array1::<f64>::zeros(ineq_rows.len());
for (r, &i) in ineq_rows.iter().enumerate() {
a_ineq.row_mut(r).assign(&constraints.a.row(i));
b_ineq[r] = constraints.b[i] + margin[i] * norms[i];
}
let beta = if equality_rows.is_empty() {
let interior = LinearInequalityConstraints::new(a_ineq, b_ineq)
.expect("shifted interior constraint shape invariant");
let identity = Array2::<f64>::eye(p);
solve_quadratic_with_linear_constraints(&identity, point, point, &interior, None)
.ok()?
.0
} else {
let k = equality_rows.len();
let mut e_mat = Array2::<f64>::zeros((k, p));
let mut e_rhs = Array1::<f64>::zeros(k);
for (r, &i) in equality_rows.iter().enumerate() {
e_mat.row_mut(r).assign(&constraints.a.row(i));
e_rhs[r] = constraints.b[i];
}
let (u_opt, sing, vt_opt) = e_mat.svd(true, true).ok()?;
let (u_mat, vt) = (u_opt?, vt_opt?);
let smax = sing.iter().fold(0.0_f64, |acc, &v| acc.max(v));
let rank_tol = smax.max(1.0) * (k.max(p) as f64) * f64::EPSILON * 100.0;
let rank = sing.iter().filter(|&&s| s > rank_tol).count();
if rank == 0 || rank >= p {
return None;
}
let mut beta_p = Array1::<f64>::zeros(p);
for idx in 0..rank {
let coeff = u_mat.column(idx).dot(&e_rhs) / sing[idx];
beta_p.scaled_add(coeff, &vt.row(idx));
}
let mut basis: Vec<Array1<f64>> = (0..rank).map(|i| vt.row(i).to_owned()).collect();
let mut z = Array2::<f64>::zeros((p, p - rank));
let mut collected = 0usize;
for axis in 0..p {
if collected == p - rank {
break;
}
let mut v = Array1::<f64>::zeros(p);
v[axis] = 1.0;
for q in basis.iter() {
let c = q.dot(&v);
v.scaled_add(-c, q);
}
let nrm = v.dot(&v).sqrt();
if nrm > 1e-8 {
v /= nrm;
z.column_mut(collected).assign(&v);
basis.push(v);
collected += 1;
}
}
if collected != p - rank {
return None;
}
let a_red = a_ineq.dot(&z);
let b_red = &b_ineq - &a_ineq.dot(&beta_p);
let u0 = z.t().dot(&(point - &beta_p));
let reduced = LinearInequalityConstraints::new(a_red, b_red)
.expect("reduced constraint shape invariant");
let identity = Array2::<f64>::eye(z.ncols());
let (u_sol, _active) =
solve_quadratic_with_linear_constraints(&identity, &u0, &u0, &reduced, None).ok()?;
&beta_p + &z.dot(&u_sol)
};
if beta.len() != p || beta.iter().any(|v| !v.is_finite()) {
return None;
}
const SEED_FEASIBILITY_TOL: f64 = 1e-9;
for i in 0..m {
let s = scaled_constraint_slack(&beta, constraints, i);
let lower = if is_equality_member[i] {
-SEED_FEASIBILITY_TOL
} else {
0.5 * margin[i] - SEED_FEASIBILITY_TOL
};
if s < lower {
return None;
}
}
Some(beta)
}
fn max_linear_constraint_violation(
beta: &Array1<f64>,
constraints: &LinearInequalityConstraints,
) -> (f64, usize) {
let mut worst = 0.0_f64;
let mut worst_row = 0usize;
for i in 0..constraints.a.nrows() {
let norm = constraints.a.row(i).dot(&constraints.a.row(i)).sqrt();
let inv = if norm > 0.0 { 1.0 / norm } else { 0.0 };
let slack = (constraints.a.row(i).dot(beta) - constraints.b[i]) * inv;
let viol = (-slack).max(0.0);
if viol > worst {
worst = viol;
worst_row = i;
}
}
(worst, worst_row)
}
#[inline]
fn scaled_constraint_slack(
beta: &Array1<f64>,
constraints: &LinearInequalityConstraints,
i: usize,
) -> f64 {
let norm = constraints.a.row(i).dot(&constraints.a.row(i)).sqrt();
let inv = if norm > 0.0 { 1.0 / norm } else { 0.0 };
(constraints.a.row(i).dot(beta) - constraints.b[i]) * inv
}
pub(crate) fn solve_kkt_direction(
hessian: &Array2<f64>,
gradient: &Array1<f64>,
active_a: &Array2<f64>,
active_residual: Option<&Array1<f64>>,
) -> Result<(Array1<f64>, Array1<f64>), EstimationError> {
let p = hessian.nrows();
let m = active_a.nrows();
if hessian.ncols() != p || gradient.len() != p || active_a.ncols() != p {
crate::bail_invalid_estim!("KKT solve dimension mismatch");
}
if let Some(residual) = active_residual
&& residual.len() != m
{
crate::bail_invalid_estim!(
"KKT active residual length mismatch: got {}, expected {}",
residual.len(),
m
);
}
if m == 0 {
let mut d = Array1::<f64>::zeros(p);
solve_newton_direction_dense(hessian, gradient, &mut d)?;
return Ok((d, Array1::zeros(0)));
}
let mut kkt = Array2::<f64>::zeros((p + m, p + m));
kkt.slice_mut(s![0..p, 0..p]).assign(hessian);
kkt.slice_mut(s![0..p, p..(p + m)]).assign(&active_a.t());
kkt.slice_mut(s![p..(p + m), 0..p]).assign(active_a);
let mut rhs = Array1::<f64>::zeros(p + m);
for i in 0..p {
rhs[i] = -gradient[i];
}
if let Some(residual) = active_residual {
for i in 0..m {
rhs[p + i] = residual[i];
}
}
let rhs_target = rhs.clone();
let kkt_view = FaerArrayView::new(&kkt);
let factor = FaerLblt::new(kkt_view.as_ref(), Side::Lower);
let mut rhs_col = array1_to_col_matmut(&mut rhs);
factor.solve_in_place(rhs_col.as_mut());
if !rhs.iter().all(|v| v.is_finite()) {
solve_dense_system_via_pseudoinverse(&kkt, &rhs_target, &mut rhs)?;
}
let d = rhs.slice(s![0..p]).to_owned();
let lambda = rhs.slice(s![p..(p + m)]).to_owned();
Ok((d, lambda))
}
#[derive(Clone, Debug)]
pub(crate) struct CompressedActiveWorkingSet {
pub(crate) constraints: LinearInequalityConstraints,
pub(crate) groups: Vec<Vec<usize>>,
multiplier_dependence: Vec<Vec<ActiveRowDependence>>,
pub(crate) original_active_count: usize,
}
#[derive(Clone, Copy, Debug)]
pub(crate) struct ActiveRowDependence {
active_pos: usize,
coeff: f64,
}
impl CompressedActiveWorkingSet {
fn is_degenerate_face(&self) -> bool {
self.constraints.a.nrows() < self.original_active_count
|| self.groups.iter().any(|group| group.len() > 1)
}
fn reconstructed_active_multipliers(&self, lambda_system: &Array1<f64>) -> Vec<(usize, f64)> {
let mut multipliers = Vec::new();
for (group_pos, &lambda_system_value) in lambda_system.iter().enumerate() {
let lambda_true = -lambda_system_value;
if let Some(dependencies) = self.multiplier_dependence.get(group_pos) {
for dependency in dependencies {
if dependency.coeff.abs() > f64::EPSILON {
multipliers.push((dependency.active_pos, lambda_true / dependency.coeff));
}
}
}
}
multipliers
}
}
pub(crate) fn compress_active_working_set(
x: &Array1<f64>,
constraints: &LinearInequalityConstraints,
active: &[usize],
) -> Result<CompressedActiveWorkingSet, EstimationError> {
let p = constraints.a.ncols();
if x.len() != p {
crate::bail_invalid_estim!("active working-set compression dimension mismatch");
}
let mut a_out = Array2::<f64>::zeros((active.len(), p));
let mut b_out = Array1::<f64>::zeros(active.len());
let mut groups_out: Vec<Vec<usize>> = Vec::with_capacity(active.len());
for (pos, &idx) in active.iter().enumerate() {
if idx >= constraints.a.nrows() {
crate::bail_invalid_estim!(
"active working-set index {} out of bounds for {} constraints",
idx,
constraints.a.nrows()
);
}
a_out.row_mut(pos).assign(&constraints.a.row(idx));
b_out[pos] = constraints.b[idx];
groups_out.push(vec![pos]);
}
let (a_out, b_out, groups_out, multiplier_dependence) =
rank_reduce_rows_pivoted_qr_with_dependence(a_out, b_out, groups_out);
Ok(CompressedActiveWorkingSet {
constraints: LinearInequalityConstraints::new(a_out, b_out)
.expect("compressed active constraint shape invariant"),
groups: groups_out,
multiplier_dependence,
original_active_count: active.len(),
})
}
fn identity_multiplier_dependence(groups: &[Vec<usize>]) -> Vec<Vec<ActiveRowDependence>> {
groups
.iter()
.map(|group| {
group
.iter()
.copied()
.map(|active_pos| ActiveRowDependence {
active_pos,
coeff: 1.0,
})
.collect()
})
.collect()
}
pub(crate) fn rank_reduce_rows_pivoted_qr_with_dependence(
a: Array2<f64>,
b: Array1<f64>,
groups: Vec<Vec<usize>>,
) -> (
Array2<f64>,
Array1<f64>,
Vec<Vec<usize>>,
Vec<Vec<ActiveRowDependence>>,
) {
let k = a.nrows();
let p = a.ncols();
if k <= 1 {
let multiplier_dependence = identity_multiplier_dependence(&groups);
return (a, b, groups, multiplier_dependence);
}
let mut at_faer = faer::Mat::<f64>::zeros(p, k);
for i in 0..k {
for j in 0..p {
at_faer[(j, i)] = a[[i, j]];
}
}
let qr = at_faer.as_ref().col_piv_qr();
let r_mat = qr.thin_R();
let diag_len = r_mat.nrows().min(r_mat.ncols());
let leading_diag = if diag_len > 0 {
r_mat[(0, 0)].abs()
} else {
0.0
};
const RANK_ALPHA: f64 = 100.0;
let tol = RANK_ALPHA * f64::EPSILON * (k.max(p).max(1) as f64) * leading_diag.max(1.0);
let rank = (0..diag_len).filter(|&i| r_mat[(i, i)].abs() > tol).count();
if rank >= k {
let multiplier_dependence = identity_multiplier_dependence(&groups);
return (a, b, groups, multiplier_dependence);
}
if rank == 0 {
log::debug!(
"rank-reduced active constraints from {} to 0 rows (all active rows numerically zero)",
k
);
return (
Array2::<f64>::zeros((0, p)),
Array1::<f64>::zeros(0),
Vec::new(),
Vec::new(),
);
}
let (perm_fwd, _) = qr.P().arrays();
let kept_orig: Vec<usize> = (0..rank).map(|j| perm_fwd[j].unbound()).collect();
let dropped_orig: Vec<usize> = (rank..k).map(|j| perm_fwd[j].unbound()).collect();
let mut orig_to_out = std::collections::HashMap::with_capacity(rank);
let mut a_out = Array2::<f64>::zeros((rank, p));
let mut b_out = Array1::<f64>::zeros(rank);
let mut groups_out: Vec<Vec<usize>> = Vec::with_capacity(rank);
let mut multiplier_dependence: Vec<Vec<ActiveRowDependence>> = Vec::with_capacity(rank);
for (out_idx, &orig_idx) in kept_orig.iter().enumerate() {
a_out.row_mut(out_idx).assign(&a.row(orig_idx));
b_out[out_idx] = b[orig_idx];
groups_out.push(groups[orig_idx].clone());
multiplier_dependence.push(
groups[orig_idx]
.iter()
.copied()
.map(|active_pos| ActiveRowDependence {
active_pos,
coeff: 1.0,
})
.collect(),
);
orig_to_out.insert(orig_idx, out_idx);
}
for &dropped_idx in &dropped_orig {
let dropped_row = a.row(dropped_idx);
let dropped_norm = dropped_row.dot(&dropped_row).sqrt();
let mut best_positive_align = -1.0_f64;
let mut best_positive_target: Option<(usize, f64)> = None;
let mut best_abs_align = -1.0_f64;
let mut best_signed_target = (kept_orig[0], 1.0_f64);
for &kept_idx in &kept_orig {
let kept_row = a.row(kept_idx);
let kept_norm = kept_row.dot(&kept_row).sqrt();
let dot = kept_row.dot(&dropped_row);
let align = if kept_norm > 0.0 && dropped_norm > 0.0 {
dot / (kept_norm * dropped_norm)
} else {
dot
};
let coeff = if kept_norm > 0.0 {
dot / (kept_norm * kept_norm)
} else {
0.0
};
if align.abs() > best_abs_align {
best_abs_align = align.abs();
best_signed_target = (kept_idx, coeff);
}
if coeff > 0.0 && align > best_positive_align {
best_positive_align = align;
best_positive_target = Some((kept_idx, coeff));
}
}
let (best_target, coeff) = best_positive_target.unwrap_or(best_signed_target);
let &out_idx = orig_to_out
.get(&best_target)
.expect("merge target must be a kept row");
for &active_pos in &groups[dropped_idx] {
multiplier_dependence[out_idx].push(ActiveRowDependence { active_pos, coeff });
}
if coeff > 0.0 {
groups_out[out_idx].extend_from_slice(&groups[dropped_idx]);
}
}
for group in &mut groups_out {
group.sort_unstable();
group.dedup();
}
for dependencies in &mut multiplier_dependence {
dependencies.sort_unstable_by_key(|dependency| dependency.active_pos);
dependencies.dedup_by_key(|dependency| dependency.active_pos);
}
let mut row_order: Vec<usize> = (0..groups_out.len()).collect();
row_order.sort_by_key(|&idx| groups_out[idx].first().copied().unwrap_or(usize::MAX));
if row_order.iter().enumerate().any(|(idx, &orig)| idx != orig) {
let mut a_sorted = Array2::<f64>::zeros((rank, p));
let mut b_sorted = Array1::<f64>::zeros(rank);
let mut groups_sorted = Vec::with_capacity(rank);
let mut dependence_sorted = Vec::with_capacity(rank);
for (out_idx, orig_idx) in row_order.into_iter().enumerate() {
a_sorted.row_mut(out_idx).assign(&a_out.row(orig_idx));
b_sorted[out_idx] = b_out[orig_idx];
groups_sorted.push(groups_out[orig_idx].clone());
dependence_sorted.push(multiplier_dependence[orig_idx].clone());
}
a_out = a_sorted;
b_out = b_sorted;
groups_out = groups_sorted;
multiplier_dependence = dependence_sorted;
}
if rank < k {
log::debug!(
"rank-reduced active constraints from {} to {} rows (rank deficiency {})",
k,
rank,
k - rank
);
}
(a_out, b_out, groups_out, multiplier_dependence)
}
pub(crate) fn working_set_kkt_diagnostics_from_multipliers(
x: &Array1<f64>,
gradient: &Array1<f64>,
working_constraints: &LinearInequalityConstraints,
lambda_active_true: &Array1<f64>,
n_total_constraints: usize,
) -> Result<ConstraintKktDiagnostics, EstimationError> {
let p = working_constraints.a.ncols();
if x.len() != p || gradient.len() != p {
crate::bail_invalid_estim!("working-set KKT diagnostic dimension mismatch");
}
if lambda_active_true.len() != working_constraints.a.nrows() {
crate::bail_invalid_estim!(
"working-set KKT multiplier length mismatch: got {}, expected {}",
lambda_active_true.len(),
working_constraints.a.nrows()
);
}
let m = working_constraints.a.nrows();
let mut slack = Array1::<f64>::zeros(m);
let mut primal_feasibility: f64 = 0.0;
for i in 0..m {
let s_i = scaled_constraint_slack(x, working_constraints, i);
slack[i] = s_i;
primal_feasibility = primal_feasibility.max((-s_i).max(0.0));
}
let lambda = lambda_active_true.to_owned();
let mut dual_feasibility: f64 = 0.0;
let mut complementarity: f64 = 0.0;
for i in 0..m {
dual_feasibility = dual_feasibility.max((-lambda[i]).max(0.0));
let norm_i = working_constraints
.a
.row(i)
.dot(&working_constraints.a.row(i))
.sqrt();
complementarity = complementarity.max((norm_i * lambda[i] * slack[i]).abs());
}
let stationarity = {
let mut resid = gradient.to_owned();
resid -= &working_constraints.a.t().dot(&lambda);
resid.iter().fold(0.0_f64, |acc, &v| acc.max(v.abs()))
};
Ok(ConstraintKktDiagnostics {
n_constraints: n_total_constraints,
n_active: m,
primal_feasibility,
dual_feasibility,
complementarity,
stationarity,
active_tolerance: ACTIVE_SET_PRIMAL_FEASIBILITY_TOL,
working_set_rank_deficient: false,
gradient_scale: gradient_inf_norm(gradient),
})
}
fn canonicalize_active_constraint_ids(
x: &Array1<f64>,
constraints: &LinearInequalityConstraints,
active: &[usize],
) -> Result<Vec<usize>, EstimationError> {
if active.is_empty() {
return Ok(Vec::new());
}
let compressed_working = compress_active_working_set(x, constraints, active)?;
let mut canonical = Vec::with_capacity(compressed_working.groups.len());
for group in &compressed_working.groups {
if let Some(&active_pos) = group.first() {
canonical.push(active[active_pos]);
}
}
Ok(canonical)
}
fn fallback_projected_gradient_direction(
x: &Array1<f64>,
d_total: &Array1<f64>,
gradient: &Array1<f64>,
working_constraints: &LinearInequalityConstraints,
constraints: &LinearInequalityConstraints,
) -> Result<Option<(Array1<f64>, Vec<usize>)>, EstimationError> {
let p = gradient.len();
if x.len() != p || d_total.len() != p || constraints.a.ncols() != p {
crate::bail_invalid_estim!("projected-gradient fallback dimension mismatch");
}
let tangent_direction = if working_constraints.a.nrows() == 0 {
-gradient
} else {
let identity = Array2::<f64>::eye(p);
let residual = &working_constraints.b - &working_constraints.a.dot(x);
let (direction, _) =
solve_kkt_direction(&identity, gradient, &working_constraints.a, Some(&residual))?;
direction
};
if !array_is_finite(&tangent_direction) {
return Ok(None);
}
let step_inf = tangent_direction
.iter()
.fold(0.0_f64, |acc, &value| acc.max(value.abs()));
if step_inf <= 1e-12 {
let (worst, _) = max_linear_constraint_violation(x, constraints);
if worst > ACTIVE_SET_PRIMAL_FEASIBILITY_TOL {
let projected = project_point_strictly_into_feasible_cone(x, constraints)
.or_else(|| {
let identity = Array2::<f64>::eye(p);
solve_quadratic_with_linear_constraints(&identity, x, x, constraints, None)
.ok()
.map(|(beta, _active)| beta)
})
.filter(|p_candidate| {
max_linear_constraint_violation(p_candidate, constraints).0
<= ACTIVE_SET_PRIMAL_FEASIBILITY_TOL
});
let Some(projected) = projected else {
return Ok(None);
};
let repair = &projected - x;
let active = canonicalize_active_constraint_ids(&projected, constraints, &[])?;
return Ok(Some((d_total + &repair, active)));
}
let active = canonicalize_active_constraint_ids(x, constraints, &[])?;
return Ok(Some((d_total.clone(), active)));
}
let directional_derivative = gradient.dot(&tangent_direction);
if !directional_derivative.is_finite() || directional_derivative >= 0.0 {
return Ok(None);
}
let mut alpha = 1.0_f64;
for i in 0..constraints.a.nrows() {
let norm = constraints.a.row(i).dot(&constraints.a.row(i)).sqrt();
let inv = if norm > 0.0 { 1.0 / norm } else { 0.0 };
let slack = (constraints.a.row(i).dot(x) - constraints.b[i]) * inv;
let ai_d = constraints.a.row(i).dot(&tangent_direction) * inv;
if let Some(candidate) = boundary_hit_step_fraction(slack, ai_d, alpha) {
alpha = candidate;
}
}
if !alpha.is_finite() || alpha <= 0.0 {
return Ok(None);
}
let fallback_step = tangent_direction * alpha;
let new_x = x + &fallback_step;
let (worst, _) = max_linear_constraint_violation(&new_x, constraints);
if worst > ACTIVE_SET_PRIMAL_FEASIBILITY_TOL {
return Ok(None);
}
let active = (0..constraints.a.nrows())
.filter(|&i| scaled_constraint_slack(&new_x, constraints, i) <= 1e-10)
.collect::<Vec<_>>();
let active = canonicalize_active_constraint_ids(&new_x, constraints, &active)?;
Ok(Some((d_total + &fallback_step, active)))
}
fn log_active_set_transition(
event: &str,
iteration: usize,
active_len: usize,
constraint: Option<usize>,
) {
log::debug!(
"[active-set/QP] iter={} event={} active={} constraint={}",
iteration,
event,
active_len,
constraint
.map(|idx| idx.to_string())
.unwrap_or_else(|| "NA".to_string()),
);
}
fn record_active_working_set(
visited: &mut HashSet<Vec<usize>>,
active: &[usize],
iteration: usize,
) -> bool {
let mut key = active.to_vec();
key.sort_unstable();
if visited.insert(key.clone()) {
return true;
}
log::debug!(
"[active-set/QP] iter={iteration} repeated working set ({} rows); \
deferring to the post-loop KKT exit gate",
key.len()
);
false
}
fn solve_newton_direction_with_linear_constraints_impl(
hessian: &Array2<f64>,
gradient: &Array1<f64>,
beta: &Array1<f64>,
constraints: &LinearInequalityConstraints,
direction_out: &mut Array1<f64>,
active_hint: Option<&mut Vec<usize>>,
max_iterations: usize,
) -> Result<(), EstimationError> {
let p = gradient.len();
if direction_out.len() != p {
*direction_out = Array1::zeros(p);
}
let m = constraints.a.nrows();
if constraints.a.ncols() != p || constraints.b.len() != m || beta.len() != p {
crate::bail_invalid_estim!(
"linear constraint shape mismatch: A={}x{}, b={}, p={}",
constraints.a.nrows(),
constraints.a.ncols(),
constraints.b.len(),
p
);
}
let tol_active = 1e-10;
let tol_step = 1e-12;
let tol_dual = 1e-10;
let mut x = beta.to_owned();
let mut d_total = Array1::<f64>::zeros(p);
let mut g_cur = gradient.to_owned();
let has_active_hint = active_hint
.as_ref()
.map(|hint| !hint.is_empty())
.unwrap_or(false);
if !has_active_hint && solve_newton_direction_dense(hessian, gradient, direction_out).is_ok() {
let candidate = beta + &*direction_out;
let mut feasible = true;
for i in 0..m {
let slack = scaled_constraint_slack(&candidate, constraints, i);
if slack < -tol_active {
feasible = false;
break;
}
}
if feasible {
return Ok(());
}
}
let mut active: Vec<usize> = Vec::new();
let mut is_active = vec![false; m];
if let Some(hint) = active_hint.as_ref() {
for &idx in hint.iter() {
if idx < m && !is_active[idx] {
active.push(idx);
is_active[idx] = true;
log_active_set_transition("warm-add", 0, active.len(), Some(idx));
}
}
}
for i in 0..m {
let slack = scaled_constraint_slack(&x, constraints, i);
if slack <= tol_active && !is_active[i] {
active.push(i);
is_active[i] = true;
log_active_set_transition("initial-boundary-add", 0, active.len(), Some(i));
}
}
let mut visited_working_sets: HashSet<Vec<usize>> = HashSet::new();
record_active_working_set(&mut visited_working_sets, &active, 0);
for iteration in 0..max_iterations {
let compressed_working = compress_active_working_set(&x, constraints, &active)?;
let mut residualw = Array1::<f64>::zeros(compressed_working.constraints.a.nrows());
for r in 0..compressed_working.constraints.a.nrows() {
residualw[r] = compressed_working.constraints.b[r]
- compressed_working.constraints.a.row(r).dot(&x);
}
let (d, lambdaw) = solve_kkt_direction(
hessian,
&g_cur,
&compressed_working.constraints.a,
Some(&residualw),
)?;
let step_norm = d.iter().map(|v| v * v).sum::<f64>().sqrt();
if step_norm <= tol_step {
let (worst, worst_row) = max_linear_constraint_violation(&x, constraints);
if worst > ACTIVE_SET_PRIMAL_FEASIBILITY_TOL && !is_active[worst_row] {
active.push(worst_row);
is_active[worst_row] = true;
log_active_set_transition(
"stationary-infeasible-add",
iteration,
active.len(),
Some(worst_row),
);
if !record_active_working_set(&mut visited_working_sets, &active, iteration) {
break;
}
continue;
}
if worst > ACTIVE_SET_PRIMAL_FEASIBILITY_TOL {
break;
}
if compressed_working.groups.is_empty() {
direction_out.assign(&d_total);
return Ok(());
}
let remove_pos = compressed_working
.reconstructed_active_multipliers(&lambdaw)
.into_iter()
.filter(|&(_, lambda_true)| lambda_true < -tol_dual)
.min_by_key(|(active_pos, _)| (active[*active_pos], *active_pos))
.map(|(active_pos, _)| active_pos);
if let Some(active_pos) = remove_pos {
let idx = active.remove(active_pos);
is_active[idx] = false;
log_active_set_transition(
"remove-negative-dual",
iteration,
active.len(),
Some(idx),
);
if !record_active_working_set(&mut visited_working_sets, &active, iteration) {
break;
}
continue;
}
if let Some(hint) = active_hint {
hint.clear();
hint.extend(canonicalize_active_constraint_ids(
&x,
constraints,
&active,
)?);
}
direction_out.assign(&d_total);
return Ok(());
}
let mut alpha = 1.0_f64;
for i in 0..m {
if is_active[i] {
continue;
}
let norm = constraints.a.row(i).dot(&constraints.a.row(i)).sqrt();
let inv = if norm > 0.0 { 1.0 / norm } else { 0.0 };
let slack = (constraints.a.row(i).dot(&x) - constraints.b[i]) * inv;
let ai_d = constraints.a.row(i).dot(&d) * inv;
if let Some(cand) = boundary_hit_step_fraction(slack, ai_d, alpha) {
alpha = cand;
}
}
ndarray::Zip::from(&mut x)
.and(&mut d_total)
.and(&d)
.for_each(|x_i, dt_i, &d_i| {
let alpha_d = alpha * d_i;
*x_i += alpha_d;
*dt_i += alpha_d;
});
g_cur = gradient + &hessian.dot(&d_total);
let mut added_new_active = false;
let mut working_set_repeated = false;
for i in 0..m {
if is_active[i] {
continue;
}
let slack = scaled_constraint_slack(&x, constraints, i);
if slack <= tol_active {
active.push(i);
is_active[i] = true;
added_new_active = true;
log_active_set_transition("blocking-add", iteration, active.len(), Some(i));
working_set_repeated =
!record_active_working_set(&mut visited_working_sets, &active, iteration);
break;
}
}
if working_set_repeated {
break;
}
if active.is_empty() && !added_new_active {
if let Some(hint) = active_hint {
hint.clear();
}
direction_out.assign(&d_total);
return Ok(());
}
}
let compressed_working = compress_active_working_set(&x, constraints, &active)?;
let mut residualw = Array1::<f64>::zeros(compressed_working.constraints.a.nrows());
for r in 0..compressed_working.constraints.a.nrows() {
residualw[r] =
compressed_working.constraints.b[r] - compressed_working.constraints.a.row(r).dot(&x);
}
let (_, lambdaw) = solve_kkt_direction(
hessian,
&g_cur,
&compressed_working.constraints.a,
Some(&residualw),
)?;
let lambda_true = lambdaw.mapv(|lam_sys| -lam_sys);
let (worst, row) = max_linear_constraint_violation(&x, constraints);
let working_kkt = working_set_kkt_diagnostics_from_multipliers(
&x,
&g_cur,
&compressed_working.constraints,
&lambda_true,
m,
)?;
let kkt = compute_constraint_kkt_diagnostics(&x, &g_cur, constraints);
let grad_inf = gradient_inf_norm(&g_cur);
let stationarity_rel = working_kkt.stationarity / grad_inf.max(1.0);
let step_inf = d_total.iter().fold(0.0_f64, |acc, &v| acc.max(v.abs()));
let hd_total = hessian.dot(&d_total);
let predicted_delta = gradient.dot(&d_total)
+ 0.5
* d_total
.iter()
.zip(hd_total.iter())
.map(|(a, b)| a * b)
.sum::<f64>();
let kkt_strong_ok = (working_kkt.stationarity <= ACTIVE_SET_KKT_STATIONARITY_TOL
|| stationarity_rel <= ACTIVE_SET_KKT_STATIONARITY_TOL)
&& working_kkt.complementarity <= ACTIVE_SET_KKT_COMPLEMENTARITY_TOL;
let model_descent_ok =
predicted_delta <= -ACTIVE_SET_MODEL_DESCENT_REL_TOL * (1.0 + grad_inf * step_inf);
let degenerate_boundary_ok = compressed_working.is_degenerate_face()
&& worst <= ACTIVE_SET_PRIMAL_FEASIBILITY_TOL
&& working_kkt.primal_feasibility <= ACTIVE_SET_PRIMAL_FEASIBILITY_TOL
&& working_kkt.complementarity <= ACTIVE_SET_KKT_COMPLEMENTARITY_TOL
&& (working_kkt.stationarity <= ACTIVE_SET_KKT_DEGENERATE_STATIONARITY_TOL
|| stationarity_rel <= ACTIVE_SET_KKT_STATIONARITY_TOL);
if worst <= ACTIVE_SET_PRIMAL_FEASIBILITY_TOL
&& ((working_kkt.dual_feasibility <= ACTIVE_SET_KKT_DUAL_FEASIBILITY_TOL
&& (kkt_strong_ok || model_descent_ok))
|| degenerate_boundary_ok)
{
if let Some(hint) = active_hint {
hint.clear();
hint.extend(canonicalize_active_constraint_ids(
&x,
constraints,
&active,
)?);
}
direction_out.assign(&d_total);
return Ok(());
}
if let Some((fallback_direction, fallback_active)) = fallback_projected_gradient_direction(
&x,
&d_total,
&g_cur,
&compressed_working.constraints,
constraints,
)? {
if let Some(hint) = active_hint {
hint.clear();
hint.extend(fallback_active);
}
direction_out.assign(&fallback_direction);
return Ok(());
}
Err(EstimationError::ParameterConstraintViolation(format!(
"linear-constrained Newton active-set failed to converge; max(Aβ-b violation)={worst:.3e} at row {row}; KKT[primal={:.3e}, dual={:.3e}, comp={:.3e}, stat={:.3e}, active={}/{}]; diagnostic-reconstruction[dual={:.3e}, stat={:.3e}]",
working_kkt.primal_feasibility,
working_kkt.dual_feasibility,
working_kkt.complementarity,
working_kkt.stationarity,
working_kkt.n_active,
working_kkt.n_constraints,
kkt.dual_feasibility,
kkt.stationarity
)))
}
pub(crate) fn solve_newton_direction_with_linear_constraints(
hessian: &Array2<f64>,
gradient: &Array1<f64>,
beta: &Array1<f64>,
constraints: &LinearInequalityConstraints,
direction_out: &mut Array1<f64>,
active_hint: Option<&mut Vec<usize>>,
) -> Result<(), EstimationError> {
let max_iterations = (gradient.len() + constraints.a.nrows() + 8) * 4;
solve_newton_direction_with_linear_constraints_impl(
hessian,
gradient,
beta,
constraints,
direction_out,
active_hint,
max_iterations,
)
}
pub(crate) fn solve_quadratic_with_linear_constraints(
hessian: &Array2<f64>,
rhs: &Array1<f64>,
beta_start: &Array1<f64>,
constraints: &LinearInequalityConstraints,
warm_active_set: Option<&[usize]>,
) -> Result<(Array1<f64>, Vec<usize>), EstimationError> {
if hessian.ncols() != hessian.nrows()
|| rhs.len() != hessian.nrows()
|| beta_start.len() != hessian.nrows()
|| constraints.a.ncols() != hessian.nrows()
{
crate::bail_invalid_estim!("constrained quadratic solve: system dimension mismatch");
}
let gradient = hessian.dot(beta_start) - rhs;
let mut delta = Array1::<f64>::zeros(beta_start.len());
let mut active_hint = warm_active_set.map_or_else(Vec::new, |active| active.to_vec());
solve_newton_direction_with_linear_constraints(
hessian,
&gradient,
beta_start,
constraints,
&mut delta,
Some(&mut active_hint),
)?;
let candidate = beta_start + δ
let (worst, _) = max_linear_constraint_violation(&candidate, constraints);
if worst <= ACTIVE_SET_PRIMAL_FEASIBILITY_TOL {
return Ok((candidate, active_hint));
}
let repaired = project_point_strictly_into_feasible_cone(&candidate, constraints).filter(|p| {
max_linear_constraint_violation(p, constraints).0 <= ACTIVE_SET_PRIMAL_FEASIBILITY_TOL
});
match repaired {
Some(feasible) => {
let active = canonicalize_active_constraint_ids(&feasible, constraints, &[])?;
Ok((feasible, active))
}
None => Err(EstimationError::ParameterConstraintViolation(format!(
"constrained quadratic solve returned an infeasible iterate \
(max scaled violation {worst:.3e}) and no feasible projection could be \
certified onto the constraint cone",
))),
}
}
#[cfg(test)]
mod tests {
use super::{
ACTIVE_SET_INTERIOR_SEED_MARGIN, LinearInequalityConstraints,
compute_constraint_kkt_diagnostics, project_point_strictly_into_feasible_cone,
project_stationarity_residual_on_constraint_cone,
rank_reduce_rows_pivoted_qr_with_dependence, scaled_constraint_slack,
solve_newton_direction_with_linear_constraints_impl,
solve_quadratic_with_linear_constraints,
};
use approx::assert_relative_eq;
use ndarray::{Array1, Array2, array};
#[test]
fn strict_interior_projection_lifts_vertex_seed_off_every_constraint_row() {
let p = 5usize;
let rows = p - 2;
let mut a = Array2::<f64>::zeros((rows, p));
for i in 0..rows {
a[[i, i]] = -1.0;
a[[i, i + 1]] = 2.0;
a[[i, i + 2]] = -1.0;
}
let constraints = LinearInequalityConstraints::new(a, Array1::zeros(rows))
.expect("test constraint shape invariant");
let vertex = Array1::<f64>::zeros(p);
for i in 0..rows {
assert!(
scaled_constraint_slack(&vertex, &constraints, i).abs() < 1e-12,
"vertex seed should sit exactly on row {i}"
);
}
let interior = project_point_strictly_into_feasible_cone(&vertex, &constraints)
.expect("strict-interior projection of the vertex must succeed");
let min_slack = (0..rows)
.map(|i| scaled_constraint_slack(&interior, &constraints, i))
.fold(f64::INFINITY, f64::min);
assert!(
min_slack >= 0.5 * ACTIVE_SET_INTERIOR_SEED_MARGIN,
"projected seed must be strictly interior on every row; min scaled slack = {min_slack:.3e}"
);
}
#[test]
fn strict_interior_projection_keeps_equality_pairs_tight_with_shape_bounds() {
let p = 5usize;
let m = 3 + 2;
let mut a = Array2::<f64>::zeros((m, p));
a[[0, 2]] = 1.0;
a[[1, 3]] = 1.0;
a[[2, 4]] = 1.0;
a[[3, 0]] = 1.0;
a[[4, 0]] = -1.0;
let constraints = LinearInequalityConstraints::new(a, Array1::zeros(m))
.expect("test constraint shape invariant");
let point = Array1::from_vec(vec![0.7, -0.2, -0.5, -0.3, -0.1]);
let seed = project_point_strictly_into_feasible_cone(&point, &constraints).expect(
"strict-interior projection must succeed when an equality pair is present, \
not collapse to the empty set and fall back to the vertex",
);
for i in 0..3 {
assert!(
scaled_constraint_slack(&seed, &constraints, i)
>= 0.4 * ACTIVE_SET_INTERIOR_SEED_MARGIN,
"shape row {i} not strictly interior: scaled slack = {:.3e}",
scaled_constraint_slack(&seed, &constraints, i)
);
}
assert!(
seed[0].abs() <= 1e-6,
"boundary equality must be enforced, got β_0 = {:.3e}",
seed[0]
);
}
#[test]
fn strict_interior_projection_preserves_a_curvature_carrying_seed() {
let p = 5usize;
let rows = p - 2;
let mut a = Array2::<f64>::zeros((rows, p));
for i in 0..rows {
a[[i, i]] = -1.0;
a[[i, i + 1]] = 2.0;
a[[i, i + 2]] = -1.0;
}
let constraints = LinearInequalityConstraints::new(a, Array1::zeros(rows))
.expect("test constraint shape invariant");
let seed = Array1::from_iter((0..p).map(|j| -((j as f64 - 2.0).powi(2))));
let projected = project_point_strictly_into_feasible_cone(&seed, &constraints)
.expect("already-interior seed must project");
let max_move = seed
.iter()
.zip(projected.iter())
.map(|(a, b)| (a - b).abs())
.fold(0.0_f64, f64::max);
assert!(
max_move < 1e-3,
"strictly-interior curvature-carrying seed should be preserved; max move = {max_move:.3e}"
);
}
#[test]
fn maxiter_accepts_current_boundary_solution() {
let hessian = array![[1.0]];
let gradient = array![-1.0];
let beta = array![0.0];
let constraints = LinearInequalityConstraints {
a: array![[-1.0]],
b: array![-0.1],
};
let mut direction = Array1::zeros(1);
let mut active_hint = Vec::new();
solve_newton_direction_with_linear_constraints_impl(
&hessian,
&gradient,
&beta,
&constraints,
&mut direction,
Some(&mut active_hint),
1,
)
.expect("solver should accept the current boundary solution at the iteration limit");
assert_relative_eq!(direction[0], 0.1, epsilon = 1e-12);
assert_eq!(active_hint, vec![0]);
}
#[test]
fn rank_reduce_zero_rows_returns_empty_working_set() {
let a = array![[0.0, 0.0], [0.0, 0.0],];
let b = array![0.0, 0.0];
let groups = vec![vec![0], vec![1]];
let (a_out, b_out, groups_out, _) =
rank_reduce_rows_pivoted_qr_with_dependence(a, b, groups);
assert_eq!(a_out.nrows(), 0);
assert_eq!(a_out.ncols(), 2);
assert_eq!(b_out.len(), 0);
assert!(groups_out.is_empty());
}
#[test]
fn cone_projection_solves_nonnegative_least_squares_not_one_way_pruning() {
let active_a = array![
[0.85258593, -0.77270261],
[-1.22152485, 2.05129351],
[0.22794844, 1.56987265],
];
let residual = array![-0.50524761, -1.10104911];
let (projected, multipliers) =
project_stationarity_residual_on_constraint_cone(&residual, &active_a)
.expect("cone projection should solve");
let row0 = active_a.row(0);
let expected_mu0 = row0.dot(&residual) / row0.dot(&row0);
assert_relative_eq!(multipliers[0], expected_mu0, epsilon = 1e-8);
assert_relative_eq!(multipliers[1], 0.0, epsilon = 1e-10);
assert_relative_eq!(multipliers[2], 0.0, epsilon = 1e-10);
let raw_norm2 = residual.dot(&residual);
let projected_norm2 = projected.dot(&projected);
assert!(
projected_norm2 < raw_norm2 - 0.1,
"NNLS projection should keep the improving active row: raw={raw_norm2:.6e}, projected={projected_norm2:.6e}"
);
let dual = active_a.dot(&projected);
for (idx, (&mu, &w)) in multipliers.iter().zip(dual.iter()).enumerate() {
if mu <= 1e-10 {
assert!(
w <= 1e-8,
"inactive cone generator {idx} has positive reduced gradient {w:.3e}"
);
}
}
}
#[test]
fn kkt_primal_is_per_row_scale_invariant() {
let geometric_violation = 2.071e-8_f64;
let gradient = Array1::<f64>::zeros(2);
let beta_unit = array![-geometric_violation, 0.0];
let unit = LinearInequalityConstraints {
a: array![[1.0, 0.0]],
b: array![0.0],
};
let diag_unit = compute_constraint_kkt_diagnostics(&beta_unit, &gradient, &unit);
let beta_big = array![-geometric_violation, 0.0];
let big = LinearInequalityConstraints {
a: array![[1000.0, 0.0]],
b: array![0.0],
};
let diag_big = compute_constraint_kkt_diagnostics(&beta_big, &gradient, &big);
assert_relative_eq!(
diag_unit.primal_feasibility,
geometric_violation,
epsilon = 1e-14
);
assert_relative_eq!(
diag_big.primal_feasibility,
geometric_violation,
epsilon = 1e-14
);
assert!(
diag_big.primal_feasibility < 1e-7,
"scaled primal {:.3e} should pass a 1e-7 gate; raw slack would be {:.3e}",
diag_big.primal_feasibility,
1000.0 * geometric_violation
);
}
#[test]
fn opposing_inequality_pair_pins_equality_to_target() {
let hessian = array![
[1.0, 0.0, 0.0, 0.0],
[0.0, 1.0, 0.0, 0.0],
[0.0, 0.0, 1.0, 0.0],
[0.0, 0.0, 0.0, 1.0],
];
let rhs = array![5.0, 5.0, 0.0, 0.0];
let beta_start = Array1::<f64>::zeros(4);
let constraints = LinearInequalityConstraints {
a: array![[1.0, 1.0, 0.0, 0.0], [-1.0, -1.0, 0.0, 0.0]],
b: array![0.0, 0.0],
};
let (beta, _active) = solve_quadratic_with_linear_constraints(
&hessian,
&rhs,
&beta_start,
&constraints,
None,
)
.expect("opposing-inequality equality QP must solve");
let a_dot_beta = beta[0] + beta[1];
assert!(
a_dot_beta.abs() < 1e-8,
"opposing inequalities must pin a·β to 0, got {a_dot_beta:.6e} (β = {beta:?})"
);
}
#[test]
fn opposing_inequality_pair_pins_scaled_equality_to_nonzero_target() {
let hessian = array![
[1.0, 0.0, 0.0, 0.0],
[0.0, 1.0, 0.0, 0.0],
[0.0, 0.0, 1.0, 0.0],
[0.0, 0.0, 0.0, 1.0],
];
let rhs = array![5.0, 5.0, 0.0, 0.0];
let beta_start = Array1::<f64>::zeros(4);
let constraints = LinearInequalityConstraints {
a: array![[1000.0, 1000.0, 0.0, 0.0], [-1000.0, -1000.0, 0.0, 0.0]],
b: array![3000.0, -3000.0],
};
let (beta, _active) = solve_quadratic_with_linear_constraints(
&hessian,
&rhs,
&beta_start,
&constraints,
None,
)
.expect("scaled opposing-inequality equality QP must solve");
let a_dot_beta = 1000.0 * (beta[0] + beta[1]);
assert!(
(a_dot_beta - 3000.0).abs() < 1e-5,
"opposing inequalities must pin a·β to 3000, got {a_dot_beta:.6e} (β = {beta:?})"
);
}
#[test]
fn two_opposing_inequality_equalities_both_pinned() {
let hessian = array![
[1.0, 0.0, 0.0, 0.0],
[0.0, 1.0, 0.0, 0.0],
[0.0, 0.0, 1.0, 0.0],
[0.0, 0.0, 0.0, 1.0],
];
let rhs = array![5.0, 5.0, 5.0, 5.0];
let beta_start = Array1::<f64>::zeros(4);
let constraints = LinearInequalityConstraints {
a: array![
[1.0, 1.0, 0.0, 0.0],
[-1.0, -1.0, 0.0, 0.0],
[0.0, 0.0, 1.0, 1.0],
[0.0, 0.0, -1.0, -1.0],
],
b: array![0.0, 0.0, 0.0, 0.0],
};
let (beta, _active) = solve_quadratic_with_linear_constraints(
&hessian,
&rhs,
&beta_start,
&constraints,
None,
)
.expect("two-equality QP must solve");
assert!(
(beta[0] + beta[1]).abs() < 1e-8,
"equality A not pinned: β0+β1 = {:.6e}",
beta[0] + beta[1]
);
assert!(
(beta[2] + beta[3]).abs() < 1e-8,
"equality B not pinned: β2+β3 = {:.6e}",
beta[2] + beta[3]
);
}
#[test]
fn opposing_inequality_equalities_pinned_under_ill_conditioned_penalty() {
let lam = 1.0e8_f64;
let hessian = array![
[1.0, 0.0, 0.0, 0.0],
[0.0, 1.0, 0.0, 0.0],
[0.0, 0.0, lam, 0.0],
[0.0, 0.0, 0.0, lam],
];
let rhs = array![5.0, 5.0, 5.0, 5.0];
let beta_start = Array1::<f64>::zeros(4);
let constraints = LinearInequalityConstraints {
a: array![
[1.0, 0.0, 1.0, 0.0],
[-1.0, 0.0, -1.0, 0.0],
[0.0, 1.0, 0.0, 1.0],
[0.0, -1.0, 0.0, -1.0],
],
b: array![0.0, 0.0, 0.0, 0.0],
};
let (beta, _active) = solve_quadratic_with_linear_constraints(
&hessian,
&rhs,
&beta_start,
&constraints,
None,
)
.expect("ill-conditioned two-equality QP must solve");
assert!(
(beta[0] + beta[2]).abs() < 1e-6,
"equality A not pinned under ill-conditioning: β0+β2 = {:.6e}",
beta[0] + beta[2]
);
assert!(
(beta[1] + beta[3]).abs() < 1e-6,
"equality B not pinned under ill-conditioning: β1+β3 = {:.6e}",
beta[1] + beta[3]
);
}
}