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// Copyright (C) 2005, 2006 International Business Machines and others.
// All Rights Reserved.
// This code is published under the Eclipse Public License.
//
// Authors: Andreas Waechter IBM 2005-12-27
#ifndef __IP_LOWRANKAUGSYSTEMSOLVER_HPP__
#define __IP_LOWRANKAUGSYSTEMSOLVER_HPP__
#include "IpAugSystemSolver.hpp"
#include "IpDenseGenMatrix.hpp"
#include "IpMultiVectorMatrix.hpp"
#include "IpDiagMatrix.hpp"
namespace Ipopt
{
/** Solver for the augmented system with LowRankUpdateSymMatrix
* Hessian matrices. This version works with the Sherman-Morrison
* formula and multiple backsolves.
*/
class LowRankAugSystemSolver: public AugSystemSolver
{
public:
/**@name Constructors / Destructors */
///@{
/** Constructor using only a linear solver object */
LowRankAugSystemSolver(
AugSystemSolver& aug_system_solver
);
/** Destructor */
virtual ~LowRankAugSystemSolver();
///@}
/** overloaded from AlgorithmStrategyObject */
bool InitializeImpl(
const OptionsList& options,
const std::string& prefix
);
/** Set up the augmented system and solve it for a given right hand side. */
virtual ESymSolverStatus Solve(
const SymMatrix* W,
Number W_factor,
const Vector* D_x,
Number delta_x,
const Vector* D_s,
Number delta_s,
const Matrix* J_c,
const Vector* D_c,
Number delta_c,
const Matrix* J_d,
const Vector* D_d,
Number delta_d,
const Vector& rhs_x,
const Vector& rhs_s,
const Vector& rhs_c,
const Vector& rhs_d,
Vector& sol_x,
Vector& sol_s,
Vector& sol_c,
Vector& sol_d,
bool check_NegEVals,
Index numberOfNegEVals
);
/** Number of negative eigenvalues detected during last solve.
*
* This must not be called if the linear solver does not compute
* this quantity (see ProvidesInertia).
*
* @return number of negative eigenvalues of the most recent factorized matrix
*/
virtual Index NumberOfNegEVals() const;
/** Query whether inertia is computed by linear solver.
*
* @return true, if linear solver provides inertia
*/
virtual bool ProvidesInertia() const;
/** Request to increase quality of solution for next solve.
*
* Ask underlying linear solver to increase quality of solution for
* the next solve (e.g. increase pivot tolerance).
*
* @return false, if this is not possible (e.g. maximal pivot tolerance already used)
*/
virtual bool IncreaseQuality();
private:
/**@name Default Compiler Generated Methods
* (Hidden to avoid implicit creation/calling).
*
* These methods are not implemented and
* we do not want the compiler to implement
* them for us, so we declare them private
* and do not define them. This ensures that
* they will not be implicitly created/called.
*/
///@{
/** Default constructor. */
LowRankAugSystemSolver();
/** Copy Constructor */
LowRankAugSystemSolver(
const LowRankAugSystemSolver&
);
void operator=(
const LowRankAugSystemSolver&
);
///@}
/** The augmented system solver object that should be used for the
* factorization of the augmented system without the low-rank
* update.
*/
SmartPtr<AugSystemSolver> aug_system_solver_;
/**@name Tags and values to track in order to decide whether the
matrix has to be updated compared to the most recent call of
the Set method.
*/
///@{
/** Tag for W matrix.
*
* If W has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag w_tag_;
/** Most recent value of W_factor */
Number w_factor_;
/** Tag for D_x vector, representing the diagonal matrix D_x.
*
* If D_x has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag d_x_tag_;
/** Most recent value of delta_x from Set method */
Number delta_x_;
/** Tag for D_s vector, representing the diagonal matrix D_s.
* If D_s has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag d_s_tag_;
/** Most recent value of delta_s from Set method */
Number delta_s_;
/** Tag for J_c matrix.
*
* If J_c has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag j_c_tag_;
/** Tag for D_c vector, representing the diagonal matrix D_c.
*
* If D_c has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag d_c_tag_;
/** Most recent value of delta_c from Set method */
Number delta_c_;
/** Tag for J_d matrix.
*
* If J_d has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag j_d_tag_;
/** Tag for D_d vector, representing the diagonal matrix D_d.
*
* If D_d has been given to Set as NULL, then this tag is set to 0.
*/
TaggedObject::Tag d_d_tag_;
/** Most recent value of delta_d from Set method */
Number delta_d_;
///@}
/** @name Information to be stored in order to resolve for the
* same matrix with a different right hand side. */
///@{
bool first_call_;
SmartPtr<DenseGenMatrix> J1_;
SmartPtr<DenseGenMatrix> J2_;
SmartPtr<MultiVectorMatrix> Vtilde1_;
SmartPtr<MultiVectorMatrix> Utilde2_;
/** Hessian Matrix passed to the augmented system solver solving
* the matrix without the low-rank update. */
SmartPtr<DiagMatrix> Wdiag_;
/** Vector space for Compound vectors that capture the entire
* right hand side and solution vectors .*/
SmartPtr<const CompoundVectorSpace> compound_sol_vecspace_;
///@}
/** Stores the number of negative eigenvalues detected during most
* recent factorization.
*
* This is what is returned by
* NumberOfNegEVals() of this class. It usually is the number of
* negative eigenvalues returned from the aug_system_solver solve,
* but if a Cholesky factorization could not be performed, the
* returned value is one more than this what the
* aug_system_solver returned. */
Index num_neg_evals_;
/** @name Internal functions */
///@{
/** Method for updating the factorization, including J1_, J2_,
* Vtilde1_, Utilde2, Wdiag_, compound_sol_vecspace_
*/
ESymSolverStatus UpdateFactorization(
const SymMatrix* W,
Number W_factor,
const Vector* D_x,
Number delta_x,
const Vector* D_s,
Number delta_s,
const Matrix& J_c,
const Vector* D_c,
Number delta_c,
const Matrix& J_d,
const Vector* D_d,
Number delta_d,
const Vector& proto_rhs_x,
const Vector& proto_rhs_s,
const Vector& proto_rhs_c,
const Vector& proto_rhs_d,
bool check_NegEVals,
Index numberOfNegEVals
);
/** Method for solving the augmented system without low-rank
* update for multiple right hand sides that are provided as
* MultiVectorMatrix.
*
* The result is returned as a MultiVectorMatrix in Vtilde1.
* V_x and Vtilde1_x are V and Vtilde1 in the x-space.
*/
ESymSolverStatus SolveMultiVector(
const Vector* D_x,
Number delta_x,
const Vector* D_s,
Number delta_s,
const Matrix& J_c,
const Vector* D_c,
Number delta_c,
const Matrix& J_d,
const Vector* D_d,
Number delta_d,
const Vector& proto_rhs_x,
const Vector& proto_rhs_s,
const Vector& proto_rhs_c,
const Vector& proto_rhs_d,
const MultiVectorMatrix& V,
const SmartPtr<const Matrix>& P_LM,
SmartPtr<MultiVectorMatrix>& V_x,
SmartPtr<MultiVectorMatrix>& Vtilde1,
SmartPtr<MultiVectorMatrix>& Vtilde1_x,
bool check_NegEVals,
Index numberOfNegEVals
);
/** Method that compares the tags of the data for the matrix with
* those from the previous call.
*
* @return true, if there was a change and the factorization has to be updated
*/
bool AugmentedSystemRequiresChange(
const SymMatrix* W,
Number W_factor,
const Vector* D_x,
Number delta_x,
const Vector* D_s,
Number delta_s,
const Matrix& J_c,
const Vector* D_c,
Number delta_c,
const Matrix& J_d,
const Vector* D_d,
Number delta_d
);
///@}
};
} // namespace Ipopt
#endif