ipopt-src 0.2.3+3.14.16

// Copyright (C) 2004, 2009 International Business Machines and others.
// All Rights Reserved.
// This code is published under the Eclipse Public License.
//
// Authors:  Carl Laird, Andreas Waechter     IBM    2004-08-13

#include "IpStdAugSystemSolver.hpp"
#include "IpDebug.hpp"

#include "IpCompoundSymMatrix.hpp"
#include "IpCompoundVector.hpp"
#include "IpSumSymMatrix.hpp"
#include "IpDiagMatrix.hpp"
#include "IpIdentityMatrix.hpp"
//#include "IpTripletHelper.hpp"

#include <cstdio>

namespace Ipopt
{
#if IPOPT_VERBOSITY > 0
static const Index dbg_verbosity = 0;
#endif

StdAugSystemSolver::StdAugSystemSolver(
   SymLinearSolver& linSolver
)
   : AugSystemSolver(),
     linsolver_(&linSolver),
     augmented_system_space_(NULL),
     sumsym_space_x_(NULL),
     diag_space_x_(NULL),
     diag_space_s_(NULL),
     diag_space_c_(NULL),
     ident_space_ds_(NULL),
     diag_space_d_(NULL),
     w_tag_(0),
     d_x_tag_(0),
     delta_x_(0.),
     d_s_tag_(0),
     delta_s_(0.),
     j_c_tag_(0),
     d_c_tag_(0),
     delta_c_(0.),
     j_d_tag_(0),
     d_d_tag_(0),
     delta_d_(0.),
     old_w_(NULL)
{
   DBG_START_METH("StdAugSystemSolver::StdAugSystemSolver()", dbg_verbosity);
   DBG_ASSERT(IsValid(linsolver_));
}

StdAugSystemSolver::~StdAugSystemSolver()
{
   DBG_START_METH("StdAugSystemSolver::~StdAugSystemSolver()", dbg_verbosity);
}

bool StdAugSystemSolver::InitializeImpl(
   const OptionsList& options,
   const std::string& prefix
)
{
   // This option is registered by OrigIpoptNLP
   options.GetBoolValue("warm_start_same_structure", warm_start_same_structure_, prefix);

   if( !warm_start_same_structure_ )
   {
      augsys_tag_ = 0;
      augmented_system_ = NULL;
   }
   else
   {
      ASSERT_EXCEPTION(IsValid(augmented_system_), INVALID_WARMSTART,
                       "StdAugSystemSolver called with warm_start_same_structure, but augmented system is not initialized.");
   }

   return linsolver_->Initialize(Jnlst(), IpNLP(), IpData(), IpCq(), options, prefix);
}

ESymSolverStatus StdAugSystemSolver::MultiSolve(
   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,
   std::vector<SmartPtr<const Vector> >& rhs_xV,
   std::vector<SmartPtr<const Vector> >& rhs_sV,
   std::vector<SmartPtr<const Vector> >& rhs_cV,
   std::vector<SmartPtr<const Vector> >& rhs_dV,
   std::vector<SmartPtr<Vector> >&       sol_xV,
   std::vector<SmartPtr<Vector> >&       sol_sV,
   std::vector<SmartPtr<Vector> >&       sol_cV,
   std::vector<SmartPtr<Vector> >&       sol_dV,
   bool                                  check_NegEVals,
   Index                                 numberOfNegEVals
)
{
   DBG_START_METH("StdAugSystemSolver::MultiSolve", dbg_verbosity);
   DBG_ASSERT(J_c && J_d && "Currently, you MUST specify J_c and J_d in the augmented system");

   IpData().TimingStats().StdAugSystemSolverMultiSolve().Start();

   DBG_ASSERT(W_factor == 0.0 || W_factor == 1.0);

   Index nrhs = (Index) rhs_xV.size();
   DBG_ASSERT(nrhs > 0);
   DBG_ASSERT(nrhs == (Index)rhs_sV.size());
   DBG_ASSERT(nrhs == (Index)rhs_cV.size());
   DBG_ASSERT(nrhs == (Index)rhs_dV.size());
   DBG_ASSERT(nrhs == (Index)sol_xV.size());
   DBG_ASSERT(nrhs == (Index)sol_sV.size());
   DBG_ASSERT(nrhs == (Index)sol_cV.size());
   DBG_ASSERT(nrhs == (Index)sol_dV.size());

   // Create the compound matrix of the augmented system if it has not
   // yet been created - It is assumed that the structure will not change
   // after this call
   DBG_DO(bool debug_first_time_through = false);
   if( !IsValid(augmented_system_) )
   {
      // pass in the information to form the structure of the augmented system
      // rhs_? are passed in to provide a prototype vector
      // for D_? (since these may be NULL)
      DBG_ASSERT(W && J_c && J_d);// W must exist during the first call to setup the structure!
      CreateAugmentedSpace(*W, *J_c, *J_d, *rhs_xV[0], *rhs_sV[0], *rhs_cV[0], *rhs_dV[0]);
      CreateAugmentedSystem(W, W_factor, D_x, delta_x, D_s, delta_s, *J_c, D_c, delta_c, *J_d, D_d, delta_d, *rhs_xV[0],
                            *rhs_sV[0], *rhs_cV[0], *rhs_dV[0]);
      DBG_DO(debug_first_time_through = true);
   }

   // Check if anything that was just passed in is different from
   // what is currently in the compound matrix of the augmented
   // system. If anything is different, then update the augmented
   // system
   if( AugmentedSystemRequiresChange(W, W_factor, D_x, delta_x, D_s, delta_s, *J_c, D_c, delta_c, *J_d, D_d, delta_d) )
   {
      DBG_ASSERT(!debug_first_time_through);
      CreateAugmentedSystem(W, W_factor, D_x, delta_x, D_s, delta_s, *J_c, D_c, delta_c, *J_d, D_d, delta_d, *rhs_xV[0],
                            *rhs_sV[0], *rhs_cV[0], *rhs_dV[0]);
   }

   // Sanity checks
   DBG_ASSERT(rhs_xV[0]->Dim() == sol_xV[0]->Dim());
   DBG_ASSERT(rhs_sV[0]->Dim() == sol_sV[0]->Dim());
   DBG_ASSERT(rhs_cV[0]->Dim() == sol_cV[0]->Dim());
   DBG_ASSERT(rhs_dV[0]->Dim() == sol_dV[0]->Dim());

   // Now construct the overall right hand side vector that will be passed
   // to the linear solver
   std::vector<SmartPtr<const Vector> > augmented_rhsV(nrhs);
   for( Index i = 0; i < nrhs; i++ )
   {
      SmartPtr<CompoundVector> augrhs = augmented_vector_space_->MakeNewCompoundVector();
      augrhs->SetComp(0, *rhs_xV[i]);
      augrhs->SetComp(1, *rhs_sV[i]);
      augrhs->SetComp(2, *rhs_cV[i]);
      augrhs->SetComp(3, *rhs_dV[i]);
      char buffer[16];
      Snprintf(buffer, 15, "RHS[%2" IPOPT_INDEX_FORMAT "]", i);
      augrhs->Print(Jnlst(), J_MOREVECTOR, J_LINEAR_ALGEBRA, buffer);
      augmented_rhsV[i] = GetRawPtr(augrhs);
   }

   augmented_system_->Print(Jnlst(), J_MATRIX, J_LINEAR_ALGEBRA, "KKT");
#if 0 // debug code
   if( Jnlst().ProduceOutput(J_MOREMATRIX, J_LINEAR_ALGEBRA) )
   {
      Index dbg_nz = TripletHelper::GetNumberEntries(*augmented_system_);
      Index* dbg_iRows = new Index[dbg_nz];
      Index* dbg_jCols = new Index[dbg_nz];
      Number* dbg_values = new Number[dbg_nz];
      TripletHelper::FillRowCol(dbg_nz, *augmented_system_, dbg_iRows, dbg_jCols);
      TripletHelper::FillValues(dbg_nz, *augmented_system_, dbg_values);
      Jnlst().Printf(J_MOREMATRIX, J_LINEAR_ALGEBRA,
                     "******* KKT SYSTEM *******\n");
      for( Index dbg_i = 0; dbg_i < dbg_nz; dbg_i++ )
      {
         Jnlst().Printf(J_MOREMATRIX, J_LINEAR_ALGEBRA,
                        "(%" IPOPT_INDEX_FORMAT ") KKT[%" IPOPT_INDEX_FORMAT "][%" IPOPT_INDEX_FORMAT "] = %23.15e\n", dbg_i, dbg_iRows[dbg_i], dbg_jCols[dbg_i], dbg_values[dbg_i]);
      }
      delete[] dbg_iRows;
      dbg_iRows = NULL;
      delete[] dbg_jCols;
      dbg_jCols = NULL;
      delete[] dbg_values;
      dbg_values = NULL;
   }
#endif

   // Call the linear solver
   std::vector<SmartPtr<Vector> > augmented_solV(nrhs);
   for( Index i = 0; i < nrhs; i++ )
   {
      SmartPtr<CompoundVector> augsol = augmented_vector_space_->MakeNewCompoundVector();
      augsol->SetCompNonConst(0, *sol_xV[i]);
      augsol->SetCompNonConst(1, *sol_sV[i]);
      augsol->SetCompNonConst(2, *sol_cV[i]);
      augsol->SetCompNonConst(3, *sol_dV[i]);
      augmented_solV[i] = GetRawPtr(augsol);
   }
   ESymSolverStatus retval;
   retval = linsolver_->MultiSolve(*augmented_system_, augmented_rhsV, augmented_solV, check_NegEVals, numberOfNegEVals);
   if( retval == SYMSOLVER_SUCCESS )
   {
      Jnlst().Printf(J_DETAILED, J_LINEAR_ALGEBRA,
                     "Factorization successful.\n");
      for( Index i = 0; i < nrhs; i++ )
      {
         char buffer[16];
         Snprintf(buffer, 15, "SOL[%2" IPOPT_INDEX_FORMAT "]", i);
         augmented_solV[i]->Print(Jnlst(), J_MOREVECTOR, J_LINEAR_ALGEBRA, buffer);
      }
   }
   else
   {
      Jnlst().Printf(J_DETAILED, J_LINEAR_ALGEBRA,
                     "Factorization failed with retval = %d\n", retval);
   }

   IpData().TimingStats().StdAugSystemSolverMultiSolve().End();
   return retval;
}

void StdAugSystemSolver::CreateAugmentedSpace(
   const SymMatrix& W,
   const Matrix&    J_c,
   const Matrix&    J_d,
   const Vector&    proto_x,
   const Vector&    proto_s,
   const Vector&    proto_c,
   const Vector&    proto_d
)
{
   DBG_ASSERT(!IsValid(augmented_system_));

   old_w_ = &W;

   //===
   // Setup the augmented system matrix (described in IpAugSystemSolver.hpp")
   //===

   // created the compound symmetric matrix space
   Index n_x = J_c.NCols();
   Index n_s = J_d.NRows();
   Index n_c = J_c.NRows();
   Index n_d = n_s;

   Index total_nRows = n_x + n_s + n_c + n_d;
   augmented_system_space_ = new CompoundSymMatrixSpace(4, total_nRows);
   augmented_system_space_->SetBlockDim(0, n_x);
   augmented_system_space_->SetBlockDim(1, n_s);
   augmented_system_space_->SetBlockDim(2, n_c);
   augmented_system_space_->SetBlockDim(3, n_d);

   // (1,1) block
   // create the spaces and sum matrix for the upper left corner (W + D_x delta_x*I)
   // of the hessian part for the 1,1 block
   diag_space_x_ = new DiagMatrixSpace(n_x);

   sumsym_space_x_ = new SumSymMatrixSpace(n_x, 2);
   sumsym_space_x_->SetTermSpace(0, *W.OwnerSymMatrixSpace());
   sumsym_space_x_->SetTermSpace(1, *diag_space_x_);
   augmented_system_space_->SetCompSpace(0, 0, *sumsym_space_x_);

   // (2,2) block
   // create the spaces and diag matrix for the lower right corner (D_s + delta_s*I)
   // of the hessian part, the 2,2 block
   diag_space_s_ = new DiagMatrixSpace(n_s);
   augmented_system_space_->SetCompSpace(1, 1, *diag_space_s_);

   // (3,1) block
   augmented_system_space_->SetCompSpace(2, 0, *J_c.OwnerSpace());

   // (3,3) block
   // create the matrix space and matrix for the 3,3 block
   diag_space_c_ = new DiagMatrixSpace(n_c);
   augmented_system_space_->SetCompSpace(2, 2, *diag_space_c_);

   // (4,1) block
   augmented_system_space_->SetCompSpace(3, 0, *J_d.OwnerSpace());

   // (4,2) block
   // create the identity matrix space and matrix for the 4,2 block
   ident_space_ds_ = new IdentityMatrixSpace(n_s);
   augmented_system_space_->SetCompSpace(3, 1, *ident_space_ds_);

   // (4,4) block
   // create the sum matrix space and matrix for the 4,4 block
   diag_space_d_ = new DiagMatrixSpace(n_d);
   augmented_system_space_->SetCompSpace(3, 3, *diag_space_d_);

   // Create the space for the vectors
   augmented_vector_space_ = new CompoundVectorSpace(4, n_x + n_s + n_c + n_d);
   augmented_vector_space_->SetCompSpace(0, *proto_x.OwnerSpace());
   augmented_vector_space_->SetCompSpace(1, *proto_s.OwnerSpace());
   augmented_vector_space_->SetCompSpace(2, *proto_c.OwnerSpace());
   augmented_vector_space_->SetCompSpace(3, *proto_d.OwnerSpace());

}

void StdAugSystemSolver::CreateAugmentedSystem(
   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_x,
   const Vector&    proto_s,
   const Vector&    proto_c,
   const Vector&    proto_d
)
{
   augmented_system_ = augmented_system_space_->MakeNewCompoundSymMatrix();

   // (1,1) block
   SmartPtr<SumSymMatrix> sumsym_x = sumsym_space_x_->MakeNewSumSymMatrix();

   if( W )
   {
      sumsym_x->SetTerm(0, W_factor, *W);
      old_w_ = W;
      w_tag_ = W->GetTag();
   }
   else
   {
      sumsym_x->SetTerm(0, 0.0, *old_w_);
      w_tag_ = 0;
   }
   w_factor_ = W_factor;

   SmartPtr<DiagMatrix> diag_x = diag_space_x_->MakeNewDiagMatrix();
   if( D_x )
   {
      if( delta_x == 0. )
      {
         diag_x->SetDiag(*D_x);
      }
      else
      {
         SmartPtr<Vector> tmp = D_x->MakeNewCopy();
         tmp->AddScalar(delta_x);
         diag_x->SetDiag(*tmp);
      }
      d_x_tag_ = D_x->GetTag();
   }
   else
   {
      SmartPtr<Vector> tmp = proto_x.MakeNew();
      tmp->Set(delta_x);
      diag_x->SetDiag(*tmp);
      d_x_tag_ = 0;
   }
   sumsym_x->SetTerm(1, 1.0, *diag_x);
   delta_x_ = delta_x;

   augmented_system_->SetComp(0, 0, *sumsym_x);

   // (2,2) block
   SmartPtr<DiagMatrix> diag_s = diag_space_s_->MakeNewDiagMatrix();
   if( D_s )
   {
      if( delta_s == 0. )
      {
         diag_s->SetDiag(*D_s);
      }
      else
      {
         SmartPtr<Vector> tmp = D_s->MakeNewCopy();
         tmp->AddScalar(delta_s);
         diag_s->SetDiag(*tmp);
      }
      d_s_tag_ = D_s->GetTag();
   }
   else
   {
      SmartPtr<Vector> tmp = proto_s.MakeNew();
      tmp->Set(delta_s);
      diag_s->SetDiag(*tmp);
      d_s_tag_ = 0;
   }
   delta_s_ = delta_s;

   augmented_system_->SetComp(1, 1, *diag_s);

   // (3,1) block
   augmented_system_->SetComp(2, 0, J_c);
   j_c_tag_ = J_c.GetTag();

   // (3,3) block
   SmartPtr<DiagMatrix> diag_c = diag_space_c_->MakeNewDiagMatrix();
   if( D_c )
   {
      if( delta_c == 0. )
      {
         diag_c->SetDiag(*D_c);
      }
      else
      {
         SmartPtr<Vector> tmp = D_c->MakeNewCopy();
         tmp->AddScalar(-delta_c);
         diag_c->SetDiag(*tmp);
      }
      d_c_tag_ = D_c->GetTag();
   }
   else
   {
      SmartPtr<Vector> tmp = proto_c.MakeNew();
      tmp->Set(-delta_c);
      diag_c->SetDiag(*tmp);
      d_c_tag_ = 0;
   }
   delta_c_ = delta_c;

   augmented_system_->SetComp(2, 2, *diag_c);

   // (4,1) block
   augmented_system_->SetComp(3, 0, J_d);
   j_d_tag_ = J_d.GetTag();

   // (4,2) block
   SmartPtr<IdentityMatrix> ident_ds = ident_space_ds_->MakeNewIdentityMatrix();
   ident_ds->SetFactor(-1.0);
   augmented_system_->SetComp(3, 1, *ident_ds);

   // (4,4) block
   SmartPtr<DiagMatrix> diag_d = diag_space_d_->MakeNewDiagMatrix();
   if( D_d )
   {
      if( delta_d == 0. )
      {
         diag_d->SetDiag(*D_d);
      }
      else
      {
         SmartPtr<Vector> tmp = D_d->MakeNewCopy();
         tmp->AddScalar(-delta_d);
         diag_d->SetDiag(*tmp);
      }
      d_d_tag_ = D_d->GetTag();
   }
   else
   {
      SmartPtr<Vector> tmp = proto_d.MakeNew();
      tmp->Set(-delta_d);
      diag_d->SetDiag(*tmp);
      d_d_tag_ = 0;
   }
   delta_d_ = delta_d;

   augmented_system_->SetComp(3, 3, *diag_d);

   augsys_tag_ = augmented_system_->GetTag();
}

bool StdAugSystemSolver::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
)
{
   DBG_START_METH("StdAugSystemSolver::AugmentedSystemRequiresChange", dbg_verbosity);
   DBG_ASSERT(augsys_tag_ == augmented_system_->GetTag() && "Someone has changed the augmented system outside of the AugSystemSolver. This should NOT happen.");

#if IPOPT_VERBOSITY > 0

   bool Wtest = (W && W->GetTag() != w_tag_);
   bool iWtest = (!W && w_tag_ != 0);
   bool wfactor_test = (W_factor != w_factor_);
   bool D_xtest = (D_x && D_x->GetTag() != d_x_tag_);
   bool iD_xtest = (!D_x && d_x_tag_ != 0);
   bool delta_xtest = (delta_x != delta_x_);
   bool D_stest = (D_s && D_s->GetTag() != d_s_tag_);
   bool iD_stest = (!D_s && d_s_tag_ != 0);
   bool delta_stest = (delta_s != delta_s_);
   bool J_ctest = (J_c.GetTag() != j_c_tag_);
   bool D_ctest = (D_c && D_c->GetTag() != d_c_tag_);
   bool iD_ctest = (!D_c && d_c_tag_ != 0);
   bool delta_ctest = (delta_c != delta_c_);
   bool J_dtest = (J_d.GetTag() != j_d_tag_);
   bool D_dtest = (D_d && D_d->GetTag() != d_d_tag_);
   bool iD_dtest = (!D_d && d_d_tag_ != 0);
   bool delta_dtest = (delta_d != delta_d_);
#endif

   DBG_PRINT((2, "Wtest = %d\n", Wtest));
   DBG_PRINT((2, "iWtest = %d\n", iWtest));
   DBG_PRINT((2, "wfactor_test = %d\n", wfactor_test));
   DBG_PRINT((2, "D_xtest = %d\n", D_xtest));
   DBG_PRINT((2, "iD_xtest = %d\n", iD_xtest));
   DBG_PRINT((2, "delta_xtest = %d\n", delta_xtest));
   DBG_PRINT((2, "D_stest = %d\n", D_stest));
   DBG_PRINT((2, "iD_stest = %d\n", iD_stest));
   DBG_PRINT((2, "delta_stest = %d\n", delta_stest));
   DBG_PRINT((2, "J_ctest = %d\n", J_ctest));
   DBG_PRINT((2, "D_ctest = %d\n", D_ctest));
   DBG_PRINT((2, "iD_ctest = %d\n", iD_ctest));
   DBG_PRINT((2, "delta_ctest = %d\n", delta_ctest));
   DBG_PRINT((2, "J_dtest = %d\n", J_dtest));
   DBG_PRINT((2, "D_dtest = %d\n", D_dtest));
   DBG_PRINT((2, "iD_dtest = %d\n", iD_dtest));
   DBG_PRINT((2, "delta_dtest = %d\n", delta_dtest));

   if( (W && W->GetTag() != w_tag_) || (!W && w_tag_ != 0) || (W_factor != w_factor_) || (D_x && D_x->GetTag() != d_x_tag_)
       || (!D_x && d_x_tag_ != 0) || (delta_x != delta_x_) || (D_s && D_s->GetTag() != d_s_tag_) || (!D_s && d_s_tag_ != 0)
       || (delta_s != delta_s_) || (J_c.GetTag() != j_c_tag_) || (D_c && D_c->GetTag() != d_c_tag_)
       || (!D_c && d_c_tag_ != 0) || (delta_c != delta_c_) || (J_d.GetTag() != j_d_tag_)
       || (D_d && D_d->GetTag() != d_d_tag_) || (!D_d && d_d_tag_ != 0) || (delta_d != delta_d_) )
   {
      return true;
   }

   return false;
}

Index StdAugSystemSolver::NumberOfNegEVals() const
{
   DBG_ASSERT(IsValid(augmented_system_));
   return linsolver_->NumberOfNegEVals();
}

bool StdAugSystemSolver::ProvidesInertia() const
{
   return linsolver_->ProvidesInertia();
}

bool StdAugSystemSolver::IncreaseQuality()
{
   return linsolver_->IncreaseQuality();
}

} // namespace Ipopt