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TGondzioSolver.h
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1// @(#)root/quadp:$Id$
2// Author: Eddy Offermann May 2004
3
4/*************************************************************************
5 * Copyright (C) 1995-2000, Rene Brun and Fons Rademakers. *
6 * All rights reserved. *
7 * *
8 * For the licensing terms see $ROOTSYS/LICENSE. *
9 * For the list of contributors see $ROOTSYS/README/CREDITS. *
10 *************************************************************************/
11
12/*************************************************************************
13 * Parts of this file are copied from the OOQP distribution and *
14 * are subject to the following license: *
15 * *
16 * COPYRIGHT 2001 UNIVERSITY OF CHICAGO *
17 * *
18 * The copyright holder hereby grants you royalty-free rights to use, *
19 * reproduce, prepare derivative works, and to redistribute this software*
20 * to others, provided that any changes are clearly documented. This *
21 * software was authored by: *
22 * *
23 * E. MICHAEL GERTZ gertz@mcs.anl.gov *
24 * Mathematics and Computer Science Division *
25 * Argonne National Laboratory *
26 * 9700 S. Cass Avenue *
27 * Argonne, IL 60439-4844 *
28 * *
29 * STEPHEN J. WRIGHT swright@cs.wisc.edu *
30 * Computer Sciences Department *
31 * University of Wisconsin *
32 * 1210 West Dayton Street *
33 * Madison, WI 53706 FAX: (608)262-9777 *
34 * *
35 * Any questions or comments may be directed to one of the authors. *
36 * *
37 * ARGONNE NATIONAL LABORATORY (ANL), WITH FACILITIES IN THE STATES OF *
38 * ILLINOIS AND IDAHO, IS OWNED BY THE UNITED STATES GOVERNMENT, AND *
39 * OPERATED BY THE UNIVERSITY OF CHICAGO UNDER PROVISION OF A CONTRACT *
40 * WITH THE DEPARTMENT OF ENERGY. *
41 *************************************************************************/
42
43#ifndef ROOT_TGondzioSolver
44#define ROOT_TGondzioSolver
45
46#include "Rtypes.h"
47#include "TQpSolverBase.h"
48
49///////////////////////////////////////////////////////////////////////////
50// //
51// Derived class of TQpSolverBase implementing Gondzio-correction //
52// version of Mehrotra's original predictor-corrector algorithm. //
53// //
54///////////////////////////////////////////////////////////////////////////
55
57{
58
59protected:
60
61 Int_t fPrintlevel; // parameter in range [0,100] determines verbosity. (Higher value
62 // => more verbose.)
63 Double_t fTsig; // exponent in Mehrotra's centering parameter, which is usually
64 // chosen to me (muaff/mu)^tsig, where muaff is the predicted
65 // complementarity gap obtained from an affine-scaling step, while
66 // mu is the current complementarity gap
67
68 Int_t fMaximum_correctors; // maximum number of Gondzio corrector steps
69
70 Int_t fNumberGondzioCorrections; // actual number of Gondzio corrections needed
71
72 Double_t fStepFactor0; // various parameters associated with Gondzio correction
77
78 TQpVar *fCorrector_step; // storage for step vectors
80
81 TQpResidual *fCorrector_resid; // storage for residual vectors
82
84
85public:
86
89 TGondzioSolver(const TGondzioSolver &another);
90
91 ~TGondzioSolver() override;
92
93 Int_t Solve (TQpDataBase *prob,TQpVar *iterate,TQpResidual *resid) override;
94
95 virtual void Reset_parameters() {} // reset parameters to their default values
96
97 void DefMonitor (TQpDataBase *data,TQpVar *vars,TQpResidual *resids,
99 Int_t status_code,Int_t level) override;
100
102
103 ClassDefOverride(TGondzioSolver,1) // Gondzio Qp Solver class
104};
105#endif
int Int_t
Definition: RtypesCore.h:45
double Double_t
Definition: RtypesCore.h:59
#define ClassDefOverride(name, id)
Definition: Rtypes.h:339
Option_t Option_t TPoint TPoint const char GetTextMagnitude GetFillStyle GetLineColor GetLineWidth GetMarkerStyle GetTextAlign GetTextColor GetTextSize void data
Derived class of TQpSolverBase implementing Gondzio-correction version of Mehrotra's original predict...
Double_t fAcceptTol
Double_t fBeta_min
Int_t fMaximum_correctors
TQpVar * fCorrector_step
Int_t fNumberGondzioCorrections
Double_t fStepFactor0
TQpProbBase * fFactory
TGondzioSolver()
Default constructor.
Int_t Solve(TQpDataBase *prob, TQpVar *iterate, TQpResidual *resid) override
Solve the quadratic programming problem as formulated through prob, store the final solution in itera...
Double_t fBeta_max
virtual void Reset_parameters()
void DefMonitor(TQpDataBase *data, TQpVar *vars, TQpResidual *resids, Double_t alpha, Double_t sigma, Int_t i, Double_t mu, Int_t status_code, Int_t level) override
Print information about the optimization process and monitor the convergence status of thye algorithm...
~TGondzioSolver() override
Deconstructor.
TGondzioSolver & operator=(const TGondzioSolver &source)
Assignment operator.
Double_t fStepFactor1
TQpResidual * fCorrector_resid
Data for the general QP formulation.
Definition: TQpDataBase.h:61
default general problem formulation:
Definition: TQpProbBase.h:89
The Residuals class calculates and stores the quantities that appear on the right-hand side of the li...
Definition: TQpResidual.h:62
The Solver class contains methods for monitoring and checking the convergence status of the algorithm...
Definition: TQpSolverBase.h:73
Class containing the variables for the general QP formulation.
Definition: TQpVar.h:60
const Double_t sigma
int iterate(rng_state_t *X)
Definition: mixmax.icc:34