com.joptimizer.solvers.BasicKKTSolver.java Source code

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Here is the source code for com.joptimizer.solvers.BasicKKTSolver.java

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/*
 * Copyright 2011-2013 JOptimizer
 *
 *   Licensed under the Apache License, Version 2.0 (the "License");
 *   you may not use this file except in compliance with the License.
 *   You may obtain a copy of the License at
 *
 *       http://www.apache.org/licenses/LICENSE-2.0
 *
 *   Unless required by applicable law or agreed to in writing, software
 *   distributed under the License is distributed on an "AS IS" BASIS,
 *   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *   See the License for the specific language governing permissions and
 *   limitations under the License.
 */
package com.joptimizer.solvers;

import org.apache.commons.lang3.ArrayUtils;
import com.joptimizer.MainActivity;
import android.util.Log;
import org.apache.commons.math3.linear.ArrayRealVector;
import org.apache.commons.math3.linear.RealMatrix;
import org.apache.commons.math3.linear.RealVector;
import org.apache.commons.math3.linear.SingularMatrixException;

import com.joptimizer.util.Utils;

/**
 * H.v + [A]T.w = -g, <br>
 * A.v = -h
 * 
 * @see "S.Boyd and L.Vandenberghe, Convex Optimization, p. 542"
 * @author alberto trivellato (alberto.trivellato@gmail.com)
 */
public class BasicKKTSolver extends KKTSolver {

    /**
     * Returns the two vectors v and w.
     */
    @Override
    public double[][] solve() throws Exception {

        RealVector v = null;// dim equals cols of A
        RealVector w = null;// dim equals rank of A

        if (Log.isLoggable(MainActivity.JOPTIMIZER_LOGTAG, Log.DEBUG)) {
            Log.d(MainActivity.JOPTIMIZER_LOGTAG, "H: " + ArrayUtils.toString(H.getData()));
            Log.d(MainActivity.JOPTIMIZER_LOGTAG, "g: " + ArrayUtils.toString(g.toArray()));
        }
        RealMatrix HInv;
        try {
            HInv = Utils.squareMatrixInverse(H);
        } catch (SingularMatrixException e) {
            HInv = null;
        }

        if (HInv != null) {
            // Solving KKT system via elimination
            if (A != null) {
                if (Log.isLoggable(MainActivity.JOPTIMIZER_LOGTAG, Log.DEBUG)) {
                    Log.d(MainActivity.JOPTIMIZER_LOGTAG, "A: " + ArrayUtils.toString(A.getData()));
                    if (h != null) {
                        Log.d(MainActivity.JOPTIMIZER_LOGTAG, "h: " + ArrayUtils.toString(h.toArray()));
                    }
                }
                RealMatrix AHInv = A.multiply(HInv);
                RealMatrix MenoS = AHInv.multiply(AT);
                RealMatrix MenoSInv = Utils.squareMatrixInverse(MenoS);
                if (h == null || Double.compare(h.getNorm(), 0.) == 0) {
                    w = MenoSInv.operate(AHInv.operate(g)).mapMultiply(-1.);
                } else {
                    w = MenoSInv.operate(h.subtract(AHInv.operate(g)));
                }
                v = HInv.operate(g.add(AT.operate(w)).mapMultiply(-1.));
            } else {
                w = null;
                v = HInv.operate(g).mapMultiply(-1.);
            }
        } else {
            // Solving the full KKT system
            if (A != null) {
                KKTSolver kktSolver = new BasicKKTSolver();
                kktSolver.setCheckKKTSolutionAccuracy(false);
                double[][] fullSol = this.solveFullKKT(new BasicKKTSolver());
                v = new ArrayRealVector(fullSol[0]);
                w = new ArrayRealVector(fullSol[1]);
            } else {
                //@TODO: try with rescaled H
                throw new Exception("KKT solution failed");
            }
        }

        // solution checking
        if (this.checkKKTSolutionAccuracy && !this.checkKKTSolutionAccuracy(v, w)) {
            Log.e(MainActivity.JOPTIMIZER_LOGTAG, "KKT solution failed");
            throw new Exception("KKT solution failed");
        }

        double[][] ret = new double[2][];
        ret[0] = v.toArray();
        ret[1] = (w != null) ? w.toArray() : null;
        return ret;
    }
}