com.joptimizer.solvers.BasicKKTSolverTest.java Source code

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

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/*
 * Copyright 2011-2016 joptimizer.com
 *
 * This work is licensed under the Creative Commons Attribution-NoDerivatives 4.0 
 * International License. To view a copy of this license, visit 
 *
 *        http://creativecommons.org/licenses/by-nd/4.0/ 
 *
 * or send a letter to Creative Commons, PO Box 1866, Mountain View, CA 94042, USA.
 */
package com.joptimizer.solvers;

import junit.framework.TestCase;

import org.apache.commons.lang3.ArrayUtils;
import org.apache.commons.logging.Log;
import org.apache.commons.logging.LogFactory;

import cern.colt.matrix.DoubleFactory1D;
import cern.colt.matrix.DoubleFactory2D;
import cern.colt.matrix.DoubleMatrix1D;
import cern.colt.matrix.DoubleMatrix2D;
import cern.colt.matrix.linalg.Algebra;
import cern.colt.matrix.linalg.Property;
import cern.jet.math.Functions;

/**
 * @author alberto trivellato (alberto.trivellato@gmail.com)
 */
public class BasicKKTSolverTest extends TestCase {

    private Algebra ALG = Algebra.DEFAULT;
    private DoubleFactory1D F1 = DoubleFactory1D.dense;
    private DoubleFactory2D F2 = DoubleFactory2D.dense;
    private Property P = Property.TWELVE;
    private Log log = LogFactory.getLog(this.getClass().getName());

    public void testSolveSimple() throws Exception {
        log.debug("testSolveSimple");
        double[][] HMatrix = new double[][] { { 3 } };
        double[][] AMatrix = new double[][] { { 2 } };
        DoubleMatrix2D H = F2.make(HMatrix);
        DoubleMatrix2D A = F2.make(AMatrix);
        DoubleMatrix2D AT = ALG.transpose(A.copy());
        DoubleMatrix1D g = F1.make(1, -3);
        DoubleMatrix1D h = F1.make(1, 0);

        KKTSolver solver = new BasicKKTSolver();
        solver.setHMatrix(H);
        solver.setAMatrix(A);
        solver.setGVector(g);
        solver.setHVector(h);
        DoubleMatrix1D[] sol = solver.solve();
        DoubleMatrix1D v = sol[0];
        DoubleMatrix1D w = sol[1];
        log.debug("v: " + ArrayUtils.toString(v.toArray()));
        log.debug("w: " + ArrayUtils.toString(w.toArray()));

        DoubleMatrix1D a = ALG.mult(H, v).assign(ALG.mult(AT, w), Functions.plus).assign(g, Functions.plus);
        DoubleMatrix1D b = ALG.mult(A, v).assign(h, Functions.plus);
        log.debug("a: " + ArrayUtils.toString(a.toArray()));
        log.debug("b: " + ArrayUtils.toString(b.toArray()));
        for (int i = 0; i < a.size(); i++) {
            assertEquals(0, a.get(i), 1.E-14);
        }
        for (int i = 0; i < b.size(); i++) {
            assertEquals(0, b.get(i), 1.E-14);
        }
    }

    public void testSolve2() throws Exception {
        log.debug("testSolve2");
        double[][] HMatrix = new double[][] { { 1.68, 0.34, 0.38 }, { 0.34, 3.09, -1.59 }, { 0.38, -1.59, 1.54 } };
        double[][] AMatrix = new double[][] { { 1, 2, 3 } };
        DoubleMatrix2D H = F2.make(HMatrix);
        DoubleMatrix2D A = F2.make(AMatrix);
        DoubleMatrix2D AT = ALG.transpose(A.copy());
        DoubleMatrix1D g = F1.make(new double[] { 2, 5, 1 });
        DoubleMatrix1D h = F1.make(new double[] { 1 });

        KKTSolver solver = new BasicKKTSolver();
        solver.setHMatrix(H);
        solver.setAMatrix(A);
        solver.setGVector(g);
        solver.setHVector(h);
        DoubleMatrix1D[] sol = solver.solve();
        DoubleMatrix1D v = sol[0];
        DoubleMatrix1D w = sol[1];
        log.debug("v: " + ArrayUtils.toString(v.toArray()));
        log.debug("w: " + ArrayUtils.toString(w.toArray()));

        DoubleMatrix1D a = ALG.mult(H, v).assign(ALG.mult(AT, w), Functions.plus).assign(g, Functions.plus);
        DoubleMatrix1D b = ALG.mult(A, v).assign(h, Functions.plus);
        log.debug("a: " + ArrayUtils.toString(a.toArray()));
        log.debug("b: " + ArrayUtils.toString(b.toArray()));
        for (int i = 0; i < a.size(); i++) {
            assertEquals(0, a.get(i), 1.E-14);
        }
        for (int i = 0; i < b.size(); i++) {
            assertEquals(0, b.get(i), 1.E-14);
        }
    }
}