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Support already factored H in DAQPProblem (#54) #59

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5 changes: 5 additions & 0 deletions include/types.h
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Original file line number Diff line number Diff line change
Expand Up @@ -29,6 +29,9 @@ typedef struct{
// sense define the state of the constraints
// (active, immutable, upper/lower, soft, binary).

// if is_factored != 0, field H contains the Cholesky factor R, where H=R'R
// H has dimension n*n if !is_factored, n*(n+1)/2 if is_factored

int n;
int m;
int ms;
Expand All @@ -42,6 +45,8 @@ typedef struct{

int* sense;

int is_factored;

}DAQPProblem;

typedef struct{
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92 changes: 63 additions & 29 deletions src/utils.c
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Original file line number Diff line number Diff line change
Expand Up @@ -87,9 +87,10 @@ int update_ldp(const int mask, DAQPWorkspace *work){
int update_Rinv(DAQPWorkspace *work){
int i,j,k,disp,disp2,disp3;
const int n = NX;
int is_factored = work->qp->is_factored;
// Check if diagonal
int is_diagonal = 1;
for (i=0,disp=1; i<n; i++, disp+=i+1){
for (i=0,disp=1; i<n; i++, disp+=(is_factored?1:(i+1))){
for (j=1; j<n-i; j++,disp++) {
if(work->qp->H[disp] > 1e-12 || work->qp->H[disp] < -1e-12){
is_diagonal=0;
Expand All @@ -107,21 +108,41 @@ int update_Rinv(DAQPWorkspace *work){
}
c_float Hi;
i=0; disp=0;
if(work->scaling != NULL){
for(;i<N_SIMPLE;i++,disp+=n){ // Combine with settings scaling
Hi = work->qp->H[disp++]+work->settings->eps_prox;
if (is_factored) {
if(work->scaling != NULL){
for(;i<N_SIMPLE;disp+=n-(i++)){ // Combine with settings scaling
Hi = work->qp->H[disp];
if (work->settings->eps_prox != 0.) {
Hi = sqrt(Hi*Hi+work->settings->eps_prox);
}
work->RinvD[i] = 1/Hi;
work->scaling[i] = Hi;
}
}
for(;i<n;disp+=n-(i++)){
Hi = work->qp->H[disp];
if (work->settings->eps_prox != 0.) {
Hi = sqrt(Hi*Hi+work->settings->eps_prox);
}
work->RinvD[i] = 1/Hi;
}
} else {
if(work->scaling != NULL){
for(;i<N_SIMPLE;i++,disp+=n){ // Combine with settings scaling
Hi = work->qp->H[disp++]+work->settings->eps_prox;
if (Hi <= 0) return EXIT_NONCONVEX;
Hi = sqrt(Hi);
work->RinvD[i] = 1/Hi;
work->scaling[i] = Hi;
}
}
for(;i<n;i++,disp+=n){
Hi = work->qp->H[disp++] + work->settings->eps_prox;
if (Hi <= 0) return EXIT_NONCONVEX;
Hi = sqrt(Hi);
work->RinvD[i] = 1/Hi;
work->scaling[i] = Hi;
}
}
for(;i<n;i++,disp+=n){
Hi = work->qp->H[disp++] + work->settings->eps_prox;
if (Hi <= 0) return EXIT_NONCONVEX;
Hi = sqrt(Hi);
work->RinvD[i] = 1/Hi;
}
return 1;
}
// Make sure Rinv can be assinged if not diagonal
Expand All @@ -131,27 +152,40 @@ int update_Rinv(DAQPWorkspace *work){
work->RinvD = NULL;
}

if (is_factored) {
for(i=0,disp=0;i<n;i++){
// Diagonal element
// Store 1/r_ii instead of r_ii
// to get multiplication instead division when forward/backward substituting
work->Rinv[disp] = 1/work->qp->H[disp];
disp++;
// Off-diagonal elements
for (j=i+1; j<n; j++,disp++) {
work->Rinv[disp] = work->qp->H[disp];
}
}
} else {
// Cholesky
for (i=0,disp=0,disp3=0; i<n; disp+=n-i,i++,disp3+=i) {
// Diagonal element
work->Rinv[disp] = work->qp->H[disp3++]+work->settings->eps_prox;// Add regularization
for (k=0,disp2=i; k<i; k++,disp2+=n-k)
work->Rinv[disp] -= work->Rinv[disp2]*work->Rinv[disp2];
if (work->Rinv[disp] <= 0) return EXIT_NONCONVEX; // Not positive definite

// Cholesky
for (i=0,disp=0,disp3=0; i<n; disp+=n-i,i++,disp3+=i) {
// Diagonal element
work->Rinv[disp] = work->qp->H[disp3++]+work->settings->eps_prox;// Add regularization
for (k=0,disp2=i; k<i; k++,disp2+=n-k)
work->Rinv[disp] -= work->Rinv[disp2]*work->Rinv[disp2];
if (work->Rinv[disp] <= 0) return EXIT_NONCONVEX; // Not positive definite

work->Rinv[disp] = sqrt(work->Rinv[disp]);
work->Rinv[disp] = sqrt(work->Rinv[disp]);

// Off-diagonal elements
for (j=1; j<n-i; j++) {
work->Rinv[disp+j]=work->qp->H[disp3++];
for (k=0,disp2=i; k<i; k++,disp2+=n-k)
work->Rinv[disp+j] -= work->Rinv[disp2]*work->Rinv[disp2+j];
work->Rinv[disp+j] /= work->Rinv[disp];
// Off-diagonal elements
for (j=1; j<n-i; j++) {
work->Rinv[disp+j]=work->qp->H[disp3++];
for (k=0,disp2=i; k<i; k++,disp2+=n-k)
work->Rinv[disp+j] -= work->Rinv[disp2]*work->Rinv[disp2+j];
work->Rinv[disp+j] /= work->Rinv[disp];
}
// Store 1/r_ii instead of r_ii
// to get multiplication instead division when forward/backward substituting
work->Rinv[disp] = 1/work->Rinv[disp];
}
// Store 1/r_ii instead of r_ii
// to get multiplication instead division when forward/backward substituting
work->Rinv[disp] = 1/work->Rinv[disp];
}

// Compute Rinv (store in R) by Rinv = R\I
Expand Down