chol_solve_as Class Reference

Solves KKT system using Cholesky decomposition. More...

#include <chol_solve_as.h>

List of all members.

Public Member Functions
	chol_solve_as (const int)
	Constructor.
	~chol_solve_as ()
void	solve (const problem_parameters &, const double *, const double *, double *)
	Determines feasible descent direction.
void	up_resolve (const problem_parameters &, const double *, const int, const int *, const double *, double *)
	A wrapper around private functions, which update Cholesky factor and resolve the system.
double *	get_lambda (const problem_parameters &)
void	down_resolve (const problem_parameters &, const double *, const int, const int *, const int, const double *, double *)
	A wrapper around private functions, which downdate Cholesky factor and resolve the system.
Private Member Functions
void	update (const problem_parameters &, const int, const int *)
	Adds a row corresponding to some inequality constraint to L, see 'Algorithm of Cholesky factor update'.
void	update_z (const problem_parameters &, const double *, const int, const int *, const double *)
	Adjust vector 'z' after update.
void	downdate (const problem_parameters &, const int, const int, const double *)
	Delete a line from icL, see page 'Downdate of Cholesky factor'.
void	resolve (const problem_parameters &, const double *, const int, const int *, const double *, double *)
	Determines feasible descent direction with respect to added inequality constraints.
void	form_sa_row (const problem_parameters &, const int, const int, double *)
	Forms row vector 's_a' (Update of Cholesky factor).
Private Attributes
double *	nu
	Vector of Lagrange multipliers.
double *	XiHg
matrix_E	E
	matrix of equality constraints
matrix_ecL_as	ecL
	L for equality constraints, see 'Cholesky factor'.
double **	icL
	L for inequality constraints, see 'Cholesky factor'.
double *	icL_mem
	All lines of icL are stored in one chunk of memory.
double *	z
	Vector z.

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Detailed Description

Solves KKT system using Cholesky decomposition.

Definition at line 33 of file chol_solve_as.h.

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Constructor & Destructor Documentation

chol_solve_as::chol_solve_as

(

const int

N

)

Constructor.

Parameters:

[in]

N

size of the preview window.

Definition at line 31 of file chol_solve_as.cpp.

chol_solve_as::~chol_solve_as

(

)

Definition at line 46 of file chol_solve_as.cpp.

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Member Function Documentation

void chol_solve_as::down_resolve	(	const problem_parameters &	ppar,
		const double *	iHg,
		const int	nW,
		const int *	W,
		const int	ind_exclude,
		const double *	x,
		double *	dx
	)

A wrapper around private functions, which downdate Cholesky factor and resolve the system.

Parameters:

[in]	ppar	parameters.
[in]	iHg	inverted hessian * g.
[in]	nW	number of added constrains (without removed constraint).
[in]	W	indicies of added constraints (without removed constraint).
[in]	ind_exclude	index of excluded constraint.
[in]	x	initial guess.
[out]	dx	feasible descent direction, must be allocated.

Note:

Downdate of vector pz 'z' is described on the page 'Downdate of z'.

Definition at line 444 of file chol_solve_as.cpp.

void chol_solve_as::downdate	(	const problem_parameters &	ppar,
		const int	nW,
		const int	ind_exclude,
		const double *	x
	)		[private]

Delete a line from icL, see page 'Downdate of Cholesky factor'.

Parameters:

[in]	ppar	parameters.
[in]	nW	number of added constrains.
[in]	ind_exclude	index of excluded constraint.
[in]	x	initial guess.

Definition at line 522 of file chol_solve_as.cpp.

void chol_solve_as::form_sa_row	(	const problem_parameters &	ppar,
		const int	ic_num,
		const int	var_num,
		double *	row
	)		[private]

Forms row vector 's_a' (Update of Cholesky factor).

Parameters:

[in]	ppar	parameters
[in]	ic_num	number of constraint, for example 5 if 4 are already added
[in]	var_num	number of constrained variable
[out]	row	's_a' row

Definition at line 71 of file chol_solve_as.cpp.

double * chol_solve_as::get_lambda

(

const problem_parameters &

ppar

)

Returns:

a pointer to the memory where current lambdas are stored.

Parameters:

[in]

ppar

parameters

Definition at line 506 of file chol_solve_as.cpp.

void chol_solve_as::resolve	(	const problem_parameters &	ppar,
		const double *	iHg,
		const int	nW,
		const int *	W,
		const double *	x,
		double *	dx
	)		[private]

Determines feasible descent direction with respect to added inequality constraints.

Parameters:

[in]	ppar	parameters.
[in]	iHg	inverted hessian * g.
[in]	nW	number of added constrains.
[in]	W	indicies of added constraints.
[in]	x	initial guess.
[out]	dx	feasible descent direction, must be allocated.

Definition at line 369 of file chol_solve_as.cpp.

void chol_solve_as::solve	(	const problem_parameters &	ppar,
		const double *	iHg,
		const double *	x,
		double *	dx
	)

Determines feasible descent direction.

Parameters:

[in]	ppar	parameters.
[in]	iHg	inverted hessian * g.
[in]	x	initial guess.
[out]	dx	feasible descent direction, must be allocated.

Definition at line 132 of file chol_solve_as.cpp.

void chol_solve_as::up_resolve	(	const problem_parameters &	ppar,
		const double *	iHg,
		const int	nW,
		const int *	W,
		const double *	x,
		double *	dx
	)

A wrapper around private functions, which update Cholesky factor and resolve the system.

Parameters:

[in]	ppar	parameters.
[in]	iHg	inverted hessian * g.
[in]	nW	number of added constrains.
[in]	W	indicies of added constraints.
[in]	x	initial guess.
[out]	dx	feasible descent direction, must be allocated.

Definition at line 202 of file chol_solve_as.cpp.

void chol_solve_as::update	(	const problem_parameters &	ppar,
		const int	nW,
		const int *	W
	)		[private]

Adds a row corresponding to some inequality constraint to L, see 'Algorithm of Cholesky factor update'.

Parameters:

[in]	ppar	parameters.
[in]	nW	number of added inequality constraints + 1.
[in]	W	indexes of added inequality constraints + one index to be added.

Definition at line 224 of file chol_solve_as.cpp.

void chol_solve_as::update_z	(	const problem_parameters &	ppar,
		const double *	iHg,
		const int	nW,
		const int *	W,
		const double *	x
	)		[private]

Adjust vector 'z' after update.

Parameters:

[in]	ppar	parameters.
[in]	iHg	inverted hessian * g.
[in]	nW	number of added constrains.
[in]	W	indicies of added constraints.
[in]	x	initial guess.

Definition at line 326 of file chol_solve_as.cpp.

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Member Data Documentation

matrix_E chol_solve_as::E [private]

matrix of equality constraints

Definition at line 67 of file chol_solve_as.h.

matrix_ecL_as chol_solve_as::ecL [private]

L for equality constraints, see 'Cholesky factor'.

Definition at line 70 of file chol_solve_as.h.

double** chol_solve_as::icL [private]

L for inequality constraints, see 'Cholesky factor'.

Definition at line 73 of file chol_solve_as.h.

double* chol_solve_as::icL_mem [private]

All lines of icL are stored in one chunk of memory.

Definition at line 76 of file chol_solve_as.h.

double* chol_solve_as::nu [private]

Vector of Lagrange multipliers.

Definition at line 61 of file chol_solve_as.h.

double* chol_solve_as::XiHg [private]

• (X + problem_parameters::iHg)

Definition at line 64 of file chol_solve_as.h.

double* chol_solve_as::z [private]

Vector z.

Definition at line 79 of file chol_solve_as.h.

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The documentation for this class was generated from the following files:

• solver/chol_solve_as.h
• solver/chol_solve_as.cpp