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Commit aef9db43 authored by Olivier Stasse's avatar Olivier Stasse Committed by olivier stasse
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Reorganization to have a library for: 

 * eiquadprog-fast
 * eiquadprog

Associated tests + integration tests.
parent 1b32975f
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CMakeLists.txt
View file @ aef9db43
......@@ -48,12 +48,16 @@ SEARCH_FOR_BOOST()
SET(${PROJECT_NAME}_HEADERS
include/${PROJECT_NAME}/eiquadprog.hpp
include/${PROJECT_NAME}/eiquadprog-fast.hpp
include/${PROJECT_NAME}/eiquadprog-fast.hxx
include/${PROJECT_NAME}/eiquadprog-rt.hpp
include/${PROJECT_NAME}/eiquadprog-rt.hxx
)
ADD_LIBRARY(${PROJECT_NAME} INTERFACE)
ADD_LIBRARY(${PROJECT_NAME} SHARED
src/eiquadprog-fast.cpp
src/eiquadprog.cpp
)
TARGET_INCLUDE_DIRECTORIES(${PROJECT_NAME} SYSTEM PRIVATE ${EIGEN3_INCLUDE_DIR})
TARGET_INCLUDE_DIRECTORIES(${PROJECT_NAME} SYSTEM INTERFACE ${EIGEN3_INCLUDE_DIR})
TARGET_INCLUDE_DIRECTORIES(${PROJECT_NAME} INTERFACE $<INSTALL_INTERFACE:include>)
INSTALL(TARGETS ${PROJECT_NAME} EXPORT ${TARGETS_EXPORT_NAME} DESTINATION lib)
......
include/eiquadprog/eiquadprog-fast.hpp
View file @ aef9db43
......@@ -61,10 +61,12 @@ namespace eiquadprog {
namespace solvers {
#include "eiquadprog/eiquadprog-utils.hxx"
/**
* Possible states of the solver.
*/
enum EiquadprogFast_status {
enum EiquadprogFast_status {
EIQUADPROG_FAST_OPTIMAL = 0,
EIQUADPROG_FAST_INFEASIBLE = 1,
EIQUADPROG_FAST_UNBOUNDED = 2,
......@@ -228,7 +230,5 @@ class EiquadprogFast {
} /* namespace solvers */
} /* namespace eiquadprog */
/* --- Details -------------------------------------------------------------------- */
#include "eiquadprog/eiquadprog-fast.hxx"
#endif /* EIQUADPROGFAST_HPP_ */
include/eiquadprog/eiquadprog-rt.hpp
View file @ aef9db43
......@@ -71,6 +71,7 @@ namespace eiquadprog {
namespace solvers {
#include "eiquadprog/eiquadprog-utils.hxx"
/**
* Possible states of the solver.
*/
......@@ -135,14 +136,14 @@ class RtEiquadprog {
* s.t. CE x + ce0 = 0
* CI x + ci0 >= 0
*/
inline RtEiquadprog_status solve_quadprog(const typename RtMatrixX<nVars, nVars>::d& Hess,
const typename RtVectorX<nVars>::d& g0,
const typename RtMatrixX<nEqCon, nVars>::d& CE,
const typename RtVectorX<nEqCon>::d& ce0,
const typename RtMatrixX<nIneqCon, nVars>::d& CI,
const typename RtVectorX<nIneqCon>::d& ci0,
typename RtVectorX<nVars>::d& x);
RtEiquadprog_status solve_quadprog(const typename RtMatrixX<nVars, nVars>::d& Hess,
const typename RtVectorX<nVars>::d& g0,
const typename RtMatrixX<nEqCon, nVars>::d& CE,
const typename RtVectorX<nEqCon>::d& ce0,
const typename RtMatrixX<nIneqCon, nVars>::d& CI,
const typename RtVectorX<nIneqCon>::d& ci0,
typename RtVectorX<nVars>::d& x);
typename RtMatrixX<nVars, nVars>::d m_J; // J * J' = Hessian
bool is_inverse_provided_;
......@@ -244,18 +245,19 @@ class RtEiquadprog {
R.topLeftCorner(iq, iq).template triangularView<Eigen::Upper>().solveInPlace(r.head(iq));
}
inline bool add_constraint(typename RtMatrixX<nVars, nVars>::d& R, typename RtMatrixX<nVars, nVars>::d& J,
bool add_constraint(typename RtMatrixX<nVars, nVars>::d& R, typename RtMatrixX<nVars, nVars>::d& J,
typename RtVectorX<nVars>::d& d, int& iq, double& R_norm);
inline void delete_constraint(typename RtMatrixX<nVars, nVars>::d& R, typename RtMatrixX<nVars, nVars>::d& J,
typename RtVectorX<nIneqCon + nEqCon>::i& A,
typename RtVectorX<nIneqCon + nEqCon>::d& u, int& iq, int l);
void delete_constraint(typename RtMatrixX<nVars, nVars>::d& R, typename RtMatrixX<nVars, nVars>::d& J,
typename RtVectorX<nIneqCon + nEqCon>::i& A,
typename RtVectorX<nIneqCon + nEqCon>::d& u, int& iq, int l);
};
} /* namespace solvers */
} /* namespace eiquadprog */
/* --- Details -------------------------------------------------------------------- */
#include "eiquadprog/eiquadprog-rt.hxx"
/* --- Details -------------------------------------------------------------------- */
#endif /* __eiquadprog_rt_hpp__ */
include/eiquadprog/eiquadprog-rt.hxx
View file @ aef9db43
......@@ -26,9 +26,11 @@ namespace eiquadprog {
namespace solvers {
template <int nVars, int nEqCon, int nIneqCon>
RtEiquadprog<nVars, nEqCon, nIneqCon>::RtEiquadprog() : solver_return_(std::numeric_limits<double>::infinity()) {
RtEiquadprog<nVars, nEqCon, nIneqCon>::RtEiquadprog() :
solver_return_(std::numeric_limits<double>::infinity()) {
m_maxIter = DEFAULT_MAX_ITER;
q = 0; // size of the active set A (containing the indices of the active constraints)
q = 0; // size of the active set A
// (containing the indices of the active constraints)
is_inverse_provided_ = false;
}
......@@ -36,9 +38,10 @@ template <int nVars, int nEqCon, int nIneqCon>
RtEiquadprog<nVars, nEqCon, nIneqCon>::~RtEiquadprog() {}
template <int nVars, int nEqCon, int nIneqCon>
bool RtEiquadprog<nVars, nEqCon, nIneqCon>::add_constraint(typename RtMatrixX<nVars, nVars>::d& R,
typename RtMatrixX<nVars, nVars>::d& J,
typename RtVectorX<nVars>::d& d, int& iq, double& R_norm) {
bool RtEiquadprog<nVars, nEqCon, nIneqCon>::
add_constraint(typename RtMatrixX<nVars, nVars>::d& R,
typename RtMatrixX<nVars, nVars>::d& J,
typename RtVectorX<nVars>::d& d, int& iq, double& R_norm) {
// int n=J.rows();
#ifdef TRACE_SOLVER
std::cerr << "Add constraint " << iq << '/';
......
include/eiquadprog/eiquadprog-utils.hxx
View file @ aef9db43
#ifndef EIQUADPROG_UTILS_HPP_
#define EIQUADPROG_UTILS_HPP_
#include <Eigen/Core>
/// Compute sqrt(a^2 + b^2)
template <typename Scalar>
inline Scalar distance(Scalar a, Scalar b) {
......
include/eiquadprog/eiquadprog.hpp
View file @ aef9db43
......@@ -82,480 +82,58 @@
#include <iostream>
namespace Eigen {
#include "eiquadprog/eiquadprog-utils.hxx"
// namespace internal {
namespace eiquadprog {
namespace solvers {
template <typename Scalar>
inline Scalar distance(Scalar a, Scalar b) {
Scalar a1, b1, t;
a1 = std::abs(a);
b1 = std::abs(b);
if (a1 > b1) {
t = (b1 / a1);
return a1 * std::sqrt(1.0 + t * t);
} else if (b1 > a1) {
t = (a1 / b1);
return b1 * std::sqrt(1.0 + t * t);
}
return a1 * std::sqrt(2.0);
}
// }
inline void compute_d(Eigen::VectorXd& d, const Eigen::MatrixXd& J,
const Eigen::VectorXd& np)
{ d = J.adjoint() * np; }
inline void compute_d(VectorXd& d, const MatrixXd& J, const VectorXd& np) { d = J.adjoint() * np; }
inline void update_z(VectorXd& z, const MatrixXd& J, const VectorXd& d, size_t iq) {
inline void update_z(Eigen::VectorXd& z, const Eigen::MatrixXd& J,
const Eigen::VectorXd& d,
size_t iq) {
z = J.rightCols(z.size() - iq) * d.tail(d.size() - iq);
}
inline void update_r(const MatrixXd& R, VectorXd& r, const VectorXd& d, size_t iq) {
r.head(iq) = R.topLeftCorner(iq, iq).triangularView<Upper>().solve(d.head(iq));
inline void update_r(const Eigen::MatrixXd& R, Eigen::VectorXd& r,
const Eigen::VectorXd& d,
size_t iq) {
r.head(iq) = R.topLeftCorner(iq, iq).triangularView<Eigen::Upper>().
solve(d.head(iq));
}
bool add_constraint(MatrixXd& R, MatrixXd& J, VectorXd& d, size_t& iq, double& R_norm);
void delete_constraint(MatrixXd& R, MatrixXd& J, VectorXi& A, VectorXd& u, size_t p, size_t& iq, size_t l);
/* solve_quadprog2 is used when the Cholesky decomposition of the G matrix is precomputed */
double solve_quadprog2(LLT<MatrixXd, Lower>& chol, double c1, VectorXd& g0, const MatrixXd& CE, const VectorXd& ce0,
const MatrixXd& CI, const VectorXd& ci0, VectorXd& x, VectorXi& A, size_t& q);
bool add_constraint(Eigen::MatrixXd& R, Eigen::MatrixXd& J,
Eigen::VectorXd& d,
size_t& iq, double& R_norm);
void delete_constraint(Eigen::MatrixXd& R, Eigen::MatrixXd& J,
Eigen::VectorXi& A,
Eigen::VectorXd& u, size_t p, size_t& iq, size_t l);
/* solve_quadprog2 is used when the Cholesky decomposition of the G
matrix is precomputed */
double solve_quadprog2(Eigen::LLT<Eigen::MatrixXd, Eigen::Lower>& chol,
double c1,
Eigen::VectorXd& g0, const Eigen::MatrixXd& CE,
const Eigen::VectorXd& ce0,
const Eigen::MatrixXd& CI, const Eigen::VectorXd& ci0,
Eigen::VectorXd& x,
Eigen::VectorXi& A, size_t& q);
/* solve_quadprog is used for on-demand QP solving */
inline double solve_quadprog(MatrixXd& G, VectorXd& g0, const MatrixXd& CE, const VectorXd& ce0, const MatrixXd& CI,
const VectorXd& ci0, VectorXd& x, VectorXi& activeSet, size_t& activeSetSize) {
LLT<MatrixXd, Lower> chol(G.cols());
double c1;
/* compute the trace of the original matrix G */
c1 = G.trace();
/* decompose the matrix G in the form LL^T */
chol.compute(G);
return solve_quadprog2(chol, c1, g0, CE, ce0, CI, ci0, x, activeSet, activeSetSize);
}
/* solve_quadprog2 is used for when the Cholesky decomposition of G is pre-computed
* @param A Output vector containing the indexes of the active constraints.
* @param q Output value representing the size of the active set.
*/
inline double solve_quadprog2(LLT<MatrixXd, Lower>& chol, double c1, VectorXd& g0, const MatrixXd& CE,
const VectorXd& ce0, const MatrixXd& CI, const VectorXd& ci0, VectorXd& x, VectorXi& A,
size_t& q) {
size_t i, k, l; /* indices */
size_t ip, me, mi;
size_t n = g0.size();
size_t p = CE.cols();
size_t m = CI.cols();
MatrixXd R(g0.size(), g0.size()), J(g0.size(), g0.size());
VectorXd s(m + p), z(n), r(m + p), d(n), np(n), u(m + p);
VectorXd x_old(n), u_old(m + p);
double f_value, psi, c2, sum, ss, R_norm;
const double inf = std::numeric_limits<double>::infinity();
double t, t1, t2; /* t is the step length, which is the minimum of the partial step length t1
* and the full step length t2 */
// VectorXi A(m + p); // Del Prete: active set is now an output parameter
if (static_cast<size_t>(A.size()) != m + p) A.resize(m + p);
VectorXi A_old(m + p), iai(m + p), iaexcl(m + p);
// int q;
size_t iq, iter = 0;
me = p; /* number of equality constraints */
mi = m; /* number of inequality constraints */
q = 0; /* size of the active set A (containing the indices of the active constraints) */
/*
* Preprocessing phase
*/
/* initialize the matrix R */
d.setZero();
R.setZero();
R_norm = 1.0; /* this variable will hold the norm of the matrix R */
/* compute the inverse of the factorized matrix G^-1, this is the initial value for H */
// J = L^-T
J.setIdentity();
J = chol.matrixU().solve(J);
c2 = J.trace();
#ifdef TRACE_SOLVER
print_matrix("J", J, n);
#endif
/* c1 * c2 is an estimate for cond(G) */
/*
* Find the unconstrained minimizer of the quadratic form 0.5 * x G x + g0 x
* this is a feasible point in the dual space
* x = G^-1 * g0
*/
x = chol.solve(g0);
x = -x;
/* and compute the current solution value */
f_value = 0.5 * g0.dot(x);
#ifdef TRACE_SOLVER
std::cerr << "Unconstrained solution: " << f_value << std::endl;
print_vector("x", x, n);
#endif
/* Add equality constraints to the working set A */
iq = 0;
for (i = 0; i < me; i++) {
np = CE.col(i);
compute_d(d, J, np);
update_z(z, J, d, iq);
update_r(R, r, d, iq);
#ifdef TRACE_SOLVER
print_matrix("R", R, iq);
print_vector("z", z, n);
print_vector("r", r, iq);
print_vector("d", d, n);
#endif
/* compute full step length t2: i.e., the minimum step in primal space s.t. the contraint
becomes feasible */
t2 = 0.0;
if (std::abs(z.dot(z)) > std::numeric_limits<double>::epsilon()) // i.e. z != 0
t2 = (-np.dot(x) - ce0(i)) / z.dot(np);
x += t2 * z;
/* set u = u+ */
u(iq) = t2;
u.head(iq) -= t2 * r.head(iq);
/* compute the new solution value */
f_value += 0.5 * (t2 * t2) * z.dot(np);
A(i) = static_cast<VectorXi::Scalar>(-i - 1);
if (!add_constraint(R, J, d, iq, R_norm)) {
// FIXME: it should raise an error
// Equality constraints are linearly dependent
return f_value;
}
}
/* set iai = K \ A */
for (i = 0; i < mi; i++) iai(i) = static_cast<VectorXi::Scalar>(i);
l1:
iter++;
#ifdef TRACE_SOLVER
print_vector("x", x, n);
#endif
/* step 1: choose a violated constraint */
for (i = me; i < iq; i++) {
ip = A(i);
iai(ip) = -1;
}
/* compute s(x) = ci^T * x + ci0 for all elements of K \ A */
ss = 0.0;
psi = 0.0; /* this value will contain the sum of all infeasibilities */
ip = 0; /* ip will be the index of the chosen violated constraint */
for (i = 0; i < mi; i++) {
iaexcl(i) = 1;
sum = CI.col(i).dot(x) + ci0(i);
s(i) = sum;
psi += std::min(0.0, sum);
}
#ifdef TRACE_SOLVER
print_vector("s", s, mi);
#endif
if (std::abs(psi) <= static_cast<double>(mi) * std::numeric_limits<double>::epsilon() * c1 * c2 * 100.0) {
/* numerically there are not infeasibilities anymore */
q = iq;
return f_value;
}
/* save old values for u, x and A */
u_old.head(iq) = u.head(iq);
A_old.head(iq) = A.head(iq);
x_old = x;
l2: /* Step 2: check for feasibility and determine a new S-pair */
for (i = 0; i < mi; i++) {
if (s(i) < ss && iai(i) != -1 && iaexcl(i)) {
ss = s(i);
ip = i;
}
}
if (ss >= 0.0) {
q = iq;
return f_value;
}
/* set np = n(ip) */
np = CI.col(ip);
/* set u = (u 0)^T */
u(iq) = 0.0;
/* add ip to the active set A */
A(iq) = static_cast<VectorXi::Scalar>(ip);
#ifdef TRACE_SOLVER
std::cerr << "Trying with constraint " << ip << std::endl;
print_vector("np", np, n);
#endif
l2a: /* Step 2a: determine step direction */
/* compute z = H np: the step direction in the primal space (through J, see the paper) */
compute_d(d, J, np);
update_z(z, J, d, iq);
/* compute N* np (if q > 0): the negative of the step direction in the dual space */
update_r(R, r, d, iq);
#ifdef TRACE_SOLVER
std::cerr << "Step direction z" << std::endl;
print_vector("z", z, n);
print_vector("r", r, iq + 1);
print_vector("u", u, iq + 1);
print_vector("d", d, n);
print_ivector("A", A, iq + 1);
#endif
/* Step 2b: compute step length */
l = 0;
/* Compute t1: partial step length (maximum step in dual space without violating dual feasibility */
t1 = inf; /* +inf */
/* find the index l s.t. it reaches the minimum of u+(x) / r */
for (k = me; k < iq; k++) {
double tmp;
if (r(k) > 0.0 && ((tmp = u(k) / r(k)) < t1)) {
t1 = tmp;
l = A(k);
}
}
/* Compute t2: full step length (minimum step in primal space such that the constraint ip becomes feasible */
if (std::abs(z.dot(z)) > std::numeric_limits<double>::epsilon()) // i.e. z != 0
t2 = -s(ip) / z.dot(np);
else
t2 = inf; /* +inf */
/* the step is chosen as the minimum of t1 and t2 */
t = std::min(t1, t2);
#ifdef TRACE_SOLVER
std::cerr << "Step sizes: " << t << " (t1 = " << t1 << ", t2 = " << t2 << ") ";
#endif
/* Step 2c: determine new S-pair and take step: */
/* case (i): no step in primal or dual space */
if (t >= inf) {
/* QPP is infeasible */
// FIXME: unbounded to raise
q = iq;
return inf;
}
/* case (ii): step in dual space */
if (t2 >= inf) {
/* set u = u + t * [-r 1) and drop constraint l from the active set A */
u.head(iq) -= t * r.head(iq);
u(iq) += t;
iai(l) = static_cast<VectorXi::Scalar>(l);
delete_constraint(R, J, A, u, p, iq, l);
#ifdef TRACE_SOLVER
std::cerr << " in dual space: " << f_value << std::endl;
print_vector("x", x, n);
print_vector("z", z, n);
print_ivector("A", A, iq + 1);
#endif
goto l2a;
}
/* case (iii): step in primal and dual space */
x += t * z;
/* update the solution value */
f_value += t * z.dot(np) * (0.5 * t + u(iq));
u.head(iq) -= t * r.head(iq);
u(iq) += t;
#ifdef TRACE_SOLVER
std::cerr << " in both spaces: " << f_value << std::endl;
print_vector("x", x, n);
print_vector("u", u, iq + 1);
print_vector("r", r, iq + 1);
print_ivector("A", A, iq + 1);
#endif
if (t == t2) {
#ifdef TRACE_SOLVER
std::cerr << "Full step has taken " << t << std::endl;
print_vector("x", x, n);
#endif
/* full step has taken */
/* add constraint ip to the active set*/
if (!add_constraint(R, J, d, iq, R_norm)) {
iaexcl(ip) = 0;
delete_constraint(R, J, A, u, p, iq, ip);
#ifdef TRACE_SOLVER
print_matrix("R", R, n);
print_ivector("A", A, iq);
#endif
for (i = 0; i < m; i++) iai(i) = static_cast<VectorXi::Scalar>(i);
for (i = 0; i < iq; i++) {
A(i) = A_old(i);
iai(A(i)) = -1;
u(i) = u_old(i);
}
x = x_old;
goto l2; /* go to step 2 */
} else
iai(ip) = -1;
#ifdef TRACE_SOLVER
print_matrix("R", R, n);
print_ivector("A", A, iq);
#endif
goto l1;
}
/* a patial step has taken */
#ifdef TRACE_SOLVER
std::cerr << "Partial step has taken " << t << std::endl;
print_vector("x", x, n);
#endif
/* drop constraint l */
iai(l) = static_cast<VectorXi::Scalar>(l);
delete_constraint(R, J, A, u, p, iq, l);
#ifdef TRACE_SOLVER
print_matrix("R", R, n);
print_ivector("A", A, iq);
#endif
s(ip) = CI.col(ip).dot(x) + ci0(ip);
#ifdef TRACE_SOLVER
print_vector("s", s, mi);
#endif
goto l2a;
}
inline bool add_constraint(MatrixXd& R, MatrixXd& J, VectorXd& d, size_t& iq, double& R_norm) {
size_t n = J.rows();
#ifdef TRACE_SOLVER
std::cerr << "Add constraint " << iq << '/';
#endif
size_t j, k;
double cc, ss, h, t1, t2, xny;
/* we have to find the Givens rotation which will reduce the element
d(j) to zero.
if it is already zero we don't have to do anything, except of
decreasing j */
for (j = n - 1; j >= iq + 1; j--) {
/* The Givens rotation is done with the matrix (cc cs, cs -cc).
If cc is one, then element (j) of d is zero compared with element
(j - 1). Hence we don't have to do anything.
If cc is zero, then we just have to switch column (j) and column (j - 1)
of J. Since we only switch columns in J, we have to be careful how we
update d depending on the sign of gs.
Otherwise we have to apply the Givens rotation to these columns.
The i - 1 element of d has to be updated to h. */
cc = d(j - 1);
ss = d(j);
h = distance(cc, ss);
if (h == 0.0) continue;
d(j) = 0.0;
ss = ss / h;
cc = cc / h;
if (cc < 0.0) {
cc = -cc;
ss = -ss;
d(j - 1) = -h;
} else
d(j - 1) = h;
xny = ss / (1.0 + cc);
for (k = 0; k < n; k++) {
t1 = J(k, j - 1);
t2 = J(k, j);
J(k, j - 1) = t1 * cc + t2 * ss;
J(k, j) = xny * (t1 + J(k, j - 1)) - t2;
}
}
/* update the number of constraints added*/
iq++;
/* To update R we have to put the iq components of the d vector
into column iq - 1 of R
*/
R.col(iq - 1).head(iq) = d.head(iq);
#ifdef TRACE_SOLVER
std::cerr << iq << std::endl;
#endif
double solve_quadprog(Eigen::MatrixXd& G,
Eigen::VectorXd& g0,
const Eigen::MatrixXd& CE,
const Eigen::VectorXd& ce0,
const Eigen::MatrixXd& CI,
const Eigen::VectorXd& ci0, Eigen::VectorXd& x,
Eigen::VectorXi& activeSet, size_t& activeSetSize);
// }
if (std::abs(d(iq - 1)) <= std::numeric_limits<double>::epsilon() * R_norm)
// problem degenerate
return false;