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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2008 Gael Guennebaud <gael.guennebaud@inria.fr>
/* NOTE The functions of this file have been adapted from the GMM++ library */
//========================================================================
//
// Copyright (C) 2002-2007 Yves Renard
//
// This file is a part of GETFEM++
//
// Getfem++ is free software; you can redistribute it and/or modify
// it under the terms of the GNU Lesser General Public License as
// published by the Free Software Foundation; version 2.1 of the License.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Lesser General Public License for more details.
// You should have received a copy of the GNU Lesser General Public
// License along with this program; if not, write to the Free Software
// Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301,
// USA.
//
//========================================================================
#include "../../../../Eigen/src/Core/util/NonMPL2.h"
#ifndef EIGEN_CONSTRAINEDCG_H
#define EIGEN_CONSTRAINEDCG_H
#include "../../../../Eigen/Core"
namespace Eigen {
namespace internal {
/** \ingroup IterativeSolvers_Module
* Compute the pseudo inverse of the non-square matrix C such that
* \f$ CINV = (C * C^T)^{-1} * C \f$ based on a conjugate gradient method.
*
* This function is internally used by constrained_cg.
*/
template <typename CMatrix, typename CINVMatrix>
void pseudo_inverse(const CMatrix &C, CINVMatrix &CINV)
{
// optimisable : copie de la ligne, precalcul de C * trans(C).
typedef typename CMatrix::Scalar Scalar;
typedef typename CMatrix::Index Index;
// FIXME use sparse vectors ?
typedef Matrix<Scalar,Dynamic,1> TmpVec;
Index rows = C.rows(), cols = C.cols();
TmpVec d(rows), e(rows), l(cols), p(rows), q(rows), r(rows);
Scalar rho, rho_1, alpha;
d.setZero();
typedef Triplet<double> T;
std::vector<T> tripletList;
for (Index i = 0; i < rows; ++i)
{
d[i] = 1.0;
rho = 1.0;
e.setZero();
r = d;
p = d;
while (rho >= 1e-38)
{ /* conjugate gradient to compute e */
/* which is the i-th row of inv(C * trans(C)) */
l = C.transpose() * p;
q = C * l;
alpha = rho / p.dot(q);
e += alpha * p;
r += -alpha * q;
rho_1 = rho;
rho = r.dot(r);
p = (rho/rho_1) * p + r;
}
l = C.transpose() * e; // l is the i-th row of CINV
// FIXME add a generic "prune/filter" expression for both dense and sparse object to sparse
for (Index j=0; j<l.size(); ++j)
if (l[j]<1e-15)
tripletList.push_back(T(i,j,l(j)));
d[i] = 0.0;
}
CINV.setFromTriplets(tripletList.begin(), tripletList.end());
}
/** \ingroup IterativeSolvers_Module
* Constrained conjugate gradient
*
* Computes the minimum of \f$ 1/2((Ax).x) - bx \f$ under the constraint \f$ Cx \le f \f$
*/
template<typename TMatrix, typename CMatrix,
typename VectorX, typename VectorB, typename VectorF>
void constrained_cg(const TMatrix& A, const CMatrix& C, VectorX& x,
const VectorB& b, const VectorF& f, IterationController &iter)
{
using std::sqrt;
typedef typename TMatrix::Scalar Scalar;
typedef typename TMatrix::Index Index;
typedef Matrix<Scalar,Dynamic,1> TmpVec;
Scalar rho = 1.0, rho_1, lambda, gamma;
Index xSize = x.size();
TmpVec p(xSize), q(xSize), q2(xSize),
r(xSize), old_z(xSize), z(xSize),
memox(xSize);
std::vector<bool> satured(C.rows());
p.setZero();
iter.setRhsNorm(sqrt(b.dot(b))); // gael vect_sp(PS, b, b)
if (iter.rhsNorm() == 0.0) iter.setRhsNorm(1.0);
SparseMatrix<Scalar,RowMajor> CINV(C.rows(), C.cols());
pseudo_inverse(C, CINV);
while(true)
{
// computation of residual
old_z = z;
memox = x;
r = b;
r += A * -x;
z = r;
bool transition = false;
for (Index i = 0; i < C.rows(); ++i)
{
Scalar al = C.row(i).dot(x) - f.coeff(i);
if (al >= -1.0E-15)
{
if (!satured[i])
{
satured[i] = true;
transition = true;
}
Scalar bb = CINV.row(i).dot(z);
if (bb > 0.0)
// FIXME: we should allow that: z += -bb * C.row(i);
for (typename CMatrix::InnerIterator it(C,i); it; ++it)
z.coeffRef(it.index()) -= bb*it.value();
}
else
satured[i] = false;
}
// descent direction
rho_1 = rho;
rho = r.dot(z);
if (iter.finished(rho)) break;
if (transition || iter.first()) gamma = 0.0;
else gamma = (std::max)(0.0, (rho - old_z.dot(z)) / rho_1);
p = z + gamma*p;
++iter;
// one dimensionnal optimization
q = A * p;
lambda = rho / q.dot(p);
for (Index i = 0; i < C.rows(); ++i)
{
if (!satured[i])
{
Scalar bb = C.row(i).dot(p) - f[i];
if (bb > 0.0)
lambda = (std::min)(lambda, (f.coeff(i)-C.row(i).dot(x)) / bb);
}
}
x += lambda * p;
memox -= x;
}
}
} // end namespace internal
} // end namespace Eigen
#endif // EIGEN_CONSTRAINEDCG_H
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