1 | /* $Id: ClpPredictorCorrector.hpp 1665 2011-01-04 17:55:54Z stefan $ */ |
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2 | // Copyright (C) 2003, International Business Machines |
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3 | // Corporation and others. All Rights Reserved. |
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4 | // This code is licensed under the terms of the Eclipse Public License (EPL). |
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5 | /* |
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6 | Authors |
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7 | |
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8 | John Forrest |
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9 | |
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10 | */ |
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11 | #ifndef ClpPredictorCorrector_H |
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12 | #define ClpPredictorCorrector_H |
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13 | |
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14 | #include "ClpInterior.hpp" |
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15 | |
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16 | /** This solves LPs using the predictor-corrector method due to Mehrotra. |
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17 | It also uses multiple centrality corrections as in Gondzio. |
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18 | |
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19 | See; |
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20 | S. Mehrotra, "On the implementation of a primal-dual interior point method", |
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21 | SIAM Journal on optimization, 2 (1992) |
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22 | J. Gondzio, "Multiple centraility corrections in a primal-dual method for linear programming", |
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23 | Computational Optimization and Applications",6 (1996) |
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24 | |
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25 | |
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26 | It is rather basic as Interior point is not my speciality |
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27 | |
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28 | It inherits from ClpInterior. It has no data of its own and |
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29 | is never created - only cast from a ClpInterior object at algorithm time. |
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30 | |
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31 | It can also solve QPs |
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32 | |
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33 | |
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34 | |
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35 | */ |
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36 | |
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37 | class ClpPredictorCorrector : public ClpInterior { |
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38 | |
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39 | public: |
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40 | |
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41 | /**@name Description of algorithm */ |
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42 | //@{ |
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43 | /** Primal Dual Predictor Corrector algorithm |
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44 | |
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45 | Method |
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46 | |
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47 | Big TODO |
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48 | */ |
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49 | |
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50 | int solve(); |
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51 | //@} |
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52 | |
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53 | /**@name Functions used in algorithm */ |
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54 | //@{ |
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55 | /// findStepLength. |
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56 | //phase - 0 predictor |
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57 | // 1 corrector |
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58 | // 2 primal dual |
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59 | CoinWorkDouble findStepLength( int phase); |
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60 | /// findDirectionVector. |
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61 | CoinWorkDouble findDirectionVector(const int phase); |
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62 | /// createSolution. Creates solution from scratch (- code if no memory) |
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63 | int createSolution(); |
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64 | /// complementarityGap. Computes gap |
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65 | //phase 0=as is , 1 = after predictor , 2 after corrector |
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66 | CoinWorkDouble complementarityGap(int & numberComplementarityPairs, int & numberComplementarityItems, |
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67 | const int phase); |
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68 | /// setupForSolve. |
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69 | //phase 0=affine , 1 = corrector , 2 = primal-dual |
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70 | void setupForSolve(const int phase); |
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71 | /** Does solve. region1 is for deltaX (columns+rows), region2 for deltaPi (rows) */ |
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72 | void solveSystem(CoinWorkDouble * region1, CoinWorkDouble * region2, |
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73 | const CoinWorkDouble * region1In, const CoinWorkDouble * region2In, |
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74 | const CoinWorkDouble * saveRegion1, const CoinWorkDouble * saveRegion2, |
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75 | bool gentleRefine); |
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76 | /// sees if looks plausible change in complementarity |
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77 | bool checkGoodMove(const bool doCorrector, CoinWorkDouble & bestNextGap, |
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78 | bool allowIncreasingGap); |
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79 | ///: checks for one step size |
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80 | bool checkGoodMove2(CoinWorkDouble move, CoinWorkDouble & bestNextGap, |
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81 | bool allowIncreasingGap); |
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82 | /// updateSolution. Updates solution at end of iteration |
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83 | //returns number fixed |
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84 | int updateSolution(CoinWorkDouble nextGap); |
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85 | /// Save info on products of affine deltaT*deltaW and deltaS*deltaZ |
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86 | CoinWorkDouble affineProduct(); |
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87 | ///See exactly what would happen given current deltas |
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88 | void debugMove(int phase, CoinWorkDouble primalStep, CoinWorkDouble dualStep); |
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89 | //@} |
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90 | |
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91 | }; |
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92 | #endif |
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