/* \$Id: ClpPredictorCorrector.hpp 1502 2010-01-29 14:25:07Z forrest \$ */ // Copyright (C) 2003, International Business Machines // Corporation and others. All Rights Reserved. /* Authors John Forrest */ #ifndef ClpPredictorCorrector_H #define ClpPredictorCorrector_H #include "ClpInterior.hpp" /** This solves LPs using the predictor-corrector method due to Mehrotra. It also uses multiple centrality corrections as in Gondzio. See; S. Mehrotra, "On the implementation of a primal-dual interior point method", SIAM Journal on optimization, 2 (1992) J. Gondzio, "Multiple centraility corrections in a primal-dual method for linear programming", Computational Optimization and Applications",6 (1996) It is rather basic as Interior point is not my speciality It inherits from ClpInterior. It has no data of its own and is never created - only cast from a ClpInterior object at algorithm time. It can also solve QPs */ class ClpPredictorCorrector : public ClpInterior { public: /**@name Description of algorithm */ //@{ /** Primal Dual Predictor Corrector algorithm Method Big TODO */ int solve(); //@} /**@name Functions used in algorithm */ //@{ /// findStepLength. //phase - 0 predictor // 1 corrector // 2 primal dual CoinWorkDouble findStepLength( int phase); /// findDirectionVector. CoinWorkDouble findDirectionVector(const int phase); /// createSolution. Creates solution from scratch (- code if no memory) int createSolution(); /// complementarityGap. Computes gap //phase 0=as is , 1 = after predictor , 2 after corrector CoinWorkDouble complementarityGap(int & numberComplementarityPairs, int & numberComplementarityItems, const int phase); /// setupForSolve. //phase 0=affine , 1 = corrector , 2 = primal-dual void setupForSolve(const int phase); /** Does solve. region1 is for deltaX (columns+rows), region2 for deltaPi (rows) */ void solveSystem(CoinWorkDouble * region1, CoinWorkDouble * region2, const CoinWorkDouble * region1In, const CoinWorkDouble * region2In, const CoinWorkDouble * saveRegion1, const CoinWorkDouble * saveRegion2, bool gentleRefine); /// sees if looks plausible change in complementarity bool checkGoodMove(const bool doCorrector, CoinWorkDouble & bestNextGap, bool allowIncreasingGap); ///: checks for one step size bool checkGoodMove2(CoinWorkDouble move, CoinWorkDouble & bestNextGap, bool allowIncreasingGap); /// updateSolution. Updates solution at end of iteration //returns number fixed int updateSolution(CoinWorkDouble nextGap); /// Save info on products of affine deltaT*deltaW and deltaS*deltaZ CoinWorkDouble affineProduct(); ///See exactly what would happen given current deltas void debugMove(int phase, CoinWorkDouble primalStep, CoinWorkDouble dualStep); //@} }; #endif