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Merged
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Jun 11, 2025
Merged

update #21

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44 changes: 28 additions & 16 deletions src/BPDual.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -100,6 +100,13 @@ function bpdual(
# ------------------------------------------------------------------
m, n = size(A)


work = rand(n)
work2 = rand(n)
work3 = rand(n)
work4 = rand(n)
work5 = rand(m)

tracer = ASPTracer(
Int[], # iteration
Float64[], # lambda
Expand All @@ -110,8 +117,8 @@ function bpdual(
active = Vector{Int}([])
state = Vector{Int}(zeros(Int, n))
y = Vector{Float64}(zeros(Float64, m))
S = Matrix{Float64}(zeros(Float64, m, 0))
R = Matrix{Float64}(zeros(Float64, 0, 0))
S = Matrix{Float64}(zeros(Float64, m, n))
R = Matrix{Float64}(zeros(Float64, n, n))
end

if homotopy
Expand Down Expand Up @@ -171,6 +178,8 @@ function bpdual(
numtrim = 0
nprodA = 0
nprodAt = 0
cur_r_size = 0


# ------------------------------------------------------------------
# Cold/warm-start initialization.
Expand All @@ -186,7 +195,7 @@ function bpdual(
end
else
g = b - λ*y # Compute steepest-descent dir
triminf(active, state, S, R, bl, bu, g)
active, state, S, R = triminf!(active, state, S, R, bl, bu, g)
nact = length(active)
x = zeros(nact)
y = restorefeas(y, active, state, S, R, bl, bu)
Expand All @@ -211,25 +220,25 @@ function bpdual(
sL, sU = infeasibilities(bl, bu, z)
g = b - λ*y # Steepest-descent direction

if isempty(R)
if isempty((@view R[1:cur_r_size,1:cur_r_size]))
condS = 1
else
rmin = minimum(diag(R))
rmax = maximum(diag(R))
rmin = minimum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
rmax = maximum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
condS = rmax / rmin
end

if condS > 1e+10
eFlag = :EXIT_SINGULAR_LS
# Pad x with enough zeros to make it compatible with S.
npad = size(S, 2) - size(x, 1)
npad = size((@view S[:, 1:cur_r_size]), 2) - size(x, 1)
x = [x; zeros(npad)]
else
dx, dy = newtonstep(S, R, g, x, λ)
dx, dy = newtonstep((@view S[:,1:cur_r_size]), (@view R[1:cur_r_size, 1:cur_r_size]), g, x, λ)
x .+= dx
end

r = b - S*x
r = b - S[:,1:cur_r_size]*x

# Print to log.
yNorm = norm(y, 2)
Expand Down Expand Up @@ -273,7 +282,7 @@ function bpdual(
@info "\nOptimal solution found. Trimming multipliers..."
end
g = b - λin*y
trimx(x, S, R, active, state, g, b, λ, feaTol, optTol, loglevel)
trimx(x, (@view S[:, 1:cur_r_size]), (@view R[1:cur_r_size, 1:cur_r_size]), active, state, g, b, λ, feaTol, optTol, loglevel)
numtrim = nact - length(active)
nact = length(active)
end
Expand All @@ -288,7 +297,7 @@ function bpdual(
p = q = 0

if homotopy
x, dy, dz, step, λ, p = htpynewlam(active, state, A, R, S, x, y, sL, sU, λ, lamFinal)
x, dy, dz, step, λ, p = htpynewlam(active, state, A, (@view R[1:cur_r_size, 1:cur_r_size]), (@view S[:,1:cur_r_size]), x, y, sL, sU, λ, lamFinal)
nprodAt += 1
else
if norm(dy, Inf) < eps()
Expand Down Expand Up @@ -339,8 +348,9 @@ function bpdual(
a = A * zerovec
nprodA += 1
zerovec[p] = 0
R = qraddcol(S, R, a)
S = [S a]
qraddcol!(S, R, a, cur_r_size, work, work2, work3, work4, work5) # Update R
cur_r_size +=1
# S = [S a]
push!(active, p)
push!(x, 0)
else
Expand All @@ -358,10 +368,12 @@ function bpdual(
_, qa = findmax(abs.(x .* dropa))
q = active[qa]
state[q] = 0
S = S[:, 1:nact .!= qa]
# S = S[:, 1:nact .!= qa]
deleteat!(active, qa)
deleteat!(x, qa)
R = qrdelcol(R, qa)
# R = qrdelcol(R, qa)
qrdelcol!(S, R, qa)
cur_r_size -=1
else
eFlag = :EXIT_OPTIMAL
end
Expand Down Expand Up @@ -390,4 +402,4 @@ function bpdual(
@info "Solution time (sec): $tottime"
end
return tracer
end
end
52 changes: 32 additions & 20 deletions src/helpers.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -201,37 +201,49 @@ end
# ----------------------------------------------------------------------
# Trim working constraints with "infinite" bounds.
# ----------------------------------------------------------------------

function triminf(active::Vector, state::Vector, S::Matrix, R::Matrix,
bl::Vector, bu::Vector, g::Vector, b::Vector)

function triminf!(
active::Vector{Int},
state::Vector{Int},
S::Matrix{Float64},
R,
bl::Vector{Float64},
bu::Vector{Float64},
)
bigbnd = 1e10
nact = length(active)

tlistbl = find( state[active] .== -1 & bl[active] .< -bigbnd )
tlistbu = find( state[active] .== +1 & bu[active] .> +bigbnd )
tlist = [tlistbl; tlistbu]
tlist = [i for i in active if
(state[i] == -1 && bl[i] < -bigbnd) ||
(state[i] == 1 && bu[i] > bigbnd)
]

if isempty(tlist)
return
return active, state, S, R
end

for q in tlist
qa = active[q]
nact = nact - 1
S = S[:,1:size(S,2) .!= qa] # Delete column from S
deleteat!(active, qa) # Delete index from active set
R = qrdelcol(R, qa) # Recompute new QR factorization
state[q] = 0 # Mark constraint as free
x = csne(R, S, g) # Recompute multipliers
for q in sort(tlist; rev=true)
qa = active[q]

rNorm = norm(b - S*x)
xNorm = norm(x, 1)
if qa == 1
S = S[:, 2:end]
elseif qa == size(S, 2)
S = S[:, 1:end-1]
else
S = hcat(S[:, 1:qa-1], S[:, qa+1:end])
end

deleteat!(active, q)

R = qrdelcol(R, qa)

state[q] = 0
end

return active, state, S, R
end




## G) find_step

# ----------------------------------------------------------------------
Expand Down Expand Up @@ -387,4 +399,4 @@ function htpynewlam(active, state, A, R, S, x, y, s1, s2, λ, lamFinal)
end

return x, dy, dz, step, λ, p
end
end
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