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/***********************************************************************/
/* */
/* svm_hideo.c */
/* */
/* The Hildreth and D'Espo solver specialized for SVMs. */
/* */
/* Author: Thorsten Joachims */
/* Date: 02.07.02 */
/* */
/* Copyright (c) 2002 Thorsten Joachims - All rights reserved */
/* */
/* This software is available for non-commercial use only. It must */
/* not be modified and distributed without prior permission of the */
/* author. The author is not responsible for implications from the */
/* use of this software. */
/* */
/***********************************************************************/
# include <math.h>
# include "svm_common.h"
/*
solve the quadratic programming problem
minimize g0 * x + 1/2 x' * G * x
subject to ce*x = ce0
l <= x <= u
The linear constraint vector ce can only have -1/+1 as entries
*/
/* Common Block Declarations */
long verbosity;
# define PRIMAL_OPTIMAL 1
# define DUAL_OPTIMAL 2
# define MAXITER_EXCEEDED 3
# define NAN_SOLUTION 4
# define ONLY_ONE_VARIABLE 5
# define LARGEROUND 0
# define SMALLROUND 1
/* /////////////////////////////////////////////////////////////// */
# define DEF_PRECISION 1E-5
# define DEF_MAX_ITERATIONS 200
# define DEF_LINDEP_SENSITIVITY 1E-8
# define EPSILON_HIDEO 1E-20
# define EPSILON_EQ 1E-5
double *optimize_qp(QP *, double *, long, double *, LEARN_PARM *);
double *primal=0,*dual=0;
long precision_violations=0;
double opt_precision=DEF_PRECISION;
long maxiter=DEF_MAX_ITERATIONS;
double lindep_sensitivity=DEF_LINDEP_SENSITIVITY;
double *buffer;
long *nonoptimal;
long smallroundcount=0;
long roundnumber=0;
/* /////////////////////////////////////////////////////////////// */
void *my_malloc();
int optimize_hildreth_despo(long,long,double,double,double,long,long,long,double,double *,
double *,double *,double *,double *,double *,
double *,double *,double *,long *,double *,double *);
int solve_dual(long,long,double,double,long,double *,double *,double *,
double *,double *,double *,double *,double *,double *,
double *,double *,double *,double *,long);
void linvert_matrix(double *, long, double *, double, long *);
void lprint_matrix(double *, long);
void ladd_matrix(double *, long, double);
void lcopy_matrix(double *, long, double *);
void lswitch_rows_matrix(double *, long, long, long);
void lswitchrk_matrix(double *, long, long, long);
double calculate_qp_objective(long, double *, double *, double *);
double *optimize_qp(qp,epsilon_crit,nx,threshold,learn_parm)
QP *qp;
double *epsilon_crit;
long nx; /* Maximum number of variables in QP */
double *threshold;
LEARN_PARM *learn_parm;
/* start the optimizer and return the optimal values */
/* The HIDEO optimizer does not necessarily fully solve the problem. */
/* Since it requires a strictly positive definite hessian, the solution */
/* is restricted to a linear independent subset in case the matrix is */
/* only semi-definite. */
{
long i,j;
int result;
double eq,progress;
roundnumber++;
if(!primal) { /* allocate memory at first call */
primal=(double *)my_malloc(sizeof(double)*nx);
dual=(double *)my_malloc(sizeof(double)*((nx+1)*2));
nonoptimal=(long *)my_malloc(sizeof(long)*(nx));
buffer=(double *)my_malloc(sizeof(double)*((nx+1)*2*(nx+1)*2+
nx*nx+2*(nx+1)*2+2*nx+1+2*nx+
nx+nx+nx*nx));
(*threshold)=0;
for(i=0;i<nx;i++) {
primal[i]=0;
}
}
if(verbosity>=4) { /* really verbose */
printf("\n\n");
eq=qp->opt_ce0[0];
for(i=0;i<qp->opt_n;i++) {
eq+=qp->opt_xinit[i]*qp->opt_ce[i];
printf("%f: ",qp->opt_g0[i]);
for(j=0;j<qp->opt_n;j++) {
printf("%f ",qp->opt_g[i*qp->opt_n+j]);
}
printf(": a=%.10f < %f",qp->opt_xinit[i],qp->opt_up[i]);
printf(": y=%f\n",qp->opt_ce[i]);
}
if(qp->opt_m) {
printf("EQ: %f*x0",qp->opt_ce[0]);
for(i=1;i<qp->opt_n;i++) {
printf(" + %f*x%ld",qp->opt_ce[i],i);
}
printf(" = %f\n\n",-qp->opt_ce0[0]);
}
}
result=optimize_hildreth_despo(qp->opt_n,qp->opt_m,
opt_precision,(*epsilon_crit),
learn_parm->epsilon_a,maxiter,
/* (long)PRIMAL_OPTIMAL, */
(long)0, (long)0,
lindep_sensitivity,
qp->opt_g,qp->opt_g0,qp->opt_ce,qp->opt_ce0,
qp->opt_low,qp->opt_up,primal,qp->opt_xinit,
dual,nonoptimal,buffer,&progress);
if(verbosity>=3) {
printf("return(%d)...",result);
}
if(learn_parm->totwords < learn_parm->svm_maxqpsize) {
/* larger working sets will be linear dependent anyway */
learn_parm->svm_maxqpsize=maxl(learn_parm->totwords,(long)2);
}
if(result == NAN_SOLUTION) {
lindep_sensitivity*=2; /* throw out linear dependent examples more */
/* generously */
if(learn_parm->svm_maxqpsize>2) {
learn_parm->svm_maxqpsize--; /* decrease size of qp-subproblems */
}
precision_violations++;
}
/* take one round of only two variable to get unstuck */
if((result != PRIMAL_OPTIMAL) || (!(roundnumber % 31)) || (progress <= 0)) {
smallroundcount++;
result=optimize_hildreth_despo(qp->opt_n,qp->opt_m,
opt_precision,(*epsilon_crit),
learn_parm->epsilon_a,(long)maxiter,
(long)PRIMAL_OPTIMAL,(long)SMALLROUND,
lindep_sensitivity,
qp->opt_g,qp->opt_g0,qp->opt_ce,qp->opt_ce0,
qp->opt_low,qp->opt_up,primal,qp->opt_xinit,
dual,nonoptimal,buffer,&progress);
if(verbosity>=3) {
printf("return_srd(%d)...",result);
}
if(result != PRIMAL_OPTIMAL) {
if(result != ONLY_ONE_VARIABLE)
precision_violations++;
if(result == MAXITER_EXCEEDED)
maxiter+=100;
if(result == NAN_SOLUTION) {
lindep_sensitivity*=2; /* throw out linear dependent examples more */
/* generously */
/* results not valid, so return inital values */
for(i=0;i<qp->opt_n;i++) {
primal[i]=qp->opt_xinit[i];
}
}
}
}
if(precision_violations > 50) {
precision_violations=0;
(*epsilon_crit)*=10.0;
if(verbosity>=1) {
printf("\nWARNING: Relaxing epsilon on KT-Conditions (%f).\n",
(*epsilon_crit));
}
}
if((qp->opt_m>0) && (result != NAN_SOLUTION) && (!isnan(dual[1]-dual[0])))
(*threshold)=dual[1]-dual[0];
else
(*threshold)=0;
if(verbosity>=4) { /* really verbose */
printf("\n\n");
eq=qp->opt_ce0[0];
for(i=0;i<qp->opt_n;i++) {
eq+=primal[i]*qp->opt_ce[i];
printf("%f: ",qp->opt_g0[i]);
for(j=0;j<qp->opt_n;j++) {
printf("%f ",qp->opt_g[i*qp->opt_n+j]);
}
printf(": a=%.30f",primal[i]);
printf(": nonopti=%ld",nonoptimal[i]);
printf(": y=%f\n",qp->opt_ce[i]);
}
printf("eq-constraint=%.30f\n",eq);
printf("b=%f\n",(*threshold));
printf(" smallroundcount=%ld ",smallroundcount);
}
return(primal);
}
int optimize_hildreth_despo(n,m,precision,epsilon_crit,epsilon_a,maxiter,goal,
smallround,lindep_sensitivity,g,g0,ce,ce0,low,up,
primal,init,dual,lin_dependent,buffer,progress)
long n; /* number of variables */
long m; /* number of linear equality constraints [0,1] */
double precision; /* solve at least to this dual precision */
double epsilon_crit; /* stop, if KT-Conditions approx fulfilled */
double epsilon_a; /* precision of alphas at bounds */
long maxiter; /* stop after this many iterations */
long goal; /* keep going until goal fulfilled */
long smallround; /* use only two variables of steepest descent */
double lindep_sensitivity; /* epsilon for detecting linear dependent ex */
double *g; /* hessian of objective */
double *g0; /* linear part of objective */
double *ce,*ce0; /* linear equality constraints */
double *low,*up; /* box constraints */
double *primal; /* primal variables */
double *init; /* initial values of primal */
double *dual; /* dual variables */
long *lin_dependent;
double *buffer;
double *progress; /* delta in the objective function between
before and after */
{
long i,j,k,from,to,n_indep,changed;
double sum,bmin=0,bmax=0;
double *d,*d0,*ig,*dual_old,*temp,*start;
double *g0_new,*g_new,*ce_new,*ce0_new,*low_new,*up_new;
double add,t;
int result;
double obj_before,obj_after;
long b1,b2;
double g0_b1,g0_b2,ce0_b;
g0_new=&(buffer[0]); /* claim regions of buffer */
d=&(buffer[n]);
d0=&(buffer[n+(n+m)*2*(n+m)*2]);
ce_new=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2]);
ce0_new=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n]);
ig=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m]);
dual_old=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m+n*n]);
low_new=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m+n*n+(n+m)*2]);
up_new=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m+n*n+(n+m)*2+n]);
start=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m+n*n+(n+m)*2+n+n]);
g_new=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m+n*n+(n+m)*2+n+n+n]);
temp=&(buffer[n+(n+m)*2*(n+m)*2+(n+m)*2+n+m+n*n+(n+m)*2+n+n+n+n*n]);
b1=-1;
b2=-1;
for(i=0;i<n;i++) { /* get variables with steepest feasible descent */
sum=g0[i];
for(j=0;j<n;j++)
sum+=init[j]*g[i*n+j];
sum=sum*ce[i];
if(((b1==-1) || (sum<bmin))
&& (!((init[i]<=(low[i]+epsilon_a)) && (ce[i]<0.0)))
&& (!((init[i]>=( up[i]-epsilon_a)) && (ce[i]>0.0)))
) {
bmin=sum;
b1=i;
}
if(((b2==-1) || (sum>=bmax))
&& (!((init[i]<=(low[i]+epsilon_a)) && (ce[i]>0.0)))
&& (!((init[i]>=( up[i]-epsilon_a)) && (ce[i]<0.0)))
) {
bmax=sum;
b2=i;
}
}
/* in case of unbiased hyperplane, the previous projection on */
/* equality constraint can lead to b1 or b2 being -1. */
if((b1 == -1) || (b2 == -1)) {
b1=maxl(b1,b2);
b2=maxl(b1,b2);
}
for(i=0;i<n;i++) {
start[i]=init[i];
}
/* in case both example vectors are linearly dependent */
/* WARNING: Assumes that ce[] in {-1,1} */
add=0;
changed=0;
if((b1 != b2) && (m==1)) {
for(i=0;i<n;i++) { /* fix other vectors */
if(i==b1)
g0_b1=g0[i];
if(i==b2)
g0_b2=g0[i];
}
ce0_b=ce0[0];
for(i=0;i<n;i++) {
if((i!=b1) && (i!=b2)) {
for(j=0;j<n;j++) {
if(j==b1)
g0_b1+=start[i]*g[i*n+j];
if(j==b2)
g0_b2+=start[i]*g[i*n+j];
}
ce0_b-=(start[i]*ce[i]);
}
}
if((g[b1*n+b2] == g[b1*n+b1]) && (g[b1*n+b2] == g[b2*n+b2])) {
/* printf("euqal\n"); */
if(ce[b1] == ce[b2]) {
if(g0_b1 <= g0_b2) { /* set b1 to upper bound */
/* printf("case +=<\n"); */
changed=1;
t=up[b1]-init[b1];
if((init[b2]-low[b2]) < t) {
t=init[b2]-low[b2];
}
start[b1]=init[b1]+t;
start[b2]=init[b2]-t;
}
else if(g0_b1 > g0_b2) { /* set b2 to upper bound */
/* printf("case +=>\n"); */
changed=1;
t=up[b2]-init[b2];
if((init[b1]-low[b1]) < t) {
t=init[b1]-low[b1];
}
start[b1]=init[b1]-t;
start[b2]=init[b2]+t;
}
}
else if(((g[b1*n+b1]>0) || (g[b2*n+b2]>0))) { /* (ce[b1] != ce[b2]) */
/* printf("case +!\n"); */
t=((ce[b2]/ce[b1])*g0[b1]-g0[b2]+ce0[0]*(g[b1*n+b1]*ce[b2]/ce[b1]-g[b1*n+b2]/ce[b1]))/((ce[b2]*ce[b2]/(ce[b1]*ce[b1]))*g[b1*n+b1]+g[b2*n+b2]-2*(g[b1*n+b2]*ce[b2]/ce[b1]))-init[b2];
changed=1;
if((up[b2]-init[b2]) < t) {
t=up[b2]-init[b2];
}
if((init[b2]-low[b2]) < -t) {
t=-(init[b2]-low[b2]);
}
if((up[b1]-init[b1]) < t) {
t=(up[b1]-init[b1]);
}
if((init[b1]-low[b1]) < -t) {
t=-(init[b1]-low[b1]);
}
start[b1]=init[b1]+t;
start[b2]=init[b2]+t;
}
}
if((-g[b1*n+b2] == g[b1*n+b1]) && (-g[b1*n+b2] == g[b2*n+b2])) {
/* printf("diffeuqal\n"); */
if(ce[b1] != ce[b2]) {
if((g0_b1+g0_b2) < 0) { /* set b1 and b2 to upper bound */
/* printf("case -!<\n"); */
changed=1;
t=up[b1]-init[b1];
if((up[b2]-init[b2]) < t) {
t=up[b2]-init[b2];
}
start[b1]=init[b1]+t;
start[b2]=init[b2]+t;
}
else if((g0_b1+g0_b2) >= 0) { /* set b1 and b2 to lower bound */
/* printf("case -!>\n"); */
changed=1;
t=init[b1]-low[b1];
if((init[b2]-low[b2]) < t) {
t=init[b2]-low[b2];
}
start[b1]=init[b1]-t;
start[b2]=init[b2]-t;
}
}
else if(((g[b1*n+b1]>0) || (g[b2*n+b2]>0))) { /* (ce[b1]==ce[b2]) */
/* printf("case -=\n"); */
t=((ce[b2]/ce[b1])*g0[b1]-g0[b2]+ce0[0]*(g[b1*n+b1]*ce[b2]/ce[b1]-g[b1*n+b2]/ce[b1]))/((ce[b2]*ce[b2]/(ce[b1]*ce[b1]))*g[b1*n+b1]+g[b2*n+b2]-2*(g[b1*n+b2]*ce[b2]/ce[b1]))-init[b2];
changed=1;
if((up[b2]-init[b2]) < t) {
t=up[b2]-init[b2];
}
if((init[b2]-low[b2]) < -t) {
t=-(init[b2]-low[b2]);
}
if((up[b1]-init[b1]) < -t) {
t=-(up[b1]-init[b1]);
}
if((init[b1]-low[b1]) < t) {
t=init[b1]-low[b1];
}
start[b1]=init[b1]-t;
start[b2]=init[b2]+t;
}
}
}
/* if we have a biased hyperplane, then adding a constant to the */
/* hessian does not change the solution. So that is done for examples */
/* with zero diagonal entry, since HIDEO cannot handle them. */
if((m>0)
&& ((fabs(g[b1*n+b1]) < lindep_sensitivity)
|| (fabs(g[b2*n+b2]) < lindep_sensitivity))) {
/* printf("Case 0\n"); */
add+=0.093274;
}
/* in case both examples are linear dependent */
else if((m>0)
&& (g[b1*n+b2] != 0 && g[b2*n+b2] != 0)
&& (fabs(g[b1*n+b1]/g[b1*n+b2] - g[b1*n+b2]/g[b2*n+b2])
< lindep_sensitivity)) {
/* printf("Case lindep\n"); */
add+=0.078274;
}
/* special case for zero diagonal entry on unbiased hyperplane */
if((m==0) && (b1>=0)) {
if(fabs(g[b1*n+b1]) < lindep_sensitivity) {
/* printf("Case 0b1\n"); */
for(i=0;i<n;i++) { /* fix other vectors */
if(i==b1)
g0_b1=g0[i];
}
for(i=0;i<n;i++) {
if(i!=b1) {
for(j=0;j<n;j++) {
if(j==b1)
g0_b1+=start[i]*g[i*n+j];
}
}
}
if(g0_b1<0)
start[b1]=up[b1];
if(g0_b1>=0)
start[b1]=low[b1];
}
}
if((m==0) && (b2>=0)) {
if(fabs(g[b2*n+b2]) < lindep_sensitivity) {
/* printf("Case 0b2\n"); */
for(i=0;i<n;i++) { /* fix other vectors */
if(i==b2)
g0_b2=g0[i];
}
for(i=0;i<n;i++) {
if(i!=b2) {
for(j=0;j<n;j++) {
if(j==b2)
g0_b2+=start[i]*g[i*n+j];
}
}
}
if(g0_b2<0)
start[b2]=up[b2];
if(g0_b2>=0)
start[b2]=low[b2];
}
}
/* printf("b1=%ld,b2=%ld\n",b1,b2); */
lcopy_matrix(g,n,d);
if((m==1) && (add>0.0)) {
for(j=0;j<n;j++) {
for(k=0;k<n;k++) {
d[j*n+k]+=add*ce[j]*ce[k];
}
}
}
else {
add=0.0;
}
if(n>2) { /* switch, so that variables are better mixed */
lswitchrk_matrix(d,n,b1,(long)0);
if(b2 == 0)
lswitchrk_matrix(d,n,b1,(long)1);
else
lswitchrk_matrix(d,n,b2,(long)1);
}
if(smallround == SMALLROUND) {
for(i=2;i<n;i++) {
lin_dependent[i]=1;
}
if(m>0) { /* for biased hyperplane, pick two variables */
lin_dependent[0]=0;
lin_dependent[1]=0;
}
else { /* for unbiased hyperplane, pick only one variable */
lin_dependent[0]=smallroundcount % 2;
lin_dependent[1]=(smallroundcount+1) % 2;
}
}
else {
for(i=0;i<n;i++) {
lin_dependent[i]=0;
}
}
linvert_matrix(d,n,ig,lindep_sensitivity,lin_dependent);
if(n>2) { /* now switch back */
if(b2 == 0) {
lswitchrk_matrix(ig,n,b1,(long)1);
i=lin_dependent[1];
lin_dependent[1]=lin_dependent[b1];
lin_dependent[b1]=i;
}
else {
lswitchrk_matrix(ig,n,b2,(long)1);
i=lin_dependent[1];
lin_dependent[1]=lin_dependent[b2];
lin_dependent[b2]=i;
}
lswitchrk_matrix(ig,n,b1,(long)0);
i=lin_dependent[0];
lin_dependent[0]=lin_dependent[b1];
lin_dependent[b1]=i;
}
/* lprint_matrix(d,n); */
/* lprint_matrix(ig,n); */
lcopy_matrix(g,n,g_new); /* restore g_new matrix */
if(add>0)
for(j=0;j<n;j++) {
for(k=0;k<n;k++) {
g_new[j*n+k]+=add*ce[j]*ce[k];
}
}
for(i=0;i<n;i++) { /* fix linear dependent vectors */
g0_new[i]=g0[i]+add*ce0[0]*ce[i];
}
if(m>0) ce0_new[0]=-ce0[0];
for(i=0;i<n;i++) { /* fix linear dependent vectors */
if(lin_dependent[i]) {
for(j=0;j<n;j++) {
if(!lin_dependent[j]) {
g0_new[j]+=start[i]*g_new[i*n+j];
}
}
if(m>0) ce0_new[0]-=(start[i]*ce[i]);
}
}
from=0; /* remove linear dependent vectors */
to=0;
n_indep=0;
for(i=0;i<n;i++) {
if(!lin_dependent[i]) {
g0_new[n_indep]=g0_new[i];
ce_new[n_indep]=ce[i];
low_new[n_indep]=low[i];
up_new[n_indep]=up[i];
primal[n_indep]=start[i];
n_indep++;
}
for(j=0;j<n;j++) {
if((!lin_dependent[i]) && (!lin_dependent[j])) {
ig[to]=ig[from];
g_new[to]=g_new[from];
to++;
}
from++;
}
}
if(verbosity>=3) {
printf("real_qp_size(%ld)...",n_indep);
}
/* cannot optimize with only one variable */
if((n_indep<=1) && (m>0) && (!changed)) {
for(i=n-1;i>=0;i--) {
primal[i]=init[i];
}
return((int)ONLY_ONE_VARIABLE);
}
if((!changed) || (n_indep>1)) {
result=solve_dual(n_indep,m,precision,epsilon_crit,maxiter,g_new,g0_new,
ce_new,ce0_new,low_new,up_new,primal,d,d0,ig,
dual,dual_old,temp,goal);
}
else {
result=PRIMAL_OPTIMAL;
}
j=n_indep;
for(i=n-1;i>=0;i--) {
if(!lin_dependent[i]) {
j--;
primal[i]=primal[j];
}
else {
primal[i]=start[i]; /* leave as is */
}
temp[i]=primal[i];
}
obj_before=calculate_qp_objective(n,g,g0,init);
obj_after=calculate_qp_objective(n,g,g0,primal);
(*progress)=obj_before-obj_after;
if(verbosity>=3) {
printf("before(%.30f)...after(%.30f)...result_sd(%d)...",
obj_before,obj_after,result);
}
return((int)result);
}
int solve_dual(n,m,precision,epsilon_crit,maxiter,g,g0,ce,ce0,low,up,primal,
d,d0,ig,dual,dual_old,temp,goal)
/* Solves the dual using the method of Hildreth and D'Espo. */
/* Can only handle problems with zero or exactly one */
/* equality constraints. */
long n; /* number of variables */
long m; /* number of linear equality constraints */
double precision; /* solve at least to this dual precision */
double epsilon_crit; /* stop, if KT-Conditions approx fulfilled */
long maxiter; /* stop after that many iterations */
double *g;
double *g0; /* linear part of objective */
double *ce,*ce0; /* linear equality constraints */
double *low,*up; /* box constraints */
double *primal; /* variables (with initial values) */
double *d,*d0,*ig,*dual,*dual_old,*temp; /* buffer */
long goal;
{
long i,j,k,iter;
double sum,w,maxviol,viol,temp1,temp2,isnantest;
double model_b,dist;
long retrain,maxfaktor,primal_optimal=0,at_bound,scalemaxiter;
double epsilon_a=1E-15,epsilon_hideo;
double eq;
if((m<0) || (m>1))
perror("SOLVE DUAL: inappropriate number of eq-constrains!");
/*
printf("\n");
for(i=0;i<n;i++) {
printf("%f: ",g0[i]);
for(j=0;j<n;j++) {
printf("%f ",g[i*n+j]);
}
printf(": a=%.30f",primal[i]);
printf(": y=%f\n",ce[i]);
}
*/
for(i=0;i<2*(n+m);i++) {
dual[i]=0;
dual_old[i]=0;
}
for(i=0;i<n;i++) {
for(j=0;j<n;j++) { /* dual hessian for box constraints */
d[i*2*(n+m)+j]=ig[i*n+j];
d[(i+n)*2*(n+m)+j]=-ig[i*n+j];
d[i*2*(n+m)+j+n]=-ig[i*n+j];
d[(i+n)*2*(n+m)+j+n]=ig[i*n+j];
}
if(m>0) {
sum=0; /* dual hessian for eq constraints */
for(j=0;j<n;j++) {
sum+=(ce[j]*ig[i*n+j]);
}
d[i*2*(n+m)+2*n]=sum;
d[i*2*(n+m)+2*n+1]=-sum;
d[(n+i)*2*(n+m)+2*n]=-sum;
d[(n+i)*2*(n+m)+2*n+1]=sum;
d[(n+n)*2*(n+m)+i]=sum;
d[(n+n+1)*2*(n+m)+i]=-sum;
d[(n+n)*2*(n+m)+(n+i)]=-sum;
d[(n+n+1)*2*(n+m)+(n+i)]=sum;
sum=0;
for(j=0;j<n;j++) {
for(k=0;k<n;k++) {
sum+=(ce[k]*ce[j]*ig[j*n+k]);
}
}
d[(n+n)*2*(n+m)+2*n]=sum;
d[(n+n)*2*(n+m)+2*n+1]=-sum;
d[(n+n+1)*2*(n+m)+2*n]=-sum;
d[(n+n+1)*2*(n+m)+2*n+1]=sum;
}
}
for(i=0;i<n;i++) { /* dual linear component for the box constraints */
w=0;
for(j=0;j<n;j++) {
w+=(ig[i*n+j]*g0[j]);
}
d0[i]=up[i]+w;
d0[i+n]=-low[i]-w;
}
if(m>0) {
sum=0; /* dual linear component for eq constraints */
for(j=0;j<n;j++) {
for(k=0;k<n;k++) {
sum+=(ce[k]*ig[k*n+j]*g0[j]);
}
}
d0[2*n]=ce0[0]+sum;
d0[2*n+1]=-ce0[0]-sum;
}
maxviol=999999;
iter=0;
retrain=1;
maxfaktor=1;
scalemaxiter=maxiter/5;
while((retrain) && (maxviol > 0) && (iter < (scalemaxiter*maxfaktor))) {
iter++;
while((maxviol > precision) && (iter < (scalemaxiter*maxfaktor))) {
iter++;
maxviol=0;
for(i=0;i<2*(n+m);i++) {
sum=d0[i];
for(j=0;j<2*(n+m);j++) {
sum+=d[i*2*(n+m)+j]*dual_old[j];
}
sum-=d[i*2*(n+m)+i]*dual_old[i];
dual[i]=-sum/d[i*2*(n+m)+i];
if(dual[i]<0) dual[i]=0;
viol=fabs(dual[i]-dual_old[i]);
if(viol>maxviol)
maxviol=viol;
dual_old[i]=dual[i];
}
/*
printf("%d) maxviol=%20f precision=%f\n",iter,maxviol,precision);
*/
}
if(m>0) {
for(i=0;i<n;i++) {
temp[i]=dual[i]-dual[i+n]+ce[i]*(dual[n+n]-dual[n+n+1])+g0[i];
}
}
else {
for(i=0;i<n;i++) {
temp[i]=dual[i]-dual[i+n]+g0[i];
}
}
for(i=0;i<n;i++) {
primal[i]=0; /* calc value of primal variables */
for(j=0;j<n;j++) {
primal[i]+=ig[i*n+j]*temp[j];
}
primal[i]*=-1.0;
if(primal[i]<=(low[i])) { /* clip conservatively */
primal[i]=low[i];
}
else if(primal[i]>=(up[i])) {
primal[i]=up[i];
}
}
if(m>0)
model_b=dual[n+n+1]-dual[n+n];
else
model_b=0;
epsilon_hideo=EPSILON_HIDEO;
for(i=0;i<n;i++) { /* check precision of alphas */
dist=-model_b*ce[i];
dist+=(g0[i]+1.0);
for(j=0;j<i;j++) {
dist+=(primal[j]*g[j*n+i]);
}
for(j=i;j<n;j++) {
dist+=(primal[j]*g[i*n+j]);
}
if((primal[i]<(up[i]-epsilon_hideo)) && (dist < (1.0-epsilon_crit))) {
epsilon_hideo=(up[i]-primal[i])*2.0;
}
else if((primal[i]>(low[i]+epsilon_hideo)) &&(dist>(1.0+epsilon_crit))) {
epsilon_hideo=(primal[i]-low[i])*2.0;
}
}
/* printf("\nEPSILON_HIDEO=%.30f\n",epsilon_hideo); */
for(i=0;i<n;i++) { /* clip alphas to bounds */
if(primal[i]<=(low[i]+epsilon_hideo)) {
primal[i]=low[i];
}
else if(primal[i]>=(up[i]-epsilon_hideo)) {
primal[i]=up[i];
}
}
retrain=0;
primal_optimal=1;
at_bound=0;
for(i=0;(i<n);i++) { /* check primal KT-Conditions */
dist=-model_b*ce[i];
dist+=(g0[i]+1.0);
for(j=0;j<i;j++) {
dist+=(primal[j]*g[j*n+i]);
}
for(j=i;j<n;j++) {
dist+=(primal[j]*g[i*n+j]);
}
if((primal[i]<(up[i]-epsilon_a)) && (dist < (1.0-epsilon_crit))) {
retrain=1;
primal_optimal=0;
}
else if((primal[i]>(low[i]+epsilon_a)) && (dist > (1.0+epsilon_crit))) {
retrain=1;
primal_optimal=0;
}
if((primal[i]<=(low[i]+epsilon_a)) || (primal[i]>=(up[i]-epsilon_a))) {
at_bound++;
}
/* printf("HIDEOtemp: a[%ld]=%.30f, dist=%.6f, b=%f, at_bound=%ld\n",i,primal[i],dist,model_b,at_bound); */
}
if(m>0) {
eq=-ce0[0]; /* check precision of eq-constraint */
for(i=0;i<n;i++) {
eq+=(ce[i]*primal[i]);
}
if((EPSILON_EQ < fabs(eq))
/*
&& !((goal==PRIMAL_OPTIMAL)
&& (at_bound==n)) */
) {
retrain=1;
primal_optimal=0;
}
/* printf("\n eq=%.30f ce0=%f at-bound=%ld\n",eq,ce0[0],at_bound); */
}
if(retrain) {
precision/=10;
if(((goal == PRIMAL_OPTIMAL) && (maxfaktor < 50000))
|| (maxfaktor < 5)) {
maxfaktor++;
}
}
}
if(!primal_optimal) {
for(i=0;i<n;i++) {
primal[i]=0; /* calc value of primal variables */
for(j=0;j<n;j++) {
primal[i]+=ig[i*n+j]*temp[j];
}
primal[i]*=-1.0;
if(primal[i]<=(low[i]+epsilon_a)) { /* clip conservatively */
primal[i]=low[i];
}
else if(primal[i]>=(up[i]-epsilon_a)) {
primal[i]=up[i];
}
}
}
isnantest=0;
for(i=0;i<n;i++) { /* check for isnan */
isnantest+=primal[i];
}
if(m>0) {
temp1=dual[n+n+1]; /* copy the dual variables for the eq */
temp2=dual[n+n]; /* constraints to a handier location */
for(i=n+n+1;i>=2;i--) {
dual[i]=dual[i-2];
}
dual[0]=temp2;
dual[1]=temp1;
isnantest+=temp1+temp2;
}
if(isnan(isnantest)) {
return((int)NAN_SOLUTION);
}
else if(primal_optimal) {
return((int)PRIMAL_OPTIMAL);
}
else if(maxviol == 0.0) {
return((int)DUAL_OPTIMAL);
}
else {
return((int)MAXITER_EXCEEDED);
}
}
void linvert_matrix(matrix,depth,inverse,lindep_sensitivity,lin_dependent)
double *matrix;
long depth;
double *inverse,lindep_sensitivity;
long *lin_dependent; /* indicates the active parts of matrix on
input and output*/
{
long i,j,k;
double factor;
for(i=0;i<depth;i++) {
/* lin_dependent[i]=0; */
for(j=0;j<depth;j++) {
inverse[i*depth+j]=0.0;
}
inverse[i*depth+i]=1.0;
}
for(i=0;i<depth;i++) {
if(lin_dependent[i] || (fabs(matrix[i*depth+i])<lindep_sensitivity)) {
lin_dependent[i]=1;
}
else {
for(j=i+1;j<depth;j++) {
factor=matrix[j*depth+i]/matrix[i*depth+i];
for(k=i;k<depth;k++) {
matrix[j*depth+k]-=(factor*matrix[i*depth+k]);
}
for(k=0;k<depth;k++) {
inverse[j*depth+k]-=(factor*inverse[i*depth+k]);
}
}
}
}
for(i=depth-1;i>=0;i--) {
if(!lin_dependent[i]) {
factor=1/matrix[i*depth+i];
for(k=0;k<depth;k++) {
inverse[i*depth+k]*=factor;
}
matrix[i*depth+i]=1;
for(j=i-1;j>=0;j--) {
factor=matrix[j*depth+i];
matrix[j*depth+i]=0;
for(k=0;k<depth;k++) {
inverse[j*depth+k]-=(factor*inverse[i*depth+k]);
}
}
}
}
}
void lprint_matrix(matrix,depth)
double *matrix;
long depth;
{
long i,j;
for(i=0;i<depth;i++) {
for(j=0;j<depth;j++) {
printf("%5.2f ",(double)(matrix[i*depth+j]));
}
printf("\n");
}
printf("\n");
}
void ladd_matrix(matrix,depth,scalar)
double *matrix;
long depth;
double scalar;
{
long i,j;
for(i=0;i<depth;i++) {
for(j=0;j<depth;j++) {
matrix[i*depth+j]+=scalar;
}
}
}
void lcopy_matrix(matrix,depth,matrix2)
double *matrix;
long depth;
double *matrix2;
{
long i;
for(i=0;i<(depth)*(depth);i++) {
matrix2[i]=matrix[i];
}
}
void lswitch_rows_matrix(matrix,depth,r1,r2)
double *matrix;
long depth,r1,r2;
{
long i;
double temp;
for(i=0;i<depth;i++) {
temp=matrix[r1*depth+i];
matrix[r1*depth+i]=matrix[r2*depth+i];
matrix[r2*depth+i]=temp;
}
}
void lswitchrk_matrix(matrix,depth,rk1,rk2)
double *matrix;
long depth,rk1,rk2;
{
long i;
double temp;
for(i=0;i<depth;i++) {
temp=matrix[rk1*depth+i];
matrix[rk1*depth+i]=matrix[rk2*depth+i];
matrix[rk2*depth+i]=temp;
}
for(i=0;i<depth;i++) {
temp=matrix[i*depth+rk1];
matrix[i*depth+rk1]=matrix[i*depth+rk2];
matrix[i*depth+rk2]=temp;
}
}
double calculate_qp_objective(opt_n,opt_g,opt_g0,alpha)
long opt_n;
double *opt_g,*opt_g0,*alpha;
{
double obj;
long i,j;
obj=0; /* calculate objective */
for(i=0;i<opt_n;i++) {
obj+=(opt_g0[i]*alpha[i]);
obj+=(0.5*alpha[i]*alpha[i]*opt_g[i*opt_n+i]);
for(j=0;j<i;j++) {
obj+=(alpha[j]*alpha[i]*opt_g[j*opt_n+i]);
}
}
return(obj);
}