Changed computation of centering parameter

Introduced max and min for centering parameter

Introduced max and min for step size (all now defined in ecos.h)

include/ecos.h

@@ -33,18 +33,23 @@
 
 /* DEFAULT SOLVER PARAMETERS AND SETTINGS STRUCT ----------------------- */
 #define MAXIT     (30)           /* maximum number of iterations         */
-#define GAMMA     (0.98)        /* scaling the final step length        */
-#define DELTA     (5E-7)        /* regularization parameter             */
-#define EPS       (1E-14)        /* regularization threshold (do not 0!) */
-#define NITREF    (3)       	 /* number of iterative refinement steps */
-#define LINSYSACC (1E-14)        /* rel. accuracy of search direction    */
-#define FEASTOL   (5E-6)         /* primal/dual infeasibility tolerance  */
-#define ABSTOL    (5E-7)         /* absolute tolerance on duality gap    */
-#define RELTOL    (5E-7)         /* relative tolerance on duality gap    */
+#define FEASTOL   (2E-5)         /* primal/dual infeasibility tolerance  */
+#define ABSTOL    (1E-6)         /* absolute tolerance on duality gap    */
+#define RELTOL    (1E-6)         /* relative tolerance on duality gap    */
+
+#define GAMMA     (0.99)         /* scaling the final step length        */
 #define STATICREG (1)            /* static regularization: 0:off, 1:on   */
-#define DELTASTAT (1E-9)         /* regularization parameter             */
+#define DELTASTAT (5E-9)         /* regularization parameter             */
+#define DELTA     (5E-7)         /* dyn. regularization parameter        */
+#define EPS       (1E-14)   /* dyn. regularization threshold (do not 0!) */
+#define NITREF    (2)       	 /* number of iterative refinement steps */
+#define LINSYSACC (1E-14)        /* rel. accuracy of search direction    */
+#define SIGMAMIN  (0.01)         /* always do some centering             */
+#define SIGMAMAX  (0.99)         /* never fully center                   */
+#define STEPMIN   (1E-6)         /* smallest step that we want to make   */
+#define STEPMAX   (1.0)          /* biggest step allowed                 */
 
-typedef struct settings{		
+typedef struct settings{
 	pfloat gamma;                /* scaling the final step length        */	
 	pfloat delta;                /* regularization parameter             */
     pfloat eps;                  /* regularization threshold             */

matlab/conelp.m

@@ -272,10 +272,13 @@
 
     % build & factor KKT matrix
     K = conelp_KKTmatrix(A, Gtilde, Vreg, EPS);
+
+
 
 % fprintf('cond(K) = %4.2e\n', condest(K));
 
-    [L,D,PL,QL,P] = conelp_factor(K,P,LINSOLVER,n,p,dims,scaling);    
+    [L,D,PL,QL,P] = conelp_factor(K,P,LINSOLVER,n,p,dims,scaling, c,b,h,kap,tau);
+
     assert( all( ~isnan(L(:)) ), 'Factorization returned NaN');
     assert( all( ~isnan(D(:)) ), 'Factorization returned NaN');
 
@@ -346,13 +349,17 @@
     ds = conelp_timesW(scaling, ds_by_W, dims,LINSOLVER);
     dkap = -(bkap + kap*dtau)/tau;    
 
+    temp = conelp_kringel(s,dz,dims) + conelp_kringel(ds,z,dims) + conelp_kringel(s,z,dims)+ conelp_kringel(dsaff,dzaff,dims) - sigma*mu;
+    fprintf('||s o dz  +  ds o z  +  s o z + dsa o dza - sigma*mu*e = %e||\n',temp); 
+
     %% 5. Line search for combined search direction.    
     W_times_dz = conelp_timesW(scaling,dz,dims,LINSOLVER); % = W*dz
     alpha = conelp_stepsize(lambda,ds_by_W,W_times_dz,dims,tau,dtau,kap,dkap)*GAMMA;
 %     fprintf('Combined step length: %10.8f\n',alpha);
 %     alpha = conelp_linesearch(s,z,tau,kap,ds,dz,dtau,dkap,dims,lambda)*GAMMA;          
 
     %% 6. Update variables and scaling.    
+    fprintf('ds''*dz + dkap*dtau = %e\n', ds'*dz + dkap*dtau);
     x = x + alpha*dx; y = y + alpha*dy; s = s + alpha*ds; z = z + alpha*dz;
     kap = kap + alpha*dkap;     tau = tau + alpha*dtau;
     assert( tau > 0, 'tau <= 0, exiting.');

matlab/conelp_factor.m

@@ -1,4 +1,4 @@
-function [L,D,PL,QL,P] = conelp_factor(K,P,LINSOLVER,n,p,dims,scaling)
+function [L,D,PL,QL,P] = conelp_factor(K,P,LINSOLVER,n,p,dims,scaling, c,b,h,kap,tau)
 % LDL Factorization routine for CONELP solver.
 %
 % (c) Alexander Domahidi, IfA, ETH Zurich, 2012.
@@ -25,6 +25,8 @@
         [L,D] = sldlsparse(sparse(K), P, S, 1e-14, 7e-7);
         L = L + eye(size(L));
 
+        keyboard
+
     otherwise, error('Unknown linear solver');
 end
 

matlab/conelp_scaling.m

@@ -76,7 +76,7 @@
             otherwise, error('Unknown linear solver');
         end
 
-        Vpattern = blkdiag(Vpattern,Vk_pattern);
+        Vpattern = blkdiag(Vpattern,sparse(Vk_pattern));
     end
 
     varargout{1} = Vpattern;

matlab/run_dimacs_test.m

@@ -25,7 +25,7 @@
 );
 
 
-for i = 1:length(tests),
+for i = 1:1%length(tests),
     clear A At b c K
     test_name = tests(i).name;
     test_name = test_name(1:end-4); % strip .mat
@@ -41,16 +41,25 @@
     if m2 == 1,
         c = c';
     end
-    if (exist('A','var'))
-        data = struct('A', sparse(A'), 'b', full(c), 'c', -full(b));
-    else
-        data = struct('A', sparse(At), 'b', full(c), 'c', -full(b));
-    end
-    cone = struct('f', 0, 'q', K.q', 'l', K.l);
+%     if (exist('A','var'))
+%         data = struct('A', sparse(A'), 'b', full(c), 'c', -full(b));
+%     else
+%         data = struct('A', sparse(At), 'b', full(c), 'c', -full(b));
+%     end
+%     cone = struct('f', 0, 'q', K.q', 'l', K.l);
 
-    [x_m, y_m, info] = ecos(data.c, data.A, data.b, cone);
+    % convert to ECOS format
+    G = -speye(length(c)); h = zeros(length(c),1);
+    if( ~exist('A','var') )
+        A = At';
+    end
+%     [x_m, y_m, info] = ecos(data.c, G,h,cone,data.A, data.b);
+% [x_m, y_m, info,s,z] = conelp(full(c), G, h, K, A, full(b));
+    [x_m, y_m, info,s,z] = ecos(full(c), G, h, K, A, full(b));
 
-    err.(test_name) = abs( data.c'*x_m + objval.(test_name) ) ;
+    err.(test_name) = abs( (c'*x_m - objval.(test_name))/objval.(test_name) );
+    objval.(test_name)
+    c'*x_m
     test_info.(test_name) = info;