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Cholesky for repair iterations as well

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pkhuong committed Dec 17, 2013
1 parent 201ce21 commit 4d80ad9f409f27faf74e6ae964ac19f5bcfff189
Showing with 19 additions and 3 deletions.
  1. +19 −3 affine-scaling.lisp
@@ -193,8 +193,22 @@
(matlisp:m* (affine-a state)
(affine-x state))))

(defun cholesky-ls! (A x)
(declare (optimize debug))
(assert (<= (matlisp:nrows A) (matlisp:ncols A)))
(let* ((n (matlisp:ncols A))
(out (matlisp:make-real-matrix-dim n 1))
(proj (allocate-work-space n (matlisp:nrows A)))
(N (matlisp:gemm! 1 A A 0 (proj-BBt proj) :nt))
(N^-1x (solve-symmetric! N x)))
(and N^-1x
(matlisp:gemm! 1 A N^-1x
0 out
:tn))))

;; Least-square solve for
;; ||Asx - r|| = 0
;; Asx - r = 0
;; min ||x||
(defun one-repair-iteration (state &optional residual)
(declare (type affine-scaling-state state))
(let* ((x (affine-x state))
@@ -204,8 +218,10 @@
(residual (or residual
(residual state)))
(constraints (affine-A state))
(dg (matlisp:gelsy! (scale-constraints constraints slack)
residual 1d-12))
(dg (or (cholesky-ls! (scale-constraints constraints slack)
(matlisp:copy residual))
(matlisp:gelsy! (scale-constraints constraints slack)
residual 1d-12)))
(g (matlisp:m.* dg slack)))
(let ((step (* *gamma* (min (max-step l x u g) (/ *gamma*))))
(norm-g (matlisp:norm g)))

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