Golang FloatMatrixSet.Set方法代码示例

// Solves a pair of primal and dual SOCPs
//
//     minimize    c'*x
//     subject to  Gl*x + sl = hl
//                 Gq[k]*x + sq[k] = hq[k],  k = 0, ..., N-1
//                 A*x = b
//                 sl >= 0,
//                 sq[k] >= 0, k = 0, ..., N-1
//
//     maximize   -hl'*z - sum_k hq[k]'*zq[k] - b'*y
//     subject to  Gl'*zl + sum_k Gq[k]'*zq[k] + A'*y + c = 0
//                 zl >= 0,  zq[k] >= 0, k = 0, ..., N-1.
//
// The inequalities sl >= 0 and zl >= 0 are elementwise vector
// inequalities.  The inequalities sq[k] >= 0, zq[k] >= 0 are second
// order cone inequalities, i.e., equivalent to
//
//     sq[k][0] >= || sq[k][1:] ||_2,  zq[k][0] >= || zq[k][1:] ||_2.
//
func Socp(c, Gl, hl, A, b *matrix.FloatMatrix, Ghq *sets.FloatMatrixSet, solopts *SolverOptions,
	primalstart, dualstart *sets.FloatMatrixSet) (sol *Solution, err error) {
	if c == nil {
		err = errors.New("'c' must a column matrix")
		return
	}
	n := c.Rows()
	if n < 1 {
		err = errors.New("Number of variables must be at least 1")
		return
	}
	if Gl == nil {
		Gl = matrix.FloatZeros(0, n)
	}
	if Gl.Cols() != n {
		err = errors.New(fmt.Sprintf("'G' must be matrix with %d columns", n))
		return
	}
	ml := Gl.Rows()
	if hl == nil {
		hl = matrix.FloatZeros(0, 1)
	}
	if !hl.SizeMatch(ml, 1) {
		err = errors.New(fmt.Sprintf("'hl' must be matrix of size (%d,1)", ml))
		return
	}
	Gqset := Ghq.At("Gq")
	mq := make([]int, 0)
	for i, Gq := range Gqset {
		if Gq.Cols() != n {
			err = errors.New(fmt.Sprintf("'Gq' must be list of matrices with %d columns", n))
			return
		}
		if Gq.Rows() == 0 {
			err = errors.New(fmt.Sprintf("the number of rows of 'Gq[%d]' is zero", i))
			return
		}
		mq = append(mq, Gq.Rows())
	}
	hqset := Ghq.At("hq")
	if len(Gqset) != len(hqset) {
		err = errors.New(fmt.Sprintf("'hq' must be a list of %d matrices", len(Gqset)))
		return
	}
	for i, hq := range hqset {
		if !hq.SizeMatch(Gqset[i].Rows(), 1) {
			s := fmt.Sprintf("hq[%d] has size (%d,%d). Expected size is (%d,1)",
				i, hq.Rows(), hq.Cols(), Gqset[i].Rows())
			err = errors.New(s)
			return
		}
	}
	if A == nil {
		A = matrix.FloatZeros(0, n)
	}
	if A.Cols() != n {
		err = errors.New(fmt.Sprintf("'A' must be matrix with %d columns", n))
		return
	}
	p := A.Rows()
	if b == nil {
		b = matrix.FloatZeros(0, 1)
	}
	if !b.SizeMatch(p, 1) {
		err = errors.New(fmt.Sprintf("'b' must be matrix of size (%d,1)", p))
		return
	}
	dims := sets.NewDimensionSet("l", "q", "s")
	dims.Set("l", []int{ml})
	dims.Set("q", mq)
	//N := dims.Sum("l", "q")

	hargs := make([]*matrix.FloatMatrix, 0, len(hqset)+1)
	hargs = append(hargs, hl)
	hargs = append(hargs, hqset...)
	h, indh := matrix.FloatMatrixStacked(matrix.StackDown, hargs...)

	Gargs := make([]*matrix.FloatMatrix, 0, len(Gqset)+1)
	Gargs = append(Gargs, Gl)
	Gargs = append(Gargs, Gqset...)
	G, indg := matrix.FloatMatrixStacked(matrix.StackDown, Gargs...)
//.........这里部分代码省略.........

// Solves a pair of primal and dual SDPs
//
//        minimize    c'*x
//        subject to  Gl*x + sl = hl
//                    mat(Gs[k]*x) + ss[k] = hs[k], k = 0, ..., N-1
//                    A*x = b
//                    sl >= 0,  ss[k] >= 0, k = 0, ..., N-1
//
//        maximize    -hl'*z - sum_k trace(hs[k]*zs[k]) - b'*y
//        subject to  Gl'*zl + sum_k Gs[k]'*vec(zs[k]) + A'*y + c = 0
//                    zl >= 0,  zs[k] >= 0, k = 0, ..., N-1.
//
// The inequalities sl >= 0 and zl >= 0 are elementwise vector
// inequalities.  The inequalities ss[k] >= 0, zs[k] >= 0 are matrix
// inequalities, i.e., the symmetric matrices ss[k] and zs[k] must be
// positive semidefinite.  mat(Gs[k]*x) is the symmetric matrix X with
// X[:] = Gs[k]*x.  For a symmetric matrix, zs[k], vec(zs[k]) is the
// vector zs[k][:].
//
func Sdp(c, Gl, hl, A, b *matrix.FloatMatrix, Ghs *sets.FloatMatrixSet, solopts *SolverOptions,
	primalstart, dualstart *sets.FloatMatrixSet) (sol *Solution, err error) {
	if c == nil {
		err = errors.New("'c' must a column matrix")
		return
	}
	n := c.Rows()
	if n < 1 {
		err = errors.New("Number of variables must be at least 1")
		return
	}
	if Gl == nil {
		Gl = matrix.FloatZeros(0, n)
	}
	if Gl.Cols() != n {
		err = errors.New(fmt.Sprintf("'G' must be matrix with %d columns", n))
		return
	}
	ml := Gl.Rows()
	if hl == nil {
		hl = matrix.FloatZeros(0, 1)
	}
	if !hl.SizeMatch(ml, 1) {
		err = errors.New(fmt.Sprintf("'hl' must be matrix of size (%d,1)", ml))
		return
	}
	Gsset := Ghs.At("Gs")
	ms := make([]int, 0)
	for i, Gs := range Gsset {
		if Gs.Cols() != n {
			err = errors.New(fmt.Sprintf("'Gs' must be list of matrices with %d columns", n))
			return
		}
		sz := int(math.Sqrt(float64(Gs.Rows())))
		if Gs.Rows() != sz*sz {
			err = errors.New(fmt.Sprintf("the squareroot of the number of rows of 'Gq[%d]' is not an integer", i))
			return
		}
		ms = append(ms, sz)
	}

	hsset := Ghs.At("hs")
	if len(Gsset) != len(hsset) {
		err = errors.New(fmt.Sprintf("'hs' must be a list of %d matrices", len(Gsset)))
		return
	}
	for i, hs := range hsset {
		if !hs.SizeMatch(ms[i], ms[i]) {
			s := fmt.Sprintf("hq[%d] has size (%d,%d). Expected size is (%d,%d)",
				i, hs.Rows(), hs.Cols(), ms[i], ms[i])
			err = errors.New(s)
			return
		}
	}
	if A == nil {
		A = matrix.FloatZeros(0, n)
	}
	if A.Cols() != n {
		err = errors.New(fmt.Sprintf("'A' must be matrix with %d columns", n))
		return
	}
	p := A.Rows()
	if b == nil {
		b = matrix.FloatZeros(0, 1)
	}
	if !b.SizeMatch(p, 1) {
		err = errors.New(fmt.Sprintf("'b' must be matrix of size (%d,1)", p))
		return
	}
	dims := sets.NewDimensionSet("l", "q", "s")
	dims.Set("l", []int{ml})
	dims.Set("s", ms)
	N := dims.Sum("l") + dims.SumSquared("s")

	// Map hs matrices to h vector
	h := matrix.FloatZeros(N, 1)
	h.SetIndexesFromArray(hl.FloatArray()[:ml], matrix.MakeIndexSet(0, ml, 1)...)
	ind := ml
	for k, hs := range hsset {
		h.SetIndexesFromArray(hs.FloatArray(), matrix.MakeIndexSet(ind, ind+ms[k]*ms[k], 1)...)
		ind += ms[k] * ms[k]
//.........这里部分代码省略.........

func conelp_solver(c MatrixVariable, G MatrixVarG, h *matrix.FloatMatrix,
	A MatrixVarA, b MatrixVariable, dims *sets.DimensionSet, kktsolver KKTConeSolverVar,
	solopts *SolverOptions, primalstart, dualstart *sets.FloatMatrixSet) (sol *Solution, err error) {

	err = nil
	const EXPON = 3
	const STEP = 0.99

	sol = &Solution{Unknown,
		nil,
		0.0, 0.0, 0.0, 0.0, 0.0,
		0.0, 0.0, 0.0, 0.0, 0.0, 0}

	var refinement int

	if solopts.Refinement > 0 {
		refinement = solopts.Refinement
	} else {
		refinement = 0
		if len(dims.At("q")) > 0 || len(dims.At("s")) > 0 {
			refinement = 1
		}
	}
	feasTolerance := FEASTOL
	absTolerance := ABSTOL
	relTolerance := RELTOL
	maxIter := MAXITERS
	if solopts.FeasTol > 0.0 {
		feasTolerance = solopts.FeasTol
	}
	if solopts.AbsTol > 0.0 {
		absTolerance = solopts.AbsTol
	}
	if solopts.RelTol > 0.0 {
		relTolerance = solopts.RelTol
	}
	if solopts.MaxIter > 0 {
		maxIter = solopts.MaxIter
	}
	if err = checkConeLpDimensions(dims); err != nil {
		return
	}

	cdim := dims.Sum("l", "q") + dims.SumSquared("s")
	//cdim_pckd := dims.Sum("l", "q") + dims.SumPacked("s")
	cdim_diag := dims.Sum("l", "q", "s")

	if h.Rows() != cdim {
		err = errors.New(fmt.Sprintf("'h' must be float matrix of size (%d,1)", cdim))
		return
	}

	// Data for kth 'q' constraint are found in rows indq[k]:indq[k+1] of G.
	indq := make([]int, 0)
	indq = append(indq, dims.At("l")[0])
	for _, k := range dims.At("q") {
		indq = append(indq, indq[len(indq)-1]+k)
	}

	// Data for kth 's' constraint are found in rows inds[k]:inds[k+1] of G.
	inds := make([]int, 0)
	inds = append(inds, indq[len(indq)-1])
	for _, k := range dims.At("s") {
		inds = append(inds, inds[len(inds)-1]+k*k)
	}

	Gf := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
		return G.Gf(x, y, alpha, beta, trans)
	}

	Af := func(x, y MatrixVariable, alpha, beta float64, trans la.Option) error {
		return A.Af(x, y, alpha, beta, trans)
	}

	// kktsolver(W) returns a routine for solving 3x3 block KKT system
	//
	//     [ 0   A'  G'*W^{-1} ] [ ux ]   [ bx ]
	//     [ A   0   0         ] [ uy ] = [ by ].
	//     [ G   0   -W'       ] [ uz ]   [ bz ]

	if kktsolver == nil {
		err = errors.New("nil kktsolver not allowed.")
		return
	}

	// res() evaluates residual in 5x5 block KKT system
	//
	//     [ vx   ]    [ 0         ]   [ 0   A'  G'  c ] [ ux        ]
	//     [ vy   ]    [ 0         ]   [-A   0   0   b ] [ uy        ]
	//     [ vz   ] += [ W'*us     ] - [-G   0   0   h ] [ W^{-1}*uz ]
	//     [ vtau ]    [ dg*ukappa ]   [-c' -b' -h'  0 ] [ utau/dg   ]
	//
	//           vs += lmbda o (dz + ds)
	//       vkappa += lmbdg * (dtau + dkappa).
	ws3 := matrix.FloatZeros(cdim, 1)
	wz3 := matrix.FloatZeros(cdim, 1)
	checkpnt.AddMatrixVar("ws3", ws3)
	checkpnt.AddMatrixVar("wz3", wz3)

	//
//.........这里部分代码省略.........