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Diffstat (limited to 'thirdparty/linux/include/coin/ecos.h')
| -rw-r--r-- | thirdparty/linux/include/coin/ecos.h | 323 |
1 files changed, 323 insertions, 0 deletions
diff --git a/thirdparty/linux/include/coin/ecos.h b/thirdparty/linux/include/coin/ecos.h new file mode 100644 index 0000000..49d2b25 --- /dev/null +++ b/thirdparty/linux/include/coin/ecos.h @@ -0,0 +1,323 @@ +/* + * ECOS - Embedded Conic Solver. + * Copyright (C) 2012-2015 A. Domahidi [domahidi@embotech.com], + * Automatic Control Lab, ETH Zurich & embotech GmbH, Zurich, Switzerland. + * + * This program is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * This program is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with this program. If not, see <http://www.gnu.org/licenses/>. + */ + + +#ifndef __ECOS_H__ +#define __ECOS_H__ + +#include "glblopts.h" +#include "spla.h" +#include "cone.h" +#include "kkt.h" + +#if PROFILING > 0 +#include "timer.h" +#endif + +#if CTRLC > 0 +#include "ctrlc.h" +#endif + +/* ECOS VERSION NUMBER - FORMAT: X.Y.Z --------------------------------- */ +#define ECOS_VERSION ("2.0.4") + +/* DEFAULT SOLVER PARAMETERS AND SETTINGS STRUCT ----------------------- */ +#define MAXIT (100) /* maximum number of iterations */ +#define FEASTOL (1E-8) /* primal/dual infeasibility tolerance */ +#define ABSTOL (1E-8) /* absolute tolerance on duality gap */ +#define RELTOL (1E-8) /* relative tolerance on duality gap */ +#define FTOL_INACC (1E-4) /* inaccurate solution feasibility tol. */ +#define ATOL_INACC (5E-5) /* inaccurate solution absolute tol. */ +#define RTOL_INACC (5E-5) /* inaccurate solution relative tol. */ +#define GAMMA (0.99) /* scaling the final step length */ +#define STATICREG (1) /* static regularization: 0:off, 1:on */ +#define DELTASTAT (7E-8) /* regularization parameter */ +#define DELTA (2E-7) /* dyn. regularization parameter */ +#define EPS (1E-13) /* dyn. regularization threshold (do not 0!) */ +#define VERBOSE (1) /* bool for verbosity; PRINTLEVEL < 3 */ +#define NITREF (9) /* number of iterative refinement steps */ +#define IRERRFACT (6) /* factor by which IR should reduce err */ +#define LINSYSACC (1E-14) /* rel. accuracy of search direction */ +#define SIGMAMIN (1E-4) /* always do some centering */ +#define SIGMAMAX (1.0) /* never fully center */ +#define STEPMIN (1E-6) /* smallest step that we do take */ +#define STEPMAX (0.999) /* largest step allowed, also in affine dir. */ +#define SAFEGUARD (500) /* Maximum increase in PRES before + ECOS_NUMERICS is thrown. */ +/*Ecos exponential cone default settings*/ +#ifdef EXPCONE +#define MAX_BK (90) /*Maximum backtracking steps*/ +#define BK_SCALE (0.8) /*Backtracking constant*/ +#define MIN_DISTANCE (0.1) /* dont let sqrt(r), sqrt(-u) or sqrt(v) + become smaller than + MIN_DISTANCE*mu*/ +#define CENTRALITY (1) /*Centrality requirement*/ +#endif + + + +/* EQUILIBRATION METHOD ------------------------------------------------ */ +#define EQUILIBRATE (1) /* use equlibration of data matrices? >0: yes */ +#define EQUIL_ITERS (3) /* number of equilibration iterations */ +#define RUIZ_EQUIL /* define algorithm to use - if both are ... */ +/*#define ALTERNATING_EQUIL*/ /* ... commented out no equlibration is used */ + + +/* EXITCODES ----------------------------------------------------------- */ +#define ECOS_OPTIMAL (0) /* Problem solved to optimality */ +#define ECOS_PINF (1) /* Found certificate of primal infeasibility */ +#define ECOS_DINF (2) /* Found certificate of dual infeasibility */ +#define ECOS_INACC_OFFSET (10) /* Offset exitflag at inaccurate results */ +#define ECOS_MAXIT (-1) /* Maximum number of iterations reached */ +#define ECOS_NUMERICS (-2) /* Search direction unreliable */ +#define ECOS_OUTCONE (-3) /* s or z got outside the cone, numerics? */ +#define ECOS_SIGINT (-4) /* solver interrupted by a signal/ctrl-c */ +#define ECOS_FATAL (-7) /* Unknown problem in solver */ + +#ifdef __cplusplus +extern "C" { +#endif + +/* SETTINGS STRUCT ----------------------------------------------------- */ +typedef struct settings{ + pfloat gamma; /* scaling the final step length */ + pfloat delta; /* regularization parameter */ + pfloat eps; /* regularization threshold */ + pfloat feastol; /* primal/dual infeasibility tolerance */ + pfloat abstol; /* absolute tolerance on duality gap */ + pfloat reltol; /* relative tolerance on duality gap */ + pfloat feastol_inacc; /* primal/dual infeasibility relaxed tolerance */ + pfloat abstol_inacc; /* absolute relaxed tolerance on duality gap */ + pfloat reltol_inacc; /* relative relaxed tolerance on duality gap */ + idxint nitref; /* number of iterative refinement steps */ + idxint maxit; /* maximum number of iterations */ + idxint verbose; /* verbosity bool for PRINTLEVEL < 3 */ +#ifdef EXPCONE /*Exponential cone settings*/ + idxint max_bk_iter; /* Maximum backtracking iterations */ + pfloat bk_scale; /* Backtracking scaling */ + pfloat centrality; /* Centrality bound, ignored when centrality vars = 0*/ +#endif +} settings; + + +/* INFO STRUCT --------------------------------------------------------- */ +typedef struct stats{ + pfloat pcost; + pfloat dcost; + pfloat pres; + pfloat dres; + pfloat pinf; + pfloat dinf; + pfloat pinfres; + pfloat dinfres; + pfloat gap; + pfloat relgap; + pfloat sigma; + pfloat mu; + pfloat step; + pfloat step_aff; + pfloat kapovert; + idxint iter; + idxint nitref1; + idxint nitref2; + idxint nitref3; +#if PROFILING > 0 + pfloat tsetup; + pfloat tsolve; +#endif +#if PROFILING > 1 + pfloat tfactor; + pfloat tkktsolve; + pfloat torder; + pfloat tkktcreate; + pfloat ttranspose; + pfloat tperm; + pfloat tfactor_t1; + pfloat tfactor_t2; +#endif +#ifdef EXPCONE + /* Counters for backtracking, each of these counts + * one condition that can fail and cause a backtrack + */ + idxint pob; /* Potential decreases */ + idxint cb; /* Centrality violations */ + idxint cob; /* The s'z of one cone is too small w.r.t. mu */ + idxint pb; /* Primal infeasibility */ + idxint db; /* Dual infeasibility */ + idxint affBack; /* Total affine backtracking steps */ + idxint cmbBack; /* Total combined backtracking steps */ + + pfloat centrality; /*Centrality at the end of the backtracking*/ +#endif + +} stats; + + +/* ALL DATA NEEDED BY SOLVER ------------------------------------------- */ +typedef struct pwork{ + /* dimensions */ + idxint n; /* number of primal variables x */ + idxint m; /* number of conically constrained variables s */ + idxint p; /* number of equality constraints */ + idxint D; /* degree of the cone */ + + /* variables */ + pfloat* x; /* primal variables */ + pfloat* y; /* multipliers for equality constaints */ + pfloat* z; /* multipliers for conic inequalities */ + pfloat* s; /* slacks for conic inequalities */ + pfloat* lambda; /* scaled variable */ + pfloat kap; /* kappa (homogeneous embedding) */ + pfloat tau; /* tau (homogeneous embedding) */ + + /* best iterate seen so far */ + /* variables */ + pfloat* best_x; /* primal variables */ + pfloat* best_y; /* multipliers for equality constaints */ + pfloat* best_z; /* multipliers for conic inequalities */ + pfloat* best_s; /* slacks for conic inequalities */ + pfloat best_kap; /* kappa (homogeneous embedding) */ + pfloat best_tau; /* tau (homogeneous embedding) */ + pfloat best_cx; + pfloat best_by; + pfloat best_hz; + stats* best_info; /* info of best iterate */ + + /* temporary stuff holding search direction etc. */ + pfloat* dsaff; + pfloat* dzaff; + pfloat* W_times_dzaff; + pfloat* dsaff_by_W; + pfloat* saff; + pfloat* zaff; + + /* cone */ + cone* C; + + /* problem data */ + spmat* A; spmat* G; pfloat* c; pfloat* b; pfloat* h; + + /* indices that map entries of A and G to the KKT matrix */ + idxint *AtoK; idxint *GtoK; + +#if defined EQUILIBRATE && EQUILIBRATE > 0 + /* equilibration vector */ + pfloat *xequil; + pfloat *Aequil; + pfloat *Gequil; +#endif + + /* scalings of problem data */ + pfloat resx0; pfloat resy0; pfloat resz0; + + /* residuals */ + pfloat *rx; pfloat *ry; pfloat *rz; pfloat rt; + pfloat hresx; pfloat hresy; pfloat hresz; + + /* norm iterates */ + pfloat nx,ny,nz,ns; + + /* temporary storage */ + pfloat cx; pfloat by; pfloat hz; pfloat sz; + + /* KKT System */ + kkt* KKT; + + /* info struct */ + stats* info; + + /* settings struct */ + settings* stgs; + +} pwork; + + +/* SOME USEFUL MACROS -------------------------------------------------- */ +#define MAX(X,Y) ((X) < (Y) ? (Y) : (X)) /* maximum of 2 expressions */ +/* safe division x/y where y is assumed to be positive! */ +#define SAFEDIV_POS(X,Y) ( (Y) < EPS ? ((X)/EPS) : (X)/(Y) ) + + +/* METHODS */ + +/* set up work space */ +/* could be done by codegen */ +pwork* ECOS_setup(idxint n, idxint m, idxint p, idxint l, idxint ncones, idxint* q, idxint nex, + pfloat* Gpr, idxint* Gjc, idxint* Gir, + pfloat* Apr, idxint* Ajc, idxint* Air, + pfloat* c, pfloat* h, pfloat* b); + + +#ifdef EXPCONE +pfloat expConeLineSearch(pwork* w, pfloat dtau, pfloat dkappa, idxint affine); +#endif + +/* solve */ +idxint ECOS_solve(pwork* w); + +/** + * Cleanup: free memory (not used for embedded solvers, only standalone) + * + * Use the second argument to give the number of variables to NOT free. + * This is useful if you want to use the result of the optimization without + * copying over the arrays. One use case is the MEX interface, where we + * do not want to free x,y,s,z (depending on the number of LHS). + */ +void ECOS_cleanup(pwork* w, idxint keepvars); + + +/** + * Version: returns the current version number + * Use a character array of length 7 to obtain the version number + * in the format + * x.y.zzz + * where x is the major, y the minor and zzz the build number + */ +const char* ECOS_ver(void); + + +/* ------------------- EXPERT LEVEL INTERFACES ---------------------- */ + +/* + * Updates one element of the RHS vector h of inequalities + * After the call, w->h[idx] = value (but equilibrated) + */ +void ecos_updateDataEntry_h(pwork* w, idxint idx, pfloat value); + +/* + * Updates one element of the OBJ vector c of inequalities + * After the call, w->c[idx] = value (but equilibrated) + */ +void ecos_updateDataEntry_c(pwork* w, idxint idx, pfloat value); + +/* + * Updates numerical data for G, A, c, h, and b, + * and re-equilibrates. + * Then updates the corresponding KKT entries. + */ +void ECOS_updateData(pwork *w, pfloat *Gpr, pfloat *Apr, + pfloat* c, pfloat* h, pfloat* b); + + +#ifdef __cplusplus +} +#endif + +#endif + |