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TGondzioSolver.h
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1 // @(#)root/quadp:$Id$
2 // Author: Eddy Offermann May 2004
3 
4 /*************************************************************************
5  * Copyright (C) 1995-2000, Rene Brun and Fons Rademakers. *
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11 
12 /*************************************************************************
13  * Parts of this file are copied from the OOQP distribution and *
14  * are subject to the following license: *
15  * *
16  * COPYRIGHT 2001 UNIVERSITY OF CHICAGO *
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21  * software was authored by: *
22  * *
23  * E. MICHAEL GERTZ gertz@mcs.anl.gov *
24  * Mathematics and Computer Science Division *
25  * Argonne National Laboratory *
26  * 9700 S. Cass Avenue *
27  * Argonne, IL 60439-4844 *
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29  * STEPHEN J. WRIGHT swright@cs.wisc.edu *
30  * Computer Sciences Department *
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42 
43 #ifndef ROOT_TGondzioSolver
44 #define ROOT_TGondzioSolver
45 
46 #include "Rtypes.h"
47 #include "TQpSolverBase.h"
48 
49 ///////////////////////////////////////////////////////////////////////////
50 // //
51 // Derived class of TQpSolverBase implementing Gondzio-correction //
52 // version of Mehrotra's original predictor-corrector algorithm. //
53 // //
54 ///////////////////////////////////////////////////////////////////////////
55 
57 {
58 
59 protected:
60 
61  Int_t fPrintlevel; // parameter in range [0,100] determines verbosity. (Higher value
62  // => more verbose.)
63  Double_t fTsig; // exponent in Mehrotra's centering parameter, which is usually
64  // chosen to me (muaff/mu)^tsig, where muaff is the predicted
65  // complementarity gap obtained from an affine-scaling step, while
66  // mu is the current complementarity gap
67 
68  Int_t fMaximum_correctors; // maximum number of Gondzio corrector steps
69 
70  Int_t fNumberGondzioCorrections; // actual number of Gondzio corrections needed
71 
72  Double_t fStepFactor0; // various parameters associated with Gondzio correction
77 
78  TQpVar *fCorrector_step; // storage for step vectors
80 
81  TQpResidual *fCorrector_resid; // storage for residual vectors
82 
84 
85 public:
86 
89  TGondzioSolver(const TGondzioSolver &another);
90 
91  virtual ~TGondzioSolver();
92 
93  virtual Int_t Solve (TQpDataBase *prob,TQpVar *iterate,TQpResidual *resid);
94 
95  virtual void Reset_parameters() {} // reset parameters to their default values
96 
97  virtual void DefMonitor (TQpDataBase *data,TQpVar *vars,TQpResidual *resids,
99  Int_t status_code,Int_t level);
100 
101  TGondzioSolver &operator=(const TGondzioSolver &source);
102 
103  ClassDef(TGondzioSolver,1) // Gondzio Qp Solver class
104 };
105 #endif
int iterate(rng_state_t *X)
Definition: mixmax.icc:34
TGondzioSolver()
Default constructor.
virtual void DefMonitor(TQpDataBase *data, TQpVar *vars, TQpResidual *resids, Double_t alpha, Double_t sigma, Int_t i, Double_t mu, Int_t status_code, Int_t level)
Print information about the optimization process and monitor the convergence status of thye algorithm...
int Int_t
Definition: RtypesCore.h:41
virtual void Reset_parameters()
Double_t fAcceptTol
Int_t fNumberGondzioCorrections
#define ClassDef(name, id)
Definition: Rtypes.h:297
Double_t fBeta_max
Double_t fStepFactor0
const Double_t sigma
virtual Int_t Solve(TQpDataBase *prob, TQpVar *iterate, TQpResidual *resid)
Solve the quadratic programming problem as formulated through prob, store the final solution in itera...
TQpResidual * fCorrector_resid
bool verbose
Int_t fMaximum_correctors
double Double_t
Definition: RtypesCore.h:55
TGondzioSolver & operator=(const TGondzioSolver &source)
Assignment operator.
Double_t fBeta_min
Definition: TQpVar.h:59
Double_t fStepFactor1
virtual ~TGondzioSolver()
Deconstructor.
TQpProbBase * fFactory
TQpVar * fCorrector_step