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120 lines
4.3 KiB
120 lines
4.3 KiB
// This file is part of libigl, a simple c++ geometry processing library.
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//
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// Copyright (C) 2013 Alec Jacobson <alecjacobson@gmail.com>
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//
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// This Source Code Form is subject to the terms of the Mozilla Public License
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// v. 2.0. If a copy of the MPL was not distributed with this file, You can
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// obtain one at http://mozilla.org/MPL/2.0/.
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#ifndef IGL_ACTIVE_SET_H
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#define IGL_ACTIVE_SET_H
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#include "igl_inline.h"
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#include "SolverStatus.h"
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#include <Eigen/Core>
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#include <Eigen/Sparse>
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namespace igl
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{
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struct active_set_params;
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///
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/// Minimize convex quadratic energy subject to linear inequality constraints
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///
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/// min ½ Zᵀ A Z + Zᵀ B + constant
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/// Z
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/// subject to
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/// Aeq Z = Beq
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/// Aieq Z <= Bieq
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/// lx <= Z <= ux
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/// Z(known) = Y
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///
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/// that Z(known) = Y, optionally also subject to the constraints Aeq*Z = Beq,
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/// and further optionally subject to the linear inequality constraints that
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/// Aieq*Z <= Bieq and constant inequality constraints lx <= x <= ux
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///
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/// @param[in] A n by n matrix of quadratic coefficients
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/// @param[in] B n by 1 column of linear coefficients
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/// @param[in] known list of indices to known rows in Z
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/// @param[in] Y list of fixed values corresponding to known rows in Z
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/// @param[in] Aeq meq by n list of linear equality constraint coefficients
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/// @param[in] Beq meq by 1 list of linear equality constraint constant values
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/// @param[in] Aieq mieq by n list of linear inequality constraint coefficients
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/// @param[in] Bieq mieq by 1 list of linear inequality constraint constant values
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/// @param[in] lx n by 1 list of lower bounds [] implies -Inf
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/// @param[in] ux n by 1 list of upper bounds [] implies Inf
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/// @param[in] params struct of additional parameters (see below)
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/// @param[in,out] Z if not empty, is taken to be an n by 1 list of initial guess values. Set to solution on output.
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/// @return true on success, false on error
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///
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/// \note Benchmark: For a harmonic solve on a mesh with 325K facets, matlab 2.2
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/// secs, igl/min_quad_with_fixed.h 7.1 secs
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///
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/// \pre rows of [Aeq;Aieq] **must** be linearly independent. Should be
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/// using QR decomposition otherwise:
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/// https://v8doc.sas.com/sashtml/ormp/chap5/sect32.htm
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///
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/// \warning This solver is fairly experimental. It works reasonably well for
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/// bbw problems but doesn't generalize well to other problems. NASOQ and
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/// OSQP are better general purpose solvers.
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template <
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typename AT,
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typename DerivedB,
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typename Derivedknown,
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typename DerivedY,
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typename AeqT,
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typename DerivedBeq,
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typename AieqT,
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typename DerivedBieq,
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typename Derivedlx,
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typename Derivedux,
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typename DerivedZ
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>
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IGL_INLINE igl::SolverStatus active_set(
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const Eigen::SparseMatrix<AT>& A,
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const Eigen::PlainObjectBase<DerivedB> & B,
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const Eigen::PlainObjectBase<Derivedknown> & known,
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const Eigen::PlainObjectBase<DerivedY> & Y,
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const Eigen::SparseMatrix<AeqT>& Aeq,
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const Eigen::PlainObjectBase<DerivedBeq> & Beq,
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const Eigen::SparseMatrix<AieqT>& Aieq,
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const Eigen::PlainObjectBase<DerivedBieq> & Bieq,
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const Eigen::PlainObjectBase<Derivedlx> & lx,
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const Eigen::PlainObjectBase<Derivedux> & ux,
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const igl::active_set_params & params,
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Eigen::PlainObjectBase<DerivedZ> & Z
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);
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};
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#include "EPS.h"
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/// Input parameters controling active_set
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///
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/// \fileinfo
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struct igl::active_set_params
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{
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/// Auu_pd whether Auu is positive definite {false}
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bool Auu_pd;
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/// max_iter Maximum number of iterations (0 = Infinity, {100})
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int max_iter;
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/// inactive_threshold Threshold on Lagrange multiplier values to determine
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/// whether to keep constraints active {EPS}
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double inactive_threshold;
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/// constraint_threshold Threshold on whether constraints are violated (0
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/// is perfect) {EPS}
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double constraint_threshold;
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/// solution_diff_threshold Threshold on the squared norm of the difference
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/// between two consecutive solutions {EPS}
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double solution_diff_threshold;
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/// @private
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active_set_params():
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Auu_pd(false),
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max_iter(100),
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inactive_threshold(igl::DOUBLE_EPS),
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constraint_threshold(igl::DOUBLE_EPS),
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solution_diff_threshold(igl::DOUBLE_EPS)
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{};
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};
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#ifndef IGL_STATIC_LIBRARY
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# include "active_set.cpp"
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#endif
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#endif
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