pde_surrogate/subsolv.m

%-------------------------------------------------------------
%    This is the file subsolv.m
%
%    Version Dec 2006.
%    Krister Svanberg <krille@math.kth.se>
%    Department of Mathematics, KTH,
%    SE-10044 Stockholm, Sweden.
%
function [xmma,ymma,zmma,lamma,xsimma,etamma,mumma,zetmma,smma] = ...
subsolv(m,n,epsimin,low,upp,alfa,beta,p0,q0,P,Q,a0,a,b,c,d);
%
% This function subsolv solves the MMA subproblem:
%         
% minimize   SUM[ p0j/(uppj-xj) + q0j/(xj-lowj) ] + a0*z +
%          + SUM[ ci*yi + 0.5*di*(yi)^2 ],
%
% subject to SUM[ pij/(uppj-xj) + qij/(xj-lowj) ] - ai*z - yi <= bi,
%            alfaj <=  xj <=  betaj,  yi >= 0,  z >= 0.
%        
% Input:  m, n, low, upp, alfa, beta, p0, q0, P, Q, a0, a, b, c, d.
% Output: xmma,ymma,zmma, slack variables and Lagrange multiplers.
%
een = ones(n,1);
eem = ones(m,1);
epsi = 1;
epsvecn = epsi*een;
epsvecm = epsi*eem;
x = 0.5*(alfa+beta);
y = eem;
z = 1;
lam = eem;
xsi = een./(x-alfa);
xsi = max(xsi,een);
eta = een./(beta-x);
eta = max(eta,een);
mu  = max(eem,0.5*c);
zet = 1;
s = eem;
itera = 0;
while epsi > epsimin
  epsvecn = epsi*een;
  epsvecm = epsi*eem;
  ux1 = upp-x;
  xl1 = x-low;
  ux2 = ux1.*ux1;
  xl2 = xl1.*xl1;
  uxinv1 = een./ux1;
  xlinv1 = een./xl1;
  plam = p0 + P'*lam ;
  qlam = q0 + Q'*lam ;
  gvec = P*uxinv1 + Q*xlinv1;
  dpsidx = plam./ux2 - qlam./xl2 ;
  rex = dpsidx - xsi + eta;
  rey = c + d.*y - mu - lam;
  rez = a0 - zet - a'*lam;
  relam = gvec - a*z - y + s - b;
  rexsi = xsi.*(x-alfa) - epsvecn;
  reeta = eta.*(beta-x) - epsvecn;
  remu = mu.*y - epsvecm;
  rezet = zet*z - epsi;
  res = lam.*s - epsvecm;
  residu1 = [rex' rey' rez]';
  residu2 = [relam' rexsi' reeta' remu' rezet res']';
  residu = [residu1' residu2']';
  residunorm = sqrt(residu'*residu);
  residumax = max(abs(residu));
  ittt = 0;
  while residumax > 0.9*epsi & ittt < 500
    ittt=ittt + 1;
    itera=itera + 1;
    ux1 = upp-x;
    xl1 = x-low;
    ux2 = ux1.*ux1;
    xl2 = xl1.*xl1;
    ux3 = ux1.*ux2;
    xl3 = xl1.*xl2;
    uxinv1 = een./ux1;
    xlinv1 = een./xl1;
    uxinv2 = een./ux2;
    xlinv2 = een./xl2;
    plam = p0 + P'*lam ;
    qlam = q0 + Q'*lam ;
    gvec = P*uxinv1 + Q*xlinv1;
    GG = P*spdiags(uxinv2,0,n,n) - Q*spdiags(xlinv2,0,n,n);
    dpsidx = plam./ux2 - qlam./xl2 ;
    delx = dpsidx - epsvecn./(x-alfa) + epsvecn./(beta-x);
    dely = c + d.*y - lam - epsvecm./y;
    delz = a0 - a'*lam - epsi/z;
    dellam = gvec - a*z - y - b + epsvecm./lam;
    diagx = plam./ux3 + qlam./xl3;
    diagx = 2*diagx + xsi./(x-alfa) + eta./(beta-x);
    diagxinv = een./diagx;
    diagy = d + mu./y;
    diagyinv = eem./diagy;
    diaglam = s./lam;
    diaglamyi = diaglam+diagyinv;
    if m < n
      blam = dellam + dely./diagy - GG*(delx./diagx);
      bb = [blam' delz]';
      Alam = spdiags(diaglamyi,0,m,m) + GG*spdiags(diagxinv,0,n,n)*GG';
      AA = [Alam     a
            a'    -zet/z ];
      solut = AA\bb;
      dlam = solut(1:m);
      dz = solut(m+1);
      dx = -delx./diagx - (GG'*dlam)./diagx;
    else
      diaglamyiinv = eem./diaglamyi;
      dellamyi = dellam + dely./diagy;
      Axx = spdiags(diagx,0,n,n) + GG'*spdiags(diaglamyiinv,0,m,m)*GG;
      azz = zet/z + a'*(a./diaglamyi);
      axz = -GG'*(a./diaglamyi);
      bx = delx + GG'*(dellamyi./diaglamyi);
      bz  = delz - a'*(dellamyi./diaglamyi);
      AA = [Axx   axz
            axz'  azz ];
      bb = [-bx' -bz]';
      solut = AA\bb;
      dx  = solut(1:n);
      dz = solut(n+1);
      dlam = (GG*dx)./diaglamyi - dz*(a./diaglamyi) + dellamyi./diaglamyi;
    end
%
    dy = -dely./diagy + dlam./diagy;
    dxsi = -xsi + epsvecn./(x-alfa) - (xsi.*dx)./(x-alfa);
    deta = -eta + epsvecn./(beta-x) + (eta.*dx)./(beta-x);
    dmu  = -mu + epsvecm./y - (mu.*dy)./y;
    dzet = -zet + epsi/z - zet*dz/z;
    ds   = -s + epsvecm./lam - (s.*dlam)./lam;
    xx  = [ y'  z  lam'  xsi'  eta'  mu'  zet  s']';
    dxx = [dy' dz dlam' dxsi' deta' dmu' dzet ds']';
%    
    stepxx = -1.01*dxx./xx;
    stmxx  = max(stepxx);
    stepalfa = -1.01*dx./(x-alfa);
    stmalfa = max(stepalfa);
    stepbeta = 1.01*dx./(beta-x);
    stmbeta = max(stepbeta);
    stmalbe  = max(stmalfa,stmbeta);
    stmalbexx = max(stmalbe,stmxx);
    stminv = max(stmalbexx,1);
    steg = 1/stminv;
%
    xold   =   x;
    yold   =   y;
    zold   =   z;
    lamold =  lam;
    xsiold =  xsi;
    etaold =  eta;
    muold  =  mu;
    zetold =  zet;
    sold   =   s;
%
    itto = 0;
    resinew = 2*residunorm;
    while resinew > residunorm & itto < 50
    itto = itto+1;
    x   =   xold + steg*dx;
    y   =   yold + steg*dy;
    z   =   zold + steg*dz;
    lam = lamold + steg*dlam;
    xsi = xsiold + steg*dxsi;
    eta = etaold + steg*deta;
    mu  = muold  + steg*dmu;
    zet = zetold + steg*dzet;
    s   =   sold + steg*ds;
    ux1 = upp-x;
    xl1 = x-low;
    ux2 = ux1.*ux1;
    xl2 = xl1.*xl1;
    uxinv1 = een./ux1;
    xlinv1 = een./xl1;
    plam = p0 + P'*lam ;
    qlam = q0 + Q'*lam ;
    gvec = P*uxinv1 + Q*xlinv1;
    dpsidx = plam./ux2 - qlam./xl2 ;
    rex = dpsidx - xsi + eta;
    rey = c + d.*y - mu - lam;
    rez = a0 - zet - a'*lam;
    relam = gvec - a*z - y + s - b;
    rexsi = xsi.*(x-alfa) - epsvecn;
    reeta = eta.*(beta-x) - epsvecn;
    remu = mu.*y - epsvecm;
    rezet = zet*z - epsi;
    res = lam.*s - epsvecm;
    residu1 = [rex' rey' rez]';
    residu2 = [relam' rexsi' reeta' remu' rezet res']';
    residu = [residu1' residu2']';
    resinew = sqrt(residu'*residu);
    steg = steg/2;
    end
  residunorm=resinew;
  residumax = max(abs(residu));
  steg = 2*steg;
  end
  if ittt > 198
    epsi
    ittt
  end
epsi = 0.1*epsi;
end
xmma   =   x;
ymma   =   y;
zmma   =   z;
lamma =  lam;
xsimma =  xsi;
etamma =  eta;
mumma  =  mu;
zetmma =  zet;
smma   =   s;
%-------------------------------------------------------------