62 lines
2.5 KiB
Mathematica
62 lines
2.5 KiB
Mathematica
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%%*****************************************************************
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%% HSDsqlpCpert: perturb C.
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%%*****************************************************************
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%% SDPT3: version 4.0
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%% Copyright (c) 1997 by
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%% Kim-Chuan Toh, Michael J. Todd, Reha H. Tutuncu
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%% Last Modified: 16 Sep 2004
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%%*****************************************************************
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function [At,Cpert] = HSDsqlpCpert(blk,At,par,C,X,Cpert,runhist)
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iter = length(runhist.pinfeas);
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prim_infeas = runhist.pinfeas(iter);
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dual_infeas = runhist.dinfeas(iter);
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relgap = runhist.relgap(iter);
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infeas = runhist.infeas(iter);
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theta = runhist.theta(iter);
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%%
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Cpertold = Cpert;
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err = max(relgap,infeas);
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for p = 1:size(blk,1)
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pblk = blk(p,:);
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n = sum(pblk{2});
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tmp = max(1,norm(C{p},'fro'))/sqrt(n);
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if (err < 1e-6)
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if (norm(X{p},'fro') < 1e2); const=0.2; else; const=0.3; end
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Cpert(p) = max(const*Cpert(p),1e-10*tmp);
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elseif (err < 1e-2)
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if (norm(X{p},'fro') < 1e2); const=0.4; else; const=0.5; end
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Cpert(p) = max(const*Cpert(p),1e-8*tmp);
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else
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Cpert(p) = max(0.9*Cpert(p),1e-6*tmp);
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end
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Cpert = min(Cpert,Cpertold);
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if (prim_infeas < min([0.1*dual_infeas, 1e-7*runhist.pinfeas(1)])) ...
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& (iter > 1 & dual_infeas > 0.8*runhist.dinfeas(iter-1) & relgap < 1e-4)
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Cpert(p) = 0.5*Cpert(p);
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elseif (dual_infeas < min([0.1*prim_infeas, 1e-7*runhist.dinfeas(1)])) ...
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& (iter > 1 & prim_infeas > 0.8*runhist.pinfeas(iter-1) & relgap < 1e-4)
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Cpert(p) = 0.5*Cpert(p);
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elseif (max(relgap,1e-2*infeas) < 1e-6 & relgap < 0.1*infeas)
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Cpert(p) = 0.5*Cpert(p);
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end
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if (prim_infeas < min([1e-4*dual_infeas,1e-7]) & theta < 1e-6) ...
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| (prim_infeas < 1e-4 & theta < 1e-10)
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Cpert(p) = 0.1*Cpert(p);
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elseif (dual_infeas < min([1e-4*prim_infeas,1e-7]) & theta < 1e-6) ...
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| (dual_infeas < 1e-4 & theta < 1e-10)
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Cpert(p) = 0.1*Cpert(p);
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elseif (iter > 1 & theta > 0.9*runhist.theta(iter-1) & infeas < 1e-3)
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Cpert(p) = 0.1*Cpert(p);
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end
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if strcmp(pblk{1},'s')
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Cnew = C{p} + Cpert(p)*speye(n);
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At{p}(:,par.invpermA(p,end-1)) = -svec(pblk,Cnew,1);
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else
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Cnew = C{p} + Cpert(p)*ones(n,1);
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At{p}(:,par.invpermA(p,end-1)) = -Cnew;
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end
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end
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%%*****************************************************************************
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