%%***************************************************************** %% NTpred: Compute (dX,dy,dZ) for NT direction. %% %% compute SVD of Xchol*Zchol via eigenvalue decompostion of %% Zchol * X * Zchol' = V * diag(sv2) * V'. %% compute W satisfying W*Z*W = X. %% W = G'*G, where G = diag(sqrt(sv)) * (invZchol*V)' %%***************************************************************** %% SDPT3: version 4.0 %% Copyright (c) 1997 by %% Kim-Chuan Toh, Michael J. Todd, Reha H. Tutuncu %% Last Modified: 16 Sep 2004 %%***************************************************************** function [par,dX,dy,dZ,coeff,L,hRd] = ... NTpred(blk,At,par,rp,Rd,sigmu,X,Z,Zchol,invZchol); global schurfun schurfun_par %% %% compute NT scaling matrix %% [par.W,par.G,par.sv,par.gamx,par.gamz,par.dd,par.ee,par.ff] = ... NTscaling(blk,X,Z,Zchol,invZchol); %% %% compute schur matrix %% m = length(rp); schur = sparse(m,m); UU = []; EE = []; Afree = []; dX = cell(size(blk,1),1); dy = []; dZ = cell(size(blk,1),1); %% for p = 1:size(blk,1) pblk = blk(p,:); if strcmp(pblk{1},'l') [schur,UU,EE] = schurmat_lblk(blk,At,par,schur,UU,EE,p,par.dd); elseif strcmp(pblk{1},'q'); [schur,UU,EE] = schurmat_qblk(blk,At,par,schur,UU,EE,p,par.dd,par.ee); elseif strcmp(pblk{1},'s') if isempty(schurfun{p}) schur = schurmat_sblk(blk,At,par,schur,p,par.W); elseif isstr(schurfun{p}) schurtmp = sparse(m,m); if ~isempty(par.permZ{p}) Wp = par.W{p}(par.permZ{p},par.permZ{p}); else Wp = par.W{p}; end eval(['schurtmp = ',schurfun{p},'(Wp,Wp,schurfun_par(p,:));']); schur = schur + schurtmp; end elseif strcmp(pblk{1},'u') Afree = [Afree, At{p}']; end end %% %% compute rhs %% [rhs,EinvRc,hRd] = NTrhsfun(blk,At,par,X,Z,rp,Rd,sigmu); %% %% solve linear system %% [xx,coeff,L] = linsysolve(par,schur,UU,Afree,EE,rhs); %% %% compute (dX,dZ) %% [dX,dy,dZ] = NTdirfun(blk,At,par,Rd,EinvRc,xx,m); %%**********************************************************************