212 lines
8.9 KiB
Matlab
Executable File
212 lines
8.9 KiB
Matlab
Executable File
%%*****************************************************************
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%% sqlpcheckconvg: check convergence.
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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 [param,breakyes,restart,msg] = sqlpcheckconvg(param,runhist);
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termcode = param.termcode;
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iter = param.iter;
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obj = param.obj;
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relgap = param.relgap;
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gap = param.gap;
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prim_infeas = param.prim_infeas;
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dual_infeas = param.dual_infeas;
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mu = param.mu;
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homrp = param.homrp;
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homRd = param.homRd;
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prim_infeas_bad = param.prim_infeas_bad;
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dual_infeas_bad = param.dual_infeas_bad;
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if (iter > 15)
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prim_infeas_min = min(param.prim_infeas_min, max(prim_infeas,1e-10));
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dual_infeas_min = min(param.dual_infeas_min, max(dual_infeas,1e-10));
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else
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prim_infeas_min = inf;
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dual_infeas_min = inf;
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end
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printlevel = param.printlevel;
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stoplevel = param.stoplevel;
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ublksize = param.ublksize;
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use_LU = param.use_LU;
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numpertdiagschur = param.numpertdiagschur;
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infeas = max(prim_infeas,dual_infeas);
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restart = 0;
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breakyes = 0;
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msg = [];
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%%
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if (param.normX > 1e15*param.normX0 | param.normZ > 1e15*param.normZ0)
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termcode = 3;
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breakyes = 1;
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end
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err = max(infeas,relgap);
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idx = [max(2,iter-9): iter+1];
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pratio = (1-runhist.pinfeas(idx)./runhist.pinfeas(idx-1))./runhist.pstep(idx);
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dratio = (1-runhist.dinfeas(idx)./runhist.dinfeas(idx-1))./runhist.dstep(idx);
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if (param.homRd < 0.1*sqrt(err*max(param.inftol,1e-13))) ...
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& (iter > 30 | termcode==3) & (mean(abs(dratio-1)) > 0.5)
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termcode = 1;
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breakyes = 1;
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end
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if (param.homrp < 0.1*sqrt(err*max(param.inftol,1e-13))) ...
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& (iter > 30 | termcode==3) & (mean(abs(pratio-1)) > 0.5)
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termcode = 2;
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breakyes = 1;
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end
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if (stoplevel) & (iter > 2) & (~breakyes)
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prim_infeas_bad = ...
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+ (prim_infeas > max(1e-10,1e2*prim_infeas_min) & (prim_infeas_min < 1e-2)) ...
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+ (prim_infeas > prod(1.5-runhist.step(iter+1:iter-1))*runhist.pinfeas(iter-2));
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dual_infeas_bad = ...
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+ (dual_infeas > max(1e-8,1e3*dual_infeas_min) & (dual_infeas_min < 1e-2));
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if (mu < 1e-8) | (use_LU)
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idx = [max(1,iter-1): iter];
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elseif (mu < 1e-4);
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idx = [max(1,iter-2): iter];
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else
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idx = [max(1,iter-3): iter];
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end
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gap_progress_bad = (infeas < 1e-4) & (relgap < 5e-3) ...
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& (gap > 0.9*exp(mean(log(runhist.gap(idx)))));
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gap_progress_bad2 = (infeas < 1e-4) & (relgap < 1) ...
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& (gap > 0.95*exp(mean(log(runhist.gap(idx)))));
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gap_ratio = runhist.gap(idx+1)./runhist.gap(idx);
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idxtmp = [max(1,iter-4): iter];
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gap_ratio_tmp = runhist.gap(idxtmp+1)./runhist.gap(idxtmp);
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gap_slowrate = min(0.8,max(0.6,2*mean(gap_ratio_tmp)));
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idx2 = [max(1,iter-10): iter];
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gap_ratio2 = runhist.gap(idx2+1)./runhist.gap(idx2);
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gap_slow = all(gap_ratio > gap_slowrate);
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gap_slow2 = all(gap_ratio2 > gap_slowrate);
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if (iter > 20) & (infeas < 1e-4 | prim_infeas_bad) ...
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& (max(infeas,relgap) < 1) ...
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& ~(min(runhist.step(idx)) > 0.2 & ublksize)
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if (gap_slow & prim_infeas_bad & (relgap < 1e-3)) ...
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| (gap_slow2 & prim_infeas_bad & ublksize & (runhist.step(iter+1) > 0.2))
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msg = 'stop: progress is too slow';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -5;
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breakyes = 1;
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elseif (max(infeas,relgap) < 1e-2) & (prim_infeas_bad)
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if (relgap < max(0.2*prim_infeas,1e-2*dual_infeas))
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msg = 'stop: relative gap < infeasibility';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -1;
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breakyes = 1;
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end
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end
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end
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if (iter > 20) & (gap_progress_bad) ...
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& (prim_infeas_bad | any(runhist.step(idx) > 0.5))
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msg = 'stop: progress is bad';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -5;
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breakyes = 1;
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end
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if (iter > 20) & (gap_progress_bad2) ...
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& (numpertdiagschur > 10);
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msg = 'stop: progress is bad';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -5;
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breakyes = 1;
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end
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if (iter > 30) & (prim_infeas_bad) & (gap_slow) & (relgap < 1e-3) ...
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& (dual_infeas < 1e-5) & ~(min(runhist.step(idx)) > 0.2 & ublksize)
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msg = 'stop: progress is bad*';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -5;
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breakyes = 1;
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end
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if (iter > 30) & (dual_infeas_bad) & (relgap < 1e-3) ...
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& (dual_infeas < 1e-5) ...
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& ~(min(runhist.step(idx)) > 0.2 & ublksize)
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msg = 'stop: dual infeas has deteriorated too much';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -5;
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breakyes = 1;
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end
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if (iter > 50) & (prim_infeas/runhist.pinfeas(1) < 1e-6) ...
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& (dual_infeas/runhist.dinfeas(1) > 1e-3) ...
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& (runhist.step(iter+1) > 0.2) & (relgap > 1e-3)
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msg = 'stop: lack of progress in dual infeas';
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if (printlevel); fprintf('\n %s, homrp=%2.1e',msg,param.homrp); end
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termcode = -5;
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breakyes = 1;
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end
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if (iter > 50) & (dual_infeas/runhist.dinfeas(1) < 1e-6) ...
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& (prim_infeas/runhist.pinfeas(1) > 1e-3) ...
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& (runhist.step(iter+1) > 0.2) & (relgap > 1e-3)
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msg = 'stop: lack of progress in primal infeas';
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if (printlevel); fprintf('\n %s, homRd=%2.1e',msg,param.homRd); end
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termcode = -5;
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breakyes = 1;
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end
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if (min(runhist.infeas) < 1e-4 | (prim_infeas_bad & iter > 10)) ...
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& (max(runhist.infeas) > 1e-5) | (iter > 20)
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relgap2 = abs(diff(obj))/(1+sum(abs(obj)));
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if (relgap2 < 1e-3);
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step_short = all(runhist.step([iter:iter+1]) < 0.05) ;
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elseif (relgap2 < 1) | (use_LU)
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idx = [max(1,iter-3): iter+1];
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step_short = all(runhist.step(idx) < 0.03);
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else
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step_short = 0;
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end
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if (step_short) & (relgap2 < 1e-2)
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msg = 'stop: steps too short consecutively';
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if (printlevel); fprintf('\n %s',msg); end
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termcode = -5;
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breakyes = 1;
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end
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end
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if (iter > 3 & iter < 20) & (infeas > 1) ...
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& (min(param.homrp,param.homRd) > min(1e-8,param.inftol)) ...
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& (max(runhist.step(max(1,iter-3):iter+1)) < 1e-3)
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if (stoplevel == 2)
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msg = 'stop: steps too short consecutively*';
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if (printlevel)
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fprintf('\n *** Too many tiny steps, advisable to restart');
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fprintf(' with the following iterate.')
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fprintf('\n *** Suggestion: [X0,y0,Z0] = infeaspt(blk,At,C,b,2,1e5);');
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fprintf('\n %s',msg);
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end
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termcode = -5;
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breakyes = 1;
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elseif (stoplevel == 3)
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msg = 'stop: steps too short consecutively*';
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if (printlevel)
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fprintf('\n *** Too many tiny steps even')
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fprintf(' after restarting');
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fprintf('\n %s',msg);
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end
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termcode = -5;
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breakyes = 1;
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else
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if (printlevel)
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fprintf('\n *** Too many tiny steps:')
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fprintf(' restarting with the following iterate.')
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fprintf('\n *** [X,y,Z] = infeaspt(blk,At,C,b,2,1e5);');
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end
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prim_infeas_min = 1e20;
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prim_infeas_bad = 0;
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restart = 1;
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end
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end
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end
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if (max(relgap,infeas) < param.gaptol)
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msg = sprintf('stop: max(relative gap, infeasibilities) < %3.2e',param.gaptol);
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if (printlevel); fprintf('\n %s',msg); end
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termcode = 0;
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breakyes = 1;
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end
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%%
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param.prim_infeas_bad = prim_infeas_bad;
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param.prim_infeas_min = prim_infeas_min;
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param.dual_infeas_bad = dual_infeas_bad;
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param.dual_infeas_min = dual_infeas_min;
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param.termcode = termcode;
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%%**************************************************************************************
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