68 lines
2.2 KiB
Matlab
Executable File
68 lines
2.2 KiB
Matlab
Executable File
%%*****************************************************************
|
|
%% 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);
|
|
%%**********************************************************************
|