781 lines
29 KiB
Matlab
Executable File
781 lines
29 KiB
Matlab
Executable File
%%*****************************************************************************
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%% HSDsqlp: solve an semidefinite-quadratic-linear program
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%% by infeasible path-following method on the homogeneous self-dual model.
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%%
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%% [obj,X,y,Z,info,runhist] =
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%% HSDsqlp(blk,At,C,b,OPTIONS,X0,y0,Z0,kap0,tau0,theta0);
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%%
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%% Input:
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%% blk : a cell array describing the block diagonal structure of SQL data.
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%% At : a cell array with At{p} = [svec(Ap1) ... svec(Apm)]
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%% b,C : data for the SQL instance.
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%% OPTIONS: a structure that specifies parameters required in HSDsqlp.m,
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%% (if it is not given, the default in sqlparameters.m is used).
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%%
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%% (X0,y0,Z0): an initial iterate (if it is not given, the default is used).
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%% (kap0,tau0,theta0): initial parameters (if not given, the default is used).
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%%
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%% Output: obj = [<C,X> <b,y>].
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%% (X,y,Z): an approximately optimal solution or a primal or dual
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%% infeasibility certificate.
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%% info.termcode = termination-code
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%% info.iter = number of iterations
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%% info.obj = [primal-obj, dual-obj]
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%% info.cputime = total-time
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%% info.gap = gap
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%% info.pinfeas = primal_infeas
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%% info.dinfeas = dual_infeas
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%% runhist.pobj = history of primal objective value.
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%% runhist.dobj = history of dual objective value.
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%% runhist.gap = history of <X,Z>.
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%% runhist.pinfeas = history of primal infeasibility.
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%% runhist.dinfeas = history of dual infeasibility.
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%% runhist.cputime = history of cputime spent.
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%%-----------------------------------------------------------------
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%% The OPTIONS structure specifies the required parameters:
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%% vers gam predcorr expon gaptol inftol steptol
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%% maxit printlevel ...
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%% (all have default values set in sqlparameters.m).
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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 [obj,X,y,Z,info,runhist] = ...
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HSDsqlpmain(blk,At,C,b,par,X0,y0,Z0,kap0,tau0,theta0);
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%%
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%%-----------------------------------------
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%% get parameters from the OPTIONS structure.
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%%-----------------------------------------
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%%
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global spdensity smallblkdim solve_ok use_LU
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global schurfun schurfun_par
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%%
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randstate = rand('state'); randnstate = randn('state');
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rand('state',0); randn('state',0);
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%%
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matlabversion = par.matlabversion;
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vers = par.vers;
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predcorr = par.predcorr;
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gam = par.gam;
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expon = par.expon;
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gaptol = par.gaptol;
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inftol = par.inftol;
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steptol = par.steptol;
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maxit = par.maxit;
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printlevel = par.printlevel;
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stoplevel = par.stoplevel;
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scale_data = par.scale_data;
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spdensity = par.spdensity;
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rmdepconstr = par.rmdepconstr;
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smallblkdim = par.smallblkdim;
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schurfun = par.schurfun;
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schurfun_par = par.schurfun_par;
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ublksize = par.ublksize;
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%%
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tstart = clock;
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X = X0; y = y0; Z = Z0;
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for p = 1:size(blk,1)
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if strcmp(blk{p,1},'u'); Z{p} = zeros(blk{p,2},1); end
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end
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%%
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%%-----------------------------------------
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%% convert unrestricted blk to linear blk.
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%%-----------------------------------------
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%%
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ublkidx = zeros(size(blk,1),1);
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Cpert = zeros(size(blk,1),1);
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Cnew = C;
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perturb_C = 1;
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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 strcmp(pblk{1},'s')
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if (perturb_C); Cpert(p) = 1e-3*tmp; end
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Cnew{p} = C{p} + Cpert(p)*speye(n);
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elseif strcmp(pblk{1},'q')
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if (perturb_C); Cpert(p) = 0*tmp; end; %% old: 1e-3
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s = 1+[0, cumsum(pblk{2})];
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tmp2 = zeros(n,1); len = length(pblk{2});
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tmp2(s(1:len)) = ones(len,1);
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Cnew{p} = C{p} + Cpert(p)*tmp2;
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elseif strcmp(pblk{1},'l')
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if (perturb_C); Cpert(p) = 1e-4*tmp; end; %% old: 1e-3
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Cnew{p} = C{p} + Cpert(p)*ones(n,1);
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elseif strcmp(pblk{1},'u')
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msg = sprintf('convert ublk to linear blk');
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if (printlevel); fprintf('\n *** %s',msg); end
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ublkidx(p) = 1;
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n = 2*pblk{2};
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blk{p,1} = 'l'; blk{p,2} = n;
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if (perturb_C); Cpert(p) = 1e-2*tmp; end
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C{p} = [C{p}; -C{p}];
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At{p} = [At{p}; -At{p}];
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Cnew{p} = C{p} + Cpert(p)*ones(n,1);
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X{p} = 1+rand(n,1); %% do not add a factor of n
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Z{p} = 1+rand(n,1); %%
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end
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end
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%%
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%%-----------------------------------------
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%% check if the matrices Ak are
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%% linearly independent.
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%%-----------------------------------------
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%%
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m0 = length(b);
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[At,b,y,indeprows,depconstr,feasible,AAt] = ...
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checkdepconstr(blk,At,b,y,rmdepconstr);
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if (~feasible)
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msg = 'SQLP is not feasible';
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if (printlevel); fprintf('\n %s',msg); end
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return;
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end
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par.depconstr = depconstr;
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%%
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normb = 1+max(abs(b));
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normC = zeros(length(C),1);
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for p = 1:length(C); normC(p) = max(max(abs(C{p}))); end
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normC = 1+max(normC);
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nn = ops(C,'getM');
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m = length(b);
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if (nargin <= 8) | (isempty(kap0) | isempty(tau0) | isempty(theta0))
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if (max([ops(At,'norm'),ops(C,'norm'),norm(b)]) > 1e6)
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kap0 = 10*blktrace(blk,X,Z);
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else
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kap0 = blktrace(blk,X,Z);
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end
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tau0 = 1; theta0 = 1;
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end
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kap = kap0; tau = tau0; theta = theta0;
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%%
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normX0 = ops(X0,'norm')/tau; normZ0 = ops(Z0,'norm')/tau;
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bbar = (tau*b-AXfun(blk,At,[],X))/theta;
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ZpATy = ops(Z,'+',Atyfun(blk,At,[],[],y));
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Cbar = ops(ops(ops(tau,'*',C),'-',ZpATy),'/',theta);
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gbar = (blktrace(blk,C,X)-b'*y+kap)/theta;
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abar = (blktrace(blk,X,Z)+tau*kap)/theta;
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for p = 1:size(blk,1);
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pblk = blk(p,:);
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if strcmp(pblk{1},'s')
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At{p} = [At{p}, -svec(pblk,Cnew{p},1), svec(pblk,Cbar{p},1)];
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else
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At{p} = [At{p}, -Cnew{p}, Cbar{p}];
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end
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end
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Bmat = [sparse(m,m), -b, bbar; b', 0, gbar; -bbar', -gbar, 0];
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em1 = zeros(m+2,1); em1(m+1) = 1;
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em2 = zeros(m+2,1); em2(m+2) = 1;
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par.Umat = [[b;0;0], [bbar;gbar;0], em1, em2];
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par.m = m;
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par.diagAAt = [full(diag(AAt)); 1; 1];
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%%
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%%-----------------------------------------
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%% find the combined list of non-zero
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%% elements of Aj, j = 1:k, for each k.
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%%-----------------------------------------
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%%
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par.numcolAt = length(b)+2;
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[At,C,Cnew,X,Z,par.permA,par.invpermA,par.permZ] = ...
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HSDsortA(blk,At,C,Cnew,[b;0;0],X,Z);
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[par.isspA,par.nzlistA,par.nzlistAsum,par.isspAy,par.nzlistAy] = ...
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nzlist(blk,At,par);
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%%
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%%-----------------------------------------
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%% initialization
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%%-----------------------------------------
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%%
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y2 = [y; tau; theta];
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AX = AXfun(blk,At,par.permA,X);
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rp = [zeros(m,1); kap; -abar] - AX - Bmat*y2;
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Rd = ops(Atyfun(blk,At,par.permA,par.isspAy,-y2),'-',Z);
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trXZ = blktrace(blk,X,Z);
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mu = (trXZ+kap*tau)/(nn+1);
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obj = [blktrace(blk,C,X), b'*y]/tau;
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gap = trXZ/tau^2;
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relgap = gap/(1+mean(abs(obj)));
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ZpATy = ops(Z,'+',Atyfun(blk,At,par.permA,par.isspAy,[y;0;0]));
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ZpATynorm = ops(ZpATy,'norm');
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prim_infeas = norm(b - AX(1:m)/tau)/normb;
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dual_infeas = ops(ops(C,'-',ops(ZpATy,'/',tau)),'norm')/normC;
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infeas = max(prim_infeas,dual_infeas);
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%%
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termcode = 0;
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pstep = 1; dstep = 1; pred_convg_rate = 1; corr_convg_rate = 1;
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prim_infeas_best = prim_infeas;
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dual_infeas_best = dual_infeas;
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infeas_best = infeas;
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relgap_best = relgap;
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homRd = inf; homrp = inf; dy = zeros(length(b),1);
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msg = []; msg2 = [];
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runhist.pobj = obj(1);
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runhist.dobj = obj(2);
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runhist.gap = gap;
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runhist.relgap = relgap;
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runhist.pinfeas = prim_infeas;
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runhist.dinfeas = dual_infeas;
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runhist.infeas = infeas;
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runhist.cputime = etime(clock,tstart);
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runhist.step = 0;
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runhist.kappa = kap;
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runhist.tau = tau;
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runhist.theta = theta;
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runhist.useLU = 0;
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ttime.preproc = runhist.cputime;
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ttime.pred = 0; ttime.pred_pstep = 0; ttime.pred_dstep = 0;
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ttime.corr = 0; ttime.corr_pstep = 0; ttime.corr_dstep = 0;
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ttime.pchol = 0; ttime.dchol = 0; ttime.misc = 0;
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%%
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%%-----------------------------------------
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%% display parameters, and initial info
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%%-----------------------------------------
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%%
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if (printlevel >= 2)
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fprintf('\n********************************************');
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fprintf('************************************************\n');
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fprintf(' SDPT3: homogeneous self-dual path-following algorithms');
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fprintf('\n********************************************');
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fprintf('************************************************\n');
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[hh,mm,ss] = mytime(ttime.preproc);
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if (printlevel>=3)
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fprintf(' version predcorr gam expon\n');
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if (vers == 1); fprintf(' HKM '); elseif (vers == 2); fprintf(' NT '); end
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fprintf(' %1.0f %4.3f %1.0f\n',predcorr,gam,expon);
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fprintf('it pstep dstep pinfeas dinfeas gap')
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fprintf(' mean(obj) cputime kap tau theta\n');
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fprintf('------------------------------------------------');
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fprintf('--------------------------------------------\n');
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fprintf('%2.0f|%4.3f|%4.3f|%2.1e|%2.1e|',0,0,0,prim_infeas,dual_infeas);
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fprintf('%2.1e|%- 7.6e| %s:%s:%s|',gap,mean(obj),hh,mm,ss);
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fprintf('%2.1e|%2.1e|%2.1e|',kap,tau,theta);
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end
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end
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%%
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%%---------------------------------------------------------------
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%% start main loop
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%%---------------------------------------------------------------
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%%
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EE = ops(blk,'identity');
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normE = ops(EE,'norm');
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Zpertold = 1;
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[Xchol,indef(1)] = blkcholfun(blk,X);
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[Zchol,indef(2)] = blkcholfun(blk,Z);
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if any(indef)
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msg = 'stop: X, Z are not both positive definite';
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if (printlevel); fprintf('\n %s\n',msg); end
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info.termcode = -3;
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info.msg1 = msg;
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return;
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end
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%%
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param.termcode = termcode;
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param.iter = 0;
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param.normX0 = normX0;
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param.normZ0 = normZ0;
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param.m0 = m0;
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param.indeprows = indeprows;
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param.prim_infeas_bad = 0;
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param.dual_infeas_bad = 0;
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param.prim_infeas_min = prim_infeas;
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param.dual_infeas_min = dual_infeas;
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param.gaptol = gaptol;
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param.inftol = inftol;
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param.maxit = maxit;
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param.printlevel = printlevel;
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param.stoplevel = stoplevel;
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breakyes = 0;
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dy = zeros(length(b),1); dtau = 0; dtheta = 0;
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Xbest = X; ybest = y; Zbest = Z;
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kapbest = kap; taubest = tau; thetabest = theta;
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%%
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for iter = 1:maxit;
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update_iter = 0; pred_slow = 0; corr_slow = 0; step_short = 0;
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tstart = clock;
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timeold = tstart;
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par.kap = kap;
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par.tau = tau;
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par.theta = theta;
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par.mu = mu;
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par.iter = iter;
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par.y = y;
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par.dy2 = [dy; dtau; dtheta];
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par.rp = rp;
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par.ZpATynorm = ZpATynorm;
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%%
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%%--------------------------------------------------
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%% perturb C
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%%--------------------------------------------------
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%%
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if (perturb_C) && (theta > 1e-10) %%2nd condition added: 2017-Jun-13
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[At,Cpert] = HSDsqlpCpert(blk,At,par,C,X,Cpert,runhist);
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maxCpert(iter) = max(Cpert);
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%%fprintf(' %2.1e',max(Cpert));
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if (iter > 10 & norm(diff(maxCpert([iter-3,iter]))) < 1e-13)
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Cpert = 0.5*Cpert;
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maxCpert(iter) = max(Cpert);
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end
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AX = AXfun(blk,At,par.permA,X);
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rp = [zeros(m,1); kap; -abar] - AX - Bmat*y2;
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Rd = ops(Atyfun(blk,At,par.permA,par.isspAy,-y2),'-',Z);
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end
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%%---------------------------------------------------------------
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%% predictor step.
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%%---------------------------------------------------------------
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%%
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if (predcorr)
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sigma = 0;
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else
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sigma = 1-0.9*min(pstep,dstep);
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if (iter == 1); sigma = 0.5; end;
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end
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sigmu = sigma*mu;
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invXchol = cell(size(blk,1),1);
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invZchol = ops(Zchol,'inv');
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if (vers == 1);
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[par,dX,dy,dZ,coeff,L,hRd] = ...
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HSDHKMpred(blk,At,par,rp,Rd,sigmu,X,Z,invZchol);
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elseif (vers == 2);
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[par,dX,dy,dZ,coeff,L,hRd] = ...
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HSDNTpred(blk,At,par,rp,Rd,sigmu,X,Z,Zchol,invZchol);
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end
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if (solve_ok <= 0)
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msg = 'stop: difficulty in computing predictor directions';
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if (printlevel); fprintf('\n %s',msg); end
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runhist.cputime(iter+1) = etime(clock,tstart);
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termcode = -4;
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break;
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end
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timenew = clock;
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ttime.pred = ttime.pred + etime(timenew,timeold); timeold=timenew;
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%%
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%%-----------------------------------------
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%% step-lengths for predictor step
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%%-----------------------------------------
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%%
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if (gam == 0)
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gamused = 0.9 + 0.09*min(pstep,dstep);
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else
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gamused = gam;
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end
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kapstep = max( (par.dkap<0)*(-kap/(par.dkap-eps)), (par.dkap>=0)*1e6 );
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taustep = max( (par.dtau<0)*(-tau/(par.dtau-eps)), (par.dtau>=0)*1e6 );
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[Xstep,invXchol] = steplength(blk,X,dX,Xchol,invXchol);
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timenew = clock;
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ttime.pred_pstep = ttime.pred_pstep + etime(timenew,timeold); timeold=timenew;
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Zstep = steplength(blk,Z,dZ,Zchol,invZchol);
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pstep = min(1,gamused*min([Xstep,Zstep,kapstep,taustep]));
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dstep = pstep;
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kappred = kap + pstep*par.dkap;
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taupred = tau + pstep*par.dtau;
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trXZpred = trXZ + pstep*blktrace(blk,dX,Z) + dstep*blktrace(blk,X,dZ) ...
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+ pstep*dstep*blktrace(blk,dX,dZ);
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mupred = (trXZpred + kappred*taupred)/(nn+1);
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mupredhist(iter) = mupred;
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timenew = clock;
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ttime.pred_dstep = ttime.pred_dstep + etime(timenew,timeold); timeold=timenew;
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%%
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%%-----------------------------------------
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%% stopping criteria for predictor step.
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%%-----------------------------------------
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%%
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if (min(pstep,dstep) < steptol) & (stoplevel)
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msg = 'stop: steps in predictor too short';
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if (printlevel)
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fprintf('\n %s',msg);
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fprintf(': pstep = %3.2e, dstep = %3.2e',pstep,dstep);
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end
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runhist.cputime(iter+1) = etime(clock,tstart);
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termcode = -2;
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breakyes = 1;
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end
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if (iter >= 2)
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idx = [max(2,iter-2) : iter];
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pred_slow = all(mupredhist(idx)./mupredhist(idx-1) > 0.4);
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idx = [max(2,iter-5) : iter];
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pred_convg_rate = mean(mupredhist(idx)./mupredhist(idx-1));
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pred_slow = pred_slow + (mupred/mu > 5*pred_convg_rate);
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end
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if (~predcorr)
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if (max(mu,infeas) < 1e-6) & (pred_slow) & (stoplevel)
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msg = 'stop: lack of progress in predictor';
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if (printlevel)
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fprintf('\n %s',msg);
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fprintf(': mupred/mu = %3.2f, pred_convg_rate = %3.2f.',...
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mupred/mu,pred_convg_rate);
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end
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runhist.cputime(iter+1) = etime(clock,tstart);
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termcode = -2;
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breakyes = 1;
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else
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update_iter = 1;
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end
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end
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%%
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%%---------------------------------------------------------------
|
|
%% corrector step.
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
if (predcorr) & (~breakyes)
|
|
step_pred = min(pstep,dstep);
|
|
if (mu > 1e-6)
|
|
if (step_pred < 1/sqrt(3));
|
|
expon_used = 1;
|
|
else
|
|
expon_used = max(expon,3*step_pred^2);
|
|
end
|
|
else
|
|
expon_used = max(1,min(expon,3*step_pred^2));
|
|
end
|
|
sigma = min( 1, (mupred/mu)^expon_used );
|
|
sigmu = sigma*mu;
|
|
%%
|
|
if (vers == 1)
|
|
[par,dX,dy,dZ] = HSDHKMcorr(blk,At,par,rp,Rd,sigmu,hRd,...
|
|
dX,dZ,coeff,L,X,Z);
|
|
elseif (vers == 2)
|
|
[par,dX,dy,dZ] = HSDNTcorr(blk,At,par,rp,Rd,sigmu,hRd,...
|
|
dX,dZ,coeff,L,X,Z);
|
|
end
|
|
if (solve_ok <= 0)
|
|
msg = 'stop: difficulty in computing corrector directions';
|
|
if (printlevel); fprintf('\n %s',msg); end
|
|
runhist.cputime(iter+1) = etime(clock,tstart);
|
|
termcode = -4;
|
|
break;
|
|
end
|
|
timenew = clock;
|
|
ttime.corr = ttime.corr + etime(timenew,timeold); timeold=timenew;
|
|
%%
|
|
%%-----------------------------------
|
|
%% step-lengths for corrector step
|
|
%%-----------------------------------
|
|
%%
|
|
if (gam == 0)
|
|
gamused = 0.9 + 0.09*min(pstep,dstep);
|
|
else
|
|
gamused = gam;
|
|
end
|
|
kapstep = max( (par.dkap<0)*(-kap/(par.dkap-eps)), (par.dkap>=0)*1e6 );
|
|
taustep = max( (par.dtau<0)*(-tau/(par.dtau-eps)), (par.dtau>=0)*1e6 );
|
|
Xstep = steplength(blk,X,dX,Xchol,invXchol);
|
|
timenew = clock;
|
|
ttime.corr_pstep = ttime.corr_pstep + etime(timenew,timeold); timeold=timenew;
|
|
Zstep = steplength(blk,Z,dZ,Zchol,invZchol);
|
|
timenew = clock;
|
|
pstep = min(1,gamused*min([Xstep,Zstep,kapstep,taustep]));
|
|
dstep = pstep;
|
|
kapcorr = kap + pstep*par.dkap;
|
|
taucorr = tau + pstep*par.dtau;
|
|
trXZcorr = trXZ + pstep*blktrace(blk,dX,Z) + dstep*blktrace(blk,X,dZ)...
|
|
+ pstep*dstep*blktrace(blk,dX,dZ);
|
|
mucorr = (trXZcorr+kapcorr*taucorr)/(nn+1);
|
|
ttime.corr_dstep = ttime.corr_dstep + etime(timenew,timeold); timeold=timenew;
|
|
%%
|
|
%%-----------------------------------------
|
|
%% stopping criteria for corrector step
|
|
%%-----------------------------------------
|
|
%%
|
|
if (iter >= 2)
|
|
idx = [max(2,iter-2) : iter];
|
|
corr_slow = all(runhist.gap(idx)./runhist.gap(idx-1) > 0.8);
|
|
idx = [max(2,iter-5) : iter];
|
|
corr_convg_rate = mean(runhist.gap(idx)./runhist.gap(idx-1));
|
|
corr_slow = corr_slow + (mucorr/mu > max(min(1,5*corr_convg_rate),0.8));
|
|
end
|
|
if (max(mu,infeas) < 1e-6) & (iter > 10) & (stoplevel) ...
|
|
& (corr_slow & mucorr/mu > 1.0)
|
|
msg = 'stop: lack of progress in corrector';
|
|
if (printlevel)
|
|
fprintf('\n %s',msg);
|
|
fprintf(': mucorr/mu = %3.2f, corr_convg_rate = %3.2f',...
|
|
mucorr/mu,corr_convg_rate);
|
|
end
|
|
runhist.cputime(iter+1) = etime(clock,tstart);
|
|
termcode = -2;
|
|
breakyes = 1;
|
|
else
|
|
update_iter = 1;
|
|
end
|
|
end
|
|
%%
|
|
%%---------------------------------------------------------------
|
|
%% udpate iterate
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
indef = [1 1];
|
|
if (update_iter)
|
|
for t = 1:5
|
|
[Xchol,indef(1)] = blkcholfun(blk,ops(X,'+',dX,pstep));
|
|
timenew = clock;
|
|
ttime.pchol = ttime.pchol + etime(timenew,timeold); timeold = timenew;
|
|
if (indef(1)); pstep = 0.8*pstep; else; break; end
|
|
end
|
|
if (t > 1); pstep = gamused*pstep; end
|
|
for t = 1:5
|
|
[Zchol,indef(2)] = blkcholfun(blk,ops(Z,'+',dZ,dstep));
|
|
timenew = clock;
|
|
ttime.dchol = ttime.dchol + etime(timenew,timeold); timeold = timenew;
|
|
if (indef(2)); dstep = 0.8*dstep; else; break; end
|
|
end
|
|
if (t > 1); dstep = gamused*dstep; end
|
|
AdX = AXfun(blk,At,par.permA,dX);
|
|
AXtmp = AX(1:m) + pstep*AdX(1:m); tautmp = par.tau+pstep*par.dtau;
|
|
prim_infeasnew = norm(b-AXtmp/tautmp)/normb;
|
|
pinfeas_bad(1) = (prim_infeasnew > max([1e-8,relgap,10*infeas]));
|
|
pinfeas_bad(2) = (prim_infeasnew > max([1e-4,20*prim_infeas]) ...
|
|
& (infeas < 1e-2));
|
|
pinfeas_bad(3) = (max([relgap,dual_infeas]) < 1e-4) ...
|
|
& (prim_infeasnew > max([2*prim_infeas,10*dual_infeas,1e-7]));
|
|
if any(indef)
|
|
msg = 'stop: X, Z not both positive definite';
|
|
if (printlevel); fprintf('\n %s',msg); end
|
|
termcode = -3;
|
|
breakyes = 1;
|
|
elseif any(pinfeas_bad)
|
|
if (stoplevel) & (max(pstep,dstep)<=1) & (kap < 1e-3) ...
|
|
& (prim_infeasnew > dual_infeas);
|
|
msg = 'stop: primal infeas has deteriorated too much';
|
|
if (printlevel); fprintf('\n %s, %2.1e',msg,prim_infeasnew);
|
|
fprintf(' %2.1d,%2.1d,%2.1d',...
|
|
pinfeas_bad(1),pinfeas_bad(2),pinfeas_bad(3));
|
|
end
|
|
termcode = -7;
|
|
breakyes = 1;
|
|
end
|
|
end
|
|
if (~breakyes)
|
|
X = ops(X,'+',dX,pstep);
|
|
y = y + dstep*dy; Z = ops(Z,'+',dZ,dstep);
|
|
theta = max(0, theta + pstep*par.dtheta);
|
|
kap = kap + pstep*par.dkap;
|
|
if (tau + pstep*par.dtau > theta); tau = tau + pstep*par.dtau; end
|
|
end
|
|
end
|
|
%%
|
|
%%--------------------------------------------------
|
|
%% perturb Z: do this step before checking for break
|
|
%%--------------------------------------------------
|
|
if (theta > 1e-10) %%added: 2017-Jun-13
|
|
perturb_Z = 1;
|
|
else
|
|
perturb_Z = 0; %% do not perturb when theta is small
|
|
end
|
|
if (~breakyes) & (perturb_Z)
|
|
trXZtmp = blktrace(blk,X,Z);
|
|
trXE = blktrace(blk,X,EE);
|
|
Zpert = max(1e-12,0.2*min(relgap,prim_infeas)).*normC./normE;
|
|
Zpert = min(Zpert,0.1*trXZtmp./trXE);
|
|
Zpert = min([1,Zpert,1.5*Zpertold]);
|
|
if (infeas < 1e-2)
|
|
Z = ops(Z,'+',EE,Zpert);
|
|
[Zchol,indef(2)] = blkcholfun(blk,Z);
|
|
if any(indef(2))
|
|
msg = 'stop: Z not positive definite';
|
|
if (printlevel); fprintf('\n %s',msg); end
|
|
termcode = -3;
|
|
breakyes = 1;
|
|
end
|
|
end
|
|
Zpertold = Zpert;
|
|
end
|
|
%%
|
|
%%---------------------------------------------------------------
|
|
%% compute rp, Rd, infeasibities, etc.
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
y2 = [y; tau; theta];
|
|
AX = AXfun(blk,At,par.permA,X);
|
|
rp = [zeros(m,1); kap; -abar] - AX - Bmat*y2;
|
|
Rd = ops(Atyfun(blk,At,par.permA,par.isspAy,-y2),'-',Z);
|
|
trXZ = blktrace(blk,X,Z);
|
|
mu = (trXZ+kap*tau)/(nn+1);
|
|
obj = [blktrace(blk,C,X), b'*y]/tau;
|
|
gap = trXZ/tau^2;
|
|
relgap = gap/(1+mean(abs(obj)));
|
|
ZpATy = ops(Z,'+',Atyfun(blk,At,par.permA,par.isspAy,[y;0;0]));
|
|
ZpATynorm = ops(ZpATy,'norm');
|
|
prim_infeas = norm(b-AX(1:m)/tau)/normb;
|
|
dual_infeas = ops(ops(C,'-',ops(ZpATy,'/',tau)),'norm')/normC;
|
|
infeas = max(prim_infeas,dual_infeas);
|
|
runhist.pobj(iter+1) = obj(1);
|
|
runhist.dobj(iter+1) = obj(2);
|
|
runhist.gap(iter+1) = gap;
|
|
runhist.relgap(iter+1) = relgap;
|
|
runhist.pinfeas(iter+1) = prim_infeas;
|
|
runhist.dinfeas(iter+1) = dual_infeas;
|
|
runhist.infeas(iter+1) = infeas;
|
|
runhist.cputime(iter+1) = etime(clock,tstart);
|
|
runhist.step(iter+1) = min(pstep,dstep);
|
|
runhist.kappa(iter+1) = kap;
|
|
runhist.tau(iter+1) = tau;
|
|
runhist.theta(iter+1) = theta;
|
|
runhist.useLU(iter+1) = use_LU;
|
|
timenew = clock;
|
|
ttime.misc = ttime.misc + etime(timenew,timeold); timeold = timenew;
|
|
[hh,mm,ss] = mytime(sum(runhist.cputime));
|
|
if (printlevel>=3)
|
|
fprintf('\n%2.0f|%4.3f|%4.3f|',iter,pstep,dstep);
|
|
fprintf('%2.1e|%2.1e|%2.1e|',prim_infeas,dual_infeas,gap);
|
|
fprintf('%- 7.6e| %s:%s:%s|',mean(obj),hh,mm,ss);
|
|
fprintf('%2.1e|%2.1e|%2.1e|',kap,tau,theta);
|
|
end
|
|
%%
|
|
%%--------------------------------------------------
|
|
%% check convergence.
|
|
%%--------------------------------------------------
|
|
param.termcode = termcode;
|
|
param.kap = kap;
|
|
param.tau = tau;
|
|
param.theta = theta;
|
|
param.iter = iter;
|
|
param.obj = obj;
|
|
param.gap = gap;
|
|
param.relgap = relgap;
|
|
param.mu = mu;
|
|
param.prim_infeas = prim_infeas;
|
|
param.dual_infeas = dual_infeas;
|
|
param.AX = AX(1:m)/tau;
|
|
param.ZpATynorm = ZpATynorm/tau;
|
|
param.normX = ops(X,'norm')/tau;
|
|
param.normZ = ops(Z,'norm')/tau;
|
|
if (~breakyes)
|
|
[param,breakyes,use_olditer,msg] = HSDsqlpcheckconvg(param,runhist);
|
|
termcode = param.termcode; %% important
|
|
if (use_olditer)
|
|
X = ops(X,'-',dX,pstep);
|
|
y = y - dstep*dy;
|
|
Z = ops(Z,'-',dZ,dstep);
|
|
kap = kap - pstep*par.dkap;
|
|
tau = tau - pstep*par.dtau;
|
|
theta = theta - pstep*par.dtheta;
|
|
prim_infeas = runhist.pinfeas(iter);
|
|
dual_infeas = runhist.dinfeas(iter);
|
|
gap = runhist.gap(iter); relgap = runhist.relgap(iter);
|
|
obj = [runhist.pobj(iter), runhist.dobj(iter)];
|
|
end
|
|
end
|
|
%%--------------------------------------------------
|
|
%% check for break
|
|
%%--------------------------------------------------
|
|
if ((prim_infeas < 1.5*prim_infeas_best) ...
|
|
| (max(relgap*0.1,infeas) < 0.8*max(relgap_best,infeas_best))) ...
|
|
& (max(relgap*0.1,dual_infeas) < 0.8*max(relgap_best,dual_infeas_best))
|
|
%% ()*1 -> ()*0.1: 2017-Jun-13
|
|
Xbest = X; ybest = y; Zbest = Z;
|
|
kapbest = kap; taubest = tau; thetabest = theta;
|
|
prim_infeas_best = prim_infeas;
|
|
dual_infeas_best = dual_infeas;
|
|
relgap_best = relgap; infeas_best = infeas;
|
|
update_best(iter+1) = 1;
|
|
%%fprintf('#')
|
|
else
|
|
update_best(iter+1) = 0;
|
|
end
|
|
errbest = max(relgap_best,infeas_best);
|
|
if (errbest < 1e-4 & norm(update_best(max(1,iter-1):iter+1)) == 0)
|
|
msg = 'lack of progess in infeas';
|
|
if (printlevel); fprintf('\n %s',msg); end
|
|
termcode = -9;
|
|
breakyes = 1;
|
|
end
|
|
if (errbest < 1e-3 & max([relgap,infeas]) > 1.2*errbest & theta < 1e-10) ...
|
|
& (kap < 1e-6)
|
|
msg = 'lack of progress in infeas';
|
|
if (printlevel); fprintf('\n %s',msg); end
|
|
termcode = -9;
|
|
breakyes = 1;
|
|
end
|
|
if (breakyes > 0.5); break; end
|
|
end
|
|
%%---------------------------------------------------------------
|
|
%% end of main loop
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
use_bestiter = 1;
|
|
if (use_bestiter) & (param.termcode <= 0)
|
|
X = Xbest; y = ybest; Z = Zbest;
|
|
kap = kapbest; tau = taubest; theta = thetabest;
|
|
trXZ = blktrace(blk,X,Z);
|
|
obj = [blktrace(blk,C,X), b'*y]/tau;
|
|
gap = trXZ/tau^2;
|
|
relgap = gap/(1+mean(abs(obj)));
|
|
AX = AXfun(blk,At,par.permA,X);
|
|
ZpATy = ops(Z,'+',Atyfun(blk,At,par.permA,par.isspAy,[y;0;0]));
|
|
ZpATynorm = ops(ZpATy,'norm');
|
|
prim_infeas = norm(b-AX(1:m)/tau)/normb;
|
|
dual_infeas = ops(ops(C,'-',ops(ZpATy,'/',tau)),'norm')/normC;
|
|
infeas = max(prim_infeas,dual_infeas);
|
|
runhist.pobj(iter+1) = obj(1);
|
|
runhist.dobj(iter+1) = obj(2);
|
|
runhist.gap(iter+1) = gap;
|
|
runhist.relgap(iter+1) = relgap;
|
|
runhist.pinfeas(iter+1) = prim_infeas;
|
|
runhist.dinfeas(iter+1) = dual_infeas;
|
|
runhist.infeas(iter+1) = infeas;
|
|
end
|
|
%%---------------------------------------------------------------
|
|
%% produce infeasibility certificates if appropriate
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
X = ops(X,'/',tau); y = y/tau; Z = ops(Z,'/',tau);
|
|
if (iter >= 1)
|
|
param.termcode = termcode;
|
|
param.obj = obj;
|
|
param.relgap = relgap;
|
|
param.prim_infeas = prim_infeas;
|
|
param.dual_infeas = dual_infeas;
|
|
param.AX = AX(1:m)/tau;
|
|
param.ZpATynorm = ZpATynorm/tau;
|
|
[X,y,Z,resid,reldist,param,msg2] = ...
|
|
HSDsqlpmisc(blk,At,C,b,X,y,Z,par.permZ,param);
|
|
termcode = param.termcode;
|
|
end
|
|
%%
|
|
%%---------------------------------------------------------------
|
|
%% recover unrestricted blk from linear blk
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
for p = 1:size(blk,1)
|
|
if (ublkidx(p) == 1)
|
|
n = blk{p,2}/2;
|
|
X{p} = X{p}(1:n)-X{p}(n+[1:n]);
|
|
Z{p} = Z{p}(1:n);
|
|
end
|
|
end
|
|
%%
|
|
%%---------------------------------------------------------------
|
|
%% print summary
|
|
%%---------------------------------------------------------------
|
|
%%
|
|
dimacs = [prim_infeas; 0; dual_infeas; 0];
|
|
dimacs = [dimacs; [-diff(obj); gap]/(1+sum(abs(obj)))];
|
|
info.dimacs = dimacs;
|
|
info.termcode = termcode;
|
|
info.iter = iter;
|
|
info.obj = obj;
|
|
info.gap = gap;
|
|
info.relgap = relgap;
|
|
info.pinfeas = prim_infeas;
|
|
info.dinfeas = dual_infeas;
|
|
info.cputime = sum(runhist.cputime);
|
|
info.time = ttime;
|
|
info.resid = resid;
|
|
info.reldist = reldist;
|
|
info.normX = ops(X,'norm');
|
|
info.normy = norm(y);
|
|
info.normZ = ops(Z,'norm');
|
|
info.normA = ops(At,'norm');
|
|
info.normb = norm(b);
|
|
info.normC = ops(C,'norm');
|
|
info.msg1 = msg;
|
|
info.msg2 = msg2;
|
|
%%
|
|
sqlpsummary(info,ttime,[],printlevel);
|
|
rand('state',randstate);
|
|
randn('state',randnstate);
|
|
%%*****************************************************************************
|