eiquadprog-fast.hpp

Go to the documentation of this file.

//
// Copyright (c) 2017 CNRS
//
// This file is part of tsid
// tsid is free software: you can redistribute it
// and/or modify it under the terms of the GNU Lesser General Public
// License as published by the Free Software Foundation, either version
// 3 of the License, or (at your option) any later version.
// tsid is distributed in the hope that it will be
// useful, but WITHOUT ANY WARRANTY; without even the implied warranty
// of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// General Lesser Public License for more details. You should have
// received a copy of the GNU Lesser General Public License along with
// tsid If not, see
// <http://www.gnu.org/licenses/>.
//

#ifndef EIQUADPROGFAST_HH_
#define EIQUADPROGFAST_HH_

#include <Eigen/Dense>
#include <Eigen/Sparse>

#define OPTIMIZE_STEP_1_2 // compute s(x) = ci^T * x + ci0
#define OPTIMIZE_COMPUTE_D
#define OPTIMIZE_UPDATE_Z
#define OPTIMIZE_HESSIAN_INVERSE
#define OPTIMIZE_UNCONSTR_MINIM
// #define TRACE_SOLVER 1

// #define USE_WARM_START
// #define PROFILE_EIQUADPROG

// #define DEBUG_STREAM(msg) std::cout<<msg;
#define DEBUG_STREAM(msg)

#ifdef PROFILE_EIQUADPROG
#define START_PROFILER_EIQUADPROG_FAST START_PROFILER
#define STOP_PROFILER_EIQUADPROG_FAST STOP_PROFILER
#else
#define START_PROFILER_EIQUADPROG_FAST
#define STOP_PROFILER_EIQUADPROG_FAST
#endif

#define EIQUADPROG_FAST_CHOWLESKY_DECOMPOSITION "EIQUADPROG_FAST Chowlesky dec"
#define EIQUADPROG_FAST_CHOWLESKY_INVERSE "EIQUADPROG_FAST Chowlesky inv"
#define EIQUADPROG_FAST_ADD_EQ_CONSTR "EIQUADPROG_FAST ADD_EQ_CONSTR"
#define EIQUADPROG_FAST_ADD_EQ_CONSTR_1 "EIQUADPROG_FAST ADD_EQ_CONSTR_1"
#define EIQUADPROG_FAST_ADD_EQ_CONSTR_2 "EIQUADPROG_FAST ADD_EQ_CONSTR_2"
#define EIQUADPROG_FAST_STEP_1 "EIQUADPROG_FAST STEP_1"
#define EIQUADPROG_FAST_STEP_1_1 "EIQUADPROG_FAST STEP_1_1"
#define EIQUADPROG_FAST_STEP_1_2 "EIQUADPROG_FAST STEP_1_2"
#define EIQUADPROG_FAST_STEP_1_UNCONSTR_MINIM \
 "EIQUADPROG_FAST STEP_1_UNCONSTR_MINIM"
#define EIQUADPROG_FAST_STEP_2 "EIQUADPROG_FAST STEP_2"
#define EIQUADPROG_FAST_STEP_2A "EIQUADPROG_FAST STEP_2A"
#define EIQUADPROG_FAST_STEP_2B "EIQUADPROG_FAST STEP_2B"
#define EIQUADPROG_FAST_STEP_2C "EIQUADPROG_FAST STEP_2C"

#define DEFAULT_MAX_ITER 1000

namespace tsid {

namespace solvers {

enum EiquadprogFast_status {
 EIQUADPROG_FAST_OPTIMAL = 0,
 EIQUADPROG_FAST_INFEASIBLE = 1,
 EIQUADPROG_FAST_UNBOUNDED = 2,
 EIQUADPROG_FAST_MAX_ITER_REACHED = 3,
 EIQUADPROG_FAST_REDUNDANT_EQUALITIES = 4
};

class EiquadprogFast {
 public:
 typedef Eigen::MatrixXd MatrixXd;
 typedef Eigen::VectorXd VectorXd;
 typedef Eigen::VectorXi VectorXi;

 typedef Eigen::SparseMatrix<double> SpMat;
 typedef Eigen::SparseVector<double> SpVec;
 typedef Eigen::SparseVector<int> SpVeci;

 public:
 EIGEN_MAKE_ALIGNED_OPERATOR_NEW

 EiquadprogFast();
 virtual ~EiquadprogFast();

 void reset(int dim_qp, int num_eq, int num_ineq);

 int getMaxIter() const { return m_maxIter; }

 bool setMaxIter(int maxIter) {
 if (maxIter < 0) return false;
 m_maxIter = maxIter;
 return true;
 }

 int getActiveSetSize() const { return q; }

 int getIteratios() const { return iter; }

 double getObjValue() const { return f_value; }

 const VectorXd& getLagrangeMultipliers() const { return u; }
 const VectorXi& getActiveSet() const { return A; }

 EiquadprogFast_status solve_quadprog(const MatrixXd& Hess, const VectorXd& g0,
 const MatrixXd& CE, const VectorXd& ce0,
 const MatrixXd& CI, const VectorXd& ci0,
 VectorXd& x);
 EiquadprogFast_status solve_quadprog_sparse(const SpMat& Hess,
 const VectorXd& g0,
 const MatrixXd& CE,
 const VectorXd& ce0,
 const MatrixXd& CI,
 const VectorXd& ci0, VectorXd& x);

 MatrixXd m_J; // J * J' = Hessian <nVars,nVars>::d
 bool is_inverse_provided_;

 private:
 int m_nVars;
 int m_nEqCon;
 int m_nIneqCon;

 int m_maxIter;
 double f_value;

 Eigen::LLT<MatrixXd, Eigen::Lower> chol_; // <nVars,nVars>::d
 // Eigen::LLT<MatrixXd,Eigen::Lower> chol_; // <nVars,nVars>::d

 MatrixXd R; // <nVars,nVars>::d

 VectorXd s; // <nIneqCon>::d

 VectorXd r; // <nIneqCon+nEqCon>::d

 VectorXd u; // <nIneqCon+nEqCon>::d

 VectorXd z; // <nVars>::d

 VectorXd d; //<nVars>::d

 VectorXd np; //<nVars>::d

 VectorXi A; // <nIneqCon+nEqCon>

 VectorXi iai; // <nIneqCon>::i

 VectorXi iaexcl; //<nIneqCon>::i

 VectorXd x_old; // old value of x <nVars>::d
 VectorXd u_old; // old value of u <nIneqCon+nEqCon>::d
 VectorXi A_old; // old value of A <nIneqCon+nEqCon>::i

#ifdef OPTIMIZE_ADD_CONSTRAINT
 VectorXd T1;
#endif

 int q;

 int iter;

 inline void compute_d(VectorXd& d, const MatrixXd& J, const VectorXd& np) {
#ifdef OPTIMIZE_COMPUTE_D
 d.noalias() = J.adjoint() * np;
#else
 d = J.adjoint() * np;
#endif
 }

 inline void update_z(VectorXd& z, const MatrixXd& J, const VectorXd& d,
 int iq) {
#ifdef OPTIMIZE_UPDATE_Z
 z.noalias() = J.rightCols(z.size() - iq) * d.tail(z.size() - iq);
#else
 z = J.rightCols(J.cols() - iq) * d.tail(J.cols() - iq);
#endif
 }

 inline void update_r(const MatrixXd& R, VectorXd& r, const VectorXd& d,
 int iq) {
 r.head(iq) = d.head(iq);
 R.topLeftCorner(iq, iq).triangularView<Eigen::Upper>().solveInPlace(
 r.head(iq));
 }

 inline bool add_constraint(MatrixXd& R, MatrixXd& J, VectorXd& d, int& iq,
 double& R_norm);

 inline void delete_constraint(MatrixXd& R, MatrixXd& J, VectorXi& A,
 VectorXd& u, int nEqCon, int& iq, int l);
};

} /* namespace solvers */
} /* namespace tsid */

#endif /* EIQUADPROGFAST_HH_ */