#include <ActiveSetSolver.h>

Classes
struct	State
	This struct contains the state information for a single iteration. More...

Public Member Functions
	ActiveSetSolver (const PROBLEM &problem)
	Constructor. More...

GaussianFactorGraph	buildDualGraph (const InequalityFactorGraph &workingSet, const VectorValues &delta) const
	Just for testing... More...

GaussianFactorGraph	buildWorkingGraph (const InequalityFactorGraph &workingSet, const VectorValues &xk=VectorValues()) const

InequalityFactorGraph	identifyActiveConstraints (const InequalityFactorGraph &inequalities, const VectorValues &initialValues, const VectorValues &duals=VectorValues(), bool useWarmStart=false) const
	Identify active constraints based on initial values. More...

int	identifyLeavingConstraint (const InequalityFactorGraph &workingSet, const VectorValues &lambdas) const
	Identifies active constraints that shouldn't be active anymore. More...

State	iterate (const State &state) const
	Iterate 1 step, return a new state with a new workingSet and values. More...

std::pair< VectorValues, VectorValues >	optimize () const

std::pair< VectorValues, VectorValues >	optimize (const VectorValues &initialValues, const VectorValues &duals=VectorValues(), bool useWarmStart=false) const

Protected Types
typedef std::vector< std::pair< Key, Matrix > >	TermsContainer
	Vector of key matrix pairs. Matrices are usually the A term for a factor. More...

Protected Member Functions
template<typename FACTOR >
TermsContainer	collectDualJacobians (Key key, const FactorGraph< FACTOR > &graph, const VariableIndex &variableIndex) const

std::tuple< double, int >	computeStepSize (const InequalityFactorGraph &workingSet, const VectorValues &xk, const VectorValues &p, const double &maxAlpha) const

JacobianFactor::shared_ptr	createDualFactor (Key key, const InequalityFactorGraph &workingSet, const VectorValues &delta) const

Protected Attributes
KeySet	constrainedKeys_

VariableIndex	equalityVariableIndex_

VariableIndex	inequalityVariableIndex_

const PROBLEM &	problem_
	the particular [convex] problem to solve More...

Detailed Description

template<class PROBLEM, class POLICY, class INITSOLVER>
class gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >

This class implements the active set algorithm for solving convex Programming problems.

Template Parameters

PROBLEM	Type of the problem to solve, e.g. LP (linear program) or QP (quadratic program).
POLICY	specific detail policy tailored for the particular program
INITSOLVER	Solver for an initial feasible solution of this problem.

Definition at line 36 of file ActiveSetSolver.h.

Member Typedef Documentation

◆ TermsContainer

template<class PROBLEM , class POLICY , class INITSOLVER >

typedef std::vector<std::pair<Key, Matrix> > gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::TermsContainer

protected

Vector of key matrix pairs. Matrices are usually the A term for a factor.

Definition at line 72 of file ActiveSetSolver.h.

Constructor & Destructor Documentation

◆ ActiveSetSolver()

template<class PROBLEM , class POLICY , class INITSOLVER >

gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::ActiveSetSolver ( const PROBLEM & problem )

inline

Constructor.

Definition at line 76 of file ActiveSetSolver.h.

Member Function Documentation

◆ buildDualGraph()

template<class PROBLEM , class POLICY , class INITSOLVER >

GaussianFactorGraph gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::buildDualGraph	(	const InequalityFactorGraph &	workingSet,
		const VectorValues &	delta
	)		const

Just for testing...

Builds a dual graph from the current working set.

◆ buildWorkingGraph()

template<class PROBLEM , class POLICY , class INITSOLVER >

GaussianFactorGraph gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::buildWorkingGraph	(	const InequalityFactorGraph &	workingSet,
		const VectorValues &	xk = `VectorValues()`
	)		const

Build a working graph of cost, equality and active inequality constraints to solve at each iteration.

Parameters

workingSet	the collection of all cost and constrained factors
xk	current solution, used to build a special quadratic cost in LP

Returns: a new better solution

◆ collectDualJacobians()

template<class PROBLEM , class POLICY , class INITSOLVER >

template<typename FACTOR >

TermsContainer gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::collectDualJacobians	(	Key	key,
		const FactorGraph< FACTOR > &	graph,
		const VariableIndex &	variableIndex
	)		const

inlineprotected

Finds the active constraints in the given factor graph and returns the Dual Jacobians used to build a dual factor graph.

Definition at line 125 of file ActiveSetSolver.h.

◆ computeStepSize()

template<class PROBLEM , class POLICY , class INITSOLVER >

std::tuple<double, int> gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::computeStepSize	(	const InequalityFactorGraph &	workingSet,
		const VectorValues &	xk,
		const VectorValues &	p,
		const double &	maxAlpha
	)		const

protected

Compute minimum step size alpha to move from the current point xk to the next feasible point along a direction p: x' = xk + alpha*p, where alpha $\in$ [0,maxAlpha].

For QP, maxAlpha = 1. For LP: maxAlpha = Inf.

Returns: a tuple of (minAlpha, closestFactorIndex) where closestFactorIndex is the closest inactive inequality constraint that blocks xk to move further and that has the minimum alpha, or (-1, maxAlpha) if there is no such inactive blocking constraint.

If there is a blocking constraint, the closest one will be added to the working set and become active in the next iteration.

◆ createDualFactor()

template<class PROBLEM , class POLICY , class INITSOLVER >

JacobianFactor::shared_ptr gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::createDualFactor	(	Key	key,
		const InequalityFactorGraph &	workingSet,
		const VectorValues &	delta
	)		const

protected

Creates a dual factor from the current workingSet and the key of the the variable used to created the dual factor.

◆ identifyActiveConstraints()

template<class PROBLEM , class POLICY , class INITSOLVER >

InequalityFactorGraph gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::identifyActiveConstraints	(	const InequalityFactorGraph &	inequalities,
		const VectorValues &	initialValues,
		const VectorValues &	duals = `VectorValues()`,
		bool	useWarmStart = `false`
	)		const

Identify active constraints based on initial values.

◆ identifyLeavingConstraint()

template<class PROBLEM , class POLICY , class INITSOLVER >

int gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::identifyLeavingConstraint	(	const InequalityFactorGraph &	workingSet,
		const VectorValues &	lambdas
	)		const

Identifies active constraints that shouldn't be active anymore.

◆ iterate()

template<class PROBLEM , class POLICY , class INITSOLVER >

State gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::iterate ( const State & state ) const

Iterate 1 step, return a new state with a new workingSet and values.

◆ optimize() [1/2]

template<class PROBLEM , class POLICY , class INITSOLVER >

std::pair<VectorValues, VectorValues> gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::optimize ( ) const

For this version the caller will not have to provide an initial value

Returns: a pair of <primal, dual> solutions

◆ optimize() [2/2]

template<class PROBLEM , class POLICY , class INITSOLVER >

std::pair<VectorValues, VectorValues> gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::optimize	(	const VectorValues &	initialValues,
		const VectorValues &	duals = `VectorValues()`,
		bool	useWarmStart = `false`
	)		const

Optimize with provided initial values For this version, it is the responsibility of the caller to provide a feasible initial value, otherwise, an exception will be thrown.

Returns: a pair of <primal, dual> solutions

Member Data Documentation

◆ constrainedKeys_

template<class PROBLEM , class POLICY , class INITSOLVER >

KeySet gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::constrainedKeys_

protected

all constrained keys, will become factors in dual graphs

Definition at line 68 of file ActiveSetSolver.h.

◆ equalityVariableIndex_

template<class PROBLEM , class POLICY , class INITSOLVER >

VariableIndex gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::equalityVariableIndex_

protected

Definition at line 65 of file ActiveSetSolver.h.

◆ inequalityVariableIndex_

template<class PROBLEM , class POLICY , class INITSOLVER >

VariableIndex gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::inequalityVariableIndex_

protected

index to corresponding factors to build dual graphs

Definition at line 66 of file ActiveSetSolver.h.

◆ problem_

template<class PROBLEM , class POLICY , class INITSOLVER >

const PROBLEM& gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >::problem_

protected

the particular [convex] problem to solve

Definition at line 64 of file ActiveSetSolver.h.

The documentation for this class was generated from the following file:

ActiveSetSolver.h

Classes

Public Member Functions

Protected Types

Protected Member Functions

Protected Attributes

Detailed Description

template<class PROBLEM, class POLICY, class INITSOLVER> class gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >

Member Typedef Documentation

◆ TermsContainer

Constructor & Destructor Documentation

◆ ActiveSetSolver()

Member Function Documentation

◆ buildDualGraph()

◆ buildWorkingGraph()

◆ collectDualJacobians()

◆ computeStepSize()

◆ createDualFactor()

◆ identifyActiveConstraints()

◆ identifyLeavingConstraint()

◆ iterate()

◆ optimize() [1/2]

◆ optimize() [2/2]

Member Data Documentation

◆ constrainedKeys_

◆ equalityVariableIndex_

◆ inequalityVariableIndex_

◆ problem_

template<class PROBLEM, class POLICY, class INITSOLVER>
class gtsam::ActiveSetSolver< PROBLEM, POLICY, INITSOLVER >