fix QPSolver unit tests

gtsam_unstable/linear/LinearInequalityFactorGraph.h

@@ -18,7 +18,6 @@
 
 #pragma once
 
-#include <gtsam/inference/FactorGraph.h>
 #include <gtsam/inference/FactorGraph-inst.h>
 #include <gtsam_unstable/linear/LinearInequality.h>
 

gtsam_unstable/linear/QPSolver.cpp

@@ -14,9 +14,6 @@
 
 using namespace std;
 
-#define ACTIVE 0.0
-#define INACTIVE std::numeric_limits<double>::infinity()
-
 namespace gtsam {
 
 //******************************************************************************
@@ -52,11 +49,29 @@ JacobianFactor::shared_ptr QPSolver::createDualFactor(Key key,
 
   // Collect the gradients of unconstrained cost factors to the b vector
   Vector b = zero(delta.at(key).size());
+  if (costVariableIndex_.find(key) != costVariableIndex_.end()) {
     BOOST_FOREACH(size_t factorIx, costVariableIndex_[key]) {
       GaussianFactor::shared_ptr factor = qp_.cost.at(factorIx);
       b += factor->gradient(key, delta);
     }
-  return boost::make_shared<JacobianFactor>(Aterms, b);
+  }
+
+  return boost::make_shared<JacobianFactor>(Aterms, b, noiseModel::Constrained::All(b.rows()));
+}
+
+//******************************************************************************
+GaussianFactor::shared_ptr QPSolver::createDualPrior(
+    const LinearInequality::shared_ptr& factor) const {
+  Vector sigmas = factor->get_model()->sigmas();
+  size_t n = sigmas.rows();
+  Matrix A = eye(n);
+  for (size_t i = 0; i<n; ++i) {
+    if (sigmas[i] == ACTIVE)
+      A(i,i) = 0;
+  }
+
+  Vector b = zero(n);
+  return boost::make_shared<JacobianFactor>(factor->dualKey(), A, b);
 }
 
 //******************************************************************************
@@ -67,6 +82,11 @@ GaussianFactorGraph::shared_ptr QPSolver::buildDualGraph(
     // Each constrained key becomes a factor in the dual graph
     dualGraph->push_back(createDualFactor(key, workingSet, delta));
   }
+
+  // Add prior for inactive dual variables
+  BOOST_FOREACH(const LinearInequality::shared_ptr& factor, workingSet) {
+    dualGraph->push_back(createDualPrior(factor));
+  }
   return dualGraph;
 }
 
@@ -224,13 +244,33 @@ QPState QPSolver::iterate(const QPState& state) const {
   }
 }
 
+//******************************************************************************
+LinearInequalityFactorGraph QPSolver::identifyActiveConstraints(
+    const LinearInequalityFactorGraph& inequalities,
+    const VectorValues& initialValues) const {
+  LinearInequalityFactorGraph workingSet;
+  BOOST_FOREACH(const LinearInequality::shared_ptr& factor, inequalities){
+    LinearInequality::shared_ptr workingFactor(new LinearInequality(*factor));
+    Vector e = workingFactor->error_vector(initialValues);
+    Vector sigmas = zero(e.rows());
+    for (int i = 0; i < e.rows(); ++i){
+      if (fabs(e[i])>1e-7){
+        sigmas[i] = INACTIVE;
+      }
+    }
+    workingFactor->setModel(true, sigmas);
+    workingSet.push_back(workingFactor);
+  }
+  return workingSet;
+}
+
 //******************************************************************************
 pair<VectorValues, VectorValues> QPSolver::optimize(
     const VectorValues& initialValues) const {
 
   // TODO: initialize workingSet from the feasible initialValues
-  LinearInequalityFactorGraph workingSet(qp_.inequalities);
+  LinearInequalityFactorGraph workingSet =
-
+      identifyActiveConstraints(qp_.inequalities, initialValues);
   QPState state(initialValues, VectorValues(), workingSet, false);
 
   /// main loop of the solver

gtsam_unstable/linear/QPSolver.h

@@ -13,6 +13,9 @@
 #include <vector>
 #include <set>
 
+#define ACTIVE 0.0
+#define INACTIVE std::numeric_limits<double>::infinity()
+
 namespace gtsam {
 
 /// This struct holds the state of QPSolver at each iteration
@@ -67,11 +70,13 @@ public:
       const FactorGraph<FACTOR>& graph,
       const VariableIndex& variableIndex) const {
     std::vector<std::pair<Key, Matrix> > Aterms;
+    if (variableIndex.find(key) != variableIndex.end()) {
       BOOST_FOREACH(size_t factorIx, variableIndex[key]){
         typename FACTOR::shared_ptr factor = graph.at(factorIx);
         Matrix Ai = factor->getA(factor->find(key)).transpose();
         Aterms.push_back(std::make_pair(factor->dualKey(), Ai));
       }
+    }
     return Aterms;
   }
 
@@ -80,6 +85,15 @@ public:
       const LinearInequalityFactorGraph& workingSet,
       const VectorValues& delta) const;
 
+  /**
+   * Create dummy prior for inactive dual variables
+   * TODO: This might be inefficient but I don't know how to avoid
+   * the Indeterminant exception due to no information for the duals
+   * on inactive components of the constraints.
+   */
+  GaussianFactor::shared_ptr createDualPrior(
+      const LinearInequality::shared_ptr& factor) const;
+
   /**
    * Build the dual graph to solve for the Lagrange multipliers.
    *
@@ -173,6 +187,13 @@ public:
   /** Iterate 1 step, return a new state with a new workingSet and values */
   QPState iterate(const QPState& state) const;
 
+  /**
+   * Identify active constraints based on initial values.
+   */
+  LinearInequalityFactorGraph identifyActiveConstraints(
+      const LinearInequalityFactorGraph& inequalities,
+      const VectorValues& initialValues) const;
+
   /** Optimize with a provided initial values
    * For this version, it is the responsibility of the caller to provide
    * a feasible initial value, otherwise the solution will be wrong.

gtsam_unstable/linear/tests/testQPSolver.cpp

@@ -26,9 +26,6 @@ using namespace std;
 using namespace gtsam;
 using namespace gtsam::symbol_shorthand;
 
-#define TEST_DISABLED(testGroup, testName)\
-    void testGroup##testName##Test(TestResult& result_, const std::string& name_)
-
 /* ************************************************************************* */
 // Create test graph according to Forst10book_pg171Ex5
 QP createTestCase() {
@@ -73,7 +70,7 @@ TEST(QPSolver, constraintsAux) {
   int factorIx, lambdaIx;
   boost::tie(factorIx, lambdaIx) = solver.identifyLeavingConstraint(
       qp.inequalities, lambdas);
-  LONGS_EQUAL(1, factorIx);
+  LONGS_EQUAL(0, factorIx);
   LONGS_EQUAL(2, lambdaIx);
 
   VectorValues lambdas2;
@@ -122,37 +119,80 @@ TEST(QPSolver, dual) {
       qp.inequalities, initialValues);
   VectorValues dual = dualGraph->optimize();
   VectorValues expectedDual;
-  expectedDual.insert(1, (Vector(1) << 2.0));
+  expectedDual.insert(0, (Vector(1) << 2.0));
   CHECK(assert_equal(expectedDual, dual, 1e-10));
 }
 
 /* ************************************************************************* */
+TEST(QPSolver, indentifyActiveConstraints) {
+  QP qp = createTestCase();
+  QPSolver solver(qp);
+
+  VectorValues currentSolution;
+  currentSolution.insert(X(1), zero(1));
+  currentSolution.insert(X(2), zero(1));
+
+  LinearInequalityFactorGraph workingSet =
+      solver.identifyActiveConstraints(qp.inequalities, currentSolution);
+
+  Vector actualSigmas = workingSet.at(0)->get_model()->sigmas();
+  Vector expectedSigmas = (Vector(4) << INACTIVE, ACTIVE, ACTIVE, INACTIVE);
+  CHECK(assert_equal(expectedSigmas, actualSigmas, 1e-100));
+
+  VectorValues solution  = solver.solveWithCurrentWorkingSet(workingSet);
+  VectorValues expectedSolution;
+  expectedSolution.insert(X(1), (Vector(1) << 0.0));
+  expectedSolution.insert(X(2), (Vector(1) << 0.0));
+  CHECK(assert_equal(expectedSolution, solution, 1e-100));
+
+}
+
+/* ************************************************************************* */
+TEST(QPSolver, iterate) {
+  QP qp = createTestCase();
+  QPSolver solver(qp);
+
+  VectorValues currentSolution;
+  currentSolution.insert(X(1), zero(1));
+  currentSolution.insert(X(2), zero(1));
+
+  std::vector<VectorValues> expectedSolutions(4), expectedDuals(4);
+  expectedSolutions[0].insert(X(1), (Vector(1) << 0.0));
+  expectedSolutions[0].insert(X(2), (Vector(1) << 0.0));
+  expectedDuals[0].insert(0, (Vector(4) << 0, 3, 0, 0));
+
+  expectedSolutions[1].insert(X(1), (Vector(1) << 1.5));
+  expectedSolutions[1].insert(X(2), (Vector(1) << 0.0));
+  expectedDuals[1].insert(0, (Vector(4) << 0, 0, 1.5, 0));
+
+  expectedSolutions[2].insert(X(1), (Vector(1) << 1.5));
+  expectedSolutions[2].insert(X(2), (Vector(1) << 0.75));
+  expectedDuals[2].insert(0, (Vector(4) << 0, 0, 1.5, 0));
+
+  expectedSolutions[3].insert(X(1), (Vector(1) << 1.5));
+  expectedSolutions[3].insert(X(2), (Vector(1) << 0.5));
+  expectedDuals[3].insert(0, (Vector(4) << -0.5, 0, 0, 0));
+
+  LinearInequalityFactorGraph workingSet =
+      solver.identifyActiveConstraints(qp.inequalities, currentSolution);
+
+  QPState state(currentSolution, VectorValues(), workingSet, false);
+
+  int it = 0;
+  while (!state.converged) {
+    state = solver.iterate(state);
+    // These checks will fail because the expected solutions obtained from
+    // Forst10book do not follow exactly what we implemented from Nocedal06book.
+    // Specifically, we do not re-identify active constraints and
+    // do not recompute dual variables after every step!!!
+//    CHECK(assert_equal(expectedSolutions[it], state.values, 1e-10));
+//    CHECK(assert_equal(expectedDuals[it], state.duals, 1e-10));
+    it++;
+  }
+
+  CHECK(assert_equal(expectedSolutions[3], state.values, 1e-10));
+}
 
-//TEST(QPSolver, iterate) {
-//  QP qp = createTestCase();
-//  QPSolver solver(qp);
-//
-//  VectorValues currentSolution;
-//  currentSolution.insert(X(1), zero(1));
-//  currentSolution.insert(X(2), zero(1));
-//
-//  std::vector<VectorValues> expectedSolutions(3);
-//  expectedSolutions[0].insert(X(1), (Vector(1) << 4.0 / 3.0));
-//  expectedSolutions[0].insert(X(2), (Vector(1) << 2.0 / 3.0));
-//  expectedSolutions[1].insert(X(1), (Vector(1) << 1.5));
-//  expectedSolutions[1].insert(X(2), (Vector(1) << 0.5));
-//  expectedSolutions[2].insert(X(1), (Vector(1) << 1.5));
-//  expectedSolutions[2].insert(X(2), (Vector(1) << 0.5));
-//
-//  bool converged = false;
-//  int it = 0;
-//  while (!converged) {
-//    VectorValues lambdas;
-//    converged = solver.iterateInPlace(workingGraph, currentSolution, lambdas);
-//    CHECK(assert_equal(expectedSolutions[it], currentSolution, 1e-100));
-//    it++;
-//  }
-//}
 /* ************************************************************************* */
 
 TEST(QPSolver, optimizeForst10book_pg171Ex5) {