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Merged in feature/LPSolver (pull request #277) 

Long awaited fixe of some QPSolver tests
Feature/lpsolver
release/4.3a0
Ivan Jimenez 2019-04-27 21:43:17 +00:00 committed by Frank Dellaert
parent 94225862f8 5f4cedec8a
commit a5844cbdcd
14 changed files with 767 additions and 460 deletions
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20
examples/Data/HS21.QPS Normal file
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@ -0,0 +1,20 @@
NAME HS21
ROWS
N OBJ.FUNC
G R------1
COLUMNS
C------1 R------1 0.100000e+02
C------2 R------1 -.100000e+01
RHS
RHS OBJ.FUNC 0.100000e+03
RHS R------1 0.100000e+02
RANGES
BOUNDS
LO BOUNDS C------1 0.200000e+01
UP BOUNDS C------1 0.500000e+02
LO BOUNDS C------2 -.500000e+02
UP BOUNDS C------2 0.500000e+02
QUADOBJ
C------1 C------1 0.200000e-01
C------2 C------2 0.200000e+01
ENDATA

55
examples/Data/HS268.QPS Normal file
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@ -0,0 +1,55 @@
NAME HS268
ROWS
N OBJ.FUNC
G R------1
G R------2
G R------3
G R------4
G R------5
COLUMNS
C------1 OBJ.FUNC 0.183400e+05 R------1 -.100000e+01
C------1 R------2 0.100000e+02 R------3 -.800000e+01
C------1 R------4 0.800000e+01 R------5 -.400000e+01
C------2 OBJ.FUNC -.341980e+05 R------1 -.100000e+01
C------2 R------2 0.100000e+02 R------3 0.100000e+01
C------2 R------4 -.100000e+01 R------5 -.200000e+01
C------3 OBJ.FUNC 0.454200e+04 R------1 -.100000e+01
C------3 R------2 -.300000e+01 R------3 -.200000e+01
C------3 R------4 0.200000e+01 R------5 0.300000e+01
C------4 OBJ.FUNC 0.867200e+04 R------1 -.100000e+01
C------4 R------2 0.500000e+01 R------3 -.500000e+01
C------4 R------4 0.500000e+01 R------5 -.500000e+01
C------5 OBJ.FUNC 0.860000e+02 R------1 -.100000e+01
C------5 R------2 0.400000e+01 R------3 0.300000e+01
C------5 R------4 -.300000e+01 R------5 0.100000e+01
RHS
RHS OBJ.FUNC -.144630e+05
RHS R------1 -.500000e+01
RHS R------2 0.200000e+02
RHS R------3 -.400000e+02
RHS R------4 0.110000e+02
RHS R------5 -.300000e+02
RANGES
BOUNDS
FR BOUNDS C------1
FR BOUNDS C------2
FR BOUNDS C------3
FR BOUNDS C------4
FR BOUNDS C------5
QUADOBJ
C------1 C------1 0.203940e+05
C------1 C------2 -.249080e+05
C------1 C------3 -.202600e+04
C------1 C------4 0.389600e+04
C------1 C------5 0.658000e+03
C------2 C------2 0.418180e+05
C------2 C------3 -.346600e+04
C------2 C------4 -.982800e+04
C------2 C------5 -.372000e+03
C------3 C------3 0.351000e+04
C------3 C------4 0.217800e+04
C------3 C------5 -.348000e+03
C------4 C------4 0.303000e+04
C------4 C------5 -.440000e+02
C------5 C------5 0.540000e+02
ENDATA

20
examples/Data/HS35.QPS Normal file
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@ -0,0 +1,20 @@
NAME HS35
ROWS
N OBJ.FUNC
G R------1
COLUMNS
C------1 OBJ.FUNC -.800000e+01 R------1 -.100000e+01
C------2 OBJ.FUNC -.600000e+01 R------1 -.100000e+01
C------3 OBJ.FUNC -.400000e+01 R------1 -.200000e+01
RHS
RHS OBJ.FUNC -.900000e+01
RHS R------1 -.300000e+01
RANGES
BOUNDS
QUADOBJ
C------1 C------1 0.400000e+01
C------1 C------2 0.200000e+01
C------1 C------3 0.200000e+01
C------2 C------2 0.400000e+01
C------3 C------3 0.200000e+01
ENDATA

21
examples/Data/HS35MOD.QPS Normal file
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@ -0,0 +1,21 @@
NAME HS35MOD
ROWS
N OBJ.FUNC
G R------1
COLUMNS
C------1 OBJ.FUNC -.800000e+01 R------1 -.100000e+01
C------2 OBJ.FUNC -.600000e+01 R------1 -.100000e+01
C------3 OBJ.FUNC -.400000e+01 R------1 -.200000e+01
RHS
RHS OBJ.FUNC -.900000e+01
RHS R------1 -.300000e+01
RANGES
BOUNDS
FX BOUNDS C------2 0.500000e+00
QUADOBJ
C------1 C------1 0.400000e+01
C------1 C------2 0.200000e+01
C------1 C------3 0.200000e+01
C------2 C------2 0.400000e+01
C------3 C------3 0.200000e+01
ENDATA

33
examples/Data/HS51.QPS Normal file
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@ -0,0 +1,33 @@
NAME HS51
ROWS
N OBJ.FUNC
E R------1
E R------2
E R------3
COLUMNS
C------1 R------1 0.100000e+01
C------2 OBJ.FUNC -.400000e+01 R------1 0.300000e+01
C------2 R------3 0.100000e+01
C------3 OBJ.FUNC -.400000e+01 R------2 0.100000e+01
C------4 OBJ.FUNC -.200000e+01 R------2 0.100000e+01
C------5 OBJ.FUNC -.200000e+01 R------2 -.200000e+01
C------5 R------3 -.100000e+01
RHS
RHS OBJ.FUNC -.600000e+01
RHS R------1 0.400000e+01
RANGES
BOUNDS
FR BOUNDS C------1
FR BOUNDS C------2
FR BOUNDS C------3
FR BOUNDS C------4
FR BOUNDS C------5
QUADOBJ
C------1 C------1 0.200000e+01
C------1 C------2 -.200000e+01
C------2 C------2 0.400000e+01
C------2 C------3 0.200000e+01
C------3 C------3 0.200000e+01
C------4 C------4 0.200000e+01
C------5 C------5 0.200000e+01
ENDATA

32
examples/Data/HS52.QPS Normal file
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@ -0,0 +1,32 @@
NAME HS52
ROWS
N OBJ.FUNC
E R------1
E R------2
E R------3
COLUMNS
C------1 R------1 0.100000e+01
C------2 OBJ.FUNC -.400000e+01 R------1 0.300000e+01
C------2 R------3 0.100000e+01
C------3 OBJ.FUNC -.400000e+01 R------2 0.100000e+01
C------4 OBJ.FUNC -.200000e+01 R------2 0.100000e+01
C------5 OBJ.FUNC -.200000e+01 R------2 -.200000e+01
C------5 R------3 -.100000e+01
RHS
RHS OBJ.FUNC -.600000e+01
RANGES
BOUNDS
FR BOUNDS C------1
FR BOUNDS C------2
FR BOUNDS C------3
FR BOUNDS C------4
FR BOUNDS C------5
QUADOBJ
C------1 C------1 0.320000e+02
C------1 C------2 -.800000e+01
C------2 C------2 0.400000e+01
C------2 C------3 0.200000e+01
C------3 C------3 0.200000e+01
C------4 C------4 0.200000e+01
C------5 C------5 0.200000e+01
ENDATA

19
examples/Data/QPTEST.QPS Normal file
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@ -0,0 +1,19 @@
NAME QP example
ROWS
N obj
G r1
L r2
COLUMNS
c1 r1 2.0 r2 -1.0
c1 obj 1.5
c2 r1 1.0 r2 2.0
c2 obj -2.0
RHS
rhs1 r1 2.0 r2 6.0
BOUNDS
UP bnd1 c1 20.0
QUADOBJ
c1 c1 8.0
c1 c2 2.0
c2 c2 10.0
ENDATA

28
gtsam/linear/JacobianFactor.cpp
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@ -102,10 +102,9 @@ JacobianFactor::JacobianFactor(const Key i1, const Matrix& A1, Key i2,
}
/* ************************************************************************* */
JacobianFactor::JacobianFactor(const HessianFactor& factor) :
Base(factor), Ab_(
VerticalBlockMatrix::LikeActiveViewOf(factor.info(),
factor.rows())) {
JacobianFactor::JacobianFactor(const HessianFactor& factor)
: Base(factor),
Ab_(VerticalBlockMatrix::LikeActiveViewOf(factor.info(), factor.rows())) {
// Copy Hessian into our matrix and then do in-place Cholesky
Ab_.full() = factor.info().selfadjointView();
@ -114,16 +113,19 @@ JacobianFactor::JacobianFactor(const HessianFactor& factor) :
bool success;
boost::tie(maxrank, success) = choleskyCareful(Ab_.matrix());
// Check for indefinite system
if (!success)
// Check that Cholesky succeeded OR it managed to factor the full Hessian.
// THe latter case occurs with non-positive definite matrices arising from QP.
if (success || maxrank == factor.rows() - 1) {
// Zero out lower triangle
Ab_.matrix().topRows(maxrank).triangularView<Eigen::StrictlyLower>() =
Matrix::Zero(maxrank, Ab_.matrix().cols());
// FIXME: replace with triangular system
Ab_.rowEnd() = maxrank;
model_ = SharedDiagonal(); // is equivalent to Unit::Create(maxrank)
} else {
// indefinite system
throw IndeterminantLinearSystemException(factor.keys().front());
// Zero out lower triangle
Ab_.matrix().topRows(maxrank).triangularView<Eigen::StrictlyLower>() =
Matrix::Zero(maxrank, Ab_.matrix().cols());
// FIXME: replace with triangular system
Ab_.rowEnd() = maxrank;
model_ = SharedDiagonal(); // should be same as Unit::Create(maxrank);
}
}
/* ************************************************************************* */

25
gtsam/linear/tests/testJacobianFactor.cpp
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@ -146,7 +146,7 @@ TEST(JacobianFactor, constructors_and_accessors)
/* ************************************************************************* */
TEST(JabobianFactor, Hessian_conversion) {
HessianFactor hessian(0, (Matrix(4,4) <<
HessianFactor hessian(0, (Matrix(4, 4) <<
1.57, 2.695, -1.1, -2.35,
2.695, 11.3125, -0.65, -10.225,
-1.1, -0.65, 1, 0.5,
@ -154,7 +154,7 @@ TEST(JabobianFactor, Hessian_conversion) {
(Vector(4) << -7.885, -28.5175, 2.75, 25.675).finished(),
73.1725);
JacobianFactor expected(0, (Matrix(2,4) <<
JacobianFactor expected(0, (Matrix(2, 4) <<
1.2530, 2.1508, -0.8779, -1.8755,
0, 2.5858, 0.4789, -2.3943).finished(),
Vector2(-6.2929, -5.7941));
@ -162,6 +162,27 @@ TEST(JabobianFactor, Hessian_conversion) {
EXPECT(assert_equal(expected, JacobianFactor(hessian), 1e-3));
}
/* ************************************************************************* */
TEST(JabobianFactor, Hessian_conversion2) {
JacobianFactor jf(0, (Matrix(3, 3) <<
1, 2, 3,
0, 2, 3,
0, 0, 3).finished(),
Vector3(1, 2, 2));
HessianFactor hessian(jf);
EXPECT(assert_equal(jf, JacobianFactor(hessian), 1e-9));
}
/* ************************************************************************* */
TEST(JabobianFactor, Hessian_conversion3) {
JacobianFactor jf(0, (Matrix(2, 4) <<
1, 2, 3, 0,
0, 3, 2, 1).finished(),
Vector2(1, 2));
HessianFactor hessian(jf);
EXPECT(assert_equal(jf, JacobianFactor(hessian), 1e-9));
}
/* ************************************************************************* */
namespace simple_graph {

523
gtsam_unstable/linear/QPSParser.cpp
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@ -17,56 +17,440 @@
#define BOOST_SPIRIT_USE_PHOENIX_V3 1
#include <gtsam/base/Matrix.h>
#include <gtsam/inference/Key.h>
#include <gtsam/inference/Symbol.h>
#include <gtsam_unstable/linear/QP.h>
#include <gtsam_unstable/linear/QPSParser.h>
#include <gtsam_unstable/linear/QPSParserException.h>
#include <gtsam_unstable/linear/RawQP.h>
#include <boost/spirit/include/qi.hpp>
#include <boost/fusion/include/vector.hpp>
#include <boost/fusion/sequence.hpp>
#include <boost/lambda/lambda.hpp>
#include <boost/phoenix/bind.hpp>
#include <boost/spirit/include/classic.hpp>
#include <boost/spirit/include/qi.hpp>
#include <algorithm>
#include <iostream>
#include <map>
#include <string>
#include <unordered_map>
#include <vector>
using boost::fusion::at_c;
using namespace std;
namespace bf = boost::fusion;
namespace qi = boost::spirit::qi;
using Chars = std::vector<char>;
// Get a string from a fusion vector of Chars
template <size_t I, class FusionVector>
static string fromChars(const FusionVector &vars) {
const Chars &chars = at_c<I>(vars);
return string(chars.begin(), chars.end());
}
namespace gtsam {
/**
* As the parser reads a file, it call functions in this visitor. This visitor
* in turn stores what the parser has read in a way that can be later used to
* build the full QP problem in the file.
*/
class QPSVisitor {
private:
typedef std::unordered_map<Key, Matrix11> coefficient_v;
typedef std::unordered_map<std::string, coefficient_v> constraint_v;
std::unordered_map<std::string, constraint_v *>
row_to_constraint_v; // Maps QPS ROWS to Variable-Matrix pairs
constraint_v E; // Equalities
constraint_v IG; // Inequalities >=
constraint_v IL; // Inequalities <=
unsigned int numVariables;
std::unordered_map<std::string, double>
b; // maps from constraint name to b value for Ax = b equality
// constraints
std::unordered_map<std::string, double>
ranges; // Inequalities can be specified as ranges on a variable
std::unordered_map<Key, Vector1> g; // linear term of quadratic cost
std::unordered_map<std::string, Key>
varname_to_key; // Variable QPS string name to key
std::unordered_map<Key, std::unordered_map<Key, Matrix11>>
H; // H from hessian
double f; // Constant term of quadratic cost
std::string obj_name; // the objective function has a name in the QPS
std::string name_; // the quadratic program has a name in the QPS
std::unordered_map<Key, double>
up; // Upper Bound constraints on variable where X < MAX
std::unordered_map<Key, double>
lo; // Lower Bound constraints on variable where MIN < X
std::unordered_map<Key, double>
fx; // Equalities specified as FX in BOUNDS part of QPS
KeyVector free; // Variables can be specified as free (to which no
// constraints apply)
const bool debug = false;
public:
QPSVisitor() : numVariables(1) {}
void setName(boost::fusion::vector<Chars, Chars, Chars> const &name) {
name_ = fromChars<1>(name);
if (debug) {
cout << "Parsing file: " << name_ << endl;
}
}
void addColumn(boost::fusion::vector<Chars, Chars, Chars, Chars, Chars,
double, Chars> const &vars) {
string var_ = fromChars<1>(vars);
string row_ = fromChars<3>(vars);
Matrix11 coefficient = at_c<5>(vars) * I_1x1;
if (debug) {
cout << "Added Column for Var: " << var_ << " Row: " << row_
<< " Coefficient: " << coefficient << endl;
}
if (!varname_to_key.count(var_))
varname_to_key[var_] = Symbol('X', numVariables++);
if (row_ == obj_name) {
g[varname_to_key[var_]] = coefficient;
return;
}
(*row_to_constraint_v[row_])[row_][varname_to_key[var_]] = coefficient;
}
void addColumnDouble(
boost::fusion::vector<Chars, Chars, Chars, Chars, double, Chars, Chars,
Chars, double> const &vars) {
string var_ = fromChars<0>(vars);
string row1_ = fromChars<2>(vars);
string row2_ = fromChars<6>(vars);
Matrix11 coefficient1 = at_c<4>(vars) * I_1x1;
Matrix11 coefficient2 = at_c<8>(vars) * I_1x1;
if (!varname_to_key.count(var_))
varname_to_key.insert({var_, Symbol('X', numVariables++)});
if (row1_ == obj_name)
g[varname_to_key[var_]] = coefficient1;
else
(*row_to_constraint_v[row1_])[row1_][varname_to_key[var_]] = coefficient1;
if (row2_ == obj_name)
g[varname_to_key[var_]] = coefficient2;
else
(*row_to_constraint_v[row2_])[row2_][varname_to_key[var_]] = coefficient2;
}
void addRangeSingle(boost::fusion::vector<Chars, Chars, Chars, Chars, Chars,
double, Chars> const &vars) {
string var_ = fromChars<1>(vars);
string row_ = fromChars<3>(vars);
double range = at_c<5>(vars);
ranges[row_] = range;
if (debug) {
cout << "SINGLE RANGE ADDED" << endl;
cout << "VAR:" << var_ << " ROW: " << row_ << " RANGE: " << range << endl;
}
}
void addRangeDouble(
boost::fusion::vector<Chars, Chars, Chars, Chars, Chars, double, Chars,
Chars, Chars, double> const &vars) {
string var_ = fromChars<1>(vars);
string row1_ = fromChars<3>(vars);
string row2_ = fromChars<7>(vars);
double range1 = at_c<5>(vars);
double range2 = at_c<9>(vars);
ranges[row1_] = range1;
ranges[row2_] = range2;
if (debug) {
cout << "DOUBLE RANGE ADDED" << endl;
cout << "VAR: " << var_ << " ROW1: " << row1_ << " RANGE1: " << range1
<< " ROW2: " << row2_ << " RANGE2: " << range2 << endl;
}
}
void addRHS(boost::fusion::vector<Chars, Chars, Chars, Chars, Chars, double,
Chars> const &vars) {
string var_ = fromChars<1>(vars);
string row_ = fromChars<3>(vars);
double coefficient = at_c<5>(vars);
if (row_ == obj_name)
f = -coefficient;
else
b[row_] = coefficient;
if (debug) {
cout << "Added RHS for Var: " << var_ << " Row: " << row_
<< " Coefficient: " << coefficient << endl;
}
}
void addRHSDouble(
boost::fusion::vector<Chars, Chars, Chars, Chars, Chars, double, Chars,
Chars, Chars, double> const &vars) {
string var_ = fromChars<1>(vars);
string row1_ = fromChars<3>(vars);
string row2_ = fromChars<7>(vars);
double coefficient1 = at_c<5>(vars);
double coefficient2 = at_c<9>(vars);
if (row1_ == obj_name)
f = -coefficient1;
else
b[row1_] = coefficient1;
if (row2_ == obj_name)
f = -coefficient2;
else
b[row2_] = coefficient2;
if (debug) {
cout << "Added RHS for Var: " << var_ << " Row: " << row1_
<< " Coefficient: " << coefficient1 << endl;
cout << " "
<< "Row: " << row2_ << " Coefficient: " << coefficient2 << endl;
}
}
void addRow(
boost::fusion::vector<Chars, char, Chars, Chars, Chars> const &vars) {
string name_ = fromChars<3>(vars);
char type = at_c<1>(vars);
switch (type) {
case 'N':
obj_name = name_;
break;
case 'L':
row_to_constraint_v[name_] = &IL;
break;
case 'G':
row_to_constraint_v[name_] = &IG;
break;
case 'E':
row_to_constraint_v[name_] = &E;
break;
default:
cout << "invalid type: " << type << endl;
break;
}
if (debug) {
cout << "Added Row Type: " << type << " Name: " << name_ << endl;
}
}
void addBound(boost::fusion::vector<Chars, Chars, Chars, Chars, Chars, Chars,
Chars, double> const &vars) {
string type_ = fromChars<1>(vars);
string var_ = fromChars<5>(vars);
double number = at_c<7>(vars);
if (type_.compare(string("UP")) == 0)
up[varname_to_key[var_]] = number;
else if (type_.compare(string("LO")) == 0)
lo[varname_to_key[var_]] = number;
else if (type_.compare(string("FX")) == 0)
fx[varname_to_key[var_]] = number;
else
cout << "Invalid Bound Type: " << type_ << endl;
if (debug) {
cout << "Added Bound Type: " << type_ << " Var: " << var_
<< " Amount: " << number << endl;
}
}
void addFreeBound(boost::fusion::vector<Chars, Chars, Chars, Chars, Chars,
Chars, Chars> const &vars) {
string type_ = fromChars<1>(vars);
string var_ = fromChars<5>(vars);
free.push_back(varname_to_key[var_]);
if (debug) {
cout << "Added Free Bound Type: " << type_ << " Var: " << var_
<< " Amount: " << endl;
}
}
void addQuadTerm(boost::fusion::vector<Chars, Chars, Chars, Chars, Chars,
double, Chars> const &vars) {
string var1_ = fromChars<1>(vars);
string var2_ = fromChars<3>(vars);
Matrix11 coefficient = at_c<5>(vars) * I_1x1;
H[varname_to_key[var1_]][varname_to_key[var2_]] = coefficient;
H[varname_to_key[var2_]][varname_to_key[var1_]] = coefficient;
if (debug) {
cout << "Added QuadTerm for Var: " << var1_ << " Row: " << var2_
<< " Coefficient: " << coefficient << endl;
}
}
QP makeQP() {
// Create the keys from the variable names
KeyVector keys;
for (auto kv : varname_to_key) {
keys.push_back(kv.second);
}
// Fill the G matrices and g vectors from
vector<Matrix> Gs;
vector<Vector> gs;
sort(keys.begin(), keys.end());
for (size_t i = 0; i < keys.size(); ++i) {
for (size_t j = i; j < keys.size(); ++j) {
if (H.count(keys[i]) > 0 && H[keys[i]].count(keys[j]) > 0) {
Gs.emplace_back(H[keys[i]][keys[j]]);
} else {
Gs.emplace_back(Z_1x1);
}
}
}
for (Key key1 : keys) {
if (g.count(key1) > 0) {
gs.emplace_back(-g[key1]);
} else {
gs.emplace_back(Z_1x1);
}
}
// Construct the quadratic program
QP madeQP;
auto obj = HessianFactor(keys, Gs, gs, 2 * f);
madeQP.cost.push_back(obj);
// Add equality and inequality constraints into the QP
size_t dual_key_num = keys.size() + 1;
for (auto kv : E) {
map<Key, Matrix11> keyMatrixMapPos;
map<Key, Matrix11> keyMatrixMapNeg;
if (ranges.count(kv.first) == 1) {
for (auto km : kv.second) {
keyMatrixMapPos.insert(km);
km.second = -km.second;
keyMatrixMapNeg.insert(km);
}
if (ranges[kv.first] > 0) {
madeQP.inequalities.push_back(
LinearInequality(keyMatrixMapNeg, -b[kv.first], dual_key_num++));
madeQP.inequalities.push_back(LinearInequality(
keyMatrixMapPos, b[kv.first] + ranges[kv.first], dual_key_num++));
} else if (ranges[kv.first] < 0) {
madeQP.inequalities.push_back(
LinearInequality(keyMatrixMapPos, b[kv.first], dual_key_num++));
madeQP.inequalities.push_back(LinearInequality(
keyMatrixMapNeg, ranges[kv.first] - b[kv.first], dual_key_num++));
} else {
cerr << "ERROR: CANNOT ADD A RANGE OF ZERO" << endl;
throw;
}
continue;
}
map<Key, Matrix11> keyMatrixMap;
for (auto km : kv.second) {
keyMatrixMap.insert(km);
}
madeQP.equalities.push_back(
LinearEquality(keyMatrixMap, b[kv.first] * I_1x1, dual_key_num++));
}
for (auto kv : IG) {
map<Key, Matrix11> keyMatrixMapNeg;
map<Key, Matrix11> keyMatrixMapPos;
for (auto km : kv.second) {
keyMatrixMapPos.insert(km);
km.second = -km.second;
keyMatrixMapNeg.insert(km);
}
madeQP.inequalities.push_back(
LinearInequality(keyMatrixMapNeg, -b[kv.first], dual_key_num++));
if (ranges.count(kv.first) == 1) {
madeQP.inequalities.push_back(LinearInequality(
keyMatrixMapPos, b[kv.first] + ranges[kv.first], dual_key_num++));
}
}
for (auto kv : IL) {
map<Key, Matrix11> keyMatrixMapPos;
map<Key, Matrix11> keyMatrixMapNeg;
for (auto km : kv.second) {
keyMatrixMapPos.insert(km);
km.second = -km.second;
keyMatrixMapNeg.insert(km);
}
madeQP.inequalities.push_back(
LinearInequality(keyMatrixMapPos, b[kv.first], dual_key_num++));
if (ranges.count(kv.first) == 1) {
madeQP.inequalities.push_back(LinearInequality(
keyMatrixMapNeg, ranges[kv.first] - b[kv.first], dual_key_num++));
}
}
for (Key k : keys) {
if (find(free.begin(), free.end(), k) != free.end()) continue;
if (fx.count(k) == 1)
madeQP.equalities.push_back(
LinearEquality(k, I_1x1, fx[k] * I_1x1, dual_key_num++));
if (up.count(k) == 1)
madeQP.inequalities.push_back(
LinearInequality(k, I_1x1, up[k], dual_key_num++));
if (lo.count(k) == 1)
madeQP.inequalities.push_back(
LinearInequality(k, -I_1x1, -lo[k], dual_key_num++));
else
madeQP.inequalities.push_back(
LinearInequality(k, -I_1x1, 0, dual_key_num++));
}
return madeQP;
}
};
typedef qi::grammar<boost::spirit::basic_istream_iterator<char>> base_grammar;
struct QPSParser::MPSGrammar: base_grammar {
struct QPSParser::MPSGrammar : base_grammar {
typedef std::vector<char> Chars;
RawQP * rqp_;
boost::function<void(bf::vector<Chars, Chars, Chars> const&)> setName;
boost::function<void(bf::vector<Chars, char, Chars, Chars, Chars> const &)> addRow;
boost::function<
void(bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars> const &)> rhsSingle;
boost::function<
void(
bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars, Chars,
Chars, double>)> rhsDouble;
boost::function<
void(bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars>)> colSingle;
boost::function<
void(
bf::vector<Chars, Chars, Chars, Chars, double, Chars, Chars, Chars,
double> const &)> colDouble;
boost::function<
void(bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars> const &)> addQuadTerm;
boost::function<
void(
bf::vector<Chars, Chars, Chars, Chars, Chars, Chars, Chars, double> const &)> addBound;
boost::function<
void(bf::vector<Chars, Chars, Chars, Chars, Chars, Chars, Chars> const &)> addBoundFr;
MPSGrammar(RawQP * rqp) :
base_grammar(start), rqp_(rqp), setName(
boost::bind(&RawQP::setName, rqp, ::_1)), addRow(
boost::bind(&RawQP::addRow, rqp, ::_1)), rhsSingle(
boost::bind(&RawQP::addRHS, rqp, ::_1)), rhsDouble(
boost::bind(&RawQP::addRHSDouble, rqp, ::_1)), colSingle(
boost::bind(&RawQP::addColumn, rqp, ::_1)), colDouble(
boost::bind(&RawQP::addColumnDouble, rqp, ::_1)), addQuadTerm(
boost::bind(&RawQP::addQuadTerm, rqp, ::_1)), addBound(
boost::bind(&RawQP::addBound, rqp, ::_1)), addBoundFr(
boost::bind(&RawQP::addBoundFr, rqp, ::_1)) {
QPSVisitor *rqp_;
boost::function<void(bf::vector<Chars, Chars, Chars> const &)> setName;
boost::function<void(bf::vector<Chars, char, Chars, Chars, Chars> const &)>
addRow;
boost::function<void(
bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars> const &)>
rhsSingle;
boost::function<void(bf::vector<Chars, Chars, Chars, Chars, Chars, double,
Chars, Chars, Chars, double>)>
rhsDouble;
boost::function<void(
bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars> const &)>
rangeSingle;
boost::function<void(bf::vector<Chars, Chars, Chars, Chars, Chars, double,
Chars, Chars, Chars, double>)>
rangeDouble;
boost::function<void(
bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars>)>
colSingle;
boost::function<void(bf::vector<Chars, Chars, Chars, Chars, double, Chars,
Chars, Chars, double> const &)>
colDouble;
boost::function<void(
bf::vector<Chars, Chars, Chars, Chars, Chars, double, Chars> const &)>
addQuadTerm;
boost::function<void(bf::vector<Chars, Chars, Chars, Chars, Chars, Chars,
Chars, double> const &)>
addBound;
boost::function<void(
bf::vector<Chars, Chars, Chars, Chars, Chars, Chars, Chars> const &)>
addFreeBound;
MPSGrammar(QPSVisitor *rqp)
: base_grammar(start),
rqp_(rqp),
setName(boost::bind(&QPSVisitor::setName, rqp, ::_1)),
addRow(boost::bind(&QPSVisitor::addRow, rqp, ::_1)),
rhsSingle(boost::bind(&QPSVisitor::addRHS, rqp, ::_1)),
rhsDouble(boost::bind(&QPSVisitor::addRHSDouble, rqp, ::_1)),
rangeSingle(boost::bind(&QPSVisitor::addRangeSingle, rqp, ::_1)),
rangeDouble(boost::bind(&QPSVisitor::addRangeDouble, rqp, ::_1)),
colSingle(boost::bind(&QPSVisitor::addColumn, rqp, ::_1)),
colDouble(boost::bind(&QPSVisitor::addColumnDouble, rqp, ::_1)),
addQuadTerm(boost::bind(&QPSVisitor::addQuadTerm, rqp, ::_1)),
addBound(boost::bind(&QPSVisitor::addBound, rqp, ::_1)),
addFreeBound(boost::bind(&QPSVisitor::addFreeBound, rqp, ::_1)) {
using namespace boost::spirit;
using namespace boost::spirit::qi;
character = lexeme[alnum | '_' | '-' | '.'];
@ -74,43 +458,54 @@ struct QPSParser::MPSGrammar: base_grammar {
word = lexeme[+character];
name = lexeme[lit("NAME") >> *blank >> title >> +space][setName];
row = lexeme[*blank >> character >> +blank >> word >> *blank][addRow];
rhs_single = lexeme[*blank >> word >> +blank >> word >> +blank >> double_
>> *blank][rhsSingle];
rhs_double = lexeme[(*blank >> word >> +blank >> word >> +blank >> double_
>> +blank >> word >> +blank >> double_)[rhsDouble] >> *blank];
col_single = lexeme[*blank >> word >> +blank >> word >> +blank >> double_
>> *blank][colSingle];
col_double = lexeme[*blank
>> (word >> +blank >> word >> +blank >> double_ >> +blank >> word
>> +blank >> double_)[colDouble] >> *blank];
quad_l = lexeme[*blank >> word >> +blank >> word >> +blank >> double_
>> *blank][addQuadTerm];
bound = lexeme[(*blank >> word >> +blank >> word >> +blank >> word >> +blank
>> double_)[addBound] >> *blank];
bound_fr = lexeme[*blank >> word >> +blank >> word >> +blank >> word
>> *blank][addBoundFr];
rhs_single = lexeme[*blank >> word >> +blank >> word >> +blank >> double_ >>
*blank][rhsSingle];
rhs_double =
lexeme[(*blank >> word >> +blank >> word >> +blank >> double_ >>
+blank >> word >> +blank >> double_)[rhsDouble] >>
*blank];
range_single = lexeme[*blank >> word >> +blank >> word >> +blank >>
double_ >> *blank][rangeSingle];
range_double =
lexeme[(*blank >> word >> +blank >> word >> +blank >> double_ >>
+blank >> word >> +blank >> double_)[rangeDouble] >>
*blank];
col_single = lexeme[*blank >> word >> +blank >> word >> +blank >> double_ >>
*blank][colSingle];
col_double =
lexeme[*blank >> (word >> +blank >> word >> +blank >> double_ >>
+blank >> word >> +blank >> double_)[colDouble] >>
*blank];
quad_l = lexeme[*blank >> word >> +blank >> word >> +blank >> double_ >>
*blank][addQuadTerm];
bound = lexeme[(*blank >> word >> +blank >> word >> +blank >> word >>
+blank >> double_)[addBound] >>
*blank];
bound_fr = lexeme[*blank >> word >> +blank >> word >> +blank >> word >>
*blank][addFreeBound];
rows = lexeme[lit("ROWS") >> *blank >> eol >> +(row >> eol)];
rhs = lexeme[lit("RHS") >> *blank >> eol
>> +((rhs_double | rhs_single) >> eol)];
cols = lexeme[lit("COLUMNS") >> *blank >> eol
>> +((col_double | col_single) >> eol)];
rhs = lexeme[lit("RHS") >> *blank >> eol >>
+((rhs_double | rhs_single) >> eol)];
cols = lexeme[lit("COLUMNS") >> *blank >> eol >>
+((col_double | col_single) >> eol)];
quad = lexeme[lit("QUADOBJ") >> *blank >> eol >> +(quad_l >> eol)];
bounds = lexeme[lit("BOUNDS") >> +space >> +((bound | bound_fr) >> eol)];
ranges = lexeme[lit("RANGES") >> +space];
bounds = lexeme[lit("BOUNDS") >> +space >> *((bound | bound_fr) >> eol)];
ranges = lexeme[lit("RANGES") >> +space >>
*((range_double | range_single) >> eol)];
end = lexeme[lit("ENDATA") >> *space];
start = lexeme[name >> rows >> cols >> rhs >> -ranges >> bounds >> quad
>> end];
start =
lexeme[name >> rows >> cols >> rhs >> -ranges >> bounds >> quad >> end];
}
qi::rule<boost::spirit::basic_istream_iterator<char>, char()> character;
qi::rule<boost::spirit::basic_istream_iterator<char>, Chars()> word, title;
qi::rule<boost::spirit::basic_istream_iterator<char> > row, end, col_single,
col_double, rhs_single, rhs_double, ranges, bound, bound_fr, bounds, quad,
quad_l, rows, cols, rhs, name, start;
qi::rule<boost::spirit::basic_istream_iterator<char>> row, end, col_single,
col_double, rhs_single, rhs_double, range_single, range_double, ranges,
bound, bound_fr, bounds, quad, quad_l, rows, cols, rhs, name, start;
};
QP QPSParser::Parse() {
RawQP rawData;
QPSVisitor rawData;
std::fstream stream(fileName_.c_str());
stream.unsetf(std::ios::skipws);
boost::spirit::basic_istream_iterator<char> begin(stream);
@ -123,4 +518,4 @@ QP QPSParser::Parse() {
return rawData.makeQP();
}
}
} // namespace gtsam

11
gtsam_unstable/linear/QPSolver.h
View File

@ -32,9 +32,14 @@ struct QPPolicy {
static constexpr double maxAlpha = 1.0;
/// Simply the cost of the QP problem
static const GaussianFactorGraph& buildCostFunction(
const QP& qp, const VectorValues& xk = VectorValues()) {
return qp.cost;
static const GaussianFactorGraph buildCostFunction(const QP& qp,
const VectorValues& xk = VectorValues()) {
GaussianFactorGraph no_constant_factor;
for (auto factor : qp.cost) {
HessianFactor hf = static_cast<HessianFactor>(*factor);
no_constant_factor.push_back(hf);
}
return no_constant_factor;
}
};

271
gtsam_unstable/linear/RawQP.cpp
View File

@ -1,271 +0,0 @@
/* ----------------------------------------------------------------------------
* GTSAM Copyright 2010, Georgia Tech Research Corporation,
* Atlanta, Georgia 30332-0415
* All Rights Reserved
* Authors: Frank Dellaert, et al. (see THANKS for the full author list)
* See LICENSE for the license information
* -------------------------------------------------------------------------- */
/**
* @file RawQP.cpp
* @brief
* @author Ivan Dario Jimenez
* @date 3/5/16
*/
#include <gtsam_unstable/linear/RawQP.h>
#include <iostream>
using boost::fusion::at_c;
namespace gtsam {
void RawQP::setName(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>> const &name) {
name_ = std::string(at_c < 1 > (name).begin(), at_c < 1 > (name).end());
if (debug) {
std::cout << "Parsing file: " << name_ << std::endl;
}
}
void RawQP::addColumn(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>> const &vars) {
std::string var_(at_c < 1 > (vars).begin(), at_c < 1 > (vars).end());
std::string row_(at_c < 3 > (vars).begin(), at_c < 3 > (vars).end());
Matrix11 coefficient = at_c < 5 > (vars) * I_1x1;
if (!varname_to_key.count(var_))
varname_to_key[var_] = Symbol('X', varNumber++);
if (row_ == obj_name) {
g[varname_to_key[var_]] = coefficient;
return;
}
(*row_to_constraint_v[row_])[row_][varname_to_key[var_]] = coefficient;
if (debug) {
std::cout << "Added Column for Var: " << var_ << " Row: " << row_
<< " Coefficient: " << coefficient << std::endl;
}
}
void RawQP::addColumnDouble(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, double, std::vector<char>,
std::vector<char>, std::vector<char>, double> const &vars) {
std::string var_(at_c < 0 > (vars).begin(), at_c < 0 > (vars).end());
std::string row1_(at_c < 2 > (vars).begin(), at_c < 2 > (vars).end());
std::string row2_(at_c < 6 > (vars).begin(), at_c < 6 > (vars).end());
Matrix11 coefficient1 = at_c < 4 > (vars) * I_1x1;
Matrix11 coefficient2 = at_c < 8 > (vars) * I_1x1;
if (!varname_to_key.count(var_))
varname_to_key.insert( { var_, Symbol('X', varNumber++) });
if (row1_ == obj_name)
g[varname_to_key[var_]] = coefficient1;
else
(*row_to_constraint_v[row1_])[row1_][varname_to_key[var_]] = coefficient1;
if (row2_ == obj_name)
g[varname_to_key[var_]] = coefficient2;
else
(*row_to_constraint_v[row2_])[row2_][varname_to_key[var_]] = coefficient2;
}
void RawQP::addRHS(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>> const &vars) {
std::string var_(at_c < 1 > (vars).begin(), at_c < 1 > (vars).end());
std::string row_(at_c < 3 > (vars).begin(), at_c < 3 > (vars).end());
double coefficient = at_c < 5 > (vars);
if (row_ == obj_name)
f = -coefficient;
else
b[row_] = coefficient;
if (debug) {
std::cout << "Added RHS for Var: " << var_ << " Row: " << row_
<< " Coefficient: " << coefficient << std::endl;
}
}
void RawQP::addRHSDouble(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>, std::vector<char>, std::vector<char>, double> const &vars) {
std::string var_(at_c < 1 > (vars).begin(), at_c < 1 > (vars).end());
std::string row1_(at_c < 3 > (vars).begin(), at_c < 3 > (vars).end());
std::string row2_(at_c < 7 > (vars).begin(), at_c < 7 > (vars).end());
double coefficient1 = at_c < 5 > (vars);
double coefficient2 = at_c < 9 > (vars);
if (row1_ == obj_name)
f = -coefficient1;
else
b[row1_] = coefficient1;
if (row2_ == obj_name)
f = -coefficient2;
else
b[row2_] = coefficient2;
if (debug) {
std::cout << "Added RHS for Var: " << var_ << " Row: " << row1_
<< " Coefficient: " << coefficient1 << std::endl;
std::cout << " " << "Row: " << row2_
<< " Coefficient: " << coefficient2 << std::endl;
}
}
void RawQP::addRow(
boost::fusion::vector<std::vector<char>, char, std::vector<char>,
std::vector<char>, std::vector<char>> const &vars) {
std::string name_(at_c < 3 > (vars).begin(), at_c < 3 > (vars).end());
char type = at_c < 1 > (vars);
switch (type) {
case 'N':
obj_name = name_;
break;
case 'L':
row_to_constraint_v[name_] = &IL;
break;
case 'G':
row_to_constraint_v[name_] = &IG;
break;
case 'E':
row_to_constraint_v[name_] = &E;
break;
default:
std::cout << "invalid type: " << type << std::endl;
break;
}
if (debug) {
std::cout << "Added Row Type: " << type << " Name: " << name_ << std::endl;
}
}
void RawQP::addBound(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, double> const &vars) {
std::string type_(at_c < 1 > (vars).begin(), at_c < 1 > (vars).end());
std::string var_(at_c < 5 > (vars).begin(), at_c < 5 > (vars).end());
double number = at_c < 7 > (vars);
if (type_.compare(std::string("UP")) == 0)
up[varname_to_key[var_]] = number;
else if (type_.compare(std::string("LO")) == 0)
lo[varname_to_key[var_]] = number;
else
std::cout << "Invalid Bound Type: " << type_ << std::endl;
if (debug) {
std::cout << "Added Bound Type: " << type_ << " Var: " << var_
<< " Amount: " << number << std::endl;
}
}
void RawQP::addBoundFr(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>> const &vars) {
std::string type_(at_c < 1 > (vars).begin(), at_c < 1 > (vars).end());
std::string var_(at_c < 5 > (vars).begin(), at_c < 5 > (vars).end());
Free.push_back(varname_to_key[var_]);
if (debug) {
std::cout << "Added Free Bound Type: " << type_ << " Var: " << var_
<< " Amount: " << std::endl;
}
}
void RawQP::addQuadTerm(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>> const &vars) {
std::string var1_(at_c < 1 > (vars).begin(), at_c < 1 > (vars).end());
std::string var2_(at_c < 3 > (vars).begin(), at_c < 3 > (vars).end());
Matrix11 coefficient = at_c < 5 > (vars) * I_1x1;
H[varname_to_key[var1_]][varname_to_key[var2_]] = coefficient;
H[varname_to_key[var2_]][varname_to_key[var1_]] = coefficient;
if (debug) {
std::cout << "Added QuadTerm for Var: " << var1_ << " Row: " << var2_
<< " Coefficient: " << coefficient << std::endl;
}
}
QP RawQP::makeQP() {
KeyVector keys;
std::vector<Matrix> Gs;
std::vector<Vector> gs;
for (auto kv : varname_to_key) {
keys.push_back(kv.second);
}
std::sort(keys.begin(), keys.end());
for (unsigned int i = 0; i < keys.size(); ++i) {
for (unsigned int j = i; j < keys.size(); ++j) {
Gs.push_back(H[keys[i]][keys[j]]);
}
}
for (Key key1 : keys) {
gs.push_back(-g[key1]);
}
int dual_key_num = keys.size() + 1;
QP madeQP;
auto obj = HessianFactor(keys, Gs, gs, f);
madeQP.cost.push_back(obj);
for (auto kv : E) {
std::map<Key, Matrix11> keyMatrixMap;
for (auto km : kv.second) {
keyMatrixMap.insert(km);
}
madeQP.equalities.push_back(
LinearEquality(keyMatrixMap, b[kv.first] * I_1x1, dual_key_num++));
}
for (auto kv : IG) {
std::map<Key, Matrix11> keyMatrixMap;
for (auto km : kv.second) {
km.second = -km.second;
keyMatrixMap.insert(km);
}
madeQP.inequalities.push_back(
LinearInequality(keyMatrixMap, -b[kv.first], dual_key_num++));
}
for (auto kv : IL) {
std::map<Key, Matrix11> keyMatrixMap;
for (auto km : kv.second) {
keyMatrixMap.insert(km);
}
madeQP.inequalities.push_back(
LinearInequality(keyMatrixMap, b[kv.first], dual_key_num++));
}
for (Key k : keys) {
if (std::find(Free.begin(), Free.end(), k) != Free.end())
continue;
if (up.count(k) == 1)
madeQP.inequalities.push_back(
LinearInequality(k, I_1x1, up[k], dual_key_num++));
if (lo.count(k) == 1)
madeQP.inequalities.push_back(
LinearInequality(k, -I_1x1, lo[k], dual_key_num++));
else
madeQP.inequalities.push_back(
LinearInequality(k, -I_1x1, 0, dual_key_num++));
}
return madeQP;
}
}

106
gtsam_unstable/linear/RawQP.h
View File

@ -1,106 +0,0 @@
/* ----------------------------------------------------------------------------
* GTSAM Copyright 2010, Georgia Tech Research Corporation,
* Atlanta, Georgia 30332-0415
* All Rights Reserved
* Authors: Frank Dellaert, et al. (see THANKS for the full author list)
* See LICENSE for the license information
* -------------------------------------------------------------------------- */
/**
* @file RawQP.h
* @brief
* @author Ivan Dario Jimenez
* @date 3/5/16
*/
#pragma once
#include <gtsam_unstable/linear/QP.h>
#include <gtsam/base/Matrix.h>
#include <gtsam/inference/Key.h>
#include <string>
#include <vector>
#include <unordered_map>
#include <gtsam/inference/Symbol.h>
#include <boost/fusion/sequence.hpp>
#include <boost/fusion/include/vector.hpp>
namespace gtsam {
class RawQP {
private:
typedef std::unordered_map<Key, Matrix11> coefficient_v;
typedef std::unordered_map<std::string, coefficient_v> constraint_v;
std::unordered_map<std::string, constraint_v*> row_to_constraint_v;
constraint_v E;
constraint_v IG;
constraint_v IL;
unsigned int varNumber;
std::unordered_map<std::string, double> b;
std::unordered_map<Key, Vector1> g;
std::unordered_map<std::string, Key> varname_to_key;
std::unordered_map<Key, std::unordered_map<Key, Matrix11> > H;
double f;
std::string obj_name;
std::string name_;
std::unordered_map<Key, double> up;
std::unordered_map<Key, double> lo;
KeyVector Free;
const bool debug = false;
public:
RawQP() :
row_to_constraint_v(), E(), IG(), IL(), varNumber(1), b(), g(), varname_to_key(), H(), f(), obj_name(), name_(), up(), lo(), Free() {
}
void setName(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>> const & name);
void addColumn(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>> const & vars);
void addColumnDouble(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, double, std::vector<char>,
std::vector<char>, std::vector<char>, double> const & vars);
void addRHS(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>> const & vars);
void addRHSDouble(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>, std::vector<char>, std::vector<char>, double> const & vars);
void addRow(
boost::fusion::vector<std::vector<char>, char, std::vector<char>,
std::vector<char>, std::vector<char>> const & vars);
void addBound(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, double> const & vars);
void addBoundFr(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>> const & vars);
void addQuadTerm(
boost::fusion::vector<std::vector<char>, std::vector<char>,
std::vector<char>, std::vector<char>, std::vector<char>, double,
std::vector<char>> const & vars);
QP makeQP();
}
;
}

63
gtsam_unstable/linear/tests/testQPSolver.cpp
View File

@ -14,6 +14,7 @@
* @brief Test simple QP solver for a linear inequality constraint
* @date Apr 10, 2014
* @author Duy-Nguyen Ta
* @author Ivan Dario Jimenez
*/
#include <gtsam/base/Testable.h>
@ -218,7 +219,7 @@ pair<QP, QP> testParser(QPSParser parser) {
// min f(x,y) = 4 + 1.5x -y + 0.58x^2 + 2xy + 2yx + 10y^2
expectedqp.cost.push_back(
HessianFactor(X1, X2, 8.0 * I_1x1, 2.0 * I_1x1, -1.5 * kOne, 10.0 * I_1x1,
2.0 * kOne, 4.0));
2.0 * kOne, 8.0));
// 2x + y >= 2
// -x + 2y <= 6
expectedqp.inequalities.push_back(
@ -269,6 +270,66 @@ TEST(QPSolver, QPExampleTest){
CHECK(assert_equal(error_expected, error_actual))
}
TEST(QPSolver, HS21) {
QP problem = QPSParser("HS21.QPS").Parse();
VectorValues actualSolution;
VectorValues expectedSolution;
expectedSolution.insert(Symbol('X',1), 2.0*I_1x1);
expectedSolution.insert(Symbol('X',2), 0.0*I_1x1);
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(-99.9599999, error_actual, 1e-7))
CHECK(assert_equal(expectedSolution, actualSolution))
}
TEST(QPSolver, HS35) {
QP problem = QPSParser("HS35.QPS").Parse();
VectorValues actualSolution;
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(1.11111111e-01,error_actual, 1e-7))
}
TEST(QPSolver, HS35MOD) {
QP problem = QPSParser("HS35MOD.QPS").Parse();
VectorValues actualSolution;
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(2.50000001e-01,error_actual, 1e-7))
}
TEST(QPSolver, HS51) {
QP problem = QPSParser("HS51.QPS").Parse();
VectorValues actualSolution;
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(8.88178420e-16,error_actual, 1e-7))
}
TEST(QPSolver, HS52) {
QP problem = QPSParser("HS52.QPS").Parse();
VectorValues actualSolution;
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(5.32664756,error_actual, 1e-7))
}
TEST(QPSolver, HS268) { // This test needs an extra order of magnitude of tolerance than the rest
QP problem = QPSParser("HS268.QPS").Parse();
VectorValues actualSolution;
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(5.73107049e-07,error_actual, 1e-6))
}
TEST(QPSolver, QPTEST) { // REQUIRES Jacobian Fix
QP problem = QPSParser("QPTEST.QPS").Parse();
VectorValues actualSolution;
boost::tie(actualSolution, boost::tuples::ignore) = QPSolver(problem).optimize();
double error_actual = problem.cost.error(actualSolution);
CHECK(assert_equal(0.437187500e01,error_actual, 1e-7))
}
/* ************************************************************************* */
// Create Matlab's test graph as in http://www.mathworks.com/help/optim/ug/quadprog.html
QP createTestMatlabQPEx() {