more informative comment

release/4.3a0
thduynguyen 2014-11-26 18:53:45 -05:00
parent ba911edfad
commit b5e8be56f3
1 changed files with 23 additions and 11 deletions

View File

@ -78,6 +78,10 @@ public:
const VectorValues& x0, bool useLeastSquare = false) const;
/**
* The goal of this function is to find currently active inequality constraints
* that violate the condition to be active. The one that violates the condition
* the most will be removed from the active set. See Nocedal06book, pg 469-471
*
* Find the BAD active inequality that pulls x strongest to the wrong direction
* of its constraint (i.e. it is pulling towards >0, while its feasible region is <=0)
*
@ -85,18 +89,26 @@ public:
* in the current working set), we want lambda < 0.
* This is because:
* - From the Lagrangian L = f - lambda*c, we know that the constraint force
* is (lambda * \grad c) = \grad f, because it cancels out the unconstrained
* force (-\grad f), which is pulling x in the opposite direction of \grad f
* towards the unconstrained minimum point
* - We also know that at the constraint surface \grad c points toward + (>= 0),
* while we are solving for - (<=0) constraint
* - So, we want the constraint force (lambda * \grad c) to to pull x
* towards the opposite direction of \grad c, i.e. towards the area
* where the inequality constraint <=0 is satisfied.
* - Hence, we want lambda < 0
* is (lambda * \grad c) = \grad f. Intuitively, to keep the solution x stay
* on the constraint surface, the constraint force has to balance out with
* other unconstrained forces that are pulling x towards the unconstrained
* minimum point. The other unconstrained forces are pulling x toward (-\grad f),
* hence the constraint force has to be exactly \grad f, so that the total
* force is 0.
* - We also know that at the constraint surface c(x)=0, \grad c points towards + (>= 0),
* while we are solving for - (<=0) constraint.
* - We want the constraint force (lambda * \grad c) to pull x towards the - (<=0) direction
* i.e., the opposite direction of \grad c where the inequality constraint <=0 is satisfied.
* That means we want lambda < 0.
* - This is because when the constrained force pulls x towards the infeasible region (+),
* the unconstrained force is pulling x towards the opposite direction into
* the feasible region (again because the total force has to be 0 to make x stay still)
* So we can drop this constraint to have a lower error but feasible solution.
*
* So active inequality constraints with lambda > 0 are BAD.
* And we want the worst one with the largest lambda.
* In short, active inequality constraints with lambda > 0 are BAD, because they
* violate the condition to be active.
*
* And we want to remove the worst one with the largest lambda from the active set.
*
*/
std::pair<int, int> findWorstViolatedActiveIneq(