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[TEST] QP Now correctly handles negative constant values on hessian factors.

release/4.3a0
= 2016-06-28 19:51:51 -04:00
parent 2c7f1902af
commit c9efb4bbda
3 changed files with 44 additions and 4 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

14
gtsam_unstable/linear/QPSolver.h
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@ -32,9 +32,17 @@ 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);
if (hf.constantTerm() < 0) // Hessian Factors cannot deal
// with negative constant terms replace with zero in this case
hf.constantTerm() = 0.0;
no_constant_factor.push_back(hf);
}
return no_constant_factor;
}
};

14
gtsam_unstable/linear/tests/testQPSolver.cpp
View File

@ -218,7 +218,7 @@ 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 +269,18 @@ 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))
}
/* ************************************************************************* */
// Create Matlab's test graph as in http://www.mathworks.com/help/optim/ug/quadprog.html
QP createTestMatlabQPEx() {