/** * @file ActiveSetSolver.h * @brief Abstract class above for solving problems with the abstract set method. * @author Ivan Dario Jimenez * @date 1/25/16 */ #pragma once #include namespace gtsam { class ActiveSetSolver { protected: typedef std::vector > TermsContainer; KeySet constrainedKeys_; //!< all constrained keys, will become factors in dual graphs GaussianFactorGraph baseGraph_; //!< factor graphs of cost factors and linear equalities. //!< used to initialize the working set factor graph, //!< to which active inequalities will be added VariableIndex costVariableIndex_, equalityVariableIndex_, inequalityVariableIndex_; //!< index to corresponding factors to build dual graphs ActiveSetSolver() : constrainedKeys_() { } /** * Compute step size alpha for the new solution x' = xk + alpha*p, where alpha \in [0,1] * * @return a tuple of (alpha, factorIndex, sigmaIndex) where (factorIndex, sigmaIndex) * is the constraint that has minimum alpha, or (-1,-1) if alpha = 1. * This constraint will be added to the working set and become active * in the next iteration */ boost::tuple computeStepSize( const InequalityFactorGraph& workingSet, const VectorValues& xk, const VectorValues& p, const double& startAlpha) const { double minAlpha = startAlpha; int closestFactorIx = -1; for (size_t factorIx = 0; factorIx < workingSet.size(); ++factorIx) { const LinearInequality::shared_ptr& factor = workingSet.at(factorIx); double b = factor->getb()[0]; // only check inactive factors if (!factor->active()) { // Compute a'*p double aTp = factor->dotProductRow(p); // Check if a'*p >0. Don't care if it's not. if (aTp <= 0) continue; // Compute a'*xk double aTx = factor->dotProductRow(xk); // alpha = (b - a'*xk) / (a'*p) double alpha = (b - aTx) / aTp; // We want the minimum of all those max alphas if (alpha < minAlpha) { closestFactorIx = factorIx; minAlpha = alpha; } } } return boost::make_tuple(minAlpha, closestFactorIx); } public: /// Create a dual factor virtual JacobianFactor::shared_ptr createDualFactor(Key key, const InequalityFactorGraph& workingSet, const VectorValues& delta) const = 0; //****************************************************************************** /// Collect the Jacobian terms for a dual factor template TermsContainer collectDualJacobians(Key key, const FactorGraph &graph, const VariableIndex &variableIndex) const { TermsContainer Aterms; if (variableIndex.find(key) != variableIndex.end()) { BOOST_FOREACH(size_t factorIx, variableIndex[key]) { typename FACTOR::shared_ptr factor = graph.at(factorIx); if (!factor->active()) continue; Matrix Ai = factor->getA(factor->find(key)).transpose(); Aterms.push_back(std::make_pair(factor->dualKey(), Ai)); } } return Aterms; } /** * 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) * * For active inequality constraints (those that are enforced as equality constraints * 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. 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. * * 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. * */ int identifyLeavingConstraint(const InequalityFactorGraph& workingSet, const VectorValues& lambdas) const { int worstFactorIx = -1; // preset the maxLambda to 0.0: if lambda is <= 0.0, the constraint is either // inactive or a good inequality constraint, so we don't care! double maxLambda = 0.0; for (size_t factorIx = 0; factorIx < workingSet.size(); ++factorIx) { const LinearInequality::shared_ptr& factor = workingSet.at(factorIx); if (factor->active()) { double lambda = lambdas.at(factor->dualKey())[0]; if (lambda > maxLambda) { worstFactorIx = factorIx; maxLambda = lambda; } } } return worstFactorIx; } //****************************************************************************** GaussianFactorGraph::shared_ptr buildDualGraph( const InequalityFactorGraph& workingSet, const VectorValues& delta) const { GaussianFactorGraph::shared_ptr dualGraph(new GaussianFactorGraph()); BOOST_FOREACH(Key key, constrainedKeys_) { // Each constrained key becomes a factor in the dual graph JacobianFactor::shared_ptr dualFactor = createDualFactor(key, workingSet, delta); if (!dualFactor->empty()) dualGraph->push_back(dualFactor); } return dualGraph; } }; }