452 lines
17 KiB
C++
452 lines
17 KiB
C++
/* ----------------------------------------------------------------------------
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* GTSAM Copyright 2010, Georgia Tech Research Corporation,
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* Atlanta, Georgia 30332-0415
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* All Rights Reserved
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* Authors: Frank Dellaert, et al. (see THANKS for the full author list)
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* See LICENSE for the license information
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* -------------------------------------------------------------------------- */
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/**
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* @file testQPSolver.cpp
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* @brief Test simple QP solver for a linear inequality constraint
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* @date Apr 10, 2014
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* @author Duy-Nguyen Ta
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*/
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#include <gtsam/base/Testable.h>
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#include <gtsam/inference/Symbol.h>
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#include <gtsam/inference/FactorGraph-inst.h>
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#include <gtsam_unstable/linear/LinearCost.h>
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#include <gtsam/linear/VectorValues.h>
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#include <gtsam/linear/GaussianFactorGraph.h>
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#include <gtsam_unstable/linear/EqualityFactorGraph.h>
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#include <gtsam_unstable/linear/InequalityFactorGraph.h>
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#include <CppUnitLite/TestHarness.h>
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#include <boost/foreach.hpp>
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using namespace std;
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using namespace gtsam;
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using namespace gtsam::symbol_shorthand;
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/* ************************************************************************* */
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/** An exception indicating that the noise model dimension passed into a
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* JacobianFactor has a different dimensionality than the factor. */
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class InfeasibleInitialValues: public ThreadsafeException<
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InfeasibleInitialValues> {
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public:
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InfeasibleInitialValues() {
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}
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virtual ~InfeasibleInitialValues() throw () {
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}
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virtual const char* what() const throw () {
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if (description_.empty()) description_ =
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"An infeasible intial value was provided for the QPSolver.\n"
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"This current version of QPSolver does not handle infeasible"
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"initial point due to the lack of a LPSolver.\n";
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return description_.c_str();
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}
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private:
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mutable std::string description_;
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};
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struct LP {
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LinearCost cost; //!< Linear cost factor
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EqualityFactorGraph equalities; //!< Linear equality constraints: cE(x) = 0
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InequalityFactorGraph inequalities; //!< Linear inequality constraints: cI(x) <= 0
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void print(const string& s = "") const {
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std::cout << s << std::endl;
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cost.print("Linear cost: ");
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equalities.print("Linear equality factors: ");
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inequalities.print("Linear inequality factors: ");
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}
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};
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/// This struct holds the state of QPSolver at each iteration
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struct LPState {
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VectorValues values;
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VectorValues duals;
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InequalityFactorGraph workingSet;
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bool converged;
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size_t iterations;
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/// default constructor
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LPState() :
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values(), duals(), workingSet(), converged(false), iterations(0) {
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}
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/// constructor with initial values
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LPState(const VectorValues& initialValues, const VectorValues& initialDuals,
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const InequalityFactorGraph& initialWorkingSet, bool _converged,
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size_t _iterations) :
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values(initialValues), duals(initialDuals), workingSet(initialWorkingSet), converged(
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_converged), iterations(_iterations) {
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}
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};
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class LPSolver {
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const LP& lp_; //!< the linear programming problem
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GaussianFactorGraph baseGraph_; //!< unchanged factors needed in every iteration
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VariableIndex costVariableIndex_, equalityVariableIndex_,
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inequalityVariableIndex_; //!< index to corresponding factors to build dual graphs
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FastSet<Key> constrainedKeys_; //!< all constrained keys, will become factors in dual graphs
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public:
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LPSolver(const LP& lp) :
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lp_(lp) {
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// Push back factors that are the same in every iteration to the base graph.
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// Those include the equality constraints and zero priors for keys that are not
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// in the cost
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baseGraph_.push_back(lp_.equalities);
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baseGraph_.push_back(*createZeroPriors(lp_.cost.keys(), lp_.equalities));
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baseGraph_.push_back(*createZeroPriors(lp_.cost.keys(), lp_.inequalities));
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equalityVariableIndex_ = VariableIndex(lp_.equalities);
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inequalityVariableIndex_ = VariableIndex(lp_.inequalities);
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constrainedKeys_ = lp_.equalities.keys();
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constrainedKeys_.merge(lp_.inequalities.keys());
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}
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//******************************************************************************
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/**
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* Create a zero prior for any keys in the graph that don't exist in the cost
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*/
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template<class LinearGraph>
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GaussianFactorGraph::shared_ptr createZeroPriors(const KeyVector& costKeys,
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const LinearGraph& linearGraph) const {
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GaussianFactorGraph::shared_ptr graph(new GaussianFactorGraph());
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BOOST_FOREACH(const typename LinearGraph::sharedFactor& factor, linearGraph) {
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if (!factor) continue;
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BOOST_FOREACH(Key key, factor->keys()) {
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if (find(costKeys.begin(), costKeys.end(), key) == costKeys.end()) {
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size_t dim = factor->getDim(factor->find(key));
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graph->push_back(JacobianFactor(key, eye(dim), zero(dim)));
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}
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}
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}
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return graph;
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}
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//******************************************************************************
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LPState iterate(const LPState& state) const {
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static bool debug = true;
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// Solve with the current working set
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// LP: project the objective neggradient to the constraint's null space
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// to find the direction to move
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VectorValues newValues = solveWithCurrentWorkingSet(state.values,
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state.workingSet);
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// if (debug) state.workingSet.print("Working set:");
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if (debug) (newValues - state.values).print("New direction:");
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// If we CAN'T move further
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// LP: projection on nullspace is zero: we are at a vertex
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if (newValues.equals(state.values, 1e-7)) {
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// If we still have equality constraints: the problem is over-constrained. No solution!
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// Compute lambda from the dual graph
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// LP: project the objective's gradient onto each constraint gradient to obtain the dual scaling factors
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// is it true??
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if (debug) cout << "Building dual graph..." << endl;
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GaussianFactorGraph::shared_ptr dualGraph = buildDualGraph(
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state.workingSet, newValues);
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if (debug) dualGraph->print("Dual graph: ");
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VectorValues duals = dualGraph->optimize();
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if (debug) duals.print("Duals :");
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// LP: see which ineq constraint has wrong pulling direction, i.e., dual < 0
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int leavingFactor = identifyLeavingConstraint(state.workingSet, duals);
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if (debug) cout << "leavingFactor: " << leavingFactor << endl;
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// If all inequality constraints are satisfied: We have the solution!!
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if (leavingFactor < 0) {
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return LPState(newValues, duals, state.workingSet, true,
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state.iterations + 1);
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}
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else {
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// Inactivate the leaving constraint
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// LP: remove the bad ineq constraint out of the working set
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InequalityFactorGraph newWorkingSet = state.workingSet;
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newWorkingSet.at(leavingFactor)->inactivate();
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return LPState(newValues, duals, newWorkingSet, false,
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state.iterations + 1);
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}
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}
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else {
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// If we CAN make some progress, i.e. p_k != 0
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// Adapt stepsize if some inactive constraints complain about this move
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// LP: projection on nullspace is NOT zero:
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// find and put a blocking inactive constraint to the working set,
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// otherwise the problem is unbounded!!!
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double alpha;
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int factorIx;
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VectorValues p = newValues - state.values;
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boost::tie(alpha, factorIx) = // using 16.41
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computeStepSize(state.workingSet, state.values, p);
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if (debug) cout << "alpha, factorIx: " << alpha << " " << factorIx << " "
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<< endl;
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// also add to the working set the one that complains the most
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InequalityFactorGraph newWorkingSet = state.workingSet;
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if (factorIx >= 0) newWorkingSet.at(factorIx)->activate();
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// step!
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newValues = state.values + alpha * p;
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if (debug) newValues.print("New solution:");
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return LPState(newValues, state.duals, newWorkingSet, false,
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state.iterations + 1);
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}
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}
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//******************************************************************************
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/**
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* Create the factor ||x-xk - (-g)||^2 where xk is the current feasible solution
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* on the constraint surface and g is the gradient of the linear cost,
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* i.e. -g is the direction we wish to follow to decrease the cost.
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*
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* Essentially, we try to match the direction d = x-xk with -g as much as possible
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* subject to the condition that x needs to be on the constraint surface, i.e., d is
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* along the surface's subspace.
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*
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* The least-square solution of this quadratic subject to a set of linear constraints
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* is the projection of the gradient onto the constraint subspace
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*/
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GaussianFactorGraph::shared_ptr createLeastSquareFactors(
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const LinearCost& cost, const VectorValues& xk) const {
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GaussianFactorGraph::shared_ptr graph(new GaussianFactorGraph());
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KeyVector keys = cost.keys();
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for (LinearCost::const_iterator it = cost.begin(); it != cost.end(); ++it) {
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size_t dim = cost.getDim(it);
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Vector b = xk.at(*it) - cost.getA(it).transpose(); // b = xk-g
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graph->push_back(JacobianFactor(*it, eye(dim), b));
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}
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return graph;
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}
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//******************************************************************************
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VectorValues solveWithCurrentWorkingSet(const VectorValues& xk,
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const InequalityFactorGraph& workingSet) const {
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GaussianFactorGraph workingGraph = baseGraph_; // || X - Xk + g ||^2
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workingGraph.push_back(*createLeastSquareFactors(lp_.cost, xk));
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BOOST_FOREACH(const LinearInequality::shared_ptr& factor, workingSet) {
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if (factor->active()) workingGraph.push_back(factor);
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}
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return workingGraph.optimize();
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}
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//******************************************************************************
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/// Collect the Jacobian terms for a dual factor
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template<typename FACTOR>
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std::vector<std::pair<Key, Matrix> > collectDualJacobians(Key key,
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const FactorGraph<FACTOR>& graph,
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const VariableIndex& variableIndex) const {
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std::vector<std::pair<Key, Matrix> > Aterms;
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if (variableIndex.find(key) != variableIndex.end()) {
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BOOST_FOREACH(size_t factorIx, variableIndex[key]) {
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typename FACTOR::shared_ptr factor = graph.at(factorIx);
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if (!factor->active()) continue;
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Matrix Ai = factor->getA(factor->find(key)).transpose();
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Aterms.push_back(std::make_pair(factor->dualKey(), Ai));
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}
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}
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return Aterms;
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}
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//******************************************************************************
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JacobianFactor::shared_ptr createDualFactor(Key key,
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const InequalityFactorGraph& workingSet,
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const VectorValues& delta) const {
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// Transpose the A matrix of constrained factors to have the jacobian of the dual key
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std::vector<std::pair<Key, Matrix> > Aterms = collectDualJacobians<
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LinearEquality>(key, lp_.equalities, equalityVariableIndex_);
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std::vector<std::pair<Key, Matrix> > AtermsInequalities =
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collectDualJacobians<LinearInequality>(key, workingSet,
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inequalityVariableIndex_);
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Aterms.insert(Aterms.end(), AtermsInequalities.begin(),
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AtermsInequalities.end());
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// Collect the gradients of unconstrained cost factors to the b vector
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if (Aterms.size() > 0) {
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Vector b = zero(delta.at(key).size());
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Factor::const_iterator it = lp_.cost.find(key);
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if (it != lp_.cost.end()) b = lp_.cost.getA(it);
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return boost::make_shared<JacobianFactor>(Aterms, b); // compute the least-square approximation of dual variables
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}
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else {
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return boost::make_shared<JacobianFactor>();
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}
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}
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//******************************************************************************
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GaussianFactorGraph::shared_ptr buildDualGraph(
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const InequalityFactorGraph& workingSet,
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const VectorValues& delta) const {
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GaussianFactorGraph::shared_ptr dualGraph(new GaussianFactorGraph());
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BOOST_FOREACH(Key key, constrainedKeys_) {
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// Each constrained key becomes a factor in the dual graph
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JacobianFactor::shared_ptr dualFactor = createDualFactor(key, workingSet,
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delta);
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if (!dualFactor->empty()) dualGraph->push_back(dualFactor);
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}
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return dualGraph;
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}
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//******************************************************************************
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int identifyLeavingConstraint(const InequalityFactorGraph& workingSet,
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const VectorValues& duals) const {
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int worstFactorIx = -1;
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// preset the maxLambda to 0.0: if lambda is <= 0.0, the constraint is either
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// inactive or a good inequality constraint, so we don't care!
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double max_s = 0.0;
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for (size_t factorIx = 0; factorIx < workingSet.size(); ++factorIx) {
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const LinearInequality::shared_ptr& factor = workingSet.at(factorIx);
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if (factor->active()) {
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double s = duals.at(factor->dualKey())[0];
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if (s > max_s) {
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worstFactorIx = factorIx;
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max_s = s;
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}
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}
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}
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return worstFactorIx;
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}
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//******************************************************************************
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std::pair<double, int> computeStepSize(
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const InequalityFactorGraph& workingSet, const VectorValues& xk,
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const VectorValues& p) const {
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static bool debug = false;
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double minAlpha = std::numeric_limits<double>::infinity();
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int closestFactorIx = -1;
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for (size_t factorIx = 0; factorIx < workingSet.size(); ++factorIx) {
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const LinearInequality::shared_ptr& factor = workingSet.at(factorIx);
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double b = factor->getb()[0];
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// only check inactive factors
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if (!factor->active()) {
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// Compute a'*p
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double aTp = factor->dotProductRow(p);
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// Check if a'*p >0. Don't care if it's not.
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if (aTp <= 0) continue;
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// Compute a'*xk
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double aTx = factor->dotProductRow(xk);
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// alpha = (b - a'*xk) / (a'*p)
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double alpha = (b - aTx) / aTp;
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if (debug) cout << "alpha: " << alpha << endl;
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// We want the minimum of all those max alphas
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if (alpha < minAlpha) {
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closestFactorIx = factorIx;
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minAlpha = alpha;
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}
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}
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}
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return std::make_pair(minAlpha, closestFactorIx);
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}
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//******************************************************************************
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InequalityFactorGraph identifyActiveConstraints(
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const InequalityFactorGraph& inequalities,
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const VectorValues& initialValues, const VectorValues& duals) const {
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InequalityFactorGraph workingSet;
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BOOST_FOREACH(const LinearInequality::shared_ptr& factor, inequalities) {
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LinearInequality::shared_ptr workingFactor(new LinearInequality(*factor));
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double error = workingFactor->error(initialValues);
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// TODO: find a feasible initial point for LPSolver.
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// For now, we just throw an exception
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if (error > 0) throw InfeasibleInitialValues();
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if (fabs(error) < 1e-7) {
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workingFactor->activate();
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}
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else {
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workingFactor->inactivate();
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}
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workingSet.push_back(workingFactor);
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}
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return workingSet;
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}
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//******************************************************************************
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pair<VectorValues, VectorValues> optimize(const VectorValues& initialValues,
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const VectorValues& duals = VectorValues()) const {
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// Initialize workingSet from the feasible initialValues
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InequalityFactorGraph workingSet = identifyActiveConstraints(
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lp_.inequalities, initialValues, duals);
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LPState state(initialValues, duals, workingSet, false, 0);
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/// main loop of the solver
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while (!state.converged) {
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state = iterate(state);
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}
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return make_pair(state.values, state.duals);
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}
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};
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/* ************************************************************************* */
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TEST(LPSolver, simpleTest1) {
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LP lp;
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lp.cost = LinearCost(1, (Vector(2) << -1., -1.).finished()); // min -x1-x2 (max x1+x2)
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lp.inequalities.push_back(
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LinearInequality(1, (Vector(2) << -1, 0).finished(), 0, 1)); // x1 >= 0
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lp.inequalities.push_back(
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LinearInequality(1, (Vector(2) << 0, -1).finished(), 0, 2)); // x2 >= 0
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lp.inequalities.push_back(
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LinearInequality(1, (Vector(2) << 1, 2).finished(), 4, 3)); // x1 + 2*x2 <= 4
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lp.inequalities.push_back(
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LinearInequality(1, (Vector(2) << 4, 2).finished(), 12, 4)); // 4x1 + 2x2 <= 12
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lp.inequalities.push_back(
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LinearInequality(1, (Vector(2) << -1, 1).finished(), 1, 5)); // -x1 + x2 <= 1
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LPSolver lpSolver(lp);
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VectorValues init;
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init.insert(1, zero(2));
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VectorValues x1 = lpSolver.solveWithCurrentWorkingSet(init,
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InequalityFactorGraph());
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x1.print("x1: ");
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VectorValues result, duals;
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boost::tie(result, duals) = lpSolver.optimize(init);
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VectorValues expectedResult;
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expectedResult.insert(1, (Vector(2)<<8./3., 2./3.).finished());
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CHECK(assert_equal(expectedResult, result, 1e-10));
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}
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/* ************************************************************************* */
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TEST(LPSolver, LinearCost) {
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LinearCost cost(1, (Vector(3) << 2., 4., 6.).finished());
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VectorValues x;
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x.insert(1, (Vector(3) << 1., 3., 5.).finished());
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double error = cost.error(x);
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double expectedError = 44.0;
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DOUBLES_EQUAL(expectedError, error, 1e-100);
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}
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/* ************************************************************************* */
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int main() {
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TestResult tr;
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return TestRegistry::runAllTests(tr);
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}
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/* ************************************************************************* */
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