Class for perform conversions between standard form and original problem. More...

#include <StdForm.h>

Classes
struct	Transform

Public Types
enum	TYPE_TRANSFORM { NON_ZERO_LB, _INF_LB, FREE_VAR, X_, SLACK, SURPLUS }

Public Member Functions
	StdForm ()
	Constructor.

	~StdForm ()
	Destructor.

void	fobj_stdform (int n, double x[], double &fx, double Gx[], double Hx[], void *params)
	Function to calculate the objective function in a transformed variables point.

void	transformed_to_original_primal_variables (double *x)
	Converts a point from transformed variables to original variables space.

void	transformed_to_original_dual_variables (double y, double w, double *z)

void	original_to_transformed_primal_variables (double &xout, double xin)
	Converts a point from original variables to transformed variables space.

void	transform_linear_and_quadratic_cost (double &cost, double &qcost, double &constant)
	Transforms objective function from original variables to transformed variables space.

void	original_to_transformed_names (string &outVarNames, string inVarNames, string &outConsNames, string inConsNames)
	Converts the variable names from original variables to transformed variables space.

void	delete_new_variables (double &xout, double xin)

Public Attributes
int	numOrigVars
	Number of variables in the original problem.

int	numTransfVars
	Number of variables in the transformed (standardized) problem.

int	m_cons
	Number of constraints (including slacks) in the standardized problem.

int	numTransforms
	Number of transformations performed in variables.

int *	origVars
	Index to the original variables (that need a transformatiBon in objective function) in original problem, of size numTransforms.

int *	transfVars
	Index to the original variables (that need a transformation in objective function) in standardized problem, of size numTransforms.

Transform *	transforms
	Transformations performed in variables, of size numTransforms.

double	constantFObj
	Constant to add in the objective function.

vector< int > *	deletedRows
	Index to the rows that have been deleted.

double *	xOrig
	Optimal solution in the original problem.

double *	yOrig
	Optimal dual variables in the original problem.

double *	GxOrig
	Gradient in x in the original problem.

double *	HxOrig
	Hessian in x in the original problem.

double *	wOrig
	Optimal dual variables of x_i <= u_i bounds in the original problem.

double *	zOrig
	Optimal dual variables of x_i >= 0 bounds in the original problem.

void(*	fobj )(int n, double x[], double &fx, double Gx[], double Hx[], void *params)
	User function to calculate the objective function in a point.

Detailed Description

Class for perform conversions between standard form and original problem.

Member Enumeration Documentation

enum StdForm::TYPE_TRANSFORM

Enumerator:

NON_ZERO_LB
_INF_LB
FREE_VAR
X_
SLACK
SURPLUS

Constructor & Destructor Documentation

StdForm::StdForm ( )

Constructor.

StdForm::~StdForm ( )

Destructor.

Member Function Documentation

void StdForm::delete_new_variables	(	double *&	xout,
		double *	xin
	)

Parameters

xout	Vector in original variables space, is allocated by the function with new, must be freed with delete[]
xin	Vector in transformed variables space

void StdForm::fobj_stdform	(	int	n,
		double	x[],
		double &	fx,
		double	Gx[],
		double	Hx[],
		void *	params
	)

Function to calculate the objective function in a transformed variables point.

Converts a point from transformed variables to original variables space and call the user function to calculate the objective function in that point, after that inverts the transformations to return the information in the transformed variables space

Parameters

n	Number of variables in transformed variables space
x	Point in transformed variables space
fx	Objective function value in x
Gx	Gradient in x
Hx	Hessian in x
params	User parameters to perform objective function calculations

void StdForm::original_to_transformed_names	(	string *&	outVarNames,
		string *	inVarNames,
		string *&	outConsNames,
		string *	inConsNames
	)

Converts the variable names from original variables to transformed variables space.

Parameters

outVarNames	Variable names including slacks, output in transformed variables space
inVarNames	Variable names including slacks, input in original variables space
outConsNames	Constraint names including linking constraints, output in transformed variables space
inConsNames	Constraint names including linking constraints, input in original variables space

void StdForm::original_to_transformed_primal_variables	(	double *&	xout,
		double *	xin
	)

Converts a point from original variables to transformed variables space.

Parameters

xout	Point in transformed variables space, is allocated by the function with new, must be freed with delete[]
xin	Point in original variables space

void StdForm::transform_linear_and_quadratic_cost	(	double *&	cost,
		double *&	qcost,
		double &	constant
	)

Transforms objective function from original variables to transformed variables space.

Parameters

cost	Linear cost of variables including slacks, input in original variables space, output in transformed variables space
qcost	Quadratic cost of variables including slacks, input in original variables space, output in transformed variables space
constant	Constant to add in the objective function

void StdForm::transformed_to_original_dual_variables	(	double *	y,
		double *	w,
		double *	z
	)

Converts the dual variables y of constraints, and (z,w) of lower and upper bounds from transformed to original space.

Constraints of the form lhs <= Ax <= rhs are transformed to Ax+s= rhs, 0<= s<= rhs-lhs. y are the multipliers of Ax+s= rhs, and yOrig_l and yOrig_r the multipliers for, respectively, lhs <= Ax and Ax <=rhs. It can be seen that

if y(i)>=0 then yOrig_r(i)= y(i) and yOrig_l(i)=0;
if y(i)<=0 then yOrig_l(i)= 0 and and yOrig_l(i)=-y(i). We will only use a single yOrig=y vector, such that when yOrig(i) is positive it is yOrig_r(i), and when negative it is -yOrig_l(i).

Multipliers z are related to upper bounds x<=u, while multipliers w are related to lower bounds l<= x.

Variables without upper bounds do not have z; we will set the corresponding components zOrig(i)=0.

Free variables do not have z and w. We will set the corresponding components of zOrig(i)=wOrig(i)=0.

For variables with the transformation NON_ZERO_LB (x~= x-l) we have that zOrig(i)= z(i) and wOrig(i)= w(i).

For variables with the transformation _INF_LB (x~= -x+u) we have that zOrig(i)= w(i) and wOrig(i)= 0 =z(i).

Parameters

y	Dual variables of constraint in standardized problem
w	Dual variables of x_i <= u_i bounds in standardized problem
z	Dual variables of x_i >= 0 bounds in standardized problem

Note: Dual variables in original problem are stored in yOrig, wOrig and zOrig

void StdForm::transformed_to_original_primal_variables ( double * x )

Converts a point from transformed variables to original variables space.

Parameters

x	Point in transformed variables space

Note: Point in original variables space is stored in xOrig

Member Data Documentation

double StdForm::constantFObj

Constant to add in the objective function.

vector<int>* StdForm::deletedRows

Index to the rows that have been deleted.

void(* StdForm::fobj)(int n, double x[], double &fx, double Gx[], double Hx[], void *params)

User function to calculate the objective function in a point.

double* StdForm::GxOrig

Gradient in x in the original problem.

double* StdForm::HxOrig

Hessian in x in the original problem.

int StdForm::m_cons

Number of constraints (including slacks) in the standardized problem.

int StdForm::numOrigVars

Number of variables in the original problem.

int StdForm::numTransforms

Number of transformations performed in variables.

int StdForm::numTransfVars

Number of variables in the transformed (standardized) problem.

int* StdForm::origVars

Index to the original variables (that need a transformatiBon in objective function) in original problem, of size numTransforms.

Transform* StdForm::transforms

Transformations performed in variables, of size numTransforms.

int* StdForm::transfVars

Index to the original variables (that need a transformation in objective function) in standardized problem, of size numTransforms.

double* StdForm::wOrig

Optimal dual variables of x_i <= u_i bounds in the original problem.

double* StdForm::xOrig

Optimal solution in the original problem.

double* StdForm::yOrig

Optimal dual variables in the original problem.

double* StdForm::zOrig

Optimal dual variables of x_i >= 0 bounds in the original problem.

The documentation for this class was generated from the following files:

/home/jcastro2/intpoint/BlockIP/BlockIP/src_blockip-v2/StdForm.h
/home/jcastro2/intpoint/BlockIP/BlockIP/src_blockip-v2/StdForm.C

Classes

Public Types

Public Member Functions

Public Attributes

Detailed Description

Member Enumeration Documentation

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation