Revision 616fe292ea4c66f8db35d04c9fa045fea56eea02 authored by Roger Koenker on 04 September 2016, 13:02:15 UTC, committed by cran-robot on 04 September 2016, 13:02:15 UTC
1 parent db6345a
srqfnc.f
c 1 2 3 4 5 6 7
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subroutine srqfnc(n1,m,nnza1,a1,ja1,ia1,ao1,jao1,iao1,n2,nnza2,
& a2,ja2,ia2,ao2,jao2,iao2,nnzdmax,d,jd,id,
& dsub,jdsub,nnzemax,e,je,ie,nnzgmax,g,jg,ig,
& nnzhmax,h,jh,ih,nsubmax,lindx,xlindx,nnzlmax,
& lnz,xlnz,iw,iwmax,iwork,xsuper,tmpmax,tmpvec,
& maxn1n2,ww1,wwm,wwn1,wwn2,cachsz,level,x1,x2,
& s,u,c1,c2,y,small,ierr,maxit,timewd)
integer nnza1,nnza2,m,n1,n2,nnzdmax,nnzemax,nnzgmax,nnzhmax,iwmax,
& nnzlmax,nsubmax,cachsz,level,tmpmax,ierr,maxit,maxn1n2,
& ja1(nnza1),jao1(nnza1),ja2(nnza2),jao2(nnza2),
& jdsub(nnzhmax+1),jd(nnzdmax),ia1(n1+1),iao1(m+1),
& ia2(n2+1),iao2(m+1),id(m+1),lindx(nsubmax),xlindx(m+1),
& iw(m,5),xlnz(m+1),iwork(iwmax),xsuper(m+1),je(nnzemax),
& ie(m+1),jg(nnzgmax),ig(m+1),jh(nnzhmax),ih(m+1)
double precision small,
& a1(nnza1),ao1(nnza1),a2(nnza2),ao2(nnza2),
& dsub(nnzhmax+1),d(nnzdmax),g(nnzgmax),
& h(nnzhmax),lnz(nnzlmax),c1(n1),c2(n2),y(m),
& ww1(maxn1n2),wwm(m,6),tmpvec(tmpmax),
& wwn1(n1,10),wwn2(n2,7),x1(n1),x2(n2),s(n1),
& u(n1),e(nnzemax)
double precision timewd(7)
parameter (beta=9.995d-1, one=1.0d0, zero=0.0d0)
call slpfnc(n1,m,nnza1,a1,ja1,ia1,ao1,jao1,iao1,n2,nnza2,
& a2,ja2,ia2,ao2,jao2,iao2,nnzdmax,d,jd,id,dsub,
& jdsub,nsubmax,lindx,xlindx,nnzlmax,lnz,xlnz,iw(1,1),
& iw(1,2),iwmax,iwork,iw(1,3),iw(1,4),xsuper,iw(1,5),
& tmpmax,tmpvec,wwm(1,2),wwm(1,3),cachsz,level,x1,x2,s,u,
& c1,c2,y,wwm(1,1),wwn2(1,1),wwn1(1,1),
& wwn2(1,2),wwn1(1,2),wwn1(1,3),wwn2(1,3),nnzemax,e,je,
& ie,nnzgmax,g,jg,ig,nnzhmax,h,jh,ih,wwm(1,4),wwn1(1,4),
& wwn2(1,4),wwn1(1,5),wwn1(1,6),wwn2(1,5),wwn1(1,7),
& wwn1(1,8),wwn2(1,6),wwn1(1,9),wwn1(1,10),wwn2(1,7),
& maxn1n2,ww1,wwm(1,5),wwm(1,6),small,ierr,maxit,timewd)
return
end
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subroutine slpfnc(n1,m,nnza1,a1,ja1,ia1,ao1,jao1,iao1,n2,nnza2,
& a2,ja2,ia2,ao2,jao2,iao2,nnzdmax,d,jd,id,dsub,
& jdsub,nsubmax,lindx,xlindx,nnzlmax,lnz,xlnz,invp,
& perm,iwmax,iwork,colcnt,snode,xsuper,split,
& tmpmax,tmpvec,rhs,newrhs,cachsz,level,x1,x2,s,u,
& c1,c2,y,b,r2,z1,
& z2,w,q1,q2,nnzemax,e,je,
& ie,nnzgmax,g,jg,ig,nnzhmax,h,jh,ih,dy,dx1,
& dx2,ds,dz1,dz2,dw,
& dxdz1,dxdz2,dsdw,xi1,xi2,
& maxn1n2,ww1,ww2,ww3,small,ierr,maxit,timewd)
c 1 2 3 4 5 6 7
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c Sparse implentation of LMS's interior point method via
c Ng-Peyton's sparse Cholesky factorization for sparse
c symmetric positive definite
c INPUT:
c n1 -- the number of row in the coefficient matrix A1'
c m -- the number of column in the coefficient matrix A1'
c nnza1 -- the number of non-zero elements in A'
c a1 -- an nnza1-vector of non-zero values of the design
c matrix (A1') stored in csr format
c ja1 -- an nnza1-vector of indices of the non-zero elements of
c the coefficient matrix
c ia1 -- an (n1+1)-vector of pointers to the begining of each
c row in a1 and ja1
c ao1 -- an nnza1-vector of work space for the transpose of
c the design matrix stored in csr format or the
c design matrix stored in csc format
c jao1 -- an nnza1-vector of work space for the indices of the
c transpose of the design matrix
c iao1 -- an (n1+1)-vector of pointers to the begining of each
c column in ao1 and jao1
c n2 -- the number of row in the constraint matrix A2'
c nnza2 -- the number of non-zero elements in A2'
c a2 -- an nnza2-vector of non-zero values of the contraint
c matrix (A2') stored in csr format
c ja2 -- an nnza2-vector of indices of the non-zero elements of
c the constraint matrix
c ia2 -- an (n2+1)-vector of pointers to the begining of each
c row in a2 and ja2
c ao2 -- an nnza2-vector of work space for the transpose of
c the constraint matrix stored in csr format or the
c constraint matrix stored in csc format
c jao2 -- an nnza2-vector of work space for the indices of the
c transpose of the constraint matrix
c iao2 -- an (n2+1)-vector of pointers to the begining of each
c column in ao2 and jao2
c nnzdmax -- upper bound of the non-zero elements in A1A1'
c d -- an nnzdmax-vector of non-zero values used to store
c the transpose of the design matrix multiplied by the design
c matrix (A1A1') stored in csr format;
c also used to store A1Q1^(-1) and A2Q2^(-1) later
c jd -- an nnzdmax-vector of indices in d
c id -- an (m+1)-vector of pointers to the begining of each
c row in d and jd
c dsub -- the values of d excluding the diagonal elements
c jdsub -- the indices to dsub
c nsubmax -- upper bound of the dimension of lindx
c lindx -- an nsub-vector of interger which contains, in
c column major order, the row subscripts of the nonzero
c entries in L in a compressed storage format
c xlindx -- an (m+1)-vector of integer of pointers for lindx
c nnzlmax -- the upper bound of the non-zero entries in
c L stored in lnz, including the diagonal entries
c lnz -- First contains the non-zero entries of d; later
c contains the entries of the Cholesky factor
c xlnz -- column pointer for L stored in lnz
c invp -- an n1-vector of integer of inverse permutation
c vector
c perm -- an n1-vector of integer of permutation vector
c iw -- integer work array of length m
c iwmax -- upper bound of the general purpose integer
c working storage iwork; set at 7*m+3
c iwork -- an iwsiz-vector of integer as work space
c colcnt -- array of length m, containing the number of
c non-zeros in each column of the factor, including
c the diagonal entries
c snode -- array of length m for recording supernode
c membership
c xsuper -- array of length m+1 containing the supernode
c partitioning
c split -- an m-vector with splitting of supernodes so that
c they fit into cache
c tmpmax -- upper bound of the dimension of tmpvec
c tmpvec -- a tmpmax-vector of temporary vector
c rhs -- m-vector to store the rhs
c newrhs -- extra work vector for right-hand side and
c solution
c cachsz -- size of the cache (in kilobytes) on the target
c machine
c level -- level of loop unrolling while performing numerical
c factorization
c x1 -- an n1-vector, the initial feasible solution for the primal
c solution that corresponds to the design matrix A1'
c x2 -- an n2-vector, the initial feasible solution for the primal
c solution that corresponds to the constraint matrix A2'
c s -- an n1-vector
c u -- an n1-vector of the upper bound for x1
c c1 -- an n1-vector in the primal; negative response in the
c regression quantile setting
c c2 -- an n2-vector, the negative rhs of the inequality constraint
c y -- an m-vector, the initial dual solution
c b -- an n1-vector, usualy the rhs of the equality constraint
c X'a = (1-tau)X'e in the rq setting
c r2 -- an n2-vector of residuals
c z1 -- an n1-vector of the dual slack variable
c z2 -- an n2-vector
c w -- an n-vector
c q1 -- an n1-vector of work array containing the diagonal
c elements of the Q1^(-1) matrix
c q2 -- an n2-vector of work array containing the diagonal
c elements of the Q2^(-1) matrix
c e -- an nnzdmax-vector containing the non-zero entries of
c A1Q1^(-1)A1' stored in csr format
c je -- an nnzdmax-vector of indices for e
c ie -- an (m+1)-vector of pointers to the begining of each
c row in e and je
c nnzgmax -- upper bound of the non-zero elements in g,jg
c g -- an nnzgmax-vector containing the non-zero entries of
c A2Q2^(-1)A2' stored in csr format
c jg -- an nnzgmax-vector of indices for g
c ig -- an (m+1)-vector of pointers to the begining of each
c row in g and jg
c nnzhmax -- upper bound of the non-zero elements in h,jh
c h -- an nnzhmax-vector containing the non-zero entries of
c AQ^(-1)A' stored in csr format
c jh -- an nnzhmax-vector of indices for h
c ih -- an (m+1)-vector of pointers to the begining of each
c row in h and jh
c dy -- an m-vector of work array
c dx1 -- an n1-vector of work array
c dx2 -- an n2-vector of work array
c ds -- an n1-vector of work array
c dz1 -- an n1-vector of work array
c dz2 -- an n2-vector of work array
c dw -- an n1-vector of work array
c dxdz1 -- an n1-vector of work array
c dxdz2 -- an n2-vector of work array
c dsdw -- an n1-vector of work arry
c xi1 -- an n1-vector of work array
c xi2 -- an n2-vector of work array
c xinv1 -- an n1-vector of work array
c xinv2 -- an n2-vector of work array
c sinv -- work array
c maxn1n2 -- max(n1,n2)
c ww1 -- an maxn1n2-vector of work array
c ww2 -- an m-vector of work array
c ww3 -- an m-vector of work array
c small -- convergence tolerance for inetrior algorithm
c ierr -- error flag
c 1 -- insufficient storage when calling extract;
c 3 -- insufficient storage in iwork when calling ordmmd;
c 4 -- insufficient storage in iwork when calling sfinit;
c 5 -- nnzl > nnzlmax when calling sfinit
c 6 -- nsub > nsubmax when calling sfinit
c 7 -- insufficient work space in iwork when calling symfct
c 8 -- inconsistancy in input when calling symfct
c 9 -- tmpsiz > tmpmax when calling symfct; increase tmpmax
c 10 -- nonpositive diagonal encountered when calling
c blkfct
c 11 -- insufficient work storage in tmpvec when calling
c blkfct
c 12 -- insufficient work storage in iwork when calling
c blkfct
c 13 -- nnzd > nnzdmax in e,je when calling amub
c 14 -- nnzd > nnzdmax in g,jg when calling amub
c 15 -- nnzd > nnzdmax in h,jh when calling aplb
c maxit -- upper limit of the iteration; on return holds the
c number of iterations
c timewd -- amount of time to execute this subroutine
c OUTPUT:
c y -- an m-vector of primal solution
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integer nnza1,nnza2,m,n1,n2,maxn1n2,nsuper,nnzdmax,nnzemax,
& nnzgmax,
& nnzhmax,iwmax,nnzlmax,nsubmax,cachsz,level,tmpmax,ierr,
& maxit,it,nnzdsub,nnzd,
& ja1(nnza1),jao1(nnza1),ja2(nnza2),jao2(nnza2),
& jdsub(nnzhmax+1),jd(nnzdmax),ia1(n1+1),iao1(m+1),
& ia2(n2+1),iao2(m+1),id(m+1),lindx(nsubmax),xlindx(m+1),
& invp(m),perm(m),xlnz(m+1),iwork(iwmax),colcnt(m),
& snode(m),xsuper(m+1),split(m),je(nnzemax),ie(m+1),
& jg(nnzgmax),ig(m+1),jh(nnzhmax),ih(m+1)
double precision ddot,gap,zero,one,beta,small,deltap,deltad,mu,g1,
& a1(nnza1),ao1(nnza1),a2(nnza2),ao2(nnza2),
& dsub(nnzhmax+1),d(nnzdmax),lnz(nnzlmax),c1(n1),
& c2(n2),b(m),rhs(m),newrhs(m),y(m),tmpvec(tmpmax),
& r2(n2),z1(n1),z2(n2),w(n1),x1(n1),
& x2(n2),s(n1),u(n1),q1(n1),q2(n2),e(nnzemax),
& g(nnzgmax),h(nnzhmax),dy(m),dx1(n1),dx2(n2),
& ds(n1),dz1(n1),dz2(n2),dw(n1),dxdz1(n1),
& dxdz2(n2),dsdw(n1),
& xi1(n1),xi2(n2),ww1(maxn1n2),ww2(m),ww3(m)
double precision timewd(7)
real gtimer,timbeg,timend
external smxpy1,smxpy2,smxpy4,smxpy8
external mmpy1,mmpy2,mmpy4,mmpy8
parameter (beta=9.995d-1, one=1.0d0, zero=0.0d0)
do i = 1,7
timewd(i) = 0.0
enddo
it = 0
c
c Compute the initial gap
c
gap = ddot(n1,z1,1,x1,1) + ddot(n2,z2,1,x2,1) + ddot(n1,w,1,s,1)
c
c Start iteration
c
20 continue
if(gap .lt. small .or. it .gt. maxit) goto 30
it = it + 1
c
c Create the diagonal matrix Q1^(-1) stored in q1 as an n1-vector,
c the diagonal matrix Q2^(-1) stored in q2 as an n2-vector,
c and store the residuals in r1 in ds, and r3 in dy temporarily,
c and r2 in r2 permanently
c
c Call amux to obtain A1x1 and store the value in ww2
c
call amux(m,x1,ww2,ao1,jao1,iao1)
c
c Call amux to obtain A2x2 and store the value in ww3
c
call amux(m,x2,ww3,ao2,jao2,iao2)
c
c Store A2'y temporarily in r2
c
call amux(n2,y,r2,a2,ja2,ia2)
do i=1,n1
q1(i) = one/(z1(i)/x1(i)+w(i)/s(i))
ds(i) = z1(i) - w(i)
enddo
do i=1,n2
q2(i) = x2(i)/z2(i)
r2(i) = c2(i)-r2(i)
enddo
do i=1,m
dy(i) = b(i) - ww2(i) - ww3(i)
enddo
c
c Obtain AQA = A1Q1^(-1)A1' + A2Q2^(-1)A2' in 5 steps
c
c Step1: Obtain A1Q1^(-1) and store the values in d,jd,id in csr format
c Also compute A1Q1^(-1)r1 and store the values in ww2 to be used
c to generate r3;
c Step2: Compute A1Q1^(-1)A1' and store the values in e,je,ie
c Step3: Obtain A2Q2^(-1) and store the values in d,jd,id in csr format
c Also compute A2Q2^(-1)r2 and store the values in in ww3 to
c be used to generate r3;
c Step4: Compute A2Q2^(-1)A2' and store the value in g,jg,ig
c Step5: Compute AQA and store the values in h,jh,ih
c
c Step 1
c
call amudia(m,1,ao1,jao1,iao1,q1,d,jd,id)
call amux(m,ds,ww2,d,jd,id)
c
c Step 2
c
call amub(m,m,1,d,jd,id,a1,ja1,ia1,e,je,ie,nnzemax,iwork,ierr)
if (ierr .ne. 0) then
ierr = 13
go to 100
endif
c
c Step 3
c
call amudia(m,1,ao2,jao2,iao2,q2,d,jd,id)
call amux(m,r2,ww3,d,jd,id)
c
c Step 4
c
call amub(m,m,1,d,jd,id,a2,ja2,ia2,g,jg,ig,nnzgmax,iwork,ierr)
if (ierr .ne. 0) then
ierr = 14
go to 100
endif
c
c Step 5
c
call aplb(m,m,1,e,je,ie,g,jg,ig,h,jh,ih,nnzhmax,iwork,ierr)
if (ierr .ne. 0) then
ierr = 15
go to 100
endif
c
c Generate rhs = r3 + A1Q1^(-1)r1 + A2Q2^(-1)r2 and store in rhs
c
do i = 1,m
rhs(i) = dy(i) + ww2(i) + ww3(i)
enddo
c
c Extract the non-diagonal structure of h,jh,ih and store in dsub,jdsub
c
nnzd = ih(m+1) - 1
nnzdsub = nnzd - m
call extract(h,jh,ih,dsub,jdsub,m,nnzhmax,nnzhmax+1,ierr)
if (ierr .ne. 0) then
ierr = 1
go to 100
endif
c
c Compute dy = (AQ^(-1)A')^(-1)rhs; result returned via dy
c
c Call chlfct to perform Cholesky's decomposition of h,jh,ih
c
call chlfct(m,xlindx,lindx,invp,perm,iwork,nnzdsub,jdsub,
& colcnt,nsuper,snode,xsuper,nnzlmax,nsubmax,xlnz,lnz,
& ih,jh,h,cachsz,tmpmax,level,tmpvec,split,ierr,it,
& timewd)
if (ierr .ne. 0) go to 100
c
c Call blkslv: Numerical solution for the new rhs stored in rhs
c
do i = 1,m
newrhs(i) = rhs(perm(i))
enddo
timbeg = gtimer()
call blkslv(nsuper,xsuper,xlindx,lindx,xlnz,lnz,newrhs)
timend = gtimer()
timewd(7) = timewd(7) + timend - timbeg
do i = 1,m
dy(i) = newrhs(invp(i))
enddo
c
c Compute dx1 = Q1^(-1)(A1'dy - r1), ds = -dx1, dz1, dz2 and dw
c
call amux(n1,dy,dx1,a1,ja1,ia1)
call amux(n2,dy,dx2,a2,ja2,ia2)
do i = 1,n1
dx1(i) = q1(i) * (dx1(i) - ds(i))
ds(i) = -dx1(i)
dz1(i) = -z1(i) * (one + dx1(i) / x1(i))
dw(i) = -w(i) * (one + ds(i) / s(i))
enddo
do i = 1,n2
dx2(i) = q2(i) * (dx2(i) - r2(i))
dz2(i) = -z2(i) * (one + dx2(i) / x2(i))
enddo
c
c Compute the maximum allowable step lengths
c
call boundc(x1,dx1,x2,dx2,s,ds,z1,dz1,z2,dz2,w,dw,n1,n2,
& beta,deltap,deltad)
if (deltap * deltad .lt. one) then
c
c Update mu
c
mu = ddot(n1,z1,1,x1,1) + ddot(n2,z2,1,x2,1)
& + ddot(n1,w,1,s,1)
g1 = mu + deltap*ddot(n1,z1,1,dx1,1)
& + deltad*ddot(n1,dz1,1,x1,1)
& + deltad*deltap*ddot(n1,dz1,1,dx1,1)
& + deltap*ddot(n2,z2,1,dx2,1)
& + deltad*ddot(n2,dz2,1,x2,1)
& + deltad*deltap*ddot(n2,dz2,1,dx2,1)
& + deltap*ddot(n1,w,1,ds,1)
& + deltad*ddot(n1,dw,1,s,1)
& + deltad*deltap*ddot(n1,dw,1,ds,1)
mu = mu*((g1/mu)**3)/(2.d0*dfloat(n1)+dfloat(n2))
c
c Compute dx1dz1, dx2dz2 and dsdw
c
do i = 1,n1
dxdz1(i) = dx1(i)*dz1(i)
dsdw(i) = ds(i)*dw(i)
xi1(i) = dxdz1(i)/x1(i) - dsdw(i)/s(i)
& - mu * (one/x1(i) - one/s(i))
ww1(i) = q1(i) * xi1(i)
enddo
c
c Compute A1Q1^(-1)(X1^(-1)*dx1dz1 - S^(-1)*dsdw - mu(X1^(-1) - S^(-1))) and
c store it in ww2 temporarily
c
call amux(m,ww1,ww2,ao1,jao1,iao1)
do i = 1,n2
dxdz2(i) = dx2(i)*dz2(i)
xi2(i) = (dxdz2(i) - mu)/x2(i)
ww1(i) = q2(i) * xi2(i)
enddo
c
c Compute A2Q2^(-1)(X2^(-1)*dx2dz2 - mu X2^(-1)) and store it in ww3
c temporarily
c
call amux(m,ww1,ww3,ao2,jao2,iao2)
do i = 1,m
rhs(i) = rhs(i) + ww2(i) + ww3(i)
enddo
c
c
c Compute (AQ^(-1)A')^(-1)rhs and return the result in dy
c
c Call blkslv: Numerical solution for the new rhs stored in rhs
c
do i = 1,m
newrhs(i) = rhs(perm(i))
enddo
timbeg = gtimer()
call blkslv(nsuper,xsuper,xlindx,lindx,xlnz,lnz,newrhs)
timend = gtimer()
timewd(7) = timewd(7) + timend - timbeg
do i = 1,m
dy(i) = newrhs(invp(i))
enddo
c
c Compute dx1=Q1^(-1)(A1'dy-X1^(-1)*dx1dz1-S^(-1)*dsdw
c -mu*(X1^(-1)-S^(-1))-r1), ds = -dx1, dz1, dz2 and dw
c
call amux(n1,dy,dx1,a1,ja1,ia1)
call amux(n2,dy,dx2,a2,ja2,ia2)
do i = 1,n1
dx1(i) = q1(i) * (dx1(i) - xi1(i) - z1(i) + w(i))
ds(i) = -dx1(i)
dz1(i) = -z1(i) + (mu - z1(i)*dx1(i)
& - dxdz1(i))/x1(i)
dw(i) = -w(i) + (mu - w(i)*ds(i) - dsdw(i))/s(i)
enddo
do i = 1,n2
dx2(i) = q2(i) * (dx2(i) - xi2(i) - r2(i))
dz2(i) = -z2(i) + (mu - z2(i)*dx2(i) -
& dxdz2(i))/x2(i)
enddo
c
c Compute the maximum allowable step lengths
c
call boundc(x1,dx1,x2,dx2,s,ds,z1,dz1,z2,dz2,w,dw,n1,n2,
& beta,deltap,deltad)
endif
c
c Take the step
c
call daxpy(n1,deltap,dx1,1,x1,1)
call daxpy(n2,deltap,dx2,1,x2,1)
call daxpy(n1,deltap,ds,1,s,1)
call daxpy(n1,deltad,dw,1,w,1)
call daxpy(n1,deltad,dz1,1,z1,1)
call daxpy(n2,deltad,dz2,1,z2,1)
call daxpy(m,deltad,dy,1,y,1)
gap = ddot(n1,z1,1,x1,1) + ddot(n2,z2,1,x2,1) +
& ddot(n1,w,1,s,1)
goto 20
30 continue
100 continue
maxit = it
return
end
Computing file changes ...
