Revision a137ab8c6d6d0a8110a234da6f4de49aa7b548d9 authored by Roger Koenker on 31 August 2015, 23:25:56 UTC, committed by Gabor Csardi on 31 August 2015, 23:25:56 UTC
1 parent a6e1bd2
srqfnc.c
/*-*- mode: C; kept-old-versions: 12; kept-new-versions: 20; -*-
*
* srqfnc.f -- translated by f2c (version 20031025) and by
* $Id: f2c-clean,v 1.10 2002/03/28 16:37:27 maechler Exp $
* plus extended manual code cleaning by Martin Maechler, ETH Zurich
*/
#include <Rmath.h>
/* Table of constant values */
static int c__1 = 1;
static double c_9995 = .9995;
/* BLAS : */
#include <R_ext/BLAS.h>
/* double ddot_(int *, double *, int *, double *, int *); */
/* int daxpy_(int *, double*, double *, int *, double *, int *); */
#define DDOT(_n_, _X_, _Y_) F77_CALL(ddot)(_n_, _X_, &c__1, _Y_, &c__1)
/* SparseM -- ./sparskit2.f : */
#include "sparseM.h"
/* Cholesky related : */
#include "cholesky.h"
/* advance declaration : */
static void
slpfnc(int *n1, int *m,
int *nnza1, double *a1, int *ja1, int *ia1,
double *ao1, int *jao1, int *iao1,
int *n2,
int *nnza2, double *a2, int *ja2, int *ia2,
double *ao2, int *jao2, int *iao2,
int *nnzdmax, double *d, int *jd, int *id,
double *dsub, int *jdsub, int *nsubmax, int *lindx,
int *xlindx, int *nnzlmax, double *lnz, int *xlnz,
int *invp, int *perm, int *iwmax, int *iwork, int *colcnt,
int *snode, int *xsuper, int *split,
int *tmpmax, double *tmpvec, double *rhs, double *newrhs,
int *cachsz, int *level, double *x1, double *x2,
double *s, double *u, double *c1, double *c2,
double *y, double *b, double *r2, double *z1,
double *z2, double *w, double *q1, double *q2,
int *nnzemax, double *e, int *je, int *ie,
int *nnzgmax, double *g, int *jg, int *ig,
int *nnzhmax, double *h, int *jh, int *ih,
double *dy, double *dx1, double *dx2, double *ds,
double *dz1, double * dz2, double *dw,
double *dxdz1, double *dxdz2, double *dsdw,
double *xi1, double *xi2, int *maxn1n2,
double *ww1, double *ww2, double *ww3,
double *small, int *ierr, int *maxit, double *timewd);
static void
boundc(double *x1, double *dx1, double *x2,
double *dx2, double *s, double *ds, double *z1,
double *dz1, double *z2, double *dz2, double *w,
double *dw, int *n1, int *n2, double *beta,
double *deltap, double *deltad);
/* This is called from R : */
int
F77_SUB(srqfnc)(int *n1, int *m, int *nnza1,
double *a1, int *ja1, int *ia1,
double *ao1, int *jao1, int *iao1,
int *n2, int *nnza2,
double *a2, int *ja2, int *ia2,
double *ao2, int *jao2, int *iao2,
int *nnzdmax, double *d, int *jd, int *id,
double *dsub, int *jdsub, int *nnzemax, double *e,
int *je, int *ie, int *nnzgmax,
double *g, int *jg, int *ig, int *nnzhmax,
double *h, int *jh, int *ih,
int *nsubmax, int *lindx, int *xlindx,
int *nnzlmax, double *lnz, int *xlnz, int *iw,
int *iwmax, int *iwork, int *xsuper, int *tmpmax,
double *tmpvec, int *maxn1n2,
double *ww1, double *wwm, double *wwn1, double *wwn2,
int *cachsz, int *level, double *x1, double *x2,
double *s, double *u,
double *c1, double *c2, double *y, double *small,
int *ierr, int *maxit, double *timewd)
{
/* System generated locals */
int iw_dim1, wwm_dim1, wwn1_dim1, wwn2_dim1;
/* Parameter adjustments */
wwm_dim1 = *m; wwm -= wwm_dim1;
wwn1_dim1 = *n1; wwn1 -= wwn1_dim1;
wwn2_dim1 = *n2; wwn2 -= wwn2_dim1;
iw_dim1 = *m; iw -= iw_dim1;
/* Function Body */
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[iw_dim1], &iw[(iw_dim1 << 1)],
iwmax, iwork, &iw[iw_dim1 * 3], &iw[(iw_dim1 << 2)],
xsuper, &iw[iw_dim1 * 5], tmpmax, tmpvec,
&wwm[(wwm_dim1 << 1)], &wwm[wwm_dim1 * 3], cachsz, level,
x1, x2, s, u,
c1, c2, y, &wwm[wwm_dim1], &wwn2[wwn2_dim1],
&wwn1[wwn1_dim1], &wwn2[(wwn2_dim1 << 1)],
&wwn1[(wwn1_dim1 << 1)], &wwn1[wwn1_dim1 * 3],
&wwn2[wwn2_dim1 * 3], nnzemax, e, je, ie,
nnzgmax, g, jg, ig, nnzhmax, h, jh, ih,
&wwm[(wwm_dim1 << 2)],
&wwn1[(wwn1_dim1 << 2)], &wwn2[(wwn2_dim1 << 2)],
&wwn1[wwn1_dim1 * 5], &wwn1[wwn1_dim1 * 6],
&wwn2[wwn2_dim1 * 5],
&wwn1[wwn1_dim1 * 7], &wwn1[(wwn1_dim1 << 3)],
&wwn2[wwn2_dim1 * 6], &wwn1[wwn1_dim1 * 9],
&wwn1[wwn1_dim1 * 10], &wwn2[wwn2_dim1 * 7], maxn1n2, ww1,
&wwm[wwm_dim1 * 5], &wwm[wwm_dim1 * 6], small, ierr, maxit, timewd);
return 0;
} /* srqfnc_ */
static void
slpfnc(int *n1, int *m,
int *nnza1, double *a1, int *ja1, int *ia1,
double *ao1, int *jao1, int *iao1,
int *n2,
int *nnza2, double *a2, int *ja2, int *ia2,
double *ao2, int *jao2, int *iao2,
int *nnzdmax, double *d, int *jd, int *id,
double *dsub, int *jdsub, int *nsubmax, int *lindx,
int *xlindx, int *nnzlmax, double *lnz, int *xlnz,
int *invp, int *perm, int *iwmax, int *iwork, int *colcnt,
int *snode, int *xsuper, int *split,
int *tmpmax, double *tmpvec, double *rhs, double *newrhs,
int *cachsz, int *level, double *x1, double *x2,
double *s, double *u, double *c1, double *c2,
double *y, double *b, double *r2, double *z1,
double *z2, double *w, double *q1, double *q2,
int *nnzemax, double *e, int *je, int *ie,
int *nnzgmax, double *g, int *jg, int *ig,
int *nnzhmax, double *h, int *jh, int *ih,
double *dy, double *dx1, double *dx2, double *ds,
double *dz1, double * dz2, double *dw,
double *dxdz1, double *dxdz2, double *dsdw,
double *xi1, double *xi2, int *maxn1n2,
double *ww1, double *ww2, double *ww3,
double *small, int *ierr, int *maxit, double *timewd)
{
/* Sparse implentation of LMS's interior point method via
Ng-Peyton's sparse Cholesky factorization for sparse
symmetric positive definite
INPUT:
n1 -- the number of row in the coefficient matrix A1'
m -- the number of column in the coefficient matrix A1'
nnza1 -- the number of non-zero elements in A'
a1 -- an nnza1-vector of non-zero values of the design
matrix (A1') stored in csr format
ja1 -- an nnza1-vector of indices of the non-zero elements of
the coefficient matrix
ia1 -- an (n1+1)-vector of pointers to the begining of each
row in a1 and ja1
ao1 -- an nnza1-vector of work space for the transpose of
the design matrix stored in csr format or the
design matrix stored in csc format
jao1 -- an nnza1-vector of work space for the indices of the
transpose of the design matrix
iao1 -- an (n1+1)-vector of pointers to the begining of each
column in ao1 and jao1
n2 -- the number of row in the constraint matrix A2'
nnza2 -- the number of non-zero elements in A2'
a2 -- an nnza2-vector of non-zero values of the contraint
matrix (A2') stored in csr format
ja2 -- an nnza2-vector of indices of the non-zero elements of
the constraint matrix
ia2 -- an (n2+1)-vector of pointers to the begining of each
row in a2 and ja2
ao2 -- an nnza2-vector of work space for the transpose of
the constraint matrix stored in csr format or the
constraint matrix stored in csc format
jao2 -- an nnza2-vector of work space for the indices of the
transpose of the constraint matrix
iao2 -- an (n2+1)-vector of pointers to the begining of each
column in ao2 and jao2
nnzdmax -- upper bound of the non-zero elements in A1A1'
d -- an nnzdmax-vector of non-zero values used to store
the transpose of the design matrix multiplied by the design
matrix (A1A1') stored in csr format;
also used to store A1Q1^(-1) and A2Q2^(-1) later
jd -- an nnzdmax-vector of indices in d
id -- an (m+1)-vector of pointers to the begining of each
row in d and jd
dsub -- the values of d excluding the diagonal elements
jdsub -- the indices to dsub
nsubmax -- upper bound of the dimension of lindx
lindx -- an nsub-vector of integer which contains, in
column major order, the row subscripts of the nonzero
entries in L in a compressed storage format
xlindx -- an (m+1)-vector of int of pointers for lindx
nnzlmax -- the upper bound of the non-zero entries in
L stored in lnz, including the diagonal entries
lnz -- First contains the non-zero entries of d; later
contains the entries of the Cholesky factor
xlnz -- column pointer for L stored in lnz
invp -- an n1-vector of int of inverse permutation
vector
perm -- an n1-vector of int of permutation vector
iw -- int work array of length m
iwmax -- upper bound of the general purpose int
working storage iwork; set at 7*m+3
iwork -- an iwsiz-vector of int as work space
colcnt -- array of length m, containing the number of
non-zeros in each column of the factor, including
the diagonal entries
snode -- array of length m for recording supernode
membership
xsuper -- array of length m+1 containing the supernode
partitioning
split -- an m-vector with splitting of supernodes so that
they fit into cache
tmpmax -- upper bound of the dimension of tmpvec
tmpvec -- a tmpmax-vector of temporary vector
rhs -- m-vector to store the rhs
newrhs -- extra work vector for right-hand side and
solution
cachsz -- size of the cache (in kilobytes) on the target
machine
level -- level of loop unrolling while performing numerical
factorization
x1 -- an n1-vector, the initial feasible solution for the primal
solution that corresponds to the design matrix A1'
x2 -- an n2-vector, the initial feasible solution for the primal
solution that corresponds to the constraint matrix A2'
s -- an n1-vector
u -- an n1-vector of the upper bound for x1
c1 -- an n1-vector in the primal; negative response in the
regression quantile setting
c2 -- an n2-vector, the negative rhs of the inequality constraint
y -- an m-vector, the initial dual solution
b -- an n1-vector, usualy the rhs of the equality constraint
X'a = (1-tau)X'e in the rq setting
r2 -- an n2-vector of residuals
z1 -- an n1-vector of the dual slack variable
z2 -- an n2-vector
w -- an n-vector
q1 -- an n1-vector of work array containing the diagonal
elements of the Q1^(-1) matrix
q2 -- an n2-vector of work array containing the diagonal
elements of the Q2^(-1) matrix
e -- an nnzdmax-vector containing the non-zero entries of
A1Q1^(-1)A1' stored in csr format
je -- an nnzdmax-vector of indices for e
ie -- an (m+1)-vector of pointers to the begining of each
row in e and je
nnzgmax -- upper bound of the non-zero elements in g,jg
g -- an nnzgmax-vector containing the non-zero entries of
A2Q2^(-1)A2' stored in csr format
jg -- an nnzgmax-vector of indices for g
ig -- an (m+1)-vector of pointers to the begining of each
row in g and jg
nnzhmax -- upper bound of the non-zero elements in h,jh
h -- an nnzhmax-vector containing the non-zero entries of
AQ^(-1)A' stored in csr format
jh -- an nnzhmax-vector of indices for h
ih -- an (m+1)-vector of pointers to the begining of each
row in h and jh
dy -- an m-vector of work array
dx1 -- an n1-vector of work array
dx2 -- an n2-vector of work array
ds -- an n1-vector of work array
dz1 -- an n1-vector of work array
dz2 -- an n2-vector of work array
dw -- an n1-vector of work array
dxdz1 -- an n1-vector of work array
dxdz2 -- an n2-vector of work array
dsdw -- an n1-vector of work arry
xi1 -- an n1-vector of work array
xi2 -- an n2-vector of work array
xinv1 -- an n1-vector of work array
xinv2 -- an n2-vector of work array
sinv -- work array
maxn1n2 -- max(n1,n2)
ww1 -- an maxn1n2-vector of work array
ww2 -- an m-vector of work array
ww3 -- an m-vector of work array
small -- convergence tolerance for interior algorithm
ierr -- error flag :
1 -- insufficient storage (work space) when calling extract;
3 -- insufficient storage in iwork when calling ordmmd;
4 -- insufficient storage in iwork when calling sfinit;
5 -- nnzl > nnzlmax when calling sfinit
6 -- nsub > nsubmax when calling sfinit
7 -- insufficient work space in iwork when calling symfct
8 -- inconsistancy in input when calling symfct
9 -- tmpsiz > tmpmax when calling symfct; increase tmpmax
10 -- nonpositive diagonal encountered when calling blkfct
11 -- insufficient work storage in tmpvec when calling blkfct
12 -- insufficient work storage in iwork when calling blkfct
13 -- nnzd > nnzdmax in e,je when calling amub
14 -- nnzd > nnzdmax in g,jg when calling amub
15 -- nnzd > nnzdmax in h,jh when calling aplb
17 -- tiny diagonals replaced with Inf when calling blkfct()
{new error code, was confounded with '10'}
maxit -- maximal number of iterations; on return: the number of iterations
timewd -- vector of length 7: [7]: amount of time for this subroutine
[1:6] time info for the phases of cholfct() only.
OUTPUT:
y -- an m-vector of primal solution
*/
/* Local variables */
int i, it, nnzd, nsuper, nnzdsub;
double mu, gap, deltad, deltap;
double timbeg, timend;
/* Parameter adjustments */
--dsdw;
--dxdz1;
--dxdz2;
--dz1; --dz2;
--dx1; --dx2;
--ds;
--dw;
--dy;
--c1; --c2;
--q1; --q2;
--x1; --x2;
--z1; --z2;
--r2;
--xi1; --xi2;
--b;
--s;
--u;
--w;
--y;
--ww1;
--ww2;
--ww3;
--newrhs;
--rhs;
--perm;
--invp;
--dsub;
--timewd;
/* Function Body */
for (i = 1; i <= 7; ++i)
timewd[i] = 0.;
/* Compute the initial gap */
gap =
DDOT(n1, &z1[1], &x1[1]) +
DDOT(n2, &z2[1], &x2[1]) +
DDOT(n1, &w[1], &s[1]);
/* Start iteration */
it = 0;
while(gap >= *small && it <= *maxit) {
++it;
/* Create the diagonal matrix Q1^(-1) stored in q1 as an n1-vector,
the diagonal matrix Q2^(-1) stored in q2 as an n2-vector,
and store the residuals in r1 in ds, and r3 in dy temporarily,
and r2 in r2 permanently
*/
/* amux: obtain A1x1 and store the value in ww2 */
F77_CALL(amux)(m, &x1[1], &ww2[1], ao1, jao1, iao1);
/* amux: obtain A2x2 and store the value in ww3 */
F77_CALL(amux)(m, &x2[1], &ww3[1], ao2, jao2, iao2);
/* obtain A2'y and store it temporarily in r2 */
F77_CALL(amux)(n2, &y[1], &r2[1], a2, ja2, ia2);
for (i = 1; i <= *n1; ++i) {
q1[i] = 1. / (z1[i] / x1[i] + w[i] / s[i]);
ds[i] = z1[i] - w[i];
}
for (i = 1; i <= *n2; ++i) {
q2[i] = x2[i] / z2[i];
r2[i] = c2[i] - r2[i];
}
for (i = 1; i <= *m; ++i) {
dy[i] = b[i] - ww2[i] - ww3[i];
}
/* Obtain AQA = A1Q1^(-1)A1' + A2Q2^(-1)A2' in 5 steps :
* Step1: Obtain A1Q1^(-1) and store the values in d,jd,id in csr format
* Also compute A1Q1^(-1)r1 and store the values in ww2 to be used
* to generate r3;
* Step2: Compute A1Q1^(-1)A1' and store the values in e,je,ie
* Step3: Obtain A2Q2^(-1) and store the values in d,jd,id in csr format
* Also compute A2Q2^(-1)r2 and store the values in in ww3 to
* be used to generate r3;
* Step4: Compute A2Q2^(-1)A2' and store the value in g,jg,ig
* Step5: Compute AQA and store the values in h,jh,ih
*/
/* Step 1 */
F77_CALL(amudia)(m, &c__1, ao1, jao1, iao1, &q1[1], d, jd, id);
F77_CALL(amux)(m, &ds[1], &ww2[1], d, jd, id);
/* Step 2 */
F77_CALL(amub)(m, m, &c__1, d, jd, id, a1, ja1, ia1,
e, je, ie, nnzemax, iwork, ierr);
if (*ierr) { *ierr = 13; goto L100; }
/* Step 3 */
F77_CALL(amudia)(m, &c__1, ao2, jao2, iao2, &q2[1], d, jd, id);
F77_CALL(amux)(m, &r2[1], &ww3[1], d, jd, id);
/* Step 4 */
F77_CALL(amub)(m, m, &c__1, d, jd, id, a2, ja2, ia2,
g, jg, ig, nnzgmax, iwork, ierr);
if (*ierr) { *ierr = 14; goto L100; }
/* Step 5 */
F77_CALL(aplb)(m, m, &c__1, e, je, ie, g, jg, ig,
h, jh, ih, nnzhmax, iwork, ierr);
if (*ierr) { *ierr = 15; goto L100; }
/* Generate rhs = r3 + A1Q1^(-1) r1 + A2Q2^(-1) r2 : */
for (i = 1; i <= *m; ++i) {
rhs[i] = dy[i] + ww2[i] + ww3[i];
}
/* Extract the non-diagonal structure of h,jh,ih and store in dsub,jdsub */
nnzd = ih[*m] - 1;
nnzdsub = nnzd - *m;
i = *nnzhmax + 1;
F77_CALL(extract)(h, jh, ih, &dsub[1], jdsub, m, nnzhmax, &i, ierr);
if (*ierr) { *ierr = 1; goto L100; }
/* Compute dy = (AQ^(-1)A')^(-1)rhs; result returned via dy
Call chlfct to perform Cholesky's decomposition of h,jh,ih */
F77_CALL(chlfct)(m, xlindx, lindx, &invp[1], &perm[1], iwork, &nnzdsub,
jdsub, colcnt, &nsuper, snode, xsuper, nnzlmax,
nsubmax, xlnz, lnz, ih, jh, h, cachsz,
tmpmax, level, tmpvec, split, ierr, &it, &timewd[1]);
if (*ierr) { goto L100; }
/* Call blkslv: Numerical solution for the new rhs stored in rhs */
for (i = 1; i <= *m; ++i) {
newrhs[i] = rhs[perm[i]];
}
timbeg = F77_CALL(gtimer)();
F77_CALL(blkslv)(&nsuper, xsuper, xlindx, lindx, xlnz, lnz, &newrhs[1]);
timend = F77_CALL(gtimer)();
timewd[7] = timewd[7] + timend - timbeg;
for (i = 1; i <= *m; ++i) {
dy[i] = newrhs[invp[i]];
}
/* Compute dx1 = Q1^(-1)(A1'dy - r1), ds = -dx1, dz1, dz2 and dw */
F77_CALL(amux)(n1, &dy[1], &dx1[1], a1, ja1, ia1);
F77_CALL(amux)(n2, &dy[1], &dx2[1], a2, ja2, ia2);
for (i = 1; i <= *n1; ++i) {
dx1[i] = q1[i] * (dx1[i] - ds[i]);
ds[i] = -dx1[i];
dz1[i] = -z1[i] * (dx1[i] / x1[i] + 1.);
dw[i] = -w[i] * (ds[i] / s[i] + 1.);
}
for (i = 1; i <= *n2; ++i) {
dx2[i] = q2[i] * (dx2[i] - r2[i]);
dz2[i] = -z2[i] * (dx2[i] / x2[i] + 1.);
}
/* Compute the maximum allowable step lengths */
boundc(&x1[1], &dx1[1], &x2[1], &dx2[1],
&s[1], &ds[1], &z1[1], &dz1[1],
&z2[1], &dz2[1], &w[1], &dw[1],
n1, n2, &c_9995, &deltap, &deltad);
if (deltap * deltad < 1.) {
/* Update mu */
double g1;
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]);
g1 /= mu;
mu *= g1 * g1 * g1 / (2. * *n1 + *n2);
/* Compute dx1dz1, dx2dz2 and dsdw */
for (i = 1; i <= *n1; ++i) {
dxdz1[i] = dx1[i] * dz1[i];
dsdw[i] = ds[i] * dw[i];
xi1[i] = dxdz1[i] / x1[i] - dsdw[i] / s[i] -
mu * ( 1. / x1[i] - 1. / s[i]);
ww1[i] = q1[i] * xi1[i];
}
/* Compute A1Q1^(-1)(X1^(-1)*dx1dz1 - S^(-1)*dsdw - mu(X1^(-1) - S^(-1))) and
store it in ww2 temporarily */
F77_CALL(amux)(m, &ww1[1], &ww2[1], ao1, jao1, iao1);
for (i = 1; i <= *n2; ++i) {
dxdz2[i] = dx2[i] * dz2[i];
xi2[i] = (dxdz2[i] - mu) / x2[i];
ww1[i] = q2[i] * xi2[i];
}
/* Compute A2Q2^(-1)(X2^(-1)*dx2dz2 - mu X2^(-1)) and store it in ww3 temporarily */
F77_CALL(amux)(m, &ww1[1], &ww3[1], ao2, jao2, iao2);
for (i = 1; i <= *m; ++i) {
rhs[i] += ww2[i] + ww3[i];
}
/* Compute (AQ^(-1)A')^(-1)rhs and return the result in dy
Call blkslv: Numerical solution for the new rhs stored in rhs */
for (i = 1; i <= *m; ++i) {
newrhs[i] = rhs[perm[i]];
}
timbeg = F77_CALL(gtimer)();
F77_CALL(blkslv)(&nsuper, xsuper, xlindx, lindx, xlnz, lnz, &newrhs[1]);
timend = F77_CALL(gtimer)();
timewd[7] = timewd[7] + timend - timbeg;
for (i = 1; i <= *m; ++i) {
dy[i] = newrhs[invp[i]];
}
/* Compute dx1=Q1^(-1)(A1'dy-X1^(-1)*dx1dz1-S^(-1)*dsdw
-mu*(X1^(-1)-S^(-1))-r1), ds = -dx1, dz1, dz2 and dw */
F77_CALL(amux)(n1, &dy[1], &dx1[1], a1, ja1, ia1);
F77_CALL(amux)(n2, &dy[1], &dx2[1], a2, ja2, ia2);
for (i = 1; i <= *n1; ++i) {
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];
}
for (i = 1; i <= *n2; ++i) {
dx2[i] = q2[i] * (dx2[i] - xi2[i] - r2[i]);
dz2[i] = -z2[i] + (mu - z2[i] * dx2[i] - dxdz2[i]) / x2[i];
}
/* Compute the maximum allowable step lengths */
boundc(&x1[1], &dx1[1], &x2[1], &dx2[1], &s[1], &ds[1],
&z1[1], &dz1[1], &z2[1], &dz2[1], &w[1], &dw[1],
n1, n2, &c_9995, &deltap, &deltad);
}
/* Take the step */
F77_CALL(daxpy)(n1, &deltap, &dx1[1], &c__1, &x1[1], &c__1);
F77_CALL(daxpy)(n2, &deltap, &dx2[1], &c__1, &x2[1], &c__1);
F77_CALL(daxpy)(n1, &deltap, &ds[1], &c__1, &s[1], &c__1);
F77_CALL(daxpy)(n1, &deltad, &dw[1], &c__1, &w[1], &c__1);
F77_CALL(daxpy)(n1, &deltad, &dz1[1], &c__1, &z1[1], &c__1);
F77_CALL(daxpy)(n2, &deltad, &dz2[1], &c__1, &z2[1], &c__1);
F77_CALL(daxpy)(m, &deltad, &dy[1], &c__1, &y[1], &c__1);
gap =
DDOT(n1, &z1[1], &x1[1]) +
DDOT(n2, &z2[1], &x2[1]) +
DDOT(n1, &w[1], &s[1] );
} /* end {while} iterations */
L100:
*maxit = it;
return;
} /* slpfnc */
static void
boundc(double *x1, double *dx1, double *x2,
double *dx2, double *s, double *ds, double *z1,
double *dz1, double *z2, double *dz2, double *w,
double *dw, int *n1, int *n2, double *beta,
double *deltap, double *deltad)
{
int i;
*deltap = R_PosInf;
*deltad = R_PosInf;
for (i = 0; i < *n1; ++i) {
if(dx1[i] < 0) *deltap = fmin2(*deltap, -x1[i] / dx1[i]);
if(ds[i] < 0) *deltap = fmin2(*deltap, -s[i] / ds[i]);
if(dz1[i] < 0) *deltad = fmin2(*deltad, -z1[i] / dz1[i]);
if(dw[i] < 0) *deltad = fmin2(*deltad, -w[i] / dw[i]);
}
for (i = 0; i < *n2; ++i) {
if(dx2[i] < 0) *deltap = fmin2(*deltap, -x2[i] / dx2[i]);
if(dz2[i] < 0) *deltad = fmin2(*deltad, -z2[i] / dz2[i]);
}
*deltap = fmin2(1., *beta * *deltap);
*deltad = fmin2(1., *beta * *deltad);
return;
} /* boundc */
Computing file changes ...
