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basis_representation.cc
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// Copyright 2010-2021 Google LLC
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
// http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
#include "ortools/glop/basis_representation.h"
#include "ortools/base/stl_util.h"
#include "ortools/glop/status.h"
#include "ortools/lp_data/lp_utils.h"
namespace operations_research {
namespace glop {
// --------------------------------------------------------
// EtaMatrix
// --------------------------------------------------------
const Fractional EtaMatrix::kSparseThreshold = 0.5;
EtaMatrix::EtaMatrix(ColIndex eta_col, const ScatteredColumn& direction)
: eta_col_(eta_col),
eta_col_coefficient_(direction[ColToRowIndex(eta_col)]),
eta_coeff_(),
sparse_eta_coeff_() {
DCHECK_NE(0.0, eta_col_coefficient_);
eta_coeff_ = direction.values;
eta_coeff_[ColToRowIndex(eta_col_)] = 0.0;
// Only fill sparse_eta_coeff_ if it is sparse enough.
if (direction.non_zeros.size() <
kSparseThreshold * eta_coeff_.size().value()) {
for (const RowIndex row : direction.non_zeros) {
if (row == ColToRowIndex(eta_col)) continue;
sparse_eta_coeff_.SetCoefficient(row, eta_coeff_[row]);
}
DCHECK(sparse_eta_coeff_.CheckNoDuplicates());
}
}
EtaMatrix::~EtaMatrix() {}
void EtaMatrix::LeftSolve(DenseRow* y) const {
RETURN_IF_NULL(y);
DCHECK_EQ(RowToColIndex(eta_coeff_.size()), y->size());
if (!sparse_eta_coeff_.IsEmpty()) {
LeftSolveWithSparseEta(y);
} else {
LeftSolveWithDenseEta(y);
}
}
void EtaMatrix::RightSolve(DenseColumn* d) const {
RETURN_IF_NULL(d);
DCHECK_EQ(eta_coeff_.size(), d->size());
// Nothing to do if 'a' is zero at position eta_row.
// This exploits the possible sparsity of the column 'a'.
if ((*d)[ColToRowIndex(eta_col_)] == 0.0) return;
if (!sparse_eta_coeff_.IsEmpty()) {
RightSolveWithSparseEta(d);
} else {
RightSolveWithDenseEta(d);
}
}
void EtaMatrix::SparseLeftSolve(DenseRow* y, ColIndexVector* pos) const {
RETURN_IF_NULL(y);
DCHECK_EQ(RowToColIndex(eta_coeff_.size()), y->size());
Fractional y_value = (*y)[eta_col_];
bool is_eta_col_in_pos = false;
const int size = pos->size();
for (int i = 0; i < size; ++i) {
const ColIndex col = (*pos)[i];
const RowIndex row = ColToRowIndex(col);
if (col == eta_col_) {
is_eta_col_in_pos = true;
continue;
}
y_value -= (*y)[col] * eta_coeff_[row];
}
(*y)[eta_col_] = y_value / eta_col_coefficient_;
// We add the new non-zero position if it wasn't already there.
if (!is_eta_col_in_pos) pos->push_back(eta_col_);
}
void EtaMatrix::LeftSolveWithDenseEta(DenseRow* y) const {
Fractional y_value = (*y)[eta_col_];
const RowIndex num_rows(eta_coeff_.size());
for (RowIndex row(0); row < num_rows; ++row) {
y_value -= (*y)[RowToColIndex(row)] * eta_coeff_[row];
}
(*y)[eta_col_] = y_value / eta_col_coefficient_;
}
void EtaMatrix::LeftSolveWithSparseEta(DenseRow* y) const {
Fractional y_value = (*y)[eta_col_];
for (const SparseColumn::Entry e : sparse_eta_coeff_) {
y_value -= (*y)[RowToColIndex(e.row())] * e.coefficient();
}
(*y)[eta_col_] = y_value / eta_col_coefficient_;
}
void EtaMatrix::RightSolveWithDenseEta(DenseColumn* d) const {
const RowIndex eta_row = ColToRowIndex(eta_col_);
const Fractional coeff = (*d)[eta_row] / eta_col_coefficient_;
const RowIndex num_rows(eta_coeff_.size());
for (RowIndex row(0); row < num_rows; ++row) {
(*d)[row] -= eta_coeff_[row] * coeff;
}
(*d)[eta_row] = coeff;
}
void EtaMatrix::RightSolveWithSparseEta(DenseColumn* d) const {
const RowIndex eta_row = ColToRowIndex(eta_col_);
const Fractional coeff = (*d)[eta_row] / eta_col_coefficient_;
for (const SparseColumn::Entry e : sparse_eta_coeff_) {
(*d)[e.row()] -= e.coefficient() * coeff;
}
(*d)[eta_row] = coeff;
}
// --------------------------------------------------------
// EtaFactorization
// --------------------------------------------------------
EtaFactorization::EtaFactorization() : eta_matrix_() {}
EtaFactorization::~EtaFactorization() { Clear(); }
void EtaFactorization::Clear() { gtl::STLDeleteElements(&eta_matrix_); }
void EtaFactorization::Update(ColIndex entering_col,
RowIndex leaving_variable_row,
const ScatteredColumn& direction) {
const ColIndex leaving_variable_col = RowToColIndex(leaving_variable_row);
EtaMatrix* const eta_factorization =
new EtaMatrix(leaving_variable_col, direction);
eta_matrix_.push_back(eta_factorization);
}
void EtaFactorization::LeftSolve(DenseRow* y) const {
RETURN_IF_NULL(y);
for (int i = eta_matrix_.size() - 1; i >= 0; --i) {
eta_matrix_[i]->LeftSolve(y);
}
}
void EtaFactorization::SparseLeftSolve(DenseRow* y, ColIndexVector* pos) const {
RETURN_IF_NULL(y);
for (int i = eta_matrix_.size() - 1; i >= 0; --i) {
eta_matrix_[i]->SparseLeftSolve(y, pos);
}
}
void EtaFactorization::RightSolve(DenseColumn* d) const {
RETURN_IF_NULL(d);
const size_t num_eta_matrices = eta_matrix_.size();
for (int i = 0; i < num_eta_matrices; ++i) {
eta_matrix_[i]->RightSolve(d);
}
}
// --------------------------------------------------------
// BasisFactorization
// --------------------------------------------------------
BasisFactorization::BasisFactorization(
const CompactSparseMatrix* compact_matrix, const RowToColMapping* basis)
: stats_(),
compact_matrix_(*compact_matrix),
basis_(*basis),
tau_is_computed_(false),
max_num_updates_(0),
num_updates_(0),
eta_factorization_(),
lu_factorization_(),
deterministic_time_(0.0) {
SetParameters(parameters_);
}
BasisFactorization::~BasisFactorization() {}
void BasisFactorization::Clear() {
SCOPED_TIME_STAT(&stats_);
num_updates_ = 0;
tau_computation_can_be_optimized_ = false;
eta_factorization_.Clear();
lu_factorization_.Clear();
rank_one_factorization_.Clear();
storage_.Reset(compact_matrix_.num_rows());
right_storage_.Reset(compact_matrix_.num_rows());
left_pool_mapping_.clear();
right_pool_mapping_.clear();
}
Status BasisFactorization::Initialize() {
SCOPED_TIME_STAT(&stats_);
Clear();
if (IsIdentityBasis()) return Status::OK();
return ComputeFactorization();
}
RowToColMapping BasisFactorization::ComputeInitialBasis(
const std::vector<ColIndex>& candidates) {
const RowToColMapping basis =
lu_factorization_.ComputeInitialBasis(compact_matrix_, candidates);
deterministic_time_ +=
lu_factorization_.DeterministicTimeOfLastFactorization();
return basis;
}
bool BasisFactorization::IsRefactorized() const { return num_updates_ == 0; }
Status BasisFactorization::Refactorize() {
if (IsRefactorized()) return Status::OK();
return ForceRefactorization();
}
Status BasisFactorization::ForceRefactorization() {
SCOPED_TIME_STAT(&stats_);
stats_.refactorization_interval.Add(num_updates_);
Clear();
return ComputeFactorization();
}
Status BasisFactorization::ComputeFactorization() {
CompactSparseMatrixView basis_matrix(&compact_matrix_, &basis_);
const Status status = lu_factorization_.ComputeFactorization(basis_matrix);
last_factorization_deterministic_time_ =
lu_factorization_.DeterministicTimeOfLastFactorization();
deterministic_time_ += last_factorization_deterministic_time_;
rank_one_factorization_.ResetDeterministicTime();
return status;
}
// This update formula can be derived by:
// e = unit vector on the leaving_variable_row
// new B = L.U + (matrix.column(entering_col) - B.e).e^T
// new B = L.U + L.L^{-1}.(matrix.column(entering_col) - B.e).e^T.U^{-1}.U
// new B = L.(Identity +
// (right_update_vector - U.column(leaving_column)).left_update_vector).U
// new B = L.RankOneUpdateElementatyMatrix(
// right_update_vector - U.column(leaving_column), left_update_vector)
Status BasisFactorization::MiddleProductFormUpdate(
ColIndex entering_col, RowIndex leaving_variable_row) {
const ColIndex right_index = entering_col < right_pool_mapping_.size()
? right_pool_mapping_[entering_col]
: kInvalidCol;
const ColIndex left_index =
RowToColIndex(leaving_variable_row) < left_pool_mapping_.size()
? left_pool_mapping_[RowToColIndex(leaving_variable_row)]
: kInvalidCol;
if (right_index == kInvalidCol || left_index == kInvalidCol) {
LOG(INFO) << "One update vector is missing!!!";
return ForceRefactorization();
}
// TODO(user): create a class for these operations.
// Initialize scratchpad_ with the right update vector.
DCHECK(IsAllZero(scratchpad_));
scratchpad_.resize(right_storage_.num_rows(), 0.0);
for (const EntryIndex i : right_storage_.Column(right_index)) {
const RowIndex row = right_storage_.EntryRow(i);
scratchpad_[row] = right_storage_.EntryCoefficient(i);
scratchpad_non_zeros_.push_back(row);
}
// Subtract the column of U from scratchpad_.
const SparseColumn& column_of_u =
lu_factorization_.GetColumnOfU(RowToColIndex(leaving_variable_row));
for (const SparseColumn::Entry e : column_of_u) {
scratchpad_[e.row()] -= e.coefficient();
scratchpad_non_zeros_.push_back(e.row());
}
// Creates the new rank one update matrix and update the factorization.
const Fractional scalar_product =
storage_.ColumnScalarProduct(left_index, Transpose(scratchpad_));
const ColIndex u_index = storage_.AddAndClearColumnWithNonZeros(
&scratchpad_, &scratchpad_non_zeros_);
RankOneUpdateElementaryMatrix elementary_update_matrix(
&storage_, u_index, left_index, scalar_product);
if (elementary_update_matrix.IsSingular()) {
GLOP_RETURN_AND_LOG_ERROR(Status::ERROR_LU, "Degenerate rank-one update.");
}
rank_one_factorization_.Update(elementary_update_matrix);
return Status::OK();
}
Status BasisFactorization::Update(ColIndex entering_col,
RowIndex leaving_variable_row,
const ScatteredColumn& direction) {
// Note that in addition to the logic here, we also refactorize when we detect
// numerical imprecisions. There is various tests for that during an
// iteration.
if (num_updates_ >= max_num_updates_) {
if (!parameters_.dynamically_adjust_refactorization_period()) {
return ForceRefactorization();
}
// We try to equilibrate the factorization time with the EXTRA solve time
// incurred since the last factorization.
//
// Note(user): The deterministic time is not really super precise for now.
// We tend to undercount the factorization, but this tends to favorize more
// refactorization which is good for numerical stability.
if (last_factorization_deterministic_time_ <
rank_one_factorization_.DeterministicTimeSinceLastReset()) {
return ForceRefactorization();
}
}
// Note(user): in some rare case (to investigate!) MiddleProductFormUpdate()
// will trigger a full refactorization. Because of this, it is important to
// increment num_updates_ first as this counter is used by IsRefactorized().
SCOPED_TIME_STAT(&stats_);
++num_updates_;
if (use_middle_product_form_update_) {
GLOP_RETURN_IF_ERROR(
MiddleProductFormUpdate(entering_col, leaving_variable_row));
} else {
eta_factorization_.Update(entering_col, leaving_variable_row, direction);
}
tau_computation_can_be_optimized_ = false;
return Status::OK();
}
void BasisFactorization::LeftSolve(ScatteredRow* y) const {
SCOPED_TIME_STAT(&stats_);
RETURN_IF_NULL(y);
if (use_middle_product_form_update_) {
lu_factorization_.LeftSolveUWithNonZeros(y);
rank_one_factorization_.LeftSolveWithNonZeros(y);
lu_factorization_.LeftSolveLWithNonZeros(y);
y->SortNonZerosIfNeeded();
} else {
y->non_zeros.clear();
eta_factorization_.LeftSolve(&y->values);
lu_factorization_.LeftSolve(&y->values);
}
BumpDeterministicTimeForSolve(y->NumNonZerosEstimate());
}
void BasisFactorization::RightSolve(ScatteredColumn* d) const {
SCOPED_TIME_STAT(&stats_);
RETURN_IF_NULL(d);
if (use_middle_product_form_update_) {
lu_factorization_.RightSolveLWithNonZeros(d);
rank_one_factorization_.RightSolveWithNonZeros(d);
lu_factorization_.RightSolveUWithNonZeros(d);
d->SortNonZerosIfNeeded();
} else {
d->non_zeros.clear();
lu_factorization_.RightSolve(&d->values);
eta_factorization_.RightSolve(&d->values);
}
BumpDeterministicTimeForSolve(d->NumNonZerosEstimate());
}
const DenseColumn& BasisFactorization::RightSolveForTau(
const ScatteredColumn& a) const {
SCOPED_TIME_STAT(&stats_);
if (use_middle_product_form_update_) {
if (tau_computation_can_be_optimized_) {
// Once used, the intermediate result is overwritten, so
// RightSolveForTau() can no longer use the optimized algorithm.
tau_computation_can_be_optimized_ = false;
lu_factorization_.RightSolveLWithPermutedInput(a.values, &tau_);
} else {
ClearAndResizeVectorWithNonZeros(compact_matrix_.num_rows(), &tau_);
lu_factorization_.RightSolveLForScatteredColumn(a, &tau_);
}
rank_one_factorization_.RightSolveWithNonZeros(&tau_);
lu_factorization_.RightSolveUWithNonZeros(&tau_);
} else {
tau_.non_zeros.clear();
tau_.values = a.values;
lu_factorization_.RightSolve(&tau_.values);
eta_factorization_.RightSolve(&tau_.values);
}
tau_is_computed_ = true;
BumpDeterministicTimeForSolve(tau_.NumNonZerosEstimate());
return tau_.values;
}
void BasisFactorization::LeftSolveForUnitRow(ColIndex j,
ScatteredRow* y) const {
SCOPED_TIME_STAT(&stats_);
RETURN_IF_NULL(y);
ClearAndResizeVectorWithNonZeros(RowToColIndex(compact_matrix_.num_rows()),
y);
if (!use_middle_product_form_update_) {
(*y)[j] = 1.0;
y->non_zeros.push_back(j);
eta_factorization_.SparseLeftSolve(&y->values, &y->non_zeros);
lu_factorization_.LeftSolve(&y->values);
BumpDeterministicTimeForSolve(y->NumNonZerosEstimate());
return;
}
// If the leaving index is the same, we can reuse the column! Note also that
// since we do a left solve for a unit row using an upper triangular matrix,
// all positions in front of the unit will be zero (modulo the column
// permutation).
if (j >= left_pool_mapping_.size()) {
left_pool_mapping_.resize(j + 1, kInvalidCol);
}
if (left_pool_mapping_[j] == kInvalidCol) {
const ColIndex start = lu_factorization_.LeftSolveUForUnitRow(j, y);
if (y->non_zeros.empty()) {
left_pool_mapping_[j] = storage_.AddDenseColumnPrefix(
Transpose(y->values), ColToRowIndex(start));
} else {
left_pool_mapping_[j] = storage_.AddDenseColumnWithNonZeros(
Transpose(y->values),
*reinterpret_cast<RowIndexVector*>(&y->non_zeros));
}
} else {
DenseColumn* const x = reinterpret_cast<DenseColumn*>(y);
RowIndexVector* const nz = reinterpret_cast<RowIndexVector*>(&y->non_zeros);
storage_.ColumnCopyToClearedDenseColumnWithNonZeros(left_pool_mapping_[j],
x, nz);
}
rank_one_factorization_.LeftSolveWithNonZeros(y);
// We only keep the intermediate result needed for the optimized tau_
// computation if it was computed after the last time this was called.
if (tau_is_computed_) {
tau_computation_can_be_optimized_ =
lu_factorization_.LeftSolveLWithNonZeros(y, &tau_);
} else {
tau_computation_can_be_optimized_ = false;
lu_factorization_.LeftSolveLWithNonZeros(y);
}
tau_is_computed_ = false;
y->SortNonZerosIfNeeded();
BumpDeterministicTimeForSolve(y->NumNonZerosEstimate());
}
void BasisFactorization::TemporaryLeftSolveForUnitRow(ColIndex j,
ScatteredRow* y) const {
CHECK(IsRefactorized());
SCOPED_TIME_STAT(&stats_);
RETURN_IF_NULL(y);
ClearAndResizeVectorWithNonZeros(RowToColIndex(compact_matrix_.num_rows()),
y);
lu_factorization_.LeftSolveUForUnitRow(j, y);
lu_factorization_.LeftSolveLWithNonZeros(y);
y->SortNonZerosIfNeeded();
BumpDeterministicTimeForSolve(y->NumNonZerosEstimate());
}
void BasisFactorization::RightSolveForProblemColumn(ColIndex col,
ScatteredColumn* d) const {
SCOPED_TIME_STAT(&stats_);
RETURN_IF_NULL(d);
ClearAndResizeVectorWithNonZeros(compact_matrix_.num_rows(), d);
if (!use_middle_product_form_update_) {
compact_matrix_.ColumnCopyToClearedDenseColumn(col, &d->values);
lu_factorization_.RightSolve(&d->values);
eta_factorization_.RightSolve(&d->values);
BumpDeterministicTimeForSolve(d->NumNonZerosEstimate());
return;
}
// TODO(user): if right_pool_mapping_[col] != kInvalidCol, we can reuse it and
// just apply the last rank one update since it was computed.
lu_factorization_.RightSolveLForColumnView(compact_matrix_.column(col), d);
rank_one_factorization_.RightSolveWithNonZeros(d);
if (col >= right_pool_mapping_.size()) {
right_pool_mapping_.resize(col + 1, kInvalidCol);
}
if (d->non_zeros.empty()) {
right_pool_mapping_[col] = right_storage_.AddDenseColumn(d->values);
} else {
// The sort is needed if we want to have the same behavior for the sparse or
// hyper-sparse version.
std::sort(d->non_zeros.begin(), d->non_zeros.end());
right_pool_mapping_[col] =
right_storage_.AddDenseColumnWithNonZeros(d->values, d->non_zeros);
}
lu_factorization_.RightSolveUWithNonZeros(d);
d->SortNonZerosIfNeeded();
BumpDeterministicTimeForSolve(d->NumNonZerosEstimate());
}
Fractional BasisFactorization::RightSolveSquaredNorm(
const ColumnView& a) const {
SCOPED_TIME_STAT(&stats_);
DCHECK(IsRefactorized());
BumpDeterministicTimeForSolve(a.num_entries().value());
return lu_factorization_.RightSolveSquaredNorm(a);
}
Fractional BasisFactorization::DualEdgeSquaredNorm(RowIndex row) const {
SCOPED_TIME_STAT(&stats_);
DCHECK(IsRefactorized());
BumpDeterministicTimeForSolve(1);
return lu_factorization_.DualEdgeSquaredNorm(row);
}
bool BasisFactorization::IsIdentityBasis() const {
const RowIndex num_rows = compact_matrix_.num_rows();
for (RowIndex row(0); row < num_rows; ++row) {
const ColIndex col = basis_[row];
if (compact_matrix_.column(col).num_entries().value() != 1) return false;
const Fractional coeff = compact_matrix_.column(col).GetFirstCoefficient();
const RowIndex entry_row = compact_matrix_.column(col).GetFirstRow();
if (entry_row != row || coeff != 1.0) return false;
}
return true;
}
Fractional BasisFactorization::ComputeOneNorm() const {
if (IsIdentityBasis()) return 1.0;
CompactSparseMatrixView basis_matrix(&compact_matrix_, &basis_);
return basis_matrix.ComputeOneNorm();
}
Fractional BasisFactorization::ComputeInfinityNorm() const {
if (IsIdentityBasis()) return 1.0;
CompactSparseMatrixView basis_matrix(&compact_matrix_, &basis_);
return basis_matrix.ComputeInfinityNorm();
}
// TODO(user): try to merge the computation of the norm of inverses
// with that of MatrixView. Maybe use a wrapper class for InverseMatrix.
Fractional BasisFactorization::ComputeInverseOneNorm() const {
if (IsIdentityBasis()) return 1.0;
const RowIndex num_rows = compact_matrix_.num_rows();
const ColIndex num_cols = RowToColIndex(num_rows);
Fractional norm = 0.0;
for (ColIndex col(0); col < num_cols; ++col) {
ScatteredColumn right_hand_side;
right_hand_side.values.AssignToZero(num_rows);
right_hand_side[ColToRowIndex(col)] = 1.0;
// Get a column of the matrix inverse.
RightSolve(&right_hand_side);
Fractional column_norm = 0.0;
// Compute sum_i |inverse_ij|.
for (RowIndex row(0); row < num_rows; ++row) {
column_norm += std::abs(right_hand_side[row]);
}
// Compute max_j sum_i |inverse_ij|
norm = std::max(norm, column_norm);
}
return norm;
}
Fractional BasisFactorization::ComputeInverseInfinityNorm() const {
if (IsIdentityBasis()) return 1.0;
const RowIndex num_rows = compact_matrix_.num_rows();
const ColIndex num_cols = RowToColIndex(num_rows);
DenseColumn row_sum(num_rows, 0.0);
for (ColIndex col(0); col < num_cols; ++col) {
ScatteredColumn right_hand_side;
right_hand_side.values.AssignToZero(num_rows);
right_hand_side[ColToRowIndex(col)] = 1.0;
// Get a column of the matrix inverse.
RightSolve(&right_hand_side);
// Compute sum_j |inverse_ij|.
for (RowIndex row(0); row < num_rows; ++row) {
row_sum[row] += std::abs(right_hand_side[row]);
}
}
// Compute max_i sum_j |inverse_ij|
Fractional norm = 0.0;
for (RowIndex row(0); row < num_rows; ++row) {
norm = std::max(norm, row_sum[row]);
}
return norm;
}
Fractional BasisFactorization::ComputeOneNormConditionNumber() const {
if (IsIdentityBasis()) return 1.0;
return ComputeOneNorm() * ComputeInverseOneNorm();
}
Fractional BasisFactorization::ComputeInfinityNormConditionNumber() const {
if (IsIdentityBasis()) return 1.0;
return ComputeInfinityNorm() * ComputeInverseInfinityNorm();
}
Fractional BasisFactorization::ComputeInfinityNormConditionNumberUpperBound()
const {
if (IsIdentityBasis()) return 1.0;
BumpDeterministicTimeForSolve(compact_matrix_.num_rows().value());
return ComputeInfinityNorm() *
lu_factorization_.ComputeInverseInfinityNormUpperBound();
}
double BasisFactorization::DeterministicTime() const {
return deterministic_time_;
}
void BasisFactorization::BumpDeterministicTimeForSolve(int num_entries) const {
// TODO(user): Spend more time finding a good approximation here.
if (compact_matrix_.num_rows().value() == 0) return;
const double density =
static_cast<double>(num_entries) /
static_cast<double>(compact_matrix_.num_rows().value());
deterministic_time_ +=
density * DeterministicTimeForFpOperations(
lu_factorization_.NumberOfEntries().value()) +
DeterministicTimeForFpOperations(
rank_one_factorization_.num_entries().value());
}
} // namespace glop
} // namespace operations_research