/* ---------------------------------------------------------------------------- * GTSAM Copyright 2010, Georgia Tech Research Corporation, * Atlanta, Georgia 30332-0415 * All Rights Reserved * Authors: Frank Dellaert, et al. (see THANKS for the full author list) * See LICENSE for the license information * -------------------------------------------------------------------------- */ /** * @file LPInitSolver.h * @brief This LPInitSolver implements the strategy in Matlab. * @author Duy Nguyen Ta * @author Ivan Dario Jimenez * @date 1/24/16 */ #pragma once #include #include namespace gtsam { /** * This LPInitSolver implements the strategy in Matlab: * http://www.mathworks.com/help/optim/ug/linear-programming-algorithms.html#brozyzb-9 * Solve for x and y: * min y * st Ax = b * Cx - y <= d * where y \in R, x \in R^n, and Ax = b and Cx <= d is the constraints of the original problem. * * If the solution for this problem {x*,y*} has y* <= 0, we'll have x* a feasible initial point * of the original problem * otherwise, if y* > 0 or the problem has no solution, the original problem is infeasible. * * The initial value of this initial problem can be found by solving * min ||x||^2 * s.t. Ax = b * to have a solution x0 * then y = max_j ( Cj*x0 - dj ) -- due to the constraints y >= Cx - d * * WARNING: If some xj in the inequality constraints does not exist in the equality constraints, * set them as zero for now. If that is the case, the original problem doesn't have a unique * solution (it could be either infeasible or unbounded). * So, if the initialization fails because we enforce xj=0 in the problematic * inequality constraint, we can't conclude that the problem is infeasible. * However, whether it is infeasible or unbounded, we don't have a unique solution anyway. */ class LPInitSolver { private: const LP& lp_; public: /// Construct with an LP problem LPInitSolver(const LP& lp) : lp_(lp) {} ///@return a feasible initialization point VectorValues solve() const; private: /// build initial LP LP::shared_ptr buildInitialLP(Key yKey) const; /** * Build the following graph to solve for an initial value of the initial problem * min ||x||^2 s.t. Ax = b */ GaussianFactorGraph::shared_ptr buildInitOfInitGraph() const; /// y = max_j ( Cj*x0 - dj ) -- due to the inequality constraints y >= Cx - d double compute_y0(const VectorValues& x0) const; /// Collect all terms of a factor into a container. std::vector> collectTerms( const LinearInequality& factor) const; /// Turn Cx <= d into Cx - y <= d factors InequalityFactorGraph addSlackVariableToInequalities(Key yKey, const InequalityFactorGraph& inequalities) const; // friend class for unit-testing private methods friend class LPInitSolverInitializationTest; }; }