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#include "frc971/solvers/sparse_convex.h"
#include "absl/log/check.h"
#include "absl/log/log.h"
#include "absl/strings/str_join.h"
#include <Eigen/Sparse>
#include <Eigen/SparseLU>
namespace frc971::solvers {
Eigen::VectorXd SparseSolver::Rt(const Derivatives &derivatives,
Eigen::VectorXd y, double t_inverse) {
Eigen::VectorXd result(derivatives.states() +
derivatives.inequality_constraints() +
derivatives.equality_constraints());
// states x 1
Eigen::Ref<Eigen::VectorXd> r_dual =
result.block(0, 0, derivatives.states(), 1);
// inequality_constraints x 1
Eigen::Ref<Eigen::VectorXd> r_cent = result.block(
derivatives.states(), 0, derivatives.inequality_constraints(), 1);
// equality_constraints x 1
Eigen::Ref<Eigen::VectorXd> r_pri =
result.block(derivatives.states() + derivatives.inequality_constraints(),
0, derivatives.equality_constraints(), 1);
// inequality_constraints x 1
Eigen::Ref<const Eigen::VectorXd> lambda =
y.block(derivatives.states(), 0, derivatives.inequality_constraints(), 1);
// equality_constraints x 1
Eigen::Ref<const Eigen::VectorXd> v =
y.block(derivatives.states() + derivatives.inequality_constraints(), 0,
derivatives.equality_constraints(), 1);
r_dual = derivatives.gradient + derivatives.df.transpose() * lambda +
derivatives.A.transpose() * v;
r_cent = -lambda.array() * derivatives.f.array() - t_inverse;
r_pri = derivatives.Axmb;
return result;
}
void AppendColumns(std::vector<Eigen::Triplet<double>> *triplet_list,
size_t starting_row, size_t starting_column,
const Eigen::SparseMatrix<double> &matrix) {
for (int k = 0; k < matrix.outerSize(); ++k) {
for (Eigen::SparseMatrix<double, Eigen::ColMajor>::InnerIterator it(matrix,
k);
it; ++it) {
(*triplet_list)
.emplace_back(it.row() + starting_row, it.col() + starting_column,
it.value());
}
}
}
void AppendColumns(
std::vector<Eigen::Triplet<double>> *triplet_list, size_t starting_row,
size_t starting_column,
const Eigen::DiagonalMatrix<double, Eigen::Dynamic> &matrix) {
for (int k = 0; k < matrix.rows(); ++k) {
(*triplet_list)
.emplace_back(k + starting_row, k + starting_column,
matrix.diagonal()(k));
}
}
Eigen::VectorXd SparseSolver::Solve(
const SparseConvexProblem &problem,
Eigen::Ref<const Eigen::VectorXd> X_initial) {
CHECK_EQ(static_cast<size_t>(X_initial.rows()), problem.states());
CHECK_EQ(X_initial.cols(), 1);
const Eigen::IOFormat kHeavyFormat(Eigen::StreamPrecision, 0, ", ",
",\n "
" ",
"[", "]", "[", "]");
Eigen::VectorXd y = Eigen::VectorXd::Constant(
problem.states() + problem.inequality_constraints() +
problem.equality_constraints(),
1.0);
y.block(0, 0, problem.states(), 1) = X_initial;
Derivatives derivatives = ComputeDerivative(problem, y);
for (size_t i = 0; i < problem.inequality_constraints(); ++i) {
CHECK_LE(derivatives.f(i, 0), 0.0)
<< ": Initial state " << X_initial.transpose().format(kHeavyFormat)
<< " not feasible";
}
PrintDerivatives(derivatives, y, "", 1);
size_t iteration = 0;
while (true) {
// Solve for the primal-dual search direction by solving the newton step.
// inequality_constraints x 1;
Eigen::Ref<const Eigen::VectorXd> lambda =
y.block(problem.states(), 0, problem.inequality_constraints(), 1);
const double nu = -(derivatives.f.transpose() * lambda)(0, 0);
const double t_inverse = nu / (kMu * lambda.rows());
Eigen::VectorXd rt_orig = Rt(derivatives, y, t_inverse);
std::vector<Eigen::Triplet<double>> triplet_list;
AppendColumns(&triplet_list, 0, 0, derivatives.hessian);
AppendColumns(&triplet_list, 0, problem.states(),
derivatives.df.transpose());
AppendColumns(&triplet_list, 0,
problem.states() + problem.inequality_constraints(),
derivatives.A.transpose());
// TODO(austin): I think I can do better on the next 2, making them more
// efficient and not creating the intermediate matrix.
AppendColumns(&triplet_list, problem.states(), 0,
-(Eigen::DiagonalMatrix<double, Eigen::Dynamic>(lambda) *
derivatives.df));
AppendColumns(
&triplet_list, problem.states(), problem.states(),
Eigen::DiagonalMatrix<double, Eigen::Dynamic>(-derivatives.f));
AppendColumns(&triplet_list,
problem.states() + problem.inequality_constraints(), 0,
derivatives.A);
Eigen::SparseMatrix<double> m1(
problem.states() + problem.inequality_constraints() +
problem.equality_constraints(),
problem.states() + problem.inequality_constraints() +
problem.equality_constraints());
m1.setFromTriplets(triplet_list.begin(), triplet_list.end());
Eigen::SparseLU<Eigen::SparseMatrix<double>> solver;
solver.analyzePattern(m1);
solver.factorize(m1);
Eigen::VectorXd dy = solver.solve(-rt_orig);
Eigen::Ref<Eigen::VectorXd> dlambda =
dy.block(problem.states(), 0, problem.inequality_constraints(), 1);
double s = 1.0;
// Now, time to do line search.
//
// Start by keeping lambda positive. Make sure our step doesn't let
// lambda cross 0.
for (int i = 0; i < dlambda.rows(); ++i) {
if (lambda(i) + s * dlambda(i) < 0.0) {
// Ignore tiny steps in lambda. They cause issues when we get really
// close to having our constraints met but haven't converged the rest
// of the problem and start to run into rounding issues in the matrix
// solve portion.
if (dlambda(i) < 0.0 && dlambda(i) > -1e-12) {
VLOG(1) << " lambda(" << i << ") " << lambda(i) << " + " << s
<< " * " << dlambda(i) << " -> s would be now "
<< -lambda(i) / dlambda(i);
dlambda(i) = 0.0;
VLOG(1) << " dy -> " << std::setprecision(12) << std::fixed
<< std::setfill(' ') << dy.transpose().format(kHeavyFormat);
continue;
}
VLOG(1) << " lambda(" << i << ") " << lambda(i) << " + " << s << " * "
<< dlambda(i) << " -> s now " << -lambda(i) / dlambda(i);
s = -lambda(i) / dlambda(i);
}
}
VLOG(1) << " After lambda line search, s is " << s;
VLOG(3) << " Initial step " << iteration << " -> " << std::setprecision(12)
<< std::fixed << std::setfill(' ')
<< dy.transpose().format(kHeavyFormat);
VLOG(3) << " rt -> "
<< std::setprecision(12) << std::fixed << std::setfill(' ')
<< rt_orig.transpose().format(kHeavyFormat);
const double rt_orig_squared_norm = rt_orig.squaredNorm();
Eigen::VectorXd next_y;
Eigen::VectorXd rt;
Derivatives next_derivatives;
while (true) {
next_y = y + s * dy;
next_derivatives = ComputeDerivative(problem, next_y);
rt = Rt(next_derivatives, next_y, t_inverse);
const Eigen::Ref<const Eigen::VectorXd> next_x =
next_y.block(0, 0, next_derivatives.hessian.rows(), 1);
const Eigen::Ref<const Eigen::VectorXd> next_lambda =
next_y.block(next_x.rows(), 0, next_derivatives.f.rows(), 1);
const Eigen::Ref<const Eigen::VectorXd> next_v = next_y.block(
next_x.rows() + next_lambda.rows(), 0, next_derivatives.A.rows(), 1);
VLOG(1) << " next_rt(" << iteration << ") is " << rt.norm() << " -> "
<< std::setprecision(12) << std::fixed << std::setfill(' ')
<< rt.transpose().format(kHeavyFormat);
PrintDerivatives(next_derivatives, next_y, "next_", 3);
if (next_derivatives.f.maxCoeff() > 0.0) {
VLOG(1) << " f_next > 0.0 -> " << next_derivatives.f.maxCoeff()
<< ", continuing line search.";
s *= kBeta;
} else if (next_derivatives.Axmb.squaredNorm() < 0.1 &&
rt.squaredNorm() >
std::pow(1.0 - kAlpha * s, 2.0) * rt_orig_squared_norm) {
VLOG(1) << " |Rt| > |Rt+1| " << rt.norm() << " > " << rt_orig.norm()
<< ", drt -> " << std::setprecision(12) << std::fixed
<< std::setfill(' ')
<< (rt_orig - rt).transpose().format(kHeavyFormat);
s *= kBeta;
} else {
break;
}
}
VLOG(1) << " Terminated line search with s " << s << ", " << rt.norm()
<< "(|Rt+1|) < " << rt_orig.norm() << "(|Rt|)";
y = next_y;
const Eigen::Ref<const Eigen::VectorXd> next_lambda =
y.block(problem.states(), 0, problem.inequality_constraints(), 1);
// See if we hit our convergence criteria.
const double r_primal_squared_norm =
rt.block(problem.states() + problem.inequality_constraints(), 0,
problem.equality_constraints(), 1)
.squaredNorm();
VLOG(1) << " rt_next(" << iteration << ") is " << rt.norm() << " -> "
<< std::setprecision(12) << std::fixed << std::setfill(' ')
<< rt.transpose().format(kHeavyFormat);
if (r_primal_squared_norm < kEpsilonF * kEpsilonF) {
const double r_dual_squared_norm =
rt.block(0, 0, problem.states(), 1).squaredNorm();
if (r_dual_squared_norm < kEpsilonF * kEpsilonF) {
const double next_nu =
-(next_derivatives.f.transpose() * next_lambda)(0, 0);
if (next_nu < kEpsilon) {
VLOG(1) << " r_primal(" << iteration << ") -> "
<< std::sqrt(r_primal_squared_norm) << " < " << kEpsilonF
<< ", r_dual(" << iteration << ") -> "
<< std::sqrt(r_dual_squared_norm) << " < " << kEpsilonF
<< ", nu(" << iteration << ") -> " << next_nu << " < "
<< kEpsilon;
break;
} else {
VLOG(1) << " nu(" << iteration << ") -> " << next_nu << " < "
<< kEpsilon << ", not done yet";
}
} else {
VLOG(1) << " r_dual(" << iteration << ") -> "
<< std::sqrt(r_dual_squared_norm) << " < " << kEpsilonF
<< ", not done yet";
}
} else {
VLOG(1) << " r_primal(" << iteration << ") -> "
<< std::sqrt(r_primal_squared_norm) << " < " << kEpsilonF
<< ", not done yet";
}
VLOG(1) << " step(" << iteration << ") " << std::setprecision(12)
<< (s * dy).transpose().format(kHeavyFormat);
VLOG(1) << " y(" << iteration << ") is now " << std::setprecision(12)
<< y.transpose().format(kHeavyFormat);
// Very import, use the last set of derivatives we picked for our new y
// for the next iteration. This avoids re-computing it.
derivatives = std::move(next_derivatives);
++iteration;
if (iteration > 100) {
LOG(FATAL) << "Too many iterations";
}
}
return y.block(0, 0, problem.states(), 1);
}
SparseSolver::Derivatives SparseSolver::ComputeDerivative(
const SparseConvexProblem &problem,
const Eigen::Ref<const Eigen::VectorXd> y) {
// states x 1
const Eigen::Ref<const Eigen::VectorXd> x =
y.block(0, 0, problem.states(), 1);
Derivatives derivatives;
derivatives.gradient = problem.df0(x);
CHECK_EQ(static_cast<size_t>(derivatives.gradient.rows()), problem.states());
CHECK_EQ(static_cast<size_t>(derivatives.gradient.cols()), 1u);
derivatives.hessian = problem.ddf0(x);
CHECK_EQ(static_cast<size_t>(derivatives.hessian.rows()), problem.states());
CHECK_EQ(static_cast<size_t>(derivatives.hessian.cols()), problem.states());
derivatives.f = problem.f(x);
CHECK_EQ(static_cast<size_t>(derivatives.f.rows()),
problem.inequality_constraints());
CHECK_EQ(static_cast<size_t>(derivatives.f.cols()), 1u);
derivatives.df = problem.df(x);
CHECK_EQ(static_cast<size_t>(derivatives.df.rows()),
problem.inequality_constraints());
CHECK_EQ(static_cast<size_t>(derivatives.df.cols()), problem.states());
derivatives.A = problem.A();
CHECK_EQ(static_cast<size_t>(derivatives.A.rows()),
problem.equality_constraints());
CHECK_EQ(static_cast<size_t>(derivatives.A.cols()), problem.states());
derivatives.Axmb =
derivatives.A * y.block(0, 0, problem.states(), 1) - problem.b();
CHECK_EQ(static_cast<size_t>(derivatives.Axmb.rows()),
problem.equality_constraints());
CHECK_EQ(static_cast<size_t>(derivatives.Axmb.cols()), 1u);
return derivatives;
}
void SparseSolver::PrintDerivatives(const Derivatives &derivatives,
const Eigen::Ref<const Eigen::VectorXd> y,
std::string_view prefix, int verbosity) {
const Eigen::Ref<const Eigen::VectorXd> x =
y.block(0, 0, derivatives.hessian.rows(), 1);
const Eigen::Ref<const Eigen::VectorXd> lambda =
y.block(x.rows(), 0, derivatives.f.rows(), 1);
if (VLOG_IS_ON(verbosity)) {
Eigen::IOFormat heavy(Eigen::StreamPrecision, 0, ", ",
",\n "
" ",
"[", "]", "[", "]");
heavy.rowSeparator =
heavy.rowSeparator +
std::string(absl::StrCat(getpid()).size() + prefix.size(), ' ');
const Eigen::Ref<const Eigen::VectorXd> v =
y.block(x.rows() + lambda.rows(), 0, derivatives.A.rows(), 1);
VLOG(verbosity) << " " << prefix << "x: " << x.transpose().format(heavy);
VLOG(verbosity) << " " << prefix
<< "lambda: " << lambda.transpose().format(heavy);
VLOG(verbosity) << " " << prefix << "v: " << v.transpose().format(heavy);
VLOG(verbosity) << " " << prefix << "hessian: " << derivatives.hessian;
VLOG(verbosity) << " " << prefix
<< "gradient: " << derivatives.gradient;
VLOG(verbosity) << " " << prefix << "A: " << derivatives.A;
VLOG(verbosity) << " " << prefix
<< "Ax-b: " << derivatives.Axmb.format(heavy);
VLOG(verbosity) << " " << prefix
<< "f: " << derivatives.f.format(heavy);
VLOG(verbosity) << " " << prefix << "df: " << derivatives.df;
}
}
} // namespace frc971::solvers