com.joptimizer.functions

Class SOCPLogarithmicBarrier

java.lang.Object

com.joptimizer.functions.SOCPLogarithmicBarrier

All Implemented Interfaces:

BarrierFunction, TwiceDifferentiableMultivariateRealFunction

public class SOCPLogarithmicBarrier
extends java.lang.Object
implements BarrierFunction

Generalized logarithm barrier function for SOCP with constraints:
||Ai.x+bi|| < ci.x+di, i=1,...,m

See Also:

"S.Boyd and L.Vandenberghe, Convex Optimization, p. 600"

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
class	SOCPLogarithmicBarrier.SOCPConstraintParameters The definition of a socp inequality constraint in the form of: ||A.x+b|| < c.x+d

Constructor Summary

Constructors

Constructor and Description
SOCPLogarithmicBarrier(java.util.List<SOCPLogarithmicBarrier.SOCPConstraintParameters> socpConstraintParametersList, int dim)

Method Summary

Modifier and Type	Method and Description
double	calculatePhase1InitialFeasiblePoint(double[] originalNotFeasiblePoint, double tolerance) Calculates the initial value for the s parameter in Phase I.
BarrierFunction	createPhase1BarrierFunction() Create the barrier function for the Phase I.
int	getDim() Dimension of the function argument.
double	getDualityGap(double t) Calculates the duality gap for a barrier method build with this barrier function.
double[]	gradient(double[] X) Function gradient at point X.
double[][]	hessian(double[] X) Function hessian at point X.
double	value(double[] X) Evaluation of the function at point X.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SOCPLogarithmicBarrier

public SOCPLogarithmicBarrier(java.util.List<SOCPLogarithmicBarrier.SOCPConstraintParameters> socpConstraintParametersList,
                              int dim)

Method Detail

value

public double value(double[] X)

Description copied from interface: TwiceDifferentiableMultivariateRealFunction

Evaluation of the function at point X.

Specified by:

value in interface TwiceDifferentiableMultivariateRealFunction

gradient

public double[] gradient(double[] X)

Description copied from interface: TwiceDifferentiableMultivariateRealFunction

Function gradient at point X.

Specified by:

gradient in interface TwiceDifferentiableMultivariateRealFunction

hessian

public double[][] hessian(double[] X)

Description copied from interface: TwiceDifferentiableMultivariateRealFunction

Function hessian at point X.

Specified by:

hessian in interface TwiceDifferentiableMultivariateRealFunction

createPhase1BarrierFunction

public BarrierFunction createPhase1BarrierFunction()

Create the barrier function for the Phase I. It is an instance of this class for the constraints:
||Ai.x+bi|| < ci.x+di+t, i=1,...,m

Specified by:

createPhase1BarrierFunction in interface BarrierFunction

See Also:

"S.Boyd and L.Vandenberghe, Convex Optimization, 11.6.2"

calculatePhase1InitialFeasiblePoint

public double calculatePhase1InitialFeasiblePoint(double[] originalNotFeasiblePoint,
                                                  double tolerance)

Calculates the initial value for the s parameter in Phase I. Return s = max(||Ai.x+bi|| - (ci.x+di))

Specified by:

calculatePhase1InitialFeasiblePoint in interface BarrierFunction

See Also:

"S.Boyd and L.Vandenberghe, Convex Optimization, 11.6.2"

getDim

public int getDim()

Description copied from interface: TwiceDifferentiableMultivariateRealFunction

Dimension of the function argument.

Specified by:

getDim in interface TwiceDifferentiableMultivariateRealFunction

getDualityGap

public double getDualityGap(double t)

Description copied from interface: BarrierFunction

Calculates the duality gap for a barrier method build with this barrier function.

Specified by:

getDualityGap in interface BarrierFunction