public QpProgressReport Solve(QpProblem data)
{
QpProgressReport report = this.preSolver.PreSolve();
if (report.SolveStatus != QpTerminationCode.InProgress)
{
return(report);
}
// Set up the problem from the warm start strategy
Variables currentIterate = this.warmStartStrategy.GenerateInitialPoint(data, report.X);
NewtonSystem newtonEquations = this.warmStartStrategy.InitialNewtonEquations;
Residuals residuals = this.warmStartStrategy.InitialResiduals;
double mu = currentIterate.Mu();
int count = 0;
do
{
// Analyse and report on the algorithm progress
report = this.statusReporter.DetermineProgress(currentIterate, residuals, mu, count);
this.publisher.Publish(report);
if (report.SolveStatus != QpTerminationCode.InProgress)
{
break;
}
// ~~~~~ Predictor Step ~~~~~
// Factorise the system of equations using a Newton method
ISolver <double> choleskyFactor = newtonEquations.Factorize(currentIterate, count);
Variables step = newtonEquations.ComputeStep(currentIterate, residuals, choleskyFactor);
// Calculate the largest permissable step length (alpha affine)
double alpha = currentIterate.GetLargestAlphaForStep(step);
// Calculate the complementarity measure and associated centering parameter.
double muAffine = currentIterate.MuGivenStep(step, alpha);
double sigma = Math.Pow(muAffine / mu, 3);
// ~~~~~ Corrector Step ~~~~~
// Apply second order step corrections and a re-centering adjustment.
residuals.ApplyCorrection(step, sigma, mu);
// Compute the corrected step and largest permitted step length.
step = newtonEquations.ComputeStep(currentIterate, residuals, choleskyFactor);
alpha = currentIterate.GetLargestAlphaForStep(step);
// Finally take the step and calculate the new complementarity measure.
currentIterate.ApplyStep(step, alpha);
residuals.Update(currentIterate);
mu = currentIterate.Mu();
count++;
} while (report.SolveStatus == QpTerminationCode.InProgress && count < 10000);
return(report);
}
