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micpsolver.hpp
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micpsolver.hpp
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/*-------------------------------------------------------
- Module : micpsolver
- File : micpsolver.hpp
- Author : Fabien Georget
Copyright (c) 2014, Fabien Georget, Princeton University
---------------------------------------------------------*/
#ifndef SPECMIC_MICPSOLVER_MICPSOLVER_HPP
#define SPECMIC_MICPSOLVER_MICPSOLVER_HPP
#include <memory>
#include <Eigen/Dense>
#include "ncp_function.hpp"
//! \file micpsolver.hpp The MiCP solver
namespace specmicp {
namespace micpsolver {
//! Options for the MiCPSolver
class MiCPSolverOptions
{
double penalization_factor; //! Penalization factor for the penalized Fisher-Burmeister function
MiCPSolverOptions():
penalization_factor(0.8)
{}
};
//! MiCP Solver
//!
//! References :
//! - F. Facchinei and J.-S. Pang.
//! Finite-dimensional variational inequalities and complementarity problems.
//! Springer, New York, 2003.
//! - T. S. Munson, F. Facchinei, M. C. Ferris, A. Fischer, and C. Kanzow.
//! The Semismooth Algorithm for Large Scale Complementarity Problems.
//! INFORMS Journal on Computing, 13(4):294-311, 2001.
template <class Program>
class MiCPSolver {
public:
MiCPSolver();
const MiCPSolverOptions& get_options() const {return m_options;}
MiCPSolverOptions& get_options() {return m_options;}
// Merit function
// ##############
//! First NCP-function
double phi1(doubla a, double b) {return penalized_fisher_burmeister(a, b, get_options().penalization_factor);}
//! Second NCP_function
double phi2(double a, double b) {return fisher_burmeister(a, b);}
//! Reformulation for lower bounded variable
double phi_lower_bounded(const double& x, const double& r, const double& l) const {
return phi1(x-l, r);}
//! Reformulation function for upper bounded variable
double phi_upper_bounded(const double& x, const double& r, const double& u) const {
return -phi1(u-x, -r);}
//! Reformulation function for lower and upper bounded variable
double phi_lower_upper_bounded(const double& x, const double& r, const double& l, const double& u) const {
return phi2(x-l, phi1(u-x, -r));}
//! Reformulation for free variable
double phi_free(const double& r) const {
return -r;
}
//! Reformulation for one variable
double phi_i(const double& x, const double& r, const double& l, const double& u) const;
//! Reformulation
//!
//! Reformulate the problem
double reformulate(const Eigen::VectorXd& x, VectorXd& r);
// Algorithm
// #########
private:
std::shared_ptr<Program> m_program;
MiCPSolverOptions m_options;
};
} // end namespace micpsolver
} // end namespace specmicp
// ###############//
// Implementation //
// ###############//
#include "micpsolver.inl"
#endif // SPECMIC_MICPSOLVER_MICPSOLVER_HPP

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