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QR refactoring #27

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9273303
QR refactoring
Oct 6, 2025
1b94cf6
added exit singular
Oct 6, 2025
932cbcf
Fix OMP issues and update BPDual
Nov 23, 2025
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82 changes: 60 additions & 22 deletions src/BPDual.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,15 @@ function Base.getindex(t::ASPTracer, i::Integer)
end

Base.lastindex(t::ASPTracer) = lastindex(t.iteration)
function Base.show(io::IO, t::ASPTracer)
nsteps = length(t.iteration)
nvars = isempty(t.solution) ? 0 : length(t.solution[end].nzind)
print(io, "ASPTracer(maxactive = $nvars, nsteps = $nsteps)")
end

function Base.show(io::IO, ::MIME"text/plain", t::ASPTracer)
Base.show(io, t)
end
@doc raw"""
```julia
function bpdual(A, b, λin, bl, bu; kwargs...)```
Expand Down Expand Up @@ -89,7 +97,8 @@ function bpdual(
gapTol::Real = 1e-06,
pivTol::Real = 1e-12,
actMax::Real = Inf,
traceFlag::Bool = false
traceFlag::Bool = false,
refactor_freq::Int = 1000
)

# Start
Expand All @@ -101,11 +110,11 @@ function bpdual(
m, n = size(A)


work = rand(n)
work2 = rand(n)
work3 = rand(n)
work4 = rand(n)
work5 = rand(m)
work = Vector{Float64}(undef, n)
work2 = Vector{Float64}(undef, n)
work3 = Vector{Float64}(undef, n)
work4 = Vector{Float64}(undef, n)
work5 = Vector{Float64}(undef, m)

tracer = ASPTracer(
Int[], # iteration
Expand Down Expand Up @@ -178,14 +187,14 @@ function bpdual(
numtrim = 0
nprodA = 0
nprodAt = 0
cur_r_size = 0


# ------------------------------------------------------------------
# Cold/warm-start initialization.
# ------------------------------------------------------------------
if coldstart
x = zeros(0)
# cur_r_size = 0
nact = 0
if homotopy
y = b / λ
z = z / λ
Expand All @@ -201,6 +210,7 @@ function bpdual(
y = restorefeas(y, active, state, S, R, bl, bu)
z = A'*y
nprodAt += 1
# cur_r_size = nact
end

sL, sU = infeasibilities(bl, bu, vec(z))
Expand All @@ -220,26 +230,32 @@ function bpdual(
sL, sU = infeasibilities(bl, bu, z)
g = b - λ*y # Steepest-descent direction

if isempty((@view R[1:cur_r_size,1:cur_r_size]))
# if isempty((@view R[1:cur_r_size,1:cur_r_size]))
if isempty((@view R[1:nact,1:nact]))
condS = 1
else
rmin = minimum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
rmax = maximum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
# rmin = minimum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
# rmax = maximum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
rmin = minimum(diag((@view R[1:nact, 1:nact])))
rmax = maximum(diag((@view R[1:nact, 1:nact])))
condS = rmax / rmin
end

if condS > 1e+10
eFlag = :EXIT_SINGULAR_LS
# Pad x with enough zeros to make it compatible with S.
npad = size((@view S[:, 1:cur_r_size]), 2) - size(x, 1)
# npad = size((@view S[:, 1:cur_r_size]), 2) - size(x, 1)
npad = size((@view S[:, 1:nact]), 2) - size(x, 1)
x = [x; zeros(npad)]
else
dx, dy = newtonstep((@view S[:,1:cur_r_size]), (@view R[1:cur_r_size, 1:cur_r_size]), g, x, λ)
dx, dy = newtonstep((@view S[:,1:nact]), (@view R[1:nact, 1:nact]), g, x, λ)
# dx, dy = newtonstep((@view S[:,1:cur_r_size]), (@view R[1:cur_r_size, 1:cur_r_size]), g, x, λ)
x .+= dx
end

r = b - S[:,1:cur_r_size]*x

# r = b - S[:,1:cur_r_size]*x
r = b - S[:,1:nact]*x

# Print to log.
yNorm = norm(y, 2)
rNorm = norm(r, 2)
Expand Down Expand Up @@ -282,9 +298,9 @@ function bpdual(
@info "\nOptimal solution found. Trimming multipliers..."
end
g = b - λin*y
trimx(x, (@view S[:, 1:cur_r_size]), (@view R[1:cur_r_size, 1:cur_r_size]), active, state, g, b, λ, feaTol, optTol, loglevel)
numtrim = nact - length(active)
nact = length(active)
x, active = trimx(x, (@view S[:,1:nact]), (@view R[1:nact, 1:nact]), active, state, g, b, λ, feaTol, optTol, loglevel)
# x, active = trimx(x, (@view S[:,1:cur_r_size]), (@view R[1:cur_r_size, 1:cur_r_size]), active, state, g, b, λ, feaTol, optTol, loglevel)
break
end

# Act on any live exit conditions.
Expand All @@ -297,7 +313,8 @@ function bpdual(
p = q = 0

if homotopy
x, dy, dz, step, λ, p = htpynewlam(active, state, A, (@view R[1:cur_r_size, 1:cur_r_size]), (@view S[:,1:cur_r_size]), x, y, sL, sU, λ, lamFinal)
# x, dy, dz, step, λ, p = htpynewlam(active, state, A, (@view R[1:cur_r_size, 1:cur_r_size]), (@view S[:,1:cur_r_size]), x, y, sL, sU, λ, lamFinal)
x, dy, dz, step, λ, p = htpynewlam(active, state, A, (@view R[1:nact, 1:nact]), (@view S[:,1:nact]), x, y, sL, sU, λ, lamFinal)
nprodAt += 1
else
if norm(dy, Inf) < eps()
Expand Down Expand Up @@ -348,8 +365,20 @@ function bpdual(
a = A * zerovec
nprodA += 1
zerovec[p] = 0
qraddcol!(S, R, a, cur_r_size, work, work2, work3, work4, work5) # Update R
cur_r_size +=1
# qraddcol!(S, R, a, cur_r_size, work, work2, work3, work4, work5) # Update R

qraddcol!(S, R, a, nact, work, work2, work3, work4, work5) # Update R

# cur_r_size +=1
nact +=1
if itn % refactor_freq == 0 && nact > 0
F = qr!(S[:, 1:nact])
@views R[1:nact, 1:nact] = F.R
end
# if itn % refactor_freq == 0 && cur_r_size > 0
# F = qr!(S[:, 1:cur_r_size])
# @views R[1:cur_r_size, 1:cur_r_size] = F.R
# end
# S = [S a]
push!(active, p)
push!(x, 0)
Expand All @@ -373,7 +402,16 @@ function bpdual(
deleteat!(x, qa)
# R = qrdelcol(R, qa)
qrdelcol!(S, R, qa)
cur_r_size -=1
# cur_r_size -=1
nact -=1
# if itn % refactor_freq == 0 && cur_r_size > 0
# F = qr!(S[:, 1:cur_r_size])
# @views R[1:cur_r_size, 1:cur_r_size] = F.R
# end
if itn % refactor_freq == 0 && nact > 0
F = qr!(S[:, 1:nact])
@views R[1:nact, 1:nact] = F.R
end
else
eFlag = :EXIT_OPTIMAL
end
Expand Down
2 changes: 1 addition & 1 deletion src/helpers.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -192,7 +192,7 @@ function trimx(x,S,R,active,state,g,b,λ,featol,opttol,loglevel)
# Grab the next canddate multiplier.
xmin, qa = findmin(xabs)
end
return (x,S,R,active,state)
return x, active
end


Expand Down
110 changes: 73 additions & 37 deletions src/omp.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -32,7 +32,8 @@ function asp_omp(
gapTol::Real = 1e-06,
pivTol::Real = 1e-12,
actMax::Union{Real, Nothing} = nothing,
traceFlag::Bool = false)
traceFlag::Bool = false,
refactor_freq::Int = 1000)

time0 = time()

Expand All @@ -55,7 +56,7 @@ function asp_omp(
tracer = ASPTracer(
Int[], # iteration
Float64[], # lambda
Vector{SparseVector{Float64}}() # now stores full sparse solutions
Vector{SparseVector{Float64}}()
)

if loglevel > 0
Expand All @@ -66,8 +67,6 @@ function asp_omp(
@info "-"^124
end


# Initialize local variables.
EXIT_INFO = Dict(
:EXIT_OPTIMAL => "Optimal solution found -- full Newton step",
:EXIT_TOO_MANY_ITNS => "Too many iterations",
Expand All @@ -84,14 +83,14 @@ function asp_omp(
x = zeros(Float64, 0)
zerovec = zeros(Float64, n)
p = 0
cur_r_size = 0
# cur_r_size = 0
int_ac = 0

if norm(b, Inf) == 0
r = zeros(m)
eFlag = :EXIT_RHS_ZERO
end

# Solution is unconstrained for lambda large.
zmax = norm(z, Inf)
if eFlag == :EXIT_UNKNOWN && zmax < λin
r = b
Expand All @@ -105,12 +104,13 @@ function asp_omp(
R = Matrix{Float64}(undef, size(A, 2), size(A, 2))
S = Matrix{Float64}(undef, size(A, 1), size(A, 2))
int_ac= length(active)
cur_r_size = length(active)
S[:, 1:cur_r_size] .= A[:, active]
# cur_r_size = length(active)
# S[:, 1:cur_r_size] .= A[:, active]
S[:, 1:int_ac] .= A[:, active]
_, R_ = qr(A[:, active])
# Use regular indexing for R
println(size(R_))
R[1:cur_r_size, 1:cur_r_size] .= R_ # Copy values into R
# println(size(R_))
# R[1:cur_r_size, 1:cur_r_size] .= R_
R[1:int_ac, 1:int_ac] .= R_
itn = 1

end
Expand All @@ -133,33 +133,58 @@ function asp_omp(
# Main loop.
while true
# Compute dual obj gradient g, search direction dy, and residual r.
if isempty((@view R[1:int_ac,1:int_ac]))
# if isempty((@view R[1:cur_r_size,1:cur_r_size]))
condS = 1
else
# rmin = minimum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
# rmax = maximum(diag((@view R[1:cur_r_size, 1:cur_r_size])))
rmin = minimum(diag((@view R[1:int_ac, 1:int_ac])))
rmax = maximum(diag((@view R[1:int_ac, 1:int_ac])))
condS = rmax / rmin
end

if itn == 0
x = Float64[]
r = b
z = A_T * r
nprodAt += 1
zmax = norm(z, Inf)
else
x,y = csne( (@view R[1:cur_r_size, 1:cur_r_size]),
(@view S[:,1:cur_r_size]), vec(b))
# x,y = csne( (@view R[1:cur_r_size, 1:cur_r_size]),
# (@view S[:,1:cur_r_size]), vec(b))
x,y = csne( (@view R[1:int_ac, 1:int_ac]),
(@view S[:,1:int_ac]), vec(b))
if norm(x, Inf) > 1e12
eFlag = :EXIT_SINGULAR_LS
break
end
Sx = (@view S[:,1:cur_r_size]) * x
Sx = (@view S[:,1:int_ac]) * x
# Sx = (@view S[:,1:cur_r_size]) * x

r = b - Sx
end

rNorm = norm(r, 2)
xNorm = norm(x, 1)

if traceFlag
push!(tracer.iteration, itn)
push!(tracer.lambda, zmax)
sparse_x_full = spzeros(n)
@views act_now = (itn == 0) ? Int[] : active[1:int_ac]
# @views act_now = (itn == 0) ? Int[] : active[1:cur_r_size]
@assert length(act_now) == length(x)
sparse_x_full[act_now] = x
push!(tracer.solution, copy(sparse_x_full))
end

if loglevel>0
@info @sprintf("%4i %8i %12.5e %12.5e %12.5e", itn, p, zmax, rNorm, xNorm)
end

# Check exit conditions.
if eFlag != :EXIT_UNKNOWN
# Already set. Don't test the other exits.
elseif zmax <= λin
eFlag = :EXIT_LAMBDA
elseif rNorm <= optTol
Expand All @@ -173,41 +198,52 @@ function asp_omp(
if eFlag != :EXIT_UNKNOWN
break
end

# New iteration starts here.
# New iter
itn += 1

# Find step to the nearest inactive constraint
z = A_T * r
# mul!(z, A', r)
nprodAt += 1
zmax, p = findmax(abs.(z))

# if z[p] < 0
# state[p] = -1
# else
# state[p] = 1
# end
z_masked = copy(z)
z_masked[active] .= 0
zmax, p = findmax(abs.(z_masked))
if p in active
continue
end

push!(active, p)

zerovec[p] = 1 # Extract a = A[:, p]
a = A * zerovec # Compute A[:, p]
zerovec[p] = 1 # get a = A[:, p]
a = A * zerovec

nprodA += 1
zerovec[p] = 0
qraddcol!(S, R, a, int_ac, work, work2, work3, work4, work5) # Update R

qraddcol!(S, R, a, cur_r_size, work, work2, work3, work4, work5) # Update R
# qraddcol!(S, R, a, cur_r_size, work, work2, work3, work4, work5) # Update R
# S = hcat(S, a) # Expand S, active
cur_r_size +=1
# cur_r_size +=1
int_ac+=1
# if itn % refactor_freq == 0 && cur_r_size > 0
# F = qr!(S[:, 1:cur_r_size])
# @views R[1:cur_r_size, 1:cur_r_size] = F.R
# end

if traceFlag
push!(tracer.iteration, itn)
push!(tracer.lambda, zmax)
sparse_x_full = spzeros(n)
sparse_x_full[copy(active)] = copy(x)
push!(tracer.solution, copy(sparse_x_full))
if itn % refactor_freq == 0 && int_ac > 0
F = qr!(S[:, 1:int_ac])
@views R[1:int_ac, 1:int_ac] = F.R
end
push!(active, p)

if condS > 1e+6
F = qr!(S[:, 1:int_ac])
@views R[1:int_ac, 1:int_ac] = F.R
end

# if condS > 1e+6
# F = qr!(S[:, 1:cur_r_size])
# @views R[1:cur_r_size, 1:cur_r_size] = F.R
# end
end #while true

push!(tracer.iteration, itn)
Expand All @@ -218,7 +254,7 @@ function asp_omp(

tottime = time() - time0
if loglevel > 0
@info @sprintf("\nEXIT BPdual -- %s\n", EXIT_INFO[eFlag])
@info @sprintf("\nEXIT OMP -- %s\n", EXIT_INFO[eFlag])
@info @sprintf("%-20s: %8i", "Products with A", nprodA)
@info @sprintf("%-20s: %8i", "Products with At", nprodAt)
@info @sprintf("%-20s: %8.1e", "Solution time (sec)", tottime)
Expand Down
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