#include #include static PetscErrorCode estsv(PetscInt n, PetscReal *r, PetscInt ldr, PetscReal *svmin, PetscReal *z) { PetscBLASInt blas1 = 1, blasn, blasnmi, blasj, blasldr; PetscInt i, j; PetscReal e, temp, w, wm, ynorm, znorm, s, sm; PetscFunctionBegin; PetscCall(PetscBLASIntCast(n, &blasn)); PetscCall(PetscBLASIntCast(ldr, &blasldr)); for (i = 0; i < n; i++) z[i] = 0.0; e = PetscAbs(r[0]); if (e == 0.0) { *svmin = 0.0; z[0] = 1.0; } else { /* Solve R'*y = e */ for (i = 0; i < n; i++) { /* Scale y. The scaling factor (0.01) reduces the number of scalings */ if (z[i] >= 0.0) e = -PetscAbs(e); else e = PetscAbs(e); if (PetscAbs(e - z[i]) > PetscAbs(r[i + ldr * i])) { temp = PetscMin(0.01, PetscAbs(r[i + ldr * i])) / PetscAbs(e - z[i]); PetscCallBLAS("BLASscal", BLASscal_(&blasn, &temp, z, &blas1)); e = temp * e; } /* Determine the two possible choices of y[i] */ if (r[i + ldr * i] == 0.0) { w = wm = 1.0; } else { w = (e - z[i]) / r[i + ldr * i]; wm = -(e + z[i]) / r[i + ldr * i]; } /* Chose y[i] based on the predicted value of y[j] for j>i */ s = PetscAbs(e - z[i]); sm = PetscAbs(e + z[i]); for (j = i + 1; j < n; j++) sm += PetscAbs(z[j] + wm * r[i + ldr * j]); if (i < n - 1) { PetscCall(PetscBLASIntCast(n - i - 1, &blasnmi)); PetscCallBLAS("BLASaxpy", BLASaxpy_(&blasnmi, &w, &r[i + ldr * (i + 1)], &blasldr, &z[i + 1], &blas1)); PetscCallBLAS("BLASasum", s += BLASasum_(&blasnmi, &z[i + 1], &blas1)); } if (s < sm) { temp = wm - w; w = wm; if (i < n - 1) PetscCallBLAS("BLASaxpy", BLASaxpy_(&blasnmi, &temp, &r[i + ldr * (i + 1)], &blasldr, &z[i + 1], &blas1)); } z[i] = w; } PetscCallBLAS("BLASnrm2", ynorm = BLASnrm2_(&blasn, z, &blas1)); /* Solve R*z = y */ for (j = n - 1; j >= 0; j--) { /* Scale z */ if (PetscAbs(z[j]) > PetscAbs(r[j + ldr * j])) { temp = PetscMin(0.01, PetscAbs(r[j + ldr * j] / z[j])); PetscCallBLAS("BLASscal", BLASscal_(&blasn, &temp, z, &blas1)); ynorm *= temp; } if (r[j + ldr * j] == 0) { z[j] = 1.0; } else { z[j] = z[j] / r[j + ldr * j]; } temp = -z[j]; PetscCall(PetscBLASIntCast(j, &blasj)); PetscCallBLAS("BLASaxpy", BLASaxpy_(&blasj, &temp, &r[0 + ldr * j], &blas1, z, &blas1)); } /* Compute svmin and normalize z */ PetscCallBLAS("BLASnrm2", znorm = 1.0 / BLASnrm2_(&blasn, z, &blas1)); *svmin = ynorm * znorm; PetscCallBLAS("BLASscal", BLASscal_(&blasn, &znorm, z, &blas1)); } PetscFunctionReturn(PETSC_SUCCESS); } /* c *********** c c Subroutine gqt c c Given an n by n symmetric matrix A, an n-vector b, and a c positive number delta, this subroutine determines a vector c x which approximately minimizes the quadratic function c c f(x) = (1/2)*x'*A*x + b'*x c c subject to the Euclidean norm constraint c c norm(x) <= delta. c c This subroutine computes an approximation x and a Lagrange c multiplier par such that either par is zero and c c norm(x) <= (1+rtol)*delta, c c or par is positive and c c abs(norm(x) - delta) <= rtol*delta. c c If xsol is the solution to the problem, the approximation x c satisfies c c f(x) <= ((1 - rtol)**2)*f(xsol) c c The subroutine statement is c c subroutine gqt(n,a,lda,b,delta,rtol,atol,itmax, c par,f,x,info,z,wa1,wa2) c c where c c n is an integer variable. c On entry n is the order of A. c On exit n is unchanged. c c a is a double precision array of dimension (lda,n). c On entry the full upper triangle of a must contain the c full upper triangle of the symmetric matrix A. c On exit the array contains the matrix A. c c lda is an integer variable. c On entry lda is the leading dimension of the array a. c On exit lda is unchanged. c c b is an double precision array of dimension n. c On entry b specifies the linear term in the quadratic. c On exit b is unchanged. c c delta is a double precision variable. c On entry delta is a bound on the Euclidean norm of x. c On exit delta is unchanged. c c rtol is a double precision variable. c On entry rtol is the relative accuracy desired in the c solution. Convergence occurs if c c f(x) <= ((1 - rtol)**2)*f(xsol) c c On exit rtol is unchanged. c c atol is a double precision variable. c On entry atol is the absolute accuracy desired in the c solution. Convergence occurs when c c norm(x) <= (1 + rtol)*delta c c max(-f(x),-f(xsol)) <= atol c c On exit atol is unchanged. c c itmax is an integer variable. c On entry itmax specifies the maximum number of iterations. c On exit itmax is unchanged. c c par is a double precision variable. c On entry par is an initial estimate of the Lagrange c multiplier for the constraint norm(x) <= delta. c On exit par contains the final estimate of the multiplier. c c f is a double precision variable. c On entry f need not be specified. c On exit f is set to f(x) at the output x. c c x is a double precision array of dimension n. c On entry x need not be specified. c On exit x is set to the final estimate of the solution. c c info is an integer variable. c On entry info need not be specified. c On exit info is set as follows: c c info = 1 The function value f(x) has the relative c accuracy specified by rtol. c c info = 2 The function value f(x) has the absolute c accuracy specified by atol. c c info = 3 Rounding errors prevent further progress. c On exit x is the best available approximation. c c info = 4 Failure to converge after itmax iterations. c On exit x is the best available approximation. c c z is a double precision work array of dimension n. c c wa1 is a double precision work array of dimension n. c c wa2 is a double precision work array of dimension n. c c Subprograms called c c MINPACK-2 ...... destsv c c LAPACK ......... dpotrf c c Level 1 BLAS ... daxpy, dcopy, ddot, dnrm2, dscal c c Level 2 BLAS ... dtrmv, dtrsv c c MINPACK-2 Project. October 1993. c Argonne National Laboratory and University of Minnesota. c Brett M. Averick, Richard Carter, and Jorge J. More' c c *********** */ PetscErrorCode gqt(PetscInt n, PetscReal *a, PetscInt lda, PetscReal *b, PetscReal delta, PetscReal rtol, PetscReal atol, PetscInt itmax, PetscReal *retpar, PetscReal *retf, PetscReal *x, PetscInt *retinfo, PetscInt *retits, PetscReal *z, PetscReal *wa1, PetscReal *wa2) { PetscReal f = 0.0, p001 = 0.001, p5 = 0.5, minusone = -1, delta2 = delta * delta; PetscInt iter, j, rednc, info; PetscBLASInt indef; PetscBLASInt blas1 = 1, blasn, iblas, blaslda, blasldap1, blasinfo; PetscReal alpha, anorm, bnorm, parc, parf, parl, pars, par = *retpar, paru, prod, rxnorm, rznorm = 0.0, temp, xnorm; PetscFunctionBegin; PetscCall(PetscBLASIntCast(n, &blasn)); PetscCall(PetscBLASIntCast(lda, &blaslda)); PetscCall(PetscBLASIntCast(lda + 1, &blasldap1)); parf = 0.0; xnorm = 0.0; rxnorm = 0.0; rednc = 0; for (j = 0; j < n; j++) { x[j] = 0.0; z[j] = 0.0; } /* Copy the diagonal and save A in its lower triangle */ PetscCallBLAS("BLAScopy", BLAScopy_(&blasn, a, &blasldap1, wa1, &blas1)); for (j = 0; j < n - 1; j++) { PetscCall(PetscBLASIntCast(n - j - 1, &iblas)); PetscCallBLAS("BLAScopy", BLAScopy_(&iblas, &a[j + lda * (j + 1)], &blaslda, &a[j + 1 + lda * j], &blas1)); } /* Calculate the l1-norm of A, the Gershgorin row sums, and the l2-norm of b */ anorm = 0.0; for (j = 0; j < n; j++) { PetscCallBLAS("BLASasum", wa2[j] = BLASasum_(&blasn, &a[0 + lda * j], &blas1)); CHKMEMQ; anorm = PetscMax(anorm, wa2[j]); } for (j = 0; j < n; j++) wa2[j] = wa2[j] - PetscAbs(wa1[j]); PetscCallBLAS("BLASnrm2", bnorm = BLASnrm2_(&blasn, b, &blas1)); CHKMEMQ; /* Calculate a lower bound, pars, for the domain of the problem. Also calculate an upper bound, paru, and a lower bound, parl, for the Lagrange multiplier. */ pars = parl = paru = -anorm; for (j = 0; j < n; j++) { pars = PetscMax(pars, -wa1[j]); parl = PetscMax(parl, wa1[j] + wa2[j]); paru = PetscMax(paru, -wa1[j] + wa2[j]); } parl = PetscMax(bnorm / delta - parl, pars); parl = PetscMax(0.0, parl); paru = PetscMax(0.0, bnorm / delta + paru); /* If the input par lies outside of the interval (parl, paru), set par to the closer endpoint. */ par = PetscMax(par, parl); par = PetscMin(par, paru); /* Special case: parl == paru */ paru = PetscMax(paru, (1.0 + rtol) * parl); /* Beginning of an iteration */ info = 0; for (iter = 1; iter <= itmax; iter++) { /* Safeguard par */ if (par <= pars && paru > 0) par = PetscMax(p001, PetscSqrtScalar(parl / paru)) * paru; /* Copy the lower triangle of A into its upper triangle and compute A + par*I */ for (j = 0; j < n - 1; j++) { PetscCall(PetscBLASIntCast(n - j - 1, &iblas)); PetscCallBLAS("BLAScopy", BLAScopy_(&iblas, &a[j + 1 + j * lda], &blas1, &a[j + (j + 1) * lda], &blaslda)); } for (j = 0; j < n; j++) a[j + j * lda] = wa1[j] + par; /* Attempt the Cholesky factorization of A without referencing the lower triangular part. */ PetscCallBLAS("LAPACKpotrf", LAPACKpotrf_("U", &blasn, a, &blaslda, &indef)); /* Case 1: A + par*I is pos. def. */ if (indef == 0) { /* Compute an approximate solution x and save the last value of par with A + par*I pos. def. */ parf = par; PetscCallBLAS("BLAScopy", BLAScopy_(&blasn, b, &blas1, wa2, &blas1)); PetscCallBLAS("LAPACKtrtrs", LAPACKtrtrs_("U", "T", "N", &blasn, &blas1, a, &blaslda, wa2, &blasn, &blasinfo)); PetscCheck(!blasinfo, PETSC_COMM_SELF, PETSC_ERR_LIB, "LAPACKtrtrs() returned info %" PetscBLASInt_FMT, blasinfo); PetscCallBLAS("BLASnrm2", rxnorm = BLASnrm2_(&blasn, wa2, &blas1)); PetscCallBLAS("LAPACKtrtrs", LAPACKtrtrs_("U", "N", "N", &blasn, &blas1, a, &blaslda, wa2, &blasn, &blasinfo)); PetscCheck(!blasinfo, PETSC_COMM_SELF, PETSC_ERR_LIB, "LAPACKtrtrs() returned info %" PetscBLASInt_FMT, blasinfo); PetscCallBLAS("BLAScopy", BLAScopy_(&blasn, wa2, &blas1, x, &blas1)); PetscCallBLAS("BLASscal", BLASscal_(&blasn, &minusone, x, &blas1)); PetscCallBLAS("BLASnrm2", xnorm = BLASnrm2_(&blasn, x, &blas1)); CHKMEMQ; /* Test for convergence */ if (PetscAbs(xnorm - delta) <= rtol * delta || (par == 0 && xnorm <= (1.0 + rtol) * delta)) info = 1; /* Compute a direction of negative curvature and use this information to improve pars. */ PetscCall(estsv(n, a, lda, &rznorm, z)); CHKMEMQ; pars = PetscMax(pars, par - rznorm * rznorm); /* Compute a negative curvature solution of the form x + alpha*z, where norm(x+alpha*z)==delta */ rednc = 0; if (xnorm < delta) { /* Compute alpha */ PetscCallBLAS("BLASdot", prod = BLASdot_(&blasn, z, &blas1, x, &blas1) / delta); temp = (delta - xnorm) * ((delta + xnorm) / delta); alpha = temp / (PetscAbs(prod) + PetscSqrtScalar(prod * prod + temp / delta)); if (prod >= 0) alpha = PetscAbs(alpha); else alpha = -PetscAbs(alpha); /* Test to decide if the negative curvature step produces a larger reduction than with z=0 */ rznorm = PetscAbs(alpha) * rznorm; if ((rznorm * rznorm + par * xnorm * xnorm) / (delta2) <= par) rednc = 1; /* Test for convergence */ if (p5 * rznorm * rznorm / delta2 <= rtol * (1.0 - p5 * rtol) * (par + rxnorm * rxnorm / delta2)) { info = 1; } else if (info == 0 && (p5 * (par + rxnorm * rxnorm / delta2) <= atol / delta2)) { info = 2; } } /* Compute the Newton correction parc to par. */ if (xnorm == 0) { parc = -par; } else { PetscCallBLAS("BLAScopy", BLAScopy_(&blasn, x, &blas1, wa2, &blas1)); temp = 1.0 / xnorm; PetscCallBLAS("BLASscal", BLASscal_(&blasn, &temp, wa2, &blas1)); PetscCallBLAS("LAPACKtrtrs", LAPACKtrtrs_("U", "T", "N", &blasn, &blas1, a, &blaslda, wa2, &blasn, &blasinfo)); PetscCheck(!blasinfo, PETSC_COMM_SELF, PETSC_ERR_LIB, "LAPACKtrtrs() returned info %" PetscBLASInt_FMT, blasinfo); PetscCallBLAS("BLASnrm2", temp = BLASnrm2_(&blasn, wa2, &blas1)); parc = (xnorm - delta) / (delta * temp * temp); } /* update parl or paru */ if (xnorm > delta) { parl = PetscMax(parl, par); } else if (xnorm < delta) { paru = PetscMin(paru, par); } } else { /* Case 2: A + par*I is not pos. def. */ /* Use the rank information from the Cholesky decomposition to update par. */ if (indef > 1) { /* Restore column indef to A + par*I. */ iblas = indef - 1; PetscCallBLAS("BLAScopy", BLAScopy_(&iblas, &a[indef - 1 + 0 * lda], &blaslda, &a[0 + (indef - 1) * lda], &blas1)); a[indef - 1 + (indef - 1) * lda] = wa1[indef - 1] + par; /* compute parc. */ PetscCallBLAS("BLAScopy", BLAScopy_(&iblas, &a[0 + (indef - 1) * lda], &blas1, wa2, &blas1)); PetscCallBLAS("LAPACKtrtrs", LAPACKtrtrs_("U", "T", "N", &iblas, &blas1, a, &blaslda, wa2, &blasn, &blasinfo)); PetscCheck(!blasinfo, PETSC_COMM_SELF, PETSC_ERR_LIB, "LAPACKtrtrs() returned info %" PetscBLASInt_FMT, blasinfo); PetscCallBLAS("BLAScopy", BLAScopy_(&iblas, wa2, &blas1, &a[0 + (indef - 1) * lda], &blas1)); PetscCallBLAS("BLASnrm2", temp = BLASnrm2_(&iblas, &a[0 + (indef - 1) * lda], &blas1)); CHKMEMQ; a[indef - 1 + (indef - 1) * lda] -= temp * temp; PetscCallBLAS("LAPACKtrtrs", LAPACKtrtrs_("U", "N", "N", &iblas, &blas1, a, &blaslda, wa2, &blasn, &blasinfo)); PetscCheck(!blasinfo, PETSC_COMM_SELF, PETSC_ERR_LIB, "LAPACKtrtrs() returned info %" PetscBLASInt_FMT, blasinfo); } wa2[indef - 1] = -1.0; iblas = indef; PetscCallBLAS("BLASnrm2", temp = BLASnrm2_(&iblas, wa2, &blas1)); parc = -a[indef - 1 + (indef - 1) * lda] / (temp * temp); pars = PetscMax(pars, par + parc); /* If necessary, increase paru slightly. This is needed because in some exceptional situations paru is the optimal value of par. */ paru = PetscMax(paru, (1.0 + rtol) * pars); } /* Use pars to update parl */ parl = PetscMax(parl, pars); /* Test for converged. */ if (info == 0) { if (iter == itmax) info = 4; if (paru <= (1.0 + p5 * rtol) * pars) info = 3; if (paru == 0.0) info = 2; } /* If exiting, store the best approximation and restore the upper triangle of A. */ if (info != 0) { /* Compute the best current estimates for x and f. */ par = parf; f = -p5 * (rxnorm * rxnorm + par * xnorm * xnorm); if (rednc) { f = -p5 * (rxnorm * rxnorm + par * delta * delta - rznorm * rznorm); PetscCallBLAS("BLASaxpy", BLASaxpy_(&blasn, &alpha, z, &blas1, x, &blas1)); } /* Restore the upper triangle of A */ for (j = 0; j < n; j++) { PetscCall(PetscBLASIntCast(n - j - 1, &iblas)); PetscCallBLAS("BLAScopy", BLAScopy_(&iblas, &a[j + 1 + j * lda], &blas1, &a[j + (j + 1) * lda], &blaslda)); } PetscCall(PetscBLASIntCast(lda + 1, &iblas)); PetscCallBLAS("BLAScopy", BLAScopy_(&blasn, wa1, &blas1, a, &iblas)); break; } par = PetscMax(parl, par + parc); } *retpar = par; *retf = f; *retinfo = info; *retits = iter; CHKMEMQ; PetscFunctionReturn(PETSC_SUCCESS); }