qcqp.py 文件源码

def admm_phase2(x0, prob, rho, tol=1e-2, num_iters=1000, viol_lim=1e4):
    logging.info("Starting ADMM phase 2 with rho %.3f", rho)

    bestx = np.copy(x0)

    z = np.copy(x0)
    xs = [np.copy(x0) for i in range(prob.m)]
    us = [np.zeros(prob.n) for i in range(prob.m)]

    if prob.rho != rho:
        prob.rho = rho
        zlhs = 2*(prob.f0.P + rho*prob.m*sp.identity(prob.n)).tocsc()
        prob.z_solver = SLA.factorized(zlhs)

    last_z = None
    for t in range(num_iters):
        rhs = 2*rho*(sum(xs)-sum(us)) - prob.f0.qarray
        z = prob.z_solver(rhs)

        # TODO: parallel x/u-updates
        for i in range(prob.m):
            xs[i] = onecons_qcqp(z + us[i], prob.fi(i))
        for i in range(prob.m):
            us[i] += z - xs[i]

        # TODO: termination condition
        if last_z is not None and LA.norm(last_z - z) < tol:
            break
        last_z = z

        maxviol = max(prob.violations(z))
        logging.info("Iteration %d, violation %.3f", t, maxviol)

        if maxviol > viol_lim: break
        bestx = np.copy(prob.better(z, bestx))

    return bestx