worhp update

src/core/createLocalSolvers.m

@@ -125,31 +125,15 @@
 end
 
 function res = build_local_NLP_with_worhp(f, g, h, A, lambda, rho, z, Sigma, x0, lbx, ubx, dgdx, dfdx, Hessian)
-    % assumption: least-square problem, i.e. without constraints
+    %% assumption: least-square problem, i.e. without constraints
     cost = @(x)build_cost(x, f(x), lambda, A, rho, z, Sigma);
     grad = @(x)build_grad(x, dfdx(x), lambda, A, rho, z, Sigma);
-    % unconstrained problem and Hessian is computed by hand
-<<<<<<< HEAD
-    Hess = @(x, mu, scale)(Hessian(x,lambda) + rho*Sigma);
+    Hess.Func = @(x)build_hessian(x, Hessian(x,0,0), rho, Sigma);
+    % [cost, grad] = @(x)build_function(x, f(x), dfdx(x), [], lambda, A, rho, z, Sigma)
+    Nx   = numel(x0);
+    % transform hessian matrix into hessian vector for WORHP solver
+    [Hess.row,Hess.col,Hess.pos] = build_Hess_indx_worhp(Hess.Func,Nx);
     [xopt, multiplier] = worhp_interface(cost,grad,Hess,x0',lbx',ubx');
-=======
-    % Sparse
-    Nx = numel(x0);
-    nr = 3;
-    S  = zeros(Nx,Nx);
-    for i=1:nr
-        S = S + full(build_hessian(rand(Nx,1), Hessian, rho, Sigma) ~=0);
-    end
-    % get sparsity
-    S = S ~=0;
-    % convert everything to vectors for WORHP
-    [ pos1, pos2 ] = find(S);
-    posCombined    = find(S);
-
-    Hess = @(x, mu, scale)build_hessian(x, Hessian, rho, Sigma, mu, scale, posCombined);
-
-    [xopt, multiplier] = worhp_interface(cost,grad,Hess,x0',lbx',ubx',pos1,pos2);
->>>>>>> 51decb027cdbf4842a4a4170f817b0edeff62a6d
     res.x = xopt;
     res.lam_g = [];
     res.lam_x = multiplier;
@@ -177,34 +161,38 @@
     grad = dfdx + A'*lambda + rho*Sigma*(x - z);
 end
 
-<<<<<<< HEAD
-function hm  = build_hessian(x, Hessian, rho, Sigma, mu, scale, posCombined)
+function hm  = build_hessian(x, Hessian, rho, Sigma)
     hm   = Hessian + rho*Sigma;
-=======
-
-function hm  = build_hessian(x, Hessian, rho, Sigma, mu, scale, posCombined)
-    hm   = Hessian(x,0,0) + rho*Sigma;
->>>>>>> 51decb027cdbf4842a4a4170f817b0edeff62a6d
-    if nargin > 4
-        hm = hm * scale;
-        hm = hm(:);
-        hm = long(hm(posCombined));
-    end
 end
 
-<<<<<<< HEAD
-=======
 % function hv  = hessian_vector(x, mu, scale, posCombined, Hess)
 %     hm   = scale * Hess()
 % 
 % end
 
 
->>>>>>> 51decb027cdbf4842a4a4170f817b0edeff62a6d
 function [ineq, eq, jac_ineq, jac_eq] = build_nonlcon(x, g, h, dgdx)
     ineq = h(x);
     eq = g(x);
     jac_ineq = [];
     jac_eq = dgdx(x)';
 end
 
+function [Hrow, Hcol, Hpos] = build_Hess_indx_worhp(H, Nx)
+    nr = 5;
+    S  = zeros(Nx,Nx);
+    for i=1:nr
+        S = S + full(H(rand(Nx,1)/100) ~=0);
+    end
+    % get sparsity
+    S = S ~=0;
+    % convert everything to vectors for WORHP
+    [row, col] = find(S);
+    position_number = find(S);
+
+    diag = find(row == col);
+    low_triangle = find(row>col);
+    Hrow = [row(low_triangle);row(diag)]';
+    Hcol = [col(low_triangle);col(diag)]';
+    Hpos = [position_number(low_triangle); position_number(diag)];
+end