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projection.jl
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#=================================================
PLCP: detailed timing of Algorithm 1
- xbarsort: preallocated output vector
- x0sort: sorted input vector
- r: scalar budget parameter
- k: integer
- active: binary for whether Tk(x0sort) > r
- x0prepop: binary for whether xbarsort .= x0sort
- verb: binary for verbosity level
- hist: binary for history
=================================================#
function project_topksum_plcp_experiment!(
xbarsort::AbstractVector{Tfr}, x0sort::AbstractVector{Tfr}, r::Tfr, k::Ti, active::Bool=true,
x0prepop::Bool=false, verb::Bool=false, hist::Bool=false
) where {Tfr<:Union{AbstractFloat,Rational},Ti<:Integer}
time_init_1 = @elapsed begin
# inactive
n = length(x0sort)
if !active
case = 0
if !x0prepop
@simd for i in 1:n
@inbounds xbarsort[i] = x0sort[i]
end
end
if hist
return 0, (-1, -1), 0, (0.0, 0.0, 0.0), [(0,0)], case, 0.0
else
return 0, (-1, -1), 0, (0.0, 0.0, 0.0), case, 0.0
end
end
# initialize
solved::Bool = false
n = length(x0sort)
t::Ti = 0
s0::Tfr = sum(view(x0sort, 1:k))
qk::Tfr = (k == n ? typemax(Tfr) : x0sort[k] - x0sort[k+1])
lam::Tfr = 0
case::Ti = 0
end # time_init_1
if k == n
if verb
println("case k=n: solve directly")
end
time_primal = @elapsed begin
# xbarsort = x0sort - (s0 - r)/n
lam = (s0 - r) / k
case = -2
@simd for i in 1:k
@inbounds xbarsort[i] -= lam
end
end # time_primal
if hist
return 0, (0,n), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lam
else
return 0, (0,n), 0, (time_init_1, 0.0, time_primal), case, lam
end
elseif k == 1
if verb
println("case k=1: solve directly")
end
time_primal = @elapsed begin
case = -1
# xbarsort = min(x0sort, r)
if x0prepop
for i in 1:n
@inbounds xbarsort[i] = min(x0sort[i], r)
if x0sort[i] <= r
break
end
end
else
@simd for i in 1:n
@inbounds xbarsort[i] = min(x0sort[i], r)
end
end
end # time_primal
if hist
return 0, (0,findfirst(x0sort .< r)), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lam
else
return 0, (0,findfirst(x0sort .< r)), 0, (time_init_1, 0.0, time_primal), case, lam
end
else
# t = 0
# evaluate mks @ x(lam_1): lam_1=q_k & z=0
time_primal = @elapsed begin
case = 2
lam = qk
m = s0 - k * lam
if m <= r
lam = (s0 - r) / k
if verb
println("lam = $lam")
println("m = s0 - k * lam = $s0 - $(k * lam) = $(s0 - k * lam)")
println("r - m >= 0? r-m = $(r-m)")
println("solved t=0!")
println("lamstar=$lam")
end
solved = true
if x0prepop
@simd for i in 1:k
@inbounds xbarsort[i] -= lam
end
else
@simd for i in 1:k
@inbounds xbarsort[i] = x0sort[i] - lam
end
@simd for i in k+1:n
@inbounds xbarsort[i] = x0sort[i]
end
end
end
end # time_primal
if solved
if hist
return 0, (0, 0), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lam
else
return 0, (0, 0), 0, (time_init_1, 0.0, time_primal), case, lam
end
end
end
time_init_2 = @elapsed begin
# t = 1
case = 1
t = 1
a = k
b = k
a_alpha = one(Ti)
k_alpha = one(Ti)
b_alpha = one(Ti)
sigma::Tfr = 3 // 2
lam = qk
lam_a::Tfr = qk
lam_b::Tfr = qk
za::Tfr = -qk / 2
zk::Tfr = -qk / 2 # solve 2zk - 1zk+1 + qk = 0
zb::Tfr = -qk / 2
minv_ak = (t + one(Tfr) - k_alpha) / (t + one(Tfr)) # == minv_ka
minv_bk = one(Tfr) - minv_ak # == minv_kb
minv_ab = (t + one(Tfr) - b_alpha) / (t + one(Tfr)) # == minv_ba
minv_kk = ((t + one(Tfr) - k_alpha) * k_alpha ) / (t + one(Tfr))
pInf = typemax(Tfr)
nInf = typemin(Tfr)
if hist
history = Vector{Tuple}(undef, n+1)
history[1] = (a, b)
end
end # time_init_2
# iterate
time_pivot = @elapsed begin
while true
if verb
println("\n-------------------------")
println("t = $t")
println("(a,b) = ($a,$b)")
println("(za, zk, zb) = $((za, zk, zb))")
end
# get breakpoint
lam_a = (a > 1 ? ((x0sort[a-1] - x0sort[a]) - za) / minv_ak : pInf) # (q[a-1] - za) / minv_ka
if b+1 < n
lam_b = ((x0sort[b+1] - x0sort[b+2]) - zb) / minv_bk
else
lam_b = pInf
end
lam = min(lam_a, lam_b)
if verb
println("lam_a = $lam_a")
println("lam_b = $lam_b")
if lam_a <= lam_b
println("s = a")
else
println("s = b")
end
println("lam = $lam\n")
end
# check max-k-sum
if lam != pInf
m = s0 - k * lam + zk + lam * minv_kk
if verb
println("m = s0 - k * lam + zk + lam * minv_kk = $m")
println("r-m = $(r-m)")
println("zk = $zk, lam=$lam, minv_kk=$minv_kk")
println("compare to m' = s0 - k*lam + (-qk + lam)/2 = $(s0 - k * lam + (-qk + lam)/2)")
println("r-m' = $(r - ((s0 - k * lam + (-qk + lam)/2)))")
end
else
m = nInf
end
if m <= r# + tol
lam = (s0 - r + zk) / (k - minv_kk)
if verb
println("m <= r, so rootfinding")
println("m=$m, r=$r")
println("(s0 - r + zk) = $s0 - $r + $zk = $(s0 - r + zk)")
println("k - minv_kk = $k - $minv_kk = $(k-minv_kk)")
println("lamstar = $lam")
end
solved = true
break
end
# update solution
if lam_a <= lam_b
# s = a-1
if verb; println("za = ($za - ($(x0sort[a-1]) - $(x0sort[a]))) / $sigma"); end
za = (za - (x0sort[a-1] - x0sort[a])) / sigma # q[a-1] = x0sort[a-1] - x0sort[a]
zk = zk + za * minv_ak
zb = zb + za * minv_ab
if verb; println("zk = $zk + $za * $minv_ak"); end
if verb; println("zb = $zb + $za * $minv_ab"); end
a -= 1
k_alpha += 1
b_alpha += 1
else
# s = b+1
if verb; println("zb = ($zb - ($(x0sort[b+1]) - $(x0sort[b+2]))) / $sigma"); end
zb = (zb - (x0sort[b+1] - x0sort[b+2])) / sigma # q[b+1] = x0sort[b+1] - x0sort[b+2]
za = za + zb * minv_ab
zk = zk + zb * minv_bk
if verb; println("za = $za + $zb * $minv_ab"); end
if verb; println("za = $zk + $zb * $minv_bk"); end
b += 1
b_alpha += 1
end
# increment basis length
t += 1 #! number of iterations == t-1
if hist
history[t] = (a, b)
end
# update M(alpha)⁻¹ quantities
minv_ak = (t + one(Tfr) - k_alpha) / (t + one(Tfr))
minv_bk = one(Tfr) - minv_ak
minv_ab = (t + one(Tfr) - b_alpha) / (t + one(Tfr))
minv_kk = ((t + one(Tfr) - k_alpha) * k_alpha ) / (t + one(Tfr))
if Tfr<:Rational
sigma = (t+2) // (t+1)
else
sigma = (t+2) / (t+1)
end
if verb
println("t / (t+1) = $(t / (t + 1))")
println("sigma=$sigma")
end
end
end # time_pivot
time_primal = @elapsed begin
if solved
if !x0prepop
xbarsort .= x0sort
end
for i in 1:k
xbarsort[i] -= lam
end
ypBtz!(xbarsort, x0sort, a, b, k_alpha, lam)
end
end # time_primal
# return
if hist
return 1, (a,b), t, (time_init_1+time_init_2, time_pivot, time_primal), hist, case, lam #! not t-1 bc haven't incremented t yet
else
return 1, (a,b), t, (time_init_1+time_init_2, time_pivot, time_primal), case, lam #! not t-1 bc shaven't incremented t yet
end
nothing
end
#=================================================
ESGS: detailed timing of Algorithm 3
- xbarsort: preallocated output vector
- x0sort: sorted input vector
- r: scalar budget parameter
- k: integer
- active: binary for whether Tk(x0sort) > r
- x0prepop: binary for whether xbarsort .= x0sort
- verb: binary for verbosity level
- hist: binary for history
=================================================#
function project_topksum_esgs_experiment!(
xbarsort::AbstractVector{Tfr}, x0sort::AbstractVector{Tfr}, r::Tfr, k::Ti,
active::Bool, x0prepop::Bool=false, verb::Bool=false, hist::Bool=false,
) where {Tfr<:Union{AbstractFloat,Rational},Ti<:Integer}
time_init_1 = @elapsed begin
# inactive
n = length(x0sort)
if !active
case = 0
if !x0prepop
@simd for i in 1:n
@inbounds xbarsort[i] = x0sort[i]
end
end
if hist
return 0, get_k0k1(xbarsort, k), 0, (0.0, 0.0, 0.0), [(0,0)], case, 0.0
else
return 0, get_k0k1(xbarsort, k), 0, (0.0, 0.0, 0.0), case, 0.0
end
end
# initialize
solved::Bool = false
n = length(x0sort)
s0::Tfr = sum(view(x0sort, 1:k))
lam::Tfr = 0
case::Ti = 0
end # time_init_1
if k == n
if verb
println("case k=n: solve directly")
end
time_primal = @elapsed begin
case = -2
# xbarsort = x0sort - (s0 - r)/n
lam = (s0 - r) / k
@simd for i in 1:k
@inbounds xbarsort[i] -= lam
end
end # time_primal
if hist
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lam
else
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), case, lam
end
elseif k == 1
if verb
println("case k=1: solve directly")
end
time_primal = @elapsed begin
case = -1
# xbarsort = min(x0sort, r)
if x0prepop
for i in 1:n
@inbounds xbarsort[i] = min(x0sort[i], r)
if x0sort[i] <= r
break
end
end
else
@simd for i in 1:n
@inbounds xbarsort[i] = min(x0sort[i], r)
end
end
end # time_primal
if hist
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lam
else
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), case, lam
end
end
time_init = @elapsed begin
# preprocessing
tol = zero(Tfr)
if Tfr <: Union{Integer, Rational}
tol = 0
else
# tol = eps(Tfr)*maximum(x0sort)
tol = eps(Tfr)*x0sort[1]
end
case = 1
n::Ti = length(x0sort)
k0::Ti = k-1
k1::Ti = k
kk0::Ti = 0
k1k0::Ti = 0
the = zero(Tfr) # theta
lam = zero(Tfr) # lambda
theplam = zero(Tfr) # theta + lambda
kkt2 = false
kkt5 = false
if verb
kkt1 = false
kkt3 = false
kkt4 = false
end
nit::Ti = 0
maxnit::Ti = length(x0sort)
sum1k0::Tfr = s0 - x0sort[k]
sumk0p1k1::Tfr = x0sort[k]
sum1k0r = zero(Tfr)
rho = zero(Tfr)
solved = false
if hist
history = Vector{Tuple}(undef, n+1)
history[1] = (k0, k1)
end
end # time_init
# iterate
time_pivot = @elapsed begin
while true
# counter
nit += 1
# rho, theta, and lambda
kk0 = k - k0
k1k0 = k1 - k0
rho = k0 * k1k0 + kk0^2
sum1k0r = sum1k0 - r
the = (k0 * sumk0p1k1 - kk0 * sum1k0r) / rho #! OK
if k0 > 0
theplam = (k * the + sum1k0r) / k0
else
theplam = (k * sumk0p1k1 + (k1-k) * sum1k0r) / rho
end
# kkt conditions
kkt2 = (k0 == 0 ? true : x0sort[k0] > theplam-tol) #! OK
kkt5 = (k1 == n ? true : the > x0sort[k1+1]-tol) #! OK
# debug
if verb
kkt1 = lam > 0
kkt3 = the + lam >= x0sort[k0+1]
kkt4 = x0sort[k1] >= the
println("----------------")
println("k0=$k0, k1=$k1")
println("the=$the, lam=$(theplam-the), rho=$rho")
println("sum1k0r_rho=$(sum1k0r/rho), sumk0p1k1_rho=$(sumk0p1k1/rho)")
println("kkt1=$kkt1, val=$(theplam-the)")
if k0 > 0
println("kkt2=$kkt2, val=$(k0==0 ? Inf : x0sort[k0]-(theplam))", ", $(x0sort[k0]) > $(theplam))")
end
println("kkt3=$kkt3, val=$((theplam) - x0sort[k0+1])")
println("kkt4=$kkt4, val=$(x0sort[k1] - the)")
if k1 < n
println("kkt5=$kkt5, val=$(the - (k1==n ? -Inf : x0sort[k1+1]))")
end
end
# move k0
if (kkt2 && kkt5) || (k0 == 0 && k1 == n)
solved = true
break
elseif kkt2 && (k1 < n)
k1 += 1
sumk0p1k1 += x0sort[k1]
if verb
printstyled("k1 <- k1+1\n"; color=:green)
end
elseif !kkt2 && (k0 > 0)
sum1k0 -= x0sort[k0]
sumk0p1k1 += (k0 > 0 ? x0sort[k0] : 0)
k0 -= 1
if verb
printstyled("k0 <- k0-1\n"; color=:blue)
end
end
# history
if hist
history[nit+1] = (k0, k1)
end
end
end # time_pivot
# stop
time_primal = @elapsed begin
if solved
lam = theplam - the
if x0prepop
@simd for i in 1:k0
@inbounds xbarsort[i] -= lam
end
else
@simd for i in 1:k0
@inbounds xbarsort[i] = x0sort[i] - lam
end
end
@simd for i in k0+1:k1
@inbounds xbarsort[i] = the
end
if !x0prepop
@simd for i in k1+1:n
@inbounds xbarsort[i] = x0sort[i]
end
end
end
end # time_primal
if solved
if !hist
return 1, (k0, k1), nit, (time_init, time_pivot, time_primal), case, lam
else
return 1, (k0, k1), nit, (time_init, time_pivot, time_primal), history, case, lam
end
elseif nit >= maxnit
if !hist
if verb; printstyled("error\n"; color=:red); end
return 1, (-2, -2), nit, (time_init, time_pivot, time_primal), case, lam
else
if verb; printstyled("error\n"; color=:red); end
return 1, (-2, -2), nit, (time_init, time_pivot, time_primal), history, case, lam
end
end
end
#=================================================
GRID: detailed timing of GRID algorithm
- xbarsort: preallocated output vector
- x0sort: sorted input vector
- r: scalar budget parameter
- k: integer
- active: binary for whether Tk(x0sort) > r
- x0prepop: binary for whether xbarsort .= x0sort
- verb: binary for verbosity level
- hist: binary for history
=================================================#
function project_topksum_grid_experiment!(
xbarsort::AbstractVector{Tfr}, x0sort::AbstractVector{Tfr}, r::Tfr, k::Ti,
active::Bool, x0prepop::Bool=false, verb::Bool=false, hist::Bool=false, maxt::Real=10_000,
) where {Tfr<:Union{AbstractFloat,Rational},Ti<:Integer}
t_start = time()
time_init_1 = @elapsed begin
# inactive
n = length(x0sort)
if !active
case = 0
if !x0prepop
@simd for i in 1:n
@inbounds xbarsort[i] = x0sort[i]
end
end
if hist
return 0, (-1, -1), 0, (0.0, 0.0, 0.0), [(0,0)], case, 0.0
else
return 0, (-1, -1), 0, (0.0, 0.0, 0.0), case, 0.0
end
end
# initialize
solved::Bool = false
n = length(x0sort)
s0::Tfr = sum(x0sort[1:k])
lambda::Tfr = 0
case::Ti = 0
end # time_init_1
if k == n
if verb
println("case k=n: solve directly")
end
time_primal = @elapsed begin
case = -2
# xbarsort = x0sort - (s0 - r)/n
lambda = (s0 - r) / k
@simd for i in 1:k
@inbounds xbarsort[i] -= lambda
end
end # time_primal
if hist
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lambda
else
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), case, lambda
end
elseif k == 1
if verb
println("case k=1: solve directly")
end
time_primal = @elapsed begin
case = -1
# xbarsort = min(x0sort, r)
if x0prepop
for i in 1:n
@inbounds xbarsort[i] = min(x0sort[i], r)
if x0sort[i] <= r
break
end
end
else
@simd for i in 1:n
@inbounds xbarsort[i] = min(x0sort[i], r)
end
end
end # time_primal
if hist
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), [(0,0)], case, lam
else
return 0, get_k0k1(xbarsort, k), 0, (time_init_1, 0.0, time_primal), case, lam
end
end
time_init_1 = @elapsed begin
#=
preprocessing
=#
case = 0
tol::Tfr = 0
if Tfr <: Union{Integer, Rational}
tol = 0
else
tol = eps(Tfr)*x0sort[1]
end
n = length(x0sort)
nit::Ti = 0
if hist
history = Vector{Tuple}(undef, n+1)
history[1] = (k0, k1)
end
end # time_init_1
#=
case 1
=#
case = 1
time_init_2 = @elapsed begin
# initialize
k0::Ti = k - one(Ti);
flag::Ti = zero(Ti);
k1::Ti = k;
sum1k = s0;
sum1k0::Tfr = sum1k - x0sort[k];
sumk0p1k::Tfr = x0sort[k];
sumk0p1k1::Tfr = zero(Tfr);
sumk0p1k1 = sumk0p1k;
rho::Ti = k0 * (k1 - k0) + (k - k0)^2;
kk0::Ti = k - k0;
k1k0::Ti = k1 - k0;
sum1k0r_rho::Tfr = zero(Tfr); # (sum1k0 - r) / rho
sumk0p1k1_rho::Tfr = zero(Tfr); # sumk0p1k1 / rho
theta::Tfr = zero(Tfr);
R::Tfr = zero(Tfr); # R :=
end # time_init_2
# iterate
time_pivot = @elapsed begin
while true
if verb
println("------------------------------")
println("k0=$k0, k1=$k1")
end
if time() - t_start > maxt
println("!TIMELIMIT!")
case = -100
if hist
return 1, (k0, k1), nit, (time_init_1+time_init_2, time()-t_start, 0.0), hist, case, lambda
else
return 1, (k0, k1), nit, (time_init_1+time_init_2, time()-t_start, 0.0), case, lambda
end
break
end
nit += 1;
kk0 = k - k0;
k1k0 = k1 - k0;
rho = k0 * k1k0 + kk0^2;
sum1k0r_rho = (sum1k0 - r) / rho;
sumk0p1k1_rho = sumk0p1k1 / rho;
theta = k0 * sumk0p1k1_rho - kk0 * sum1k0r_rho;
lambda = kk0 * sumk0p1k1_rho + k1k0 * sum1k0r_rho;
if verb
println("kkt1: ", (lambda > -tol)," ", lambda)
if k0 > 0
println("kkt2: ", (k0 == 0 ? true : x0sort[k0] > theta + lambda - tol)," $(x0sort[k0]) > $(theta + lambda - tol)")
end
println("kkt3: ", (theta + lambda >= x0sort[k0+1] - tol)," $(theta+lambda) > $(x0sort[k0+1])")
println("kkt4: ", (x0sort[k1] >= theta - tol)," $(x0sort[k1]) >= $theta")
if k1 < n
println("kkt5: ", (k1+1 > n ? true : theta > x0sort[k1+1] - tol)," $theta > $(x0sort[k1+1])")
end
end
if (k0 == 0) && (k1 == n)
flag = 1
elseif ((k0==k-1 && k1==k) &&
(k0 == 0 ? true : x0sort[k0] > theta + lambda - tol) && #2
(k1 == n ? true : theta > x0sort[k1+1] - tol) #5
)
# then
flag = 1
elseif (
(k0==0) &&
(lambda > -tol) && #1
(k0 == 0 ? true : x0sort[k0] > theta + lambda - tol) && #2
(theta + lambda >= x0sort[k0+1] - tol) && #3
(x0sort[k1] >= theta - tol) && #4
(k1 == n ? true : theta > x0sort[k1+1] - tol) #5
)
# then
flag = 1
elseif (
(k1==n) &&
(lambda > -tol) && #1
(k0 == 0 ? true : x0sort[k0] > theta + lambda - tol) && #2
(theta + lambda >= x0sort[k0+1] - tol) && #3
# (x0sort[k1] >= theta - tol) && #4
(x0sort[k1] - theta >= -tol) && #4
(k1 == n ? true : theta > x0sort[k1+1] - tol) #5
)
# then
flag = 1
elseif (
(lambda > -tol) && #1
(k0 == 0 ? true : x0sort[k0] > theta + lambda - tol) && #2
(theta + lambda >= x0sort[k0+1] - tol) && #3
(x0sort[k1] >= theta - tol) && #4
(k1 == n ? true : theta > x0sort[k1+1] - tol) #5
)
# then
flag = 1
end
if flag == 1
break
elseif (flag == 0) && (k1 < n)
k1 = k1 + 1
sumk0p1k1 = sumk0p1k1 + x0sort[k1]
if verb
println("k1<n updates")
println("x0sort[k1] = $(x0sort[k1])")
println("sumk0p1k1 = $sumk0p1k1")
end
elseif (flag == 0) && (k0 > 0) && (k1 == n)
k0 = k0 - 1
k1 = k
sumk0p1k += x0sort[k0+1]
sumk0p1k1 = sumk0p1k
sum1k0 -= x0sort[k0+1]
end
# tracking
if hist
history[nit+1] = (k0, k1)
end
end
end # time_pivot
# primal
time_primal = @elapsed begin
if x0prepop
@simd for i in 1:k0
@inbounds xbarsort[i] -= lambda
end
else
@simd for i in 1:k0
@inbounds xbarsort[i] = x0sort[i] - lambda
end
end
@simd for i in k0+1:k1
@inbounds xbarsort[i] = theta
end
if !x0prepop
@simd for i in k1+1:n
@inbounds xbarsort[i] = x0sort[i]
end
end
end # time_primal
if verb
println("k0 = $k0")
println("k1 = $k1")
println("θ = $theta")
println("λ = $lambda")
println("nit = $nit")
end
if hist
return 1, (k0, k1), nit, (time_init_1+time_init_2, time_pivot, time_primal), hist, case, lambda
else
return 1, (k0, k1), nit, (time_init_1+time_init_2, time_pivot, time_primal), case, lambda
end
end
#=================================================
GRB: detailed timing of GRBS and GRBU
- x0sort: sorted input vector
- r: scalar budget parameter
- k: integer
=================================================#
include("../src/projection_gurobi.jl")