1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
|
#' Return the default optimization parameters for ECOS
#'
#' This is used to control the behavior of the underlying optimization code.
#'
#' @param feastol the tolerance on the primal and dual residual, default 1e-8
#' @param abstol the absolute tolerance on the duality gap, default 1e-8
#' @param reltol the relative tolerance on the duality gap, default 1e-8
#' @param feastol_inacc the tolerance on the primal and dual residual if reduced precisions, default 1e-4
#' @param abstol_inacc the absolute tolerance on the duality gap if reduced precision, default 5e-5
#' @param reltol_inacc the relative tolerance on the duality gap if reduced precision, default 5e-5
#' @param maxit the maximum number of iterations for ecos, default 100L
#' @param mi_max_iters the maximum number of branch and bound iterations (mixed integer problems only), default 1000L
#' @param mi_int_tol the integer tolerence (mixed integer problems only), default 1e-4
#' @param mi_abs_eps the absolute tolerance between upper and lower bounds (mixed integer problems only), default 1e-6
#' @param mi_rel_eps the relative tolerance, \eqn{(U-L)/L}, between upper and lower bounds (mixed integer problems only), default 1e-6
#' @param verbose verbosity level, default 0L. A verbosity level of 1L will show more detail, but clutter session transcript.
#'
#' @return a list with the following elements:
#' \describe{
#' \item{FEASTOL}{ the tolerance on the primal and dual residual, parameter \code{feastol}}
#' \item{ABSTOL}{ the absolute tolerance on the duality gap, parameter \code{abstol}}
#' \item{RELTOL}{ the relative tolerance on the duality gap, parameter \code{reltol}}
#' \item{FEASTOL_INACC}{ the tolerance on the primal and dual residual if reduced precisions, parameter \code{feastol_inacc}}
#' \item{ABSTOL_INACC}{ the absolute tolerance on the duality gap if reduced precision, parameter \code{abstol_inacc}}
#' \item{RELTOL_INACC}{ the relative tolerance on the duality gap if reduced precision, parameter \code{reltol_inacc}}
#' \item{MAXIT}{ the maximum number of iterations for ecos, parameter \code{maxit}}
#' \item{MI_MAX_ITERS}{ the maximum number of branch and bound iterations (mixed integer problems only), parameter \code{mi_max_iters}}
#' \item{MI_INT_TOL}{ the integer tolerence (mixed integer problems only), parameter \code{mi_int_tol}}
#' \item{MI_ABS_EPS}{ the absolute tolerance between upper and lower bounds (mixed integer problems only), parameter \code{mi_abs_eps}}
#' \item{MI_REL_EPS}{ the relative tolerance, \eqn{(U-L)/L}, between upper and lower bounds (mixed integer problems only), parameter \code{mi_rel_eps}}
#' \item{VERBOSE}{ verbosity level, parameter \code{verbose}}
#' }
#'
#' @export
ecos.control <- function(maxit = 100L,
feastol = 1e-8,
reltol = 1e-8,
abstol = 1e-8,
feastol_inacc = 1e-4,
abstol_inacc = 5e-5,
reltol_inacc = 5e-5,
verbose = 0L,
mi_max_iters = 1000L,
mi_int_tol = 1e-4,
mi_abs_eps = 1e-6,
mi_rel_eps = 1e-6) {
list(MAXIT = maxit,
FEASTOL = feastol,
RELTOL = reltol,
ABSTOL = abstol,
FEASTOL_INACC = feastol_inacc,
ABSTOL_INACC = abstol_inacc,
RELTOL_INACC = reltol_inacc,
VERBOSE = verbose,
MI_MAX_ITERS = mi_max_iters,
MI_INT_TOL = mi_int_tol,
MI_ABS_EPS = mi_abs_eps,
MI_REL_EPS = mi_rel_eps)
}
isNonnegativeInt <- function(x) {
((typeof(x) == "integer") && (length(x) == 1L) && (x >= 0L))
}
isNonnegativeFloat <- function(x) {
((typeof(x) == "double") && (length(x) == 1L) && (x >= 0.0))
}
isNontrivialNumericVector <- function(x) {
(typeof(x) == "double") && (length(x) > 0L)
}
isNontrivialIntegerVector <- function(x) {
(typeof(x) == "integer") && (length(x) > 0L)
}
checkOptions <- function(control) {
## Check options
if (!isNonnegativeInt(control$VERBOSE))
cli_abort("Expected non-negative integer for option {.field VERBOSE}.")
if (!isNonnegativeInt(control$MAXIT))
cli_abort("Expected non-negative integer for option {.field MAXIT}.")
if (!isNonnegativeFloat(control$FEASTOL))
cli_abort("Expected non-negative numeric for option {.field FEASTOL}.")
if (!isNonnegativeFloat(control$ABSTOL))
cli_abort("Expected non-negative numeric for option {.field ABSTOL}.")
if (!isNonnegativeFloat(control$RELTOL))
cli_abort("Expected non-negative numeric for option {.field RELTOL}.")
if (!isNonnegativeFloat(control$ABSTOL_INACC))
cli_abort("Expected non-negative numeric for option {.field ABSTOL_INACC}.")
if (!isNonnegativeFloat(control$FEASTOL_INACC))
cli_abort("Expected non-negative numeric for option {.field FEASTOL_INACC}.")
if (!isNonnegativeFloat(control$RELTOL_INACC))
cli_abort("Expected non-negative numeric for option {.field RELTOL_INACC}.")
if (!isNonnegativeInt(control$MI_MAX_ITERS))
cli_abort("Expected non-negative integer for option {.field MI_MAX_ITERS}.")
if (!isNonnegativeFloat(control$MI_ABS_EPS))
cli_abort("Expected non-negative numeric for option {.field MI_ABS_EPS}.")
if (!isNonnegativeFloat(control$MI_REL_EPS))
cli_abort("Expected non-negative numeric for option {.field MI_REL_EPS}.")
if (!isNonnegativeFloat(control$MI_INT_TOL))
cli_abort("Expected non-negative numeric for option {.field MI_INT_TOL}.")
invisible(NULL)
}
.onLoad <- function(lib, pkg) {
## if (is.null(getOption("ecos.control"))) {
## options(ecos.control = .ecos.control)
## }
}
.onUnload <- function(libpath) {
library.dynam.unload("ECOSolveR", libpath)
}
|
