nnlsq.c

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/*****************************************************************************/
#include "tpcclibConfig.h"
/*****************************************************************************/
#include <stdio.h>
#include <stdlib.h>
#include <math.h>
/*****************************************************************************/
#include "tpcextensions.h"
/*****************************************************************************/
#include "tpclinopt.h"
/*****************************************************************************/
 
/*****************************************************************************/
// Comment this out to NOT test for buffer overflow 
//#define TEST_BUFOVERFLOW 1
/*****************************************************************************/
 
/*****************************************************************************/
/* Local function definitions */
int nnlsq_lss_h12(int mode, int lpivot, int l1, int m, double *u, double *up, double *cm);
void nnlsq_lss_g1(double a, double b, double *cterm, double *sterm, double *sig);
/*****************************************************************************/
 
/*****************************************************************************/
int nnlsq(
  NNLSQDATA *d,
  int verbose
) {
  if(verbose>0) {printf("%s()\n", __func__); fflush(stdout);}
 
  /* Check the data */
  if(d==NULL || d->m<1 || d->n<1 || d->a==NULL || d->b==NULL || 
     d->x==NULL || d->w==NULL || d->zz==NULL || d->index==NULL)
       return(2);
  if(!(d->depf>=1.0E-08) || !(d->depf<0.5)) return(3);
 
  /* Initialize */
  for(int ni=0; ni<d->n; ni++) d->x[ni]=0.0;
  for(int ni=0; ni<d->n; ni++) d->index[ni]=ni;
  d->rnorm=nan("");
  int iz1=0;
  int iz2=d->n-1;
  int nsetp=0;
  int npp1=0;
 
 
  /* Main loop; quit if all coefficients are already in the solution or
     if M cols of A have been triangulated */
  double up=0.0;
  int itermax, iter=0; 
  if(d->iternr>=3) itermax=d->iternr; else itermax=3*d->n;
  int j=0, jj=0;
  while(iz1<=iz2 && nsetp<d->m) {
    /* Compute components of the dual (negative gradient) vector W[] */
    for(int iz=iz1; iz<=iz2; iz++) {
      int ni=d->index[iz];
      double sm=0.;
      for(int mi=npp1; mi<d->m; mi++) sm+=d->a[ni][mi]*d->b[mi];
      d->w[ni]=sm;
    }
 
    double wmax;
    int izmax=0;
    while(1) {
 
      /* Find largest positive W */
      wmax=0.0;
      for(int iz=iz1; iz<=iz2; iz++) {
        int i=d->index[iz];
        if(d->w[i]>wmax) {wmax=d->w[i]; izmax=iz;}
      }
 
      /* Terminate if wmax<=0.; it indicates satisfaction of the Kuhn-Tucker conditions */
      if(wmax<=0.0) break;
 
      /* The sign of W[j] is ok for j to be moved to set P.
         Begin the transformation and check new diagonal element to avoid near linear dependence. */
      j=d->index[izmax];
      double asave=d->a[j][npp1];
//      up=0.0;
      if(nnlsq_lss_h12(1, npp1, npp1+1, d->m, d->a[j], &up, NULL)) return(2);
      double unorm=0.0;
      if(nsetp!=0) for(int mi=0; mi<nsetp; mi++) unorm+=d->a[j][mi]*d->a[j][mi];
      unorm=sqrt(unorm);
      double e=unorm+fabs(d->a[j][npp1])*d->depf;
      if((e-unorm)>0.0) {
        /* Col j is sufficiently independent. Copy B into ZZ, update ZZ
           and solve for ztest ( = proposed new value for X[j] ) */
        for(int mi=0; mi<d->m; mi++) d->zz[mi]=d->b[mi];
        nnlsq_lss_h12(2, npp1, npp1+1, d->m, d->a[j], &up, d->zz);
        double ztest=d->zz[npp1]/d->a[j][npp1];
        /* See if ztest is positive */
        if(ztest>0.) break;
      }
 
      /* Reject j as a candidate to be moved from set Z to set P. Restore
         A[npp1,j], set W[j]=0., and loop back to test dual coefficients again */
      d->a[j][npp1]=asave; d->w[j]=0.;
    } /* while(1) */
    if(wmax<=0.0) break;
 
    /* Index j=INDEX[izmax] has been selected to be moved from set Z to set P.
       Update B and indices, apply householder transformations to cols in
       new set Z, zero sub-diagonal elements in col j, set W[j]=0. */
    for(int mi=0; mi<d->m; mi++) d->b[mi]=d->zz[mi];
    d->index[izmax]=d->index[iz1]; d->index[iz1]=j; iz1++; nsetp=npp1+1; npp1++;
    if(iz1<=iz2)
      for(int jz=iz1; jz<=iz2; jz++) {
        jj=d->index[jz];
        nnlsq_lss_h12(2, nsetp-1, npp1, d->m, d->a[j], &up, d->a[jj]);
      }
    if(nsetp!=d->m) for(int mi=npp1; mi<d->m; mi++) d->a[j][mi]=0.;
    d->w[j]=0.;
    
    /* Solve the triangular system; store the solution temporarily in Z[] */
    for(int mi=0; mi<nsetp; mi++) {
      int ip=nsetp-(mi+1);
      if(mi!=0) for(int ii=0; ii<=ip; ii++) d->zz[ii]-=d->a[jj][ii]*d->zz[ip+1];
      jj=d->index[ip]; d->zz[ip]/=d->a[jj][ip];
    }
 
    /* Secondary loop begins here */
    while(++iter<itermax) {
      /* See if all new constrained coefficients are feasible; if not, compute alpha */
      double alpha=2.0;
      for(int ip=0; ip<nsetp; ip++) {
        int ni=d->index[ip];
        if(d->zz[ip]<=0.) {
          double t=-d->x[ni]/(d->zz[ip]-d->x[ni]);
          if(alpha>t) {alpha=t; jj=ip-1;}
        }
      }
 
      /* If all new constrained coefficients are feasible then still alpha==2.
         If so, then exit from the secondary loop to main loop */
      if(alpha==2.0) break;
 
      /* Use alpha (0.<alpha<1.) to interpolate between old X and new ZZ */
      for(int ip=0; ip<nsetp; ip++) {
        int ni=d->index[ip]; d->x[ni]+=alpha*(d->zz[ip]-d->x[ni]);
      }
 
      /* Modify A and B and the INDEX arrays to move coefficient i from set P to set Z. */
      int pfeas=1;
      int k=d->index[jj+1];
      do {
        d->x[k]=0.;
        if(jj!=(nsetp-1)) {
          jj++;
          for(int ni=jj+1; ni<nsetp; ni++) {
            int ii=d->index[ni]; d->index[ni-1]=ii;
            double ss, cc;
            nnlsq_lss_g1(d->a[ii][ni-1], d->a[ii][ni], &cc, &ss, &d->a[ii][ni-1]);
            d->a[ii][ni]=0.0;
            for(int nj=0; nj<d->n; nj++) if(nj!=ii) {
              /* Apply procedure G2 (CC,SS,A(J-1,L),A(J,L)) */
              double temp=d->a[nj][ni-1];
              d->a[nj][ni-1]=cc*temp+ss*d->a[nj][ni];
              d->a[nj][ni]=-ss*temp+cc*d->a[nj][ni];
            }
            /* Apply procedure G2 (CC,SS,B(J-1),B(J)) */
            double temp=d->b[ni-1];
            d->b[ni-1]=cc*temp+ss*d->b[ni];
            d->b[ni]=-ss*temp+cc*d->b[ni];
          }
        }
        npp1=nsetp-1; nsetp--; iz1--; d->index[iz1]=k;
 
        /* See if the remaining coefficients in set P are feasible; they should be because of 
           the way alpha was determined. If any are infeasible it is due to round-off error. 
           Any that are non-positive will be set to zero and moved from set P to set Z. */
        pfeas=1;
        for(jj=0; jj<nsetp; jj++) {
          k=d->index[jj]; if(d->x[k]<=0.) {pfeas=0; break;}
        }
      } while(pfeas==0);
 
      /* Copy B[] into zz[], then solve again and loop back */
      for(int mi=0; mi<d->m; mi++) d->zz[mi]=d->b[mi];
      for(int mi=0; mi<nsetp; mi++) {
        int ip=nsetp-(mi+1);
        if(mi!=0) for(int ii=0; ii<=ip; ii++) d->zz[ii]-=d->a[jj][ii]*d->zz[ip+1];
        jj=d->index[ip]; d->zz[ip]/=d->a[jj][ip];
      }
    } /* end of secondary loop */
 
    if(iter>=itermax) break;
    for(int ip=0; ip<nsetp; ip++) {int k=d->index[ip]; d->x[k]=d->zz[ip];}
  } /* end of main loop */
 
  if(npp1>=d->m) for(int ni=0; ni<d->n; ni++) d->w[ni]=0.;
 
  /* Compute the norm of the final residual vector (sum-of-squares) */
  d->rnorm=0.0;
  for(int mi=npp1; mi<d->m; mi++) d->rnorm+=(d->b[mi]*d->b[mi]);
 
  d->iternr=iter;
  if(verbose>2) printf("  %d iterations.\n", iter);
  if(iter>=itermax) {
    if(verbose>1) printf("  max iterations reached.\n");
    return(1);
  }
  return(0);
} /* nnlsq */
/*****************************************************************************/
 
/*****************************************************************************/

int nnlsq_lss_h12(
  int mode,
  int lpivot,
  int l1,
  int m,
  double *u,
  double *up,
  double *cm
) {
  /* Check parameters */
  if(mode!=1 && mode!=2) return(1);
  if(u==NULL || up==NULL) return(2);
  if(lpivot<0 || l1<0 || m<0) return(3);
  if(lpivot>=m || lpivot>=l1 || l1>m) return(4);
 
  double cl = fabs(u[lpivot]);
  if(mode==2 && cl<=0.) return(0);
 
  if(mode==1) {   /* Construct the transformation */
      /* trying to compensate overflow */
    for(int j=l1; j<m; j++) {  // finding maximum 
      cl = fmax(fabs(u[j]), cl);
    }
    // zero vector?   
    if(cl<=0.) return(0);
 
    double clinv=1.0/cl;
    // cl = sqrt( (u[pivot]*clinv)^2 + sigma(i=l1..m)( (u[i]*clinv)^2 ) )
    double d1=u[lpivot]*clinv; 
    double sm=d1*d1;
    for(int j=l1; j<m; j++) {
      double d2=u[j]*clinv;
      sm+=d2*d2;
    }
    cl*=sqrt(sm);
    if(u[lpivot] > 0.) cl=-cl;
    *up = u[lpivot] - cl; 
    u[lpivot]=cl;
  }
 
  // no vectors where to apply? only change pivot vector! 
  double b=(*up)*u[lpivot];
  
  /* b must be non-positive here; if b>=0., then return */
  if(b>=0.0) return(0); // was if(b==0) before 2013-06-22
  
  // Transform the cm vector, if requested
  if(cm!=NULL) {
    double sm = cm[lpivot] * (*up);
    for(int k=l1; k<m; k++) sm += cm[k] * u[k]; 
    if(sm!=0.0) {
      sm *= (1.0/b);
      cm[lpivot] += sm*(*up);
      for(int k=l1; k<m; k++) cm[k] += u[k]*sm;
    }
  }
   
  return(0);
} /* nnlsq_lss_h12 */
/*****************************************************************************/
 
/*****************************************************************************/
void nnlsq_lss_g1(double a, double b, double *cterm, double *sterm, double *sig)
{
  double d1, xr, yr;
 
  if(fabs(a)>fabs(b)) {
    xr=b/a; d1=xr; yr=hypot(d1, 1.0); d1=1./yr;
    *cterm=copysign(d1, a);
    *sterm=(*cterm)*xr; *sig=fabs(a)*yr;
  } else if(b!=0.) {
    xr=a/b; d1=xr; yr=hypot(d1, 1.0); d1=1./yr;
    *sterm=copysign(d1, b);
    *cterm=(*sterm)*xr; *sig=fabs(b)*yr;
  } else {
    *sig=0.; *cterm=0.; *sterm=1.;
  }
} /* nnlsq_lss_g1 */
/*****************************************************************************/
 
/*****************************************************************************/
void nnlsqDataInit(
  NNLSQDATA *d
) {
  if(d==NULL) return;
  d->n = d->m = 0;
  d->a = NULL;
  d->b = d->x = d->w = d->zz = d->_data = NULL;
  d->index = NULL;
  d->rnorm = 0.0;
  d->iternr = 0;
  d->depf = 0.01; // default
}
/*****************************************************************************/
 
/*****************************************************************************/
void nnlsqDataFree(
  NNLSQDATA *d
) {
  if(d==NULL) return;
  if(d->n<1) return;
  if(d->m<1) return;
 
#ifdef TEST_BUFOVERFLOW
  fprintf(stderr, "testing if buffer overflow happened\n"); fflush(stderr);
  if(d->index[d->n]!=999) fprintf(stderr, "BUFFER OVERFLOW 1\n"); 
  if(!isnan(d->_data[d->m*d->n])) fprintf(stderr, "BUFFER OVERFLOW 2\n"); 
  if(!isnan(d->b[d->m])) fprintf(stderr, "BUFFER OVERFLOW 3\n"); 
  if(!isnan(d->x[d->n])) fprintf(stderr, "BUFFER OVERFLOW 4\n"); 
  if(!isnan(d->w[d->n])) fprintf(stderr, "BUFFER OVERFLOW 5\n"); 
  if(!isnan(d->zz[d->m])) fprintf(stderr, "BUFFER OVERFLOW 6\n"); 
  fprintf(stderr, "tested buffer overflow\n"); fflush(stderr);
#endif
 
  free(d->a);
  free(d->index);
  free(d->_data);
  // then set everything to zero or NULL again
  nnlsqDataInit(d);
}
/*****************************************************************************/
 
/*****************************************************************************/
int nnlsqDataAllocate(
  NNLSQDATA *d,
  const int n,
  const int m 
) {
  if(d==NULL) return(TPCERROR_FAIL);
  /* Delete any previous contents */
  nnlsqDataFree(d);
  /* If no memory is requested, then return fail */
  if(n<1 || m<1) return(TPCERROR_FAIL);
 
  /* Allocate memory for all double arrays and matrix */
  int s = n*m + m + n + n + m;
#ifdef TEST_BUFOVERFLOW
  s+=5;
#endif
  d->_data=(double*)malloc(sizeof(double)*s);
  if(d->_data==NULL) return(TPCERROR_OUT_OF_MEMORY);
  for(int i=0; i<s; i++) d->_data[i]=nan("");
  /* Allocate memory for matrix pointers */
  d->a=(double**)malloc(sizeof(double*)*n);
  if(d->a==NULL) {free(d->_data); return(TPCERROR_OUT_OF_MEMORY);}
  /* Set up matrix a and double vectors */
  for(int i=0; i<n; i++) d->a[i] = d->_data + i*m;
  d->b =  d->_data + n*m;
  d->x =  d->_data + n*m + m;
  d->w =  d->_data + n*m + m + n;
  d->zz = d->_data + n*m + m + n + n;
#ifdef TEST_BUFOVERFLOW
  d->b++; d->x+=2; d->w+=3; d->zz+=4;
#endif
 
  /* Allocate memory for integer array */
#ifdef TEST_BUFOVERFLOW
  d->index=(int*)malloc(sizeof(int)*(1+n));
  d->index[n] = 999;
#else
  d->index=(int*)malloc(sizeof(int)*n);
#endif
  if(d->index==NULL) {free(d->_data); free(d->a); return(TPCERROR_OUT_OF_MEMORY);}
 
  /* Set data sizes */
  d->n=n;
  d->m=m;
 
  return(TPCERROR_OK);
}
/*****************************************************************************/
 
/*****************************************************************************/
int nnlsqDataCopy(
  NNLSQDATA *d1,
  NNLSQDATA *d2
) {
  if(d1==NULL || d2==NULL || d1==d2) return(TPCERROR_FAIL);
  if(d1->n<1 || d1->m<1) return(2);
  /* If data sizes are different then allocate memory for target */  
  if(d1->n!=d2->n || d1->m!=d2->m) {
    nnlsqDataFree(d2);
    int ret=nnlsqDataAllocate(d2, d1->n, d1->m);
    if(ret!=TPCERROR_OK) return(ret);
  }
  /* Copy contents */
  for(int ni=0; ni<d1->n; ni++)
    for(int mi=0; mi<d1->m; mi++)
      d2->a[ni][mi]=d1->a[ni][mi];
  for(int mi=0; mi<d1->m; mi++)
    d2->b[mi]=d1->b[mi];
  for(int ni=0; ni<d1->n; ni++)
    d2->x[ni]=d1->x[ni];
  for(int ni=0; ni<d1->n; ni++)
    d2->w[ni]=d1->w[ni];
  for(int mi=0; mi<d1->m; mi++)
    d2->zz[mi]=d1->zz[mi];
  for(int ni=0; ni<d1->n; ni++)
    d2->index[ni]=d1->index[ni];
  d2->rnorm=d1->rnorm;
  d2->iternr=d1->iternr;
  d2->depf=d1->depf;
 
  return(TPCERROR_OK);
}
/*****************************************************************************/
 
/*****************************************************************************/
int nnlsqDataWght(
  NNLSQDATA *d,
  double *weight
) {
  if(d==NULL || d->n<1 || d->m<1 || d->a==NULL || d->b==NULL || weight==NULL) return(1);
 
  /* Check that weights are not zero and get the square roots of them to w[] */
  double w[d->m];
  for(int mi=0; mi<d->m; mi++) {
    if(weight[mi]<=1.0e-20) w[mi]=0.0;
    else w[mi]=sqrt(weight[mi]);
  }
 
  /* Multiply rows of matrix A and elements of vector b with weights*/
  for(int mi=0; mi<d->m; mi++) {
    for(int ni=0; ni<d->n; ni++) {
      d->a[ni][mi]*=w[mi];
    }
    d->b[mi]*=w[mi];
  }
 
  return(0);
}
/*****************************************************************************/
 
/*****************************************************************************/
int nnlsqDataWghtSquared(
  NNLSQDATA *d,
  double *sweight
) {
  if(d==NULL || d->n<1 || d->m<1 || d->a==NULL || d->b==NULL || sweight==NULL) return(1);
 
  /* Multiply rows of matrix A and elements of vector b with weights */
  for(int mi=0; mi<d->m; mi++) {
    for(int ni=0; ni<d->n; ni++) {
      d->a[ni][mi]*=sweight[mi];
    }
    d->b[mi]*=sweight[mi];
  }
 
  return(0);
}
/*****************************************************************************/
 
/*****************************************************************************/