Re: [ojAlgo-user] Removing Equalities and Inequalities methods

[Andy B. <ber...@gm...>]

Hi Anders,

Just an FYI upfront, I am not much of a Matrice/Solver 'coder'. I know how
to define the problems well, but like to use simple (to the user) code
implementations. That is why I chose your package, as it was really clear
to me to do something like:

QuadraticSolver.Builder tmpBuilder = new QuadraticSolver.Builder(Q_ms,
C_ms).equalities(AE_ms, BE_ms).inequalities(AI_ms, BI_ms);

I couldn't figure out from the JavaDocs how to setup the  Expression Based
model, (months ago I spent a full day+ on trying to figure that out).
Anyways, to my chagrin, I did an update yesterday when I read that you
found an old bug and that the (QP?) Solver was now sped up by a factor of
100x. I compiled the update this morning and found out that the update
broke my code. Any chance you could bring back the equalities and
inequalities methods? From my limited knowledge, those seem to be very
basic constraints that almost everybody would use.

Or perhaps somebody could help me out on a code snippet to fix my "direct
access to the solver" code (it is for a simple efficient frontier calc)...
I really did spend a lot of time trying to get the expressions based model
setup.

Below is what I had, which no longer works. The 3 bolded and underlined
methods under '-------- Solve the Problem --------" are what breaks...

            /**
             * We are solving the problem:
             *        min 1/2 [X]'[Q][X] - [C]'[X]
             *            where     [AE][X] == [BE]
             *                    [AI][X] <= [BI]
             */

            // required matrices and arrays
            MatrixStore Q_ms = null;
            MatrixStore C_ms = null;
            MatrixStore AE_ms = null;
            MatrixStore BE_ms = null;
            MatrixStore AI_ms = null;
            MatrixStore BI_ms = null;
            double[][] c_temp = null;
            double[][] ae = null;
            double[][] be = null;
            double[][] ai = null;
            double[][] bi = null;

            .............. I did not include Populating the matrices code,
various different constraints depending if Fixed Returns are passed in or
not, etc..

            // create our actual matrix stores to be used in the calcs
given problem setup
            Q_ms = PrimitiveDenseStore.FACTORY.rows(arrCovar);
            C_ms = PrimitiveDenseStore.FACTORY.rows(c_temp);
            AE_ms = PrimitiveDenseStore.FACTORY.rows(ae);
            BE_ms = PrimitiveDenseStore.FACTORY.rows(be);
            AI_ms = PrimitiveDenseStore.FACTORY.rows(ai);
            BI_ms = PrimitiveDenseStore.FACTORY.rows(bi);


            /** ------------------------------- Solve the Problem
--------------------------------------*/
            try {
                QuadraticSolver.Builder tmpBuilder = new
QuadraticSolver.Builder(Q_ms, C_ms).*equalities*(AE_ms,
BE_ms).inequalities(AI_ms, BI_ms);
                QuadraticSolver tmpSolver = tmpBuilder.build();
                tmpSolver.*options.*timeLimit = Long.MAX_VALUE;
                OptimisationSolver.Result tmpResult = tmpSolver.*solve*();
                BasicMatrix tmpSolution = tmpResult.getSolution();
                PhysicalStore<Double> result =
tmpSolution.toPrimitiveStore();

                arrVariance[0] =
result.transpose().multiplyRight(Q_ms).multiplyRight(result).get(0, 0);

               ...... <snip>


Finally, if the bug fix you did for speeding up the calcs don't affect my
above methodology I could just stay on my last compiled library. However,
if the fix did affect the QP solver, is there a version that has the bug
fix in it, but has not yet removed the deprecated methods? As a last
resort, that version would be an acceptable fix for me (though it would be
nice to understand the Expression Model ultimately) ...

Thanks to everybody in  advance,

Andy or Andis (depending on which side of the Ocean you are on :-) )



> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 13 May 2012 17:31:46 +0200
> From: Anders Peterson <an...@op...>
> Subject: Re: [ojAlgo-user] Future changes to the optimisation package
> To: oja...@li...
> Message-ID: <2D5...@op...>
> Content-Type: text/plain; charset=iso-8859-1
>
> I deprecated (and removed) all those variants of addEpression(?) because I
> realized there's an infinite  number of methods that could be useful, and
> instead of adding more variants I removed all but the most generic ones. I
> still think that was a good decision.
>
> I've added a little bit to the on-line javadoc for Expressuon and
> ExpressionsBasedModel.
>
>