gtsam/gtsam_unstable/linear/tests/testLPSolver.cpp

/* ----------------------------------------------------------------------------

 * GTSAM Copyright 2010, Georgia Tech Research Corporation,
 * Atlanta, Georgia 30332-0415
 * All Rights Reserved
 * Authors: Frank Dellaert, et al. (see THANKS for the full author list)

 * See LICENSE for the license information

 * -------------------------------------------------------------------------- */

/**
 * @file testQPSolver.cpp
 * @brief Test simple QP solver for a linear inequality constraint
 * @date Apr 10, 2014
 * @author Duy-Nguyen Ta
 */

#include <gtsam/base/Testable.h>
#include <gtsam/inference/Symbol.h>
#include <gtsam/inference/FactorGraph-inst.h>
#include <gtsam_unstable/linear/LinearCost.h>
#include <gtsam/linear/VectorValues.h>
#include <gtsam/linear/GaussianFactorGraph.h>
#include <gtsam_unstable/linear/EqualityFactorGraph.h>
#include <gtsam_unstable/linear/InequalityFactorGraph.h>
#include <gtsam_unstable/linear/InfeasibleInitialValues.h>
#include <CppUnitLite/TestHarness.h>
#include <boost/foreach.hpp>
#include <boost/range/adaptor/map.hpp>

#include <gtsam_unstable/linear/LPSolver.h>
#include <gtsam_unstable/linear/LPInitSolverMatlab.h>


using namespace std;
using namespace gtsam;
using namespace gtsam::symbol_shorthand;

/* ************************************************************************* */
/**
 * min -x1-x2
 * s.t.   x1 + 2x2 <= 4
 *       4x1 + 2x2 <= 12
 *       -x1 +  x2 <= 1
 *       x1, x2 >= 0
 */
LP simpleLP1() {
  LP lp;
  lp.cost = LinearCost(1, Vector2( -1., -1.)); // min -x1-x2 (max x1+x2)
  lp.inequalities.push_back(
      LinearInequality(1, Vector2( -1, 0), 0, 1)); // x1 >= 0
  lp.inequalities.push_back(
      LinearInequality(1, Vector2( 0, -1), 0, 2)); //  x2 >= 0
  lp.inequalities.push_back(
      LinearInequality(1, Vector2( 1, 2), 4, 3)); //  x1 + 2*x2 <= 4
  lp.inequalities.push_back(
      LinearInequality(1, Vector2( 4, 2), 12, 4)); //  4x1 + 2x2 <= 12
  lp.inequalities.push_back(
      LinearInequality(1, Vector2( -1, 1), 1, 5)); //  -x1 + x2 <= 1
  return lp;
}

/* ************************************************************************* */
namespace gtsam {
TEST(LPInitSolverMatlab, initialization) {
  LP lp = simpleLP1();
  LPSolver lpSolver(lp);
  LPInitSolverMatlab initSolver(lpSolver);

  GaussianFactorGraph::shared_ptr initOfInitGraph = initSolver.buildInitOfInitGraph();
  VectorValues x0 = initOfInitGraph->optimize();
  VectorValues expected_x0;
  expected_x0.insert(1, zero(2));
  CHECK(assert_equal(expected_x0, x0, 1e-10));

  double y0 = initSolver.compute_y0(x0);
  double expected_y0 = 0.0;
  DOUBLES_EQUAL(expected_y0, y0, 1e-7);

  Key yKey = 2;
  LP::shared_ptr initLP = initSolver.buildInitialLP(yKey);
  LP expectedInitLP;
  expectedInitLP.cost = LinearCost(yKey, ones(1));
  expectedInitLP.inequalities.push_back(
      LinearInequality(1, Vector2( -1, 0), 2, Vector::Constant(1, -1), 0, 1)); // -x1 - y <= 0
  expectedInitLP.inequalities.push_back(
      LinearInequality(1, Vector2( 0, -1), 2, Vector::Constant(1, -1), 0, 2)); // -x2 - y <= 0
  expectedInitLP.inequalities.push_back(
      LinearInequality(1, Vector2( 1, 2), 2, Vector::Constant(1, -1), 4, 3)); //  x1 + 2*x2 - y <= 4
  expectedInitLP.inequalities.push_back(
      LinearInequality(1, Vector2( 4, 2), 2, Vector::Constant(1, -1), 12, 4)); //  4x1 + 2x2 - y <= 12
  expectedInitLP.inequalities.push_back(
      LinearInequality(1, Vector2( -1, 1), 2, Vector::Constant(1, -1), 1, 5)); //  -x1 + x2 - y <= 1
  CHECK(assert_equal(expectedInitLP, *initLP, 1e-10));

  LPSolver lpSolveInit(*initLP);
  VectorValues xy0(x0);
  xy0.insert(yKey, Vector::Constant(1, y0));
  VectorValues xyInit = lpSolveInit.optimize(xy0).first;
  VectorValues expected_init;
  expected_init.insert(1, Vector2( 1, 1));
  expected_init.insert(2, Vector::Constant(1, -1));
  CHECK(assert_equal(expected_init, xyInit, 1e-10));

  VectorValues x = initSolver.solve();
  CHECK(lp.isFeasible(x));
}
}

/* ************************************************************************* */
/**
 * TEST gtsam solver with an over-constrained system
 *  x + y = 1
 *  x - y = 5
 *  x + 2y = 6
 */
TEST(LPSolver, overConstrainedLinearSystem) {
  GaussianFactorGraph graph;
  Matrix A1 = Vector3(1,1,1);
  Matrix A2 = Vector3(1,-1,2);
  Vector b = Vector3( 1, 5, 6);
  JacobianFactor factor(1, A1, 2, A2, b, noiseModel::Constrained::All(3));
  graph.push_back(factor);

  VectorValues x = graph.optimize();
  // This check confirms that gtsam linear constraint solver can't handle over-constrained system
  CHECK(factor.error(x) != 0.0);
}

TEST(LPSolver, overConstrainedLinearSystem2) {
  GaussianFactorGraph graph;
  graph.push_back(JacobianFactor(1, ones(1, 1), 2, ones(1, 1), ones(1), noiseModel::Constrained::All(1)));
  graph.push_back(JacobianFactor(1, ones(1, 1), 2, -ones(1, 1), 5*ones(1), noiseModel::Constrained::All(1)));
  graph.push_back(JacobianFactor(1, ones(1, 1), 2, 2*ones(1, 1), 6*ones(1), noiseModel::Constrained::All(1)));
  VectorValues x = graph.optimize();
  // This check confirms that gtsam linear constraint solver can't handle over-constrained system
  CHECK(graph.error(x) != 0.0);
}

/* ************************************************************************* */
TEST(LPSolver, simpleTest1) {
  LP lp = simpleLP1();

  LPSolver lpSolver(lp);
  VectorValues init;
  init.insert(1, zero(2));

  VectorValues x1 = lpSolver.solveWithCurrentWorkingSet(init,
      InequalityFactorGraph());
  VectorValues expected_x1;
  expected_x1.insert(1, Vector2( 1, 1));
  CHECK(assert_equal(expected_x1, x1, 1e-10));

  VectorValues result, duals;
  boost::tie(result, duals) = lpSolver.optimize(init);
  VectorValues expectedResult;
  expectedResult.insert(1, Vector2(8./3., 2./3.));
  CHECK(assert_equal(expectedResult, result, 1e-10));
}

/**
 * TODO: More TEST cases:
 * - Infeasible
 * - Unbounded
 * - Underdetermined
 */
/* ************************************************************************* */
TEST(LPSolver, LinearCost) {
  LinearCost cost(1, Vector3( 2., 4., 6.));
  VectorValues x;
  x.insert(1, Vector3( 1., 3., 5.));
  double error = cost.error(x);
  double expectedError = 44.0;
  DOUBLES_EQUAL(expectedError, error, 1e-100);
}

/* ************************************************************************* */
int main() {
  TestResult tr;
  return TestRegistry::runAllTests(tr);
}
/* ************************************************************************* */