primal_dual.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_SDP_PRIMAL_DUAL_HPP
#define MLPACK_CORE_OPTIMIZERS_SDP_PRIMAL_DUAL_HPP

#include <mlpack/prereqs.hpp>
#include <mlpack/core/optimizers/sdp/sdp.hpp>

namespace mlpack {
namespace optimization {

template <typename SDPType>
class PrimalDualSolver
{
 public:
  PrimalDualSolver(const SDPType& sdp);

  PrimalDualSolver(const SDPType& sdp,
                   const arma::mat& initialX,
                   const arma::vec& initialYSparse,
                   const arma::vec& initialYDense,
                   const arma::mat& initialZ);

  double Optimize(arma::mat& X,
                  arma::vec& ySparse,
                  arma::vec& yDense,
                  arma::mat& Z);

  double Optimize(arma::mat& X)
  {
    arma::vec ysparse, ydense;
    arma::mat Z;
    return Optimize(X, ysparse, ydense, Z);
  }

  const SDPType& SDP() const { return sdp; }

  double& Tau() { return tau; }

  double& NormXzTol() { return normXzTol; }

  double& PrimalInfeasTol() { return primalInfeasTol; }

  double& DualInfeasTol() { return dualInfeasTol; }

  size_t& MaxIterations() { return maxIterations; }

 private:
  SDPType sdp;

  arma::mat initialX;

  arma::vec initialYsparse;

  arma::vec initialYdense;

  //positive definite.
  arma::mat initialZ;

  double tau;

  double normXzTol;

  double primalInfeasTol;

  double dualInfeasTol;

  size_t maxIterations;
};

} // namespace optimization
} // namespace mlpack

// Include implementation.
#include "primal_dual_impl.hpp"

#endif