Loading files
This file is pinned to the selected release. Download the original to open it in your design tool.
48bcdf22cThis file is pinned to the selected release. Download the original to open it in your design tool.
// Copyright 2021 DeepMind Technologies Limited
//
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
// http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
#include "engine/engine_util_solve.h"
#include <stdio.h>
#include <mujoco/mjdata.h>
#include <mujoco/mjmacro.h>
#include <mujoco/mjsan.h> // IWYU pragma: keep
#include "engine/engine_inline.h"
#include "engine/engine_util_blas.h"
#include "engine/engine_util_errmem.h"
#include "engine/engine_util_misc.h"
#include "engine/engine_util_sparse.h"
#include "engine/engine_memory.h"
#include "engine/engine_util_spatial.h"
//---------------------------- dense Cholesky ------------------------------------------------------
// Cholesky decomposition: mat = L*L'; return 'rank'
int mju_cholFactor(mjtNum* mat, int n, mjtNum mindiag) {
int rank = n;
mjtNum tmp;
// in-place Cholesky factorization
for (int j=0; j < n; j++) {
// compute new diagonal
tmp = mat[j*(n+1)];
if (j) {
tmp -= mju_dot(mat+j*n, mat+j*n, j);
}
// correct diagonal values below threshold
if (tmp < mindiag) {
tmp = mindiag;
rank--;
}
// save diagonal
mat[j*(n+1)] = mju_sqrt(tmp);
// process off-diagonal entries
tmp = 1/mat[j*(n+1)];
for (int i=j+1; i < n; i++) {
mat[i*n+j] = (mat[i*n+j] - mju_dot(mat+i*n, mat+j*n, j)) * tmp;
}
}
return rank;
}
// Cholesky solve
void mju_cholSolve(mjtNum* res, const mjtNum* mat, const mjtNum* vec, int n) {
// copy if source and destination are different
if (res != vec) {
mju_copy(res, vec, n);
}
// forward substitution: solve L*res = vec
for (int i=0; i < n; i++) {
if (i) {
res[i] -= mju_dot(mat+i*n, res, i);
}
// diagonal
res[i] /= mat[i*(n+1)];
}
// backward substitution: solve L'*res = res
for (int i=n-1; i >= 0; i--) {
if (i < n-1) {
for (int j=i+1; j < n; j++) {
res[i] -= mat[j*n+i] * res[j];
}
}
// diagonal
res[i] /= mat[i*(n+1)];
}
}
// Cholesky rank-one update: L*L' +/- x*x'; return rank
int mju_cholUpdate(mjtNum* mat, mjtNum* x, int n, int flg_plus) {
int rank = n;
mjtNum r, c, cinv, s, Lkk, tmp;
for (int k=0; k < n; k++) {
if (x[k]) {
// prepare constants
Lkk = mat[k*(n+1)];
tmp = Lkk*Lkk + (flg_plus ? x[k]*x[k] : -x[k]*x[k]);
if (tmp < mjMINVAL) {
tmp = mjMINVAL;
rank--;
}
r = mju_sqrt(tmp);
c = r / Lkk;
cinv = 1 / c;
s = x[k] / Lkk;
// update diagonal
mat[k*(n+1)] = r;
// update mat
if (flg_plus) {
for (int i=k+1; i < n; i++) {
mat[i*n+k] = (mat[i*n+k] + s*x[i])*cinv;
}
} else {
for (int i=k+1; i < n; i++) {
mat[i*n+k] = (mat[i*n+k] - s*x[i])*cinv;
}
}
// update x
for (int i=k+1; i < n; i++) {
x[i] = c*x[i] - s*mat[i*n+k];
}
}
}
return rank;
}
//---------------------------- sparse Cholesky -----------------------------------------------------
// sparse reverse-order Cholesky decomposition: mat = L'*L; return 'rank'
// mat must be lower-triangular, have preallocated space for fill-in
int mju_cholFactorSparse(mjtNum* mat, int n, mjtNum mindiag,
int* rownnz, const int* rowadr, int* colind,
mjData* d) {
int rank = n;
mj_markStack(d);
mjtNum* buf = mjSTACKALLOC(d, n, mjtNum);
int* buf_ind = mjSTACKALLOC(d, n, int);
// backpass over rows
for (int r=n-1; r >= 0; r--) {
// get rownnz and rowadr for row r
int nnz = rownnz[r], adr = rowadr[r];
// update row r diagonal
mjtNum tmp = mat[adr+nnz-1];
if (tmp < mindiag) {
tmp = mindiag;
rank--;
}
mat[adr+nnz-1] = mju_sqrt(tmp);
tmp = 1/mat[adr+nnz-1];
// update row r before diagonal
for (int i=0; i < nnz-1; i++) {
mat[adr+i] *= tmp;
}
// update row c<r where mat(r,c)!=0
for (int i=0; i < nnz-1; i++) {
// get column index
int c = colind[adr+i];
// mat(c,0:c) = mat(c,0:c) - mat(r,c) * mat(r,0:c)
int nnz_c = mju_combineSparse(mat + rowadr[c], mat+rowadr[r], 1, -mat[adr+i],
rownnz[c], i+1, colind+rowadr[c], colind+rowadr[r],
buf, buf_ind);
// assign new nnz to row c
rownnz[c] = nnz_c;
}
}
mj_freeStack(d);
return rank;
}
// symbolic reverse-Cholesky: compute both L (CSR) and LT (CSC) structures
// if L_colind is NULL, perform counting logic (fill rownnz/rowadr arrays and return total nnz)
// if L_colind is not NULL, assume rownnz/rowadr are precomputed and fill colind/map arrays
// reads pattern from upper triangle
// based on ldl_symbolic from 'Algorithm 8xx: a concise sparse Cholesky factorization package'
int mju_cholFactorSymbolic(int* restrict L_colind, int* restrict L_rownnz, int* restrict L_rowadr,
int* restrict LT_colind, int* restrict LT_rownnz,
int* restrict LT_rowadr, int* restrict LT_map,
const int* rownnz, const int* rowadr, const int* colind, int n,
mjData* d) {
mj_markStack(d);
int* restrict parent = mjSTACKALLOC(d, n, int);
int* restrict flag = mjSTACKALLOC(d, n, int);
int* restrict cursor = NULL;
int* LT_write = NULL;
// filling phase: initialize write positions
if (L_colind) {
cursor = mjSTACKALLOC(d, n, int);
LT_write = mjSTACKALLOC(d, n, int);
for (int r = 0; r < n; r++) {
cursor[r] = L_rowadr[r] + L_rownnz[r] - 2; // end of row r (before diagonal)
LT_write[r] = LT_rowadr[r]; // start of LT row r
}
}
// loop over rows in reverse order
for (int r = n - 1; r >= 0; r--) {
parent[r] = -1;
flag[r] = r;
// counting phase: start with 1 for diagonal
if (!L_colind) {
L_rownnz[r] = 1;
LT_rownnz[r] = 1;
}
// filling phase: write diagonals
else {
int diag_idx = L_rowadr[r] + L_rownnz[r] - 1;
L_colind[diag_idx] = r;
int write_idx = LT_write[r];
LT_colind[write_idx] = r;
LT_map[write_idx] = diag_idx;
LT_write[r]++;
}
// loop over non-zero columns of upper triangle
int start = rowadr[r];
int end = start + rownnz[r];
for (int c = start; c < end; c++) {
int i = colind[c];
// skip lower triangle
if (i <= r) {
continue;
}
// traverse from i to ancestor, stop when row is flagged
while (flag[i] != r) {
// if not yet set, set parent to current row
if (parent[i] == -1) {
parent[i] = r;
}
// counting phase: increment non-zeros
if (!L_colind) {
L_rownnz[i]++;
LT_rownnz[r]++;
}
// filling phase: write L[i, r] and LT[r, i]
else {
int L_idx = cursor[i];
cursor[i]--;
L_colind[L_idx] = r;
LT_colind[LT_write[r]] = i;
LT_map[LT_write[r]] = L_idx;
LT_write[r]++;
}
// flag row i, advance to parent
flag[i] = r;
i = parent[i];
}
}
}
mj_freeStack(d);
// counting phase: compute row addresses, add up total non-zeros
int nnz = 0;
if (!L_colind) {
nnz = L_rownnz[0];
L_rowadr[0] = 0;
LT_rowadr[0] = 0;
for (int r = 1; r < n; r++) {
L_rowadr[r] = L_rowadr[r - 1] + L_rownnz[r - 1];
LT_rowadr[r] = LT_rowadr[r - 1] + LT_rownnz[r - 1];
nnz += L_rownnz[r];
}
}
return nnz;
}
// numeric reverse-Cholesky: compute L values given fixed sparsity pattern, returns rank
// L_colind must already contain the correct sparsity pattern (from mju_cholFactorSymbolic)
// LT_map[k] gives index in L for LT_colind[k]
int mju_cholFactorNumeric(mjtNum* restrict L, int n, mjtNum mindiag,
const int* L_rownnz, const int* L_rowadr, const int* L_colind,
const int* LT_rownnz, const int* LT_rowadr, const int* LT_colind,
const int* LT_map, const mjtNum* H,
const int* H_rownnz, const int* H_rowadr, const int* H_colind,
mjData* d) {
int rank = n;
// single-row dense accumulator
mj_markStack(d);
mjtNum* restrict dense = mjSTACKALLOC(d, n, mjtNum);
mju_zero(dense, n);
// backpass over rows
for (int r = n - 1; r >= 0; r--) {
// scatter H[r, 0:r] into dense
mju_scatter(dense, H + H_rowadr[r], H_colind + H_rowadr[r], H_rownnz[r]);
// accumulate updates from rows c > r where L[c,r] != 0
// use CSC transpose: LT column r contains rows that have column r
// start from k=1 to skip the diagonal entry (LT_colind[LT_adr] = r)
int LT_adr = LT_rowadr[r];
int LT_nnz = LT_rownnz[r];
for (int k = 1; k < LT_nnz; k++) {
int c = LT_colind[LT_adr + k]; // row c has L[c,r] != 0, c > r guaranteed
// get L[c,r] index directly from LT_map
int L_cr_idx = LT_map[LT_adr + k];
mjtNum L_cr = L[L_cr_idx];
// get row c info
int c_adr = L_rowadr[c];
// dense[j] -= L[c,r] * L[c,j] for all j <= r in L[c]
// L_cr_idx - c_adr gives the position of r in row c
int num_cols = L_cr_idx - c_adr + 1;
const int* colptr = L_colind + c_adr;
const mjtNum* Lptr = L + c_adr;
for (int i = 0; i < num_cols; i++) {
dense[colptr[i]] -= L_cr * Lptr[i];
}
}
// factor row r diagonal, handle rank-deficient case
mjtNum diag = dense[r];
if (diag < mindiag) {
diag = mindiag;
rank--;
}
// scale off-diagonals
mjtNum L_rr = mju_sqrt(diag);
mjtNum L_rr_inv = 1.0 / L_rr;
int L_adr = L_rowadr[r];
int L_nnz = L_rownnz[r];
const int* colptr = L_colind + L_adr;
mjtNum* Lptr = L + L_adr;
for (int i = 0; i < L_nnz - 1; i++) {
Lptr[i] = dense[colptr[i]] * L_rr_inv;
}
// store diagonal
L[L_adr + L_nnz - 1] = L_rr;
// clear dense workspace
for (int i = 0; i < L_nnz; i++) {
dense[colptr[i]] = 0;
}
}
mj_freeStack(d);
return rank;
}
// sparse reverse-order Cholesky solve
void mju_cholSolveSparse(mjtNum* res, const mjtNum* mat, const mjtNum* vec, int n,
const int* rownnz, const int* rowadr, const int* colind) {
// copy input into result
mju_copy(res, vec, n);
// vec <- L^-T vec
for (int i=n-1; i >= 0; i--) {
if (res[i]) {
// get rowadr[i], rownnz[i]
const int adr = rowadr[i], nnz = rownnz[i];
// x(i) /= L(i,i)
res[i] /= mat[adr+nnz-1];
mjtNum tmp = res[i];
// x(j) -= L(i,j)*x(i), j=0:i-1
for (int j=0; j < nnz-1; j++) {
res[colind[adr+j]] -= mat[adr+j]*tmp;
}
}
}
// vec <- L^-1 vec
for (int i=0; i < n; i++) {
// get rowadr[i], rownnz[i]
const int adr = rowadr[i], nnz = rownnz[i];
// x(i) -= sum_j L(i,j)*x(j), j=0:i-1
if (nnz > 1) {
res[i] -= mju_dotSparse(mat+adr, res, nnz-1, colind+adr);
// modulo AVX, the above line does
// for (int j=0; j<nnz-1; j++)
// res[i] -= mat[adr+j]*res[colind[adr+j]];
}
// x(i) /= L(i,i)
res[i] /= mat[adr+nnz-1];
}
}
// sparse reverse-order Cholesky rank-one update: L'*L +/- x*x'; return rank
// x is sparse, change in sparsity pattern of mat is not allowed
int mju_cholUpdateSparse(mjtNum* restrict mat, const mjtNum* restrict x, int n, int flg_plus,
const int* restrict rownnz, const int* restrict rowadr,
const int* restrict colind, int x_nnz, const int* restrict x_ind,
mjData* d) {
// early return if x is empty
if (x_nnz == 0) {
return n;
}
// get starting row: last non-zero entry in x
int start = x_ind[x_nnz - 1];
// allocate dense accumulator for x
mj_markStack(d);
mjtNum* restrict dense = mjSTACKALLOC(d, start + 1, mjtNum);
mju_zero(dense, start + 1);
// scatter x into dense
mju_scatter(dense, x, x_ind, x_nnz);
// backpass over rows from start down to 0
int rank = n;
for (int row = start; row >= 0; row--) {
// skip if zero
if (dense[row] == 0) continue;
// get rownnz (excluding diagonal), rowadr
int nnz = rownnz[row] - 1;
int adr = rowadr[row];
// update diagonal, handle rank-deficient case
mjtNum diag = mat[adr + nnz];
mjtNum x_row = dense[row];
mjtNum tmp = diag*diag + (flg_plus ? x_row*x_row : -x_row*x_row);
if (tmp < mjMINVAL) {
tmp = mjMINVAL;
rank--;
}
mjtNum r = mju_sqrt(tmp);
mat[adr + nnz] = r;
// compute Givens rotation parameters https://en.wikipedia.org/wiki/Givens_rotation
mjtNum c = diag / r;
mjtNum s = -x_row / r;
mjtNum s_signed = flg_plus ? -s : s;
// update row
for (int i = 0; i < nnz; i++) {
int j = colind[adr + i];
mjtNum dense_j = dense[j];
mjtNum mat_val = mat[adr + i];
// update mat and dense using the Givens rotation
mat[adr + i] = c*mat_val + s_signed*dense_j;
dense[j] = s*mat_val + c*dense_j;
}
}
mj_freeStack(d);
return rank;
}
//---------------------------- banded Cholesky -----------------------------------------------------
// band-dense Cholesky decomposition
// returns minimum value in the factorized diagonal, or 0 if rank-deficient
// mat has (ntotal-ndense) x nband + ndense x ntotal elements
// the first (ntotal-ndense) x nband store the band part, left of diagonal, inclusive
// the second ndense x ntotal store the band part as entire dense rows
// add diagadd+diagmul*mat_ii to diagonal before factorization
mjtNum mju_cholFactorBand(mjtNum* mat, int ntotal, int nband, int ndense,
mjtNum diagadd, mjtNum diagmul) {
int nsparse = ntotal - ndense;
mjtNum mindiag = -1;
// sparse part, including sparse-sparse and sparse-dense
for (int j=0; j < nsparse; j++) {
// number of non-zeros left of (j,j)
int width_jj = mjMIN(j, nband-1);
// number of non-zeros below (j,j), sparse part
int height = mjMIN(nsparse-j-1, nband-1);
// address of (j,j)
int adr_jj = (j+1)*nband-1;
// compute L(j,j), before sqrt
mjtNum left_ij = width_jj > 0 ? mju_dot(mat+adr_jj-width_jj, mat+adr_jj-width_jj, width_jj) : 0;
mjtNum Ljj = diagadd + diagmul*mat[adr_jj] + mat[adr_jj] - left_ij;
// update mindiag
if (Ljj < mindiag || mindiag < 0) {
mindiag = Ljj;
}
// stop if rank-deficient
if (Ljj < mjMINVAL) {
return 0;
}
// compute Ljj, scale = 1/Ljj
Ljj = mju_sqrt(Ljj);
mjtNum scale = 1/Ljj;
// compute L(i,j) for i>j, sparse part
for (int i=j+1; i <= j+height; i++) {
// number of non-zeros left of (i,j)
int width_ij = mjMIN(j, nband-1-i+j);
// address of (i,j)
int adr_ij = (i+1)*nband-1-i+j;
// in-place computation of L(i,j)
left_ij = width_ij > 0 ? mju_dot(mat+adr_jj-width_ij, mat+adr_ij-width_ij, width_ij) : 0;
mat[adr_ij] = scale * (mat[adr_ij] - left_ij);
}
// compute L(i,j) for i>j, dense part
for (int i=nsparse; i < ntotal; i++) {
// address of (i,j)
int adr_ij = nsparse*nband + (i-nsparse)*ntotal + j;
// in-place computation of L(i,j)
// number of non-zeros left of (i,j) now equals width_jj
left_ij = width_jj > 0 ? mju_dot(mat+adr_jj-width_jj, mat+adr_ij-width_jj, width_jj) : 0;
mat[adr_ij] = scale * (mat[adr_ij] - left_ij);
}
// save L(j,j)
mat[adr_jj] = Ljj;
}
// dense part
for (int j=nsparse; j < ntotal; j++) {
// address of (j,j)
int adr_jj = nsparse*nband + (j-nsparse)*ntotal + j;
// compute Ljj
mjtNum Ljj = diagadd + diagmul*mat[adr_jj] + mat[adr_jj] -
mju_dot(mat+adr_jj-j, mat+adr_jj-j, j);
// update mindiag
if (Ljj < mindiag || mindiag < 0) {
mindiag = Ljj;
}
// stop if rank-deficient
if (Ljj < mjMINVAL) {
return 0;
}
// compute Ljj, scale = 1/Ljj
Ljj = mju_sqrt(Ljj);
mjtNum scale = 1/Ljj;
// compute L(i,j) for i>j
for (int i=j+1; i < ntotal; i++) {
// address of off-diagonal element
int adr_ij = adr_jj + ntotal*(i-j);
// in-place computation of L(i,j)
mat[adr_ij] = scale * (mat[adr_ij] - mju_dot(mat+adr_jj-j, mat+adr_ij-j, j));
}
// save L(j,j)
mat[adr_jj] = Ljj;
}
return mindiag;
}
// solve with band-Cholesky decomposition
void mju_cholSolveBand(mjtNum* res, const mjtNum* mat, const mjtNum* vec,
int ntotal, int nband, int ndense) {
int width, height, nsparse = ntotal - ndense;
// copy into result if different
if (res != vec) {
mju_copy(res, vec, ntotal);
}
//------- forward substitution: solve L*res = vec
// sparse part
for (int i=0; i < nsparse; i++) {
// number of non-zeros left of (i,i)
width = mjMIN(i, nband-1);
if (width) {
res[i] -= mju_dot(mat+(i+1)*nband-1-width, res+i-width, width);
}
// diagonal
res[i] /= mat[(i+1)*nband-1];
}
// dense part
for (int i=nsparse; i < ntotal; i++) {
res[i] -= mju_dot(mat+nsparse*nband+(i-nsparse)*ntotal, res, i);
// diagonal
res[i] /= mat[nsparse*nband+(i-nsparse)*ntotal+i];
}
//------- backward substitution: solve L'*res = res
// dense part
for (int i=ntotal-1; i >= nsparse; i--) {
for (int j=i+1; j < ntotal; j++) {
res[i] -= mat[nsparse*nband+(j-nsparse)*ntotal+i] * res[j];
}
// diagonal
res[i] /= mat[nsparse*nband+(i-nsparse)*ntotal+i];
}
// sparse part
for (int i=nsparse-1; i >= 0; i--) {
// number of non-zeros below (i,i), sparse part
height = mjMIN(nsparse-1-i, nband-1);
// sparse rows
for (int j=i+1; j <= i+height; j++)
res[i] -= mat[(j+1)*nband-1-(j-i)] * res[j];
// dense rows
for (int j=nsparse; j < ntotal; j++)
res[i] -= mat[nsparse*nband+(j-nsparse)*ntotal+i] * res[j];
// diagonal
res[i] /= mat[(i+1)*nband-1];
}
}
// address of diagonal element i in band-dense matrix representation
int mju_bandDiag(int i, int ntotal, int nband, int ndense) {
int nsparse = ntotal-ndense;
// sparse part
if (i < nsparse) {
return i*nband + nband-1;
}
// dense part
else {
return nsparse*nband + (i-nsparse)*ntotal + i;
}
}
// convert band matrix to dense matrix
void mju_band2Dense(mjtNum* res, const mjtNum* mat, int ntotal, int nband, int ndense,
mjtByte flg_sym) {
int nsparse = ntotal-ndense;
// clear all
mju_zero(res, ntotal*ntotal);
// sparse part
for (int i=0; i < nsparse; i++) {
// number of non-zeros left of (i,i)
int width = mjMIN(i, nband-1);
// copy data
mju_copy(res + i*ntotal + i-width, mat + (i+1)*nband - (width+1), width+1);
}
// dense part
for (int i=nsparse; i < ntotal; i++) {
mju_copy(res + i*ntotal, mat + nsparse*nband + (i-nsparse)*ntotal, i+1);
}
// make symmetric
if (flg_sym) {
for (int i=0; i < ntotal; i++) {
for (int j=i+1; j < ntotal; j++) {
res[i*ntotal + j] = res[j*ntotal + i];
}
}
}
}
// convert dense matrix to band matrix
void mju_dense2Band(mjtNum* res, const mjtNum* mat, int ntotal, int nband, int ndense) {
int nsparse = ntotal-ndense;
// sparse part
for (int i=0; i < nsparse; i++) {
// number of non-zeros left of (i,i)
int width = mjMIN(i, nband-1);
// copy data
mju_copy(res + (i+1)*nband - (width+1), mat + i*ntotal + i-width, width+1);
}
// dense part
for (int i=nsparse; i < ntotal; i++) {
mju_copy(res + nsparse*nband + (i-nsparse)*ntotal, mat + i*ntotal, i+1);
}
}
// multiply band-diagonal matrix with vector
void mju_bandMulMatVec(mjtNum* res, const mjtNum* mat, const mjtNum* vec,
int ntotal, int nband, int ndense, int nvec, mjtByte flg_sym) {
int nsparse = ntotal-ndense;
// handle multiple vectors
for (int j=0; j < nvec; j++) {
// precompute pointer to corresponding vector in vec and res
const mjtNum* vec_j = vec + ntotal*j;
mjtNum* res_j = res + ntotal*j;
// sparse part
for (int i=0; i < nsparse; i++) {
int width = mjMIN(i+1, nband);
int adr = i*nband + nband - width;
int offset = mjMAX(0, i-nband+1);
res_j[i] = mju_dot(mat+adr, vec_j+offset, width); // lower triangle
if (flg_sym) {
// strict upper triangle
mju_addToScl(res_j+offset, mat+adr, vec_j[i], width-1);
}
}
// dense part
for (int i=nsparse; i < ntotal; i++) {
int adr = nsparse*nband + (i-nsparse)*ntotal;
res_j[i] = mju_dot(mat+adr, vec_j, i+1);
if (flg_sym) {
// strict upper triangle
mju_addToScl(res_j, mat+adr, vec_j[i], i);
}
}
}
}
//------------------------------ LU factorization --------------------------------------------------
// sparse reverse-order LU factorization, no fill-in (assuming tree topology)
// result: LU = L + U; original = (U+I) * L; scratch size is n
void mju_factorLUSparse(mjtNum* LU, int n, int* scratch,
const int* rownnz, const int* rowadr, const int* colind,
const int* index) {
int* remaining = scratch;
// set remaining = rownnz
if (index) {
for (int i=0; i < n; i++) {
remaining[i] = rownnz[index[i]];
}
} else {
mju_copyInt(remaining, rownnz, n);
}
// diagonal elements (i,i)
for (int r=n-1; r >= 0; r--) {
int i = index ? index[r] : r;
// get address of last remaining element of row i, adjust remaining counter
int ii = rowadr[i] + remaining[r] - 1;
remaining[r]--;
// make sure ii is on diagonal
if (colind[ii] != i) {
mjERROR("missing diagonal element");
}
// make sure diagonal is not too small
if (mju_abs(LU[ii]) < mjMINVAL) {
mjERROR("diagonal element too small");
}
// rows j above i
for (int c=r-1; c >= 0; c--) {
int j = index ? index[c] : c;
// get address of last remaining element of row j
int ji = rowadr[j] + remaining[c] - 1;
// process row j if (j,i) is non-zero
if (colind[ji] == i) {
// adjust remaining counter
remaining[c]--;
// (j,i) = (j,i) / (i,i)
LU[ji] = LU[ji] / LU[ii];
mjtNum LUji = LU[ji];
// (j,k) = (j,k) - (i,k) * (j,i) for k<i; handle incompatible sparsity
int icnt = rowadr[i], jcnt = rowadr[j];
while (jcnt < rowadr[j]+remaining[c]) {
// both non-zero
if (colind[icnt] == colind[jcnt]) {
// update LU, advance counters
LU[jcnt++] -= LU[icnt++] * LUji;
}
// only (j,k) non-zero
else if (colind[icnt] > colind[jcnt]) {
// advance j counter
jcnt++;
}
// only (i,k) non-zero
else {
mjERROR("requires fill-in");
}
}
// make sure both rows fully processed
if (icnt != rowadr[i]+remaining[r] || jcnt != rowadr[j]+remaining[c]) {
mjERROR("row processing incomplete");
}
}
}
}
// make sure remaining points to diagonal
for (int r=0; r < n; r++) {
int i = index ? index[r] : r;
if (remaining[r] < 0 || colind[rowadr[i]+remaining[r]] != i) {
mjERROR("unexpected sparse matrix structure");
}
}
}
// solve mat*res=vec given LU factorization of mat
void mju_solveLUSparse(mjtNum* res, const mjtNum* LU, const mjtNum* vec, int n,
const int* rownnz, const int* rowadr, const int* diag, const int* colind,
const int* index) {
// solve (U+I)*res = vec
for (int k=n-1; k >= 0; k--) {
int i = index ? index[k] : k;
// init: diagonal of (U+I) is 1
res[i] = vec[i];
int d1 = diag[i]+1;
int nnz = rownnz[i] - d1;
if (nnz > 0) {
int adr = rowadr[i] + d1;
res[i] -= mju_dotSparse(LU+adr, res, nnz, colind+adr);
}
}
//------------------ solve L*res(new) = res
for (int k=0; k < n; k++) {
int i = index ? index[k] : k;
// res[i] -= sum_k<i res[k]*LU(i,k)
int d = diag[i];
int adr = rowadr[i];
if (d > 0) {
res[i] -= mju_dotSparse(LU+adr, res, d, colind+adr);
}
// divide by diagonal element of L
res[i] /= LU[adr + d];
}
}
//--------------------------- eigen decomposition --------------------------------------------------
// eigenvalue decomposition of symmetric 3x3 matrix
static const mjtNum eigEPS = mjMINVAL * 1000;
int mju_eig3(mjtNum eigval[3], mjtNum eigvec[9], mjtNum quat[4], const mjtNum mat[9]) {
mjtNum D[9], tmp[9];
mjtNum tau, t, c;
int iter, rk, ck, rotk;
// initialize with unit quaternion
quat[0] = 1;
quat[1] = quat[2] = quat[3] = 0;
// Jacobi iteration
for (iter=0; iter < 500; iter++) {
// make quaternion matrix eigvec, compute D = eigvec'*mat*eigvec
mju_quat2Mat(eigvec, quat);
mji_mulMatTMat3(tmp, eigvec, mat);
mji_mulMatMat3(D, tmp, eigvec);
// assign eigenvalues
eigval[0] = D[0];
eigval[1] = D[4];
eigval[2] = D[8];
// find max off-diagonal element, set indices
if (mju_abs(D[1]) > mju_abs(D[2]) && mju_abs(D[1]) > mju_abs(D[5])) {
rk = 0; // row
ck = 1; // column
rotk = 2; // rotation axis
} else if (mju_abs(D[2]) > mju_abs(D[5])) {
rk = 0;
ck = 2;
rotk = 1;
} else {
rk = 1;
ck = 2;
rotk = 0;
}
// terminate if max off-diagonal element too small
if (mju_abs(D[3*rk+ck]) < eigEPS) {
break;
}
// 2x2 symmetric Schur decomposition
tau = (D[4*ck]-D[4*rk])/(2*D[3*rk+ck]);
if (tau >= 0) {
t = 1.0/(tau + mju_sqrt(1 + tau*tau));
} else {
t = -1.0/(-tau + mju_sqrt(1 + tau*tau));
}
c = 1.0/mju_sqrt(1 + t*t);
// terminate if cosine too close to 1
if (c > 1.0-eigEPS) {
break;
}
// express rotation as quaternion
tmp[1] = tmp[2] = tmp[3] = 0;
tmp[rotk+1] = (tau >= 0 ? -mju_sqrt(0.5-0.5*c) : mju_sqrt(0.5-0.5*c));
if (rotk == 1) {
tmp[rotk+1] = -tmp[rotk+1];
}
tmp[0] = mju_sqrt(1.0 - tmp[rotk+1]*tmp[rotk+1]);
mju_normalize4(tmp);
// accumulate quaternion rotation
mju_mulQuat(quat, quat, tmp);
mju_normalize4(quat);
}
// sort eigenvalues in decreasing order (bubble sort: 0, 1, 0)
for (int j=0; j < 3; j++) {
int j1 = j%2; // lead index
// only swap if the eigenvalues are different
if (eigval[j1]+eigEPS < eigval[j1+1]) {
// swap eigenvalues
t = eigval[j1];
eigval[j1] = eigval[j1+1];
eigval[j1+1] = t;
// rotate quaternion
tmp[0] = 0.707106781186548; // = cos(pi/4) = sin(pi/4)
tmp[1] = tmp[2] = tmp[3] = 0;
tmp[(j1+2)%3+1] = tmp[0];
mju_mulQuat(quat, quat, tmp);
mju_normalize4(quat);
}
}
// recompute eigvec
mju_quat2Mat(eigvec, quat);
return iter;
}
//---------------------------------- QCQP ----------------------------------------------------------
// solve QCQP in 2 dimensions:
// min 0.5*x'*A*x + x'*b s.t. sum (xi/di)^2 <= r^2
// return 0 if unconstrained, 1 if constrained
int mju_QCQP2(mjtNum* res, const mjtNum* Ain, const mjtNum* bin,
const mjtNum* d, mjtNum r) {
mjtNum A11, A22, A12, b1, b2;
mjtNum P11, P22, P12, det, detinv, v1, v2, la, val, deriv;
// scale A,b so that constraint becomes x'*x <= r*r
b1 = bin[0]*d[0];
b2 = bin[1]*d[1];
A11 = Ain[0]*d[0]*d[0];
A22 = Ain[3]*d[1]*d[1];
A12 = Ain[1]*d[0]*d[1];
// Newton iteration
la = 0;
for (int iter=0; iter < 20; iter++) {
// det(A+la)
det = (A11+la)*(A22+la) - A12*A12;
// check SPD, with 1e-10 threshold
if (det < 1e-10) {
res[0] = 0;
res[1] = 0;
return 0;
}
// P = inv(A+la)
detinv = 1/det;
P11 = (A22+la)*detinv;
P22 = (A11+la)*detinv;
P12 = -A12*detinv;
// v = -P*b
v1 = -P11*b1 - P12*b2;
v2 = -P12*b1 - P22*b2;
// val = v'*v - r*r
val = v1*v1 + v2*v2 - r*r;
// check for convergence, or initial solution inside constraint set
if (val < 1e-10) {
break;
}
// deriv = -2 * v' * P * v
deriv = -2.0*(P11*v1*v1 + 2.0*P12*v1*v2 + P22*v2*v2);
// compute update, exit if too small
mjtNum delta = -val/deriv;
if (delta < 1e-10) {
break;
}
// update
la += delta;
}
// undo scaling
res[0] = v1*d[0];
res[1] = v2*d[1];
return (la != 0);
}
// solve QCQP in 3 dimensions:
// min 0.5*x'*A*x + x'*b s.t. sum (xi/di)^2 <= r^2
// return 0 if unconstrained, 1 if constrained
int mju_QCQP3(mjtNum* res, const mjtNum* Ain, const mjtNum* bin,
const mjtNum* d, mjtNum r) {
mjtNum A11, A22, A33, A12, A13, A23, b1, b2, b3;
mjtNum P11, P22, P33, P12, P13, P23, det, detinv, v1, v2, v3, la, val, deriv;
// scale A,b so that constraint becomes x'*x <= r*r
b1 = bin[0]*d[0];
b2 = bin[1]*d[1];
b3 = bin[2]*d[2];
A11 = Ain[0]*d[0]*d[0];
A22 = Ain[4]*d[1]*d[1];
A33 = Ain[8]*d[2]*d[2];
A12 = Ain[1]*d[0]*d[1];
A13 = Ain[2]*d[0]*d[2];
A23 = Ain[5]*d[1]*d[2];
// Newton iteration
la = 0;
for (int iter=0; iter < 20; iter++) {
// unscaled P
P11 = (A22+la)*(A33+la) - A23*A23;
P22 = (A11+la)*(A33+la) - A13*A13;
P33 = (A11+la)*(A22+la) - A12*A12;
P12 = A13*A23 - A12*(A33+la);
P13 = A12*A23 - A13*(A22+la);
P23 = A12*A13 - A23*(A11+la);
// det(A+la)
det = (A11+la)*P11 + A12*P12 + A13*P13;
// check SPD, with 1e-10 threshold
if (det < 1e-10) {
res[0] = 0;
res[1] = 0;
res[2] = 0;
return 0;
}
// detinv
detinv = 1/det;
// final P
P11 *= detinv;
P22 *= detinv;
P33 *= detinv;
P12 *= detinv;
P13 *= detinv;
P23 *= detinv;
// v = -P*b
v1 = -P11*b1 - P12*b2 - P13*b3;
v2 = -P12*b1 - P22*b2 - P23*b3;
v3 = -P13*b1 - P23*b2 - P33*b3;
// val = v'*v - r*r
val = v1*v1 + v2*v2 + v3*v3 - r*r;
// check for convergence, or initial solution inside constraint set
if (val < 1e-10) {
break;
}
// deriv = -2 * v' * P * v
deriv = -2.0*(P11*v1*v1 + P22*v2*v2 + P33*v3*v3)
-4.0*(P12*v1*v2 + P13*v1*v3 + P23*v2*v3);
// compute update, exit if too small
mjtNum delta = -val/deriv;
if (delta < 1e-10) {
break;
}
// update
la += delta;
}
// undo scaling
res[0] = v1*d[0];
res[1] = v2*d[1];
res[2] = v3*d[2];
return (la != 0);
}
// solve QCQP in n dimensions:
// min 0.5*x'*A*x + x'*b s.t. sum (xi/di)^2 <= r^2
// return 0 if unconstrained, 1 if constrained
int mju_QCQP(mjtNum* res, const mjtNum* Ain, const mjtNum* bin,
const mjtNum* d, mjtNum r, int n) {
mjtNum A[25], Ala[25], b[5];
mjtNum la, val, deriv, tmp[5];
// check size
if (n > 5) {
mjERROR("n is only supported up to 5");
}
// scale A,b so that constraint becomes x'*x <= r*r
for (int i=0; i < n; i++) {
b[i] = bin[i] * d[i];
for (int j=0; j < n; j++) {
A[j+i*n] = Ain[j+i*n] * d[i] * d[j];
}
}
// Newton iteration
la = 0;
for (int iter=0; iter < 20; iter++) {
// make A+la
mju_copy(Ala, A, n*n);
for (int i=0; i < n; i++) {
Ala[i*(n+1)] += la;
}
// factorize, check rank with 1e-10 threshold
if (mju_cholFactor(Ala, n, 1e-10) < n) {
mju_zero(res, n);
return 0;
}
// set res = -Ala \ b
mju_cholSolve(res, Ala, b, n);
mju_scl(res, res, -1, n);
// val = b' * Ala^-2 * b - r*r
val = mju_dot(res, res, n) - r*r;
// check for convergence, or initial solution inside constraint set
if (val < 1e-10) {
break;
}
// deriv = -2 * b' * Ala^-3 * b
mju_cholSolve(tmp, Ala, res, n);
deriv = -2.0 * mju_dot(res, tmp, n);
// compute update, exit if too small
mjtNum delta = -val/deriv;
if (delta < 1e-10) {
break;
}
// update
la += delta;
}
// undo scaling
for (int i=0; i < n; i++) {
res[i] = res[i] * d[i];
}
return (la != 0);
}
//--------------------------- box-constrained quadratic program ------------------------------------
// minimize 0.5*x'*H*x + x'*g s.t. lower <= x <= upper, return rank or -1 if failed
// inputs:
// n - problem dimension
// H - SPD matrix n*n
// g - bias vector n
// lower - lower bounds n
// upper - upper bounds n
// res - solution warmstart n
// return value:
// nfree <= n - rank of unconstrained subspace, -1 if failure
// outputs (required):
// res - solution n
// R - subspace Cholesky factor nfree*nfree allocated: n*(n+7)
// outputs (optional):
// index - set of free dimensions nfree allocated: n
// notes:
// the initial value of res is used to warmstart the solver
// R must have allocatd size n*(n+7), but only nfree*nfree values are used in output
// index (if given) must have allocated size n, but only nfree values are used in output
// only lower triangles of H and R and read from and written to, respectively
int mju_boxQP(mjtNum* res, mjtNum* R, int* index,
const mjtNum* H, const mjtNum* g, int n,
const mjtNum* lower, const mjtNum* upper) {
// algorithm options
int maxiter = 100; // maximum number of iterations
mjtNum mingrad = 1E-16; // minimum squared norm of (unclamped) gradient
mjtNum backtrack = 0.5; // backtrack factor for decreasing stepsize
mjtNum minstep = 1E-22; // minimum stepsize for linesearch
mjtNum armijo = 0.1; // Armijo parameter (fraction of expected linear improvement)
// logging (disabled)
char* log = NULL; // buffer to write log messages into
int logsz = 0; // size of log buffer
return mju_boxQPoption(res, R, index, H, g, n, lower, upper,
maxiter, mingrad, backtrack, minstep, armijo, log, logsz);
}
// allocate heap memory for box-constrained Quadratic Program
// as in mju_boxQP, index, lower and upper are optional
// free all pointers with mju_free()
void mju_boxQPmalloc(mjtNum** res, mjtNum** R, int** index,
mjtNum** H, mjtNum** g, int n,
mjtNum** lower, mjtNum** upper) {
// required arrays
*res = (mjtNum*) mju_malloc(sizeof(mjtNum)*n);
*R = (mjtNum*) mju_malloc(sizeof(mjtNum)*n*(n+7));
*H = (mjtNum*) mju_malloc(sizeof(mjtNum)*n*n);
*g = (mjtNum*) mju_malloc(sizeof(mjtNum)*n);
// optional arrays
if (lower) *lower = (mjtNum*) mju_malloc(sizeof(mjtNum)*n);
if (upper) *upper = (mjtNum*) mju_malloc(sizeof(mjtNum)*n);
if (index) *index = (int*) mju_malloc(sizeof(int)*n);
}
// local enum encoding mju_boxQP solver status (purely for readability)
enum mjtStatusBoxQP {
mjBOXQP_NOT_SPD = -1, // Hessian is not positive definite
mjBOXQP_NO_DESCENT = 0, // no descent direction found
mjBOXQP_MAX_ITER = 1, // maximum main iterations exceeded
mjBOXQP_MAX_LS_ITER = 2, // maximum line-search iterations exceeded
mjBOXQP_TOL_GRAD = 3, // gradient norm smaller than tolerance
mjBOXQP_UNBOUNDED = 4, // no dimensions clamped, returning Newton point
mjBOXQP_ALL_CLAMPED = 5, // all dimensions clamped
mjNBOXQP = 7 // number of boxQP status values
};
// multiply symmetric matrix with vector on both sides: return vec'*mat*vec
// assumes symmetry of mat, ignores upper triangle
static mjtNum mulVecMatVecSym(const mjtNum* vec, const mjtNum* mat, int n) {
mjtNum res = 0;
for (int i=0; i < n; i++) {
res += vec[i] * mat[n*i+i] * vec[i]; // diagonal
res += 2 * vec[i] * mju_dot(mat+n*i, vec, i); // off-diagonal
}
return res;
}
// minimize 0.5*x'*H*x + x'*g s.t. lower <= x <=upper, explicit options
// additional arguments to mju_boxQP (see mju_boxQP documentation):
// maxiter maximum number of iterations
// mingrad minimum squared norm of (unclamped) gradient
// backtrack backtrack factor for decreasing stepsize
// minstep minimum stepsize for linesearch
// armijo Armijo parameter (fraction of expected linear improvement)
// log buffer to write log messages into
// logsz size of log buffer
int mju_boxQPoption(mjtNum* res, mjtNum* R, int* index, // outputs
const mjtNum* H, const mjtNum* g, int n, // QP definition
const mjtNum* lower, const mjtNum* upper, // bounds
int maxiter, mjtNum mingrad, mjtNum backtrack, // options
mjtNum minstep, mjtNum armijo, // options
char* log, int logsz) // logging
{
int status = mjBOXQP_NO_DESCENT; // initial status: no descent direction found
int factorize = 1; // always factorize on the first iteration
int nfree = n; // initialise nfree with n
int nfactor = 0;
mjtNum sdotg, improvement=0, value=0, norm2=0;
// basic checks
if (n <= 0) {
mjERROR("problem size n must be positive");
}
if (upper && lower) {
for (int i=0; i < n; i++) {
if (lower[i] >= upper[i]) {
mjERROR("upper bounds must be stricly larger than lower bounds");
}
}
}
// local scratch vectors, allocate in R
mjtNum* scratch = R + n*n;
mjtNum* grad = scratch + 0*n;
mjtNum* search = scratch + 1*n;
mjtNum* candidate = scratch + 2*n;
mjtNum* temp = scratch + 3*n;
int* clamped = (int*) (scratch + 4*n);
int* oldclamped = (int*) (scratch + 5*n);
// if index vector not given, use scratch space
if (!index) {
index = (int*) (scratch + 6*n);
}
static const char status_string[mjNBOXQP][50]= {
"Hessian is not positive definite",
"No descent direction found",
"Maximum main iterations exceeded",
"Maximum line-search iterations exceeded",
"Gradient norm smaller than tolerance",
"No dimensions clamped, returning Newton point",
"All dimensions clamped"
};
// no bounds: return Newton point
if (!lower && !upper) {
// try to factorize
mju_copy(R, H, n*n);
int rank = mju_cholFactor(R, n, mjMINVAL);
if (rank == n) {
mju_cholSolve(res, R, g, n);
mju_scl(res, res, -1, n);
nfactor = 1;
status = mjBOXQP_UNBOUNDED;
} else {
status = mjBOXQP_NOT_SPD;
}
// full index set (no clamping)
for (int i=0; i < n; i++) {
index[i] = i;
}
}
// have bounds: clamp res
else {
for (int i=0; i < n; i++) {
if (lower) {
res[i] = mju_max(res[i], lower[i]);
}
if (upper) {
res[i] = mju_min(res[i], upper[i]);
}
}
}
// ------ main loop
int iter, logptr = 0;
mjtNum oldvalue;
for (iter=0; iter < maxiter; iter++) {
if (status != mjBOXQP_NO_DESCENT) {
break;
}
// compute objective: value = 0.5*res'*H*res + res'*g
value = 0.5 * mulVecMatVecSym(res, H, n) + mju_dot(res, g, n);
// save last value
oldvalue = value;
// compute gradient
mju_mulMatVec(grad, H, res, n, n);
mju_addTo(grad, g, n);
// find clamped dimensions
for (int i=0; i < n; i++) {
clamped[i] = ( lower && res[i] == lower[i] && grad[i] > 0 ) ||
( upper && res[i] == upper[i] && grad[i] < 0 );
}
// build index of free dimensions, count them
nfree = 0;
for (int i=0; i < n; i++) {
if (!clamped[i]) {
index[nfree++] = i;
}
}
// all dimensions are clamped: minimum found
if (!nfree) {
status = mjBOXQP_ALL_CLAMPED;
break;
}
// re-factorize if clamped dimensions have changed
if (iter) {
factorize = 0;
for (int i=0; i < n; i++) {
if (clamped[i] != oldclamped[i]) {
factorize = 1;
break;
}
}
}
// save last clamped
for (int i=0; i < n; i++) {
oldclamped[i] = clamped[i];
}
// get search direction: search = g + H_all,clamped * res_clamped
for (int i=0; i < n; i++) {
temp[i] = clamped[i] ? res[i] : 0;
}
mju_mulMatVec(search, H, temp, n, n);
mju_addTo(search, g, n);
// search = compress_free(search)
for (int i=0; i < nfree; i++) {
search[i] = search[index[i]];
}
// R = compress_free(H)
if (factorize) {
for (int i=0; i < nfree; i++) {
for (int j=0; j < i+1; j++) {
R[i*nfree+j] = H[index[i]*n+index[j]];
}
}
}
// re-factorize and increment counter, if required
int rank = factorize ? mju_cholFactor(R, nfree, mjMINVAL) : nfree;
nfactor += factorize;
// abort if factorization failed
if (rank != nfree) {
status = mjBOXQP_NOT_SPD;
break;
}
// temp = H_free,free \ search_free
mju_cholSolve(temp, R, search, nfree);
// search_free = expand_free(-temp) - x_free
mju_zero(search, n);
for (int i=0; i < nfree; i++) {
search[index[i]] = -temp[i] -res[index[i]];
}
// ------ check gradient
// squared norm of free gradient
norm2 = 0;
for (int i=0; i < nfree; i++) {
mjtNum grad_i = grad[index[i]];
norm2 += grad_i*grad_i;
}
// small gradient: minimum found
if (norm2 < mingrad) {
status = nfree == n ? mjBOXQP_UNBOUNDED : mjBOXQP_TOL_GRAD;
break;
}
// sanity check: make sure we have a descent direction
if ((sdotg = mju_dot(search, grad, n)) >= 0) {
break; // SHOULD NOT OCCUR
}
// ------ projected Armijo line search
mjtNum step = 1;
int nstep = 0;
do {
// candidate = clamp(x + step*search)
mju_scl(candidate, search, step, n);
mju_addTo(candidate, res, n);
for (int i=0; i < n; i++) {
if (lower && candidate[i] < lower[i]) {
candidate[i] = lower[i];
} else if (upper && candidate[i] > upper[i]) {
candidate[i] = upper[i];
}
}
// new objective value
value = 0.5 * mulVecMatVecSym(candidate, H, n) + mju_dot(candidate, g, n);
// increment and break if step is too small
nstep++;
step = step*backtrack;
if (step < minstep) {
status = mjBOXQP_MAX_LS_ITER;
break;
}
// repeat until relative improvement >= Armijo
improvement = (value - oldvalue) / (step*sdotg);
} while (improvement < armijo);
// print iteration info
if (log && logptr < logsz) {
int written = snprintf(log+logptr, logsz-logptr,
"iter %-3d: |grad|: %-8.2g reduction: %-8.2g improvement: %-8.4g "
"linesearch: %g^%-2d factorized: %d nfree: %d\n",
iter+1, mju_sqrt(norm2), oldvalue-value, improvement,
backtrack, nstep-1, factorize, nfree);
if (written > 0) {
logptr = mjMIN(logptr + written, logsz);
}
}
// accept candidate
mju_copy(res, candidate, n);
}
// max iterations exceeded
if (iter == maxiter) {
status = mjBOXQP_MAX_ITER;
}
// print final info
if (log && logptr < logsz) {
snprintf(log+logptr, logsz-logptr, "BOXQP: %s.\n"
"iterations= %d, factorizations= %d, |grad|= %-12.6g, final value= %-12.6g\n",
status_string[status+1], iter, nfactor, mju_sqrt(norm2), value);
}
// return nf or -1 if failure
return (status == mjBOXQP_NO_DESCENT || status == mjBOXQP_NOT_SPD) ? -1 : nfree;
}