randn('state',0);
m=100; n=30;
A = randn(m,n);
b = randn(m,1);
disp('ell-one approximation');
cvx_begin
variable x1(n)
minimize(norm(A*x1+b,1))
cvx_end
disp('ell-2');
x2=-A\b;
dz = 0.5;
disp('deadzone penalty');
cvx_begin
variable xdz(n)
minimize(sum(max(abs(A*xdz+b)-dz,0)))
cvx_end
disp('log-barrier')
alpha=.01; beta=.5;
cvx_begin
variable xlb(n)
minimize norm(A*xlb+b,Inf)
cvx_end
linf = cvx_optval;
A = A/(1.1*linf);
b = b/(1.1*linf);
for iters = 1:50
yp = 1 - (A*xlb+b); ym = (A*xlb+b) + 1;
f = -sum(log(yp)) - sum(log(ym));
g = A'*(1./yp) - A'*(1./ym);
H = A'*diag(1./(yp.^2) + 1./(ym.^2))*A;
v = -H\g;
fprime = g'*v;
ntdecr = sqrt(-fprime);
if (ntdecr < 1e-5), break; end;
t = 1;
newx = xlb + t*v;
while ((min(1-(A*newx +b)) < 0) | (min((A*newx +b)+1) < 0))
t = beta*t;
newx = xlb + t*v;
end;
newf = -sum(log(1 - (A*newx+b))) - sum(log(1+(A*newx+b)));
while (newf > f + alpha*t*fprime)
t = beta*t;
newx = xlb + t*v;
newf = -sum(log(1-(A*newx+b))) - sum(log(1+(A*newx+b)));
end;
xlb = xlb+t*v;
end
ss = max(abs([A*x1+b; A*x2+b; A*xdz+b; A*xlb+b]));
tt = -ceil(ss):0.05:ceil(ss);
[N1,hist1] = hist(A*x1+b,tt);
[N2,hist2] = hist(A*x2+b,tt);
[N3,hist3] = hist(A*xdz+b,tt);
[N4,hist4] = hist(A*xlb+b,tt);
range_max=2.0; rr=-range_max:1e-2:range_max;
figure(1), clf, hold off
subplot(4,1,1),
bar(hist1,N1);
hold on
plot(rr, abs(rr)*40/3, '-');
ylabel('p=1')
axis([-range_max range_max 0 40]);
hold off
subplot(4,1,2),
bar(hist2,N2);
hold on;
plot(rr,2*rr.^2),
ylabel('p=2')
axis([-range_max range_max 0 11]);
hold off
subplot(4,1,3),
bar(hist3,N3);
hold on
plot(rr,30/3*max(0,abs(rr)-dz))
ylabel('Deadzone')
axis([-range_max range_max 0 25]);
hold off
subplot(4,1,4),
bar(hist4,N4);
rr_lb=linspace(-1+(1e-6),1-(1e-6),600);
hold on
plot(rr_lb, -3*log(1-rr_lb.^2),rr,2*rr.^2,'--')
axis([-range_max range_max 0 11]);
ylabel('Log barrier'),
xlabel('r')
hold off
ell-one approximation
Calling sedumi: 230 variables, 100 equality constraints
------------------------------------------------------------
SeDuMi 1.21 by AdvOL, 2005-2008 and Jos F. Sturm, 1998-2003.
Alg = 2: xz-corrector, Adaptive Step-Differentiation, theta = 0.250, beta = 0.500
Split 30 free variables
eqs m = 100, order n = 261, dim = 261, blocks = 1
nnz(A) = 6200 + 0, nnz(ADA) = 10000, nnz(L) = 5050
it : b*y gap delta rate t/tP* t/tD* feas cg cg prec
0 : 2.34E+02 0.000
1 : 3.05E+01 5.69E+01 0.000 0.2433 0.9000 0.9000 2.72 1 1 9.7E-01
2 : 4.57E+01 2.12E+01 0.000 0.3727 0.9000 0.9000 1.14 1 1 4.3E-01
3 : 5.16E+01 7.84E+00 0.000 0.3699 0.9000 0.9000 1.04 1 1 1.8E-01
4 : 5.40E+01 2.49E+00 0.000 0.3174 0.9000 0.9000 1.01 1 1 5.9E-02
5 : 5.48E+01 6.63E-01 0.000 0.2665 0.9000 0.9000 1.00 1 1 1.6E-02
6 : 5.50E+01 1.94E-01 0.000 0.2918 0.9031 0.9000 1.00 1 1 4.8E-03
7 : 5.51E+01 4.71E-02 0.000 0.2433 0.9149 0.9000 1.00 1 1 1.3E-03
8 : 5.51E+01 7.72E-03 0.000 0.1639 0.9000 0.9089 1.00 1 1 1.8E-04
9 : 5.51E+01 5.53E-05 0.000 0.0072 0.9990 0.9990 1.00 1 1
iter seconds digits c*x b*y
9 0.0 14.1 5.5128921594e+01 5.5128921594e+01
|Ax-b| = 5.2e-13, [Ay-c]_+ = 9.7E-15, |x|= 1.6e+01, |y|= 8.8e+00
Detailed timing (sec)
Pre IPM Post
1.000E-02 4.000E-02 0.000E+00
Max-norms: ||b||=1.957607e+00, ||c|| = 1,
Cholesky |add|=0, |skip| = 0, ||L.L|| = 2.90116.
------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +55.1289
ell-2
deadzone penalty
Calling sedumi: 430 variables, 200 equality constraints
------------------------------------------------------------
SeDuMi 1.21 by AdvOL, 2005-2008 and Jos F. Sturm, 1998-2003.
Alg = 2: xz-corrector, Adaptive Step-Differentiation, theta = 0.250, beta = 0.500
Split 30 free variables
eqs m = 200, order n = 461, dim = 461, blocks = 1
nnz(A) = 600 + 6000, nnz(ADA) = 400, nnz(L) = 300
Handling 60 + 0 dense columns.
it : b*y gap delta rate t/tP* t/tD* feas cg cg prec
0 : 3.46E+01 0.000
1 : 5.46E+00 1.32E+01 0.000 0.3811 0.9000 0.9000 6.12 1 1 1.2E+00
2 : 1.30E+01 7.01E+00 0.000 0.5309 0.9000 0.9000 1.33 1 1 6.5E-01
3 : 1.70E+01 3.25E+00 0.000 0.4643 0.9000 0.9000 1.20 1 1 3.1E-01
4 : 1.96E+01 1.30E+00 0.000 0.3994 0.9000 0.9000 1.10 1 1 1.2E-01
5 : 2.07E+01 4.75E-01 0.000 0.3656 0.9000 0.9000 1.04 1 1 4.5E-02
6 : 2.12E+01 1.56E-01 0.000 0.3290 0.9054 0.9000 1.02 1 1 1.4E-02
7 : 2.14E+01 3.94E-02 0.000 0.2520 0.9000 0.9047 1.01 1 1 3.8E-03
8 : 2.15E+01 6.65E-03 0.000 0.1687 0.9000 0.9095 1.01 1 1 7.5E-04
9 : 2.15E+01 2.58E-04 0.000 0.0389 0.9900 0.9906 1.00 1 1 4.5E-05
10 : 2.15E+01 8.56E-06 0.000 0.0331 0.9904 0.9900 1.00 1 1
iter seconds digits c*x b*y
10 0.1 15.0 2.1468211792e+01 2.1468211792e+01
|Ax-b| = 3.9e-13, [Ay-c]_+ = 5.2E-15, |x|= 1.2e+01, |y|= 9.5e+00
Detailed timing (sec)
Pre IPM Post
4.000E-02 9.000E-02 0.000E+00
Max-norms: ||b||=1.957607e+00, ||c|| = 1,
Cholesky |add|=0, |skip| = 0, ||L.L|| = 1.
------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +21.4682
log-barrier
Calling sedumi: 300 variables, 131 equality constraints
For improved efficiency, sedumi is solving the dual problem.
------------------------------------------------------------
SeDuMi 1.21 by AdvOL, 2005-2008 and Jos F. Sturm, 1998-2003.
Alg = 2: xz-corrector, Adaptive Step-Differentiation, theta = 0.250, beta = 0.500
eqs m = 131, order n = 301, dim = 301, blocks = 1
nnz(A) = 6500 + 0, nnz(ADA) = 7261, nnz(L) = 3696
it : b*y gap delta rate t/tP* t/tD* feas cg cg prec
0 : 9.36E+01 0.000
1 : -1.67E+01 7.44E+00 0.000 0.0795 0.9900 0.9900 -0.71 1 1 9.8E+01
2 : -7.32E+00 4.02E+00 0.000 0.5402 0.9000 0.9000 3.04 1 1 2.3E+01
3 : -2.19E+00 2.13E+00 0.000 0.5291 0.9000 0.9000 5.25 1 1 3.8E+00
4 : -1.52E+00 9.49E-01 0.000 0.4467 0.9000 0.9000 2.08 1 1 1.2E+00
5 : -1.33E+00 4.23E-01 0.000 0.4460 0.9000 0.9000 1.37 1 1 4.9E-01
6 : -1.25E+00 1.65E-01 0.000 0.3888 0.9000 0.9000 1.15 1 1 1.8E-01
7 : -1.22E+00 7.05E-02 0.000 0.4281 0.9000 0.9000 1.05 1 1 7.7E-02
8 : -1.21E+00 1.71E-02 0.000 0.2433 0.9327 0.9000 1.01 1 1 1.3E-02
9 : -1.20E+00 4.77E-03 0.000 0.2781 0.9000 0.9152 1.01 1 1 4.1E-03
10 : -1.20E+00 9.64E-04 0.000 0.2022 0.9244 0.9000 1.00 1 1 5.7E-04
11 : -1.20E+00 2.98E-05 0.000 0.0309 0.9903 0.9900 1.00 1 1 1.1E-05
12 : -1.20E+00 6.10E-06 0.000 0.2046 0.9156 0.9000 1.00 1 2 1.8E-06
13 : -1.20E+00 1.01E-06 0.000 0.1661 0.9000 0.9034 1.00 1 4 3.1E-07
14 : -1.20E+00 3.26E-09 0.000 0.0032 0.9990 0.9990 1.00 1 4
iter seconds digits c*x b*y
14 0.1 15.7 -1.2012704646e+00 -1.2012704646e+00
|Ax-b| = 2.4e-16, [Ay-c]_+ = 5.6E-16, |x|= 3.1e-01, |y|= 3.1e+00
Detailed timing (sec)
Pre IPM Post
1.000E-02 7.000E-02 0.000E+00
Max-norms: ||b||=1, ||c|| = 1.957607e+00,
Cholesky |add|=3, |skip| = 0, ||L.L|| = 1.86494.
------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +1.20127