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highs/ipm/hipo/factorhighs/FactorHighs.h

Lines changed: 13 additions & 4 deletions
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@@ -39,10 +39,6 @@ Define a vector signs that contains the expected sign of each pivot:
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- -1 for pivots expected to be negative
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- 0 for pivots without an expected sign.
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This is used to determine the sign of the regularisation to apply.
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Only pivots in the (1,1)-block are allowed to have unknown sign, so that pivots
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with unknown sign receive a static regularisation contribution equal to -reg_p.
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Dynamic regularisation uses the computed sign of the pivot, if the sign is
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unknown.
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Then, the factorization is performed as follows.
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@@ -62,6 +58,19 @@ To add static regularisation when the pivots are selected, use
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setRegularisation(reg_p,reg_d) to choose values of primal and dual
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regularisation. If regularisation is already added to the matrix, ignore.
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The expected sign of a pivot is used to determine which static regularisation to
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apply. Pivots with negative expected sign are regularised with -reg_p, pivots
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with positive expected sign are regularised with +reg_d. If the sign is unknown,
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the computed sign of the pivot is used to determine which regularisation to
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apply.
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Notice that this sign convention corresponds to a saddle point system with
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negative (1,1) block and positive (2,2) block.
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Dynamic regularisation may perturb a pivot if it is too small, and it
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does so based on the expected sign of the pivot. This procedure uses the
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computed sign of the pivot, if the sign is unknown.
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Notice that the fill-reducing ordering can be modified during the call to
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analyse. The inverse permutation used during the factorisation can be accessed
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via the Symbolic object, S.iperm().

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