kkt_check.cpp

#include "kkt_check.h"
#include "math.h"
#include "utils.h"
#include <Eigen/Core>
 
namespace slope {
 
std::vector<int>
kktCheck(const Eigen::VectorXd& gradient,
         const Eigen::VectorXd& beta,
         const Eigen::ArrayXd& lambda,
         const std::vector<int>& indices)
{
  using namespace Eigen;
 
  std::vector<int> out;
 
  int pm = beta.size();
 
  if (pm == 0) {
    return out;
  }
 
  VectorXd flat_abs_gradient = gradient(indices).cwiseAbs();
 
  auto ord = sortIndex(flat_abs_gradient, true);
 
  // TODO: Use dualNorm() instead
  ArrayXd diff = flat_abs_gradient(ord).array() - lambda.head(indices.size());
  ArrayXb tmp = cumSum(diff) >= 0.0;
  inversePermute(tmp, ord);
 
  auto which_violations = which(tmp);
 
  for (const auto& ind : which_violations) {
    out.emplace_back(indices[ind]);
  }
 
  return out;
}
 
} // namespace slope