/* return true if [lb,ub] is finite in every dimension (n dimensions) */
static int finite_domain(unsigned n, const double *lb, const double *ub)
{
unsigned i;
for (i = 0; i < n; ++i)
if (nlopt_isinf(ub[i] - lb[i])) return 0;
return 1;
}
static int relstop(double vold, double vnew, double reltol, double abstol)
{
if (nlopt_isinf(vold)) return 0;
return(fabs(vnew - vold) < abstol
|| fabs(vnew - vold) < reltol * (fabs(vnew) + fabs(vold)) * 0.5
|| (reltol > 0 && vnew == vold)); /* catch vnew == vold == 0 */
}
nlopt_result
NLOPT_STDCALL nlopt_set_default_initial_step(nlopt_opt opt, const double *x)
{
const double *lb, *ub;
unsigned i;
if (!opt || !x) return NLOPT_INVALID_ARGS;
lb = opt->lb; ub = opt->ub;
if (!opt->dx && nlopt_set_initial_step1(opt, 1) == NLOPT_OUT_OF_MEMORY)
return NLOPT_OUT_OF_MEMORY;
/* crude heuristics for initial step size of nonderivative algorithms */
for (i = 0; i < opt->n; ++i) {
double step = HUGE_VAL;
if (!nlopt_isinf(ub[i]) && !nlopt_isinf(lb[i])
&& (ub[i] - lb[i]) * 0.25 < step && ub[i] > lb[i])
step = (ub[i] - lb[i]) * 0.25;
if (!nlopt_isinf(ub[i])
&& ub[i] - x[i] < step && ub[i] > x[i])
step = (ub[i] - x[i]) * 0.75;
if (!nlopt_isinf(lb[i])
&& x[i] - lb[i] < step && x[i] > lb[i])
step = (x[i] - lb[i]) * 0.75;
if (nlopt_isinf(step)) {
if (!nlopt_isinf(ub[i])
&& fabs(ub[i] - x[i]) < fabs(step))
step = (ub[i] - x[i]) * 1.1;
if (!nlopt_isinf(lb[i])
&& fabs(x[i] - lb[i]) < fabs(step))
step = (x[i] - lb[i]) * 1.1;
}
if (nlopt_isinf(step) || step == 0) {
step = x[i];
}
if (nlopt_isinf(step) || step == 0)
step = 1;
opt->dx[i] = step;
}
return NLOPT_SUCCESS;
}
nlopt_result NLOPT_STDCALL nlopt_set_max_objective(nlopt_opt opt,
nlopt_func f, void *f_data)
{
if (opt) {
if (opt->munge_on_destroy) opt->munge_on_destroy(opt->f_data);
opt->f = f; opt->f_data = f_data;
opt->maximize = 1;
if (nlopt_isinf(opt->stopval) && opt->stopval < 0)
opt->stopval = +HUGE_VAL; /* switch default from min to max */
return NLOPT_SUCCESS;
}
return NLOPT_INVALID_ARGS;
}
nlopt_result NLOPT_STDCALL nlopt_set_precond_min_objective(nlopt_opt opt,
nlopt_func f,
nlopt_precond pre,
void *f_data)
{
if (opt) {
if (opt->munge_on_destroy) opt->munge_on_destroy(opt->f_data);
opt->f = f; opt->f_data = f_data; opt->pre = pre;
opt->maximize = 0;
if (nlopt_isinf(opt->stopval) && opt->stopval > 0)
opt->stopval = -HUGE_VAL; /* switch default from max to min */
return NLOPT_SUCCESS;
}
return NLOPT_INVALID_ARGS;
}
static double f_bound(int n, const double *x, void *data_)
{
int i;
nlopt_opt data = (nlopt_opt) data_;
double f;
/* some methods do not support bound constraints, but support
discontinuous objectives so we can just return Inf for invalid x */
for (i = 0; i < n; ++i)
if (x[i] < data->lb[i] || x[i] > data->ub[i])
return HUGE_VAL;
f = data->f((unsigned) n, x, NULL, data->f_data);
return (isnan(f) || nlopt_isinf(f) ? HUGE_VAL : f);
}
static double f_direct(int n, const double *x, int *undefined, void *data_)
{
nlopt_opt data = (nlopt_opt) data_;
double *work = (double*) data->work;
double f;
unsigned i, j;
f = data->f((unsigned) n, x, NULL, data->f_data);
*undefined = isnan(f) || nlopt_isinf(f);
if (nlopt_get_force_stop(data)) return f;
for (i = 0; i < data->m && !*undefined; ++i) {
nlopt_eval_constraint(work, NULL, data->fc+i, (unsigned) n, x);
if (nlopt_get_force_stop(data)) return f;
for (j = 0; j < data->fc[i].m; ++j)
if (work[j] > 0)
*undefined = 1;
}
return f;
}
nlopt_result mma_minimize(unsigned n, nlopt_func f, void *f_data,
unsigned m, nlopt_constraint *fc,
const double *lb, const double *ub, /* bounds */
double *x, /* in: initial guess, out: minimizer */
double *minf,
nlopt_stopping *stop,
nlopt_opt dual_opt)
{
nlopt_result ret = NLOPT_SUCCESS;
double *xcur, rho, *sigma, *dfdx, *dfdx_cur, *xprev, *xprevprev, fcur;
double *dfcdx, *dfcdx_cur;
double *fcval, *fcval_cur, *rhoc, *gcval, *y, *dual_lb, *dual_ub;
unsigned i, ifc, j, k = 0;
dual_data dd;
int feasible;
double infeasibility;
unsigned mfc;
m = nlopt_count_constraints(mfc = m, fc);
if (nlopt_get_dimension(dual_opt) != m) return NLOPT_INVALID_ARGS;
sigma = (double *) malloc(sizeof(double) * (6*n + 2*m*n + m*7));
if (!sigma) return NLOPT_OUT_OF_MEMORY;
dfdx = sigma + n;
dfdx_cur = dfdx + n;
xcur = dfdx_cur + n;
xprev = xcur + n;
xprevprev = xprev + n;
fcval = xprevprev + n;
fcval_cur = fcval + m;
rhoc = fcval_cur + m;
gcval = rhoc + m;
dual_lb = gcval + m;
dual_ub = dual_lb + m;
y = dual_ub + m;
dfcdx = y + m;
dfcdx_cur = dfcdx + m*n;
dd.n = n;
dd.x = x;
dd.lb = lb;
dd.ub = ub;
dd.sigma = sigma;
dd.dfdx = dfdx;
dd.dfcdx = dfcdx;
dd.fcval = fcval;
dd.rhoc = rhoc;
dd.xcur = xcur;
dd.gcval = gcval;
for (j = 0; j < n; ++j) {
if (nlopt_isinf(ub[j]) || nlopt_isinf(lb[j]))
sigma[j] = 1.0; /* arbitrary default */
else
sigma[j] = 0.5 * (ub[j] - lb[j]);
}
rho = 1.0;
for (i = 0; i < m; ++i) {
rhoc[i] = 1.0;
dual_lb[i] = y[i] = 0.0;
dual_ub[i] = HUGE_VAL;
}
dd.fval = fcur = *minf = f(n, x, dfdx, f_data);
stop->nevals++;
memcpy(xcur, x, sizeof(double) * n);
if (nlopt_stop_forced(stop)) { ret = NLOPT_FORCED_STOP; goto done; }
feasible = 1; infeasibility = 0;
for (i = ifc = 0; ifc < mfc; ++ifc) {
nlopt_eval_constraint(fcval + i, dfcdx + i*n,
fc + ifc, n, x);
i += fc[ifc].m;
if (nlopt_stop_forced(stop)) { ret = NLOPT_FORCED_STOP; goto done; }
}
for (i = 0; i < m; ++i) {
feasible = feasible && (fcval[i] <= 0 || isnan(fcval[i]));
if (fcval[i] > infeasibility) infeasibility = fcval[i];
}
/* For non-feasible initial points, set a finite (large)
upper-bound on the dual variables. What this means is that,
if no feasible solution is found from the dual problem, it
will minimize the dual objective with the unfeasible
constraint weighted by 1e40 -- basically, minimizing the
unfeasible constraint until it becomes feasible or until we at
least obtain a step towards a feasible point.
Svanberg suggested a different approach in his 1987 paper, basically
introducing additional penalty variables for unfeasible constraints,
but this is easier to implement and at least as efficient. */
if (!feasible)
for (i = 0; i < m; ++i) dual_ub[i] = 1e40;
nlopt_set_min_objective(dual_opt, dual_func, &dd);
nlopt_set_lower_bounds(dual_opt, dual_lb);
nlopt_set_upper_bounds(dual_opt, dual_ub);
nlopt_set_stopval(dual_opt, -HUGE_VAL);
nlopt_remove_inequality_constraints(dual_opt);
nlopt_remove_equality_constraints(dual_opt);
while (1) { /* outer iterations */
double fprev = fcur;
if (nlopt_stop_forced(stop)) ret = NLOPT_FORCED_STOP;
else if (nlopt_stop_evals(stop)) ret = NLOPT_MAXEVAL_REACHED;
else if (nlopt_stop_time(stop)) ret = NLOPT_MAXTIME_REACHED;
else if (feasible && *minf < stop->minf_max)
ret = NLOPT_MINF_MAX_REACHED;
if (ret != NLOPT_SUCCESS) goto done;
if (++k > 1) memcpy(xprevprev, xprev, sizeof(double) * n);
memcpy(xprev, xcur, sizeof(double) * n);
while (1) { /* inner iterations */
double min_dual, infeasibility_cur;
int feasible_cur, inner_done;
unsigned save_verbose;
int new_infeasible_constraint;
nlopt_result reti;
/* solve dual problem */
dd.rho = rho; dd.count = 0;
save_verbose = mma_verbose;
mma_verbose = 0; /* no recursive verbosity */
reti = nlopt_optimize_limited(dual_opt, y, &min_dual,
0,
stop->maxtime - (nlopt_seconds()
- stop->start));
mma_verbose = save_verbose;
if (reti < 0 || reti == NLOPT_MAXTIME_REACHED) {
ret = reti;
goto done;
}
dual_func(m, y, NULL, &dd); /* evaluate final xcur etc. */
if (mma_verbose) {
printf("MMA dual converged in %d iterations to g=%g:\n",
dd.count, dd.gval);
for (i = 0; i < MIN(mma_verbose, m); ++i)
printf(" MMA y[%d]=%g, gc[%d]=%g\n",
i, y[i], i, dd.gcval[i]);
}
fcur = f(n, xcur, dfdx_cur, f_data);
stop->nevals++;
if (nlopt_stop_forced(stop)) {
ret = NLOPT_FORCED_STOP; goto done; }
feasible_cur = 1; infeasibility_cur = 0;
new_infeasible_constraint = 0;
inner_done = dd.gval >= fcur;
for (i = ifc = 0; ifc < mfc; ++ifc) {
nlopt_eval_constraint(fcval_cur + i, dfcdx_cur + i*n,
fc + ifc, n, xcur);
i += fc[ifc].m;
if (nlopt_stop_forced(stop)) {
ret = NLOPT_FORCED_STOP; goto done; }
}
for (i = ifc = 0; ifc < mfc; ++ifc) {
unsigned i0 = i, inext = i + fc[ifc].m;
for (; i < inext; ++i)
if (!isnan(fcval_cur[i])) {
feasible_cur = feasible_cur
&& (fcval_cur[i] <= fc[ifc].tol[i-i0]);
if (!isnan(fcval[i]))
inner_done = inner_done &&
(dd.gcval[i] >= fcval_cur[i]);
else if (fcval_cur[i] > 0)
new_infeasible_constraint = 1;
if (fcval_cur[i] > infeasibility_cur)
infeasibility_cur = fcval_cur[i];
}
}
if ((fcur < *minf && (inner_done || feasible_cur || !feasible))
|| (!feasible && infeasibility_cur < infeasibility)) {
if (mma_verbose && !feasible_cur)
printf("MMA - using infeasible point?\n");
dd.fval = *minf = fcur;
infeasibility = infeasibility_cur;
memcpy(fcval, fcval_cur, sizeof(double)*m);
memcpy(x, xcur, sizeof(double)*n);
memcpy(dfdx, dfdx_cur, sizeof(double)*n);
memcpy(dfcdx, dfcdx_cur, sizeof(double)*n*m);
/* once we have reached a feasible solution, the
algorithm should never make the solution infeasible
again (if inner_done), although the constraints may
be violated slightly by rounding errors etc. so we
must be a little careful about checking feasibility */
if (infeasibility_cur == 0) {
if (!feasible) { /* reset upper bounds to infin. */
for (i = 0; i < m; ++i) dual_ub[i] = HUGE_VAL;
nlopt_set_upper_bounds(dual_opt, dual_ub);
}
feasible = 1;
}
else if (new_infeasible_constraint) feasible = 0;
}
if (nlopt_stop_forced(stop)) ret = NLOPT_FORCED_STOP;
else if (nlopt_stop_evals(stop)) ret = NLOPT_MAXEVAL_REACHED;
else if (nlopt_stop_time(stop)) ret = NLOPT_MAXTIME_REACHED;
else if (feasible && *minf < stop->minf_max)
ret = NLOPT_MINF_MAX_REACHED;
if (ret != NLOPT_SUCCESS) goto done;
if (inner_done) break;
if (fcur > dd.gval)
rho = MIN(10*rho, 1.1 * (rho + (fcur-dd.gval) / dd.wval));
for (i = 0; i < m; ++i)
if (!isnan(fcval_cur[i]) && fcval_cur[i] > dd.gcval[i])
rhoc[i] =
MIN(10*rhoc[i],
1.1 * (rhoc[i] + (fcval_cur[i]-dd.gcval[i])
/ dd.wval));
if (mma_verbose)
printf("MMA inner iteration: rho -> %g\n", rho);
for (i = 0; i < MIN(mma_verbose, m); ++i)
printf(" MMA rhoc[%d] -> %g\n", i,rhoc[i]);
}
if (nlopt_stop_ftol(stop, fcur, fprev))
ret = NLOPT_FTOL_REACHED;
if (nlopt_stop_x(stop, xcur, xprev))
ret = NLOPT_XTOL_REACHED;
if (ret != NLOPT_SUCCESS) goto done;
/* update rho and sigma for iteration k+1 */
rho = MAX(0.1 * rho, MMA_RHOMIN);
if (mma_verbose)
printf("MMA outer iteration: rho -> %g\n", rho);
for (i = 0; i < m; ++i)
rhoc[i] = MAX(0.1 * rhoc[i], MMA_RHOMIN);
for (i = 0; i < MIN(mma_verbose, m); ++i)
printf(" MMA rhoc[%d] -> %g\n", i, rhoc[i]);
if (k > 1) {
for (j = 0; j < n; ++j) {
double dx2 = (xcur[j]-xprev[j]) * (xprev[j]-xprevprev[j]);
double gam = dx2 < 0 ? 0.7 : (dx2 > 0 ? 1.2 : 1);
sigma[j] *= gam;
if (!nlopt_isinf(ub[j]) && !nlopt_isinf(lb[j])) {
sigma[j] = MIN(sigma[j], 10*(ub[j]-lb[j]));
sigma[j] = MAX(sigma[j], 0.01*(ub[j]-lb[j]));
}
}
for (j = 0; j < MIN(mma_verbose, n); ++j)
printf(" MMA sigma[%d] -> %g\n",
j, sigma[j]);
}
}
done:
free(sigma);
return ret;
}
nlopt_result isres_minimize(int n, nlopt_func f, void *f_data,
int m, nlopt_constraint *fc, /* fc <= 0 */
int p, nlopt_constraint *h, /* h == 0 */
const double *lb, const double *ub, /* bounds */
double *x, /* in: initial guess, out: minimizer */
double *minf,
nlopt_stopping *stop,
int population) /* pop. size (= 0 for default) */
{
const double ALPHA = 0.2; /* smoothing factor from paper */
const double GAMMA = 0.85; /* step-reduction factor from paper */
const double PHI = 1.0; /* expected rate of convergence, from paper */
const double PF = 0.45; /* fitness probability, from paper */
const double SURVIVOR = 1.0/7.0; /* survivor fraction, from paper */
int survivors;
nlopt_result ret = NLOPT_SUCCESS;
double *sigmas = 0, *xs; /* population-by-n arrays (row-major) */
double *fval; /* population array of function vals */
double *penalty; /* population array of penalty vals */
double *x0;
int *irank = 0;
int k, i, j, c;
int mp = m + p;
double minf_penalty = HUGE_VAL, minf_gpenalty = HUGE_VAL;
double taup, tau;
double *results = 0; /* scratch space for mconstraint results */
unsigned ires;
*minf = HUGE_VAL;
if (!population) population = 20 * (n + 1);
if (population < 1) return NLOPT_INVALID_ARGS;
survivors = ceil(population * SURVIVOR);
taup = PHI / sqrt((double) 2*n);
tau = PHI / sqrt((double) 2*sqrt((double) n));
/* we don't handle unbounded search regions */
for (j = 0; j < n; ++j) if (nlopt_isinf(lb[j]) || nlopt_isinf(ub[j]))
return NLOPT_INVALID_ARGS;
ires = imax2(nlopt_max_constraint_dim(m, fc),
nlopt_max_constraint_dim(p, h));
results = (double *) malloc(ires * sizeof(double));
if (ires > 0 && !results) return NLOPT_OUT_OF_MEMORY;
sigmas = (double*) malloc(sizeof(double) * (population*n*2
+ population
+ population
+ n));
if (!sigmas) { free(results); return NLOPT_OUT_OF_MEMORY; }
xs = sigmas + population*n;
fval = xs + population*n;
penalty = fval + population;
x0 = penalty + population;
irank = (int*) malloc(sizeof(int) * population);
if (!irank) { ret = NLOPT_OUT_OF_MEMORY; goto done; }
for (k = 0; k < population; ++k) {
for (j = 0; j < n; ++j) {
sigmas[k*n+j] = (ub[j] - lb[j]) / sqrt((double) n);
xs[k*n+j] = nlopt_urand(lb[j], ub[j]);
}
}
memcpy(xs, x, sizeof(double) * n); /* use input x for xs_0 */
while (1) { /* each loop body = one generation */
int all_feasible = 1;
/* evaluate f and constraint violations for whole population */
for (k = 0; k < population; ++k) {
int feasible = 1;
double gpenalty;
stop->nevals++;
fval[k] = f(n, xs + k*n, NULL, f_data);
if (nlopt_stop_forced(stop)) {
ret = NLOPT_FORCED_STOP; goto done; }
penalty[k] = 0;
for (c = 0; c < m; ++c) { /* inequality constraints */
nlopt_eval_constraint(results, NULL,
fc + c, n, xs + k*n);
if (nlopt_stop_forced(stop)) {
ret = NLOPT_FORCED_STOP; goto done; }
for (ires = 0; ires < fc[c].m; ++ires) {
double gval = results[ires];
if (gval > fc[c].tol[ires]) feasible = 0;
if (gval < 0) gval = 0;
penalty[k] += gval*gval;
}
}
gpenalty = penalty[k];
for (c = m; c < mp; ++c) { /* equality constraints */
nlopt_eval_constraint(results, NULL,
h + (c-m), n, xs + k*n);
if (nlopt_stop_forced(stop)) {
ret = NLOPT_FORCED_STOP; goto done; }
for (ires = 0; ires < h[c-m].m; ++ires) {
double hval = results[ires];
if (fabs(hval) > h[c-m].tol[ires]) feasible = 0;
penalty[k] += hval*hval;
}
}
if (penalty[k] > 0) all_feasible = 0;
/* convergence criteria (FIXME: improve?) */
/* FIXME: with equality constraints, how do
we decide which solution is the "best" so far?
... need some total order on the solutions? */
if ((penalty[k] <= minf_penalty || feasible)
&& (fval[k] <= *minf || minf_gpenalty > 0)
&& ((feasible ? 0 : penalty[k]) != minf_penalty
|| fval[k] != *minf)) {
if (fval[k] < stop->minf_max && feasible)
ret = NLOPT_MINF_MAX_REACHED;
else if (!nlopt_isinf(*minf)) {
if (nlopt_stop_f(stop, fval[k], *minf)
&& nlopt_stop_f(stop, feasible ? 0 : penalty[k],
minf_penalty))
ret = NLOPT_FTOL_REACHED;
else if (nlopt_stop_x(stop, xs+k*n, x))
ret = NLOPT_XTOL_REACHED;
}
memcpy(x, xs+k*n, sizeof(double)*n);
*minf = fval[k];
minf_penalty = feasible ? 0 : penalty[k];
minf_gpenalty = feasible ? 0 : gpenalty;
if (ret != NLOPT_SUCCESS) goto done;
}
if (nlopt_stop_forced(stop)) ret = NLOPT_FORCED_STOP;
else if (nlopt_stop_evals(stop)) ret = NLOPT_MAXEVAL_REACHED;
else if (nlopt_stop_time(stop)) ret = NLOPT_MAXTIME_REACHED;
if (ret != NLOPT_SUCCESS) goto done;
}
/* "selection" step: rank the population */
for (k = 0; k < population; ++k) irank[k] = k;
if (all_feasible) /* special case: rank by objective function */
nlopt_qsort_r(irank, population, sizeof(int), fval,key_compare);
else {
/* Runarsson & Yao's stochastic ranking of the population */
for (i = 0; i < population; ++i) {
int swapped = 0;
for (j = 0; j < population-1; ++j) {
double u = nlopt_urand(0,1);
if (u < PF || (penalty[irank[j]] == 0
&& penalty[irank[j+1]] == 0)) {
if (fval[irank[j]] > fval[irank[j+1]]) {
int irankj = irank[j];
irank[j] = irank[j+1];
irank[j+1] = irankj;
swapped = 1;
}
}
else if (penalty[irank[j]] > penalty[irank[j+1]]) {
int irankj = irank[j];
irank[j] = irank[j+1];
irank[j+1] = irankj;
swapped = 1;
}
}
if (!swapped) break;
}
}
/* evolve the population:
differential evolution for the best survivors,
and standard mutation of the best survivors for the rest: */
for (k = survivors; k < population; ++k) { /* standard mutation */
double taup_rand = taup * nlopt_nrand(0,1);
int rk = irank[k], ri;
i = k % survivors;
ri = irank[i];
for (j = 0; j < n; ++j) {
double sigmamax = (ub[j] - lb[j]) / sqrt((double) n);
sigmas[rk*n+j] = sigmas[ri*n+j]
* exp(taup_rand + tau*nlopt_nrand(0,1));
if (sigmas[rk*n+j] > sigmamax)
sigmas[rk*n+j] = sigmamax;
do {
xs[rk*n+j] = xs[ri*n+j]
+ sigmas[rk*n+j] * nlopt_nrand(0,1);
} while (xs[rk*n+j] < lb[j] || xs[rk*n+j] > ub[j]);
sigmas[rk*n+j] = sigmas[ri*n+j] + ALPHA*(sigmas[rk*n+j]
- sigmas[ri*n+j]);
}
}
memcpy(x0, xs, n * sizeof(double));
for (k = 0; k < survivors; ++k) { /* differential variation */
double taup_rand = taup * nlopt_nrand(0,1);
int rk = irank[k];
for (j = 0; j < n; ++j) {
double xi = xs[rk*n+j];
if (k+1 < survivors)
xs[rk*n+j] += GAMMA * (x0[j] - xs[(k+1)*n+j]);
if (k+1 == survivors
|| xs[rk*n+j] < lb[j] || xs[rk*n+j] > ub[j]) {
/* standard mutation for last survivor and
for any survivor components that are now
outside the bounds */
double sigmamax = (ub[j] - lb[j]) / sqrt((double) n);
double sigi = sigmas[rk*n+j];
sigmas[rk*n+j] *= exp(taup_rand
+ tau*nlopt_nrand(0,1));
if (sigmas[rk*n+j] > sigmamax)
sigmas[rk*n+j] = sigmamax;
do {
xs[rk*n+j] = xi
+ sigmas[rk*n+j] * nlopt_nrand(0,1);
} while (xs[rk*n+j] < lb[j] || xs[rk*n+j] > ub[j]);
sigmas[rk*n+j] = sigi
+ ALPHA * (sigmas[rk*n+j] - sigi);
}
}
}
}
done:
if (irank) free(irank);
if (sigmas) free(sigmas);
if (results) free(results);
return ret;
}
