//----------------------------------------------------------------------------
// Given a nonlinear operator nlp find the minimizer using a
//----------------------------------------------------------------------------
void OptBCEllipsoid::optimize()
{
NLP1* nlp = nlprob();
int convgd = 0;
int i,n = nlp->getDim(), step_type;
SerialDenseVector<int,double> xc(nlp->getXc().length()),xscale(getXScale().length()),xs(n);
xc = nlp->getXc();
xscale = getXScale();
double psi, dtmp;
// Read input file and output initial message to file
initOpt();
if (ret_code == 0) {
iter_taken = 0;
// Initialize convergence test variables
fval_lowbound = -FLT_MAX;
fval_upbound = FLT_MAX;
// Initialize the A matrix
SerialSymDenseMatrix<int,double> A(n);
if (xscal_flag != 1) {xscale.resize(n); xscale = 1.0;}
dtmp = initial_radius * initial_radius;
A = 0.0;
for (i=0; i<n; i++) A(i,i) = dtmp / (xscale(i) * xscale(i));
// scale the initial guess (if scaling is desired)
for (i=0; i<n; i++) xc(i) = xc(i) / xscale(i);
// declare other vectors used in the iterations
SerialDenseVector<int,double> ghk(n), aghk(n), aghkscal(n);
// assuming that the function has been evaluated, get the value
fprev = nlp->getF();
// Move the initial guess into the feasible region, if needed
for (i=0; i<n; i++) xs(i) = xc(i) * xscale(i);
psi = computeFeasibility(xs);
if (psi > 0.0) infeasibilityStep(xc,A,psi);
while (convgd == 0) {
iter_taken++;
//*optout << " **** OptBCEllipsoid : iteration count = "
// << iter_taken << "\n";
// put away the last solution to prepare for current iteration
xprev = nlp->getXc();
// perform one ellipsoid iteration (xc,A changed upon return)
step_type = halfSpaceStep(xc,A,psi);
// if the next solution is infeasible, do deep cut
if (step_type == -1) infeasibilityStep(xc,A,psi);
// update solution and update function value
for (i=0; i<n; i++) xs(i) = xc(i) * xscale(i);
nlp->setX(xs);
fprev = nlp->evalF();
// check convergence
acceptStep(iter_taken, 0);
convgd = checkConvg();
// debug information - volume of ellipsoid
//logdeterminant = A.LogDeterminant();
//dtmp = 0.5 * n + 1.0;
//determinant = sqrt(logdeterminant.Value()) * pow(pi,dtmp-1.0)
// / ComputeGamma(dtmp);
//*optout << "Volume of current ellipsoid = " << determinant << "\n";
}
}
}
