// Main Entry Function
// -----------------------------------------------------------------
void mexFunction (int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
//Input Args
usrFcn fun, con;
double *x0, *lb = NULL, *ub = NULL;
char *xtype = NULL;
//Outputs Args
double *x, *fval, *exitflag, *iter, *nfval;
//Internal Vars
size_t ndec;
int i, nobj = 1, ncon = 0;
char errstr[1024]; //used for returning error info
iter_fun_data iterF;
//Check user inputs
if(!checkInputs(prhs,nrhs,plhs,nlhs))
return;
//Redirect cout
printfbuf buf;
std::streambuf *cout_sbuf = std::cout.rdbuf(); //keep existing buffer
std::cout.rdbuf(&buf); //redirect buffer
//NOMAD Vars
NOMAD::Mads *mads;
NOMAD::Display out(std::cout);
NOMAD::Parameters p(out);
NOMAD::Point px0;
NOMAD::Double *nx0;
NOMAD::stop_type stopflag;
//Evaluator Vars
matlabEval *mSEval = NULL;
matlabMEval *mBEval = NULL;
//Set Option Defaults
int printLevel = 0;
char *paramfile = NULL;
mxArray *bb_out_type = NULL;
iterF.enabled = false;
//Get Size
ndec = mxGetNumberOfElements(pX0);
//Get Blackbox / Objective Function Handle
if (mxIsChar(pFUN)) {
if(mxGetString(pFUN, fun.f, FLEN) != 0)
mexErrMsgTxt("error reading objective name string");
fun.nrhs = 1;
fun.xrhs = 0;
} else {
fun.prhs[0] = (mxArray*)pFUN;
strcpy(fun.f, "feval");
fun.nrhs = 2;
fun.xrhs = 1;
}
fun.prhs[fun.xrhs] = mxCreateDoubleMatrix(ndec, 1, mxREAL); //x
//Get x0
x0 = mxGetPr(pX0);
//Get xtype
if(nrhs > eXTYPE && !mxIsEmpty(pXTYPE))
xtype = mxArrayToString(pXTYPE);
//Get MEX Options if specified
if(nrhs > eOPTS && !mxIsEmpty(pOPTS)) {
if(mxGetField(pOPTS,0,"display_degree") && !mxIsEmpty(mxGetField(pOPTS,0,"display_degree")))
printLevel = (int)*mxGetPr(mxGetField(pOPTS,0,"display_degree"));
if(mxGetField(pOPTS,0,"param_file") && !mxIsEmpty(mxGetField(pOPTS,0,"param_file")))
paramfile = mxArrayToString(mxGetField(pOPTS,0,"param_file"));
if(mxGetField(pOPTS,0,"bb_output_type") && !mxIsEmpty(mxGetField(pOPTS,0,"bb_output_type")))
bb_out_type = mxGetField(pOPTS,0,"bb_output_type");
if(mxGetField(pOPTS,0,"iterfun") && !mxIsEmpty(mxGetField(pOPTS,0,"iterfun")))
{
iterF.prhs[0] = (mxArray*)mxGetField(pOPTS,0,"iterfun");
strcpy(iterF.f, "feval");
iterF.enabled = true;
iterF.prhs[1] = mxCreateNumericMatrix(1,1,mxINT32_CLASS,mxREAL);
iterF.prhs[2] = mxCreateDoubleMatrix(1,1,mxREAL);
iterF.prhs[3] = mxCreateDoubleMatrix(ndec,1,mxREAL);
}
}
//Create Outputs (note x and fval created below, due to allowing bi-objective)
plhs[2] = mxCreateDoubleMatrix(1,1, mxREAL);
plhs[3] = mxCreateDoubleMatrix(1,1, mxREAL);
plhs[4] = mxCreateDoubleMatrix(1,1, mxREAL);
exitflag = mxGetPr(plhs[2]);
iter = mxGetPr(plhs[3]);
nfval = mxGetPr(plhs[4]);
//Setup ndec
p.set_DIMENSION((int)ndec);
//Warn if >1000
if(ndec > 1000 && printLevel) {
sprintf(errstr,"Warning: NOMAD is designed problems less than 1000 variables. Your model has %d.\nWhile unlikely, it is possible NOMAD may not perform as intended on this problem.",static_cast<int>(ndec));
mexWarnMsgTxt(errstr);
}
//Setup Lower Bounds
if(nrhs > eLB && !mxIsEmpty(pLB)) {
NOMAD::Point ptLB;
NOMAD::Double *dLB = new NOMAD::Double[ndec];
lb = mxGetPr(pLB);
for(i=0;i<ndec;i++) {
if(!mxIsInf(lb[i])) //if not initialized will not be used
dLB[i] = lb[i];
}
ptLB.set((int)ndec,dLB);
p.set_LOWER_BOUND(ptLB);
delete [] dLB;
}
//Setup Upper Bounds
if(nrhs > eUB && !mxIsEmpty(pUB)) {
NOMAD::Point ptUB;
NOMAD::Double *dUB = new NOMAD::Double[ndec];
ub = mxGetPr(pUB);
for(i=0;i<ndec;i++) {
if(!mxIsInf(ub[i])) //if not initialized will not be used
dUB[i] = ub[i];
}
ptUB.set((int)ndec,dUB);
p.set_UPPER_BOUND(ptUB);
delete [] dUB;
}
//Setup x0
nx0 = new NOMAD::Double[ndec];
#ifdef OPTI_VERSION
double xl, xu;
//If integer variables declared, need to ensure x0[i] is an integer
if(xtype) {
for(i=0;i<ndec;i++) {
switch(tolower(xtype[i]))
{
case 'c':
//Ensure within bounds
if(lb && x0[i] < lb[i])
nx0[i] = lb[i];
else if(ub && x0[i] > ub[i])
nx0[i] = ub[i];
else
nx0[i] = x0[i]; //no rounding
break;
case 'i':
case 'b':
xl = floor(x0[i]); //First round is a floor
//If lower bounds exist
if(lb) {
//if lower bound broken
if(xl < lb[i]) {
xu = ceil(x0[i]);
//If upper bounds exist, check bound directions
if(ub && xu > ub[i]) { //if broken, no integer x0 exists
sprintf(errstr,"x0[%d] cannot be rounded to an integer value between lb: %g, ub %g",i,lb[i],ub[i]);
mexErrMsgTxt(errstr);
}
if(xu != x0[i]) { //If we changed something, warn user
sprintf(errstr,"x0[%d] was rounded up to %g to suit NOMAD interface",i,xu);
mexWarnMsgTxt(errstr);
}
//Save ceil value
nx0[i] = xu;
}
//Floor value did not break lower bounds, value OK
else {
if(xl != x0[i]) { //If we changed something, warn user
sprintf(errstr,"x0[%d] was rounded down to %g to suit NOMAD interface",i,xl);
mexWarnMsgTxt(errstr);
}
//Save floor value
nx0[i] = xl;
}
}
//No lower bounds, floor value assumed OK
else {
if(xl != x0[i]) { //If we changed something, warn user
sprintf(errstr,"x0[%d] was rounded down to %g to suit NOMAD interface",i,xl);
mexWarnMsgTxt(errstr);
}
//Save floor value
nx0[i] = xl;
}
break;
case 'r':
mexErrMsgTxt("Please specify continuous (real) variables using 'c' (as opposed to 'r') when using the OPTI version");
break;
default:
sprintf(errstr,"Unknown xtype[%d] character: %c\n\nValid options are 'C', 'I', or 'B'\n",i,xtype[i]);
mexErrMsgTxt(errstr);
}
}
}
//Else user start position within bounds
else {
for(i=0;i<ndec;i++) {
if(lb && x0[i] < lb[i])
nx0[i] = lb[i];
else if(ub && x0[i] > ub[i])
nx0[i] = ub[i];
else
nx0[i] = x0[i];
}
}
#else //GERAD VERSION - no x0 checking
for(i=0;i<ndec;i++)
nx0[i] = x0[i];
#endif
px0.set((int)ndec,nx0);
p.set_X0(px0);
delete [] nx0;
#ifdef OPTI_VERSION
//Setup Nonlinear Constraints
if(nrhs > eNLCON && !mxIsEmpty(pNLCON)) {
if (mxIsChar(pNLCON)) {
if(mxGetString(pNLCON, con.f, FLEN) != 0)
mexErrMsgTxt("error reading constraint name string");
con.nrhs = 1;
con.xrhs = 0;
} else {
con.prhs[0] = (mxArray*)pNLCON;
strcpy(con.f, "feval");
con.nrhs = 2;
con.xrhs = 1;
}
con.prhs[con.xrhs] = mxCreateDoubleMatrix(ndec, 1, mxREAL); //x
if(nrhs < eNLRHS+1 || mxIsEmpty(pNLRHS)) {//we will default to <= 0
ncon = -1;
con.nlrhs = NULL;
}
else {
ncon = (int)mxGetNumberOfElements(pNLRHS);
con.nlrhs = mxGetPr(pNLRHS);
}
}
//Setup Input Variable Types
if(xtype)
p.set_BB_INPUT_TYPE(detInTypes(xtype,ndec));
//Setup Evaluation Return Types + #'s of Obj + Con
p.set_BB_OUTPUT_TYPE(detRetTypes(&fun,bb_out_type,&nobj,&con,&ncon,x0,ndec));
//Set All Normal NOMAD Options
p.set_DISPLAY_DEGREE(0); //default
#endif //GERAD Version does not have a separate constraint handler and handles input and output types using options
//Set User Options
if(nrhs > eOPTS && !mxIsEmpty(pOPTS))
setNOMADopts(p,pOPTS);
else
setNOMADopts(p,NULL);
//If the user has specified a parameter file to read, see if it exists, and if so, read and parse it.
if(paramfile) {
FILE *pFile = fopen(paramfile,"r");
if(pFile==NULL) {
sprintf(errstr,"Cannot open parameter file: %s\n\nEnsure it exists!",paramfile);
mexErrMsgTxt(errstr);
}
else{
fclose(pFile); //close file pointer (we don't need it)
try
{
p.read(paramfile);
}
catch(exception &e)
{
sprintf(errstr,"NOMAD Parameter File Read Error:\n\n%s",e.what());
mexErrMsgTxt(errstr);
}
}
}
//Check NOMAD parameters
try {
p.check();
}
catch(exception &e) {
sprintf(errstr,"NOMAD Parameter Error:\n\n%s",e.what());
mexErrMsgTxt(errstr);
}
//Check for categorical variables
if (p.get_signature()->has_categorical())
mexErrMsgTxt("The MATLAB version of NOMAD does not support categorical variables yet! Check BB_INPUT_TYPE parameter.");
//If GERAD version, obtain number of objectives and constraints from parameters
#ifndef OPTI_VERSION
nobj=p.get_nb_obj();
ncon=(int)p.get_bb_output_type().size()-nobj;
#endif
//If user has requested surrogates, setup extra input arg to callbacks
if (p.has_sgte()) {
fun.prhs[fun.xrhs+1] = mxCreateLogicalMatrix(1,1); //extra logical indicating surrogate or not
fun.nrhs++;
#ifdef OPTI_VERSION
con.prhs[con.xrhs+1] = mxCreateLogicalMatrix(1,1);
con.nrhs++;
#endif
}
//Print Header
if(printLevel) {
mexPrintf("\n------------------------------------------------------------------\n");
mexPrintf(" This is NOMAD v%s\n",NOMAD::VERSION.c_str());
mexPrintf(" Authors: M. Abramson, C. Audet, G. Couture, J. Dennis, S. Le Digabel, C. Tribes\n\n");
mexPrintf(" Problem Properties:\n");
mexPrintf(" # Decision Variables: %4d\n",ndec);
mexPrintf(" # Number of Objectives: %4d\n",nobj);
mexPrintf(" # Number of Nonlinear Constraints: %4d\n",ncon);
mexPrintf("------------------------------------------------------------------\n");
mexEvalString("drawnow;"); //flush draw buffer
}
//Let this file sort out errors
mexSetTrapFlag(1);
//Reset tags and bbe (C.Tribes 3/14)
NOMAD::Eval_Point::reset_tags_and_bbes();
//Create evaluator and run mads based on number of objectives
try
{
if(nobj > 1) {
mBEval = new matlabMEval(p,&fun,nobj,&con,ncon,&iterF); //Bi-Objective Evaluator
mads = new NOMAD::Mads(p, mBEval); //Run NOMAD
stopflag = mads->multi_run();
}
else {
mSEval = new matlabEval(p,&fun,nobj,&con,ncon,&iterF); //Single Objective Evaluator
mads = new NOMAD::Mads(p, mSEval); //Run NOMAD
stopflag = mads->run();
}
}
catch(exception &e)
{
//Free Memory (C.Tribes 3/14)
if(mSEval) delete mSEval; mSEval = NULL;
if(mBEval) delete mBEval; mBEval = NULL;
delete mads;
if(xtype) mxFree(xtype); xtype = NULL;
//Report Error
sprintf(errstr,"NOMAD Run Error:\n\n%s",e.what());
mexErrMsgTxt(errstr);
}
if(printLevel)
mexPrintf("------------------------------------------------------------------\n");
//Obtain Solution based on Single or Multi-Objective (C.Tribes oct 09, 2013 --- changed to deal with pareto output)
if(nobj>1) {
NOMAD::Pareto_Front * pareto_front=mads->get_pareto_front();
if (pareto_front) {
int nb_pareto_pts = pareto_front->size();
plhs[0] = mxCreateDoubleMatrix(ndec,nb_pareto_pts, mxREAL);
plhs[1] = mxCreateDoubleMatrix(nobj,nb_pareto_pts, mxREAL);
x = mxGetPr(plhs[0]);
fval = mxGetPr(plhs[1]);
const NOMAD::Eval_Point * cur = pareto_front->begin();
int i=0;
while ( cur ) {
//mexPrintf("i %d OK: %d FEAS: %d\n",i,cur->is_eval_ok(),cur->is_feasible ( p.get_h_min() ));
if ( cur->is_eval_ok() && cur->is_feasible ( p.get_h_min() ) ) {
const std::list<int> & index_obj = p.get_index_obj();
std::list<int>::const_iterator it , end = index_obj.end();
const NOMAD::Point & bbo = cur->get_bb_outputs();
int j = 0;
NOMAD::Point multi_obj ( static_cast<int>(index_obj.size()) );
for ( it = index_obj.begin() ; it != end ; ++it,j++ )
fval[nobj*i+j] = bbo[*it].value();
for(j=0;j<ndec;j++)
x[ndec*i+j] = (*cur)[j].value();
}
cur = pareto_front->next();
i++;
}
*exitflag = getStatus(stopflag);
}
else {
stopflag = (NOMAD::stop_type)10;
*exitflag = -1; //No solution
}
}
else {
//Create single objective outputs
plhs[0] = mxCreateDoubleMatrix(ndec,1, mxREAL);
plhs[1] = mxCreateDoubleMatrix(1,1, mxREAL);
x = mxGetPr(plhs[0]);
fval = mxGetPr(plhs[1]);
const NOMAD::Eval_Point *bestSol = mads->get_best_feasible();
if(bestSol == NULL) {
bestSol = mads->get_best_infeasible();
//manually set as infeasible (no infeasible stop flag)
stopflag = (NOMAD::stop_type)10;
}
if(bestSol == NULL)
*exitflag = -1; //No solution
//If we have a solution, save it
if(*exitflag != -1) {
//Save x
NOMAD::Point pt(*bestSol);
for(i=0;i<ndec;i++)
x[i] = pt[i].value();
//Save fval
*fval = bestSol->get_f().value();
//Save Status
*exitflag = getStatus(stopflag);
}
}
//Common outputs
*iter = mads->get_stats().get_iterations();
*nfval = mads->get_stats().get_bb_eval();
//Return cout to initial buffer
std::cout.rdbuf(cout_sbuf);
//Return error control to default
mexSetTrapFlag(0);
//Free Memory
if(mSEval) delete mSEval; mSEval = NULL;
if(mBEval) delete mBEval; mBEval = NULL;
delete mads;
if(xtype) mxFree(xtype); xtype = NULL;
}
/*-------------------------------------------------------------------*/
bool NOMAD::SMesh::get_Delta ( NOMAD::Point & Delta ) const
{
Delta.reset ( _n );
// power_of_tau = tau^{ max{0,l0} - max{0,lk} + |lk|/2}:
NOMAD::Double power_of_tau
= pow ( _update_basis.value() , abs(_mesh_index) / 2.0 +
( (_initial_mesh_index > 0) ? _initial_mesh_index : 0) -
( (_mesh_index > 0) ? _mesh_index : 0) );
bool stop = true;
bool mps_def = _Delta_min.is_complete();
// Delta^k = power_of_tau * Delta^0:
for ( int i = 0 ; i < _n ; ++i )
{
Delta[i] = _Delta_0[i] * power_of_tau;
if ( !mps_def || Delta[i] >= _Delta_min[i] )
stop = false;
if ( _Delta_min.is_defined() && _Delta_min[i].is_defined() && Delta[i] < _Delta_min[i] )
Delta[i]=_Delta_min[i];
}
return stop;
}
ArrayXd CMADS::NOMADPoint2ArrayXd(const NOMAD::Point &p)
{
int i,n=p.size();
ArrayXd x(n);
for ( i=0; i<n; i++ ) x(i)=p[i].value();
return x;
}
/*-----------------------------------------------------------*/
void NOMAD::SMesh::update ( NOMAD::success_type success , NOMAD::Point & mesh_indices, const NOMAD::Direction *dir ) const
{
if ( mesh_indices.is_defined() )
{
for (int i=0; i < mesh_indices.size() ; i++)
{
if ( success == NOMAD::FULL_SUCCESS )
{
mesh_indices[i] -= _coarsening_step;
if ( mesh_indices[i] < -NOMAD::L_LIMITS )
mesh_indices[i] = -NOMAD::L_LIMITS;
}
else if ( success == NOMAD::UNSUCCESSFUL )
mesh_indices[i] -= _refining_step;
}
}
}
/*---------------------------------------------------------*/
bool NOMAD::LH_Search::LH_points ( int n ,
int m ,
int p ,
const NOMAD::Point & lb ,
const NOMAD::Point & ub ,
std::vector<NOMAD::Eval_Point *> & pts )
{
if ( n <= 0 ||
p <= 0 ||
!lb.is_defined() ||
!ub.is_defined() ||
lb.size() != n ||
ub.size() != n )
return false;
for ( size_t j = 0 ; j < pts.size() ; ++j )
delete pts[j];
pts.clear();
NOMAD::Eval_Point * x;
int i;
int pm1 = p-1;
NOMAD::Random_Pickup ** rps = new NOMAD::Random_Pickup *[n];
for ( int k = 0 ; k < p ; ++k )
{
x = new NOMAD::Eval_Point ( n , m );
for ( i = 0 ; i < n ; ++i )
{
if ( k==0 )
rps[i] = new NOMAD::Random_Pickup(p);
(*x)[i] = lb[i] +
(ub[i]-lb[i]) *
( rps[i]->pickup() + NOMAD::RNG::rand()/(1.0+NOMAD::D_INT_MAX)) / p;
if ( k==pm1 )
delete rps[i];
}
pts.push_back(x);
}
delete [] rps;
return true;
}
NOMAD::Double NOMAD::SMesh::scale_and_project(int i, NOMAD::Double l) const
{
NOMAD::Point delta;
NOMAD::Point Delta;
get_delta ( delta );
get_Delta ( Delta );
if ( delta.is_defined() && Delta.is_defined() && i <= _n)
{
NOMAD::Double d= Delta[i] / delta[i] * l;
return d.NOMAD::Double::round()*delta[i];
}
else
throw NOMAD::Exception ( "SMesh.cpp" , __LINE__ ,
"Mesh scaling and projection cannot be performed!" );
}
/*-----------------------------------------------------------*/
void NOMAD::SMesh::set_mesh_indices ( const NOMAD::Point & r )
{
if (!r.is_defined())
_mesh_index=0;
else
_mesh_index=r[0].NOMAD::Double::round();
if ( _mesh_index > _max_mesh_index )
_max_mesh_index = _mesh_index;
if ( _mesh_index < _min_mesh_index )
_min_mesh_index = _mesh_index;
}
/*---------------------------------------------------------*/
NOMAD::Model_Sorted_Point::Model_Sorted_Point
( NOMAD::Point * x , const NOMAD::Point & center ) : _x(x)
{
int i , n = center.size();
if ( x && x->size() == n ) {
_dist = 0.0;
for ( i = 0 ; i < n ; ++i )
if ( (*x)[i].is_defined() && center[i].is_defined() ) {
_dist += ( (*x)[i] - center[i] ).pow2();
}
else {
_dist.clear();
break;
}
}
}
/*----------------------------------------------------------------*/
bool NOMAD::SMesh::get_delta ( NOMAD::Point & delta ) const
{
delta.reset ( _n );
// power_of_tau = tau^{ max{0,l0} - max{0,lk} }:
NOMAD::Double power_of_tau
= pow ( _update_basis.value() ,
( (_initial_mesh_index > 0) ? _initial_mesh_index : 0) -
( (_mesh_index > 0) ? _mesh_index : 0) );
bool stop = false;
// delta^k = power_of_tau * delta^0:
for ( int i = 0 ; i < _n ; ++i )
{
delta[i] = _delta_0[i] * power_of_tau;
if ( !stop && _delta_min.is_defined() && delta[i] < _delta_min[i] )
stop = true;
}
return stop;
}
/*----------------------------------------------------------------*/
void NOMAD::TGP_Model::eval_hf(const NOMAD::Point &bbo ,
const NOMAD::Double &h_min ,
NOMAD::hnorm_type h_norm ,
NOMAD::Double &h ,
NOMAD::Double &f) const
{
f.clear();
h = 0.0;
int m = bbo.size();
if (m != static_cast<int>(_bbot.size()))
throw NOMAD::Exception("TGP_Model.cpp" , __LINE__ ,
"TGP_Model::eval_hf() called with an invalid bbo argument");
NOMAD::Double bboi;
for (int i = 0 ; i < m ; ++i)
{
bboi = bbo[i];
if (bboi.is_defined())
{
if (_bbot[i] == NOMAD::EB || _bbot[i] == NOMAD::PEB_E)
{
if (bboi > h_min)
{
h.clear();
return;
}
}
else if ((_bbot[i] == NOMAD::FILTER ||
_bbot[i] == NOMAD::PB ||
_bbot[i] == NOMAD::PEB_P))
{
if (bboi > h_min)
{
switch (h_norm)
{
case NOMAD::L1:
h += bboi;
break;
case NOMAD::L2:
h += bboi * bboi;
break;
case NOMAD::LINF:
if (bboi > h)
h = bboi;
break;
}
}
}
else if (_bbot[i] == NOMAD::OBJ)
f = bboi;
}
}
if (h_norm == NOMAD::L2)
h = h.sqrt();
}
/*---------------------------------------------------------*/
void NOMAD::Variable_Group::get_directions ( std::list<NOMAD::Direction> & dirs ,
NOMAD::poll_type poll ,
const NOMAD::Point & poll_center ,
int mesh_index ,
const NOMAD::Direction & feas_success_dir ,
const NOMAD::Direction & infeas_success_dir )
{
int nc = static_cast<int>(_var_indexes.size());
// vectors are of size nc :
// ------------------------
if ( nc == poll_center.size() ) {
_directions->compute ( dirs ,
poll ,
poll_center ,
mesh_index ,
-1 ,
feas_success_dir ,
infeas_success_dir );
return;
}
// construct vectors of size nc from vectors of size < nc :
// --------------------------------------------------------
std::set<int>::const_iterator it ;
int i = 0;
NOMAD::Point new_poll_center ( nc );
NOMAD::Direction new_fsd , new_isd;
if ( feas_success_dir.is_defined() )
new_fsd = NOMAD::Direction ( nc , 0.0 , feas_success_dir.get_type() );
if ( infeas_success_dir.is_defined() )
new_isd = NOMAD::Direction ( nc , 0.0 , infeas_success_dir.get_type() );
for ( it = _var_indexes.begin() ; it != _var_indexes.end() ; ++it )
{
new_poll_center[i] = poll_center[*it];
if ( feas_success_dir.is_defined() )
new_fsd[i] = feas_success_dir [*it];
if ( infeas_success_dir.is_defined() )
new_isd[i] = infeas_success_dir[*it];
++i;
}
_directions->compute ( dirs ,
poll ,
new_poll_center ,
mesh_index ,
-1 ,
new_fsd ,
new_isd );
}
