void IpoptAlgorithm::calc_number_of_bounds(
const Vector& x,
const Vector& x_L,
const Vector& x_U,
const Matrix& Px_L,
const Matrix& Px_U,
Index& n_tot,
Index& n_only_lower,
Index& n_both,
Index& n_only_upper)
{
DBG_START_METH("IpoptAlgorithm::calc_number_of_bounds",
dbg_verbosity);
n_tot = x.Dim();
SmartPtr<Vector> tmpx = x.MakeNew();
SmartPtr<Vector> tmpxL = x_L.MakeNew();
SmartPtr<Vector> tmpxU = x_U.MakeNew();
tmpxL->Set(-1.);
tmpxU->Set(2.);
Px_L.MultVector(1.0, *tmpxL, 0.0, *tmpx);
Px_U.MultVector(1.0, *tmpxU, 1.0, *tmpx);
// Now, x has elements
// -1 : if component has only lower bound
// 0 : if component has no bound
// 1 : if component has both lower and upper bound
// 2 : if component has only upper bound
DBG_PRINT_VECTOR(2, "x-indicator", *tmpx);
SmartPtr<Vector> tmpx0 = x.MakeNew();
tmpx0->Set(0.);
SmartPtr<Vector> tmpx2 = x.MakeNew();
tmpx2->Set(-1.0);
tmpx2->Axpy(1.0, *tmpx);
tmpx2->ElementWiseMax(*tmpx0); // tmpx2 is now 1 in those
// components with only upper bounds
n_only_upper = (Index)tmpx2->Asum();
tmpx->Axpy(-2., *tmpx2); // now make all those entries for
// only upper bounds zero in tmpx
tmpx2->Copy(*tmpx);
tmpx2->ElementWiseMax(*tmpx0); // tmpx2 is now 1 in those
// components with both bounds
n_both = (Index)tmpx2->Asum();
tmpx->Axpy(-1., *tmpx2);
tmpx->ElementWiseMin(*tmpx); // tmpx is now -1 in those with only
// lower bounds
n_only_lower = (Index)tmpx->Asum();
}
void GradientScaling::DetermineScalingParametersImpl(
const SmartPtr<const VectorSpace> x_space,
const SmartPtr<const VectorSpace> p_space,
const SmartPtr<const VectorSpace> c_space,
const SmartPtr<const VectorSpace> d_space,
const SmartPtr<const MatrixSpace> jac_c_space,
const SmartPtr<const MatrixSpace> jac_d_space,
const SmartPtr<const SymMatrixSpace> h_space,
const Matrix& Px_L, const Vector& x_L,
const Matrix& Px_U, const Vector& x_U,
Number& df,
SmartPtr<Vector>& dx,
SmartPtr<Vector>& dc,
SmartPtr<Vector>& dd)
{
DBG_ASSERT(IsValid(nlp_));
SmartPtr<Vector> x = x_space->MakeNew();
SmartPtr<Vector> p = p_space->MakeNew();
if (!nlp_->GetStartingPoint(GetRawPtr(x), true,
GetRawPtr(p), true,
NULL, false,
NULL, false,
NULL, false,
NULL, false)) {
THROW_EXCEPTION(FAILED_INITIALIZATION,
"Error getting initial point from NLP in GradientScaling.\n");
}
//
// Calculate grad_f scaling
//
SmartPtr<Vector> grad_f = x_space->MakeNew();
if (nlp_->Eval_grad_f(*x, *p, *grad_f)) {
double max_grad_f = grad_f->Amax();
df = 1.;
if (scaling_obj_target_gradient_ == 0.) {
if (max_grad_f > scaling_max_gradient_) {
df = scaling_max_gradient_ / max_grad_f;
}
}
else {
if (max_grad_f == 0.) {
Jnlst().Printf(J_WARNING, J_INITIALIZATION,
"Gradient of objective function is zero at starting point. Cannot determine scaling factor based on scaling_obj_target_gradient option.\n");
}
else {
df = scaling_obj_target_gradient_ / max_grad_f;
}
}
df = Max(df, scaling_min_value_);
Jnlst().Printf(J_DETAILED, J_INITIALIZATION,
"Scaling parameter for objective function = %e\n", df);
}
else {
Jnlst().Printf(J_WARNING, J_INITIALIZATION,
"Error evaluating objective gradient at user provided starting point.\n No scaling factor for objective function computed!\n");
df = 1.;
}
//
// No x scaling
//
dx = NULL;
dc = NULL;
if (c_space->Dim()>0) {
//
// Calculate c scaling
//
SmartPtr<Matrix> jac_c = jac_c_space->MakeNew();
if (nlp_->Eval_jac_c(*x, *p, *jac_c)) {
dc = c_space->MakeNew();
const double dbl_min = std::numeric_limits<double>::min();
dc->Set(dbl_min);
jac_c->ComputeRowAMax(*dc, false);
Number arow_max = dc->Amax();
if (scaling_constr_target_gradient_<=0.) {
if (arow_max > scaling_max_gradient_) {
dc->ElementWiseReciprocal();
dc->Scal(scaling_max_gradient_);
SmartPtr<Vector> dummy = dc->MakeNew();
dummy->Set(1.);
dc->ElementWiseMin(*dummy);
}
else {
dc = NULL;
}
}
else {
dc->Set(scaling_constr_target_gradient_/arow_max);
}
if (IsValid(dc) && scaling_min_value_ > 0.) {
SmartPtr<Vector> tmp = dc->MakeNew();
tmp->Set(scaling_min_value_);
dc->ElementWiseMax(*tmp);
}
}
else {
Jnlst().Printf(J_WARNING, J_INITIALIZATION,
"Error evaluating Jacobian of equality constraints at user provided starting point.\n No scaling factors for equality constraints computed!\n");
}
}
dd = NULL;
if (d_space->Dim()>0) {
//
// Calculate d scaling
//
SmartPtr<Matrix> jac_d = jac_d_space->MakeNew();
if (nlp_->Eval_jac_d(*x, *p, *jac_d)) {
dd = d_space->MakeNew();
const double dbl_min = std::numeric_limits<double>::min();
dd->Set(dbl_min);
jac_d->ComputeRowAMax(*dd, false);
Number arow_max = dd->Amax();
if (scaling_constr_target_gradient_<=0.) {
if (arow_max > scaling_max_gradient_) {
dd->ElementWiseReciprocal();
dd->Scal(scaling_max_gradient_);
SmartPtr<Vector> dummy = dd->MakeNew();
dummy->Set(1.);
dd->ElementWiseMin(*dummy);
}
else {
dd = NULL;
}
}
else {
dd->Set(scaling_constr_target_gradient_/arow_max);
}
if (IsValid(dd) && scaling_min_value_ > 0.) {
SmartPtr<Vector> tmp = dd->MakeNew();
tmp->Set(scaling_min_value_);
dd->ElementWiseMax(*tmp);
}
}
else {
Jnlst().Printf(J_WARNING, J_INITIALIZATION,
"Error evaluating Jacobian of inequality constraints at user provided starting point.\n No scaling factors for inequality constraints computed!\n");
}
}
}