Exemple #1
0
  ScaledMatrixSpace::ScaledMatrixSpace(
    const SmartPtr<const Vector>& row_scaling,
    bool row_scaling_reciprocal,
    const SmartPtr<const MatrixSpace>& unscaled_matrix_space,
    const SmartPtr<const Vector>& column_scaling,
    bool column_scaling_reciprocal)
      :
      MatrixSpace(unscaled_matrix_space->NRows(),
                  unscaled_matrix_space->NCols()),
      unscaled_matrix_space_(unscaled_matrix_space)
  {
    if (IsValid(row_scaling)) {
      row_scaling_ = row_scaling->MakeNewCopy();
      if (row_scaling_reciprocal) {
        row_scaling_->ElementWiseReciprocal();
      }
    }
    else {
      row_scaling_ = NULL;
    }

    if (IsValid(column_scaling)) {
      column_scaling_ = column_scaling->MakeNewCopy();
      if (column_scaling_reciprocal) {
        column_scaling_->ElementWiseReciprocal();
      }
    }
    else {
      column_scaling_ = NULL;
    }
  }
Exemple #2
0
 /* Inline Methods */
 inline
 Index  Matrix::NRows() const
 {
   return owner_space_->NRows();
 }
  void EquilibrationScaling::DetermineScalingParametersImpl(
    const SmartPtr<const VectorSpace> x_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> x0 = x_space->MakeNew();
    if (!nlp_->GetStartingPoint(GetRawPtr(x0), true,
                                NULL, false,
                                NULL, false,
                                NULL, false,
                                NULL, false)) {
      THROW_EXCEPTION(FAILED_INITIALIZATION,
                      "Error getting initial point from NLP in EquilibrationScaling.\n");
    }

    // We store the added absolute values of the Jacobian and
    // objective function gradient in an array of sufficient size

    SmartPtr<Matrix> jac_c = jac_c_space->MakeNew();
    SmartPtr<Matrix> jac_d = jac_d_space->MakeNew();
    SmartPtr<Vector> grad_f = x_space->MakeNew();
    const Index nnz_jac_c = TripletHelper::GetNumberEntries(*jac_c);
    const Index nnz_jac_d = TripletHelper::GetNumberEntries(*jac_d);
    const Index nc = jac_c_space->NRows();
    const Index nd = jac_d_space->NRows();
    const Index nx = x_space->Dim();
    Number* avrg_values = new Number[nnz_jac_c+nnz_jac_d+nx];
    Number* val_buffer = new Number[Max(nnz_jac_c,nnz_jac_d,nx)];

    SmartPtr<PointPerturber> perturber =
      new PointPerturber(*x0, point_perturbation_radius_,
                         Px_L, x_L, Px_U, x_U);

    const Index num_evals = 4;
    const Index max_num_eval_errors = 10;
    Index num_eval_errors = 0;
    for (Index ieval=0; ieval<num_evals; ieval++) {
      // Compute obj gradient and Jacobian at random perturbation point
      bool done = false;
      while (!done) {
        SmartPtr<Vector> xpert = perturber->MakeNewPerturbedPoint();
        done = (nlp_->Eval_grad_f(*xpert, *grad_f) &&
                nlp_->Eval_jac_c(*xpert, *jac_c) &&
                nlp_->Eval_jac_d(*xpert, *jac_d));
        if (!done) {
          Jnlst().Printf(J_WARNING, J_INITIALIZATION,
                         "Error evaluating first derivatives as at perturbed point for equilibration-based scaling.\n");
          num_eval_errors++;
        }
        if (num_eval_errors>max_num_eval_errors) {
          delete [] val_buffer;
          delete [] avrg_values;
          THROW_EXCEPTION(FAILED_INITIALIZATION,
                          "Too many evaluation failures during equilibiration-based scaling.");
        }
      }
      // Get the numbers out of the matrices and vectors, and add it
      // to avrg_values
      TripletHelper::FillValues(nnz_jac_c, *jac_c, val_buffer);
      if (ieval==0) {
        for (Index i=0; i<nnz_jac_c; i++) {
          avrg_values[i] = fabs(val_buffer[i]);
        }
      }
      else {
        for (Index i=0; i<nnz_jac_c; i++) {
          avrg_values[i] =+ fabs(val_buffer[i]);
        }
      }
      TripletHelper::FillValues(nnz_jac_d, *jac_d, val_buffer);
      if (ieval==0) {
        for (Index i=0; i<nnz_jac_d; i++) {
          avrg_values[nnz_jac_c+i] = fabs(val_buffer[i]);
        }
      }
      else {
        for (Index i=0; i<nnz_jac_d; i++) {
          avrg_values[nnz_jac_c+i] =+ fabs(val_buffer[i]);
        }
      }
      TripletHelper::FillValuesFromVector(nx, *grad_f, val_buffer);
      if (ieval==0) {
        for (Index i=0; i<nx; i++) {
          avrg_values[nnz_jac_c+nnz_jac_d+i] = fabs(val_buffer[i]);
        }
      }
      else {
        for (Index i=0; i<nx; i++) {
          avrg_values[nnz_jac_c+nnz_jac_d+i] =+ fabs(val_buffer[i]);
        }
      }
    }
    delete [] val_buffer;
    for (Index i=0; i<nnz_jac_c+nnz_jac_d+nx; i++) {
      avrg_values[i] /= (Number)num_evals;
    }

    // Get the sparsity structure
    ipfint* AIRN = new ipfint[nnz_jac_c+nnz_jac_d+nx];
    ipfint* AJCN = new ipfint[nnz_jac_c+nnz_jac_d+nx];
    if (sizeof(ipfint)==sizeof(Index)) {
      TripletHelper::FillRowCol(nnz_jac_c, *jac_c, &AIRN[0], &AJCN[0]);
      TripletHelper::FillRowCol(nnz_jac_d, *jac_d, &AIRN[nnz_jac_c], &AJCN[nnz_jac_c], nc);
    }
    else {
      THROW_EXCEPTION(INTERNAL_ABORT,
                      "Need to implement missing code in EquilibriationScaling.");
    }
    // sort out the zero entries in objective function gradient
    Index nnz_grad_f = 0;
    const Index idx = nnz_jac_c+nnz_jac_d;
    for (Index i=0; i<nx; i++) {
      if (avrg_values[idx+i] != 0.) {
        AIRN[idx+nnz_grad_f] = nc+nd+1;
        AJCN[idx+nnz_grad_f] = i+1;
        avrg_values[idx+nnz_grad_f] = avrg_values[idx+i];
        nnz_grad_f++;
      }
    }

    // Now call MC19 to compute the scaling factors
    const ipfint N = Max(nc+nd+1,nx);
    float* R = new float[N];
    float* C = new float[N];
    float* W = new float[5*N];
#ifdef COINHSL_HAS_MC19
    const ipfint NZ = nnz_jac_c+nnz_jac_d+nnz_grad_f;
    //F77_FUNC(mc19ad,MC19AD)(&N, &NZ, avrg_values, AIRN, AJCN, R, C, W);
    F77_FUNC(mc19ad,MC19AD)(&N, &NZ, avrg_values, AJCN, AIRN, C, R, W);
#else

    THROW_EXCEPTION(OPTION_INVALID,
                    "Currently cannot do equilibration-based NLP scaling if MC19 is not available.");
#endif

    delete[] W;

    delete [] avrg_values;
    delete [] AIRN;
    delete [] AJCN;

    // Correct the scaling values
    Number* row_scale = new Number[nc+nd+1];
    Number* col_scale = new Number[nx];
    for (Index i=0; i<nc+nd+1; i++) {
      row_scale[i] = exp((Number)R[i]);
    }
    for (Index i=0; i<nx; i++) {
      col_scale[i] = exp((Number)C[i]);
    }
    delete [] R;
    delete [] C;

    // get the scaling factors
    df = row_scale[nc+nd];
    dc = c_space->MakeNew();
    TripletHelper::PutValuesInVector(nc, &row_scale[0], *dc);
    dd = d_space->MakeNew();
    TripletHelper::PutValuesInVector(nd, &row_scale[nc], *dd);
    dx = x_space->MakeNew();
    TripletHelper::PutValuesInVector(nx, col_scale, *dx);

    delete [] row_scale;
    delete [] col_scale;
  }