double run_nlopt(nlopt::algorithm algo, eval_func fpointer,
vectord& Xnext, int maxf, const std::vector<double>& vd,
const std::vector<double>& vu, void* objPointer)
{
double fmin = 0.0;
size_t n = Xnext.size();
nlopt::opt opt (algo,n);
std::vector<double> xstd(n);
opt.set_lower_bounds(vd);
opt.set_upper_bounds(vu);
opt.set_min_objective(fpointer, objPointer);
opt.set_maxeval(maxf);
// It seems BOBYQA can be unstable if the same point is repeated
// tested over and over. NLOPT bug?
opt.set_ftol_rel(1e-12);
opt.set_ftol_abs(1e-12);
std::copy(Xnext.begin(),Xnext.end(),xstd.begin());
try
{
opt.optimize(xstd, fmin);
}
catch (nlopt::roundoff_limited& e)
{
FILE_LOG(logDEBUG) << "NLOPT Warning: Potential roundoff error. "
<< "In general, this can be ignored.";
}
std::copy(xstd.begin(),xstd.end(),Xnext.begin());
return fmin;
}
void setHyperParameters(const vectord &theta)
{
if(theta.size() != n_params)
{
throw std::invalid_argument("Wrong number of kernel hyperparameters");
}
params = theta; //TODO: To make enough space. Make it more efficient.
std::transform(theta.begin(), theta.end(), params.begin(), (double (*)(double)) exp);
};
inline void NLOPT_Optimization::setLimits(const vectord& down, const vectord& up)
{
std::copy(down.begin(),down.end(),mDown.begin());
std::copy(up.begin(),up.end(),mUp.begin());
}
