virtual SmartPtr<const SymMatrixSpace> HessianMatrixSpace() const
{
return GetRawPtr(h_space_);
}
/** Upper bounds on d */
virtual SmartPtr<const Vector> d_U() const
{
return GetRawPtr(d_U_);
}
/** Permutation matrix (d_U_ -> d */
virtual SmartPtr<const Matrix> Pd_U() const
{
return GetRawPtr(Pd_U_);
}
void RestoIterationOutput::WriteOutput()
{
// Get pointers to the Original NLP objects
const RestoIpoptNLP* resto_ipopt_nlp =
static_cast<const RestoIpoptNLP*>(&IpNLP());
DBG_ASSERT(resto_ipopt_nlp);
SmartPtr<IpoptData> orig_ip_data = &resto_ipopt_nlp->OrigIpData();
SmartPtr<IpoptNLP> orig_ip_nlp = &resto_ipopt_nlp->OrigIpNLP();
SmartPtr<IpoptCalculatedQuantities> orig_ip_cq =
&resto_ipopt_nlp->OrigIpCq();
// Set the iteration counter for the original NLP to the current value
Index iter = IpData().iter_count();
orig_ip_data->Set_iter_count(iter);
// If a resto_orig_iteration_output object was given, first do the
// WriteOutput method with that one
if (IsValid(resto_orig_iteration_output_)) {
resto_orig_iteration_output_->WriteOutput();
}
//////////////////////////////////////////////////////////////////////
// First print the summary line for the iteration //
//////////////////////////////////////////////////////////////////////
std::string header =
"iter objective inf_pr inf_du lg(mu) ||d|| lg(rg) alpha_du alpha_pr ls\n";
Jnlst().Printf(J_DETAILED, J_MAIN,
"\n\n**************************************************\n");
Jnlst().Printf(J_DETAILED, J_MAIN,
"*** Summary of Iteration %d for original NLP:", IpData().iter_count());
Jnlst().Printf(J_DETAILED, J_MAIN,
"\n**************************************************\n\n");
if (IpData().info_iters_since_header() >= 10 && !IsValid(resto_orig_iteration_output_)) {
// output the header
Jnlst().Printf(J_ITERSUMMARY, J_MAIN, header.c_str());
IpData().Set_info_iters_since_header(0);
}
else {
Jnlst().Printf(J_DETAILED, J_MAIN, header.c_str());
}
// For now, just print the total NLP error for the restoration
// phase problem in the dual infeasibility column
Number inf_du =
IpCq().curr_dual_infeasibility(NORM_MAX);
Number mu = IpData().curr_mu();
Number dnrm = 0.;
if (IsValid(IpData().delta()) && IsValid(IpData().delta()->x()) && IsValid(IpData().delta()->s())) {
dnrm = Max(IpData().delta()->x()->Amax(), IpData().delta()->s()->Amax());
}
// Set the trial values for the original Data object to the
// current restoration phase values
SmartPtr<const Vector> x = IpData().curr()->x();
const CompoundVector* cx =
static_cast<const CompoundVector*>(GetRawPtr(x));
DBG_ASSERT(dynamic_cast<const CompoundVector*>(GetRawPtr(x)));
SmartPtr<const Vector> s = IpData().curr()->s();
const CompoundVector* cs =
static_cast<const CompoundVector*>(GetRawPtr(s));
DBG_ASSERT(dynamic_cast<const CompoundVector*>(GetRawPtr(s)));
SmartPtr<IteratesVector> trial = orig_ip_data->trial()->MakeNewContainer();
trial->Set_x(*cx->GetComp(0));
trial->Set_s(*cs->GetComp(0));
orig_ip_data->set_trial(trial);
// Compute primal infeasibility
Number inf_pr = 0.0;
switch (inf_pr_output_) {
case INTERNAL:
inf_pr = orig_ip_cq->trial_primal_infeasibility(NORM_MAX);
break;
case ORIGINAL:
inf_pr = orig_ip_cq->unscaled_trial_nlp_constraint_violation(NORM_MAX);
break;
}
// Compute original objective function
Number f = orig_ip_cq->unscaled_trial_f();
// Retrieve some information set in the different parts of the algorithm
char info_iter='r';
Number alpha_primal = IpData().info_alpha_primal();
char alpha_primal_char = IpData().info_alpha_primal_char();
Number alpha_dual = IpData().info_alpha_dual();
Number regu_x = IpData().info_regu_x();
char regu_x_buf[8];
char dashes[]=" - ";
char *regu_x_ptr;
if (regu_x==.0) {
regu_x_ptr = dashes;
}
else {
Snprintf(regu_x_buf, 7, "%5.1f", log10(regu_x));
regu_x_ptr = regu_x_buf;
}
Index ls_count = IpData().info_ls_count();
const std::string info_string = IpData().info_string();
Number current_time = 0.0;
Number last_output = IpData().info_last_output();
if ((iter % print_frequency_iter_) == 0 &&
(print_frequency_time_ == 0.0 || last_output < (current_time = WallclockTime()) - print_frequency_time_ || last_output < 0.0)) {
Jnlst().Printf(J_ITERSUMMARY, J_MAIN,
"%4d%c%14.7e %7.2e %7.2e %5.1f %7.2e %5s %7.2e %7.2e%c%3d",
iter, info_iter, f, inf_pr, inf_du, log10(mu), dnrm, regu_x_ptr,
alpha_dual, alpha_primal, alpha_primal_char,
ls_count);
if (print_info_string_) {
Jnlst().Printf(J_ITERSUMMARY, J_MAIN, " %s", info_string.c_str());
}
else {
Jnlst().Printf(J_DETAILED, J_MAIN, " %s", info_string.c_str());
}
Jnlst().Printf(J_ITERSUMMARY, J_MAIN, "\n");
IpData().Set_info_last_output(current_time);
IpData().Inc_info_iters_since_header();
}
//////////////////////////////////////////////////////////////////////
// Now if desired more detail on the iterates //
//////////////////////////////////////////////////////////////////////
if (Jnlst().ProduceOutput(J_DETAILED, J_MAIN)) {
Jnlst().Printf(J_DETAILED, J_MAIN,
"\n**************************************************\n");
Jnlst().Printf(J_DETAILED, J_MAIN,
"*** Beginning Iteration %d from the following point:",
IpData().iter_count());
Jnlst().Printf(J_DETAILED, J_MAIN,
"\n**************************************************\n\n");
Jnlst().Printf(J_DETAILED, J_MAIN,
"Primal infeasibility for restoration phase problem = %.16e\n",
IpCq().curr_primal_infeasibility(NORM_MAX));
Jnlst().Printf(J_DETAILED, J_MAIN,
"Dual infeasibility for restoration phase problem = %.16e\n",
IpCq().curr_dual_infeasibility(NORM_MAX));
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_x||_inf = %.16e\n", IpData().curr()->x()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_s||_inf = %.16e\n", IpData().curr()->s()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_y_c||_inf = %.16e\n", IpData().curr()->y_c()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_y_d||_inf = %.16e\n", IpData().curr()->y_d()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_z_L||_inf = %.16e\n", IpData().curr()->z_L()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_z_U||_inf = %.16e\n", IpData().curr()->z_U()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_v_L||_inf = %.16e\n", IpData().curr()->v_L()->Amax());
Jnlst().Printf(J_DETAILED, J_MAIN,
"||curr_v_U||_inf = %.16e\n", IpData().curr()->v_U()->Amax());
}
if (Jnlst().ProduceOutput(J_MOREDETAILED, J_MAIN)) {
if (IsValid(IpData().delta())) {
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"\n||delta_x||_inf = %.16e\n", IpData().delta()->x()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_s||_inf = %.16e\n", IpData().delta()->s()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_y_c||_inf = %.16e\n", IpData().delta()->y_c()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_y_d||_inf = %.16e\n", IpData().delta()->y_d()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_z_L||_inf = %.16e\n", IpData().delta()->z_L()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_z_U||_inf = %.16e\n", IpData().delta()->z_U()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_v_L||_inf = %.16e\n", IpData().delta()->v_L()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"||delta_v_U||_inf = %.16e\n", IpData().delta()->v_U()->Amax());
}
else {
Jnlst().Printf(J_MOREDETAILED, J_MAIN,
"\nNo search direction has been computed yet.\n");
}
}
if (Jnlst().ProduceOutput(J_VECTOR, J_MAIN)) {
IpData().curr()->x()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_x");
IpData().curr()->s()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_s");
IpData().curr()->y_c()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_y_c");
IpData().curr()->y_d()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_y_d");
IpCq().curr_slack_x_L()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_slack_x_L");
IpCq().curr_slack_x_U()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_slack_x_U");
IpData().curr()->z_L()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_z_L");
IpData().curr()->z_U()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_z_U");
IpCq().curr_slack_s_L()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_slack_s_L");
IpCq().curr_slack_s_U()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_slack_s_U");
IpData().curr()->v_L()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_v_L");
IpData().curr()->v_U()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_v_U");
}
if (Jnlst().ProduceOutput(J_MOREVECTOR, J_MAIN)) {
IpCq().curr_grad_lag_x()->Print(Jnlst(), J_MOREVECTOR, J_MAIN, "curr_grad_lag_x");
IpCq().curr_grad_lag_s()->Print(Jnlst(), J_MOREVECTOR, J_MAIN, "curr_grad_lag_s");
if (IsValid(IpData().delta())) {
IpData().delta()->Print(Jnlst(), J_MOREVECTOR, J_MAIN, "delta");
}
}
if (Jnlst().ProduceOutput(J_DETAILED, J_MAIN)) {
Jnlst().Printf(J_DETAILED, J_MAIN,
"\n\n***Current NLP Values for Iteration (Restoration phase problem) %d:\n",
IpData().iter_count());
Jnlst().Printf(J_DETAILED, J_MAIN, "\n (scaled) (unscaled)\n");
Jnlst().Printf(J_DETAILED, J_MAIN, "Objective...............: %24.16e %24.16e\n", IpCq().curr_f(), IpCq().unscaled_curr_f());
Jnlst().Printf(J_DETAILED, J_MAIN, "Dual infeasibility......: %24.16e %24.16e\n", IpCq().curr_dual_infeasibility(NORM_MAX), IpCq().unscaled_curr_dual_infeasibility(NORM_MAX));
Jnlst().Printf(J_DETAILED, J_MAIN, "Constraint violation....: %24.16e %24.16e\n", IpCq().curr_nlp_constraint_violation(NORM_MAX), IpCq().unscaled_curr_nlp_constraint_violation(NORM_MAX));
Jnlst().Printf(J_DETAILED, J_MAIN, "Complementarity.........: %24.16e %24.16e\n", IpCq().curr_complementarity(0., NORM_MAX), IpCq().unscaled_curr_complementarity(0., NORM_MAX));
Jnlst().Printf(J_DETAILED, J_MAIN, "Overall NLP error.......: %24.16e %24.16e\n\n", IpCq().curr_nlp_error(), IpCq().unscaled_curr_nlp_error());
}
if (Jnlst().ProduceOutput(J_VECTOR, J_MAIN)) {
IpCq().curr_grad_f()->Print(Jnlst(), J_VECTOR, J_MAIN, "grad_f");
IpCq().curr_c()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_c");
IpCq().curr_d()->Print(Jnlst(), J_VECTOR, J_MAIN, "curr_d");
IpCq().curr_d_minus_s()->Print(Jnlst(), J_VECTOR, J_MAIN,
"curr_d - curr_s");
}
if (Jnlst().ProduceOutput(J_MATRIX, J_MAIN)) {
IpCq().curr_jac_c()->Print(Jnlst(), J_MATRIX, J_MAIN, "jac_c");
IpCq().curr_jac_d()->Print(Jnlst(), J_MATRIX, J_MAIN, "jac_d");
IpData().W()->Print(Jnlst(), J_MATRIX, J_MAIN, "W");
}
Jnlst().Printf(J_DETAILED, J_MAIN, "\n\n");
}
bool RestoIterateInitializer::SetInitialIterates()
{
DBG_START_METH("RestoIterateInitializer::SetInitialIterates",
dbg_verbosity);
// Get a grip on the restoration phase NLP and obtain the pointers
// to the original NLP data
SmartPtr<RestoIpoptNLP> resto_ip_nlp =
static_cast<RestoIpoptNLP*> (&IpNLP());
SmartPtr<IpoptNLP> orig_ip_nlp =
static_cast<IpoptNLP*> (&resto_ip_nlp->OrigIpNLP());
SmartPtr<IpoptData> orig_ip_data =
static_cast<IpoptData*> (&resto_ip_nlp->OrigIpData());
SmartPtr<IpoptCalculatedQuantities> orig_ip_cq =
static_cast<IpoptCalculatedQuantities*> (&resto_ip_nlp->OrigIpCq());
// Set the value of the barrier parameter
Number resto_mu;
resto_mu = Max(orig_ip_data->curr_mu(),
orig_ip_cq->curr_c()->Amax(),
orig_ip_cq->curr_d_minus_s()->Amax());
IpData().Set_mu(resto_mu);
Jnlst().Printf(J_DETAILED, J_INITIALIZATION,
"Initial barrier parameter resto_mu = %e\n", resto_mu);
/////////////////////////////////////////////////////////////////////
// Initialize primal varialbes //
/////////////////////////////////////////////////////////////////////
// initialize the data structures in the restoration phase NLP
IpData().InitializeDataStructures(IpNLP(), false, false, false,
false, false);
SmartPtr<Vector> new_x = IpData().curr()->x()->MakeNew();
SmartPtr<CompoundVector> Cnew_x =
static_cast<CompoundVector*> (GetRawPtr(new_x));
DBG_ASSERT(dynamic_cast<CompoundVector*> (GetRawPtr(new_x)));
// Set the trial x variables from the original NLP
Cnew_x->GetCompNonConst(0)->Copy(*orig_ip_data->curr()->x());
// Compute the initial values for the n and p variables for the
// equality constraints
Number rho = resto_ip_nlp->Rho();
DBG_PRINT((1,"rho = %e\n", rho));
SmartPtr<Vector> nc = Cnew_x->GetCompNonConst(1);
SmartPtr<Vector> pc = Cnew_x->GetCompNonConst(2);
SmartPtr<const Vector> cvec = orig_ip_cq->curr_c();
DBG_PRINT_VECTOR(2, "cvec", *cvec);
SmartPtr<Vector> a = nc->MakeNew();
SmartPtr<Vector> b = nc->MakeNew();
a->Set(resto_mu/(2.*rho));
a->Axpy(-0.5, *cvec);
b->Copy(*cvec);
b->Scal(resto_mu/(2.*rho));
DBG_PRINT_VECTOR(2, "a", *a);
DBG_PRINT_VECTOR(2, "b", *b);
solve_quadratic(*a, *b, *nc);
pc->Copy(*cvec);
pc->Axpy(1., *nc);
DBG_PRINT_VECTOR(2, "nc", *nc);
DBG_PRINT_VECTOR(2, "pc", *pc);
// initial values for the n and p variables for the inequality
// constraints
SmartPtr<Vector> nd = Cnew_x->GetCompNonConst(3);
SmartPtr<Vector> pd = Cnew_x->GetCompNonConst(4);
cvec = orig_ip_cq->curr_d_minus_s();
a = nd->MakeNew();
b = nd->MakeNew();
a->Set(resto_mu/(2.*rho));
a->Axpy(-0.5, *cvec);
b->Copy(*cvec);
b->Scal(resto_mu/(2.*rho));
solve_quadratic(*a, *b, *nd);
pd->Copy(*cvec);
pd->Axpy(1., *nd);
DBG_PRINT_VECTOR(2, "nd", *nd);
DBG_PRINT_VECTOR(2, "pd", *pd);
// Leave the slacks unchanged
SmartPtr<Vector> new_s = IpData().curr()->s()->MakeNew();
SmartPtr<CompoundVector> Cnew_s =
static_cast<CompoundVector*> (GetRawPtr(new_s));
DBG_ASSERT(dynamic_cast<CompoundVector*> (GetRawPtr(new_s)));
DBG_ASSERT(Cnew_s->NComps() == 1);
// Set the trial s variables from the original NLP
Cnew_s->GetCompNonConst(0)->Copy(*orig_ip_data->curr()->s());
// Now set the primal trial variables
DBG_PRINT_VECTOR(2,"new_s",*new_s);
DBG_PRINT_VECTOR(2,"new_x",*new_x);
SmartPtr<IteratesVector> trial = IpData().curr()->MakeNewContainer();
trial->Set_primal(*new_x, *new_s);
IpData().set_trial(trial);
DBG_PRINT_VECTOR(2, "resto_c", *IpCq().trial_c());
DBG_PRINT_VECTOR(2, "resto_d_minus_s", *IpCq().trial_d_minus_s());
/////////////////////////////////////////////////////////////////////
// Initialize bound multipliers //
/////////////////////////////////////////////////////////////////////
SmartPtr<Vector> new_z_L = IpData().curr()->z_L()->MakeNew();
SmartPtr<CompoundVector> Cnew_z_L =
static_cast<CompoundVector*> (GetRawPtr(new_z_L));
DBG_ASSERT(dynamic_cast<CompoundVector*> (GetRawPtr(new_z_L)));
SmartPtr<Vector> new_z_U = IpData().curr()->z_U()->MakeNew();
SmartPtr<CompoundVector> Cnew_z_U =
static_cast<CompoundVector*> (GetRawPtr(new_z_U));
DBG_ASSERT(dynamic_cast<CompoundVector*> (GetRawPtr(new_z_U)));
DBG_ASSERT(Cnew_z_U->NComps() == 1);
SmartPtr<Vector> new_v_L = IpData().curr()->v_L()->MakeNew();
SmartPtr<CompoundVector> Cnew_v_L =
static_cast<CompoundVector*> (GetRawPtr(new_v_L));
DBG_ASSERT(dynamic_cast<CompoundVector*> (GetRawPtr(new_v_L)));
DBG_ASSERT(Cnew_v_L->NComps() == 1);
SmartPtr<Vector> new_v_U = IpData().curr()->v_U()->MakeNew();
SmartPtr<CompoundVector> Cnew_v_U =
static_cast<CompoundVector*> (GetRawPtr(new_v_U));
DBG_ASSERT(dynamic_cast<CompoundVector*> (GetRawPtr(new_v_U)));
DBG_ASSERT(Cnew_v_U->NComps() == 1);
// multipliers for the original bounds are
SmartPtr<const Vector> orig_z_L = orig_ip_data->curr()->z_L();
SmartPtr<const Vector> orig_z_U = orig_ip_data->curr()->z_U();
SmartPtr<const Vector> orig_v_L = orig_ip_data->curr()->v_L();
SmartPtr<const Vector> orig_v_U = orig_ip_data->curr()->v_U();
// Set the new multipliers to the min of the penalty parameter Rho
// and their current value
SmartPtr<Vector> Cnew_z_L0 = Cnew_z_L->GetCompNonConst(0);
Cnew_z_L0->Set(rho);
Cnew_z_L0->ElementWiseMin(*orig_z_L);
SmartPtr<Vector> Cnew_z_U0 = Cnew_z_U->GetCompNonConst(0);
Cnew_z_U0->Set(rho);
Cnew_z_U0->ElementWiseMin(*orig_z_U);
SmartPtr<Vector> Cnew_v_L0 = Cnew_v_L->GetCompNonConst(0);
Cnew_v_L0->Set(rho);
Cnew_v_L0->ElementWiseMin(*orig_v_L);
SmartPtr<Vector> Cnew_v_U0 = Cnew_v_U->GetCompNonConst(0);
Cnew_v_U0->Set(rho);
Cnew_v_U0->ElementWiseMin(*orig_v_U);
// Set the multipliers for the p and n bounds to the "primal" multipliers
SmartPtr<Vector> Cnew_z_L1 = Cnew_z_L->GetCompNonConst(1);
Cnew_z_L1->Set(resto_mu);
Cnew_z_L1->ElementWiseDivide(*nc);
SmartPtr<Vector> Cnew_z_L2 = Cnew_z_L->GetCompNonConst(2);
Cnew_z_L2->Set(resto_mu);
Cnew_z_L2->ElementWiseDivide(*pc);
SmartPtr<Vector> Cnew_z_L3 = Cnew_z_L->GetCompNonConst(3);
Cnew_z_L3->Set(resto_mu);
Cnew_z_L3->ElementWiseDivide(*nd);
SmartPtr<Vector> Cnew_z_L4 = Cnew_z_L->GetCompNonConst(4);
Cnew_z_L4->Set(resto_mu);
Cnew_z_L4->ElementWiseDivide(*pd);
// Set those initial values to be the trial values in Data
trial = IpData().trial()->MakeNewContainer();
trial->Set_bound_mult(*new_z_L, *new_z_U, *new_v_L, *new_v_U);
IpData().set_trial(trial);
/////////////////////////////////////////////////////////////////////
// Initialize equality constraint multipliers //
/////////////////////////////////////////////////////////////////////
DefaultIterateInitializer::least_square_mults(
Jnlst(), IpNLP(), IpData(), IpCq(),
resto_eq_mult_calculator_, constr_mult_init_max_);
// upgrade the trial to the current point
IpData().AcceptTrialPoint();
DBG_PRINT_VECTOR(2, "y_c", *IpData().curr()->y_c());
DBG_PRINT_VECTOR(2, "y_d", *IpData().curr()->y_d());
DBG_PRINT_VECTOR(2, "z_L", *IpData().curr()->z_L());
DBG_PRINT_VECTOR(2, "z_U", *IpData().curr()->z_U());
DBG_PRINT_VECTOR(2, "v_L", *IpData().curr()->v_L());
DBG_PRINT_VECTOR(2, "v_U", *IpData().curr()->v_U());
return true;
}
void GradientScaling::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> x = x_space->MakeNew();
if (!nlp_->GetStartingPoint(GetRawPtr(x), 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, *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, *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, *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");
}
}
}
bool RestoIpoptNLP::InitializeStructures(
SmartPtr<Vector>& x,
bool init_x,
SmartPtr<Vector>& y_c,
bool init_y_c,
SmartPtr<Vector>& y_d,
bool init_y_d,
SmartPtr<Vector>& z_L,
bool init_z_L,
SmartPtr<Vector>& z_U,
bool init_z_U,
SmartPtr<Vector>& v_L,
SmartPtr<Vector>& v_U)
{
DBG_START_METH("RestoIpoptNLP::InitializeStructures", 0); DBG_ASSERT(initialized_);
///////////////////////////////////////////////////////////
// Get the vector/matrix spaces for the original problem //
///////////////////////////////////////////////////////////
SmartPtr<const VectorSpace> orig_x_space;
SmartPtr<const VectorSpace> orig_c_space;
SmartPtr<const VectorSpace> orig_d_space;
SmartPtr<const VectorSpace> orig_x_l_space;
SmartPtr<const MatrixSpace> orig_px_l_space;
SmartPtr<const VectorSpace> orig_x_u_space;
SmartPtr<const MatrixSpace> orig_px_u_space;
SmartPtr<const VectorSpace> orig_d_l_space;
SmartPtr<const MatrixSpace> orig_pd_l_space;
SmartPtr<const VectorSpace> orig_d_u_space;
SmartPtr<const MatrixSpace> orig_pd_u_space;
SmartPtr<const MatrixSpace> orig_jac_c_space;
SmartPtr<const MatrixSpace> orig_jac_d_space;
SmartPtr<const SymMatrixSpace> orig_h_space;
orig_ip_nlp_->GetSpaces(orig_x_space, orig_c_space, orig_d_space, orig_x_l_space, orig_px_l_space, orig_x_u_space,
orig_px_u_space, orig_d_l_space, orig_pd_l_space, orig_d_u_space, orig_pd_u_space, orig_jac_c_space,
orig_jac_d_space, orig_h_space);
// Create the restoration phase problem vector/matrix spaces, based
// on the original spaces (pretty inconvenient with all the
// matrix spaces, isn't it?!?)
DBG_PRINT((1, "Creating the x_space_\n"));
// vector x
Index total_dim = orig_x_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
x_space_ = new CompoundVectorSpace(5, total_dim);
x_space_->SetCompSpace(0, *orig_x_space);
x_space_->SetCompSpace(1, *orig_c_space); // n_c
x_space_->SetCompSpace(2, *orig_c_space); // p_c
x_space_->SetCompSpace(3, *orig_d_space); // n_d
x_space_->SetCompSpace(4, *orig_d_space); // p_d
DBG_PRINT((1, "Setting the c_space_\n"));
// vector c
//c_space_ = orig_c_space;
c_space_ = new CompoundVectorSpace(1, orig_c_space->Dim());
c_space_->SetCompSpace(0, *orig_c_space);
DBG_PRINT((1, "Setting the d_space_\n"));
// vector d
//d_space_ = orig_d_space;
d_space_ = new CompoundVectorSpace(1, orig_d_space->Dim());
d_space_->SetCompSpace(0, *orig_d_space);
DBG_PRINT((1, "Creating the x_l_space_\n"));
// vector x_L
total_dim = orig_x_l_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
x_l_space_ = new CompoundVectorSpace(5, total_dim);
x_l_space_->SetCompSpace(0, *orig_x_l_space);
x_l_space_->SetCompSpace(1, *orig_c_space); // n_c >=0
x_l_space_->SetCompSpace(2, *orig_c_space); // p_c >=0
x_l_space_->SetCompSpace(3, *orig_d_space); // n_d >=0
x_l_space_->SetCompSpace(4, *orig_d_space); // p_d >=0
DBG_PRINT((1, "Setting the x_u_space_\n"));
// vector x_U
x_u_space_ = new CompoundVectorSpace(1, orig_x_u_space->Dim());
x_u_space_->SetCompSpace(0, *orig_x_u_space);
DBG_PRINT((1, "Creating the px_l_space_\n"));
// matrix px_l
Index total_rows = orig_x_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
Index total_cols = orig_x_l_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
px_l_space_ = new CompoundMatrixSpace(5, 5, total_rows, total_cols);
px_l_space_->SetBlockRows(0, orig_x_space->Dim());
px_l_space_->SetBlockRows(1, orig_c_space->Dim());
px_l_space_->SetBlockRows(2, orig_c_space->Dim());
px_l_space_->SetBlockRows(3, orig_d_space->Dim());
px_l_space_->SetBlockRows(4, orig_d_space->Dim());
px_l_space_->SetBlockCols(0, orig_x_l_space->Dim());
px_l_space_->SetBlockCols(1, orig_c_space->Dim());
px_l_space_->SetBlockCols(2, orig_c_space->Dim());
px_l_space_->SetBlockCols(3, orig_d_space->Dim());
px_l_space_->SetBlockCols(4, orig_d_space->Dim());
px_l_space_->SetCompSpace(0, 0, *orig_px_l_space);
// now setup the identity matrix
// This could be changed to be something like...
// px_l_space_->SetBlockToIdentity(1,1,1.0);
// px_l_space_->SetBlockToIdentity(2,2,other_factor);
// ... etc with some simple changes to the CompoundMatrixSpace
// to allow this (space should auto create the matrices)
//
// for now, we use the new feature and set the true flag for this block
// to say that the matrices should be auto_allocated
SmartPtr<const MatrixSpace> identity_mat_space_nc = new IdentityMatrixSpace(orig_c_space->Dim());
px_l_space_->SetCompSpace(1, 1, *identity_mat_space_nc, true);
px_l_space_->SetCompSpace(2, 2, *identity_mat_space_nc, true);
SmartPtr<const MatrixSpace> identity_mat_space_nd = new IdentityMatrixSpace(orig_d_space->Dim());
px_l_space_->SetCompSpace(3, 3, *identity_mat_space_nd, true);
px_l_space_->SetCompSpace(4, 4, *identity_mat_space_nd, true);
DBG_PRINT((1, "Creating the px_u_space_\n"));
// matrix px_u
total_rows = orig_x_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
total_cols = orig_x_u_space->Dim();
DBG_PRINT((1, "total_rows = %d, total_cols = %d\n", total_rows, total_cols));
px_u_space_ = new CompoundMatrixSpace(5, 1, total_rows, total_cols);
px_u_space_->SetBlockRows(0, orig_x_space->Dim());
px_u_space_->SetBlockRows(1, orig_c_space->Dim());
px_u_space_->SetBlockRows(2, orig_c_space->Dim());
px_u_space_->SetBlockRows(3, orig_d_space->Dim());
px_u_space_->SetBlockRows(4, orig_d_space->Dim());
px_u_space_->SetBlockCols(0, orig_x_u_space->Dim());
px_u_space_->SetCompSpace(0, 0, *orig_px_u_space);
// other matrices are zero'ed out
// vector d_L
//d_l_space_ = orig_d_l_space;
d_l_space_ = new CompoundVectorSpace(1, orig_d_l_space->Dim());
d_l_space_->SetCompSpace(0, *orig_d_l_space);
// vector d_U
//d_u_space_ = orig_d_u_space;
d_u_space_ = new CompoundVectorSpace(1, orig_d_u_space->Dim());
d_u_space_->SetCompSpace(0, *orig_d_u_space);
// matrix pd_L
//pd_l_space_ = orig_pd_l_space;
pd_l_space_ = new CompoundMatrixSpace(1, 1, orig_pd_l_space->NRows(), orig_pd_l_space->NCols());
pd_l_space_->SetBlockRows(0, orig_pd_l_space->NRows());
pd_l_space_->SetBlockCols(0, orig_pd_l_space->NCols());
pd_l_space_->SetCompSpace(0, 0, *orig_pd_l_space);
// matrix pd_U
//pd_u_space_ = orig_pd_u_space;
pd_u_space_ = new CompoundMatrixSpace(1, 1, orig_pd_u_space->NRows(), orig_pd_u_space->NCols());
pd_u_space_->SetBlockRows(0, orig_pd_u_space->NRows());
pd_u_space_->SetBlockCols(0, orig_pd_u_space->NCols());
pd_u_space_->SetCompSpace(0, 0, *orig_pd_u_space);
DBG_PRINT((1, "Creating the jac_c_space_\n"));
// matrix jac_c
total_rows = orig_c_space->Dim();
total_cols = orig_x_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
jac_c_space_ = new CompoundMatrixSpace(1, 5, total_rows, total_cols);
jac_c_space_->SetBlockRows(0, orig_c_space->Dim());
jac_c_space_->SetBlockCols(0, orig_x_space->Dim());
jac_c_space_->SetBlockCols(1, orig_c_space->Dim());
jac_c_space_->SetBlockCols(2, orig_c_space->Dim());
jac_c_space_->SetBlockCols(3, orig_d_space->Dim());
jac_c_space_->SetBlockCols(4, orig_d_space->Dim());
jac_c_space_->SetCompSpace(0, 0, *orig_jac_c_space);
// **NOTE: By placing "flat" identity matrices here, we are creating
// potential issues for linalg operations that arise when the original
// NLP has a "compound" c_space. To avoid problems like this,
// we place all unmodified component spaces in trivial (size 1)
// "compound" spaces.
jac_c_space_->SetCompSpace(0, 1, *identity_mat_space_nc, true);
jac_c_space_->SetCompSpace(0, 2, *identity_mat_space_nc, true);
// remaining blocks are zero'ed
DBG_PRINT((1, "Creating the jac_d_space_\n"));
// matrix jac_d
total_rows = orig_d_space->Dim();
total_cols = orig_x_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
jac_d_space_ = new CompoundMatrixSpace(1, 5, total_rows, total_cols);
jac_d_space_->SetBlockRows(0, orig_d_space->Dim());
jac_d_space_->SetBlockCols(0, orig_x_space->Dim());
jac_d_space_->SetBlockCols(1, orig_c_space->Dim());
jac_d_space_->SetBlockCols(2, orig_c_space->Dim());
jac_d_space_->SetBlockCols(3, orig_d_space->Dim());
jac_d_space_->SetBlockCols(4, orig_d_space->Dim());
jac_d_space_->SetCompSpace(0, 0, *orig_jac_d_space);
DBG_PRINT((1, "orig_jac_d_space = %x\n", GetRawPtr(orig_jac_d_space)))
// Blocks (0,1) and (0,2) are zero'ed out
// **NOTE: By placing "flat" identity matrices here, we are creating
// potential issues for linalg operations that arise when the original
// NLP has a "compound" d_space. To avoid problems like this,
// we place all unmodified component spaces in trivial (size 1)
// "compound" spaces.
jac_d_space_->SetCompSpace(0, 3, *identity_mat_space_nd, true);
jac_d_space_->SetCompSpace(0, 4, *identity_mat_space_nd, true);
DBG_PRINT((1, "Creating the h_space_\n"));
// matrix h
total_dim = orig_x_space->Dim() + 2 * orig_c_space->Dim() + 2 * orig_d_space->Dim();
h_space_ = new CompoundSymMatrixSpace(5, total_dim);
h_space_->SetBlockDim(0, orig_x_space->Dim());
h_space_->SetBlockDim(1, orig_c_space->Dim());
h_space_->SetBlockDim(2, orig_c_space->Dim());
h_space_->SetBlockDim(3, orig_d_space->Dim());
h_space_->SetBlockDim(4, orig_d_space->Dim());
SmartPtr<DiagMatrixSpace> DR_x_space = new DiagMatrixSpace(orig_x_space->Dim());
if( hessian_approximation_ == LIMITED_MEMORY )
{
const LowRankUpdateSymMatrixSpace* LR_h_space = static_cast<const LowRankUpdateSymMatrixSpace*>(GetRawPtr(
orig_h_space));
DBG_ASSERT(LR_h_space);
SmartPtr<LowRankUpdateSymMatrixSpace> new_orig_h_space = new LowRankUpdateSymMatrixSpace(LR_h_space->Dim(),
NULL, orig_x_space, false);
h_space_->SetCompSpace(0, 0, *new_orig_h_space, true);
}
else
{
SmartPtr<SumSymMatrixSpace> sumsym_mat_space = new SumSymMatrixSpace(orig_x_space->Dim(), 2);
sumsym_mat_space->SetTermSpace(0, *orig_h_space);
sumsym_mat_space->SetTermSpace(1, *DR_x_space);
h_space_->SetCompSpace(0, 0, *sumsym_mat_space, true);
// All remaining blocks are zero'ed out
}
///////////////////////////
// Create the bound data //
///////////////////////////
// x_L
x_L_ = x_l_space_->MakeNewCompoundVector();
x_L_->SetComp(0, *orig_ip_nlp_->x_L()); // x >= x_L
x_L_->GetCompNonConst(1)->Set(0.0); // n_c >= 0
x_L_->GetCompNonConst(2)->Set(0.0); // p_c >= 0
x_L_->GetCompNonConst(3)->Set(0.0); // n_d >= 0
x_L_->GetCompNonConst(4)->Set(0.0); // p_d >= 0
DBG_PRINT_VECTOR(2, "resto_x_L", *x_L_);
// x_U
x_U_ = x_u_space_->MakeNewCompoundVector();
x_U_->SetComp(0, *orig_ip_nlp_->x_U());
// d_L
d_L_ = d_l_space_->MakeNewCompoundVector();
d_L_->SetComp(0, *orig_ip_nlp_->d_L());
// d_U
d_U_ = d_u_space_->MakeNewCompoundVector();
d_U_->SetComp(0, *orig_ip_nlp_->d_U());
// Px_L
Px_L_ = px_l_space_->MakeNewCompoundMatrix();
Px_L_->SetComp(0, 0, *orig_ip_nlp_->Px_L());
// Identities are auto-created (true flag passed into SetCompSpace)
// Px_U
Px_U_ = px_u_space_->MakeNewCompoundMatrix();
Px_U_->SetComp(0, 0, *orig_ip_nlp_->Px_U());
// Remaining matrices will be zero'ed out
// Pd_L
//Pd_L_ = orig_ip_nlp_->Pd_L();
Pd_L_ = pd_l_space_->MakeNewCompoundMatrix();
Pd_L_->SetComp(0, 0, *orig_ip_nlp_->Pd_L());
// Pd_U
//Pd_U_ = orig_ip_nlp_->Pd_U();
Pd_U_ = pd_u_space_->MakeNewCompoundMatrix();
Pd_U_->SetComp(0, 0, *orig_ip_nlp_->Pd_U());
// Getting the NLP scaling
SmartPtr<const MatrixSpace> scaled_jac_c_space;
SmartPtr<const MatrixSpace> scaled_jac_d_space;
SmartPtr<const SymMatrixSpace> scaled_h_space;
NLP_scaling()->DetermineScaling(GetRawPtr(x_space_), c_space_, d_space_, GetRawPtr(jac_c_space_),
GetRawPtr(jac_d_space_), GetRawPtr(h_space_), scaled_jac_c_space, scaled_jac_d_space, scaled_h_space, *Px_L_,
*x_L_, *Px_U_, *x_U_);
// For now we assume that no scaling is done inside the NLP_Scaling
DBG_ASSERT(scaled_jac_c_space == jac_c_space_); DBG_ASSERT(scaled_jac_d_space == jac_d_space_); DBG_ASSERT(scaled_h_space == h_space_);
/////////////////////////////////////////////////////////////////////////
// Create and initialize the vectors for the restoration phase problem //
/////////////////////////////////////////////////////////////////////////
// Vector x
SmartPtr<CompoundVector> comp_x = x_space_->MakeNewCompoundVector();
if( init_x )
{
comp_x->GetCompNonConst(0)->Copy(*orig_ip_data_->curr()->x());
comp_x->GetCompNonConst(1)->Set(1.0);
comp_x->GetCompNonConst(2)->Set(1.0);
comp_x->GetCompNonConst(3)->Set(1.0);
comp_x->GetCompNonConst(4)->Set(1.0);
}
x = GetRawPtr(comp_x);
// Vector y_c
y_c = c_space_->MakeNew();
if( init_y_c )
{
y_c->Set(0.0); // ToDo
}
// Vector y_d
y_d = d_space_->MakeNew();
if( init_y_d )
{
y_d->Set(0.0);
}
// Vector z_L
z_L = x_l_space_->MakeNew();
if( init_z_L )
{
z_L->Set(1.0);
}
// Vector z_U
z_U = x_u_space_->MakeNew();
if( init_z_U )
{
z_U->Set(1.0);
}
// Vector v_L
v_L = d_l_space_->MakeNew();
// Vector v_U
v_U = d_u_space_->MakeNew();
// Initialize other data needed by the restoration nlp. x_ref is
// the point to reference to which we based the regularization
// term
x_ref_ = orig_x_space->MakeNew();
x_ref_->Copy(*orig_ip_data_->curr()->x());
dr_x_ = orig_x_space->MakeNew();
dr_x_->Set(1.0);
SmartPtr<Vector> tmp = dr_x_->MakeNew();
tmp->Copy(*x_ref_);
dr_x_->ElementWiseMax(*tmp);
tmp->Scal(-1.);
dr_x_->ElementWiseMax(*tmp);
dr_x_->ElementWiseReciprocal();
DBG_PRINT_VECTOR(2, "dr_x_", *dr_x_);
DR_x_ = DR_x_space->MakeNewDiagMatrix();
DR_x_->SetDiag(*dr_x_);
return true;
}
void GradientScaling::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,
Number& df,
SmartPtr<Vector>& dx,
SmartPtr<Vector>& dc,
SmartPtr<Vector>& dd)
{
DBG_ASSERT(IsValid(nlp_));
SmartPtr<Vector> x = x_space->MakeNew();
if (!nlp_->GetStartingPoint(GetRawPtr(x), 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, *grad_f)) {
Number max_grad_f = grad_f->Amax();
df = 1;
if (max_grad_f > scaling_max_gradient_) {
df = scaling_max_gradient_ / max_grad_f;
}
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;
//
// Calculate c scaling
//
SmartPtr<Matrix> jac_c = jac_c_space->MakeNew();
if (nlp_->Eval_jac_c(*x, *jac_c)) {
// ToDo: Don't use TripletHelper, have special methods on matrices instead
Index nnz = TripletHelper::GetNumberEntries(*jac_c);
Index* irow = new Index[nnz];
Index* jcol = new Index[nnz];
Number* values = new Number[nnz];
TripletHelper::FillRowCol(nnz, *jac_c, irow, jcol);
TripletHelper::FillValues(nnz, *jac_c, values);
Number* c_scaling = new Number[jac_c->NRows()];
for (Index r=0; r<jac_c->NRows(); r++) {
c_scaling[r] = 0;
}
// put the max of each row into c_scaling...
bool need_c_scale = false;
for (Index i=0; i<nnz; i++) {
if (fabs(values[i]) > scaling_max_gradient_) {
c_scaling[irow[i]-1] = Max(c_scaling[irow[i]-1], fabs(values[i]));
need_c_scale = true;
}
}
if (need_c_scale) {
// now compute the scaling factors for each row
for (Index r=0; r<jac_c->NRows(); r++) {
Number scaling = 1.0;
if (c_scaling[r] > scaling_max_gradient_) {
scaling = scaling_max_gradient_/c_scaling[r];
}
c_scaling[r] = scaling;
}
dc = c_space->MakeNew();
TripletHelper::PutValuesInVector(jac_c->NRows(), c_scaling, *dc);
if (Jnlst().ProduceOutput(J_DETAILED, J_INITIALIZATION)) {
Jnlst().Printf(J_DETAILED, J_INITIALIZATION,
"Equality constraints are scaled with smallest scaling parameter is %e\n", dc->Min());
}
}
else {
Jnlst().Printf(J_DETAILED, J_INITIALIZATION,
"Equality constraints are not scaled.\n");
dc = NULL;
}
delete [] irow;
irow = NULL;
delete [] jcol;
jcol = NULL;
delete [] values;
values = NULL;
delete [] c_scaling;
c_scaling = NULL;
}
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");
dc = NULL;
}
//
// Calculate d scaling
//
SmartPtr<Matrix> jac_d = jac_d_space->MakeNew();
if (nlp_->Eval_jac_d(*x, *jac_d)) {
Index nnz = TripletHelper::GetNumberEntries(*jac_d);
Index* irow = new Index[nnz];
Index* jcol = new Index[nnz];
Number* values = new Number[nnz];
TripletHelper::FillRowCol(nnz, *jac_d, irow, jcol);
TripletHelper::FillValues(nnz, *jac_d, values);
Number* d_scaling = new Number[jac_d->NRows()];
for (Index r=0; r<jac_d->NRows(); r++) {
d_scaling[r] = 0;
}
// put the max of each row into c_scaling...
bool need_d_scale = false;
for (Index i=0; i<nnz; i++) {
if (fabs(values[i]) > scaling_max_gradient_) {
d_scaling[irow[i]-1] = Max(d_scaling[irow[i]-1], fabs(values[i]));
need_d_scale = true;
}
}
if (need_d_scale) {
// now compute the scaling factors for each row
for (Index r=0; r<jac_d->NRows(); r++) {
Number scaling = 1.0;
if (d_scaling[r] > scaling_max_gradient_) {
scaling = scaling_max_gradient_/d_scaling[r];
}
d_scaling[r] = scaling;
}
dd = d_space->MakeNew();
TripletHelper::PutValuesInVector(jac_d->NRows(), d_scaling, *dd);
if (Jnlst().ProduceOutput(J_DETAILED, J_INITIALIZATION)) {
Jnlst().Printf(J_DETAILED, J_INITIALIZATION,
"Inequality constraints are scaled with smallest scaling parameter is %e\n", dd->Min());
}
}
else {
dd = NULL;
Jnlst().Printf(J_DETAILED, J_INITIALIZATION,
"Inequality constraints are not scaled.\n");
}
delete [] irow;
irow = NULL;
delete [] jcol;
jcol = NULL;
delete [] values;
values = NULL;
delete [] d_scaling;
d_scaling = NULL;
}
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");
dd = NULL;
}
}
Number IpoptAlgorithm::correct_bound_multiplier(
const Vector& trial_z,
const Vector& trial_slack,
const Vector& trial_compl,
SmartPtr<const Vector>& new_trial_z)
{
DBG_START_METH("IpoptAlgorithm::CorrectBoundMultiplier",
dbg_verbosity);
if (kappa_sigma_<1. || trial_z.Dim()==0) {
new_trial_z = &trial_z;
return 0.;
}
// We choose as barrier parameter to be used either the current
// algorithmic barrier parameter (if we are not in the free mode),
// or the average complementarity (at the trial point)
Number mu;
if (IpData().FreeMuMode()) {
mu = IpCq().trial_avrg_compl();
mu = Min(mu, 1e3);
}
else {
mu = IpData().curr_mu();
}
DBG_PRINT((1,"mu = %8.2e\n", mu));
DBG_PRINT_VECTOR(2, "trial_z", trial_z);
// First check quickly if anything need to be corrected, using the
// trial complementarity directly. Here, Amax is the same as Max
// (and we use Amax because that can be used later)
if (trial_compl.Amax() <= kappa_sigma_*mu &&
trial_compl.Min() >= 1./kappa_sigma_*mu) {
new_trial_z = &trial_z;
return 0.;
}
SmartPtr<Vector> one_over_s = trial_z.MakeNew();
one_over_s->Copy(trial_slack);
one_over_s->ElementWiseReciprocal();
SmartPtr<Vector> step_z = trial_z.MakeNew();
step_z->AddTwoVectors(kappa_sigma_*mu, *one_over_s, -1., trial_z, 0.);
DBG_PRINT_VECTOR(2, "step_z", *step_z);
Number max_correction_up = Max(0., -step_z->Min());
if (max_correction_up>0.) {
SmartPtr<Vector> tmp = trial_z.MakeNew();
tmp->Set(0.);
step_z->ElementWiseMin(*tmp);
tmp->AddTwoVectors(1., trial_z, 1., *step_z, 0.);
new_trial_z = GetRawPtr(tmp);
}
else {
new_trial_z = &trial_z;
}
step_z->AddTwoVectors(1./kappa_sigma_*mu, *one_over_s, -1., *new_trial_z, 0.);
Number max_correction_low = Max(0., step_z->Max());
if (max_correction_low>0.) {
SmartPtr<Vector> tmp = trial_z.MakeNew();
tmp->Set(0.);
step_z->ElementWiseMax(*tmp);
tmp->AddTwoVectors(1., *new_trial_z, 1., *step_z, 0.);
new_trial_z = GetRawPtr(tmp);
}
DBG_PRINT_VECTOR(2, "new_trial_z", *new_trial_z);
return Max(max_correction_up, max_correction_low);
}
void BonminInterface::solve(void* mem) const {
auto m = static_cast<BonminMemory*>(mem);
// Check the provided inputs
checkInputs(mem);
// Reset statistics
m->inf_pr.clear();
m->inf_du.clear();
m->mu.clear();
m->d_norm.clear();
m->regularization_size.clear();
m->alpha_pr.clear();
m->alpha_du.clear();
m->obj.clear();
m->ls_trials.clear();
// Reset number of iterations
m->n_iter = 0;
// Statistics
for (auto&& s : m->fstats) s.second.reset();
// MINLP instance
SmartPtr<BonminUserClass> tminlp = new BonminUserClass(*this, m);
BonMinMessageHandler mh;
// Start an BONMIN application
BonminSetup bonmin(&mh);
SmartPtr<OptionsList> options = new OptionsList();
SmartPtr<Journalist> journalist= new Journalist();
SmartPtr<Bonmin::RegisteredOptions> roptions = new Bonmin::RegisteredOptions();
{
// Direct output through casadi::userOut()
StreamJournal* jrnl_raw = new StreamJournal("console", J_ITERSUMMARY);
jrnl_raw->SetOutputStream(&casadi::userOut());
jrnl_raw->SetPrintLevel(J_DBG, J_NONE);
SmartPtr<Journal> jrnl = jrnl_raw;
journalist->AddJournal(jrnl);
}
options->SetJournalist(journalist);
options->SetRegisteredOptions(roptions);
bonmin.setOptionsAndJournalist(roptions, options, journalist);
bonmin.registerOptions();
// Initialize
bonmin.initialize(GetRawPtr(tminlp));
m->fstats.at("mainloop").tic();
if (true) {
// Branch-and-bound
Bab bb;
bb(bonmin);
}
//m->return_status = return_status_string(status);
m->fstats.at("mainloop").toc();
// Save results to outputs
casadi_copy(&m->fk, 1, m->f);
casadi_copy(m->xk, nx_, m->x);
casadi_copy(m->lam_gk, ng_, m->lam_g);
casadi_copy(m->lam_xk, nx_, m->lam_x);
casadi_copy(m->gk, ng_, m->g);
}
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];
#if defined(COINHSL_HAS_MC19) || defined(HAVE_LINEARSOLVERLOADER)
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;
}
SmartPtr<IpoptAlgorithm>
AlgorithmBuilder::BuildBasicAlgorithm(const Journalist& jnlst,
const OptionsList& options,
const std::string& prefix)
{
DBG_START_FUN("AlgorithmBuilder::BuildBasicAlgorithm",
dbg_verbosity);
bool mehrotra_algorithm;
options.GetBoolValue("mehrotra_algorithm", mehrotra_algorithm, prefix);
// Create the convergence check
SmartPtr<ConvergenceCheck> convCheck =
new OptimalityErrorConvergenceCheck();
// Create the solvers that will be used by the main algorithm
SmartPtr<SparseSymLinearSolverInterface> SolverInterface;
std::string linear_solver;
options.GetStringValue("linear_solver", linear_solver, prefix);
bool use_custom_solver = false;
if (linear_solver=="ma27") {
#ifndef COINHSL_HAS_MA27
# ifdef HAVE_LINEARSOLVERLOADER
SolverInterface = new Ma27TSolverInterface();
if (!LSL_isMA27available()) {
char buf[256];
int rc = LSL_loadHSL(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear solver MA27 not available.\nTried to obtain MA27 from shared library \"";
errmsg += LSL_HSLLibraryName();
errmsg += "\", but the following error occured:\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for MA27 has not been compiled into Ipopt.");
# endif
#else
SolverInterface = new Ma27TSolverInterface();
#endif
}
else if (linear_solver=="ma57") {
#ifndef COINHSL_HAS_MA57
# ifdef HAVE_LINEARSOLVERLOADER
SolverInterface = new Ma57TSolverInterface();
if (!LSL_isMA57available()) {
char buf[256];
int rc = LSL_loadHSL(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear solver MA57 not available.\nTried to obtain MA57 from shared library \"";
errmsg += LSL_HSLLibraryName();
errmsg += "\", but the following error occured:\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for MA57 has not been compiled into Ipopt.");
# endif
#else
SolverInterface = new Ma57TSolverInterface();
#endif
}
else if (linear_solver=="ma77") {
#ifndef COINHSL_HAS_MA77
# ifdef HAVE_LINEARSOLVERLOADER
SolverInterface = new Ma77SolverInterface();
if (!LSL_isMA77available()) {
char buf[256];
int rc = LSL_loadHSL(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear solver HSL_MA77 not available.\nTried to obtain HSL_MA77 from shared library \"";
errmsg += LSL_HSLLibraryName();
errmsg += "\", but the following error occured:\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for HSL_MA77 has not been compiled into Ipopt.");
# endif
#else
SolverInterface = new Ma77SolverInterface();
#endif
}
else if (linear_solver=="ma86") {
#ifndef COINHSL_HAS_MA86
# ifdef HAVE_LINEARSOLVERLOADER
SolverInterface = new Ma86SolverInterface();
if (!LSL_isMA86available()) {
char buf[256];
int rc = LSL_loadHSL(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear solver HSL_MA86 not available.\nTried to obtain HSL_MA86 from shared library \"";
errmsg += LSL_HSLLibraryName();
errmsg += "\", but the following error occured:\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for HSL_MA86 has not been compiled into Ipopt.");
# endif
#else
SolverInterface = new Ma86SolverInterface();
#endif
}
else if (linear_solver=="pardiso") {
#ifndef HAVE_PARDISO
# ifdef HAVE_LINEARSOLVERLOADER
SolverInterface = new PardisoSolverInterface();
char buf[256];
int rc = LSL_loadPardisoLib(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear solver Pardiso not available.\nTried to obtain Pardiso from shared library \"";
errmsg += LSL_PardisoLibraryName();
errmsg += "\", but the following error occured:\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for Pardiso has not been compiled into Ipopt.");
# endif
#else
SolverInterface = new PardisoSolverInterface();
#endif
}
else if (linear_solver=="ma97") {
#ifndef COINHSL_HAS_MA97
# ifdef HAVE_LINEARSOLVERLOADER
SolverInterface = new Ma97SolverInterface();
if (!LSL_isMA97available()) {
char buf[256];
int rc = LSL_loadHSL(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear solver HSL_MA97 not available.\nTried to obtain HSL_MA97 from shared library \"";
errmsg += LSL_HSLLibraryName();
errmsg += "\", but the following error occured:\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for HSL_MA97 has not been compiled into Ipopt.");
# endif
#else
SolverInterface = new Ma97SolverInterface();
#endif
}
else if (linear_solver=="wsmp") {
#ifdef HAVE_WSMP
bool wsmp_iterative;
options.GetBoolValue("wsmp_iterative", wsmp_iterative, prefix);
if (wsmp_iterative) {
SolverInterface = new IterativeWsmpSolverInterface();
}
else {
SolverInterface = new WsmpSolverInterface();
}
#else
THROW_EXCEPTION(OPTION_INVALID,
"Selected linear solver WSMP not available.");
#endif
}
else if (linear_solver=="mumps") {
#ifdef COIN_HAS_MUMPS
SolverInterface = new MumpsSolverInterface();
#else
THROW_EXCEPTION(OPTION_INVALID,
"Selected linear solver MUMPS not available.");
#endif
}
else if (linear_solver=="custom") {
ASSERT_EXCEPTION(IsValid(custom_solver_), OPTION_INVALID,
"Selected linear solver CUSTOM not available.");
use_custom_solver = true;
}
SmartPtr<AugSystemSolver> AugSolver;
if (use_custom_solver) {
AugSolver = custom_solver_;
}
else {
SmartPtr<TSymScalingMethod> ScalingMethod;
std::string linear_system_scaling;
if (!options.GetStringValue("linear_system_scaling",
linear_system_scaling, prefix)) {
// By default, don't use mc19 for non-HSL solvers, or HSL_MA97
if (linear_solver!="ma27" && linear_solver!="ma57" && linear_solver!="ma77" && linear_solver!="ma86") {
linear_system_scaling="none";
}
}
if (linear_system_scaling=="mc19") {
#ifndef COINHSL_HAS_MC19
# ifdef HAVE_LINEARSOLVERLOADER
ScalingMethod = new Mc19TSymScalingMethod();
if (!LSL_isMC19available()) {
char buf[256];
int rc = LSL_loadHSL(NULL, buf, 255);
if (rc) {
std::string errmsg;
errmsg = "Selected linear system scaling method MC19 not available.\n";
errmsg += buf;
THROW_EXCEPTION(OPTION_INVALID, errmsg.c_str());
}
}
# else
THROW_EXCEPTION(OPTION_INVALID, "Support for MC19 has not been compiled into Ipopt.");
# endif
#else
ScalingMethod = new Mc19TSymScalingMethod();
#endif
}
else if (linear_system_scaling=="slack-based") {
ScalingMethod = new SlackBasedTSymScalingMethod();
}
SmartPtr<SymLinearSolver> ScaledSolver =
new TSymLinearSolver(SolverInterface, ScalingMethod);
AugSolver = new StdAugSystemSolver(*ScaledSolver);
}
Index enum_int;
options.GetEnumValue("hessian_approximation", enum_int, prefix);
HessianApproximationType hessian_approximation =
HessianApproximationType(enum_int);
if (hessian_approximation==LIMITED_MEMORY) {
std::string lm_aug_solver;
options.GetStringValue("limited_memory_aug_solver", lm_aug_solver,
prefix);
if (lm_aug_solver == "sherman-morrison") {
AugSolver = new LowRankAugSystemSolver(*AugSolver);
}
else if (lm_aug_solver == "extended") {
Index lm_history;
options.GetIntegerValue("limited_memory_max_history", lm_history,
prefix);
Index max_rank;
std::string lm_type;
options.GetStringValue("limited_memory_update_type", lm_type, prefix);
if (lm_type == "bfgs") {
max_rank = 2*lm_history;
}
else if (lm_type == "sr1") {
max_rank = lm_history;
}
else {
THROW_EXCEPTION(OPTION_INVALID, "Unknown value for option \"limited_memory_update_type\".");
}
AugSolver = new LowRankSSAugSystemSolver(*AugSolver, max_rank);
}
else {
THROW_EXCEPTION(OPTION_INVALID, "Unknown value for option \"limited_memory_aug_solver\".");
}
}
SmartPtr<PDPerturbationHandler> pertHandler;
std::string lsmethod;
options.GetStringValue("line_search_method", lsmethod, prefix);
if (lsmethod=="cg-penalty") {
pertHandler = new CGPerturbationHandler();
}
else {
pertHandler = new PDPerturbationHandler();
}
SmartPtr<PDSystemSolver> PDSolver =
new PDFullSpaceSolver(*AugSolver, *pertHandler);
// Create the object for initializing the iterates Initialization
// object. We include both the warm start and the defaut
// initializer, so that the warm start options can be activated
// without having to rebuild the algorithm
SmartPtr<EqMultiplierCalculator> EqMultCalculator =
new LeastSquareMultipliers(*AugSolver);
SmartPtr<IterateInitializer> WarmStartInitializer =
new WarmStartIterateInitializer();
SmartPtr<IterateInitializer> IterInitializer =
new DefaultIterateInitializer(EqMultCalculator, WarmStartInitializer,
AugSolver);
SmartPtr<RestorationPhase> resto_phase;
SmartPtr<RestoConvergenceCheck> resto_convCheck;
// We only need a restoration phase object if we use the filter
// line search
if (lsmethod=="filter" || lsmethod=="penalty") {
// Solver for the restoration phase
SmartPtr<AugSystemSolver> resto_AugSolver =
new AugRestoSystemSolver(*AugSolver);
SmartPtr<PDPerturbationHandler> resto_pertHandler =
new PDPerturbationHandler();
SmartPtr<PDSystemSolver> resto_PDSolver =
new PDFullSpaceSolver(*resto_AugSolver, *resto_pertHandler);
// Convergence check in the restoration phase
if (lsmethod=="filter") {
resto_convCheck = new RestoFilterConvergenceCheck();
}
else if (lsmethod=="penalty") {
resto_convCheck = new RestoPenaltyConvergenceCheck();
}
// Line search method for the restoration phase
SmartPtr<RestoRestorationPhase> resto_resto =
new RestoRestorationPhase();
SmartPtr<BacktrackingLSAcceptor> resto_LSacceptor;
std::string resto_lsacceptor;
options.GetStringValue("line_search_method", resto_lsacceptor,
"resto."+prefix);
if (resto_lsacceptor=="filter") {
resto_LSacceptor = new FilterLSAcceptor(GetRawPtr(resto_PDSolver));
}
else if (resto_lsacceptor=="cg-penalty") {
resto_LSacceptor = new CGPenaltyLSAcceptor(GetRawPtr(resto_PDSolver));
}
else if (resto_lsacceptor=="penalty") {
resto_LSacceptor = new PenaltyLSAcceptor(GetRawPtr(resto_PDSolver));
}
SmartPtr<LineSearch> resto_LineSearch =
new BacktrackingLineSearch(resto_LSacceptor, GetRawPtr(resto_resto),
GetRawPtr(resto_convCheck));
// Create the mu update that will be used by the restoration phase
// algorithm
SmartPtr<MuUpdate> resto_MuUpdate;
std::string resto_smuupdate;
if (!options.GetStringValue("mu_strategy", resto_smuupdate, "resto."+prefix)) {
// Change default for quasi-Newton option (then we use adaptive)
Index enum_int;
if (options.GetEnumValue("hessian_approximation", enum_int, prefix)) {
HessianApproximationType hessian_approximation =
HessianApproximationType(enum_int);
if (hessian_approximation==LIMITED_MEMORY) {
resto_smuupdate = "adaptive";
}
}
}
std::string resto_smuoracle;
std::string resto_sfixmuoracle;
if (resto_smuupdate=="adaptive" ) {
options.GetStringValue("mu_oracle", resto_smuoracle, "resto."+prefix);
options.GetStringValue("fixed_mu_oracle", resto_sfixmuoracle, "resto."+prefix);
}
if (resto_smuupdate=="monotone" ) {
resto_MuUpdate = new MonotoneMuUpdate(GetRawPtr(resto_LineSearch));
}
else if (resto_smuupdate=="adaptive") {
SmartPtr<MuOracle> resto_MuOracle;
if (resto_smuoracle=="loqo") {
resto_MuOracle = new LoqoMuOracle();
}
else if (resto_smuoracle=="probing") {
resto_MuOracle = new ProbingMuOracle(resto_PDSolver);
}
else if (resto_smuoracle=="quality-function") {
resto_MuOracle = new QualityFunctionMuOracle(resto_PDSolver);
}
SmartPtr<MuOracle> resto_FixMuOracle;
if (resto_sfixmuoracle=="loqo") {
resto_FixMuOracle = new LoqoMuOracle();
}
else if (resto_sfixmuoracle=="probing") {
resto_FixMuOracle = new ProbingMuOracle(resto_PDSolver);
}
else if (resto_sfixmuoracle=="quality-function") {
resto_FixMuOracle = new QualityFunctionMuOracle(resto_PDSolver);
}
else {
resto_FixMuOracle = NULL;
}
resto_MuUpdate =
new AdaptiveMuUpdate(GetRawPtr(resto_LineSearch),
resto_MuOracle, resto_FixMuOracle);
}
// Initialization of the iterates for the restoration phase
SmartPtr<EqMultiplierCalculator> resto_EqMultCalculator =
new LeastSquareMultipliers(*resto_AugSolver);
SmartPtr<IterateInitializer> resto_IterInitializer =
new RestoIterateInitializer(resto_EqMultCalculator);
// Create the object for the iteration output during restoration
SmartPtr<OrigIterationOutput> resto_OrigIterOutput = NULL;
// new OrigIterationOutput();
SmartPtr<IterationOutput> resto_IterOutput =
new RestoIterationOutput(resto_OrigIterOutput);
// Get the Hessian updater for the restoration phase
SmartPtr<HessianUpdater> resto_HessUpdater;
switch (hessian_approximation) {
case EXACT:
resto_HessUpdater = new ExactHessianUpdater();
break;
case LIMITED_MEMORY:
// ToDo This needs to be replaced!
resto_HessUpdater = new LimMemQuasiNewtonUpdater(true);
break;
}
// Put together the overall restoration phase IP algorithm
SmartPtr<SearchDirectionCalculator> resto_SearchDirCalc;
if (resto_lsacceptor=="cg-penalty") {
resto_SearchDirCalc = new CGSearchDirCalculator(GetRawPtr(resto_PDSolver));
}
else {
resto_SearchDirCalc = new PDSearchDirCalculator(GetRawPtr(resto_PDSolver));
}
SmartPtr<IpoptAlgorithm> resto_alg =
new IpoptAlgorithm(resto_SearchDirCalc,
GetRawPtr(resto_LineSearch),
GetRawPtr(resto_MuUpdate),
GetRawPtr(resto_convCheck),
resto_IterInitializer,
resto_IterOutput,
resto_HessUpdater,
resto_EqMultCalculator);
// Set the restoration phase
resto_phase =
new MinC_1NrmRestorationPhase(*resto_alg, EqMultCalculator);
}
// Create the line search to be used by the main algorithm
SmartPtr<BacktrackingLSAcceptor> LSacceptor;
if (lsmethod=="filter") {
LSacceptor = new FilterLSAcceptor(GetRawPtr(PDSolver));
}
else if (lsmethod=="cg-penalty") {
LSacceptor = new CGPenaltyLSAcceptor(GetRawPtr(PDSolver));
}
else if (lsmethod=="penalty") {
LSacceptor = new PenaltyLSAcceptor(GetRawPtr(PDSolver));
}
SmartPtr<LineSearch> lineSearch =
new BacktrackingLineSearch(LSacceptor,
GetRawPtr(resto_phase), convCheck);
// The following cross reference is not good: We have to store a
// pointer to the lineSearch object in resto_convCheck as a
// non-SmartPtr to make sure that things are properly deleted when
// the IpoptAlgorithm return by the Builder is destructed.
if (IsValid(resto_convCheck)) {
resto_convCheck->SetOrigLSAcceptor(*LSacceptor);
}
// Create the mu update that will be used by the main algorithm
SmartPtr<MuUpdate> MuUpdate;
std::string smuupdate;
if (!options.GetStringValue("mu_strategy", smuupdate, prefix)) {
// Change default for quasi-Newton option (then we use adaptive)
Index enum_int;
if (options.GetEnumValue("hessian_approximation", enum_int, prefix)) {
HessianApproximationType hessian_approximation =
HessianApproximationType(enum_int);
if (hessian_approximation==LIMITED_MEMORY) {
smuupdate = "adaptive";
}
}
if (mehrotra_algorithm)
smuupdate = "adaptive";
}
ASSERT_EXCEPTION(!mehrotra_algorithm || smuupdate=="adaptive",
OPTION_INVALID,
"If mehrotra_algorithm=yes, mu_strategy must be \"adaptive\".");
std::string smuoracle;
std::string sfixmuoracle;
if (smuupdate=="adaptive" ) {
if (!options.GetStringValue("mu_oracle", smuoracle, prefix)) {
if (mehrotra_algorithm)
smuoracle = "probing";
}
options.GetStringValue("fixed_mu_oracle", sfixmuoracle, prefix);
ASSERT_EXCEPTION(!mehrotra_algorithm || smuoracle=="probing",
OPTION_INVALID,
"If mehrotra_algorithm=yes, mu_oracle must be \"probing\".");
}
if (smuupdate=="monotone" ) {
MuUpdate = new MonotoneMuUpdate(GetRawPtr(lineSearch));
}
else if (smuupdate=="adaptive") {
SmartPtr<MuOracle> muOracle;
if (smuoracle=="loqo") {
muOracle = new LoqoMuOracle();
}
else if (smuoracle=="probing") {
muOracle = new ProbingMuOracle(PDSolver);
}
else if (smuoracle=="quality-function") {
muOracle = new QualityFunctionMuOracle(PDSolver);
}
SmartPtr<MuOracle> FixMuOracle;
if (sfixmuoracle=="loqo") {
FixMuOracle = new LoqoMuOracle();
}
else if (sfixmuoracle=="probing") {
FixMuOracle = new ProbingMuOracle(PDSolver);
}
else if (sfixmuoracle=="quality-function") {
FixMuOracle = new QualityFunctionMuOracle(PDSolver);
}
else {
FixMuOracle = NULL;
}
MuUpdate = new AdaptiveMuUpdate(GetRawPtr(lineSearch),
muOracle, FixMuOracle);
}
// Create the object for the iteration output
SmartPtr<IterationOutput> IterOutput =
new OrigIterationOutput();
// Get the Hessian updater for the main algorithm
SmartPtr<HessianUpdater> HessUpdater;
switch (hessian_approximation) {
case EXACT:
HessUpdater = new ExactHessianUpdater();
break;
case LIMITED_MEMORY:
// ToDo This needs to be replaced!
HessUpdater = new LimMemQuasiNewtonUpdater(false);
break;
}
// Create the main algorithm
SmartPtr<SearchDirectionCalculator> SearchDirCalc;
if (lsmethod=="cg-penalty") {
SearchDirCalc = new CGSearchDirCalculator(GetRawPtr(PDSolver));
}
else {
SearchDirCalc = new PDSearchDirCalculator(GetRawPtr(PDSolver));
}
SmartPtr<IpoptAlgorithm> alg =
new IpoptAlgorithm(SearchDirCalc,
GetRawPtr(lineSearch), MuUpdate,
convCheck, IterInitializer, IterOutput,
HessUpdater, EqMultCalculator);
return alg;
}
/** Output Latex table of options.*/
void
RegisteredOptions::writeLatexOptionsTable(std::ostream &of, ExtraCategoriesInfo which){
std::map<std::string, Ipopt::SmartPtr<Ipopt::RegisteredOption> >
registered_options = RegisteredOptionsList();
//Print table header
//of<<"\\begin{threeparttable}"<<std::endl
of<<"\\topcaption{\\label{tab:options} "<<std::endl
<<"List of options and compatibility with the different algorithms."<<std::endl
<<"}"<<std::endl;
of<<"\\tablehead{\\hline "<<std::endl
<<"Option & type & ";
//of<<" default & ";
of<<"{\\tt B-BB} & {\\tt B-OA} & {\\tt B-QG} & {\\tt B-Hyb} & {\\tt B-Ecp} & {\\tt B-iFP} & {\\tt Cbc\\_Par} \\\\"<<std::endl
<<"\\hline"<<std::endl
<<"\\hline}"<<std::endl;
of<<"\\tabletail{\\hline \\multicolumn{9}{|c|}{continued on next page}\\\\"
<<"\\hline}"<<std::endl;
of<<"\\tablelasttail{\\hline}"<<std::endl;
of<<"{\\footnotesize"<<std::endl;
of<<"\\begin{xtabular}{@{}|@{\\;}l@{\\;}|@{\\;}r@{\\;}|@{\\;}c@{\\;}|@{\\;}c@{\\;}|@{\\;}c@{\\;}|@{\\;}c@{\\;}|@{\\;}c@{\\;}|@{\\;}c@{\\;}|@{\\;}c@{\\;}|@{}}"<<std::endl;
//sort options by categories and alphabetical order
std::list< Ipopt::RegisteredOption * > sortedOptions;
for(std::map<std::string, Ipopt::SmartPtr<Ipopt::RegisteredOption > >::iterator i =
registered_options.begin(); i != registered_options.end() ; i++){
if(categoriesInfo(i->second->RegisteringCategory()) == which)
sortedOptions.push_back(GetRawPtr(i->second));
}
sortedOptions.sort(optionsCmp());
std::string registeringCategory = "";
for(std::list< Ipopt::RegisteredOption * >::iterator i = sortedOptions.begin();
i != sortedOptions.end() ; i++)
{
if((*i)->RegisteringCategory() != registeringCategory){
registeringCategory = (*i)->RegisteringCategory();
of<<"\\hline"<<std::endl
<<"\\multicolumn{1}{|c}{} & \\multicolumn{8}{l|}{"
<<registeringCategory<<"}\\\\"<<std::endl
<<"\\hline"<<std::endl;
}
of<<makeLatex((*i)->Name())<<"& "<<OptionType2Char((*i)->Type())//<<"& "
//<<makeLatex(defaultAsString(*i))
<<"& "<<( (isValidForBBB((*i)->Name()))? "$\\surd$" : "-" )
<<"& "<<( (isValidForBOA((*i)->Name()))? "$\\surd$" : "-" )
<<"& "<<( (isValidForBQG((*i)->Name()))? "$\\surd$" : "-" )
<<"& "<<( (isValidForHybrid((*i)->Name()))? "$\\surd$" : "-" )
<<"& "<<( (isValidForBEcp((*i)->Name()))? "$\\surd$" : "-" )
<<"& "<<( (isValidForBiFP((*i)->Name()))? "$\\surd$" : "-" )
<<"& "<<( (isValidForCbc((*i)->Name()))? "$\\surd$" : "-" )
<<"\\\\"<<std::endl;
}
//Print table end
of<<"\\hline"<<std::endl
<<"\\end{xtabular}"<<std::endl;
of<<"}"<<std::endl;
#if 0
of<<"\\begin{tablenotes}"<<std::endl
<<"\\item $\\strut^*$ option is available"<<std::endl
<<" for MILP subsolver (it is only passed if the {\\tt milp\\_subsolver} optio"<<std::endl
<<" see Subsection \\ref{sec:milp_opt})."<<std::endl
<<" \\item $\\strut^1$ disabled for stability reasons."<<std::endl
<<"\\end{tablenotes}"<<std::endl
<<"\\end{threeparttable} "<<std::endl;
#endif
}
inline Vector* Vec(Index i)
{
DBG_ASSERT(i < NCols());
DBG_ASSERT(IsValid(non_const_vecs_[i]));
return GetRawPtr(non_const_vecs_[i]);
}
virtual SmartPtr<const VectorSpace> x_space() const
{
return GetRawPtr(x_space_);
}
SmartPtr<LineSearch> AlgorithmBuilder::BuildLineSearch(
const Journalist& jnlst,
const OptionsList& options,
const std::string& prefix
)
{
DBG_ASSERT(IsValid(ConvCheck_));
DBG_ASSERT(IsValid(EqMultCalculator_));
Index enum_int;
options.GetEnumValue("hessian_approximation", enum_int, prefix);
HessianApproximationType hessian_approximation = HessianApproximationType(enum_int);
SmartPtr<RestorationPhase> resto_phase;
SmartPtr<RestoConvergenceCheck> resto_convCheck;
// We only need a restoration phase object if we use the filter
// line search
std::string lsmethod;
options.GetStringValue("line_search_method", lsmethod, prefix);
if( lsmethod == "filter" || lsmethod == "penalty" )
{
// Solver for the restoration phase
SmartPtr<AugSystemSolver> resto_AugSolver = new AugRestoSystemSolver(*GetAugSystemSolver(jnlst, options, prefix));
SmartPtr<PDPerturbationHandler> resto_pertHandler = new PDPerturbationHandler();
SmartPtr<PDSystemSolver> resto_PDSolver = new PDFullSpaceSolver(*resto_AugSolver, *resto_pertHandler);
// Convergence check in the restoration phase
if( lsmethod == "filter" )
{
resto_convCheck = new RestoFilterConvergenceCheck();
}
else if( lsmethod == "penalty" )
{
resto_convCheck = new RestoPenaltyConvergenceCheck();
}
// Line search method for the restoration phase
SmartPtr<RestoRestorationPhase> resto_resto = new RestoRestorationPhase();
SmartPtr<BacktrackingLSAcceptor> resto_LSacceptor;
std::string resto_lsacceptor;
options.GetStringValue("line_search_method", resto_lsacceptor, "resto." + prefix);
if( resto_lsacceptor == "filter" )
{
resto_LSacceptor = new FilterLSAcceptor(GetRawPtr(resto_PDSolver));
}
else if( resto_lsacceptor == "cg-penalty" )
{
resto_LSacceptor = new CGPenaltyLSAcceptor(GetRawPtr(resto_PDSolver));
}
else if( resto_lsacceptor == "penalty" )
{
resto_LSacceptor = new PenaltyLSAcceptor(GetRawPtr(resto_PDSolver));
}
SmartPtr<LineSearch> resto_LineSearch = new BacktrackingLineSearch(resto_LSacceptor, GetRawPtr(resto_resto),
GetRawPtr(resto_convCheck));
// Create the mu update that will be used by the restoration phase
// algorithm
SmartPtr<MuUpdate> resto_MuUpdate;
std::string resto_smuupdate;
if( !options.GetStringValue("mu_strategy", resto_smuupdate, "resto." + prefix) )
{
// Change default for quasi-Newton option (then we use adaptive)
if( hessian_approximation == LIMITED_MEMORY )
{
resto_smuupdate = "adaptive";
}
}
std::string resto_smuoracle;
std::string resto_sfixmuoracle;
if( resto_smuupdate == "adaptive" )
{
options.GetStringValue("mu_oracle", resto_smuoracle, "resto." + prefix);
options.GetStringValue("fixed_mu_oracle", resto_sfixmuoracle, "resto." + prefix);
}
if( resto_smuupdate == "monotone" )
{
resto_MuUpdate = new MonotoneMuUpdate(GetRawPtr(resto_LineSearch));
}
else if( resto_smuupdate == "adaptive" )
{
SmartPtr<MuOracle> resto_MuOracle;
if( resto_smuoracle == "loqo" )
{
resto_MuOracle = new LoqoMuOracle();
}
else if( resto_smuoracle == "probing" )
{
resto_MuOracle = new ProbingMuOracle(resto_PDSolver);
}
else if( resto_smuoracle == "quality-function" )
{
resto_MuOracle = new QualityFunctionMuOracle(resto_PDSolver);
}
SmartPtr<MuOracle> resto_FixMuOracle;
if( resto_sfixmuoracle == "loqo" )
{
resto_FixMuOracle = new LoqoMuOracle();
}
else if( resto_sfixmuoracle == "probing" )
{
resto_FixMuOracle = new ProbingMuOracle(resto_PDSolver);
}
else if( resto_sfixmuoracle == "quality-function" )
{
resto_FixMuOracle = new QualityFunctionMuOracle(resto_PDSolver);
}
else
{
resto_FixMuOracle = NULL;
}
resto_MuUpdate = new AdaptiveMuUpdate(GetRawPtr(resto_LineSearch), resto_MuOracle, resto_FixMuOracle);
}
// Initialization of the iterates for the restoration phase
SmartPtr<EqMultiplierCalculator> resto_EqMultCalculator = new LeastSquareMultipliers(*resto_AugSolver);
SmartPtr<IterateInitializer> resto_IterInitializer = new RestoIterateInitializer(resto_EqMultCalculator);
// Create the object for the iteration output during restoration
SmartPtr<OrigIterationOutput> resto_OrigIterOutput = NULL;
// new OrigIterationOutput();
SmartPtr<IterationOutput> resto_IterOutput = new RestoIterationOutput(resto_OrigIterOutput);
// Get the Hessian updater for the restoration phase
SmartPtr<HessianUpdater> resto_HessUpdater;
switch( hessian_approximation )
{
case EXACT:
resto_HessUpdater = new ExactHessianUpdater();
break;
case LIMITED_MEMORY:
// ToDo This needs to be replaced!
resto_HessUpdater = new LimMemQuasiNewtonUpdater(true);
break;
}
// Put together the overall restoration phase IP algorithm
SmartPtr<SearchDirectionCalculator> resto_SearchDirCalc;
if( resto_lsacceptor == "cg-penalty" )
{
resto_SearchDirCalc = new CGSearchDirCalculator(GetRawPtr(resto_PDSolver));
}
else
{
resto_SearchDirCalc = new PDSearchDirCalculator(GetRawPtr(resto_PDSolver));
}
SmartPtr<IpoptAlgorithm> resto_alg = new IpoptAlgorithm(resto_SearchDirCalc, GetRawPtr(resto_LineSearch),
GetRawPtr(resto_MuUpdate), GetRawPtr(resto_convCheck), resto_IterInitializer, resto_IterOutput,
resto_HessUpdater, resto_EqMultCalculator);
// Set the restoration phase
resto_phase = new MinC_1NrmRestorationPhase(*resto_alg, EqMultCalculator_);
}
// Create the line search to be used by the main algorithm
SmartPtr<BacktrackingLSAcceptor> LSacceptor;
if( lsmethod == "filter" )
{
LSacceptor = new FilterLSAcceptor(GetRawPtr(GetPDSystemSolver(jnlst, options, prefix)));
}
else if( lsmethod == "cg-penalty" )
{
LSacceptor = new CGPenaltyLSAcceptor(GetRawPtr(GetPDSystemSolver(jnlst, options, prefix)));
}
else if( lsmethod == "penalty" )
{
LSacceptor = new PenaltyLSAcceptor(GetRawPtr(GetPDSystemSolver(jnlst, options, prefix)));
}
SmartPtr<LineSearch> LineSearch = new BacktrackingLineSearch(LSacceptor, GetRawPtr(resto_phase), ConvCheck_);
// The following cross reference is not good: We have to store a
// pointer to the LineSearch_ object in resto_convCheck as a
// non-SmartPtr to make sure that things are properly deleted when
// the IpoptAlgorithm returned by the Builder is destructed.
if( IsValid(resto_convCheck) )
{
resto_convCheck->SetOrigLSAcceptor(*LSacceptor);
}
return LineSearch;
}
void StandardScalingBase::DetermineScaling(
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,
SmartPtr<const MatrixSpace>& new_jac_c_space,
SmartPtr<const MatrixSpace>& new_jac_d_space,
SmartPtr<const SymMatrixSpace>& new_h_space)
{
SmartPtr<Vector> dc;
SmartPtr<Vector> dd;
DetermineScalingParametersImpl(x_space, c_space, d_space,
jac_c_space, jac_d_space,
h_space, df_, dx_, dc, dd);
df_ *= obj_scaling_factor_;
if (Jnlst().ProduceOutput(J_VECTOR, J_MAIN)) {
Jnlst().Printf(J_VECTOR, J_MAIN, "objective scaling factor = %g\n", df_);
if (IsValid(dx_)) {
dx_->Print(Jnlst(), J_VECTOR, J_MAIN, "x scaling vector");
}
else {
Jnlst().Printf(J_VECTOR, J_MAIN, "No x scaling provided\n");
}
if (IsValid(dc)) {
dc->Print(Jnlst(), J_VECTOR, J_MAIN, "c scaling vector");
}
else {
Jnlst().Printf(J_VECTOR, J_MAIN, "No c scaling provided\n");
}
if (IsValid(dd)) {
dd->Print(Jnlst(), J_VECTOR, J_MAIN, "d scaling vector");
}
else {
Jnlst().Printf(J_VECTOR, J_MAIN, "No d scaling provided\n");
}
}
// create the scaling matrix spaces
if (IsValid(dx_) || IsValid(dc)) {
scaled_jac_c_space_ =
new ScaledMatrixSpace(ConstPtr(dc), false, jac_c_space,
ConstPtr(dx_), true);
new_jac_c_space = GetRawPtr(scaled_jac_c_space_);
}
else {
scaled_jac_c_space_ = NULL;
new_jac_c_space = jac_c_space;
}
if (IsValid(dx_) || IsValid(dc)) {
scaled_jac_d_space_ =
new ScaledMatrixSpace(ConstPtr(dd), false, jac_d_space,
ConstPtr(dx_), true);
new_jac_d_space = GetRawPtr(scaled_jac_d_space_);
}
else {
scaled_jac_d_space_ = NULL;
new_jac_d_space =jac_d_space ;
}
if (IsValid(h_space)) {
if (IsValid(dx_)) {
scaled_h_space_ = new SymScaledMatrixSpace(ConstPtr(dx_), true, h_space);
new_h_space = GetRawPtr(scaled_h_space_);
}
else {
scaled_h_space_ = NULL;
new_h_space = h_space;
}
}
else {
new_h_space = NULL;
}
}
SmartPtr<MuUpdate> AlgorithmBuilder::BuildMuUpdate(
const Journalist& jnlst,
const OptionsList& options,
const std::string& prefix
)
{
DBG_ASSERT(IsValid(LineSearch_));
bool mehrotra_algorithm;
options.GetBoolValue("mehrotra_algorithm", mehrotra_algorithm, prefix);
// Create the mu update that will be used by the main algorithm
SmartPtr<MuUpdate> MuUpdate;
std::string smuupdate;
if( !options.GetStringValue("mu_strategy", smuupdate, prefix) )
{
// Change default for quasi-Newton option (then we use adaptive)
Index enum_int;
if( options.GetEnumValue("hessian_approximation", enum_int, prefix) )
{
HessianApproximationType hessian_approximation = HessianApproximationType(enum_int);
if( hessian_approximation == LIMITED_MEMORY )
{
smuupdate = "adaptive";
}
}
if( mehrotra_algorithm )
{
smuupdate = "adaptive";
}
}
ASSERT_EXCEPTION(!mehrotra_algorithm || smuupdate == "adaptive", OPTION_INVALID,
"If mehrotra_algorithm=yes, mu_strategy must be \"adaptive\".");
std::string smuoracle;
std::string sfixmuoracle;
if( smuupdate == "adaptive" )
{
if( !options.GetStringValue("mu_oracle", smuoracle, prefix) )
{
if( mehrotra_algorithm )
{
smuoracle = "probing";
}
}
options.GetStringValue("fixed_mu_oracle", sfixmuoracle, prefix);
ASSERT_EXCEPTION(!mehrotra_algorithm || smuoracle == "probing", OPTION_INVALID,
"If mehrotra_algorithm=yes, mu_oracle must be \"probing\".");
}
if( smuupdate == "monotone" )
{
MuUpdate = new MonotoneMuUpdate(GetRawPtr(LineSearch_));
}
else if( smuupdate == "adaptive" )
{
SmartPtr<MuOracle> muOracle;
if( smuoracle == "loqo" )
{
muOracle = new LoqoMuOracle();
}
else if( smuoracle == "probing" )
{
muOracle = new ProbingMuOracle(GetPDSystemSolver(jnlst, options, prefix));
}
else if( smuoracle == "quality-function" )
{
muOracle = new QualityFunctionMuOracle(GetPDSystemSolver(jnlst, options, prefix));
}
SmartPtr<MuOracle> FixMuOracle;
if( sfixmuoracle == "loqo" )
{
FixMuOracle = new LoqoMuOracle();
}
else if( sfixmuoracle == "probing" )
{
FixMuOracle = new ProbingMuOracle(GetPDSystemSolver(jnlst, options, prefix));
}
else if( sfixmuoracle == "quality-function" )
{
FixMuOracle = new QualityFunctionMuOracle(GetPDSystemSolver(jnlst, options, prefix));
}
else
{
FixMuOracle = NULL;
}
MuUpdate = new AdaptiveMuUpdate(GetRawPtr(LineSearch_), muOracle, FixMuOracle);
}
return MuUpdate;
}
void RestoIpoptNLP::GetSpaces(
SmartPtr<const VectorSpace>& x_space,
SmartPtr<const VectorSpace>& c_space,
SmartPtr<const VectorSpace>& d_space,
SmartPtr<const VectorSpace>& x_l_space,
SmartPtr<const MatrixSpace>& px_l_space,
SmartPtr<const VectorSpace>& x_u_space,
SmartPtr<const MatrixSpace>& px_u_space,
SmartPtr<const VectorSpace>& d_l_space,
SmartPtr<const MatrixSpace>& pd_l_space,
SmartPtr<const VectorSpace>& d_u_space,
SmartPtr<const MatrixSpace>& pd_u_space,
SmartPtr<const MatrixSpace>& Jac_c_space,
SmartPtr<const MatrixSpace>& Jac_d_space,
SmartPtr<const SymMatrixSpace>& Hess_lagrangian_space
)
{
x_space = GetRawPtr(x_space_);
c_space = GetRawPtr(c_space_);
d_space = GetRawPtr(d_space_);
x_l_space = GetRawPtr(x_l_space_);
px_l_space = GetRawPtr(px_l_space_);
x_u_space = GetRawPtr(x_u_space_);
px_u_space = GetRawPtr(px_u_space_);
d_l_space = GetRawPtr(d_l_space_);
pd_l_space = GetRawPtr(pd_l_space_);
d_u_space = GetRawPtr(d_u_space_);
pd_u_space = GetRawPtr(pd_u_space_);
Jac_c_space = GetRawPtr(jac_c_space_);
Jac_d_space = GetRawPtr(jac_d_space_);
Hess_lagrangian_space = GetRawPtr(h_space_);
}
/** Lower bounds on x */
virtual SmartPtr<const Vector> x_L() const
{
return GetRawPtr(x_L_);
}
bool
RestoRestorationPhase::PerformRestoration()
{
DBG_START_METH("RestoRestorationPhase::PerformRestoration",
dbg_verbosity);
Jnlst().Printf(J_DETAILED, J_MAIN,
"Performing second level restoration phase for current constriant violation %8.2e\n", IpCq().curr_constraint_violation());
DBG_ASSERT(IpCq().curr_constraint_violation()>0.);
// Get a grip on the restoration phase NLP and obtain the pointers
// to the original NLP data
SmartPtr<RestoIpoptNLP> resto_ip_nlp =
static_cast<RestoIpoptNLP*> (&IpNLP());
DBG_ASSERT(dynamic_cast<RestoIpoptNLP*> (&IpNLP()));
SmartPtr<IpoptNLP> orig_ip_nlp =
static_cast<IpoptNLP*> (&resto_ip_nlp->OrigIpNLP());
DBG_ASSERT(dynamic_cast<IpoptNLP*> (&resto_ip_nlp->OrigIpNLP()));
// Get the current point and create a new vector for the result
SmartPtr<const CompoundVector> Ccurr_x =
static_cast<const CompoundVector*> (GetRawPtr(IpData().curr()->x()));
DBG_ASSERT(dynamic_cast<const CompoundVector*> (GetRawPtr(IpData().curr()->x())));
SmartPtr<const CompoundVector> Ccurr_s =
static_cast<const CompoundVector*> (GetRawPtr(IpData().curr()->s()));
DBG_ASSERT(dynamic_cast<const CompoundVector*> (GetRawPtr(IpData().curr()->s())));
DBG_ASSERT(Ccurr_s->NComps() == 1);
SmartPtr<Vector> new_x = IpData().curr()->x()->MakeNew();
SmartPtr<CompoundVector> Cnew_x =
static_cast<CompoundVector*> (GetRawPtr(new_x));
// The x values remain unchanged
SmartPtr<Vector> x = Cnew_x->GetCompNonConst(0);
x->Copy(*Ccurr_x->GetComp(0));
// ToDo in free mu mode - what to do here?
Number mu = IpData().curr_mu();
// Compute the initial values for the n and p variables for the
// equality constraints
Number rho = resto_ip_nlp->Rho();
SmartPtr<Vector> nc = Cnew_x->GetCompNonConst(1);
SmartPtr<Vector> pc = Cnew_x->GetCompNonConst(2);
SmartPtr<const Vector> cvec = orig_ip_nlp->c(*Ccurr_x->GetComp(0));
SmartPtr<Vector> a = nc->MakeNew();
SmartPtr<Vector> b = nc->MakeNew();
a->Set(mu/(2.*rho));
a->Axpy(-0.5, *cvec);
b->Copy(*cvec);
b->Scal(mu/(2.*rho));
solve_quadratic(*a, *b, *nc);
pc->Copy(*cvec);
pc->Axpy(1., *nc);
DBG_PRINT_VECTOR(2, "nc", *nc);
DBG_PRINT_VECTOR(2, "pc", *pc);
// initial values for the n and p variables for the inequality
// constraints
SmartPtr<Vector> nd = Cnew_x->GetCompNonConst(3);
SmartPtr<Vector> pd = Cnew_x->GetCompNonConst(4);
SmartPtr<Vector> dvec = pd->MakeNew();
dvec->Copy(*orig_ip_nlp->d(*Ccurr_x->GetComp(0)));
dvec->Axpy(-1., *Ccurr_s->GetComp(0));
a = nd->MakeNew();
b = nd->MakeNew();
a->Set(mu/(2.*rho));
a->Axpy(-0.5, *dvec);
b->Copy(*dvec);
b->Scal(mu/(2.*rho));
solve_quadratic(*a, *b, *nd);
pd->Copy(*dvec);
pd->Axpy(1., *nd);
DBG_PRINT_VECTOR(2, "nd", *nd);
DBG_PRINT_VECTOR(2, "pd", *pd);
// Now set the trial point to the solution of the restoration phase
// s and all multipliers remain unchanged
SmartPtr<IteratesVector> new_trial = IpData().curr()->MakeNewContainer();
new_trial->Set_x(*new_x);
IpData().set_trial(new_trial);
IpData().Append_info_string("R");
return true;
}
/** Permutation matrix (x_L_ -> x) */
virtual SmartPtr<const Matrix> Px_L() const
{
return GetRawPtr(Px_L_);
}
bool IpoptUserClass::intermediate_callback(AlgorithmMode mode, Index iter, Number obj_value,
Number inf_pr, Number inf_du,
Number mu, Number d_norm,
Number regularization_size,
Number alpha_du, Number alpha_pr,
Index ls_trials,
const IpoptData* ip_data,
IpoptCalculatedQuantities* ip_cq) {
// Only do the callback every few iterations
if (iter % solver_.callback_step_!=0) return true;
/// Code copied from TNLPAdapter::FinalizeSolution
/// See also: http://list.coin-or.org/pipermail/ipopt/2010-July/002078.html
// http://list.coin-or.org/pipermail/ipopt/2010-April/001965.html
bool full_callback = false;
#ifdef WITH_IPOPT_CALLBACK
mem_->fstats.at("callback_prep").tic();
OrigIpoptNLP* orignlp = dynamic_cast<OrigIpoptNLP*>(GetRawPtr(ip_cq->GetIpoptNLP()));
if (!orignlp) return true;
TNLPAdapter* tnlp_adapter = dynamic_cast<TNLPAdapter*>(GetRawPtr(orignlp->nlp()));
if (!tnlp_adapter) return true;
const Vector& x = *ip_data->curr()->x();
const Vector& z_L = *ip_data->curr()->z_L();
const Vector& z_U = *ip_data->curr()->z_U();
const Vector& c = *ip_cq->curr_c();
const Vector& d = *ip_cq->curr_d();
const Vector& y_c = *ip_data->curr()->y_c();
const Vector& y_d = *ip_data->curr()->y_d();
std::fill_n(x_, n_, 0);
std::fill_n(g_, m_, 0);
std::fill_n(z_L_, n_, 0);
std::fill_n(z_U_, n_, 0);
std::fill_n(lambda_, m_, 0);
tnlp_adapter->ResortX(x, x_); // no further steps needed
tnlp_adapter->ResortG(y_c, y_d, lambda_); // no further steps needed
tnlp_adapter->ResortG(c, d, g_);
// Copied from Ipopt source: To Ipopt, the equality constraints are presented with right
// hand side zero, so we correct for the original right hand side.
const Index* c_pos = tnlp_adapter->P_c_g_->ExpandedPosIndices();
Index n_c_no_fixed = tnlp_adapter->P_c_g_->NCols();
for (Index i=0; i<n_c_no_fixed; i++) {
g_[c_pos[i]] += tnlp_adapter->c_rhs_[i];
}
tnlp_adapter->ResortBnds(z_L, z_L_, z_U, z_U_);
// Copied from Ipopt source: Hopefully the following is correct to recover the bound
// multipliers for fixed variables (sign ok?)
if (tnlp_adapter->fixed_variable_treatment_==TNLPAdapter::MAKE_CONSTRAINT &&
tnlp_adapter->n_x_fixed_>0) {
const DenseVector* dy_c = static_cast<const DenseVector*>(&y_c);
Index n_c_no_fixed = y_c.Dim() - tnlp_adapter->n_x_fixed_;
if (!dy_c->IsHomogeneous()) {
const Number* values = dy_c->Values();
for (Index i=0; i<tnlp_adapter->n_x_fixed_; i++) {
z_L_[tnlp_adapter->x_fixed_map_[i]] = Max(0., -values[n_c_no_fixed+i]);
z_U_[tnlp_adapter->x_fixed_map_[i]] = Max(0., values[n_c_no_fixed+i]);
}
} else {
double value = dy_c->Scalar();
for (Index i=0; i<tnlp_adapter->n_x_fixed_; i++) {
z_L_[tnlp_adapter->x_fixed_map_[i]] = Max(0., -value);
z_U_[tnlp_adapter->x_fixed_map_[i]] = Max(0., value);
}
}
}
mem_->fstats.at("callback_prep").toc();
full_callback = true;
#endif // WITH_IPOPT_CALLBACK
return solver_.intermediate_callback(mem_, x_, z_L_, z_U_, g_, lambda_, obj_value, iter,
inf_pr, inf_du, mu, d_norm, regularization_size,
alpha_du, alpha_pr, ls_trials, full_callback);
}
bool
NLPBoundsRemover::GetSpaces(SmartPtr<const VectorSpace>& x_space,
SmartPtr<const VectorSpace>& c_space,
SmartPtr<const VectorSpace>& d_space,
SmartPtr<const VectorSpace>& x_l_space,
SmartPtr<const MatrixSpace>& px_l_space,
SmartPtr<const VectorSpace>& x_u_space,
SmartPtr<const MatrixSpace>& px_u_space,
SmartPtr<const VectorSpace>& d_l_space,
SmartPtr<const MatrixSpace>& pd_l_space,
SmartPtr<const VectorSpace>& d_u_space,
SmartPtr<const MatrixSpace>& pd_u_space,
SmartPtr<const MatrixSpace>& Jac_c_space,
SmartPtr<const MatrixSpace>& Jac_d_space,
SmartPtr<const SymMatrixSpace>& Hess_lagrangian_space,
bool bHostInit)
{
DBG_START_METH("NLPBoundsRemover::GetSpaces", dbg_verbosity);
SmartPtr<const VectorSpace> d_space_orig;
SmartPtr<const VectorSpace> x_l_space_orig;
SmartPtr<const MatrixSpace> px_l_space_orig;
SmartPtr<const VectorSpace> x_u_space_orig;
SmartPtr<const MatrixSpace> px_u_space_orig;
SmartPtr<const VectorSpace> d_l_space_orig;
SmartPtr<const MatrixSpace> pd_l_space_orig;
SmartPtr<const VectorSpace> d_u_space_orig;
SmartPtr<const MatrixSpace> pd_u_space_orig;
SmartPtr<const MatrixSpace> Jac_d_space_orig;
bool retval = nlp_->GetSpaces(x_space, c_space, d_space_orig,
x_l_space_orig, px_l_space_orig,
x_u_space_orig, px_u_space_orig,
d_l_space_orig, pd_l_space_orig,
d_u_space_orig, pd_u_space_orig,
Jac_c_space, Jac_d_space_orig,
Hess_lagrangian_space);
if (!retval) {
return retval;
}
// Keep a copy of the expansion matrices for the x bounds
Px_l_orig_ = px_l_space_orig->MakeNew();
Px_u_orig_ = px_u_space_orig->MakeNew();
// create the new d_space
Index total_dim = d_space_orig->Dim() + x_l_space_orig->Dim() +
x_u_space_orig->Dim();
SmartPtr<CompoundVectorSpace> d_space_new =
new CompoundVectorSpace(3, total_dim);
d_space_new->SetCompSpace(0, *d_space_orig);
d_space_new->SetCompSpace(1, *x_l_space_orig);
d_space_new->SetCompSpace(2, *x_u_space_orig);
d_space = GetRawPtr(d_space_new);
// create the new (emply) x_l and x_u spaces, and also the
// corresponding projection matrix spaces
x_l_space = new DenseVectorSpace(0);
x_u_space = new DenseVectorSpace(0);
px_l_space = new ZeroMatrixSpace(x_space->Dim(),0);
px_u_space = new ZeroMatrixSpace(x_space->Dim(),0);
// create the new d_l and d_u vector spaces
total_dim = d_l_space_orig->Dim() + x_l_space_orig->Dim();
SmartPtr<CompoundVectorSpace> d_l_space_new =
new CompoundVectorSpace(2, total_dim);
d_l_space_new->SetCompSpace(0, *d_l_space_orig);
d_l_space_new->SetCompSpace(1, *x_l_space_orig);
d_l_space = GetRawPtr(d_l_space_new);
total_dim = d_u_space_orig->Dim() + x_u_space_orig->Dim();
SmartPtr<CompoundVectorSpace> d_u_space_new =
new CompoundVectorSpace(2, total_dim);
d_u_space_new->SetCompSpace(0, *d_u_space_orig);
d_u_space_new->SetCompSpace(1, *x_u_space_orig);
d_u_space = GetRawPtr(d_u_space_new);
// create the new d_l and d_u projection matrix spaces
Index total_rows = d_space_orig->Dim() + x_l_space_orig->Dim() +
x_u_space_orig->Dim();
Index total_cols = d_l_space_orig->Dim() + x_l_space_orig->Dim();
SmartPtr<CompoundMatrixSpace> pd_l_space_new =
new CompoundMatrixSpace(3, 2, total_rows, total_cols);
pd_l_space_new->SetBlockRows(0, d_space_orig->Dim());
pd_l_space_new->SetBlockRows(1, x_l_space_orig->Dim());
pd_l_space_new->SetBlockRows(2, x_u_space_orig->Dim());
pd_l_space_new->SetBlockCols(0, d_l_space_orig->Dim());
pd_l_space_new->SetBlockCols(1, x_l_space_orig->Dim());
pd_l_space_new->SetCompSpace(0, 0, *pd_l_space_orig, true);
SmartPtr<const MatrixSpace> identity_space =
new IdentityMatrixSpace(x_l_space_orig->Dim());
pd_l_space_new->SetCompSpace(1, 1, *identity_space, true);
pd_l_space = GetRawPtr(pd_l_space_new);
total_cols = d_u_space_orig->Dim() + x_u_space_orig->Dim();
SmartPtr<CompoundMatrixSpace> pd_u_space_new =
new CompoundMatrixSpace(3, 2, total_rows, total_cols);
pd_u_space_new->SetBlockRows(0, d_space_orig->Dim());
pd_u_space_new->SetBlockRows(1, x_l_space_orig->Dim());
pd_u_space_new->SetBlockRows(2, x_u_space_orig->Dim());
pd_u_space_new->SetBlockCols(0, d_u_space_orig->Dim());
pd_u_space_new->SetBlockCols(1, x_u_space_orig->Dim());
pd_u_space_new->SetCompSpace(0, 0, *pd_u_space_orig, true);
identity_space = new IdentityMatrixSpace(x_u_space_orig->Dim());
pd_u_space_new->SetCompSpace(2, 1, *identity_space, true);
pd_u_space = GetRawPtr(pd_u_space_new);
// Jacobian for inequalities matrix space
total_rows = d_space_orig->Dim() + x_l_space_orig->Dim() +
x_u_space_orig->Dim();
total_cols = x_space->Dim();
SmartPtr<CompoundMatrixSpace> Jac_d_space_new =
new CompoundMatrixSpace(3, 1, total_rows, total_cols);
Jac_d_space_new->SetBlockRows(0, d_space_orig->Dim());
Jac_d_space_new->SetBlockRows(1, x_l_space_orig->Dim());
Jac_d_space_new->SetBlockRows(2, x_u_space_orig->Dim());
Jac_d_space_new->SetBlockCols(0, x_space->Dim());
Jac_d_space_new->SetCompSpace(0, 0, *Jac_d_space_orig);
SmartPtr<MatrixSpace> trans_px_l_space_orig =
new TransposeMatrixSpace(GetRawPtr(px_l_space_orig));
Jac_d_space_new->SetCompSpace(1, 0, *trans_px_l_space_orig, true);
SmartPtr<MatrixSpace> trans_px_u_space_orig =
new TransposeMatrixSpace(GetRawPtr(px_u_space_orig));
Jac_d_space_new->SetCompSpace(2, 0, *trans_px_u_space_orig, true);
Jac_d_space = GetRawPtr(Jac_d_space_new);
// We keep the original d_space around in order to be able to do
// the sanity check later
d_space_orig_ = d_space_orig;
return true;
}