returnValue SCPmethod::performCurrentStep( )
{
returnValue returnvalue;
if ( isInRealTimeMode == BT_TRUE )
{
if ( bandedCPsolver->finalizeSolve( bandedCP ) != SUCCESSFUL_RETURN )
return ACADOERROR( RET_NLP_STEP_FAILED );
// bandedCP.deltaX.print();
}
// acadoPrintf("bandedCP.dynResiduum = \n");
// bandedCP.dynResiduum.print();
// acadoPrintf("bandedCP.lambdaDynamic = \n");
// bandedCP.lambdaDynamic.print();
oldIter = iter;
// Perform a globalized step:
// --------------------------
int printLevel;
get( PRINTLEVEL,printLevel );
if ( (PrintLevel)printLevel >= HIGH )
acadoPrintf( "--> Perform globalized SQP step ...\n" );
clock.reset( );
clock.start( );
#ifdef SIM_DEBUG
/* printf("performing the current step...: old iterate \n");
(iter.x->getVector(0)).print("iter.x(0)");
(iter.u->getVector(0)).print("iter.u(0)");
(iter.x->getVector(1)).print("iter.x(1)");
(iter.u->getVector(1)).print("iter.u(1)");*/
#endif
returnvalue = scpStep->performStep( iter,bandedCP,eval );
if( returnvalue != SUCCESSFUL_RETURN )
ACADOERROR( RET_NLP_STEP_FAILED );
hasPerformedStep = BT_TRUE;
clock.stop( );
setLast( LOG_TIME_GLOBALIZATION,clock.getTime() );
if ( (PrintLevel)printLevel >= HIGH )
acadoPrintf( "<-- Perform globalized SQP step done.\n" );
printIteration( );
// Check convergence criterion if no real-time iterations are performed
int terminateAtConvergence = 0;
get( TERMINATE_AT_CONVERGENCE,terminateAtConvergence );
if ( (BooleanType)terminateAtConvergence == BT_TRUE )
{
if ( checkForConvergence( ) == CONVERGENCE_ACHIEVED )
{
stopClockAndPrintRuntimeProfile( );
return CONVERGENCE_ACHIEVED;
}
}
if ( numberOfSteps >= 0 )
set( KKT_TOLERANCE_SAFEGUARD,0.0 );
return CONVERGENCE_NOT_YET_ACHIEVED;
}
void Sqpmethod::evaluate() {
if (inputs_check_) checkInputs();
checkInitialBounds();
if (gather_stats_) {
Dict iterations;
iterations["inf_pr"] = std::vector<double>();
iterations["inf_du"] = std::vector<double>();
iterations["ls_trials"] = std::vector<double>();
iterations["d_norm"] = std::vector<double>();
iterations["obj"] = std::vector<double>();
stats_["iterations"] = iterations;
}
// Get problem data
const vector<double>& x_init = input(NLP_SOLVER_X0).data();
const vector<double>& lbx = input(NLP_SOLVER_LBX).data();
const vector<double>& ubx = input(NLP_SOLVER_UBX).data();
const vector<double>& lbg = input(NLP_SOLVER_LBG).data();
const vector<double>& ubg = input(NLP_SOLVER_UBG).data();
// Set linearization point to initial guess
copy(x_init.begin(), x_init.end(), x_.begin());
// Initialize Lagrange multipliers of the NLP
copy(input(NLP_SOLVER_LAM_G0).begin(), input(NLP_SOLVER_LAM_G0).end(), mu_.begin());
copy(input(NLP_SOLVER_LAM_X0).begin(), input(NLP_SOLVER_LAM_X0).end(), mu_x_.begin());
t_eval_f_ = t_eval_grad_f_ = t_eval_g_ = t_eval_jac_g_ = t_eval_h_ =
t_callback_fun_ = t_callback_prepare_ = t_mainloop_ = 0;
n_eval_f_ = n_eval_grad_f_ = n_eval_g_ = n_eval_jac_g_ = n_eval_h_ = 0;
double time1 = clock();
// Initial constraint Jacobian
eval_jac_g(x_, gk_, Jk_);
// Initial objective gradient
eval_grad_f(x_, fk_, gf_);
// Initialize or reset the Hessian or Hessian approximation
reg_ = 0;
if (exact_hessian_) {
eval_h(x_, mu_, 1.0, Bk_);
} else {
reset_h();
}
// Evaluate the initial gradient of the Lagrangian
copy(gf_.begin(), gf_.end(), gLag_.begin());
if (ng_>0) casadi_mv_t(Jk_.ptr(), Jk_.sparsity(), getPtr(mu_), getPtr(gLag_));
// gLag += mu_x_;
transform(gLag_.begin(), gLag_.end(), mu_x_.begin(), gLag_.begin(), plus<double>());
// Number of SQP iterations
int iter = 0;
// Number of line-search iterations
int ls_iter = 0;
// Last linesearch successfull
bool ls_success = true;
// Reset
merit_mem_.clear();
sigma_ = 0.; // NOTE: Move this into the main optimization loop
// Default stepsize
double t = 0;
// MAIN OPTIMIZATION LOOP
while (true) {
// Primal infeasability
double pr_inf = primalInfeasibility(x_, lbx, ubx, gk_, lbg, ubg);
// inf-norm of lagrange gradient
double gLag_norminf = norm_inf(gLag_);
// inf-norm of step
double dx_norminf = norm_inf(dx_);
// Print header occasionally
if (iter % 10 == 0) printIteration(userOut());
// Printing information about the actual iterate
printIteration(userOut(), iter, fk_, pr_inf, gLag_norminf, dx_norminf,
reg_, ls_iter, ls_success);
if (gather_stats_) {
Dict iterations = stats_["iterations"];
std::vector<double> tmp=iterations["inf_pr"];
tmp.push_back(pr_inf);
iterations["inf_pr"] = tmp;
tmp=iterations["inf_du"];
tmp.push_back(gLag_norminf);
iterations["inf_du"] = tmp;
tmp=iterations["d_norm"];
tmp.push_back(dx_norminf);
iterations["d_norm"] = tmp;
std::vector<int> tmp2=iterations["ls_trials"];
tmp2.push_back(ls_iter);
iterations["ls_trials"] = tmp2;
tmp=iterations["obj"];
tmp.push_back(fk_);
iterations["obj"] = tmp;
stats_["iterations"] = iterations;
}
// Call callback function if present
if (!callback_.isNull()) {
double time1 = clock();
if (!output(NLP_SOLVER_F).isempty()) output(NLP_SOLVER_F).set(fk_);
if (!output(NLP_SOLVER_X).isempty()) output(NLP_SOLVER_X).setNZ(x_);
if (!output(NLP_SOLVER_LAM_G).isempty()) output(NLP_SOLVER_LAM_G).setNZ(mu_);
if (!output(NLP_SOLVER_LAM_X).isempty()) output(NLP_SOLVER_LAM_X).setNZ(mu_x_);
if (!output(NLP_SOLVER_G).isempty()) output(NLP_SOLVER_G).setNZ(gk_);
Dict iteration;
iteration["iter"] = iter;
iteration["inf_pr"] = pr_inf;
iteration["inf_du"] = gLag_norminf;
iteration["d_norm"] = dx_norminf;
iteration["ls_trials"] = ls_iter;
iteration["obj"] = fk_;
stats_["iteration"] = iteration;
double time2 = clock();
t_callback_prepare_ += (time2-time1)/CLOCKS_PER_SEC;
time1 = clock();
int ret = callback_(ref_, user_data_);
time2 = clock();
t_callback_fun_ += (time2-time1)/CLOCKS_PER_SEC;
if (ret) {
userOut() << endl;
userOut() << "casadi::SQPMethod: aborted by callback..." << endl;
stats_["return_status"] = "User_Requested_Stop";
break;
}
}
// Checking convergence criteria
if (pr_inf < tol_pr_ && gLag_norminf < tol_du_) {
userOut() << endl;
userOut() << "casadi::SQPMethod: Convergence achieved after "
<< iter << " iterations." << endl;
stats_["return_status"] = "Solve_Succeeded";
break;
}
if (iter >= max_iter_) {
userOut() << endl;
userOut() << "casadi::SQPMethod: Maximum number of iterations reached." << endl;
stats_["return_status"] = "Maximum_Iterations_Exceeded";
break;
}
if (iter > 0 && dx_norminf <= min_step_size_) {
userOut() << endl;
userOut() << "casadi::SQPMethod: Search direction becomes too small without "
"convergence criteria being met." << endl;
stats_["return_status"] = "Search_Direction_Becomes_Too_Small";
break;
}
// Start a new iteration
iter++;
log("Formulating QP");
// Formulate the QP
transform(lbx.begin(), lbx.end(), x_.begin(), qp_LBX_.begin(), minus<double>());
transform(ubx.begin(), ubx.end(), x_.begin(), qp_UBX_.begin(), minus<double>());
transform(lbg.begin(), lbg.end(), gk_.begin(), qp_LBA_.begin(), minus<double>());
transform(ubg.begin(), ubg.end(), gk_.begin(), qp_UBA_.begin(), minus<double>());
// Solve the QP
solve_QP(Bk_, gf_, qp_LBX_, qp_UBX_, Jk_, qp_LBA_, qp_UBA_, dx_, qp_DUAL_X_, qp_DUAL_A_);
log("QP solved");
// Detecting indefiniteness
double gain = casadi_quad_form(Bk_.ptr(), Bk_.sparsity(), getPtr(dx_));
if (gain < 0) {
casadi_warning("Indefinite Hessian detected...");
}
// Calculate penalty parameter of merit function
sigma_ = std::max(sigma_, 1.01*norm_inf(qp_DUAL_X_));
sigma_ = std::max(sigma_, 1.01*norm_inf(qp_DUAL_A_));
// Calculate L1-merit function in the actual iterate
double l1_infeas = primalInfeasibility(x_, lbx, ubx, gk_, lbg, ubg);
// Right-hand side of Armijo condition
double F_sens = inner_prod(dx_, gf_);
double L1dir = F_sens - sigma_ * l1_infeas;
double L1merit = fk_ + sigma_ * l1_infeas;
// Storing the actual merit function value in a list
merit_mem_.push_back(L1merit);
if (merit_mem_.size() > merit_memsize_) {
merit_mem_.pop_front();
}
// Stepsize
t = 1.0;
double fk_cand;
// Merit function value in candidate
double L1merit_cand = 0;
// Reset line-search counter, success marker
ls_iter = 0;
ls_success = true;
// Line-search
log("Starting line-search");
if (max_iter_ls_>0) { // max_iter_ls_== 0 disables line-search
// Line-search loop
while (true) {
for (int i=0; i<nx_; ++i) x_cand_[i] = x_[i] + t * dx_[i];
try {
// Evaluating objective and constraints
eval_f(x_cand_, fk_cand);
eval_g(x_cand_, gk_cand_);
} catch(const CasadiException& ex) {
// Silent ignore; line-search failed
ls_iter++;
// Backtracking
t = beta_ * t;
continue;
}
ls_iter++;
// Calculating merit-function in candidate
l1_infeas = primalInfeasibility(x_cand_, lbx, ubx, gk_cand_, lbg, ubg);
L1merit_cand = fk_cand + sigma_ * l1_infeas;
// Calculating maximal merit function value so far
double meritmax = *max_element(merit_mem_.begin(), merit_mem_.end());
if (L1merit_cand <= meritmax + t * c1_ * L1dir) {
// Accepting candidate
log("Line-search completed, candidate accepted");
break;
}
// Line-search not successful, but we accept it.
if (ls_iter == max_iter_ls_) {
ls_success = false;
log("Line-search completed, maximum number of iterations");
break;
}
// Backtracking
t = beta_ * t;
}
// Candidate accepted, update dual variables
for (int i=0; i<ng_; ++i) mu_[i] = t * qp_DUAL_A_[i] + (1 - t) * mu_[i];
for (int i=0; i<nx_; ++i) mu_x_[i] = t * qp_DUAL_X_[i] + (1 - t) * mu_x_[i];
// Candidate accepted, update the primal variable
copy(x_.begin(), x_.end(), x_old_.begin());
copy(x_cand_.begin(), x_cand_.end(), x_.begin());
} else {
// Full step
copy(qp_DUAL_A_.begin(), qp_DUAL_A_.end(), mu_.begin());
copy(qp_DUAL_X_.begin(), qp_DUAL_X_.end(), mu_x_.begin());
copy(x_.begin(), x_.end(), x_old_.begin());
// x+=dx
transform(x_.begin(), x_.end(), dx_.begin(), x_.begin(), plus<double>());
}
if (!exact_hessian_) {
// Evaluate the gradient of the Lagrangian with the old x but new mu (for BFGS)
copy(gf_.begin(), gf_.end(), gLag_old_.begin());
if (ng_>0) casadi_mv_t(Jk_.ptr(), Jk_.sparsity(), getPtr(mu_), getPtr(gLag_old_));
// gLag_old += mu_x_;
transform(gLag_old_.begin(), gLag_old_.end(), mu_x_.begin(), gLag_old_.begin(),
plus<double>());
}
// Evaluate the constraint Jacobian
log("Evaluating jac_g");
eval_jac_g(x_, gk_, Jk_);
// Evaluate the gradient of the objective function
log("Evaluating grad_f");
eval_grad_f(x_, fk_, gf_);
// Evaluate the gradient of the Lagrangian with the new x and new mu
copy(gf_.begin(), gf_.end(), gLag_.begin());
if (ng_>0) casadi_mv_t(Jk_.ptr(), Jk_.sparsity(), getPtr(mu_), getPtr(gLag_));
// gLag += mu_x_;
transform(gLag_.begin(), gLag_.end(), mu_x_.begin(), gLag_.begin(), plus<double>());
// Updating Lagrange Hessian
if (!exact_hessian_) {
log("Updating Hessian (BFGS)");
// BFGS with careful updates and restarts
if (iter % lbfgs_memory_ == 0) {
// Reset Hessian approximation by dropping all off-diagonal entries
const int* colind = Bk_.colind(); // Access sparsity (column offset)
int ncol = Bk_.size2();
const int* row = Bk_.row(); // Access sparsity (row)
vector<double>& data = Bk_.data(); // Access nonzero elements
for (int cc=0; cc<ncol; ++cc) { // Loop over the columns of the Hessian
for (int el=colind[cc]; el<colind[cc+1]; ++el) {
// Loop over the nonzero elements of the column
if (cc!=row[el]) data[el] = 0; // Remove if off-diagonal entries
}
}
}
// Pass to BFGS update function
bfgs_.setInput(Bk_, BFGS_BK);
bfgs_.setInputNZ(x_, BFGS_X);
bfgs_.setInputNZ(x_old_, BFGS_X_OLD);
bfgs_.setInputNZ(gLag_, BFGS_GLAG);
bfgs_.setInputNZ(gLag_old_, BFGS_GLAG_OLD);
// Update the Hessian approximation
bfgs_.evaluate();
// Get the updated Hessian
bfgs_.getOutput(Bk_);
if (monitored("bfgs")) {
userOut() << "x = " << x_ << endl;
userOut() << "BFGS = " << endl;
Bk_.printSparse();
}
} else {
// Exact Hessian
log("Evaluating hessian");
eval_h(x_, mu_, 1.0, Bk_);
}
}
double time2 = clock();
t_mainloop_ = (time2-time1)/CLOCKS_PER_SEC;
// Save results to outputs
output(NLP_SOLVER_F).set(fk_);
output(NLP_SOLVER_X).setNZ(x_);
output(NLP_SOLVER_LAM_G).setNZ(mu_);
output(NLP_SOLVER_LAM_X).setNZ(mu_x_);
output(NLP_SOLVER_G).setNZ(gk_);
if (hasOption("print_time") && static_cast<bool>(getOption("print_time"))) {
// Write timings
userOut() << "time spent in eval_f: " << t_eval_f_ << " s.";
if (n_eval_f_>0)
userOut() << " (" << n_eval_f_ << " calls, " << (t_eval_f_/n_eval_f_)*1000
<< " ms. average)";
userOut() << endl;
userOut() << "time spent in eval_grad_f: " << t_eval_grad_f_ << " s.";
if (n_eval_grad_f_>0)
userOut() << " (" << n_eval_grad_f_ << " calls, "
<< (t_eval_grad_f_/n_eval_grad_f_)*1000 << " ms. average)";
userOut() << endl;
userOut() << "time spent in eval_g: " << t_eval_g_ << " s.";
if (n_eval_g_>0)
userOut() << " (" << n_eval_g_ << " calls, " << (t_eval_g_/n_eval_g_)*1000
<< " ms. average)";
userOut() << endl;
userOut() << "time spent in eval_jac_g: " << t_eval_jac_g_ << " s.";
if (n_eval_jac_g_>0)
userOut() << " (" << n_eval_jac_g_ << " calls, "
<< (t_eval_jac_g_/n_eval_jac_g_)*1000 << " ms. average)";
userOut() << endl;
userOut() << "time spent in eval_h: " << t_eval_h_ << " s.";
if (n_eval_h_>1)
userOut() << " (" << n_eval_h_ << " calls, " << (t_eval_h_/n_eval_h_)*1000
<< " ms. average)";
userOut() << endl;
userOut() << "time spent in main loop: " << t_mainloop_ << " s." << endl;
userOut() << "time spent in callback function: " << t_callback_fun_ << " s." << endl;
userOut() << "time spent in callback preparation: " << t_callback_prepare_ << " s." << endl;
}
// Save statistics
stats_["iter_count"] = iter;
stats_["t_eval_f"] = t_eval_f_;
stats_["t_eval_grad_f"] = t_eval_grad_f_;
stats_["t_eval_g"] = t_eval_g_;
stats_["t_eval_jac_g"] = t_eval_jac_g_;
stats_["t_eval_h"] = t_eval_h_;
stats_["t_mainloop"] = t_mainloop_;
stats_["t_callback_fun"] = t_callback_fun_;
stats_["t_callback_prepare"] = t_callback_prepare_;
stats_["n_eval_f"] = n_eval_f_;
stats_["n_eval_grad_f"] = n_eval_grad_f_;
stats_["n_eval_g"] = n_eval_g_;
stats_["n_eval_jac_g"] = n_eval_jac_g_;
stats_["n_eval_h"] = n_eval_h_;
}
void Newton::solveNonLinear() {
casadi_log("Newton::solveNonLinear:begin");
// Set up timers for profiling
double time_zero=0;
double time_start=0;
double time_stop=0;
if (CasadiOptions::profiling && !CasadiOptions::profilingBinary) {
time_zero = getRealTime();
CasadiOptions::profilingLog << "start " << this << ":" <<getOption("name") << std::endl;
}
// Pass the inputs to J
for (int i=0; i<getNumInputs(); ++i) {
if (i!=iin_) jac_.setInput(input(i), i);
}
// Aliases
DMatrix &u = output(iout_);
DMatrix &J = jac_.output(0);
DMatrix &F = jac_.output(1+iout_);
// Perform the Newton iterations
int iter=0;
bool success = true;
while (true) {
// Break if maximum number of iterations already reached
if (iter >= max_iter_) {
log("evaluate", "Max. iterations reached.");
stats_["return_status"] = "max_iteration_reached";
success = false;
break;
}
// Start a new iteration
iter++;
// Print progress
if (monitored("step") || monitored("stepsize")) {
std::cout << "Step " << iter << "." << std::endl;
}
if (monitored("step")) {
std::cout << " u = " << u << std::endl;
}
// Use u to evaluate J
jac_.setInput(u, iin_);
for (int i=0; i<getNumInputs(); ++i)
if (i!=iin_) jac_.setInput(input(i), i);
if (CasadiOptions::profiling) {
time_start = getRealTime(); // Start timer
}
jac_.evaluate();
// Write out profiling information
if (CasadiOptions::profiling && !CasadiOptions::profilingBinary) {
time_stop = getRealTime(); // Stop timer
CasadiOptions::profilingLog
<< (time_stop-time_start)*1e6 << " ns | "
<< (time_stop-time_zero)*1e3 << " ms | "
<< this << ":" << getOption("name") << ":0|" << jac_.get() << ":"
<< jac_.getOption("name") << "|evaluate jacobian" << std::endl;
}
if (monitored("F")) std::cout << " F = " << F << std::endl;
if (monitored("normF"))
std::cout << " F (min, max, 1-norm, 2-norm) = "
<< (*std::min_element(F.data().begin(), F.data().end()))
<< ", " << (*std::max_element(F.data().begin(), F.data().end()))
<< ", " << sumAll(fabs(F)) << ", " << sqrt(sumAll(F*F)) << std::endl;
if (monitored("J")) std::cout << " J = " << J << std::endl;
double abstol = 0;
if (numeric_limits<double>::infinity() != abstol_) {
abstol = std::max((*std::max_element(F.data().begin(),
F.data().end())),
-(*std::min_element(F.data().begin(),
F.data().end())));
if (abstol <= abstol_) {
casadi_log("Converged to acceptable tolerance - abstol: " << abstol_);
break;
}
}
// Prepare the linear solver with J
linsol_.setInput(J, LINSOL_A);
if (CasadiOptions::profiling) {
time_start = getRealTime(); // Start timer
}
linsol_.prepare();
// Write out profiling information
if (CasadiOptions::profiling && !CasadiOptions::profilingBinary) {
time_stop = getRealTime(); // Stop timer
CasadiOptions::profilingLog
<< (time_stop-time_start)*1e6 << " ns | "
<< (time_stop-time_zero)*1e3 << " ms | "
<< this << ":" << getOption("name")
<< ":1||prepare linear system" << std::endl;
}
if (CasadiOptions::profiling) {
time_start = getRealTime(); // Start timer
}
// Solve against F
linsol_.solve(&F.front(), 1, false);
if (CasadiOptions::profiling && !CasadiOptions::profilingBinary) {
time_stop = getRealTime(); // Stop timer
CasadiOptions::profilingLog
<< (time_stop-time_start)*1e6 << " ns | "
<< (time_stop-time_zero)*1e3 << " ms | "
<< this << ":" << getOption("name") << ":2||solve linear system" << std::endl;
}
if (monitored("step")) {
std::cout << " step = " << F << std::endl;
}
double abstolStep=0;
if (numeric_limits<double>::infinity() != abstolStep_) {
abstolStep = std::max((*std::max_element(F.data().begin(),
F.data().end())),
-(*std::min_element(F.data().begin(),
F.data().end())));
if (monitored("stepsize")) {
std::cout << " stepsize = " << abstolStep << std::endl;
}
if (abstolStep <= abstolStep_) {
casadi_log("Converged to acceptable tolerance - abstolStep: " << abstolStep_);
break;
}
}
if (print_iteration_) {
// Only print iteration header once in a while
if (iter % 10==0) {
printIteration(std::cout);
}
// Print iteration information
printIteration(std::cout, iter, abstol, abstolStep);
}
// Update Xk+1 = Xk - J^(-1) F
std::transform(u.begin(), u.end(), F.begin(), u.begin(), std::minus<double>());
// Get auxiliary outputs
for (int i=0; i<getNumOutputs(); ++i) {
if (i!=iout_) jac_.getOutput(output(i), 1+i);
}
}
// Store the iteration count
if (gather_stats_) stats_["iter"] = iter;
if (success) stats_["return_status"] = "success";
// Factorization up-to-date
fact_up_to_date_ = true;
casadi_log("Newton::solveNonLinear():end after " << iter << " steps");
}
void SQPInternal::evaluate(int nfdir, int nadir){
casadi_assert(nfdir==0 && nadir==0);
checkInitialBounds();
// Get problem data
const vector<double>& x_init = input(NLP_X_INIT).data();
const vector<double>& lbx = input(NLP_LBX).data();
const vector<double>& ubx = input(NLP_UBX).data();
const vector<double>& lbg = input(NLP_LBG).data();
const vector<double>& ubg = input(NLP_UBG).data();
// Set the static parameter
if (parametric_) {
const vector<double>& p = input(NLP_P).data();
if (!F_.isNull()) F_.setInput(p,F_.getNumInputs()-1);
if (!G_.isNull()) G_.setInput(p,G_.getNumInputs()-1);
if (!H_.isNull()) H_.setInput(p,H_.getNumInputs()-1);
if (!J_.isNull()) J_.setInput(p,J_.getNumInputs()-1);
}
// Set linearization point to initial guess
copy(x_init.begin(),x_init.end(),x_.begin());
// Lagrange multipliers of the NLP
fill(mu_.begin(),mu_.end(),0);
fill(mu_x_.begin(),mu_x_.end(),0);
// Initial constraint Jacobian
eval_jac_g(x_,gk_,Jk_);
// Initial objective gradient
eval_grad_f(x_,fk_,gf_);
// Initialize or reset the Hessian or Hessian approximation
reg_ = 0;
if( hess_mode_ == HESS_BFGS){
reset_h();
} else {
eval_h(x_,mu_,1.0,Bk_);
}
// Evaluate the initial gradient of the Lagrangian
copy(gf_.begin(),gf_.end(),gLag_.begin());
if(m_>0) DMatrix::mul_no_alloc_tn(Jk_,mu_,gLag_);
// gLag += mu_x_;
transform(gLag_.begin(),gLag_.end(),mu_x_.begin(),gLag_.begin(),plus<double>());
// Number of SQP iterations
int iter = 0;
// Number of line-search iterations
int ls_iter = 0;
// Last linesearch successfull
bool ls_success = true;
// Reset
merit_mem_.clear();
sigma_ = 0.; // NOTE: Move this into the main optimization loop
// Default stepsize
double t = 0;
// MAIN OPTIMIZATION LOOP
while(true){
// Primal infeasability
double pr_inf = primalInfeasibility(x_, lbx, ubx, gk_, lbg, ubg);
// 1-norm of lagrange gradient
double gLag_norm1 = norm_1(gLag_);
// 1-norm of step
double dx_norm1 = norm_1(dx_);
// Print header occasionally
if(iter % 10 == 0) printIteration(cout);
// Printing information about the actual iterate
printIteration(cout,iter,fk_,pr_inf,gLag_norm1,dx_norm1,reg_,ls_iter,ls_success);
// Call callback function if present
if (!callback_.isNull()) {
callback_.input(NLP_COST).set(fk_);
callback_.input(NLP_X_OPT).set(x_);
callback_.input(NLP_LAMBDA_G).set(mu_);
callback_.input(NLP_LAMBDA_X).set(mu_x_);
callback_.input(NLP_G).set(gk_);
callback_.evaluate();
if (callback_.output(0).at(0)) {
cout << endl;
cout << "CasADi::SQPMethod: aborted by callback..." << endl;
break;
}
}
// Checking convergence criteria
if (pr_inf < tol_pr_ && gLag_norm1 < tol_du_){
cout << endl;
cout << "CasADi::SQPMethod: Convergence achieved after " << iter << " iterations." << endl;
break;
}
if (iter >= maxiter_){
cout << endl;
cout << "CasADi::SQPMethod: Maximum number of iterations reached." << endl;
break;
}
// Start a new iteration
iter++;
// Formulate the QP
transform(lbx.begin(),lbx.end(),x_.begin(),qp_LBX_.begin(),minus<double>());
transform(ubx.begin(),ubx.end(),x_.begin(),qp_UBX_.begin(),minus<double>());
transform(lbg.begin(),lbg.end(),gk_.begin(),qp_LBA_.begin(),minus<double>());
transform(ubg.begin(),ubg.end(),gk_.begin(),qp_UBA_.begin(),minus<double>());
// Solve the QP
solve_QP(Bk_,gf_,qp_LBX_,qp_UBX_,Jk_,qp_LBA_,qp_UBA_,dx_,qp_DUAL_X_,qp_DUAL_A_);
log("QP solved");
// Detecting indefiniteness
double gain = quad_form(dx_,Bk_);
if (gain < 0){
casadi_warning("Indefinite Hessian detected...");
}
// Calculate penalty parameter of merit function
sigma_ = std::max(sigma_,1.01*norm_inf(qp_DUAL_X_));
sigma_ = std::max(sigma_,1.01*norm_inf(qp_DUAL_A_));
// Calculate L1-merit function in the actual iterate
double l1_infeas = primalInfeasibility(x_, lbx, ubx, gk_, lbg, ubg);
// Right-hand side of Armijo condition
double F_sens = inner_prod(dx_, gf_);
double L1dir = F_sens - sigma_ * l1_infeas;
double L1merit = fk_ + sigma_ * l1_infeas;
// Storing the actual merit function value in a list
merit_mem_.push_back(L1merit);
if (merit_mem_.size() > merit_memsize_){
merit_mem_.pop_front();
}
// Stepsize
t = 1.0;
double fk_cand;
// Merit function value in candidate
double L1merit_cand = 0;
// Reset line-search counter, success marker
ls_iter = 0;
ls_success = true;
// Line-search
log("Starting line-search");
if(maxiter_ls_>0){ // maxiter_ls_== 0 disables line-search
// Line-search loop
while (true){
for(int i=0; i<n_; ++i) x_cand_[i] = x_[i] + t * dx_[i];
// Evaluating objective and constraints
eval_f(x_cand_,fk_cand);
eval_g(x_cand_,gk_cand_);
ls_iter++;
// Calculating merit-function in candidate
l1_infeas = primalInfeasibility(x_cand_, lbx, ubx, gk_cand_, lbg, ubg);
L1merit_cand = fk_cand + sigma_ * l1_infeas;
// Calculating maximal merit function value so far
double meritmax = *max_element(merit_mem_.begin(), merit_mem_.end());
if (L1merit_cand <= meritmax + t * c1_ * L1dir){
// Accepting candidate
log("Line-search completed, candidate accepted");
break;
}
// Line-search not successful, but we accept it.
if(ls_iter == maxiter_ls_){
ls_success = false;
log("Line-search completed, maximum number of iterations");
break;
}
// Backtracking
t = beta_ * t;
}
}
// Candidate accepted, update dual variables
for(int i=0; i<m_; ++i) mu_[i] = t * qp_DUAL_A_[i] + (1 - t) * mu_[i];
for(int i=0; i<n_; ++i) mu_x_[i] = t * qp_DUAL_X_[i] + (1 - t) * mu_x_[i];
if( hess_mode_ == HESS_BFGS){
// Evaluate the gradient of the Lagrangian with the old x but new mu (for BFGS)
copy(gf_.begin(),gf_.end(),gLag_old_.begin());
if(m_>0) DMatrix::mul_no_alloc_tn(Jk_,mu_,gLag_old_);
// gLag_old += mu_x_;
transform(gLag_old_.begin(),gLag_old_.end(),mu_x_.begin(),gLag_old_.begin(),plus<double>());
}
// Candidate accepted, update the primal variable
copy(x_.begin(),x_.end(),x_old_.begin());
copy(x_cand_.begin(),x_cand_.end(),x_.begin());
// Evaluate the constraint Jacobian
log("Evaluating jac_g");
eval_jac_g(x_,gk_,Jk_);
// Evaluate the gradient of the objective function
log("Evaluating grad_f");
eval_grad_f(x_,fk_,gf_);
// Evaluate the gradient of the Lagrangian with the new x and new mu
copy(gf_.begin(),gf_.end(),gLag_.begin());
if(m_>0) DMatrix::mul_no_alloc_tn(Jk_,mu_,gLag_);
// gLag += mu_x_;
transform(gLag_.begin(),gLag_.end(),mu_x_.begin(),gLag_.begin(),plus<double>());
// Updating Lagrange Hessian
if( hess_mode_ == HESS_BFGS){
log("Updating Hessian (BFGS)");
// BFGS with careful updates and restarts
if (iter % lbfgs_memory_ == 0){
// Reset Hessian approximation by dropping all off-diagonal entries
const vector<int>& rowind = Bk_.rowind(); // Access sparsity (row offset)
const vector<int>& col = Bk_.col(); // Access sparsity (column)
vector<double>& data = Bk_.data(); // Access nonzero elements
for(int i=0; i<rowind.size()-1; ++i){ // Loop over the rows of the Hessian
for(int el=rowind[i]; el<rowind[i+1]; ++el){ // Loop over the nonzero elements of the row
if(i!=col[el]) data[el] = 0; // Remove if off-diagonal entries
}
}
}
// Pass to BFGS update function
bfgs_.setInput(Bk_,BFGS_BK);
bfgs_.setInput(x_,BFGS_X);
bfgs_.setInput(x_old_,BFGS_X_OLD);
bfgs_.setInput(gLag_,BFGS_GLAG);
bfgs_.setInput(gLag_old_,BFGS_GLAG_OLD);
// Update the Hessian approximation
bfgs_.evaluate();
// Get the updated Hessian
bfgs_.getOutput(Bk_);
} else {
// Exact Hessian
log("Evaluating hessian");
eval_h(x_,mu_,1.0,Bk_);
}
}
// Save results to outputs
output(NLP_COST).set(fk_);
output(NLP_X_OPT).set(x_);
output(NLP_LAMBDA_G).set(mu_);
output(NLP_LAMBDA_X).set(mu_x_);
output(NLP_G).set(gk_);
// Save statistics
stats_["iter_count"] = iter;
}
int main(int argc, char **argv)
{
int max = 10;
unsigned long millis = 0L;
char filename[256];
unsigned short priority = 0;
int i;
char *argument;
LSIteration iteration1;
LSIteration iteration2;
// testing gene algorithm:
initGeneSystem(30);
nextGene(1, (unsigned int) 0, 1);
exit(0);
// testing the timing algorithm:
//testTimingExtrapolation();
//startTimeMillis = getCurrentTimeMillis();
initTiming();
initFile();
// process cmdline
for (i = 1; i < argc; i++)
{
argument = argv[i];
if (strlen(argument) < 2 || argument[0] != '-')
{
usage();
exit(-2);
}
switch (argument[1])
{
case 't':
sscanf((argument + (2 * sizeof(char))), "%lu", &millis);
break;
case 'n':
sscanf((argument + (2 * sizeof(char))), "%u", &max);
break;
case 'o':
sscanf((argument + (2 * sizeof(char))), "%s", &filename);
fprintf(stderr, "Writing output to file: %s\n", filename);
openFile(filename);
break;
case 'f':
algorithm = FORWARD_ALGORITHM;
break;
case 'r':
algorithm = REVERSE_ALGORITHM;
break;
case 'p':
sscanf((argument + (2 * sizeof(char))), "%u", &priority);
break;
case 'v':
fprintf(stderr, "Version: %s\n", VERSION);
exit(0);
default:
usage();
exit(-2);
}
}
#ifdef _WIN32
// Ensure we get the lion's share of CPU by increasing process priority:
// "above normal" seems ok, but "high" can make the system unstable - not recommended!!!
if (priority > 0)
{
fprintf(stderr, "Increasing windows priority of process (%s)\n", priority == 1 ? "above normal" : "high");
SetPriorityClass(GetCurrentProcess(), priority == 1 ? ABOVE_NORMAL_PRIORITY_CLASS : HIGH_PRIORITY_CLASS);
}
#endif
fprintf(stderr, "Using %s algorithm\n", algorithm == FORWARD_ALGORITHM ? "forward" : "reverse");
if (millis > 0L)
{
max = extrapolateMax(millis);
}
fprintf(stderr, "Running %u iterations..\n", max);
printOn = 1;
// print out iterations 1 and 2 first, as the algorithm only works from 3 onwards:
iteration1.num = 1;
iteration1.last16[0] = 1;
iteration1.length = 1;
printIteration(&iteration1);
iteration2.num = 2;
iteration2.last16[0] = 1;
iteration2.last16[1] = 1;
iteration2.length = 2;
printIteration(&iteration2);
if (algorithm == FORWARD_ALGORITHM)
{
algorithmInit(max);
algorithmNext(1, 1, 3, 1);
algorithmDestroy();
}
else if (algorithm == REVERSE_ALGORITHM)
{
reverseInit(max, millis);
reverseNext(1, 1, 3, 1);
reverseDestroy();
}
closeFile();
fprintf(stderr, "Completed %u iterations in %lums.\n", max, getElapsedTimeMillis());
return 0;
}
void Newton::solve(void* mem) const {
auto m = static_cast<NewtonMemory*>(mem);
// Get the initial guess
casadi_copy(m->iarg[iin_], n_, m->x);
// Perform the Newton iterations
m->iter=0;
bool success = true;
while (true) {
// Break if maximum number of iterations already reached
if (m->iter >= max_iter_) {
log("eval", "Max. iterations reached.");
m->return_status = "max_iteration_reached";
success = false;
break;
}
// Start a new iteration
m->iter++;
// Use x to evaluate J
copy_n(m->iarg, n_in(), m->arg);
m->arg[iin_] = m->x;
m->res[0] = m->jac;
copy_n(m->ires, n_out(), m->res+1);
m->res[1+iout_] = m->f;
calc_function(m, "jac_f_z");
// Check convergence
double abstol = 0;
if (abstol_ != numeric_limits<double>::infinity()) {
for (int i=0; i<n_; ++i) {
abstol = max(abstol, fabs(m->f[i]));
}
if (abstol <= abstol_) {
casadi_msg("Converged to acceptable tolerance - abstol: " << abstol_);
break;
}
}
// Factorize the linear solver with J
linsol_.factorize(m->jac);
linsol_.solve(m->f, 1, false);
// Check convergence again
double abstolStep=0;
if (numeric_limits<double>::infinity() != abstolStep_) {
for (int i=0; i<n_; ++i) {
abstolStep = max(abstolStep, fabs(m->f[i]));
}
if (abstolStep <= abstolStep_) {
casadi_msg("Converged to acceptable tolerance - abstolStep: " << abstolStep_);
break;
}
}
if (print_iteration_) {
// Only print iteration header once in a while
if (m->iter % 10==0) {
printIteration(userOut());
}
// Print iteration information
printIteration(userOut(), m->iter, abstol, abstolStep);
}
// Update Xk+1 = Xk - J^(-1) F
casadi_axpy(n_, -1., m->f, m->x);
}
// Get the solution
casadi_copy(m->x, n_, m->ires[iout_]);
// Store the iteration count
if (success) m->return_status = "success";
casadi_msg("Newton::solveNonLinear():end after " << m->iter << " steps");
}