// Old implementation of first derivative of basis functions
DenseVector BSplineBasis1D::evaluateFirstDerivative(double x) const
{
DenseVector values;
values.setZero(numBasisFunctions());
supportHack(x);
std::vector<int> supportedBasisFunctions = indexSupportedBasisfunctions(x);
for(int i : supportedBasisFunctions)
{
// Differentiate basis function
// Equation 3.35 in Lyche & Moerken (2011)
double b1 = deBoorCox(x, i, degree-1);
double b2 = deBoorCox(x, i+1, degree-1);
double t11 = knots.at(i);
double t12 = knots.at(i+degree);
double t21 = knots.at(i+1);
double t22 = knots.at(i+degree+1);
(t12 == t11) ? b1 = 0 : b1 = b1/(t12-t11);
(t22 == t21) ? b2 = 0 : b2 = b2/(t22-t21);
values(i) = degree*(b1 - b2);
}
return values;
}
DenseVector BilinearRelaxationTest::bilinearFunction(DenseVector x)
{
assert(x.rows() == 2);
DenseVector y; y.setZero(1);
y(0) = x(0)*x(1);
return y;
}
DenseVector Michalewicz::michalewiczFunction(DenseVector x)
{
assert(x.rows() == 2);
double pi = atan(1)*4;
DenseVector y; y.setZero(1);
y(0) = -sin(x(0))*pow(sin(x(0)*x(0)/pi), 20) -sin(x(1))*pow(sin(2*x(1)*x(1)/pi), 20);
return y;
}
void POP03::runProblem()
{
// Problem 3 (Nataraj)
// cout << "\n\nSolving problem P03..." << endl;
int dim = 4;
// x1,x2,l1,l2
std::vector<double> costs = {1, 0, 0, 0};
std::vector<double> lb = {-10,-10,0,-1000};
std::vector<double> ub = {10,10,100,1000};
std::vector<double> z0(dim,0);
std::vector<VariablePtr> vars;
for (int i = 0; i < dim; i++)
{
auto var = std::make_shared<Variable>(costs.at(i), lb.at(i), ub.at(i));
vars.push_back(var);
}
ConstraintSetPtr cs = std::make_shared<ConstraintSet>();
{ // x1^2 = l1
VariablePtr var = vars.at(0);
std::vector<double> thislb = {var->getLowerBound()};
std::vector<double> thisub = {var->getUpperBound()};
std::vector<unsigned int> deg = {2};
DenseVector c(3);
c.setZero();
c(0) = 0;
c(1) = 0;
c(2) = 1;
DenseMatrix T = getTransformationMatrix(deg, thislb, thisub);
DenseMatrix coeffs = T*c;
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs.transpose(), knots, deg);
std::vector<VariablePtr> cvars = {var, vars.at(2)};
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
}
{ // x1^3 = l1
VariablePtr var = vars.at(0);
std::vector<double> thislb = {var->getLowerBound()};
std::vector<double> thisub = {var->getUpperBound()};
std::vector<unsigned int> deg = {3};
DenseVector c(4); c.setZero();
c(0) = 0;
c(1) = 0;
c(2) = 0;
c(3) = 1;
DenseMatrix T = getTransformationMatrix(deg, thislb, thisub);
DenseMatrix coeffs = T*c;
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs.transpose(), knots, deg);
std::vector<VariablePtr> cvars = {var, vars.at(3)};
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
}
{ // x2 - l1 <= 0, x2 - l2 <= 0
DenseMatrix A(2,3);
A.setZero();
A(0,0) = -1; A(0,1) = 1;
A(1,0) = 1; A(1,1) = 2; A(1,2) = -1;
DenseVector b; b.setZero(2); b(1) = -1e-5;
std::vector<VariablePtr> cvars = {
vars.at(1),
vars.at(2),
vars.at(3)
};
ConstraintPtr lincon = std::make_shared<ConstraintLinear>(cvars, A, b, false);
cs->add(lincon);
}
BB::BranchAndBound bnb(cs);
Timer timer;
timer.start();
SolverResult res = bnb.optimize();
timer.stop();
cout << "Time: " << timer.getMilliSeconds() << " (ms)" << endl;
if (res.status == SolverStatus::OPTIMAL)
fopt_found = res.objectiveValue;
}
void BilinearRelaxationTest::runProblem()
{
std::vector<double> cost, lb, ub, z0;
cost.push_back(0);
cost.push_back(0);
cost.push_back(1);
lb.push_back(-1.);
lb.push_back(-1.);
lb.push_back(-INF);
ub.push_back(1);
ub.push_back(2.5);
ub.push_back(INF);
z0.push_back(1);
z0.push_back(-0.5);
z0.push_back(-0.5);
std::vector<VariablePtr> vars;
for (unsigned int i = 0; i < 3; i++)
{
auto var = std::make_shared<Variable>(cost.at(i), lb.at(i), ub.at(i));
var->setValue(z0.at(i));
vars.push_back(var);
}
// Constraints
ConstraintSetPtr constraints = std::make_shared<ConstraintSet>();
ConstraintPtr myBilinearConstraint = std::make_shared<ConstraintBilinear>(vars,1,0,0);
constraints->add(myBilinearConstraint);
DataTable data;
double dx = 0.5;
for (double x1 = lb.at(0); x1 <= ub.at(0); x1+=dx)
{
for (double x2 = lb.at(1); x2 <= ub.at(1); x2+=dx)
{
std::vector<double> x;
x.push_back(x1);
x.push_back(x2);
DenseVector xd; xd.setZero(2);
xd(0) = x1;
xd(1) = x2;
DenseVector yd = bilinearFunction(xd);
data.addSample(x,yd(0));
}
}
ConstraintSetPtr constraints2 = std::make_shared<ConstraintSet>();
BSpline bs = BSpline::Builder(data).degree(3).build();
ConstraintPtr cbspline = std::make_shared<ConstraintBSpline>(vars, bs, true);
constraints2->add(cbspline);
// Test accuracy of B-spline
// DenseVector (*foo)(DenseVector);
// foo = &bilinearFunction;
// BSpline* bs = new BSpline(*data, 3);
// bool testpassed = bs->testBspline(foo);
// if (testpassed)
// {
// cout << "B-spline is very accurate:)" << endl;
// }
// else
// {
// cout << "B-spline is NOT very accurate:(" << endl;
// }
BB::BranchAndBound solver(constraints);
//SolverIpopt solver(constraints);
SolverResult res = solver.optimize();
cout << res << endl;
zopt_found = res.primalVariables;
fopt_found = res.objectiveValue;
}
void POP06::runProblem()
{
// Problem 6 (Nataraj)
// 5 2-D B-splines
int dim = 4+2;
// x1,x2,x3,x4,l1,l2
std::vector<double> costs = {0, 0, 0, 0, 1, 0};
std::vector<double> lb = {1,0.625,47.5,90,-INF,-INF};
std::vector<double> ub = {1.1375,1,52.5,112,INF,INF};
std::vector<double> z0(dim,0);
// x1,x2,x3,x4,l1,l2,l3,l4,l5
// std::vector<double> lb = {1,0.625,47.5,90,-INF,-INF,-INF,-INF,-INF};
// std::vector<double> ub = {1.1375,1,52.5,112,INF,INF,INF,INF,INF};
std::vector<VariablePtr> vars;
for (int i = 0; i < dim; i++)
{
auto var = std::make_shared<Variable>(costs.at(i), lb.at(i), ub.at(i));
vars.push_back(var);
}
ConstraintSetPtr cs = std::make_shared<ConstraintSet>();
{ // obj = l1
std::vector<VariablePtr> cvars = {
vars.at(0),
vars.at(1),
vars.at(2),
vars.at(3),
vars.at(4)
};
std::vector<double> thislb = {
cvars.at(0)->getLowerBound(),
cvars.at(1)->getLowerBound(),
cvars.at(2)->getLowerBound(),
cvars.at(3)->getLowerBound()
};
std::vector<double> thisub = {
cvars.at(0)->getUpperBound(),
cvars.at(1)->getUpperBound(),
cvars.at(2)->getUpperBound(),
cvars.at(3)->getUpperBound()
};
std::vector<unsigned int> deg = {2,1,2,1};
// Poly coeffs
DenseVector c(4);
c.setZero();
c(0) = 0.6224;
c(1) = 1.7781;
c(2) = 3.1661;
c(3) = 19.84;
// Poly exponents
DenseMatrix E(4,4);
E.setZero();
E(0,2) = 1; E(0,3) = 1;
E(1,1) = 1; E(1,2) = 2;
E(2,0) = 2; E(2,3) = 1;
E(3,0) = 2; E(3,2) = 1;
DenseMatrix coeffs = getBSplineBasisCoefficients(c, E, thislb, thisub);
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs, knots, deg);
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
//DenseMatrix cpoints = bs.getControlPoints();
//cout << cpoints << endl;
}
{ // noncon = l2
std::vector<VariablePtr> cvars = {
vars.at(2),
vars.at(3),
vars.at(5)
};
std::vector<double> thislb = {
cvars.at(0)->getLowerBound(),
cvars.at(1)->getLowerBound()
};
std::vector<double> thisub = {
cvars.at(0)->getUpperBound(),
cvars.at(1)->getUpperBound()
};
std::vector<unsigned int> deg = {3,1};
// Poly coeffs
DenseVector c(2);
c.setZero();
c(0) = -1;
c(1) = -(4.0/3.0);
// Poly exponents
DenseMatrix E(2,2);
E.setZero();
E(0,0) = 2; E(0,1) = 1;
E(1,0) = 3;
DenseMatrix coeffs = getBSplineBasisCoefficients(c, E, thislb, thisub);
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs, knots, deg);
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
}
{ // Linear constraints of auxiliary variables
DenseMatrix A(4,6);
A.setZero();
A(0,0) = -1; A(0,2) = 0.0193;
A(1,1) = -1; A(1,2) = 0.00954;
A(2,5) = 1;
A(3,3) = 1;
DenseVector b;
b.setZero(4);
b(2) = -750.1728/3.14159265359;
b(3) = 240;
ConstraintPtr lincon = std::make_shared<ConstraintLinear>(vars, A, b, false);
cs->add(lincon);
}
BB::BranchAndBound bnb(cs);
Timer timer;
timer.start();
SolverResult res = bnb.optimize();
timer.stop();
cout << "Time: " << timer.getMilliSeconds() << " (ms)" << endl;
cout << "Time: " << timer.getMicroSeconds() << " (us)" << endl;
//1 0.625 47.5 90 6395.50783 -345958.333
if (res.status == SolverStatus::OPTIMAL)
fopt_found = res.objectiveValue;
}
void POP10::runProblem()
{
// Problem 10 (Nataraj), QP
// Five 1-D B-splines
cout << "\n\nSolving problem P10..." << endl;
int dim = 6+5; // x1,..,x5,y,l1,...,l5
// x1,x2,x3,x4,l1,l2,l3
std::vector<double> costs = {0,0,0,0,0,-10,1,1,1,1,1};
std::vector<double> lb = {0,0,0,0,0,0,-INF,-INF,-INF,-INF,-INF};
std::vector<double> ub = {1,1,1,1,1,INF,INF,INF,INF,INF,INF};
std::vector<double> z0(dim,0);
std::vector<VariablePtr> vars;
for (int i = 0; i < dim; i++)
{
auto var = std::make_shared<Variable>(costs.at(i), lb.at(i), ub.at(i));
vars.push_back(var);
}
ConstraintSetPtr cs = std::make_shared<ConstraintSet>();
std::vector<double> a = {-10.5,-7.5,-3.5,-2.5,-1.5};
// Add one B-spline for each variable
for (int i = 0; i < 5; i++)
{
std::vector<VariablePtr> cvars = {
vars.at(i),
vars.at(i+6)
};
std::vector<double> thislb = {cvars.at(0)->getLowerBound()};
std::vector<double> thisub = {cvars.at(0)->getUpperBound()};
std::vector<unsigned int> deg = {2};
// Poly coeffs
DenseVector c(3);
c.setZero();
c(0) = 0;
c(1) = a.at(i);
c(2) = -0.5; // -50 or -0.5 (Floudas' problem has -50)
DenseMatrix T = getTransformationMatrix(deg, thislb, thisub);
DenseMatrix coeffs = T*c;
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs.transpose(), knots, deg);
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
}
{ // Linear constraints
std::vector<VariablePtr> cvars = {
vars.at(0),
vars.at(1),
vars.at(2),
vars.at(3),
vars.at(4),
vars.at(5)
};
DenseMatrix A = DenseMatrix::Zero(2,6);
A(0,0) = 6; A(0,1) = 3; A(0,2) = 3; A(0,3) = 2; A(0,4) = 1;
A(1,0) = 10; A(1,2) = 10; A(1,5) = 1;
DenseVector b;
b.setZero(2);
b(0) = 6.5;
b(1) = 20;
ConstraintPtr lincon = std::make_shared<ConstraintLinear>(cvars, A, b, false);
cs->add(lincon);
}
BB::BranchAndBound bnb(cs);
Timer timer;
timer.start();
SolverResult res = bnb.optimize();
timer.stop();
cout << "Time: " << timer.getMilliSeconds() << " (ms)" << endl;
cout << "Time: " << timer.getMicroSeconds() << " (us)" << endl;
if (res.status == SolverStatus::OPTIMAL)
fopt_found = res.objectiveValue;
}
void POP01::runProblem()
{
// Problem 1 (Nataraj)
// cout << "\n\nSolving problem P01..." << endl;
int dim = 4;
// x1,x2,l1,l2
std::vector<double> costs = {-1, -1, 0, 0};
std::vector<double> lb = {0,0,-INF,-INF};
std::vector<double> ub = {3,4,INF,INF};
//std::vector<double> z0(dim,0);
std::vector<VariablePtr> vars;
for (int i = 0; i < dim; i++)
{
auto var = std::make_shared<Variable>(costs.at(i), lb.at(i), ub.at(i));
vars.push_back(var);
}
ConstraintSetPtr cs = std::make_shared<ConstraintSet>();
{ // 2*x1^4 - 8*x1^3 + 8*x1^2 + 2
std::vector<VariablePtr> cvars = {vars.at(0), vars.at(2)};
std::vector<double> thislb = {cvars.at(0)->getLowerBound()};
std::vector<double> thisub = {cvars.at(0)->getUpperBound()};
std::vector<unsigned int> deg = {4};
DenseVector c(5);
c.setZero();
c(0) = 2;
c(1) = 0;
c(2) = 8;
c(3) = -8;
c(4) = 2;
DenseMatrix T = getTransformationMatrix(deg, thislb, thisub);
DenseMatrix coeffs = T*c;
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs, knots, deg);
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
}
{ // 4*x1^4 - 32*x1^3 + 88*x1^2 - 96*x1 + 36
std::vector<VariablePtr> cvars = {vars.at(0), vars.at(3)};
std::vector<double> thislb = {cvars.at(0)->getLowerBound()};
std::vector<double> thisub = {cvars.at(0)->getUpperBound()};
std::vector<unsigned int> deg = {4};
DenseVector c(5); c.setZero();
c(0) = 36;
c(1) = -96;
c(2) = 88;
c(3) = -32;
c(4) = 4;
DenseMatrix T = getTransformationMatrix(deg, thislb, thisub);
DenseMatrix coeffs = T*c;
std::vector< std::vector<double> > knots = getRegularKnotVectors(deg, thislb, thisub);
BSpline bs(coeffs, knots, deg);
ConstraintPtr cbs = std::make_shared<ConstraintBSpline>(cvars, bs, true);
cs->add(cbs);
}
{ // x2 - l1 <= 0, x2 - l2 <= 0
std::vector<VariablePtr> cvars = {
vars.at(1),
vars.at(2),
vars.at(3)
};
DenseMatrix A(2,3);
A.setZero();
A(0,0) = 1; A(0,1) = -1;
A(1,0) = 1; A(1,2) = -1;
DenseVector b; b.setZero(2);
ConstraintPtr lincon = std::make_shared<ConstraintLinear>(cvars, A, b, false);
cs->add(lincon);
}
BB::BranchAndBound solver(cs);
Timer timer;
timer.start();
SolverResult res = solver.optimize();
timer.stop();
cout << res << endl;
cout << res.primalVariables << endl;
cout << "Time: " << timer.getMilliSeconds() << " (ms)" << endl;
if (res.status == SolverStatus::OPTIMAL)
fopt_found = res.objectiveValue;
}
