SmartPtr<const Vector>
AugRestoSystemSolver::Neg_Omega_c_plus_D_c(
const SmartPtr<const Vector>& sigma_tilde_n_c_inv,
const SmartPtr<const Vector>& sigma_tilde_p_c_inv,
const Vector* D_c,
const Vector& any_vec_in_c)
{
DBG_START_METH("AugRestoSystemSolver::Neg_Omega_c_plus_D_c",dbg_verbosity);
SmartPtr<Vector> retVec;
if (IsValid(sigma_tilde_n_c_inv) || IsValid(sigma_tilde_p_c_inv) || D_c) {
if (!neg_omega_c_plus_D_c_cache_.
GetCachedResult3Dep(retVec, GetRawPtr(sigma_tilde_n_c_inv), GetRawPtr(sigma_tilde_p_c_inv), D_c)) {
DBG_PRINT((1,"Not found in cache\n"));
retVec = any_vec_in_c.MakeNew();
Number fact1, fact2;
SmartPtr<const Vector> v1;
SmartPtr<const Vector> v2;
if (IsValid(sigma_tilde_n_c_inv)) {
v1 = sigma_tilde_n_c_inv;
fact1 = -1.;
}
else {
v1 = &any_vec_in_c;
fact1 = 0.;
}
if (IsValid(sigma_tilde_p_c_inv)) {
v2 = sigma_tilde_p_c_inv;
fact2 = -1.;
}
else {
v2 = &any_vec_in_c;
fact2 = 0.;
}
retVec->AddTwoVectors(fact1, *v1, fact2, *v2, 0.);
if (D_c) {
retVec->Axpy(1.0, *D_c);
}
neg_omega_c_plus_D_c_cache_.
AddCachedResult3Dep(retVec, GetRawPtr(sigma_tilde_n_c_inv), GetRawPtr(sigma_tilde_p_c_inv), D_c);
}
}
return ConstPtr(retVec);
}
SmartPtr<const Vector> AugRestoSystemSolver::D_x_plus_wr_d(
const SmartPtr<const Vector>& CD_x0,
Number factor,
const Vector& wr_d)
{
DBG_START_METH("AugRestoSystemSolver::D_x_plus_wr_d",dbg_verbosity);
SmartPtr<Vector> retVec;
std::vector<const TaggedObject*> deps(2);
deps[0] = &wr_d;
if (IsValid(CD_x0)) {
deps[1] = GetRawPtr(CD_x0);
}
else {
deps[1] = NULL;
}
std::vector<Number> scalar_deps(1);
scalar_deps[0] = factor;
if (!d_x_plus_wr_d_cache_.GetCachedResult(retVec, deps, scalar_deps)) {
DBG_PRINT((1,"Not found in cache\n"));
retVec = wr_d.MakeNew();
Number fact;
SmartPtr<const Vector> v;
if (IsValid(CD_x0)) {
fact = 1.;
v = CD_x0;
}
else {
fact = 0.;
v = &wr_d;
}
retVec->AddTwoVectors(factor, wr_d, fact, *v, 0.);
d_x_plus_wr_d_cache_.AddCachedResult(retVec, deps, scalar_deps);
}
DBG_PRINT_VECTOR(2, "retVec", *retVec);
return ConstPtr(retVec);
}
char CGPenaltyLSAcceptor::UpdatePenaltyParameter()
{
DBG_START_METH("CGPenaltyLSAcceptor::UpdatePenaltyParameter",
dbg_verbosity);
char info_alpha_primal_char = 'n';
// We use the new infeasibility here...
Number trial_inf = IpCq().trial_primal_infeasibility(NORM_2);
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"trial infeasibility = %8.2\n", trial_inf);
if (curr_eta_<0.) {
// We need to initialize the eta tolerance
curr_eta_ = Max(eta_min_, Min(gamma_tilde_,
gamma_hat_*IpCq().curr_nlp_error()));
}
// Check if the penalty parameter is to be increased
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"Starting tests for penalty parameter update:\n");
bool increase = (trial_inf >= penalty_update_infeasibility_tol_);
if (!increase) {
info_alpha_primal_char='i';
}
if (increase) {
Number max_step = Max(CGPenData().delta_cgpen()->x()->Amax(),
CGPenData().delta_cgpen()->s()->Amax());
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"Max norm of step = %8.2\n", max_step);
increase = (max_step <= curr_eta_);
if (!increase) {
info_alpha_primal_char='d';
}
}
// Lifeng: Should we use the new complementarity here? If so, I
// have to restructure BacktrackingLineSearch
Number mu = IpData().curr_mu();
if (increase) {
Number min_compl = mu;
Number max_compl = mu;
if (IpNLP().x_L()->Dim()>0) {
SmartPtr<const Vector> compl_x_L = IpCq().curr_compl_x_L();
min_compl = Min(min_compl, compl_x_L->Min());
max_compl = Max(max_compl, compl_x_L->Max());
}
if (IpNLP().x_U()->Dim()>0) {
SmartPtr<const Vector> compl_x_U = IpCq().curr_compl_x_U();
min_compl = Min(min_compl, compl_x_U->Min());
max_compl = Max(max_compl, compl_x_U->Max());
}
if (IpNLP().d_L()->Dim()>0) {
SmartPtr<const Vector> compl_s_L = IpCq().curr_compl_s_L();
min_compl = Min(min_compl, compl_s_L->Min());
max_compl = Max(max_compl, compl_s_L->Max());
}
if (IpNLP().d_U()->Dim()>0) {
SmartPtr<const Vector> compl_s_U = IpCq().curr_compl_s_U();
min_compl = Min(min_compl, compl_s_U->Min());
max_compl = Max(max_compl, compl_s_U->Max());
}
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"Minimal compl = %8.2\n", min_compl);
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"Maximal compl = %8.2\n", max_compl);
increase = (min_compl >= mu*penalty_update_compl_tol_ &&
max_compl <= mu/penalty_update_compl_tol_);
if (!increase) {
info_alpha_primal_char='c';
}
}
// Lifeng: Here I'm using the information from the current step
// and the current infeasibility
if (increase) {
SmartPtr<Vector> vec = IpData().curr()->y_c()->MakeNewCopy();
vec->AddTwoVectors(1., *CGPenData().delta_cgpen()->y_c(),
-1./CGPenCq().curr_cg_pert_fact(), *IpCq().curr_c(),
1.);
Number omega_test = vec->Amax();
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"omega_test for c = %8.2\n", omega_test);
increase = (omega_test < curr_eta_);
if (increase) {
SmartPtr<Vector> vec = IpData().curr()->y_d()->MakeNewCopy();
vec->AddTwoVectors(1., *IpData().delta()->y_d(),
-1./CGPenCq().curr_cg_pert_fact(), *IpCq().curr_d_minus_s(),
1.);
omega_test = vec->Amax();
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"omega_test for d = %8.2\n", omega_test);
increase = (omega_test < curr_eta_);
}
if (!increase) {
info_alpha_primal_char='m';
}
}
if (increase) {
// Ok, now we should increase the penalty parameter
counter_first_type_penalty_updates_++;
// Update the eta tolerance
curr_eta_ = Max(eta_min_, curr_eta_/2.);
Jnlst().Printf(J_MOREDETAILED, J_LINE_SEARCH,
"Updating eta to = %8.2\n", curr_eta_);
Number penalty = CGPenData().curr_kkt_penalty();
Number y_full_step_max;
SmartPtr<Vector> vec = IpData().curr()->y_c()->MakeNew();
vec->AddTwoVectors(1., *IpData().curr()->y_c(),
1., *CGPenData().delta_cgpen()->y_c(), 0.);
y_full_step_max = vec->Amax();
vec = IpData().curr()->y_d()->MakeNew();
vec->AddTwoVectors(1., *IpData().curr()->y_d(),
1., *CGPenData().delta_cgpen()->y_d(), 0.);
y_full_step_max = Max(y_full_step_max, vec->Amax());
if (IpCq().curr_primal_infeasibility(NORM_2) >= epsilon_c_) {
penalty = Max(chi_hat_*penalty, y_full_step_max + 1.);
info_alpha_primal_char = 'l';
}
else {
penalty = Max(chi_tilde_*penalty, chi_cup_*y_full_step_max);
info_alpha_primal_char = 's';
}
if (penalty > penalty_max_) {
THROW_EXCEPTION(IpoptException, "Penalty parameter becomes too large.");
}
CGPenData().Set_kkt_penalty(penalty);
if (CGPenData().NeverTryPureNewton()) {
CGPenData().Set_penalty(penalty);
}
}
// Second heuristic update for penalty parameters
if (IpData().curr()->y_c()->Dim() + IpData().curr()->y_d()->Dim() > 0 &&
!never_use_piecewise_penalty_ls_) {
Number scaled_y_Amax = CGPenCq().curr_scaled_y_Amax();
if (scaled_y_Amax <= 1e4 ||
counter_second_type_penalty_updates_ < 5) {
Number result;
SmartPtr<const Vector> ty_c = IpData().curr()->y_c();
SmartPtr<const Vector> ty_d = IpData().curr()->y_d();
SmartPtr<const Vector> dy_c = IpData().delta()->y_c();
SmartPtr<const Vector> dy_d = IpData().delta()->y_d();
Number curr_inf = IpCq().curr_primal_infeasibility(NORM_2);
result = dy_c->Dot(*IpCq().curr_c()) + dy_d->Dot(*IpCq().curr_d_minus_s());
if (!CGPenData().HaveCgFastDeltas()) {
result += ty_c->Dot(*IpCq().curr_c()) + ty_d->Dot(*IpCq().curr_d_minus_s());
}
Number k_pen = CGPenData().curr_kkt_penalty();
if (result > 0.5*k_pen*curr_inf || result < -0.5*k_pen*curr_inf) {
Number nrm2_y = CGPenCq().curr_added_y_nrm2();
result = 5.*nrm2_y;
CGPenData().Set_kkt_penalty(result);
if (CGPenData().NeverTryPureNewton()) {
CGPenData().Set_penalty(result);
}
if (scaled_y_Amax > 1e4) {
counter_second_type_penalty_updates_++;
}
}
}
}
return info_alpha_primal_char;
}
bool InexactSearchDirCalculator::ComputeSearchDirection()
{
DBG_START_METH("InexactSearchDirCalculator::ComputeSearchDirection",
dbg_verbosity);
// First check if the iterates have converged to a locally
// infeasible point
Number curr_scaled_Ac_norm = InexCq().curr_scaled_Ac_norm();
Jnlst().Printf(J_DETAILED, J_SOLVE_PD_SYSTEM, "curr_scaled_Ac_norm = %e\n", curr_scaled_Ac_norm);
Number curr_inf = IpCq().curr_primal_infeasibility(NORM_2);
// ToDo work on termination criteria
if( curr_scaled_Ac_norm <= local_inf_Ac_tol_ && curr_inf > 1e-4 )
{
THROW_EXCEPTION(LOCALLY_INFEASIBLE, "The scaled norm of Ac is satisfying tolerance");
}
bool compute_normal = false;
switch( decomposition_type_ )
{
case ALWAYS:
compute_normal = true;
break;
case ADAPTIVE:
compute_normal = InexData().next_compute_normal();
break;
case SWITCH_ONCE:
compute_normal = InexData().next_compute_normal() || InexData().compute_normal();
break;
}
SmartPtr<Vector> normal_x;
SmartPtr<Vector> normal_s;
bool retval;
SmartPtr<IteratesVector> delta;
SmartPtr<const IteratesVector> curr = IpData().curr();
SmartPtr<IteratesVector> rhs;
SmartPtr<Vector> tmp;
// Now we set up the primal-dual system for computing the
// tangential step and the search direction for the multipliers.
// This is taken from IpPDSearchDirCal.cpp (rev 549).
// We do not need entries for the variable bound multipliers
// Upper part of right-hand-side vector is same for both systems
rhs = curr->MakeNewContainer();
tmp = curr->x()->MakeNew();
tmp->AddOneVector(-1., *IpCq().curr_grad_lag_with_damping_x(), 0.);
rhs->Set_x(*tmp);
tmp = curr->s()->MakeNew();
tmp->AddOneVector(-1., *IpCq().curr_grad_lag_with_damping_s(), 0.);
rhs->Set_s(*tmp);
tmp = curr->v_L()->MakeNew();
tmp->AddOneVector(-1., *IpCq().curr_relaxed_compl_s_L(), 0.);
rhs->Set_v_L(*tmp);
tmp = curr->v_U()->MakeNew();
tmp->AddOneVector(-1., *IpCq().curr_relaxed_compl_s_U(), 0.);
rhs->Set_v_U(*tmp);
// Loop through algorithms
bool done = false;
while( !done )
{
InexData().set_compute_normal(compute_normal);
InexData().set_next_compute_normal(compute_normal);
if( !compute_normal )
{
normal_x = NULL;
normal_s = NULL;
}
else
{
retval = normal_step_calculator_->ComputeNormalStep(normal_x, normal_s);
if( !retval )
{
return false;
}
// output
if( Jnlst().ProduceOutput(J_VECTOR, J_SOLVE_PD_SYSTEM) )
{
Jnlst().Printf(J_VECTOR, J_SOLVE_PD_SYSTEM, "Normal step (without slack scaling):\n");
normal_x->Print(Jnlst(), J_VECTOR, J_SOLVE_PD_SYSTEM, "normal_x");
normal_s->Print(Jnlst(), J_VECTOR, J_SOLVE_PD_SYSTEM, "normal_s");
}
}
// Lower part of right-hand-side vector is different for each system
if( !compute_normal )
{
tmp = curr->y_c()->MakeNew();
tmp->AddOneVector(-1., *IpCq().curr_c(), 0.);
rhs->Set_y_c(*tmp);
tmp = curr->y_d()->MakeNew();
tmp->AddOneVector(-1., *IpCq().curr_d_minus_s(), 0.);
rhs->Set_y_d(*tmp);
}
else
{
rhs->Set_y_c(*IpCq().curr_jac_c_times_vec(*normal_x));
tmp = normal_s->MakeNew();
tmp->AddTwoVectors(1., *IpCq().curr_jac_d_times_vec(*normal_x), -1., *normal_s, 0.);
rhs->Set_y_d(*tmp);
}
InexData().set_normal_x(normal_x);
InexData().set_normal_s(normal_s);
delta = rhs->MakeNewIteratesVector();
retval = inexact_pd_solver_->Solve(*rhs, *delta);
// Determine if acceptable step has been computed
if( !compute_normal && (!retval || InexData().next_compute_normal()) )
{
// If normal step has not been computed and step is not satisfactory, try computing normal step
InexData().set_compute_normal(true);
compute_normal = true;
}
else
{
// If normal step has been computed, stop anyway
done = true;
}
}
if( retval )
{
// Store the search directions in the IpData object
IpData().set_delta(delta);
if( InexData().compute_normal() )
{
IpData().Append_info_string("NT ");
}
else
{
IpData().Append_info_string("PD ");
}
}
return retval;
}
Number InexactLSAcceptor::ComputeAlphaForY(
Number alpha_primal,
Number alpha_dual,
SmartPtr<IteratesVector>& delta
)
{
DBG_START_METH("InexactLSAcceptor::ComputeAlphaForY",
dbg_verbosity);
// Here, we choose as stepsize for y either alpha_primal, if the
// conditions from the ineqaxt paper is satisfied for it, or we
// compute the step size closest to alpha_primal but great than
// it, that does give the same progress as the full step would
// give.
Number alpha_y = alpha_primal;
SmartPtr<Vector> gx = IpCq().curr_grad_barrier_obj_x()->MakeNewCopy();
gx->AddTwoVectors(1., *IpCq().curr_jac_cT_times_curr_y_c(), 1., *IpCq().curr_jac_dT_times_curr_y_d(), 1.);
SmartPtr<Vector> Jxy = gx->MakeNew();
IpCq().curr_jac_c()->TransMultVector(1., *delta->y_c(), 0., *Jxy);
IpCq().curr_jac_d()->TransMultVector(1., *delta->y_d(), 1., *Jxy);
SmartPtr<const Vector> curr_scaling_slacks = InexCq().curr_scaling_slacks();
SmartPtr<Vector> gs = curr_scaling_slacks->MakeNew();
gs->AddTwoVectors(1., *IpCq().curr_grad_barrier_obj_s(), -1., *IpData().curr()->y_d(), 0.);
gs->ElementWiseMultiply(*curr_scaling_slacks);
SmartPtr<Vector> Sdy = delta->y_d()->MakeNewCopy();
Sdy->ElementWiseMultiply(*curr_scaling_slacks);
// using the magic formula in my notebook
Number a = pow(Jxy->Nrm2(), 2) + pow(Sdy->Nrm2(), 2);
Number b = 2 * (gx->Dot(*Jxy) - gs->Dot(*Sdy));
Number c = pow(gx->Nrm2(), 2) + pow(gs->Nrm2(), 2);
// First we check if the primal step size is good enough:
Number val_ap = alpha_primal * alpha_primal * a + alpha_primal * b + c;
Number val_1 = a + b + c;
if( val_ap <= val_1 )
{
Jnlst().Printf(J_DETAILED, J_LINE_SEARCH, " Step size for y: using alpha_primal\n.");
}
else
{
Number alpha_2 = -b / a - 1.;
Jnlst().Printf(J_DETAILED, J_LINE_SEARCH, " Step size for y candidate: %8.2e - ", alpha_2);
if( alpha_2 > alpha_primal && alpha_2 < 1. )
{
alpha_y = alpha_2;
Jnlst().Printf(J_DETAILED, J_LINE_SEARCH, "using that one\n.");
}
else
{
alpha_y = 1.;
Jnlst().Printf(J_DETAILED, J_LINE_SEARCH, "using 1 instead\n");
}
}
return alpha_y;
}
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);
}