void NLPSolverInternal::init(){
// Read options
verbose_ = getOption("verbose");
gauss_newton_ = getOption("gauss_newton");
// Initialize the functions
casadi_assert_message(!F_.isNull(),"No objective function");
if(!F_.isInit()){
F_.init();
log("Objective function initialized");
}
if(!G_.isNull() && !G_.isInit()){
G_.init();
log("Constraint function initialized");
}
// Get dimensions
n_ = F_.input(0).numel();
m_ = G_.isNull() ? 0 : G_.output(0).numel();
parametric_ = getOption("parametric");
if (parametric_) {
casadi_assert_message(F_.getNumInputs()==2, "Wrong number of input arguments to F for parametric NLP. Must be 2, but got " << F_.getNumInputs());
} else {
casadi_assert_message(F_.getNumInputs()==1, "Wrong number of input arguments to F for non-parametric NLP. Must be 1, but got " << F_.getNumInputs() << " instead. Do you perhaps intend to use fixed parameters? Then use the 'parametric' option.");
}
// Basic sanity checks
casadi_assert_message(F_.getNumInputs()==1 || F_.getNumInputs()==2, "Wrong number of input arguments to F. Must be 1 or 2");
if (F_.getNumInputs()==2) parametric_=true;
casadi_assert_message(getOption("ignore_check_vec") || gauss_newton_ || F_.input().size2()==1,
"To avoid confusion, the input argument to F must be vector. You supplied " << F_.input().dimString() << endl <<
" We suggest you make the following changes:" << endl <<
" - F is an SXFunction: SXFunction([X],[rhs]) -> SXFunction([vec(X)],[rhs])" << endl <<
" or F - -> F = vec(F) " <<
" - F is an MXFunction: MXFunction([X],[rhs]) -> " << endl <<
" X_vec = MX(\"X\",vec(X.sparsity())) " << endl <<
" F_vec = MXFunction([X_flat],[F.call([X_flat.reshape(X.sparsity())])[0]]) " << endl <<
" or F - -> F = vec(F) " <<
" You may ignore this warning by setting the 'ignore_check_vec' option to true." << endl
);
casadi_assert_message(F_.getNumOutputs()>=1, "Wrong number of output arguments to F");
casadi_assert_message(gauss_newton_ || F_.output().scalar(), "Output argument of F not scalar.");
casadi_assert_message(F_.output().dense(), "Output argument of F not dense.");
casadi_assert_message(F_.input().dense(), "Input argument of F must be dense. You supplied " << F_.input().dimString());
if(!G_.isNull()) {
if (parametric_) {
casadi_assert_message(G_.getNumInputs()==2, "Wrong number of input arguments to G for parametric NLP. Must be 2, but got " << G_.getNumInputs());
} else {
casadi_assert_message(G_.getNumInputs()==1, "Wrong number of input arguments to G for non-parametric NLP. Must be 1, but got " << G_.getNumInputs() << " instead. Do you perhaps intend to use fixed parameters? Then use the 'parametric' option.");
}
casadi_assert_message(G_.getNumOutputs()>=1, "Wrong number of output arguments to G");
casadi_assert_message(G_.input().numel()==n_, "Inconsistent dimensions");
casadi_assert_message(G_.input().sparsity()==F_.input().sparsity(), "F and G input dimension must match. F " << F_.input().dimString() << ". G " << G_.input().dimString());
}
// Find out if we are to expand the objective function in terms of scalar operations
bool expand_f = getOption("expand_f");
if(expand_f){
log("Expanding objective function");
// Cast to MXFunction
MXFunction F_mx = shared_cast<MXFunction>(F_);
if(F_mx.isNull()){
casadi_warning("Cannot expand objective function as it is not an MXFunction");
} else {
// Take use the input scheme of G if possible (it might be an SXFunction)
vector<SXMatrix> inputv;
if(!G_.isNull() && F_.getNumInputs()==G_.getNumInputs()){
inputv = G_.symbolicInputSX();
} else {
inputv = F_.symbolicInputSX();
}
// Try to expand the MXFunction
F_ = F_mx.expand(inputv);
F_.setOption("number_of_fwd_dir",F_mx.getOption("number_of_fwd_dir"));
F_.setOption("number_of_adj_dir",F_mx.getOption("number_of_adj_dir"));
F_.init();
}
}
// Find out if we are to expand the constraint function in terms of scalar operations
bool expand_g = getOption("expand_g");
if(expand_g){
log("Expanding constraint function");
// Cast to MXFunction
MXFunction G_mx = shared_cast<MXFunction>(G_);
if(G_mx.isNull()){
casadi_warning("Cannot expand constraint function as it is not an MXFunction");
} else {
// Take use the input scheme of F if possible (it might be an SXFunction)
vector<SXMatrix> inputv;
if(F_.getNumInputs()==G_.getNumInputs()){
inputv = F_.symbolicInputSX();
} else {
inputv = G_.symbolicInputSX();
}
// Try to expand the MXFunction
G_ = G_mx.expand(inputv);
G_.setOption("number_of_fwd_dir",G_mx.getOption("number_of_fwd_dir"));
G_.setOption("number_of_adj_dir",G_mx.getOption("number_of_adj_dir"));
G_.init();
}
}
// Find out if we are to expand the constraint function in terms of scalar operations
bool generate_hessian = getOption("generate_hessian");
if(generate_hessian && H_.isNull()){
casadi_assert_message(!gauss_newton_,"Automatic generation of Gauss-Newton Hessian not yet supported");
log("generating hessian");
// Simple if unconstrained
if(G_.isNull()){
// Create Hessian of the objective function
FX HF = F_.hessian();
HF.init();
// Symbolic inputs of HF
vector<MX> HF_in = F_.symbolicInput();
// Lagrange multipliers
MX lam("lam",0);
// Objective function scaling
MX sigma("sigma");
// Inputs of the Hessian function
vector<MX> H_in = HF_in;
H_in.insert(H_in.begin()+1, lam);
H_in.insert(H_in.begin()+2, sigma);
// Get an expression for the Hessian of F
MX hf = HF.call(HF_in).at(0);
// Create the scaled Hessian function
H_ = MXFunction(H_in, sigma*hf);
log("Unconstrained Hessian function generated");
} else { // G_.isNull()
// Check if the functions are SXFunctions
SXFunction F_sx = shared_cast<SXFunction>(F_);
SXFunction G_sx = shared_cast<SXFunction>(G_);
// Efficient if both functions are SXFunction
if(!F_sx.isNull() && !G_sx.isNull()){
// Expression for f and g
SXMatrix f = F_sx.outputSX();
SXMatrix g = G_sx.outputSX();
// Numeric hessian
bool f_num_hess = F_sx.getOption("numeric_hessian");
bool g_num_hess = G_sx.getOption("numeric_hessian");
// Number of derivative directions
int f_num_fwd = F_sx.getOption("number_of_fwd_dir");
int g_num_fwd = G_sx.getOption("number_of_fwd_dir");
int f_num_adj = F_sx.getOption("number_of_adj_dir");
int g_num_adj = G_sx.getOption("number_of_adj_dir");
// Substitute symbolic variables in f if different input variables from g
if(!isEqual(F_sx.inputSX(),G_sx.inputSX())){
f = substitute(f,F_sx.inputSX(),G_sx.inputSX());
}
// Lagrange multipliers
SXMatrix lam = ssym("lambda",g.size1());
// Objective function scaling
SXMatrix sigma = ssym("sigma");
// Lagrangian function
vector<SXMatrix> lfcn_in(parametric_? 4: 3);
lfcn_in[0] = G_sx.inputSX();
lfcn_in[1] = lam;
lfcn_in[2] = sigma;
if (parametric_) lfcn_in[3] = G_sx.inputSX(1);
SXFunction lfcn(lfcn_in, sigma*f + inner_prod(lam,g));
lfcn.setOption("verbose",getOption("verbose"));
lfcn.setOption("numeric_hessian",f_num_hess || g_num_hess);
lfcn.setOption("number_of_fwd_dir",std::min(f_num_fwd,g_num_fwd));
lfcn.setOption("number_of_adj_dir",std::min(f_num_adj,g_num_adj));
lfcn.init();
// Hessian of the Lagrangian
H_ = static_cast<FX&>(lfcn).hessian();
H_.setOption("verbose",getOption("verbose"));
log("SX Hessian function generated");
} else { // !F_sx.isNull() && !G_sx.isNull()
// Check if the functions are SXFunctions
MXFunction F_mx = shared_cast<MXFunction>(F_);
MXFunction G_mx = shared_cast<MXFunction>(G_);
// If they are, check if the arguments are the same
if(!F_mx.isNull() && !G_mx.isNull() && isEqual(F_mx.inputMX(),G_mx.inputMX())){
casadi_warning("Exact Hessian calculation for MX is still experimental");
// Expression for f and g
MX f = F_mx.outputMX();
MX g = G_mx.outputMX();
// Lagrange multipliers
MX lam("lam",g.size1());
// Objective function scaling
MX sigma("sigma");
// Inputs of the Lagrangian function
vector<MX> lfcn_in(parametric_? 4:3);
lfcn_in[0] = G_mx.inputMX();
lfcn_in[1] = lam;
lfcn_in[2] = sigma;
if (parametric_) lfcn_in[3] = G_mx.inputMX(1);
// Lagrangian function
MXFunction lfcn(lfcn_in,sigma*f+ inner_prod(lam,g));
lfcn.init();
log("SX Lagrangian function generated");
/* cout << "countNodes(lfcn.outputMX()) = " << countNodes(lfcn.outputMX()) << endl;*/
bool adjoint_mode = true;
if(adjoint_mode){
// Gradient of the lagrangian
MX gL = lfcn.grad();
log("MX Lagrangian gradient generated");
MXFunction glfcn(lfcn_in,gL);
glfcn.init();
log("MX Lagrangian gradient function initialized");
// cout << "countNodes(glfcn.outputMX()) = " << countNodes(glfcn.outputMX()) << endl;
// Get Hessian sparsity
CRSSparsity H_sp = glfcn.jacSparsity();
log("MX Lagrangian Hessian sparsity determined");
// Uni-directional coloring (note, the hessian is symmetric)
CRSSparsity coloring = H_sp.unidirectionalColoring(H_sp);
log("MX Lagrangian Hessian coloring determined");
// Number of colors needed is the number of rows
int nfwd_glfcn = coloring.size1();
log("MX Lagrangian gradient function number of sensitivity directions determined");
glfcn.setOption("number_of_fwd_dir",nfwd_glfcn);
glfcn.updateNumSens();
log("MX Lagrangian gradient function number of sensitivity directions updated");
// Hessian of the Lagrangian
H_ = glfcn.jacobian();
} else {
// Hessian of the Lagrangian
H_ = lfcn.hessian();
}
log("MX Lagrangian Hessian function generated");
} else {
casadi_assert_message(0, "Automatic calculation of exact Hessian currently only for F and G both SXFunction or MXFunction ");
}
} // !F_sx.isNull() && !G_sx.isNull()
} // G_.isNull()
} // generate_hessian && H_.isNull()
if(!H_.isNull() && !H_.isInit()) {
H_.init();
log("Hessian function initialized");
}
// Create a Jacobian if it does not already exists
bool generate_jacobian = getOption("generate_jacobian");
if(generate_jacobian && !G_.isNull() && J_.isNull()){
log("Generating Jacobian");
J_ = G_.jacobian();
// Use live variables if SXFunction
if(!shared_cast<SXFunction>(J_).isNull()){
J_.setOption("live_variables",true);
}
log("Jacobian function generated");
}
if(!J_.isNull() && !J_.isInit()){
J_.init();
log("Jacobian function initialized");
}
if(!H_.isNull()) {
if (parametric_) {
casadi_assert_message(H_.getNumInputs()>=2, "Wrong number of input arguments to H for parametric NLP. Must be at least 2, but got " << G_.getNumInputs());
} else {
casadi_assert_message(H_.getNumInputs()>=1, "Wrong number of input arguments to H for non-parametric NLP. Must be at least 1, but got " << G_.getNumInputs() << " instead. Do you perhaps intend to use fixed parameters? Then use the 'parametric' option.");
}
casadi_assert_message(H_.getNumOutputs()>=1, "Wrong number of output arguments to H");
casadi_assert_message(H_.input(0).numel()==n_,"Inconsistent dimensions");
casadi_assert_message(H_.output().size1()==n_,"Inconsistent dimensions");
casadi_assert_message(H_.output().size2()==n_,"Inconsistent dimensions");
}
if(!J_.isNull()){
if (parametric_) {
casadi_assert_message(J_.getNumInputs()==2, "Wrong number of input arguments to J for parametric NLP. Must be at least 2, but got " << G_.getNumInputs());
} else {
casadi_assert_message(J_.getNumInputs()==1, "Wrong number of input arguments to J for non-parametric NLP. Must be at least 1, but got " << G_.getNumInputs() << " instead. Do you perhaps intend to use fixed parameters? Then use the 'parametric' option.");
}
casadi_assert_message(J_.getNumOutputs()>=1, "Wrong number of output arguments to J");
casadi_assert_message(J_.input().numel()==n_,"Inconsistent dimensions");
casadi_assert_message(J_.output().size2()==n_,"Inconsistent dimensions");
}
if (parametric_) {
sp_p = F_->input(1).sparsity();
if (!G_.isNull()) casadi_assert_message(sp_p == G_->input(G_->getNumInputs()-1).sparsity(),"Parametric NLP has inconsistent parameter dimensions. F has got " << sp_p.dimString() << " as dimensions, while G has got " << G_->input(G_->getNumInputs()-1).dimString());
if (!H_.isNull()) casadi_assert_message(sp_p == H_->input(H_->getNumInputs()-1).sparsity(),"Parametric NLP has inconsistent parameter dimensions. F has got " << sp_p.dimString() << " as dimensions, while H has got " << H_->input(H_->getNumInputs()-1).dimString());
if (!J_.isNull()) casadi_assert_message(sp_p == J_->input(J_->getNumInputs()-1).sparsity(),"Parametric NLP has inconsistent parameter dimensions. F has got " << sp_p.dimString() << " as dimensions, while J has got " << J_->input(J_->getNumInputs()-1).dimString());
}
// Infinity
double inf = numeric_limits<double>::infinity();
// Allocate space for inputs
input_.resize(NLP_NUM_IN - (parametric_? 0 : 1));
input(NLP_X_INIT) = DMatrix(n_,1,0);
input(NLP_LBX) = DMatrix(n_,1,-inf);
input(NLP_UBX) = DMatrix(n_,1, inf);
input(NLP_LBG) = DMatrix(m_,1,-inf);
input(NLP_UBG) = DMatrix(m_,1, inf);
input(NLP_LAMBDA_INIT) = DMatrix(m_,1,0);
if (parametric_) input(NLP_P) = DMatrix(sp_p,0);
// Allocate space for outputs
output_.resize(NLP_NUM_OUT);
output(NLP_X_OPT) = DMatrix(n_,1,0);
output(NLP_COST) = DMatrix(1,1,0);
output(NLP_LAMBDA_X) = DMatrix(n_,1,0);
output(NLP_LAMBDA_G) = DMatrix(m_,1,0);
output(NLP_G) = DMatrix(m_,1,0);
if (hasSetOption("iteration_callback")) {
callback_ = getOption("iteration_callback");
if (!callback_.isNull()) {
if (!callback_.isInit()) callback_.init();
casadi_assert_message(callback_.getNumOutputs()==1, "Callback function should have one output, a scalar that indicates wether to break. 0 = continue");
casadi_assert_message(callback_.output(0).size()==1, "Callback function should have one output, a scalar that indicates wether to break. 0 = continue");
casadi_assert_message(callback_.getNumInputs()==NLP_NUM_OUT, "Callback function should have the output scheme of NLPSolver as input scheme. i.e. " <<NLP_NUM_OUT << " inputs instead of the " << callback_.getNumInputs() << " you provided." );
for (int i=0;i<NLP_NUM_OUT;i++) {
casadi_assert_message(callback_.input(i).sparsity()==output(i).sparsity(),
"Callback function should have the output scheme of NLPSolver as input scheme. " <<
"Input #" << i << " (" << getSchemeEntryEnumName(SCHEME_NLPOutput,i) << " aka '" << getSchemeEntryName(SCHEME_NLPOutput,i) << "') was found to be " << callback_.input(i).dimString() << " instead of expected " << output(i).dimString() << "."
);
callback_.input(i).setAll(0);
}
}
}
callback_step_ = getOption("iteration_callback_step");
// Call the initialization method of the base class
FXInternal::init();
}
void LiftedSQPInternal::init(){
// Call the init method of the base class
NlpSolverInternal::init();
// Number of lifted variables
nv = getOption("num_lifted");
if(verbose_){
cout << "Initializing SQP method with " << nx_ << " variables and " << ng_ << " constraints." << endl;
cout << "Lifting " << nv << " variables." << endl;
if(gauss_newton_){
cout << "Gauss-Newton objective with " << F_.input().numel() << " terms." << endl;
}
}
// Read options
max_iter_ = getOption("max_iter");
max_iter_ls_ = getOption("max_iter_ls");
toldx_ = getOption("toldx");
tolgl_ = getOption("tolgl");
sigma_ = getOption("sigma");
rho_ = getOption("rho");
mu_safety_ = getOption("mu_safety");
eta_ = getOption("eta");
tau_ = getOption("tau");
// Assume SXFunction for now
SXFunction ffcn = shared_cast<SXFunction>(F_);
casadi_assert(!ffcn.isNull());
SXFunction gfcn = shared_cast<SXFunction>(G_);
casadi_assert(!gfcn.isNull());
// Extract the free variables and split into independent and dependent variables
SX x = ffcn.inputExpr(0);
int nx = x.size();
nu = nx-nv;
SX u = x[Slice(0,nu)];
SX v = x[Slice(nu,nu+nv)];
// Extract the constraint equations and split into constraints and definitions of dependent variables
SX f1 = ffcn.outputExpr(0);
int nf1 = f1.numel();
SX g = gfcn.outputExpr(0);
int nf2 = g.numel()-nv;
SX v_eq = g(Slice(0,nv));
SX f2 = g(Slice(nv,nv+nf2));
// Definition of v
SX v_def = v_eq + v;
// Objective function
SX f;
// Multipliers
SX lam_x, lam_g, lam_f2;
if(gauss_newton_){
// Least square objective
f = inner_prod(f1,f1)/2;
} else {
// Scalar objective function
f = f1;
// Lagrange multipliers for the simple bounds on u
SX lam_u = ssym("lam_u",nu);
// Lagrange multipliers for the simple bounds on v
SX lam_v = ssym("lam_v",nv);
// Lagrange multipliers for the simple bounds on x
lam_x = vertcat(lam_u,lam_v);
// Lagrange multipliers corresponding to the definition of the dependent variables
SX lam_v_eq = ssym("lam_v_eq",nv);
// Lagrange multipliers for the nonlinear constraints that aren't eliminated
lam_f2 = ssym("lam_f2",nf2);
if(verbose_){
cout << "Allocated intermediate variables." << endl;
}
// Lagrange multipliers for constraints
lam_g = vertcat(lam_v_eq,lam_f2);
// Lagrangian function
SX lag = f + inner_prod(lam_x,x);
if(!f2.empty()) lag += inner_prod(lam_f2,f2);
if(!v.empty()) lag += inner_prod(lam_v_eq,v_def);
// Gradient of the Lagrangian
SX lgrad = casadi::gradient(lag,x);
if(!v.empty()) lgrad -= vertcat(SX::zeros(nu),lam_v_eq); // Put here to ensure that lgrad is of the form "h_extended -v_extended"
makeDense(lgrad);
if(verbose_){
cout << "Generated the gradient of the Lagrangian." << endl;
}
// Condensed gradient of the Lagrangian
f1 = lgrad[Slice(0,nu)];
nf1 = nu;
// Gradient of h
SX v_eq_grad = lgrad[Slice(nu,nu+nv)];
// Reverse lam_v_eq and v_eq_grad
SX v_eq_grad_reversed = v_eq_grad;
copy(v_eq_grad.rbegin(),v_eq_grad.rend(),v_eq_grad_reversed.begin());
SX lam_v_eq_reversed = lam_v_eq;
copy(lam_v_eq.rbegin(),lam_v_eq.rend(),lam_v_eq_reversed.begin());
// Augment h and lam_v_eq
v_eq.append(v_eq_grad_reversed);
v.append(lam_v_eq_reversed);
}
// Residual function G
SXVector G_in(G_NUM_IN);
G_in[G_X] = x;
G_in[G_LAM_X] = lam_x;
G_in[G_LAM_G] = lam_g;
SXVector G_out(G_NUM_OUT);
G_out[G_D] = v_eq;
G_out[G_G] = g;
G_out[G_F] = f;
rfcn_ = SXFunction(G_in,G_out);
rfcn_.setOption("number_of_fwd_dir",0);
rfcn_.setOption("number_of_adj_dir",0);
rfcn_.setOption("live_variables",true);
rfcn_.init();
if(verbose_){
cout << "Generated residual function ( " << shared_cast<SXFunction>(rfcn_).getAlgorithmSize() << " nodes)." << endl;
}
// Difference vector d
SX d = ssym("d",nv);
if(!gauss_newton_){
vector<SX> dg = ssym("dg",nv).data();
reverse(dg.begin(),dg.end());
d.append(dg);
}
// Substitute out the v from the h
SX d_def = (v_eq + v)-d;
SXVector ex(3);
ex[0] = f1;
ex[1] = f2;
ex[2] = f;
substituteInPlace(v, d_def, ex, false);
SX f1_z = ex[0];
SX f2_z = ex[1];
SX f_z = ex[2];
// Modified function Z
enum ZIn{Z_U,Z_D,Z_LAM_X,Z_LAM_F2,Z_NUM_IN};
SXVector zfcn_in(Z_NUM_IN);
zfcn_in[Z_U] = u;
zfcn_in[Z_D] = d;
zfcn_in[Z_LAM_X] = lam_x;
zfcn_in[Z_LAM_F2] = lam_f2;
enum ZOut{Z_D_DEF,Z_F12,Z_NUM_OUT};
SXVector zfcn_out(Z_NUM_OUT);
zfcn_out[Z_D_DEF] = d_def;
zfcn_out[Z_F12] = vertcat(f1_z,f2_z);
SXFunction zfcn(zfcn_in,zfcn_out);
zfcn.init();
if(verbose_){
cout << "Generated reconstruction function ( " << zfcn.getAlgorithmSize() << " nodes)." << endl;
}
// Matrix A and B in lifted Newton
SX B = zfcn.jac(Z_U,Z_F12);
SX B1 = B(Slice(0,nf1),Slice(0,B.size2()));
SX B2 = B(Slice(nf1,B.size1()),Slice(0,B.size2()));
if(verbose_){
cout << "Formed B1 (dimension " << B1.size1() << "-by-" << B1.size2() << ", "<< B1.size() << " nonzeros) " <<
"and B2 (dimension " << B2.size1() << "-by-" << B2.size2() << ", "<< B2.size() << " nonzeros)." << endl;
}
// Step in u
SX du = ssym("du",nu);
SX dlam_f2 = ssym("dlam_f2",lam_f2.sparsity());
SX b1 = f1_z;
SX b2 = f2_z;
SX e;
if(nv > 0){
// Directional derivative of Z
vector<vector<SX> > Z_fwdSeed(2,zfcn_in);
vector<vector<SX> > Z_fwdSens(2,zfcn_out);
vector<vector<SX> > Z_adjSeed;
vector<vector<SX> > Z_adjSens;
Z_fwdSeed[0][Z_U].setZero();
Z_fwdSeed[0][Z_D] = -d;
Z_fwdSeed[0][Z_LAM_X].setZero();
Z_fwdSeed[0][Z_LAM_F2].setZero();
Z_fwdSeed[1][Z_U] = du;
Z_fwdSeed[1][Z_D] = -d;
Z_fwdSeed[1][Z_LAM_X].setZero();
Z_fwdSeed[1][Z_LAM_F2] = dlam_f2;
zfcn.eval(zfcn_in,zfcn_out,Z_fwdSeed,Z_fwdSens,Z_adjSeed,Z_adjSens);
b1 += Z_fwdSens[0][Z_F12](Slice(0,nf1));
b2 += Z_fwdSens[0][Z_F12](Slice(nf1,B.size1()));
e = Z_fwdSens[1][Z_D_DEF];
}
if(verbose_){
cout << "Formed b1 (dimension " << b1.size1() << "-by-" << b1.size2() << ", "<< b1.size() << " nonzeros) " <<
"and b2 (dimension " << b2.size1() << "-by-" << b2.size2() << ", "<< b2.size() << " nonzeros)." << endl;
}
// Generate Gauss-Newton Hessian
if(gauss_newton_){
b1 = mul(trans(B1),b1);
B1 = mul(trans(B1),B1);
if(verbose_){
cout << "Gauss Newton Hessian (dimension " << B1.size1() << "-by-" << B1.size2() << ", "<< B1.size() << " nonzeros)." << endl;
}
}
// Make sure b1 and b2 are dense vectors
makeDense(b1);
makeDense(b2);
// Quadratic approximation
SXVector lfcn_in(LIN_NUM_IN);
lfcn_in[LIN_X] = x;
lfcn_in[LIN_D] = d;
lfcn_in[LIN_LAM_X] = lam_x;
lfcn_in[LIN_LAM_G] = lam_g;
SXVector lfcn_out(LIN_NUM_OUT);
lfcn_out[LIN_F1] = b1;
lfcn_out[LIN_J1] = B1;
lfcn_out[LIN_F2] = b2;
lfcn_out[LIN_J2] = B2;
lfcn_ = SXFunction(lfcn_in,lfcn_out);
// lfcn_.setOption("verbose",true);
lfcn_.setOption("number_of_fwd_dir",0);
lfcn_.setOption("number_of_adj_dir",0);
lfcn_.setOption("live_variables",true);
lfcn_.init();
if(verbose_){
cout << "Generated linearization function ( " << shared_cast<SXFunction>(lfcn_).getAlgorithmSize() << " nodes)." << endl;
}
// Step expansion
SXVector efcn_in(EXP_NUM_IN);
copy(lfcn_in.begin(),lfcn_in.end(),efcn_in.begin());
efcn_in[EXP_DU] = du;
efcn_in[EXP_DLAM_F2] = dlam_f2;
efcn_ = SXFunction(efcn_in,e);
efcn_.setOption("number_of_fwd_dir",0);
efcn_.setOption("number_of_adj_dir",0);
efcn_.setOption("live_variables",true);
efcn_.init();
if(verbose_){
cout << "Generated step expansion function ( " << shared_cast<SXFunction>(efcn_).getAlgorithmSize() << " nodes)." << endl;
}
// Current guess for the primal solution
DMatrix &x_k = output(NLP_SOLVER_X);
// Current guess for the dual solution
DMatrix &lam_x_k = output(NLP_SOLVER_LAM_X);
DMatrix &lam_g_k = output(NLP_SOLVER_LAM_G);
// Allocate a QP solver
QpSolverCreator qp_solver_creator = getOption("qp_solver");
qp_solver_ = qp_solver_creator(B1.sparsity(),B2.sparsity());
// Set options if provided
if(hasSetOption("qp_solver_options")){
Dictionary qp_solver_options = getOption("qp_solver_options");
qp_solver_.setOption(qp_solver_options);
}
// Initialize the QP solver
qp_solver_.init();
if(verbose_){
cout << "Allocated QP solver." << endl;
}
// Residual
d_k_ = DMatrix(d.sparsity(),0);
// Primal step
dx_k_ = DMatrix(x_k.sparsity());
// Dual step
dlam_x_k_ = DMatrix(lam_x_k.sparsity());
dlam_g_k_ = DMatrix(lam_g_k.sparsity());
}