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/tmp/buildd/coinor-ipopt-3.8.3/Ipopt/src/Algorithm/IpIpoptCalculatedQuantities.hpp

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00001 // Copyright (C) 2004, 2010 International Business Machines and others.
00002 // All Rights Reserved.
00003 // This code is published under the Common Public License.
00004 //
00005 // $Id: IpIpoptCalculatedQuantities.hpp 1692 2010-06-21 19:10:07Z andreasw $
00006 //
00007 // Authors:  Carl Laird, Andreas Waechter     IBM    2004-08-13
00008 
00009 #ifndef __IPIPOPTCALCULATEDQUANTITIES_HPP__
00010 #define __IPIPOPTCALCULATEDQUANTITIES_HPP__
00011 
00012 #include "IpSmartPtr.hpp"
00013 #include "IpCachedResults.hpp"
00014 
00015 #include <string>
00016 
00017 namespace Ipopt
00018 {
00019   class IpoptNLP;
00020   class IpoptData;
00021   class Vector;
00022   class Matrix;
00023   class SymMatrix;
00024   class Journalist;
00025   class OptionsList;
00026   class RegisteredOptions;
00027 
00029   enum ENormType {
00030     NORM_1=0,
00031     NORM_2,
00032     NORM_MAX
00033   };
00034 
00040   class IpoptAdditionalCq : public ReferencedObject
00041   {
00042   public:
00046     IpoptAdditionalCq()
00047     {}
00048 
00050     virtual ~IpoptAdditionalCq()
00051     {}
00053 
00057     virtual bool Initialize(const Journalist& jnlst,
00058                             const OptionsList& options,
00059                             const std::string& prefix) = 0;
00060 
00061   private:
00071     IpoptAdditionalCq(const IpoptAdditionalCq&);
00072 
00074     void operator=(const IpoptAdditionalCq&);
00076   };
00077 
00081   class IpoptCalculatedQuantities : public ReferencedObject
00082   {
00083   public:
00084 
00088     IpoptCalculatedQuantities(const SmartPtr<IpoptNLP>& ip_nlp,
00089                               const SmartPtr<IpoptData>& ip_data);
00091     virtual ~IpoptCalculatedQuantities();
00093 
00096     void SetAddCq(SmartPtr<IpoptAdditionalCq> add_cq)
00097     {
00098       DBG_ASSERT(!HaveAddCq());
00099       add_cq_ = add_cq;
00100     }
00101 
00104     bool HaveAddCq()
00105     {
00106       return IsValid(add_cq_);
00107     }
00108 
00112     bool Initialize(const Journalist& jnlst,
00113                     const OptionsList& options,
00114                     const std::string& prefix);
00115 
00119     SmartPtr<const Vector> curr_slack_x_L();
00121     SmartPtr<const Vector> curr_slack_x_U();
00123     SmartPtr<const Vector> curr_slack_s_L();
00125     SmartPtr<const Vector> curr_slack_s_U();
00127     SmartPtr<const Vector> trial_slack_x_L();
00129     SmartPtr<const Vector> trial_slack_x_U();
00131     SmartPtr<const Vector> trial_slack_s_L();
00133     SmartPtr<const Vector> trial_slack_s_U();
00135     Index AdjustedTrialSlacks();
00137     void ResetAdjustedTrialSlacks();
00139 
00143     virtual Number curr_f();
00145     virtual Number unscaled_curr_f();
00147     virtual Number trial_f();
00149     virtual Number unscaled_trial_f();
00151     SmartPtr<const Vector> curr_grad_f();
00153     SmartPtr<const Vector> trial_grad_f();
00155 
00161     virtual Number curr_barrier_obj();
00165     virtual Number trial_barrier_obj();
00166 
00169     SmartPtr<const Vector> curr_grad_barrier_obj_x();
00172     SmartPtr<const Vector> curr_grad_barrier_obj_s();
00173 
00176     SmartPtr<const Vector> grad_kappa_times_damping_x();
00179     SmartPtr<const Vector> grad_kappa_times_damping_s();
00181 
00185     SmartPtr<const Vector> curr_c();
00187     SmartPtr<const Vector> unscaled_curr_c();
00189     SmartPtr<const Vector> trial_c();
00191     SmartPtr<const Vector> curr_d();
00193     SmartPtr<const Vector> unscaled_curr_d();
00195     SmartPtr<const Vector> trial_d();
00197     SmartPtr<const Vector> curr_d_minus_s();
00199     SmartPtr<const Vector> trial_d_minus_s();
00201     SmartPtr<const Matrix> curr_jac_c();
00203     SmartPtr<const Matrix> trial_jac_c();
00205     SmartPtr<const Matrix> curr_jac_d();
00207     SmartPtr<const Matrix> trial_jac_d();
00210     SmartPtr<const Vector> curr_jac_cT_times_vec(const Vector& vec);
00213     SmartPtr<const Vector> trial_jac_cT_times_vec(const Vector& vec);
00216     SmartPtr<const Vector> curr_jac_dT_times_vec(const Vector& vec);
00219     SmartPtr<const Vector> trial_jac_dT_times_vec(const Vector& vec);
00222     SmartPtr<const Vector> curr_jac_cT_times_curr_y_c();
00225     SmartPtr<const Vector> trial_jac_cT_times_trial_y_c();
00228     SmartPtr<const Vector> curr_jac_dT_times_curr_y_d();
00231     SmartPtr<const Vector> trial_jac_dT_times_trial_y_d();
00234     SmartPtr<const Vector> curr_jac_c_times_vec(const Vector& vec);
00237     SmartPtr<const Vector> curr_jac_d_times_vec(const Vector& vec);
00241     virtual Number curr_constraint_violation();
00245     virtual Number trial_constraint_violation();
00249     virtual Number curr_nlp_constraint_violation(ENormType NormType);
00253     virtual Number unscaled_curr_nlp_constraint_violation(ENormType NormType);
00255 
00259     SmartPtr<const SymMatrix> curr_exact_hessian();
00261 
00265     SmartPtr<const Vector> curr_grad_lag_x();
00267     SmartPtr<const Vector> trial_grad_lag_x();
00269     SmartPtr<const Vector> curr_grad_lag_s();
00271     SmartPtr<const Vector> trial_grad_lag_s();
00274     SmartPtr<const Vector> curr_grad_lag_with_damping_x();
00277     SmartPtr<const Vector> curr_grad_lag_with_damping_s();
00279     SmartPtr<const Vector> curr_compl_x_L();
00281     SmartPtr<const Vector> curr_compl_x_U();
00283     SmartPtr<const Vector> curr_compl_s_L();
00285     SmartPtr<const Vector> curr_compl_s_U();
00287     SmartPtr<const Vector> trial_compl_x_L();
00289     SmartPtr<const Vector> trial_compl_x_U();
00291     SmartPtr<const Vector> trial_compl_s_L();
00293     SmartPtr<const Vector> trial_compl_s_U();
00295     SmartPtr<const Vector> curr_relaxed_compl_x_L();
00297     SmartPtr<const Vector> curr_relaxed_compl_x_U();
00299     SmartPtr<const Vector> curr_relaxed_compl_s_L();
00301     SmartPtr<const Vector> curr_relaxed_compl_s_U();
00302 
00304     virtual Number curr_primal_infeasibility(ENormType NormType);
00306     virtual Number trial_primal_infeasibility(ENormType NormType);
00307 
00309     virtual Number curr_dual_infeasibility(ENormType NormType);
00311     virtual Number trial_dual_infeasibility(ENormType NormType);
00313     virtual Number unscaled_curr_dual_infeasibility(ENormType NormType);
00314 
00317     virtual Number curr_complementarity(Number mu, ENormType NormType);
00320     virtual Number trial_complementarity(Number mu, ENormType NormType);
00323     virtual Number unscaled_curr_complementarity(Number mu, ENormType NormType);
00324 
00326     Number CalcCentralityMeasure(const Vector& compl_x_L,
00327                                  const Vector& compl_x_U,
00328                                  const Vector& compl_s_L,
00329                                  const Vector& compl_s_U);
00331     virtual Number curr_centrality_measure();
00332 
00337     virtual Number curr_nlp_error();
00342     virtual Number unscaled_curr_nlp_error();
00343 
00346     virtual Number curr_barrier_error();
00347 
00354     virtual Number curr_primal_dual_system_error(Number mu);
00361     virtual Number trial_primal_dual_system_error(Number mu);
00363 
00368     Number primal_frac_to_the_bound(Number tau,
00369                                     const Vector& delta_x,
00370                                     const Vector& delta_s);
00373     Number curr_primal_frac_to_the_bound(Number tau);
00376     Number dual_frac_to_the_bound(Number tau,
00377                                   const Vector& delta_z_L,
00378                                   const Vector& delta_z_U,
00379                                   const Vector& delta_v_L,
00380                                   const Vector& delta_v_U);
00383     Number uncached_dual_frac_to_the_bound(Number tau,
00384                                            const Vector& delta_z_L,
00385                                            const Vector& delta_z_U,
00386                                            const Vector& delta_v_L,
00387                                            const Vector& delta_v_U);
00390     Number curr_dual_frac_to_the_bound(Number tau);
00398     Number uncached_slack_frac_to_the_bound(Number tau,
00399                                             const Vector& delta_x_L,
00400                                             const Vector& delta_x_U,
00401                                             const Vector& delta_s_L,
00402                                             const Vector& delta_s_U);
00404 
00407     SmartPtr<const Vector> curr_sigma_x();
00408     SmartPtr<const Vector> curr_sigma_s();
00410 
00412     Number curr_avrg_compl();
00414     Number trial_avrg_compl();
00415 
00418     Number curr_gradBarrTDelta();
00419 
00421     Number
00422     CalcNormOfType(ENormType NormType,
00423                    std::vector<SmartPtr<const Vector> > vecs);
00424 
00426     Number
00427     CalcNormOfType(ENormType NormType,
00428                    const Vector& vec1, const Vector& vec2);
00429 
00431     ENormType constr_viol_normtype() const
00432     {
00433       return constr_viol_normtype_;
00434     }
00435 
00437     bool IsSquareProblem() const;
00438 
00441     SmartPtr<IpoptNLP>& GetIpoptNLP()
00442     {
00443       return ip_nlp_;
00444     }
00445 
00446     IpoptAdditionalCq& AdditionalCq()
00447     {
00448       DBG_ASSERT(IsValid(add_cq_));
00449       return *add_cq_;
00450     }
00451 
00455     static void RegisterOptions(SmartPtr<RegisteredOptions> roptions);
00457 
00458   private:
00468     IpoptCalculatedQuantities();
00469 
00471     IpoptCalculatedQuantities(const IpoptCalculatedQuantities&);
00472 
00474     void operator=(const IpoptCalculatedQuantities&);
00476 
00480     SmartPtr<IpoptNLP> ip_nlp_;
00482     SmartPtr<IpoptData> ip_data_;
00484     SmartPtr<IpoptAdditionalCq> add_cq_;
00486 
00493     Number s_max_;
00496     Number kappa_d_;
00498     Number slack_move_;
00500     ENormType constr_viol_normtype_;
00503     bool warm_start_same_structure_;
00505     Number mu_target_;
00507 
00510     CachedResults< SmartPtr<Vector> > curr_slack_x_L_cache_;
00511     CachedResults< SmartPtr<Vector> > curr_slack_x_U_cache_;
00512     CachedResults< SmartPtr<Vector> > curr_slack_s_L_cache_;
00513     CachedResults< SmartPtr<Vector> > curr_slack_s_U_cache_;
00514     CachedResults< SmartPtr<Vector> > trial_slack_x_L_cache_;
00515     CachedResults< SmartPtr<Vector> > trial_slack_x_U_cache_;
00516     CachedResults< SmartPtr<Vector> > trial_slack_s_L_cache_;
00517     CachedResults< SmartPtr<Vector> > trial_slack_s_U_cache_;
00518     Index num_adjusted_slack_x_L_;
00519     Index num_adjusted_slack_x_U_;
00520     Index num_adjusted_slack_s_L_;
00521     Index num_adjusted_slack_s_U_;
00523 
00526     CachedResults<Number> curr_f_cache_;
00527     CachedResults<Number> trial_f_cache_;
00528     CachedResults< SmartPtr<const Vector> > curr_grad_f_cache_;
00529     CachedResults< SmartPtr<const Vector> > trial_grad_f_cache_;
00531 
00534     CachedResults<Number> curr_barrier_obj_cache_;
00535     CachedResults<Number> trial_barrier_obj_cache_;
00536     CachedResults< SmartPtr<const Vector> > curr_grad_barrier_obj_x_cache_;
00537     CachedResults< SmartPtr<const Vector> > curr_grad_barrier_obj_s_cache_;
00538     CachedResults< SmartPtr<const Vector> > grad_kappa_times_damping_x_cache_;
00539     CachedResults< SmartPtr<const Vector> > grad_kappa_times_damping_s_cache_;
00541 
00544     CachedResults< SmartPtr<const Vector> > curr_c_cache_;
00545     CachedResults< SmartPtr<const Vector> > trial_c_cache_;
00546     CachedResults< SmartPtr<const Vector> > curr_d_cache_;
00547     CachedResults< SmartPtr<const Vector> > trial_d_cache_;
00548     CachedResults< SmartPtr<const Vector> > curr_d_minus_s_cache_;
00549     CachedResults< SmartPtr<const Vector> > trial_d_minus_s_cache_;
00550     CachedResults< SmartPtr<const Matrix> > curr_jac_c_cache_;
00551     CachedResults< SmartPtr<const Matrix> > trial_jac_c_cache_;
00552     CachedResults< SmartPtr<const Matrix> > curr_jac_d_cache_;
00553     CachedResults< SmartPtr<const Matrix> > trial_jac_d_cache_;
00554     CachedResults< SmartPtr<const Vector> > curr_jac_cT_times_vec_cache_;
00555     CachedResults< SmartPtr<const Vector> > trial_jac_cT_times_vec_cache_;
00556     CachedResults< SmartPtr<const Vector> > curr_jac_dT_times_vec_cache_;
00557     CachedResults< SmartPtr<const Vector> > trial_jac_dT_times_vec_cache_;
00558     CachedResults< SmartPtr<const Vector> > curr_jac_c_times_vec_cache_;
00559     CachedResults< SmartPtr<const Vector> > curr_jac_d_times_vec_cache_;
00560     CachedResults<Number> curr_constraint_violation_cache_;
00561     CachedResults<Number> trial_constraint_violation_cache_;
00562     CachedResults<Number> curr_nlp_constraint_violation_cache_;
00563     CachedResults<Number> unscaled_curr_nlp_constraint_violation_cache_;
00565 
00567     CachedResults< SmartPtr<const SymMatrix> > curr_exact_hessian_cache_;
00568 
00571     CachedResults< SmartPtr<const Vector> > curr_grad_lag_x_cache_;
00572     CachedResults< SmartPtr<const Vector> > trial_grad_lag_x_cache_;
00573     CachedResults< SmartPtr<const Vector> > curr_grad_lag_s_cache_;
00574     CachedResults< SmartPtr<const Vector> > trial_grad_lag_s_cache_;
00575     CachedResults< SmartPtr<const Vector> > curr_grad_lag_with_damping_x_cache_;
00576     CachedResults< SmartPtr<const Vector> > curr_grad_lag_with_damping_s_cache_;
00577     CachedResults< SmartPtr<const Vector> > curr_compl_x_L_cache_;
00578     CachedResults< SmartPtr<const Vector> > curr_compl_x_U_cache_;
00579     CachedResults< SmartPtr<const Vector> > curr_compl_s_L_cache_;
00580     CachedResults< SmartPtr<const Vector> > curr_compl_s_U_cache_;
00581     CachedResults< SmartPtr<const Vector> > trial_compl_x_L_cache_;
00582     CachedResults< SmartPtr<const Vector> > trial_compl_x_U_cache_;
00583     CachedResults< SmartPtr<const Vector> > trial_compl_s_L_cache_;
00584     CachedResults< SmartPtr<const Vector> > trial_compl_s_U_cache_;
00585     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_x_L_cache_;
00586     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_x_U_cache_;
00587     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_s_L_cache_;
00588     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_s_U_cache_;
00589     CachedResults<Number> curr_primal_infeasibility_cache_;
00590     CachedResults<Number> trial_primal_infeasibility_cache_;
00591     CachedResults<Number> curr_dual_infeasibility_cache_;
00592     CachedResults<Number> trial_dual_infeasibility_cache_;
00593     CachedResults<Number> unscaled_curr_dual_infeasibility_cache_;
00594     CachedResults<Number> curr_complementarity_cache_;
00595     CachedResults<Number> trial_complementarity_cache_;
00596     CachedResults<Number> curr_centrality_measure_cache_;
00597     CachedResults<Number> curr_nlp_error_cache_;
00598     CachedResults<Number> unscaled_curr_nlp_error_cache_;
00599     CachedResults<Number> curr_barrier_error_cache_;
00600     CachedResults<Number> curr_primal_dual_system_error_cache_;
00601     CachedResults<Number> trial_primal_dual_system_error_cache_;
00603 
00606     CachedResults<Number> primal_frac_to_the_bound_cache_;
00607     CachedResults<Number> dual_frac_to_the_bound_cache_;
00609 
00612     CachedResults< SmartPtr<const Vector> > curr_sigma_x_cache_;
00613     CachedResults< SmartPtr<const Vector> > curr_sigma_s_cache_;
00615 
00617     CachedResults<Number> curr_avrg_compl_cache_;
00619     CachedResults<Number> trial_avrg_compl_cache_;
00620 
00622     CachedResults<Number> curr_gradBarrTDelta_cache_;
00623 
00629     SmartPtr<Vector> dampind_x_L_;
00632     SmartPtr<Vector> dampind_x_U_;
00635     SmartPtr<Vector> dampind_s_L_;
00638     SmartPtr<Vector> dampind_s_U_;
00640 
00645     SmartPtr<Vector> tmp_x_;
00646     SmartPtr<Vector> tmp_s_;
00647     SmartPtr<Vector> tmp_c_;
00648     SmartPtr<Vector> tmp_d_;
00649     SmartPtr<Vector> tmp_x_L_;
00650     SmartPtr<Vector> tmp_x_U_;
00651     SmartPtr<Vector> tmp_s_L_;
00652     SmartPtr<Vector> tmp_s_U_;
00653 
00655     Vector& Tmp_x();
00656     Vector& Tmp_s();
00657     Vector& Tmp_c();
00658     Vector& Tmp_d();
00659     Vector& Tmp_x_L();
00660     Vector& Tmp_x_U();
00661     Vector& Tmp_s_L();
00662     Vector& Tmp_s_U();
00664 
00667     bool initialize_called_;
00668 
00674     SmartPtr<Vector> CalcSlack_L(const Matrix& P,
00675                                  const Vector& x,
00676                                  const Vector& x_bound);
00680     SmartPtr<Vector> CalcSlack_U(const Matrix& P,
00681                                  const Vector& x,
00682                                  const Vector& x_bound);
00686     Number CalcBarrierTerm(Number mu,
00687                            const Vector& slack_x_L,
00688                            const Vector& slack_x_U,
00689                            const Vector& slack_s_L,
00690                            const Vector& slack_s_U);
00691 
00693     SmartPtr<const Vector> CalcCompl(const Vector& slack,
00694                                      const Vector& mult);
00695 
00697     Number CalcFracToBound(const Vector& slack_L,
00698                            Vector& tmp_L,
00699                            const Matrix& P_L,
00700                            const Vector& slack_U,
00701                            Vector& tmp_U,
00702                            const Matrix& P_U,
00703                            const Vector& delta,
00704                            Number tau);
00705 
00707     void ComputeOptimalityErrorScaling(const Vector& y_c, const Vector& y_d,
00708                                        const Vector& z_L, const Vector& z_U,
00709                                        const Vector& v_L, const Vector& v_U,
00710                                        Number s_max,
00711                                        Number& s_d, Number& s_c);
00712 
00716     Index CalculateSafeSlack(SmartPtr<Vector>& slack,
00717                              const SmartPtr<const Vector>& bound,
00718                              const SmartPtr<const Vector>& curr_point,
00719                              const SmartPtr<const Vector>& multiplier);
00720 
00726     void ComputeDampingIndicators(SmartPtr<const Vector>& dampind_x_L,
00727                                   SmartPtr<const Vector>& dampind_x_U,
00728                                   SmartPtr<const Vector>& dampind_s_L,
00729                                   SmartPtr<const Vector>& dampind_s_U);
00730 
00737     bool in_restoration_phase();
00738 
00740   };
00741 
00742 } // namespace Ipopt
00743 
00744 #endif

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