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/build/buildd/coinor-ipopt-3.8.3/Ipopt/src/Algorithm/IpOrigIpoptNLP.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: IpOrigIpoptNLP.hpp 1692 2010-06-21 19:10:07Z andreasw $
00006 //
00007 // Authors:  Carl Laird, Andreas Waechter     IBM    2004-08-13
00008 
00009 #ifndef __IPORIGIPOPTNLP_HPP__
00010 #define __IPORIGIPOPTNLP_HPP__
00011 
00012 #include "IpIpoptNLP.hpp"
00013 #include "IpException.hpp"
00014 #include "IpTimingStatistics.hpp"
00015 
00016 namespace Ipopt
00017 {
00018 
00020   enum HessianApproximationType {
00021     EXACT=0,
00022     LIMITED_MEMORY
00023   };
00024 
00026   enum HessianApproximationSpace {
00027     NONLINEAR_VARS=0,
00028     ALL_VARS
00029   };
00030 
00037   class OrigIpoptNLP : public IpoptNLP
00038   {
00039   public:
00042     OrigIpoptNLP(const SmartPtr<const Journalist>& jnlst,
00043                  const SmartPtr<NLP>& nlp,
00044                  const SmartPtr<NLPScalingObject>& nlp_scaling);
00045 
00047     virtual ~OrigIpoptNLP();
00049 
00051     virtual bool Initialize(const Journalist& jnlst,
00052                             const OptionsList& options,
00053                             const std::string& prefix);
00054 
00057     virtual bool InitializeStructures(SmartPtr<Vector>& x,
00058                                       bool init_x,
00059                                       SmartPtr<Vector>& y_c,
00060                                       bool init_y_c,
00061                                       SmartPtr<Vector>& y_d,
00062                                       bool init_y_d,
00063                                       SmartPtr<Vector>& z_L,
00064                                       bool init_z_L,
00065                                       SmartPtr<Vector>& z_U,
00066                                       bool init_z_U,
00067                                       SmartPtr<Vector>& v_L,
00068                                       SmartPtr<Vector>& v_U
00069                                      );
00070 
00072     virtual bool GetWarmStartIterate(IteratesVector& warm_start_iterate)
00073     {
00074       return nlp_->GetWarmStartIterate(warm_start_iterate);
00075     }
00079     virtual Number f(const Vector& x);
00080 
00083     virtual Number f(const Vector& x, Number mu);
00084 
00086     virtual SmartPtr<const Vector> grad_f(const Vector& x);
00087 
00090     virtual SmartPtr<const Vector> grad_f(const Vector& x, Number mu);
00091 
00093     virtual SmartPtr<const Vector> c(const Vector& x);
00094 
00096     virtual SmartPtr<const Matrix> jac_c(const Vector& x);
00097 
00100     virtual SmartPtr<const Vector> d(const Vector& x);
00101 
00103     virtual SmartPtr<const Matrix> jac_d(const Vector& x);
00104 
00106     virtual SmartPtr<const SymMatrix> h(const Vector& x,
00107                                         Number obj_factor,
00108                                         const Vector& yc,
00109                                         const Vector& yd
00110                                        );
00111 
00114     virtual SmartPtr<const SymMatrix> h(const Vector& x,
00115                                         Number obj_factor,
00116                                         const Vector& yc,
00117                                         const Vector& yd,
00118                                         Number mu);
00119 
00123     virtual SmartPtr<const SymMatrix> uninitialized_h();
00124 
00126     virtual SmartPtr<const Vector> x_L() const
00127     {
00128       return x_L_;
00129     }
00130 
00132     virtual SmartPtr<const Matrix> Px_L() const
00133     {
00134       return Px_L_;
00135     }
00136 
00138     virtual SmartPtr<const Vector> x_U() const
00139     {
00140       return x_U_;
00141     }
00142 
00144     virtual SmartPtr<const Matrix> Px_U() const
00145     {
00146       return Px_U_;
00147     }
00148 
00150     virtual SmartPtr<const Vector> d_L() const
00151     {
00152       return d_L_;
00153     }
00154 
00156     virtual SmartPtr<const Matrix> Pd_L() const
00157     {
00158       return Pd_L_;
00159     }
00160 
00162     virtual SmartPtr<const Vector> d_U() const
00163     {
00164       return d_U_;
00165     }
00166 
00168     virtual SmartPtr<const Matrix> Pd_U() const
00169     {
00170       return Pd_U_;
00171     }
00172 
00173     virtual SmartPtr<const SymMatrixSpace> HessianMatrixSpace() const
00174     {
00175       return h_space_;
00176     }
00178 
00180     virtual void GetSpaces(SmartPtr<const VectorSpace>& x_space,
00181                            SmartPtr<const VectorSpace>& c_space,
00182                            SmartPtr<const VectorSpace>& d_space,
00183                            SmartPtr<const VectorSpace>& x_l_space,
00184                            SmartPtr<const MatrixSpace>& px_l_space,
00185                            SmartPtr<const VectorSpace>& x_u_space,
00186                            SmartPtr<const MatrixSpace>& px_u_space,
00187                            SmartPtr<const VectorSpace>& d_l_space,
00188                            SmartPtr<const MatrixSpace>& pd_l_space,
00189                            SmartPtr<const VectorSpace>& d_u_space,
00190                            SmartPtr<const MatrixSpace>& pd_u_space,
00191                            SmartPtr<const MatrixSpace>& Jac_c_space,
00192                            SmartPtr<const MatrixSpace>& Jac_d_space,
00193                            SmartPtr<const SymMatrixSpace>& Hess_lagrangian_space);
00194 
00197     virtual void AdjustVariableBounds(const Vector& new_x_L,
00198                                       const Vector& new_x_U,
00199                                       const Vector& new_d_L,
00200                                       const Vector& new_d_U);
00201 
00204     virtual Index f_evals() const
00205     {
00206       return f_evals_;
00207     }
00208     virtual Index grad_f_evals() const
00209     {
00210       return grad_f_evals_;
00211     }
00212     virtual Index c_evals() const
00213     {
00214       return c_evals_;
00215     }
00216     virtual Index jac_c_evals() const
00217     {
00218       return jac_c_evals_;
00219     }
00220     virtual Index d_evals() const
00221     {
00222       return d_evals_;
00223     }
00224     virtual Index jac_d_evals() const
00225     {
00226       return jac_d_evals_;
00227     }
00228     virtual Index h_evals() const
00229     {
00230       return h_evals_;
00231     }
00233 
00236     void FinalizeSolution(SolverReturn status,
00237                           const Vector& x, const Vector& z_L, const Vector& z_U,
00238                           const Vector& c, const Vector& d,
00239                           const Vector& y_c, const Vector& y_d,
00240                           Number obj_value,
00241                           const IpoptData* ip_data,
00242                           IpoptCalculatedQuantities* ip_cq);
00243     bool IntermediateCallBack(AlgorithmMode mode,
00244                               Index iter, Number obj_value,
00245                               Number inf_pr, Number inf_du,
00246                               Number mu, Number d_norm,
00247                               Number regularization_size,
00248                               Number alpha_du, Number alpha_pr,
00249                               Index ls_trials,
00250                               SmartPtr<const IpoptData> ip_data,
00251                               SmartPtr<IpoptCalculatedQuantities> ip_cq);
00253 
00257     static void RegisterOptions(SmartPtr<RegisteredOptions> roptions);
00259 
00261     SmartPtr<NLP> nlp()
00262     {
00263       return nlp_;
00264     }
00265 
00267     void ResetTimes();
00268 
00269     void PrintTimingStatistics(Journalist& jnlst,
00270                                EJournalLevel level,
00271                                EJournalCategory category) const;
00272 
00273     Number TotalFunctionEvaluationCpuTime() const;
00274     Number TotalFunctionEvaluationSysTime() const;
00275     Number TotalFunctionEvaluationWallclockTime() const;
00276 
00277   private:
00279     SmartPtr<const Journalist> jnlst_;
00280 
00282     SmartPtr<NLP> nlp_;
00283 
00286     SmartPtr<const VectorSpace> x_space_;
00287     SmartPtr<const VectorSpace> c_space_;
00288     SmartPtr<const VectorSpace> d_space_;
00289     SmartPtr<const VectorSpace> x_l_space_;
00290     SmartPtr<const MatrixSpace> px_l_space_;
00291     SmartPtr<const VectorSpace> x_u_space_;
00292     SmartPtr<const MatrixSpace> px_u_space_;
00293     SmartPtr<const VectorSpace> d_l_space_;
00294     SmartPtr<const MatrixSpace> pd_l_space_;
00295     SmartPtr<const VectorSpace> d_u_space_;
00296     SmartPtr<const MatrixSpace> pd_u_space_;
00297     SmartPtr<const MatrixSpace> jac_c_space_;
00298     SmartPtr<const MatrixSpace> jac_d_space_;
00299     SmartPtr<const SymMatrixSpace> h_space_;
00300 
00301     SmartPtr<const MatrixSpace> scaled_jac_c_space_;
00302     SmartPtr<const MatrixSpace> scaled_jac_d_space_;
00303     SmartPtr<const SymMatrixSpace> scaled_h_space_;
00305 
00308     CachedResults<Number> f_cache_;
00309 
00311     CachedResults<SmartPtr<const Vector> > grad_f_cache_;
00312 
00314     CachedResults<SmartPtr<const Vector> > c_cache_;
00315 
00318     CachedResults<SmartPtr<const Matrix> > jac_c_cache_;
00319 
00322     CachedResults<SmartPtr<const Vector> > d_cache_;
00323 
00326     CachedResults<SmartPtr<const Matrix> > jac_d_cache_;
00327 
00330     CachedResults<SmartPtr<const SymMatrix> > h_cache_;
00331 
00333     CachedResults<SmartPtr<const Vector> > unscaled_x_cache_;
00334 
00336     SmartPtr<const Vector> x_L_;
00337 
00339     SmartPtr<const Matrix> Px_L_;
00340 
00342     SmartPtr<const Vector> x_U_;
00343 
00345     SmartPtr<const Matrix> Px_U_;
00346 
00348     SmartPtr<const Vector> d_L_;
00349 
00351     SmartPtr<const Matrix> Pd_L_;
00352 
00354     SmartPtr<const Vector> d_U_;
00355 
00357     SmartPtr<const Matrix> Pd_U_;
00358 
00360     SmartPtr<const Vector> orig_x_L_;
00361 
00363     SmartPtr<const Vector> orig_x_U_;
00365 
00375     OrigIpoptNLP();
00376 
00378     OrigIpoptNLP(const OrigIpoptNLP&);
00379 
00381     void operator=(const OrigIpoptNLP&);
00383 
00390     void relax_bounds(Number bound_relax_factor, Vector& bounds);
00392     SmartPtr<const Vector> get_unscaled_x(const Vector& x);
00394 
00398     Number bound_relax_factor_;
00401     bool honor_original_bounds_;
00404     bool warm_start_same_structure_;
00406     HessianApproximationType hessian_approximation_;
00408     HessianApproximationSpace hessian_approximation_space_;
00411     bool check_derivatives_for_naninf_;
00414     bool jac_c_constant_;
00417     bool jac_d_constant_;
00419     bool hessian_constant_;
00421 
00424     Index f_evals_;
00425     Index grad_f_evals_;
00426     Index c_evals_;
00427     Index jac_c_evals_;
00428     Index d_evals_;
00429     Index jac_d_evals_;
00430     Index h_evals_;
00432 
00434     bool initialized_;
00435 
00438     TimedTask f_eval_time_;
00439     TimedTask grad_f_eval_time_;
00440     TimedTask c_eval_time_;
00441     TimedTask jac_c_eval_time_;
00442     TimedTask d_eval_time_;
00443     TimedTask jac_d_eval_time_;
00444     TimedTask h_eval_time_;
00446   };
00447 
00448 } // namespace Ipopt
00449 
00450 #endif

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