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/* ASCEND modelling environment |
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Copyright (C) 2007-2010 Carnegie Mellon University |
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|
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This program is free software; you can redistribute it and/or modify |
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it under the terms of the GNU General Public License as published by |
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the Free Software Foundation; either version 2, or (at your option) |
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any later version. |
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|
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This program is distributed in the hope that it will be useful, |
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but WITHOUT ANY WARRANTY; without even the implied warranty of |
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MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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GNU General Public License for more details. |
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|
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You should have received a copy of the GNU General Public License |
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along with this program. If not, see <http://www.gnu.org/licenses/>. |
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*//** |
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@file |
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Connection of the IPOPT optimisation solver into ASCEND. |
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|
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THIS IS STILL VERY MUCH UNDER DEVELOPMENT AND INCOMPLETE. |
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|
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The IPOPT solver is documented at http://projects.coin-or.org/Ipopt/ |
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*//* |
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ASCEND wrapper for IPOPT originally by John Pye, Jun 2007 onwards. Further |
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contributions from Mahesh Narayanamurthi 2009. |
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*/ |
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|
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#include <ascend/utilities/config.h> |
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|
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#ifndef ASC_WITH_IPOPT |
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# error "ASC_WITH_IPOPT must be defined in order to build this." |
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#endif |
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|
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#include <math.h> |
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|
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#include <ascend/solver/solver.h> |
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|
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#include <ascend/system/calc.h> |
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#include <ascend/system/relman.h> |
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#include <ascend/system/slv_stdcalls.h> |
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#include <ascend/system/block.h> |
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|
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#include <ascend/general/platform.h> |
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#include <ascend/general/panic.h> |
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#include <ascend/general/ascMalloc.h> |
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#include <ascend/utilities/ascDynaLoad.h> |
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#include <ascend/general/mem.h> |
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#include <ascend/utilities/ascEnvVar.h> |
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#include <ascend/general/tm_time.h> |
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#include <ascend/general/env.h> |
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|
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#include <ascend/general/ltmatrix.h> |
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|
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#include <coin/IpStdCInterface.h> |
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|
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ASC_DLLSPEC SolverRegisterFn ipopt_register; |
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|
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/*------------------------------------------------------------------------------ |
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DATA STRUCTURES AND FORWARD DEFS |
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*/ |
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|
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/** |
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Documentation of solver options for IPOPT is at |
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http://www.coin-or.org/Ipopt/documentation/node1.html |
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*/ |
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enum{ |
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/** ASCEND OPTIONS */ |
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ASCEND_PARAM_SAFEEVAL |
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/** OUTPUT OPTIONS */ |
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,IPOPT_PARAM_PRINT_LEVEL |
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,IPOPT_PARAM_PRINT_USER_OPTIONS |
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/** TERMINATION OPTIONS */ |
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,IPOPT_PARAM_TOL |
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,IPOPT_PARAM_MAX_ITER |
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,IPOPT_PARAM_MAX_CPU_TIME |
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,IPOPT_PARAM_DIVERGING_ITERATES_TOL |
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,IPOPT_PARAM_CONSTR_VIOL_TOL |
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,IPOPT_PARAM_DUAL_INFEASIBILITY_TOL |
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,IPOPT_PARAM_ACCEPTABLE_TOL |
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,IPOPT_PARAM_ACCEPTABLE_ITER |
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/** LINEAR SOLVER OPTIONS */ |
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,IPOPT_PARAM_LINEAR_SOLVER |
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/** BARRIER PARAMETER OPTIONS */ |
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,IPOPT_PARAM_MU_STRATEGY |
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/** DERIVATIVE TEST OPTIONS */ |
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,IPOPT_PARAM_DERIVATIVE_TEST |
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/** QUASI-NEWTON OPTIONS */ |
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,IPOPT_PARAM_HESS_APPROX |
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/** OPTIONS COUNT */ |
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,IPOPT_PARAMS |
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}; |
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|
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#define SYS(s) ((IpoptSystem *)(s)) |
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|
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struct IpoptSystemStruct{ |
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|
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/* |
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Problem definition |
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*/ |
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slv_system_t slv; /* slv_system_t back-link */ |
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struct rel_relation *obj; /* Objective function: NULL = none */ |
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struct rel_relation *old_obj;/* Objective function: NULL = none */ |
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struct var_variable **vlist; /* Variable list (NULL terminated) */ |
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struct rel_relation **rlist; /* Relation list (NULL terminated) */ |
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|
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var_filter_t vfilt; |
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rel_filter_t rfilt; |
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|
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/* |
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Solver information |
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*/ |
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int32 presolved; /* ? Has the system been presolved */ |
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int32 resolve; /* ? Has the system been resolved */ |
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slv_parameters_t p; /* Parameters */ |
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slv_status_t s; /* Status (as of iteration end) */ |
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|
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int32 cap; /* Order of matrix/vectors */ |
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int32 rank; /* Symbolic rank of problem */ |
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int32 vused; /* Free and incident variables */ |
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int32 vtot; /* length of varlist */ |
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int32 rused; /* Included relations */ |
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int32 rtot; /* length of rellist */ |
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double clock; /* CPU time */ |
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|
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int32 calc_ok; |
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double obj_val; |
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|
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#if 0 |
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void *parm_array[IPOPT_PARAMS]; |
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#endif |
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struct slv_parameter pa[IPOPT_PARAMS]; |
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|
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/* |
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IPOPT DATA |
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*/ |
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Index n; /* number of variables */ |
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Index m; /* number of constraints (excl the 'objective relation')*/ |
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|
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Index nnzJ; /* number of non zeros in the jacobian of the constraints */ |
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Index nnzH; /* number of non-zeros in the hessian of the objective */ |
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|
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#if 0 |
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Number* x_L; /* lower bounds on x */ |
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Number* x_U; /* upper bounds on x */ |
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Number* g_L; /* lower bounds on g */ |
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Number* g_U; /* upper bounds on g */ |
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#endif |
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|
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IpoptProblem nlp; /* IpoptProblem */ |
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|
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enum ApplicationReturnStatus status; /* Solve return code */ |
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#if 0 |
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Number* x; /* starting point and solution vector */ |
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Number* mult_x_L; /* lower bound multipliers at the solution */ |
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Number* mult_x_U; /* upper bound multipliers at the solution */ |
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#endif |
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Index i; /* generic counter */ |
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}; |
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|
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typedef struct IpoptSystemStruct IpoptSystem; |
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|
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static int ipopt_get_default_parameters(slv_system_t server, SlvClientToken asys, slv_parameters_t *parameters); |
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|
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static void ipopt_iteration_begins(IpoptSystem *sys); |
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static void ipopt_iteration_ends(IpoptSystem *sys); |
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|
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/*------------------------------------------------------------------------------ |
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SYSTEM SETUP/DESTROY, STATUS AND SOLVER ELIGIBILITY |
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*/ |
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|
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static SlvClientToken ipopt_create(slv_system_t server, int32 *statusindex){ |
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IpoptSystem *sys; |
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|
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sys = ASC_NEW_CLEAR(IpoptSystem); |
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if(sys==NULL){ |
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*statusindex = 1; |
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return sys; |
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} |
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|
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sys->p.parms = sys->pa; |
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sys->p.dynamic_parms = 0; |
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ipopt_get_default_parameters(server,(SlvClientToken)sys,&(sys->p)); |
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sys->p.whose = (*statusindex); |
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|
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sys->presolved = 0; |
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sys->resolve = 0; |
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|
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sys->n = -1; |
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sys->m = -1; |
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|
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sys->s.ok = TRUE; |
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sys->s.calc_ok = TRUE; |
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sys->s.costsize = 0; |
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sys->s.cost = NULL; /*redundant, but sanity preserving */ |
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sys->s.block.number_of = 1; |
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sys->s.block.current_block = 0; |
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sys->s.block.current_reordered_block = 0; |
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sys->s.block.current_size = 0; |
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sys->s.block.previous_total_size = 0; |
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sys->s.block.iteration = 0; |
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sys->s.block.funcs = 0; |
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sys->s.block.jacs = 0; |
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sys->s.block.cpu_elapsed = 0; |
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sys->s.block.functime = 0; |
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sys->s.block.jactime = 0; |
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sys->s.block.residual = 0; |
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|
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sys->rfilt.matchbits = (REL_INCLUDED | REL_ACTIVE); |
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sys->rfilt.matchvalue = (REL_INCLUDED | REL_ACTIVE); |
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sys->vfilt.matchbits = (VAR_ACTIVE | VAR_INCIDENT | VAR_SVAR | VAR_FIXED); |
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sys->vfilt.matchvalue = (VAR_ACTIVE | VAR_INCIDENT | VAR_SVAR); |
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|
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sys->vlist = slv_get_solvers_var_list(server); |
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sys->rlist = slv_get_solvers_rel_list(server); |
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|
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sys->rtot = slv_get_num_solvers_rels(server); |
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sys->vtot = slv_get_num_solvers_vars(server); |
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|
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sys->obj = slv_get_obj_relation(server); |
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|
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sys->slv = server; |
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|
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/*char *tmp = rel_make_name(sys->slv,sys->obj); |
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//CONSOLE_DEBUG("Objective relation is '%s'",tmp); |
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ASC_FREE(tmp);*/ |
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|
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//CONSOLE_DEBUG("There are %d constraint relations.", sys->rtot); |
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|
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if(sys->vlist == NULL) { |
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ASC_FREE(sys); |
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ERROR_REPORTER_HERE(ASC_PROG_ERR,"IPOPT called with no variables."); |
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*statusindex = -2; |
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return NULL; |
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} |
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|
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if(sys->rlist == NULL && sys->obj == NULL) { |
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ASC_FREE(sys); |
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ERROR_REPORTER_HERE(ASC_PROG_ERR,"IPOPT called with no relations or objective."); |
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*statusindex = -1; |
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return NULL; |
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} |
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|
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|
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/* do nothing with the objective list, pars, bounds, extrels, etc etc */ |
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|
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slv_check_var_initialization(server); |
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*statusindex = 0; |
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return((SlvClientToken)sys); |
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} |
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|
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static int32 ipopt_destroy(slv_system_t server, SlvClientToken asys){ |
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IpoptSystem *sys; |
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UNUSED_PARAMETER(server); |
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sys = SYS(asys); |
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slv_destroy_parms(&(sys->p)); |
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if(sys->s.cost) ascfree(sys->s.cost); |
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ASC_FREE(sys); |
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ERROR_REPORTER_HERE(ASC_PROG_WARNING,"ipopt_destroy still needs debugging"); |
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return 0; |
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} |
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|
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|
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static int ipopt_get_status(slv_system_t server, SlvClientToken asys |
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,slv_status_t *status |
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){ |
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IpoptSystem *sys; |
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(void)server; /* stop gcc whine about unused parameter */ |
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|
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sys = SYS(asys); |
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//if (check_system(sys)) return 1; |
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mem_copy_cast(&(sys->s),status,sizeof(slv_status_t)); |
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return 0; |
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} |
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|
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/** |
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Update the solver status. FIXME can't we get rid of this silly function |
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somehot? |
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*/ |
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static void update_status(IpoptSystem *sys){ |
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boolean unsuccessful; |
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|
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sys->s.time_limit_exceeded = FALSE; /* can't do this one with IPOPT */ |
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sys->s.iteration_limit_exceeded = FALSE; /* IPOPT handles this one internally */ |
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|
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unsuccessful = sys->s.diverged || sys->s.inconsistent || |
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sys->s.iteration_limit_exceeded || sys->s.time_limit_exceeded; |
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|
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sys->s.ready_to_solve = !unsuccessful && !sys->s.converged; |
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sys->s.ok = !unsuccessful && sys->s.calc_ok && !sys->s.struct_singular; |
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} |
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|
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static int32 ipopt_eligible_solver(slv_system_t server){ |
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struct rel_relation **rp; |
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struct var_variable **vp; |
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rel_filter_t rfilt; |
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var_filter_t vfilt; |
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|
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rfilt.matchbits = (REL_CONDITIONAL | REL_INWHEN); |
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rfilt.matchvalue = (REL_CONDITIONAL | REL_INWHEN); |
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|
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vfilt.matchbits = (VAR_BINARY); |
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vfilt.matchvalue = (VAR_BINARY); |
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|
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/// @todo check that there is a MAXIMIZE or MINIMIZE statement |
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if (slv_get_obj_relation(server) == NULL) |
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ERROR_REPORTER_HERE(ASC_USER_ERROR,"No objective function found"); |
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|
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/// @todo check that there are no WHENs or CONDITIONALs |
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for( rp=slv_get_solvers_rel_list(server); *rp != NULL ; ++rp ) { |
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if(rel_apply_filter(*rp,&rfilt)){ |
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ERROR_REPORTER_NOLINE(ASC_USER_ERROR,"WHEN and CONDITIONAL Statements are not supported."); |
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return(FALSE); |
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} |
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} |
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|
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/// @todo check that there are no discrete-valued variables |
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for( vp=slv_get_solvers_var_list(server); *vp != NULL ; ++vp ) { |
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if(var_apply_filter(*vp,&vfilt)){ |
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ERROR_REPORTER_NOLINE(ASC_USER_ERROR,"Discrete Variables not supported."); |
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return(FALSE); |
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} |
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} |
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|
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/// @todo check anything else? |
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|
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return 1; |
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} |
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|
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/*------------------------------------------------------------------------------ |
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SOLVER PARAMETERS |
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*/ |
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|
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static |
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int32 ipopt_get_default_parameters(slv_system_t server, SlvClientToken asys |
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,slv_parameters_t *parameters |
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){ |
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IpoptSystem *sys = NULL; |
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struct slv_parameter *new_parms = NULL; |
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int32 make_macros = 0; |
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|
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if(server != NULL && asys != NULL) { |
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sys = SYS(asys); |
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make_macros = 1; |
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} |
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|
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if(parameters->parms == NULL) { |
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new_parms = ASC_NEW_ARRAY_OR_NULL(struct slv_parameter,IPOPT_PARAMS); |
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if(new_parms == NULL) { |
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return -1; |
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} |
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parameters->parms = new_parms; |
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parameters->dynamic_parms = 1; |
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} |
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|
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parameters->num_parms = 0; |
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|
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/** ASCEND Options */ |
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|
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slv_param_bool(parameters,ASCEND_PARAM_SAFEEVAL |
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,(SlvParameterInitBool){{"safeeval" |
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,"Use safe evaluation?",1 |
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,"Use 'safe' function evaluation routines (TRUE) or allow ASCEND to " |
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"throw SIGFPE errors which will then halt integration (FALSE)." |
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}, FALSE} |
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); |
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|
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|
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/** Output Options */ |
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|
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slv_param_int(parameters,IPOPT_PARAM_PRINT_LEVEL |
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,(SlvParameterInitInt){{"print_level" |
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,"Output verbosity level",2 |
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,"Sets the default verbosity level for console output." |
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" The larger this value the more detailed is the output." |
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" Default value is 5 and range is 0 to 12." |
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}, 5, 0, 12} |
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); |
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|
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|
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slv_param_char(parameters,IPOPT_PARAM_PRINT_USER_OPTIONS |
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,(SlvParameterInitChar){{"print_user_options" |
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,"Print all options set by the user.",2 |
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,"If selected, the algorithm will print the list of all options" |
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" set by the user including their values and whether they have" |
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" been used. In some cases this information might be incorrect," |
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" due to the internal program flow. The default value for this " |
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" string option is 'no'. " |
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}, "yes"}, (char *[]){ |
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"no","yes",NULL |
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} |
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); |
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|
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|
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|
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/** Termination Options */ |
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|
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slv_param_int(parameters,IPOPT_PARAM_MAX_ITER |
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,(SlvParameterInitInt){{"max_iter" |
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,"Maximum number of iterations",3 |
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,"The algorithm terminates with an error message if the number of iterations exceeded this number." |
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}, 3000, 0, 100000000} |
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); |
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|
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slv_param_real(parameters,IPOPT_PARAM_TOL |
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,(SlvParameterInitReal){{"tol" |
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,"Desired convergence tolerance (relative)",3 |
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,"Determines the convergence tolerance for the algorithm. The algorithm" |
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" terminates successfully, if the (scaled) NLP error becomes smaller" |
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" than this value, and if the (absolute) criteria according to " |
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" 'dual_inf_tol', 'primal_inf_tol', and 'cmpl_inf_tol' are met. (This" |
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" is epsilon_tol in Eqn. (6) in implementation paper). See also " |
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" 'acceptable_tol' as a second termination criterion. Note, some other" |
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" algorithmic features also use this quantity to determine thresholds" |
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" etc." |
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}, 1.e-8, 0, 1.e20} |
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); |
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|
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slv_param_real(parameters,IPOPT_PARAM_MAX_CPU_TIME |
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,(SlvParameterInitReal){{"max_cpu_time" |
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,"Maximum CPU time allowed per problem (seconds)",3 |
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,"The algorithm terminates with an error message if the CPU time exceeds this value." |
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}, 1.e6, 0, 1.e7} |
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); |
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|
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slv_param_real(parameters,IPOPT_PARAM_DIVERGING_ITERATES_TOL |
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,(SlvParameterInitReal){{"diverging_iterates_tol" |
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,"Threshold for maximal value of primal iterates",3 |
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,"If any component of the primal iterates exceeded this value" |
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" (in absolute terms), the optimization is aborted with the " |
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"exit message that the iterates seem to be diverging" |
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}, 1.e20, 0, 1.e50} |
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); |
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|
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|
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slv_param_real(parameters,IPOPT_PARAM_DUAL_INFEASIBILITY_TOL |
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,(SlvParameterInitReal){{"dual_inf_tol" |
437 |
,"Desired threshold for the dual infeasibility.",3 |
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,"Absolute tolerance on the dual infeasibility. Successful " |
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"termination requires that the max-norm of the (unscaled) " |
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"dual infeasibility is less than this threshold. The valid " |
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"range for this real option is 0 < dual_inf_tol < +inf and" |
442 |
" its default value is 1." |
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}, 1, 0, 1.e50} |
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); |
445 |
|
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|
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slv_param_real(parameters,IPOPT_PARAM_CONSTR_VIOL_TOL |
448 |
,(SlvParameterInitReal){{"constr_viol_tol" |
449 |
,"Desired threshold for the constraint violation.",3 |
450 |
,"Absolute tolerance on the constraint violation. Successful" |
451 |
"termination requires that the max-norm of the (unscaled) " |
452 |
" constraint violation is less than this threshold. The valid" |
453 |
" range for this real option is 0 < constr_viol_tol < +inf and" |
454 |
" its default value is 0.0001" |
455 |
}, 1e-4, 0, 1.e50} |
456 |
); |
457 |
|
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slv_param_real(parameters,IPOPT_PARAM_ACCEPTABLE_TOL |
459 |
,(SlvParameterInitReal){{"acceptable_tol" |
460 |
,"Acceptable convergence tolerance (relative).",3 |
461 |
,"Determines which (scaled) overall optimality error is" |
462 |
" considered to be 'acceptable.' There are two levels of" |
463 |
" termination criteria. If the usual 'desired' tolerances" |
464 |
" (see tol, dual_inf_tol etc) are satisfied at an iteration," |
465 |
" the algorithm immediately terminates with a success message." |
466 |
" On the other hand, if the algorithm encounters 'acceptable_iter'" |
467 |
" many iterations in a row that are considered 'acceptable', it will" |
468 |
" terminate before the desired convergence tolerance is met. This is" |
469 |
" useful in cases where the algorithm might not be able to achieve the" |
470 |
"'desired' level of accuracy. The valid range for this real option is " |
471 |
"0 < acceptable_tol < +inf and its default value is 1e-06" |
472 |
}, 1e-6, 0, 1.e50} |
473 |
); |
474 |
|
475 |
slv_param_int(parameters,IPOPT_PARAM_ACCEPTABLE_ITER |
476 |
,(SlvParameterInitInt){{"acceptable_iter" |
477 |
,"Num. of 'acceptable' iters before triggering stop.",3 |
478 |
,"If the algorithm encounters this many successive 'acceptable' " |
479 |
"iterates (see 'acceptable_tol'), it terminates, assuming that " |
480 |
"the problem has been solved to best possible accuracy given round-off." |
481 |
" If it is set to zero, this heuristic is disabled. The valid range for" |
482 |
" this integer option is 0 < acceptable_iter < +inf and its default " |
483 |
"value is 15." |
484 |
}, 15, 0, 100000000} |
485 |
); |
486 |
|
487 |
|
488 |
/** Linear Solver Options*/ |
489 |
|
490 |
/* see http://www.coin-or.org/Ipopt/documentation/node139.html */ |
491 |
slv_param_char(parameters,IPOPT_PARAM_LINEAR_SOLVER |
492 |
,(SlvParameterInitChar){{"linear_solver" |
493 |
,"Linear solver used for step computations.",4 |
494 |
,"Determines which linear algebra package is to be used for the" |
495 |
" solution of the augmented linear system (for obtaining the search" |
496 |
" directions). Note, the code must have been compiled with the" |
497 |
" linear solver you want to choose. Depending on your Ipopt" |
498 |
" installation, not all options are available. The default value" |
499 |
" for this string option is 'ma27'." |
500 |
" Available options *may* include: ma27, ma57, pardiso, wsmp," |
501 |
" mumps, custom." |
502 |
}, "mumps"}, (char *[]){ |
503 |
"ma27","ma57","pardiso","wsmp","mumps","custom",NULL |
504 |
} |
505 |
); |
506 |
|
507 |
|
508 |
/** Barrier Parameter Options*/ |
509 |
|
510 |
slv_param_char(parameters,IPOPT_PARAM_MU_STRATEGY |
511 |
,(SlvParameterInitChar){{"mu_strategy" |
512 |
,"Update strategy for barrier parameter",5 |
513 |
,"Determines which barrier parameter update strategy is to be used." |
514 |
" 'monotone' is the monotone (Fiacco-McCormick) strategy;" |
515 |
" 'adaptive' is the adaptive update strategy." |
516 |
}, "monotone"}, (char *[]){ |
517 |
"monotone","adaptive",NULL |
518 |
} |
519 |
); |
520 |
|
521 |
/** Derivative Test Options */ |
522 |
|
523 |
slv_param_char(parameters,IPOPT_PARAM_DERIVATIVE_TEST |
524 |
,(SlvParameterInitChar){{"derivative_test" |
525 |
,"Use Derivative Checker?",6 |
526 |
,"A finite-difference derivative checker is provided by IPOPT, which" |
527 |
" will check Jacobian and gradient functions ('first-order') or" |
528 |
" all first-order derivatives as well as the Hessian matrix" |
529 |
" ('second-order'). The default is to perform no checks ('none')." |
530 |
}, "none"}, (char *[]){ |
531 |
"none","first-order","second-order",NULL |
532 |
} |
533 |
); |
534 |
|
535 |
/** Quasi-Newton Options*/ |
536 |
|
537 |
slv_param_char(parameters,IPOPT_PARAM_HESS_APPROX |
538 |
,(SlvParameterInitChar){{"hessian_approximation" |
539 |
,"Hessian calculation method",7 |
540 |
,"Use either an exact Hessian matrix based on symbolic derivatives" |
541 |
" computed from the equations in the model ('exact'), or else use" |
542 |
" a limited-memory quasi-Newton approximation ('limited-memory')." |
543 |
" The default is 'limited-memory'." |
544 |
}, "exact"}, (char *[]){ |
545 |
"exact","limited-memory",NULL |
546 |
} |
547 |
); |
548 |
|
549 |
|
550 |
asc_assert(parameters->num_parms==IPOPT_PARAMS); |
551 |
|
552 |
return 1; |
553 |
} |
554 |
|
555 |
static void ipopt_get_parameters(slv_system_t server, SlvClientToken asys |
556 |
, slv_parameters_t *parameters |
557 |
){ |
558 |
IpoptSystem *sys; |
559 |
UNUSED_PARAMETER(server); |
560 |
|
561 |
sys = SYS(asys); |
562 |
//if(check_system(sys)) return; |
563 |
mem_copy_cast(&(sys->p),parameters,sizeof(slv_parameters_t)); |
564 |
} |
565 |
|
566 |
|
567 |
static void ipopt_set_parameters(slv_system_t server, SlvClientToken asys |
568 |
,slv_parameters_t *parameters |
569 |
){ |
570 |
IpoptSystem *sys; |
571 |
UNUSED_PARAMETER(server); |
572 |
|
573 |
sys = SYS(asys); |
574 |
//if (check_system(sys)) return; |
575 |
mem_copy_cast(parameters,&(sys->p),sizeof(slv_parameters_t)); |
576 |
} |
577 |
|
578 |
/*------------------------------------------------------------------------------ |
579 |
EVALUATION AND RESULT HOOK FUNCTIONS |
580 |
*/ |
581 |
|
582 |
/** |
583 |
update the model with new 'x' vector. |
584 |
@return 0 on success. |
585 |
*/ |
586 |
int ipopt_update_model(IpoptSystem *sys, const double *x){ |
587 |
unsigned j; |
588 |
|
589 |
//CONSOLE_DEBUG("Updating Model ..."); |
590 |
|
591 |
asc_assert(sys); |
592 |
asc_assert(sys->vlist); |
593 |
|
594 |
/* FIXME do we need to update any other stuff? */ |
595 |
for(j = 0; j < sys->n; ++j){ |
596 |
//CONSOLE_DEBUG("value of var[%d] = %g", j, x[j]); |
597 |
asc_assert(!isnan(x[j])); |
598 |
var_set_value(sys->vlist[j], x[j]); |
599 |
} |
600 |
|
601 |
return 0; |
602 |
} |
603 |
|
604 |
/** Function to evaluate the objective function f(x). |
605 |
@return 1 on success, 0 on failure |
606 |
|
607 |
@param n (in), the number of variables in the problem (dimension of 'x'). |
608 |
@param x (in), the values for the primal variables, 'x' , at which 'f(x)' is to be evaluated. |
609 |
@param new_x (in), false if any evaluation method was previously called with the same values in 'x', true otherwise. |
610 |
@param obj_value (out) the value of the objective function ('f(x)'). |
611 |
*/ |
612 |
Bool ipopt_eval_f(Index n, Number *x, Bool new_x, Number *obj_value, void *user_data){ |
613 |
IpoptSystem *sys; |
614 |
sys = SYS(user_data); |
615 |
int res; |
616 |
|
617 |
//CONSOLE_DEBUG("ipopt_eval_f"); |
618 |
|
619 |
asc_assert(n==sys->n); |
620 |
asc_assert(sys->obj!=NULL); |
621 |
|
622 |
if(new_x){ |
623 |
res = ipopt_update_model(sys,x); |
624 |
if(res)return 0; /* fail model update */ |
625 |
} |
626 |
|
627 |
sys->calc_ok = TRUE; |
628 |
|
629 |
|
630 |
/* char *relname; |
631 |
relname = rel_make_name(sys->slv,sys->obj); |
632 |
//CONSOLE_DEBUG("%s", relname); |
633 |
ascfree(relname);*/ |
634 |
*obj_value = relman_eval(sys->obj,&(sys->calc_ok),SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
635 |
asc_assert(!isnan(*obj_value)); |
636 |
//CONSOLE_DEBUG("sys->obj_value = %g",*obj_value); |
637 |
//CONSOLE_DEBUG("done ipopt_eval_f"); |
638 |
return sys->calc_ok; |
639 |
} |
640 |
|
641 |
/** |
642 |
@return 1 on success |
643 |
*/ |
644 |
Bool ipopt_eval_grad_f(Index n, Number* x, Bool new_x, Number* grad_f, void *user_data){ |
645 |
IpoptSystem *sys; |
646 |
int j, res, len; |
647 |
int count; |
648 |
double *derivatives; |
649 |
int *variables; |
650 |
|
651 |
sys = SYS(user_data); |
652 |
|
653 |
//CONSOLE_DEBUG("ipopt_eval_grad_f"); |
654 |
|
655 |
asc_assert(n==sys->n); |
656 |
asc_assert(sys->obj); |
657 |
asc_assert(sys->slv); |
658 |
|
659 |
if(new_x){ |
660 |
res = ipopt_update_model(sys,x); |
661 |
if(res)return 0; /* fail model update */ |
662 |
} |
663 |
|
664 |
|
665 |
/* evaluate grad_f(x) somehow */ |
666 |
for(j=0; j<n; ++j){ |
667 |
grad_f[j] = 0; |
668 |
} |
669 |
|
670 |
len = rel_n_incidences(sys->obj); |
671 |
variables = ASC_NEW_ARRAY_CLEAR(int,len); |
672 |
derivatives = ASC_NEW_ARRAY_CLEAR(double,len); |
673 |
/** @todo Check if memory allocation was successful and flag error if otherwise */ |
674 |
//CONSOLE_DEBUG("Length of incidences: %d",len); |
675 |
//CONSOLE_DEBUG("allocated variables,derivatives"); |
676 |
|
677 |
/*relman_diff2( |
678 |
sys->obj,&vfilter,derivatives,variables |
679 |
, &count,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
680 |
);*/ |
681 |
|
682 |
relman_diff2_rev( |
683 |
sys->obj,&(sys->vfilt),derivatives,variables |
684 |
, &count,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
685 |
); |
686 |
|
687 |
|
688 |
for(j=0; j<len; ++j){ |
689 |
//asc_assert(!isnan(derivatives[j])); |
690 |
grad_f[variables[j]] = derivatives[j]; |
691 |
char *tmp = var_make_name(sys->slv, sys->vlist[variables[j]]); |
692 |
//CONSOLE_DEBUG("var %d ('%s'): varindex = %d, x = %g, df/dx = %f", j, tmp, variables[j], var_value(sys->vlist[variables[j]]), derivatives[j]); |
693 |
ASC_FREE(tmp); |
694 |
} |
695 |
|
696 |
if(variables)ASC_FREE(variables); |
697 |
if(derivatives)ASC_FREE(derivatives); |
698 |
|
699 |
//CONSOLE_DEBUG("done ipopt_eval_grad_f"); |
700 |
return 1; /* success, presumably */ |
701 |
} |
702 |
|
703 |
Bool ipopt_eval_g(Index n, Number* x, Bool new_x, Index m, Number *g, void *user_data){ |
704 |
IpoptSystem *sys; |
705 |
sys = SYS(user_data); |
706 |
int i, res; |
707 |
struct rel_relation *rel; |
708 |
int calc_ok = 1; |
709 |
|
710 |
//CONSOLE_DEBUG("ipopt_eval_g (n=%d, m=%d)",sys->n, sys->m); |
711 |
|
712 |
asc_assert(n==sys->n); |
713 |
asc_assert(m==sys->m); |
714 |
|
715 |
if(new_x){ |
716 |
res = ipopt_update_model(sys,x); |
717 |
if(res)return 0; /* fail model update */ |
718 |
} |
719 |
|
720 |
for(i=0;i<m;++i){ |
721 |
//CONSOLE_DEBUG("rel %d: %s.",i,(sys->rlist[i] == sys->obj ? "OBJECTIVE" : "constraint")); //minor fix was rlist[0] -- MNM |
722 |
} |
723 |
|
724 |
/** @todo constraint rels are all relations except the objective rel. do we need to sort the objective to the end? */ |
725 |
for(i=0; i<m; ++i){ |
726 |
rel = sys->rlist[i]; |
727 |
asc_assert(rel!=NULL); |
728 |
//if(rel == sys->obj) continue; /* I think this completes the function for the time being */ |
729 |
g[i] = relman_eval(rel, &calc_ok,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
730 |
asc_assert(!isnan(g[i])); |
731 |
//CONSOLE_DEBUG("g[%d] = %f",i,g[i]); |
732 |
} |
733 |
|
734 |
return calc_ok; /* fail: not yet implemented */ |
735 |
} |
736 |
|
737 |
Bool ipopt_eval_jac_g(Index n, Number* x, Bool new_x, Index m |
738 |
, Index nele_jac, Index* iRow, Index *jCol, Number* values |
739 |
, void *user_data |
740 |
){ |
741 |
IpoptSystem *sys; |
742 |
sys = SYS(user_data); |
743 |
int i,res,j,k,len,count; |
744 |
struct var_variable **incidence_list; |
745 |
int *variables; |
746 |
double *derivatives; |
747 |
|
748 |
//CONSOLE_DEBUG("ipopt_eval_jac_g... nnzJ = %d",sys->nnzJ); |
749 |
//CONSOLE_DEBUG("ipopt_eval_jac_g... n = %d",sys->n); |
750 |
//CONSOLE_DEBUG("ipopt_eval_jac_g... m = %d",sys->m); |
751 |
|
752 |
asc_assert(sys!=NULL); |
753 |
asc_assert(n==sys->n); |
754 |
asc_assert(nele_jac==sys->nnzJ); |
755 |
asc_assert(m==sys->m); |
756 |
|
757 |
if(new_x){ |
758 |
res = ipopt_update_model(sys,x); |
759 |
if(res)return 0; /* fail model update */ |
760 |
} |
761 |
|
762 |
if(values == NULL){ |
763 |
CONSOLE_DEBUG("sparsity structure requested"); |
764 |
k=0; |
765 |
for(i=0; i<m;++i){ |
766 |
/* looping through rows, one per relation */ |
767 |
if(rel_apply_filter(sys->rlist[i], &(sys->rfilt))){ |
768 |
incidence_list = (struct var_variable**) rel_incidence_list(sys->rlist[i]); |
769 |
len=rel_n_incidences(sys->rlist[i]); |
770 |
for(j=0;j<len;j++){ |
771 |
/* looping through incident variables in current relation */ |
772 |
if(var_apply_filter(incidence_list[j], &(sys->vfilt))){ |
773 |
CONSOLE_DEBUG("Non-zero #%d at [%d,%d]",k, i,incidence_list[j]->sindex); |
774 |
|
775 |
/* valgrind says invalid write of size 4 here... */ |
776 |
iRow[k]=i; // should i use sindex of row here or is this ok? |
777 |
jCol[k++]=incidence_list[j]->sindex; |
778 |
} |
779 |
} |
780 |
}else{ |
781 |
CONSOLE_DEBUG("Filter removes relation %d",i); |
782 |
} |
783 |
} |
784 |
CONSOLE_DEBUG("Found %d non-zero elements in jacobian", k); |
785 |
}else{ |
786 |
//CONSOLE_DEBUG("Calculating jacobian..."); |
787 |
k=0; |
788 |
/** @TODO make use of some temporary allocated memory for these arrays... */ |
789 |
variables = ASC_NEW_ARRAY(int,n); |
790 |
derivatives = ASC_NEW_ARRAY_CLEAR(double,n); |
791 |
for(i=0; i<m;++i){ |
792 |
if(rel_apply_filter(sys->rlist[i], &(sys->rfilt))){ |
793 |
incidence_list = (struct var_variable**) rel_incidence_list(sys->rlist[i]); |
794 |
len = rel_n_incidences(sys->rlist[i]); |
795 |
|
796 |
#if 0 |
797 |
relman_diff2(sys->rlist[i],&(sys->vfilt),derivatives,variables |
798 |
,&count,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
799 |
); |
800 |
#else |
801 |
relman_diff2_rev(sys->rlist[i], &(sys->vfilt), derivatives |
802 |
,variables, &count, SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
803 |
); |
804 |
#endif |
805 |
|
806 |
for(j=0;j<count;j++){ /* loop through only the returned (filtered) incidences, not all of them */ |
807 |
asc_assert(k < sys->nnzJ); |
808 |
//CONSOLE_DEBUG("Recording values[%d] = derivatives[%d]",k,j); |
809 |
asc_assert(!isnan(derivatives[j])); |
810 |
values[k++] = derivatives[j]; |
811 |
} |
812 |
} |
813 |
} |
814 |
if(variables)ASC_FREE(variables); |
815 |
if(derivatives)ASC_FREE(derivatives); |
816 |
//CONSOLE_DEBUG("Filled in values of Jacobian"); |
817 |
} |
818 |
//CONSOLE_DEBUG("done ipopt_eval_jac_g"); |
819 |
return TRUE; |
820 |
} |
821 |
|
822 |
Bool ipopt_eval_h(Index n, Number* x, Bool new_x |
823 |
, Number obj_factor, Index m, Number* lambda |
824 |
, Bool new_lambda, Index nele_hess, Index* iRow |
825 |
, Index* jCol, Number* values |
826 |
, void *user_data |
827 |
){ |
828 |
IpoptSystem *sys; |
829 |
sys = SYS(user_data); |
830 |
|
831 |
int res,count; |
832 |
|
833 |
struct var_variable **incidence_list; |
834 |
|
835 |
ltmatrix *hess_matrix; |
836 |
|
837 |
unsigned long i; |
838 |
|
839 |
Index row; |
840 |
Index col; |
841 |
Index idx; |
842 |
|
843 |
//CONSOLE_DEBUG("IN FUNCTION ipopt_eval_h"); |
844 |
//CONSOLE_DEBUG("nnzH = %d",sys->nnzH); |
845 |
//CONSOLE_DEBUG("n = %d, m = %d",sys->n, sys->m); |
846 |
|
847 |
asc_assert(sys!=NULL); |
848 |
asc_assert(n==sys->n); |
849 |
asc_assert(nele_hess==sys->nnzH); |
850 |
|
851 |
if(new_x){ |
852 |
res = ipopt_update_model(sys,x); |
853 |
if(res)return FALSE; /* fail model update */ |
854 |
} |
855 |
|
856 |
if(values == NULL){ |
857 |
asc_assert(iRow !=NULL && jCol != NULL); |
858 |
|
859 |
CONSOLE_DEBUG("Determining sparsity structure of the hessian of the lagrangian"); |
860 |
|
861 |
/* identify the sparsity structure of the Hessian (note: only the lower- |
862 |
left part is required by IPOPT , because the Hessian is symmetric) */ |
863 |
//CONSOLE_DEBUG("Analysing of Hessian matrix sparsity structure not implemented"); |
864 |
//CONSOLE_DEBUG("Dense Hessian Calculations being performed"); |
865 |
|
866 |
idx = 0; |
867 |
|
868 |
for (row = 0; row < n; row++) { |
869 |
for (col = 0; col <= row; col++) { |
870 |
iRow[idx] = row; |
871 |
jCol[idx] = col; |
872 |
idx++; |
873 |
} |
874 |
} |
875 |
asc_assert(idx == nele_hess); |
876 |
|
877 |
CONSOLE_DEBUG("Done with sparsity calc, there are %d elements",idx); |
878 |
} |
879 |
else{ |
880 |
asc_assert(jCol==NULL && iRow==NULL); |
881 |
asc_assert(lambda!=NULL); |
882 |
|
883 |
/** Array of LT matrix */ |
884 |
hess_matrix = ltmatrix_create(LTMATRIX_LOWER,n); |
885 |
|
886 |
//CONSOLE_DEBUG("Order of Hessian MATRIX [%d x %d]",n,n); |
887 |
|
888 |
/** Correction for objective function **/ |
889 |
//CONSOLE_DEBUG("Correction for Objective Relation underway"); |
890 |
relman_hess(sys->obj,&(sys->vfilt),hess_matrix,&count,n,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
891 |
|
892 |
idx = 0; |
893 |
|
894 |
for (row = 0; row < n; row++) { |
895 |
for (col = 0; col <= row; col++) { |
896 |
values[idx] = ltmatrix_get_element(hess_matrix,row,col) * (obj_factor); |
897 |
idx++; |
898 |
} |
899 |
} |
900 |
asc_assert(idx == nele_hess); |
901 |
|
902 |
|
903 |
/** Correction for m-relations **/ |
904 |
|
905 |
|
906 |
for(i=0; i<m; i++){ |
907 |
/** @TODO Initialize the Hess Matrix Elements to zero */ |
908 |
ltmatrix_clear(hess_matrix); |
909 |
|
910 |
incidence_list = (struct var_variable**) rel_incidence_list(sys->rlist[i]); |
911 |
if(incidence_list!=NULL){ |
912 |
//CONSOLE_DEBUG("Correction for Constraint Relation [%lu] underway",i); |
913 |
relman_hess(sys->rlist[i],&(sys->vfilt),hess_matrix,&count,n,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
914 |
|
915 |
idx=0; |
916 |
|
917 |
for (row = 0; row < n; row++) { |
918 |
for (col = 0; col <= row; col++) { |
919 |
values[idx] += ltmatrix_get_element(hess_matrix,row,col) * (lambda[i]); |
920 |
idx++; |
921 |
} |
922 |
} |
923 |
asc_assert(idx == nele_hess); |
924 |
|
925 |
} |
926 |
else{ |
927 |
ERROR_REPORTER_HERE(ASC_PROG_WARNING,"Unused Relation???"); |
928 |
ltmatrix_destroy(hess_matrix); |
929 |
return FALSE; //I'm not sure about the action to take. |
930 |
} |
931 |
} |
932 |
|
933 |
//CONSOLE_DEBUG("Hessian Matrix evaluation successful"); |
934 |
|
935 |
ltmatrix_destroy(hess_matrix); |
936 |
|
937 |
/* evaluate the Hessian matrix */ |
938 |
//CONSOLE_DEBUG("Evaluation of Hessian matrix Completed"); |
939 |
} |
940 |
|
941 |
return TRUE; /* fail: not yet implemented */ |
942 |
} |
943 |
|
944 |
/*------------------------------------------------------------------------------ |
945 |
SOLVE ROUTINES |
946 |
*/ |
947 |
|
948 |
static int ipopt_presolve(slv_system_t server, SlvClientToken asys){ |
949 |
IpoptSystem *sys; |
950 |
int max, i; |
951 |
struct var_variable *var; |
952 |
|
953 |
//CONSOLE_DEBUG("PRESOLVE"); |
954 |
|
955 |
sys = SYS(asys); |
956 |
ipopt_iteration_begins(sys); |
957 |
//check_system(sys); |
958 |
|
959 |
asc_assert(sys->vlist && sys->rlist); |
960 |
|
961 |
/** @todo work out if matrix creation is not again needed */ |
962 |
|
963 |
slv_sort_rels_and_vars(server,&(sys->m),&(sys->n)); |
964 |
#if 0 |
965 |
/* ignore any errors here; if it fails, we may just have a single objective function and no constraining relations */ |
966 |
if(-1 == sys->n){ |
967 |
ERROR_REPORTER_HERE(ASC_PROG_ERR,"Failed to find any optimisable vars"); |
968 |
return -4; |
969 |
} |
970 |
if(-1 == sys->m){ |
971 |
sys->m = 0; /* no relations found, but that's OK if there's an objective? */ |
972 |
} |
973 |
if(-1 == sys->m)sys->m = 0; |
974 |
if(-1 == sys->n)sys->n = 0; |
975 |
#endif |
976 |
|
977 |
CONSOLE_DEBUG("Got %d rels and %d vars",sys->m, sys->n); |
978 |
|
979 |
#if 1 |
980 |
/* count the number of optimisation variables */ |
981 |
sys->n = 0; |
982 |
for(i = 0; i < sys->vtot; i++){ |
983 |
var = sys->vlist[i]; |
984 |
if(var_apply_filter(var,&(sys->vfilt))){ |
985 |
sys->n++; |
986 |
} |
987 |
} |
988 |
#endif |
989 |
|
990 |
/* set all relations as being 'unsatisfied' to start with... */ |
991 |
for(i=0; i < sys->rtot; ++i){ |
992 |
rel_set_satisfied(sys->rlist[i],FALSE); |
993 |
} |
994 |
|
995 |
sys->obj = slv_get_obj_relation(server); /*may have changed objective*/ |
996 |
|
997 |
|
998 |
if(!sys->obj){ |
999 |
ERROR_REPORTER_HERE(ASC_PROG_ERR,"No objective function was specified"); |
1000 |
return -3; |
1001 |
} |
1002 |
//CONSOLE_DEBUG("got objective rel %p",sys->obj); |
1003 |
/* @todo check if old_obj == obj ? */ |
1004 |
|
1005 |
#if 1 |
1006 |
/* TODO are there cases where these should be different: answer: NO. they are always the same -- JP */ |
1007 |
sys->m = sys->rtot; |
1008 |
#endif |
1009 |
|
1010 |
//CONSOLE_DEBUG("Numbers of constraints = %d",sys->m); |
1011 |
|
1012 |
/** @todo we need to move the objective relation to the end of the list */ |
1013 |
|
1014 |
/*for(i=0;i<sys->rtot-1;++i){ |
1015 |
//CONSOLE_DEBUG("%d",i); |
1016 |
if(sys->rlist[i] == sys->obj) |
1017 |
//CONSOLE_DEBUG("<-------------------------------This Check Works------------------------>"); |
1018 |
|
1019 |
}*/ |
1020 |
|
1021 |
//CONSOLE_DEBUG("got objective rel %p",sys->obj); |
1022 |
|
1023 |
/* calculate nnz for hessian matrix @todo FIXME */ |
1024 |
|
1025 |
if(strcmp(SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_HESS_APPROX),"exact")==0){ |
1026 |
/** @todo fix rtot to be 'm' instead */ |
1027 |
sys->nnzH = ((sys->n)*((sys->n)+1))/2; //dense Hessian count |
1028 |
}else{ |
1029 |
//CONSOLE_DEBUG("Skipping relman_hessian_count as hessian method is not exact."); |
1030 |
//sys->nnzH = sys->n * sys->m; |
1031 |
} |
1032 |
|
1033 |
/* need to provide sparsity structure for hessian matrix? */ |
1034 |
|
1035 |
#if 0 |
1036 |
/** @SEE http://www.coin-or.org/Ipopt/documentation/node37.html */ |
1037 |
ipopt_eval_h(number_of_variables, NULL/*x at which to evaluate*/, TRUE /* new x */ |
1038 |
, 1.0/*obj_factor*/, number_of_constraints, lambda/* values of the constraint multipliers */ |
1039 |
, TRUE /* new lambda */, 0 /* number of nonzero elements in the Hessian */, Index* iRow |
1040 |
, Index* jCol, Number* values |
1041 |
, void *user_data |
1042 |
); |
1043 |
#endif |
1044 |
|
1045 |
|
1046 |
max = relman_obj_direction(sys->obj); |
1047 |
if(max==-1){ |
1048 |
//CONSOLE_DEBUG("this is a MINIMIZE problem"); |
1049 |
}else{ |
1050 |
//CONSOLE_DEBUG("this is a MAXIMIZE problem"); |
1051 |
} |
1052 |
|
1053 |
//CONSOLE_DEBUG("got %d constraints and %d vars in system", sys->m, sys->n); |
1054 |
/* calculate number of non-zeros in the Jacobian matrix for the constraint equations */ |
1055 |
|
1056 |
/* @todo make sure objective rel moved to end */ |
1057 |
|
1058 |
CONSOLE_DEBUG("About to call relman_jacobian_count"); |
1059 |
sys->nnzJ = relman_jacobian_count(sys->rlist, sys->m, &(sys->vfilt), &(sys->rfilt), &max); |
1060 |
/*sys->nnzJ=0; |
1061 |
for(i=0;i<sys->m;++i){ |
1062 |
sys->nnzJ += rel_n_incidences(sys->rlist[i]); |
1063 |
}*/ |
1064 |
|
1065 |
CONSOLE_DEBUG("got %d non-zeros in constraint Jacobian", sys->nnzJ); |
1066 |
|
1067 |
/* need to provide sparsity structure for jacobian? */ |
1068 |
|
1069 |
|
1070 |
|
1071 |
#if 0 |
1072 |
if(sys->presolved > 0) { /* system has been presolved before */ |
1073 |
if(!conopt_dof_changed(sys) /*no changes in fixed or included flags*/ |
1074 |
&& sys->p.partition == sys->J.old_partition |
1075 |
&& sys->obj == sys->old_obj |
1076 |
){ |
1077 |
matrix_creation_needed = 0; |
1078 |
CONOPT_//CONSOLE_DEBUG("YOU JUST AVOIDED MATRIX DESTRUCTION/CREATION"); |
1079 |
} |
1080 |
} |
1081 |
#endif |
1082 |
|
1083 |
#if 0 |
1084 |
// check all this... |
1085 |
|
1086 |
sys->presolved = 1; /* full presolve recognized here */ |
1087 |
sys->resolve = 0; /* initialize resolve flag */ |
1088 |
|
1089 |
sys->J.old_partition = sys->p.partition; |
1090 |
sys->old_obj = sys->obj; |
1091 |
|
1092 |
slv_sort_rels_and_vars(server,&(sys->con.m),&(sys->con.n)); |
1093 |
CONOPT_//CONSOLE_DEBUG("FOUND %d CONSTRAINTS AND %d VARS",sys->con.m,sys->con.n); |
1094 |
if (sys->obj != NULL) { |
1095 |
CONOPT_//CONSOLE_DEBUG("ADDING OBJECT AS A ROW"); |
1096 |
sys->con.m++; /* treat objective as a row */ |
1097 |
} |
1098 |
|
1099 |
cntvect = ASC_NEW_ARRAY(int,COIDEF_Size()); |
1100 |
COIDEF_Ini(cntvect); |
1101 |
sys->con.cntvect = cntvect; |
1102 |
CONOPT_//CONSOLE_DEBUG("NUMBER OF CONSTRAINTS = %d",sys->con.m); |
1103 |
COIDEF_NumVar(cntvect, &(sys->con.n)); |
1104 |
COIDEF_NumCon(cntvect, &(sys->con.m)); |
1105 |
sys->con.nz = num_jacobian_nonzeros(sys, &(sys->con.maxrow)); |
1106 |
COIDEF_NumNZ(cntvect, &(sys->con.nz)); |
1107 |
COIDEF_NumNlNz(cntvect, &(sys->con.nz)); |
1108 |
|
1109 |
sys->con.base = 0; |
1110 |
COIDEF_Base(cntvect,&(sys->con.base)); |
1111 |
COIDEF_ErrLim(cntvect, &(DOMLIM)); |
1112 |
COIDEF_ItLim(cntvect, &(ITER_LIMIT)); |
1113 |
|
1114 |
if(sys->obj!=NULL){ |
1115 |
sys->con.optdir = relman_obj_direction(sys->obj); |
1116 |
sys->con.objcon = sys->con.m - 1; /* objective will be last row */ |
1117 |
CONOPT_//CONSOLE_DEBUG("SETTING OBJECTIVE CONSTRAINT TO BE %d",sys->con.objcon); |
1118 |
}else{ |
1119 |
sys->con.optdir = 0; |
1120 |
sys->con.objcon = 0; |
1121 |
} |
1122 |
COIDEF_OptDir(cntvect, &(sys->con.optdir)); |
1123 |
COIDEF_ObjCon(cntvect, &(sys->con.objcon)); |
1124 |
|
1125 |
temp = 0; |
1126 |
COIDEF_StdOut(cntvect, &temp); |
1127 |
|
1128 |
int debugfv = 1; |
1129 |
COIDEF_DebugFV(cntvect, &debugfv); |
1130 |
|
1131 |
destroy_vectors(sys); |
1132 |
destroy_matrices(sys); |
1133 |
create_matrices(server,sys); |
1134 |
create_vectors(sys); |
1135 |
|
1136 |
sys->s.block.current_reordered_block = -2; |
1137 |
} |
1138 |
|
1139 |
//... |
1140 |
|
1141 |
if( matrix_creation_needed ) { |
1142 |
destroy_array(sys->s.cost); |
1143 |
sys->s.cost = create_zero_array(sys->s.costsize,struct slv_block_cost); |
1144 |
for( ind = 0; ind < sys->s.costsize; ++ind ) { |
1145 |
sys->s.cost[ind].reorder_method = -1; |
1146 |
} |
1147 |
} else { |
1148 |
reset_cost(sys->s.cost,sys->s.costsize); |
1149 |
} |
1150 |
|
1151 |
#endif |
1152 |
|
1153 |
/* Reset status */ |
1154 |
sys->s.iteration = 0; |
1155 |
sys->s.cpu_elapsed = 0.0; |
1156 |
sys->s.converged = sys->s.diverged = sys->s.inconsistent = FALSE; |
1157 |
sys->s.block.previous_total_size = 0; |
1158 |
sys->s.costsize = 1+sys->s.block.number_of; |
1159 |
|
1160 |
|
1161 |
/* set to go to first unconverged block */ |
1162 |
sys->s.block.current_block = -1; |
1163 |
sys->s.block.current_size = 0; |
1164 |
sys->s.calc_ok = TRUE; |
1165 |
sys->s.block.iteration = 0; |
1166 |
sys->obj_val = MAXDOUBLE/2000.0; |
1167 |
//CONSOLE_DEBUG("sys->obj_val=%g",sys->obj_val); |
1168 |
update_status(sys); |
1169 |
|
1170 |
ipopt_iteration_ends(sys); |
1171 |
|
1172 |
//CONSOLE_DEBUG("Reset status"); |
1173 |
|
1174 |
/* sys->s.cost[sys->s.block.number_of].time=sys->s.cpu_elapsed; */ |
1175 |
|
1176 |
//ERROR_REPORTER_HERE(ASC_USER_SUCCESS,"presolve completed"); |
1177 |
return 0; |
1178 |
} |
1179 |
|
1180 |
|
1181 |
static int ipopt_solve(slv_system_t server, SlvClientToken asys){ |
1182 |
IpoptSystem *sys; |
1183 |
UNUSED_PARAMETER(server); |
1184 |
enum ApplicationReturnStatus status; |
1185 |
int ret, i, j; |
1186 |
struct var_variable *var; |
1187 |
enum rel_enum type_of_rel; |
1188 |
sys = SYS(asys); |
1189 |
|
1190 |
double *x, *x_L, *x_U, *g_L, *g_U, *mult_x_L, *mult_x_U; |
1191 |
|
1192 |
CONSOLE_DEBUG("SOLVING: sys->n = %d, sys->m = %d...",sys->n,sys->m); |
1193 |
asc_assert(sys->n!=-1); |
1194 |
|
1195 |
/* set the number of variables and allocate space for the bounds */ |
1196 |
x_L = ASC_NEW_ARRAY(Number,sys->n); |
1197 |
x_U = ASC_NEW_ARRAY(Number,sys->n); |
1198 |
|
1199 |
//CONSOLE_DEBUG("SETTING BOUNDS..."); |
1200 |
|
1201 |
/* @todo set the values for the variable bounds */ |
1202 |
int jj = 0; |
1203 |
for(j = 0; j < sys->vtot; j++){ |
1204 |
//CONSOLE_DEBUG("j = %d, vtot = %d, vlist = %p",j,sys->vtot,sys->vlist); |
1205 |
var = sys->vlist[j]; |
1206 |
if(var_apply_filter(var,&(sys->vfilt))){ |
1207 |
//CONSOLE_DEBUG("setting x_L[%d] = %e",jj,var_lower_bound(var)); |
1208 |
assert(jj<sys->n); |
1209 |
x_L[jj] = var_lower_bound(var); |
1210 |
//CONSOLE_DEBUG("setting x_U[%d] = %e",jj,var_upper_bound(var)); |
1211 |
x_U[jj] = var_upper_bound(var); |
1212 |
jj++; |
1213 |
} |
1214 |
} |
1215 |
|
1216 |
//CONSOLE_DEBUG("jj = %d, sys->n = %d", jj, sys->n); |
1217 |
assert(jj==sys->n); |
1218 |
|
1219 |
/** @todo set bounds on the constraints? */ |
1220 |
/* is it possible to identify f(x)<a; f(x) >b and fold them into one? */ |
1221 |
/* then find the constant parts and make then g_L or g_U accordingly */ |
1222 |
/* what to do about other bounds? */ |
1223 |
/* set the number of variables and allocate space for the bounds */ |
1224 |
g_L = ASC_NEW_ARRAY(Number,sys->m); |
1225 |
g_U = ASC_NEW_ARRAY(Number,sys->m); |
1226 |
//CONSOLE_DEBUG("Allocated arrays for bounds of relations"); |
1227 |
if(g_L!=NULL && g_U!=NULL) |
1228 |
for(j = 0; j < sys->m; j++){ |
1229 |
type_of_rel = rel_relop(sys->rlist[j]); |
1230 |
if (type_of_rel == e_rel_less || type_of_rel == e_rel_lesseq){ |
1231 |
g_L[j] = -2.0e19; //refer to IPOPT Manual "The C Interface" |
1232 |
g_U[j] = 0; |
1233 |
} |
1234 |
else if (type_of_rel == e_rel_greatereq || type_of_rel == e_rel_greater){ |
1235 |
g_L[j] = 0; |
1236 |
g_U[j] = 2.0e19; //refer to IPOPT Manual "the C Interface" |
1237 |
} |
1238 |
else{ |
1239 |
g_L[j] = 0; |
1240 |
g_U[j] = 0; |
1241 |
} |
1242 |
//CONSOLE_DEBUG("set g_L[%d] = %e",j,g_L[j]); |
1243 |
//CONSOLE_DEBUG("set g_U[%d] = %e",j,g_U[j]); |
1244 |
} |
1245 |
else |
1246 |
ERROR_REPORTER_HERE(ASC_PROG_ERR,"Failed to allocate arrays for bounds of relations"); |
1247 |
|
1248 |
|
1249 |
//CONSOLE_DEBUG("CREATING PROBLEM..."); |
1250 |
|
1251 |
/* create the IpoptProblem */ |
1252 |
//CONSOLE_DEBUG("n = %d, m = %d, nnzJ = %d, nnzH = %d",sys->n, sys->m, sys->nnzJ, sys->nnzH); |
1253 |
sys->nlp = CreateIpoptProblem(sys->n, x_L, x_U, sys->m, g_L, g_U, sys->nnzJ, sys->nnzH, 0/*index style=C*/, |
1254 |
&ipopt_eval_f, &ipopt_eval_g, &ipopt_eval_grad_f, |
1255 |
&ipopt_eval_jac_g, &ipopt_eval_h |
1256 |
); |
1257 |
|
1258 |
//CONSOLE_DEBUG("FREEING INTERNAL STUFF"); |
1259 |
|
1260 |
/* We can free the memory now - the values for the bounds have been |
1261 |
copied internally in CreateIpoptProblem */ |
1262 |
ASC_FREE(x_L); |
1263 |
ASC_FREE(x_U); |
1264 |
ASC_FREE(g_L); |
1265 |
ASC_FREE(g_U); |
1266 |
|
1267 |
//CONSOLE_DEBUG("SETTING OPTIONS..."); |
1268 |
/* set some options */ |
1269 |
/** OUTPUT OPTIONS */ |
1270 |
AddIpoptIntOption(sys->nlp, "print_level", SLV_PARAM_INT(&(sys->p),IPOPT_PARAM_PRINT_LEVEL)); |
1271 |
AddIpoptStrOption(sys->nlp, "print_user_options", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_PRINT_USER_OPTIONS)); |
1272 |
/** TERMINATION OPTIONS */ |
1273 |
AddIpoptIntOption(sys->nlp, "max_iter", SLV_PARAM_INT(&(sys->p),IPOPT_PARAM_MAX_ITER)); |
1274 |
AddIpoptNumOption(sys->nlp, "tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_TOL)); |
1275 |
AddIpoptNumOption(sys->nlp, "max_cpu_time", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_MAX_CPU_TIME)); |
1276 |
AddIpoptNumOption(sys->nlp, "diverging_iterates_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_DIVERGING_ITERATES_TOL)); |
1277 |
AddIpoptNumOption(sys->nlp, "dual_inf_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_DUAL_INFEASIBILITY_TOL)); |
1278 |
AddIpoptNumOption(sys->nlp, "constr_viol_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_CONSTR_VIOL_TOL)); |
1279 |
AddIpoptNumOption(sys->nlp, "acceptable_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_ACCEPTABLE_TOL)); |
1280 |
AddIpoptIntOption(sys->nlp, "acceptable_iter", SLV_PARAM_INT(&(sys->p),IPOPT_PARAM_ACCEPTABLE_ITER)); |
1281 |
/** BARRIER PARAMETER OPTIONS */ |
1282 |
AddIpoptStrOption(sys->nlp, "mu_strategy", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_MU_STRATEGY)); |
1283 |
/** DERIVATIVE TEST OPTIONS */ |
1284 |
AddIpoptStrOption(sys->nlp, "derivative_test", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_DERIVATIVE_TEST)); |
1285 |
/** QUASI-NEWTON OPTIONS */ |
1286 |
AddIpoptStrOption(sys->nlp, "hessian_approximation", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_HESS_APPROX)); |
1287 |
/** LINEAR SOLVER OPTIONS */ |
1288 |
AddIpoptStrOption(sys->nlp, "linear_solver", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_LINEAR_SOLVER)); |
1289 |
|
1290 |
|
1291 |
//CONSOLE_DEBUG("Hessian method: %s",SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_HESS_APPROX)); |
1292 |
|
1293 |
//CONSOLE_DEBUG("number of vars n = %d, number of rels m = %d",sys->n, sys->m); |
1294 |
|
1295 |
/* initial values */ |
1296 |
x = ASC_NEW_ARRAY(Number, sys->n); |
1297 |
/*setting initial values here.*/ |
1298 |
//CONSOLE_DEBUG("Setting starting values for free variables."); |
1299 |
for(i=0;i<sys->n;++i){ |
1300 |
//CONSOLE_DEBUG("set x[%d] = %g",i,var_value(sys->vlist[i])); // need to set the default values |
1301 |
x[i]=var_value(sys->vlist[i]); |
1302 |
} |
1303 |
/** @todo get values of 'x' from the model */ |
1304 |
|
1305 |
/* allocate space to store the bound multipliers at the solution */ |
1306 |
mult_x_L = ASC_NEW_ARRAY(Number, sys->n); |
1307 |
mult_x_U = ASC_NEW_ARRAY(Number, sys->n); |
1308 |
|
1309 |
//CONSOLE_DEBUG("Calling IpoptSolve..."); |
1310 |
|
1311 |
//CONSOLE_DEBUG("sys->objval = %g", sys->obj_val); |
1312 |
|
1313 |
/* solve the problem */ |
1314 |
status = IpoptSolve(sys->nlp, x, NULL, &sys->obj_val, NULL, mult_x_L, mult_x_U, (void*)sys); |
1315 |
|
1316 |
//CONSOLE_DEBUG("Done IpoptSolve..."); |
1317 |
|
1318 |
/** @todo update the sys->s.xxxxx flags based on value of 'status' */ |
1319 |
|
1320 |
ret = 1; /* default case is failure */ |
1321 |
switch(status){ |
1322 |
case Solve_Succeeded: |
1323 |
sys->s.converged = TRUE; |
1324 |
|
1325 |
sys->s.block.current_block = -1; //is this 1?? |
1326 |
sys->s.cost = ASC_NEW_ARRAY(struct slv_block_cost,1); |
1327 |
sys->s.cost->size=sys->s.block.current_size=sys->n; |
1328 |
sys->s.cost->iterations=sys->s.block.iteration; |
1329 |
sys->s.cost->funcs=sys->s.block.funcs; |
1330 |
sys->s.cost->jacs=sys->s.block.jacs; |
1331 |
sys->s.cost->time=sys->s.block.cpu_elapsed; |
1332 |
sys->s.cost->functime=sys->s.block.functime; |
1333 |
sys->s.cost->jactime=sys->s.block.jactime; |
1334 |
|
1335 |
|
1336 |
//CONSOLE_DEBUG("Solution of the primal variables, x"); |
1337 |
for (i=0; i<sys->n; i++) { |
1338 |
//CONSOLE_DEBUG(" x[%d] = %e\n", i, x[i]); |
1339 |
} |
1340 |
|
1341 |
//CONSOLE_DEBUG("Solution of the bound multipliers, z_L and z_U"); |
1342 |
for (i=0; i<sys->n; i++) { |
1343 |
//CONSOLE_DEBUG(" z_L[%d] = %e", i, mult_x_L[i]); |
1344 |
} |
1345 |
for (i=0; i<sys->n; i++) { |
1346 |
//CONSOLE_DEBUG(" z_U[%d] = %e", i, mult_x_U[i]); |
1347 |
} |
1348 |
|
1349 |
//CONSOLE_DEBUG("Objective value"); |
1350 |
//CONSOLE_DEBUG(" f(x*) = %e", sys->obj_val); |
1351 |
|
1352 |
ret = 0; /* success */ |
1353 |
ipopt_iteration_ends(sys); |
1354 |
update_status(sys); |
1355 |
|
1356 |
break; |
1357 |
case Search_Direction_Becomes_Too_Small: |
1358 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Solve direction becomes too small"); |
1359 |
break; |
1360 |
case Feasible_Point_Found: |
1361 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Feasible point not found"); |
1362 |
break; |
1363 |
case NonIpopt_Exception_Thrown: |
1364 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Non-IPOPT exception thrown"); |
1365 |
break; |
1366 |
case Solved_To_Acceptable_Level: |
1367 |
/** @todo What should be done here? */ |
1368 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Solved to acceptable level"); |
1369 |
break; |
1370 |
case Infeasible_Problem_Detected: |
1371 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Infeasible Problem Detected"); |
1372 |
break; |
1373 |
case Diverging_Iterates: |
1374 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Diverging iterations found."); |
1375 |
break; |
1376 |
case User_Requested_Stop: |
1377 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"User Requested Stop."); |
1378 |
break; |
1379 |
case Maximum_Iterations_Exceeded: |
1380 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Maximum Iterations Exceeded."); |
1381 |
break; |
1382 |
case Restoration_Failed: |
1383 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Restoration Failed."); |
1384 |
break; |
1385 |
case Error_In_Step_Computation: |
1386 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Error in Step Computation."); |
1387 |
break; |
1388 |
case Maximum_CpuTime_Exceeded: |
1389 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Maximum CPU Time exceeded."); |
1390 |
break; |
1391 |
case Not_Enough_Degrees_Of_Freedom: |
1392 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Not enough degrees of freedom."); |
1393 |
break; |
1394 |
case Invalid_Problem_Definition: |
1395 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Invalid problem definition."); |
1396 |
break; |
1397 |
case Invalid_Option: |
1398 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Invalid Option."); |
1399 |
break; |
1400 |
case Invalid_Number_Detected: |
1401 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Invalid Number Detected."); |
1402 |
break; |
1403 |
case Unrecoverable_Exception: |
1404 |
ERROR_REPORTER_HERE(ASC_PROG_FATAL,"Unrecoverable_Exception."); |
1405 |
break; |
1406 |
case Insufficient_Memory: |
1407 |
ERROR_REPORTER_HERE(ASC_PROG_FATAL,"Insufficient Memory."); |
1408 |
break; |
1409 |
case Internal_Error: |
1410 |
ERROR_REPORTER_HERE(ASC_PROG_FATAL,"Internal Error."); |
1411 |
break; |
1412 |
default: |
1413 |
ERROR_REPORTER_HERE(ASC_PROG_ERROR,"Unhanded return state %d from IPOPT",status); |
1414 |
} |
1415 |
|
1416 |
/* free allocated memory */ |
1417 |
FreeIpoptProblem(sys->nlp); |
1418 |
ASC_FREE(x); |
1419 |
ASC_FREE(mult_x_L); |
1420 |
ASC_FREE(mult_x_U); |
1421 |
|
1422 |
return ret; |
1423 |
} |
1424 |
|
1425 |
/** |
1426 |
Prepare sys for entering an iteration, increasing the iteration counts |
1427 |
and starting the clock. |
1428 |
*/ |
1429 |
static void ipopt_iteration_begins(IpoptSystem *sys){ |
1430 |
sys->clock = tm_cpu_time(); |
1431 |
++(sys->s.block.iteration); |
1432 |
++(sys->s.iteration); |
1433 |
} |
1434 |
|
1435 |
|
1436 |
/* |
1437 |
Prepare sys for exiting an iteration, stopping the clock and recording |
1438 |
the cpu time. |
1439 |
*/ |
1440 |
static void ipopt_iteration_ends(IpoptSystem *sys){ |
1441 |
double cpu_elapsed; /* elapsed this iteration */ |
1442 |
|
1443 |
cpu_elapsed = (double)(tm_cpu_time() - sys->clock); |
1444 |
sys->s.block.cpu_elapsed += cpu_elapsed; |
1445 |
sys->s.cpu_elapsed += cpu_elapsed; |
1446 |
} |
1447 |
|
1448 |
|
1449 |
|
1450 |
static int ipopt_iterate(slv_system_t server, SlvClientToken asys){ |
1451 |
//CONSOLE_DEBUG("ipopt_iterate about to call ipopt_solve..."); |
1452 |
return ipopt_solve(server,asys); |
1453 |
} |
1454 |
|
1455 |
static int ipopt_resolve(slv_system_t server, SlvClientToken asys){ |
1456 |
IpoptSystem *sys; |
1457 |
sys = SYS(asys); |
1458 |
|
1459 |
/** @todo if implementing this, use the 'warm start' thing in IPOPT */ |
1460 |
|
1461 |
/** @todo provide initial values of the 'multipliers' */ |
1462 |
|
1463 |
sys->resolve = 1; /* resolved recognized here */ |
1464 |
|
1465 |
/* Reset status */ |
1466 |
sys->s.iteration = 0; |
1467 |
sys->s.cpu_elapsed = 0.0; |
1468 |
sys->s.converged = sys->s.diverged = sys->s.inconsistent = FALSE; |
1469 |
sys->s.block.previous_total_size = 0; |
1470 |
|
1471 |
/* go to first unconverged block */ |
1472 |
sys->s.block.current_block = -1; |
1473 |
sys->s.block.current_size = 0; |
1474 |
sys->s.calc_ok = TRUE; |
1475 |
sys->s.block.iteration = 0; |
1476 |
sys->obj_val = MAXDOUBLE/2000.0; |
1477 |
|
1478 |
update_status(sys); |
1479 |
return 1; |
1480 |
} |
1481 |
|
1482 |
static const SlvFunctionsT ipopt_internals = { |
1483 |
67 |
1484 |
,"IPOPT" |
1485 |
,ipopt_create |
1486 |
,ipopt_destroy |
1487 |
,ipopt_eligible_solver |
1488 |
,ipopt_get_default_parameters |
1489 |
,ipopt_get_parameters |
1490 |
,ipopt_set_parameters |
1491 |
,ipopt_get_status |
1492 |
,ipopt_solve |
1493 |
,ipopt_presolve |
1494 |
,ipopt_iterate |
1495 |
,ipopt_resolve |
1496 |
,NULL |
1497 |
,NULL |
1498 |
,NULL |
1499 |
}; |
1500 |
|
1501 |
int ipopt_register(void){ |
1502 |
return solver_register(&ipopt_internals); |
1503 |
} |