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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, write to the Free Software |
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Foundation, Inc., 59 Temple Place - Suite 330, |
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Boston, MA 02111-1307, USA. |
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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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); |
426 |
|
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slv_param_real(parameters,IPOPT_PARAM_DIVERGING_ITERATES_TOL |
428 |
,(SlvParameterInitReal){{"diverging_iterates_tol" |
429 |
,"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 " |
432 |
"exit message that the iterates seem to be diverging" |
433 |
}, 1.e20, 0, 1.e50} |
434 |
); |
435 |
|
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|
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slv_param_real(parameters,IPOPT_PARAM_DUAL_INFEASIBILITY_TOL |
438 |
,(SlvParameterInitReal){{"dual_inf_tol" |
439 |
,"Desired threshold for the dual infeasibility.",3 |
440 |
,"Absolute tolerance on the dual infeasibility. Successful " |
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"termination requires that the max-norm of the (unscaled) " |
442 |
"dual infeasibility is less than this threshold. The valid " |
443 |
"range for this real option is 0 < dual_inf_tol < +inf and" |
444 |
" its default value is 1." |
445 |
}, 1, 0, 1.e50} |
446 |
); |
447 |
|
448 |
|
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slv_param_real(parameters,IPOPT_PARAM_CONSTR_VIOL_TOL |
450 |
,(SlvParameterInitReal){{"constr_viol_tol" |
451 |
,"Desired threshold for the constraint violation.",3 |
452 |
,"Absolute tolerance on the constraint violation. Successful" |
453 |
"termination requires that the max-norm of the (unscaled) " |
454 |
" constraint violation is less than this threshold. The valid" |
455 |
" range for this real option is 0 < constr_viol_tol < +inf and" |
456 |
" its default value is 0.0001" |
457 |
}, 1e-4, 0, 1.e50} |
458 |
); |
459 |
|
460 |
slv_param_real(parameters,IPOPT_PARAM_ACCEPTABLE_TOL |
461 |
,(SlvParameterInitReal){{"acceptable_tol" |
462 |
,"Acceptable convergence tolerance (relative).",3 |
463 |
,"Determines which (scaled) overall optimality error is" |
464 |
" considered to be 'acceptable.' There are two levels of" |
465 |
" termination criteria. If the usual 'desired' tolerances" |
466 |
" (see tol, dual_inf_tol etc) are satisfied at an iteration," |
467 |
" the algorithm immediately terminates with a success message." |
468 |
" On the other hand, if the algorithm encounters 'acceptable_iter'" |
469 |
" many iterations in a row that are considered 'acceptable', it will" |
470 |
" terminate before the desired convergence tolerance is met. This is" |
471 |
" useful in cases where the algorithm might not be able to achieve the" |
472 |
"'desired' level of accuracy. The valid range for this real option is " |
473 |
"0 < acceptable_tol < +inf and its default value is 1e-06" |
474 |
}, 1e-6, 0, 1.e50} |
475 |
); |
476 |
|
477 |
slv_param_int(parameters,IPOPT_PARAM_ACCEPTABLE_ITER |
478 |
,(SlvParameterInitInt){{"acceptable_iter" |
479 |
,"Num. of 'acceptable' iters before triggering stop.",3 |
480 |
,"If the algorithm encounters this many successive 'acceptable' " |
481 |
"iterates (see 'acceptable_tol'), it terminates, assuming that " |
482 |
"the problem has been solved to best possible accuracy given round-off." |
483 |
" If it is set to zero, this heuristic is disabled. The valid range for" |
484 |
" this integer option is 0 < acceptable_iter < +inf and its default " |
485 |
"value is 15." |
486 |
}, 15, 0, 100000000} |
487 |
); |
488 |
|
489 |
|
490 |
/** Linear Solver Options*/ |
491 |
|
492 |
/* see http://www.coin-or.org/Ipopt/documentation/node139.html */ |
493 |
slv_param_char(parameters,IPOPT_PARAM_LINEAR_SOLVER |
494 |
,(SlvParameterInitChar){{"linear_solver" |
495 |
,"Linear solver used for step computations.",4 |
496 |
,"Determines which linear algebra package is to be used for the" |
497 |
" solution of the augmented linear system (for obtaining the search" |
498 |
" directions). Note, the code must have been compiled with the" |
499 |
" linear solver you want to choose. Depending on your Ipopt" |
500 |
" installation, not all options are available. The default value" |
501 |
" for this string option is 'ma27'." |
502 |
" Available options *may* include: ma27, ma57, pardiso, wsmp," |
503 |
" mumps, custom." |
504 |
}, "mumps"}, (char *[]){ |
505 |
"ma27","ma57","pardiso","wsmp","mumps","custom",NULL |
506 |
} |
507 |
); |
508 |
|
509 |
|
510 |
/** Barrier Parameter Options*/ |
511 |
|
512 |
slv_param_char(parameters,IPOPT_PARAM_MU_STRATEGY |
513 |
,(SlvParameterInitChar){{"mu_strategy" |
514 |
,"Update strategy for barrier parameter",5 |
515 |
,"Determines which barrier parameter update strategy is to be used." |
516 |
" 'monotone' is the monotone (Fiacco-McCormick) strategy;" |
517 |
" 'adaptive' is the adaptive update strategy." |
518 |
}, "monotone"}, (char *[]){ |
519 |
"monotone","adaptive",NULL |
520 |
} |
521 |
); |
522 |
|
523 |
/** Derivative Test Options */ |
524 |
|
525 |
slv_param_char(parameters,IPOPT_PARAM_DERIVATIVE_TEST |
526 |
,(SlvParameterInitChar){{"derivative_test" |
527 |
,"Use Derivative Checker?",6 |
528 |
,"A finite-difference derivative checker is provided by IPOPT, which" |
529 |
" will check Jacobian and gradient functions ('first-order') or" |
530 |
" all first-order derivatives as well as the Hessian matrix" |
531 |
" ('second-order'). The default is to perform no checks ('none')." |
532 |
}, "none"}, (char *[]){ |
533 |
"none","first-order","second-order",NULL |
534 |
} |
535 |
); |
536 |
|
537 |
/** Quasi-Newton Options*/ |
538 |
|
539 |
slv_param_char(parameters,IPOPT_PARAM_HESS_APPROX |
540 |
,(SlvParameterInitChar){{"hessian_approximation" |
541 |
,"Hessian calculation method",7 |
542 |
,"Use either an exact Hessian matrix based on symbolic derivatives" |
543 |
" computed from the equations in the model ('exact'), or else use" |
544 |
" a limited-memory quasi-Newton approximation ('limited-memory')." |
545 |
" The default is 'limited-memory'." |
546 |
}, "exact"}, (char *[]){ |
547 |
"exact","limited-memory",NULL |
548 |
} |
549 |
); |
550 |
|
551 |
|
552 |
asc_assert(parameters->num_parms==IPOPT_PARAMS); |
553 |
|
554 |
return 1; |
555 |
} |
556 |
|
557 |
static void ipopt_get_parameters(slv_system_t server, SlvClientToken asys |
558 |
, slv_parameters_t *parameters |
559 |
){ |
560 |
IpoptSystem *sys; |
561 |
UNUSED_PARAMETER(server); |
562 |
|
563 |
sys = SYS(asys); |
564 |
//if(check_system(sys)) return; |
565 |
mem_copy_cast(&(sys->p),parameters,sizeof(slv_parameters_t)); |
566 |
} |
567 |
|
568 |
|
569 |
static void ipopt_set_parameters(slv_system_t server, SlvClientToken asys |
570 |
,slv_parameters_t *parameters |
571 |
){ |
572 |
IpoptSystem *sys; |
573 |
UNUSED_PARAMETER(server); |
574 |
|
575 |
sys = SYS(asys); |
576 |
//if (check_system(sys)) return; |
577 |
mem_copy_cast(parameters,&(sys->p),sizeof(slv_parameters_t)); |
578 |
} |
579 |
|
580 |
/*------------------------------------------------------------------------------ |
581 |
EVALUATION AND RESULT HOOK FUNCTIONS |
582 |
*/ |
583 |
|
584 |
/** |
585 |
update the model with new 'x' vector. |
586 |
@return 0 on success. |
587 |
*/ |
588 |
int ipopt_update_model(IpoptSystem *sys, const double *x){ |
589 |
unsigned j; |
590 |
|
591 |
//CONSOLE_DEBUG("Updating Model ..."); |
592 |
|
593 |
asc_assert(sys); |
594 |
asc_assert(sys->vlist); |
595 |
|
596 |
/* FIXME do we need to update any other stuff? */ |
597 |
for(j = 0; j < sys->n; ++j){ |
598 |
//CONSOLE_DEBUG("value of var[%d] = %g", j, x[j]); |
599 |
asc_assert(!isnan(x[j])); |
600 |
var_set_value(sys->vlist[j], x[j]); |
601 |
} |
602 |
|
603 |
return 0; |
604 |
} |
605 |
|
606 |
/** Function to evaluate the objective function f(x). |
607 |
@return 1 on success, 0 on failure |
608 |
|
609 |
@param n (in), the number of variables in the problem (dimension of 'x'). |
610 |
@param x (in), the values for the primal variables, 'x' , at which 'f(x)' is to be evaluated. |
611 |
@param new_x (in), false if any evaluation method was previously called with the same values in 'x', true otherwise. |
612 |
@param obj_value (out) the value of the objective function ('f(x)'). |
613 |
*/ |
614 |
Bool ipopt_eval_f(Index n, Number *x, Bool new_x, Number *obj_value, void *user_data){ |
615 |
IpoptSystem *sys; |
616 |
sys = SYS(user_data); |
617 |
int res; |
618 |
|
619 |
//CONSOLE_DEBUG("ipopt_eval_f"); |
620 |
|
621 |
asc_assert(n==sys->n); |
622 |
asc_assert(sys->obj!=NULL); |
623 |
|
624 |
if(new_x){ |
625 |
res = ipopt_update_model(sys,x); |
626 |
if(res)return 0; /* fail model update */ |
627 |
} |
628 |
|
629 |
sys->calc_ok = TRUE; |
630 |
|
631 |
|
632 |
/* char *relname; |
633 |
relname = rel_make_name(sys->slv,sys->obj); |
634 |
//CONSOLE_DEBUG("%s", relname); |
635 |
ascfree(relname);*/ |
636 |
*obj_value = relman_eval(sys->obj,&(sys->calc_ok),SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
637 |
asc_assert(!isnan(*obj_value)); |
638 |
//CONSOLE_DEBUG("sys->obj_value = %g",*obj_value); |
639 |
//CONSOLE_DEBUG("done ipopt_eval_f"); |
640 |
return sys->calc_ok; |
641 |
} |
642 |
|
643 |
/** |
644 |
@return 1 on success |
645 |
*/ |
646 |
Bool ipopt_eval_grad_f(Index n, Number* x, Bool new_x, Number* grad_f, void *user_data){ |
647 |
IpoptSystem *sys; |
648 |
int j, res, len; |
649 |
int count; |
650 |
double *derivatives; |
651 |
int *variables; |
652 |
|
653 |
sys = SYS(user_data); |
654 |
|
655 |
//CONSOLE_DEBUG("ipopt_eval_grad_f"); |
656 |
|
657 |
asc_assert(n==sys->n); |
658 |
asc_assert(sys->obj); |
659 |
asc_assert(sys->slv); |
660 |
|
661 |
if(new_x){ |
662 |
res = ipopt_update_model(sys,x); |
663 |
if(res)return 0; /* fail model update */ |
664 |
} |
665 |
|
666 |
|
667 |
/* evaluate grad_f(x) somehow */ |
668 |
for(j=0; j<n; ++j){ |
669 |
grad_f[j] = 0; |
670 |
} |
671 |
|
672 |
len = rel_n_incidences(sys->obj); |
673 |
variables = ASC_NEW_ARRAY_CLEAR(int,len); |
674 |
derivatives = ASC_NEW_ARRAY_CLEAR(double,len); |
675 |
/** @todo Check if memory allocation was successful and flag error if otherwise */ |
676 |
//CONSOLE_DEBUG("Length of incidences: %d",len); |
677 |
//CONSOLE_DEBUG("allocated variables,derivatives"); |
678 |
|
679 |
/*relman_diff2( |
680 |
sys->obj,&vfilter,derivatives,variables |
681 |
, &count,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
682 |
);*/ |
683 |
|
684 |
relman_diff2_rev( |
685 |
sys->obj,&(sys->vfilt),derivatives,variables |
686 |
, &count,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
687 |
); |
688 |
|
689 |
|
690 |
for(j=0; j<len; ++j){ |
691 |
//asc_assert(!isnan(derivatives[j])); |
692 |
grad_f[variables[j]] = derivatives[j]; |
693 |
char *tmp = var_make_name(sys->slv, sys->vlist[variables[j]]); |
694 |
//CONSOLE_DEBUG("var %d ('%s'): varindex = %d, x = %g, df/dx = %f", j, tmp, variables[j], var_value(sys->vlist[variables[j]]), derivatives[j]); |
695 |
ASC_FREE(tmp); |
696 |
} |
697 |
|
698 |
if(variables)ASC_FREE(variables); |
699 |
if(derivatives)ASC_FREE(derivatives); |
700 |
|
701 |
//CONSOLE_DEBUG("done ipopt_eval_grad_f"); |
702 |
return 1; /* success, presumably */ |
703 |
} |
704 |
|
705 |
Bool ipopt_eval_g(Index n, Number* x, Bool new_x, Index m, Number *g, void *user_data){ |
706 |
IpoptSystem *sys; |
707 |
sys = SYS(user_data); |
708 |
int i, res; |
709 |
struct rel_relation *rel; |
710 |
int calc_ok = 1; |
711 |
|
712 |
//CONSOLE_DEBUG("ipopt_eval_g (n=%d, m=%d)",sys->n, sys->m); |
713 |
|
714 |
asc_assert(n==sys->n); |
715 |
asc_assert(m==sys->m); |
716 |
|
717 |
if(new_x){ |
718 |
res = ipopt_update_model(sys,x); |
719 |
if(res)return 0; /* fail model update */ |
720 |
} |
721 |
|
722 |
for(i=0;i<m;++i){ |
723 |
//CONSOLE_DEBUG("rel %d: %s.",i,(sys->rlist[i] == sys->obj ? "OBJECTIVE" : "constraint")); //minor fix was rlist[0] -- MNM |
724 |
} |
725 |
|
726 |
/** @todo constraint rels are all relations except the objective rel. do we need to sort the objective to the end? */ |
727 |
for(i=0; i<m; ++i){ |
728 |
rel = sys->rlist[i]; |
729 |
asc_assert(rel!=NULL); |
730 |
//if(rel == sys->obj) continue; /* I think this completes the function for the time being */ |
731 |
g[i] = relman_eval(rel, &calc_ok,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
732 |
asc_assert(!isnan(g[i])); |
733 |
//CONSOLE_DEBUG("g[%d] = %f",i,g[i]); |
734 |
} |
735 |
|
736 |
return calc_ok; /* fail: not yet implemented */ |
737 |
} |
738 |
|
739 |
Bool ipopt_eval_jac_g(Index n, Number* x, Bool new_x, Index m |
740 |
, Index nele_jac, Index* iRow, Index *jCol, Number* values |
741 |
, void *user_data |
742 |
){ |
743 |
IpoptSystem *sys; |
744 |
sys = SYS(user_data); |
745 |
int i,res,j,k,len,count; |
746 |
struct var_variable **incidence_list; |
747 |
int *variables; |
748 |
double *derivatives; |
749 |
|
750 |
//CONSOLE_DEBUG("ipopt_eval_jac_g... nnzJ = %d",sys->nnzJ); |
751 |
//CONSOLE_DEBUG("ipopt_eval_jac_g... n = %d",sys->n); |
752 |
//CONSOLE_DEBUG("ipopt_eval_jac_g... m = %d",sys->m); |
753 |
|
754 |
asc_assert(sys!=NULL); |
755 |
asc_assert(n==sys->n); |
756 |
asc_assert(nele_jac==sys->nnzJ); |
757 |
asc_assert(m==sys->m); |
758 |
|
759 |
if(new_x){ |
760 |
res = ipopt_update_model(sys,x); |
761 |
if(res)return 0; /* fail model update */ |
762 |
} |
763 |
|
764 |
if(values == NULL){ |
765 |
CONSOLE_DEBUG("sparsity structure requested"); |
766 |
k=0; |
767 |
for(i=0; i<m;++i){ |
768 |
/* looping through rows, one per relation */ |
769 |
if(rel_apply_filter(sys->rlist[i], &(sys->rfilt))){ |
770 |
incidence_list = (struct var_variable**) rel_incidence_list(sys->rlist[i]); |
771 |
len=rel_n_incidences(sys->rlist[i]); |
772 |
for(j=0;j<len;j++){ |
773 |
/* looping through incident variables in current relation */ |
774 |
if(var_apply_filter(incidence_list[j], &(sys->vfilt))){ |
775 |
CONSOLE_DEBUG("Non-zero #%d at [%d,%d]",k, i,incidence_list[j]->sindex); |
776 |
|
777 |
/* valgrind says invalid write of size 4 here... */ |
778 |
iRow[k]=i; // should i use sindex of row here or is this ok? |
779 |
jCol[k++]=incidence_list[j]->sindex; |
780 |
} |
781 |
} |
782 |
}else{ |
783 |
CONSOLE_DEBUG("Filter removes relation %d",i); |
784 |
} |
785 |
} |
786 |
CONSOLE_DEBUG("Found %d non-zero elements in jacobian", k); |
787 |
}else{ |
788 |
//CONSOLE_DEBUG("Calculating jacobian..."); |
789 |
k=0; |
790 |
/** @TODO make use of some temporary allocated memory for these arrays... */ |
791 |
variables = ASC_NEW_ARRAY(int,n); |
792 |
derivatives = ASC_NEW_ARRAY_CLEAR(double,n); |
793 |
for(i=0; i<m;++i){ |
794 |
if(rel_apply_filter(sys->rlist[i], &(sys->rfilt))){ |
795 |
incidence_list = (struct var_variable**) rel_incidence_list(sys->rlist[i]); |
796 |
len = rel_n_incidences(sys->rlist[i]); |
797 |
|
798 |
#if 0 |
799 |
relman_diff2(sys->rlist[i],&(sys->vfilt),derivatives,variables |
800 |
,&count,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
801 |
); |
802 |
#else |
803 |
relman_diff2_rev(sys->rlist[i], &(sys->vfilt), derivatives |
804 |
,variables, &count, SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL) |
805 |
); |
806 |
#endif |
807 |
|
808 |
for(j=0;j<count;j++){ /* loop through only the returned (filtered) incidences, not all of them */ |
809 |
asc_assert(k < sys->nnzJ); |
810 |
//CONSOLE_DEBUG("Recording values[%d] = derivatives[%d]",k,j); |
811 |
asc_assert(!isnan(derivatives[j])); |
812 |
values[k++] = derivatives[j]; |
813 |
} |
814 |
} |
815 |
} |
816 |
if(variables)ASC_FREE(variables); |
817 |
if(derivatives)ASC_FREE(derivatives); |
818 |
//CONSOLE_DEBUG("Filled in values of Jacobian"); |
819 |
} |
820 |
//CONSOLE_DEBUG("done ipopt_eval_jac_g"); |
821 |
return TRUE; |
822 |
} |
823 |
|
824 |
Bool ipopt_eval_h(Index n, Number* x, Bool new_x |
825 |
, Number obj_factor, Index m, Number* lambda |
826 |
, Bool new_lambda, Index nele_hess, Index* iRow |
827 |
, Index* jCol, Number* values |
828 |
, void *user_data |
829 |
){ |
830 |
IpoptSystem *sys; |
831 |
sys = SYS(user_data); |
832 |
|
833 |
int res,count; |
834 |
|
835 |
struct var_variable **incidence_list; |
836 |
|
837 |
hessian_mtx *hess_matrix; |
838 |
|
839 |
unsigned long i; |
840 |
|
841 |
Index row; |
842 |
Index col; |
843 |
Index idx; |
844 |
|
845 |
//CONSOLE_DEBUG("IN FUNCTION ipopt_eval_h"); |
846 |
//CONSOLE_DEBUG("nnzH = %d",sys->nnzH); |
847 |
//CONSOLE_DEBUG("n = %d, m = %d",sys->n, sys->m); |
848 |
|
849 |
asc_assert(sys!=NULL); |
850 |
asc_assert(n==sys->n); |
851 |
asc_assert(nele_hess==sys->nnzH); |
852 |
|
853 |
if(new_x){ |
854 |
res = ipopt_update_model(sys,x); |
855 |
if(res)return FALSE; /* fail model update */ |
856 |
} |
857 |
|
858 |
if(values == NULL){ |
859 |
asc_assert(iRow !=NULL && jCol != NULL); |
860 |
|
861 |
CONSOLE_DEBUG("Determining sparsity structure of the hessian of the lagrangian"); |
862 |
|
863 |
/* identify the sparsity structure of the Hessian (note: only the lower- |
864 |
left part is required by IPOPT , because the Hessian is symmetric) */ |
865 |
//CONSOLE_DEBUG("Analysing of Hessian matrix sparsity structure not implemented"); |
866 |
//CONSOLE_DEBUG("Dense Hessian Calculations being performed"); |
867 |
|
868 |
idx = 0; |
869 |
|
870 |
for (row = 0; row < n; row++) { |
871 |
for (col = 0; col <= row; col++) { |
872 |
iRow[idx] = row; |
873 |
jCol[idx] = col; |
874 |
idx++; |
875 |
} |
876 |
} |
877 |
asc_assert(idx == nele_hess); |
878 |
|
879 |
CONSOLE_DEBUG("Done with sparsity calc, there are %d elements",idx); |
880 |
} |
881 |
else{ |
882 |
asc_assert(jCol==NULL && iRow==NULL); |
883 |
asc_assert(lambda!=NULL); |
884 |
|
885 |
/** Array of LT matrix */ |
886 |
hess_matrix = Hessian_Mtx_create(Lower,n); |
887 |
|
888 |
//CONSOLE_DEBUG("Order of Hessian MATRIX [%d x %d]",n,n); |
889 |
|
890 |
/** Correction for objective function **/ |
891 |
//CONSOLE_DEBUG("Correction for Objective Relation underway"); |
892 |
relman_hess(sys->obj,&(sys->vfilt),hess_matrix,&count,n,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
893 |
|
894 |
idx = 0; |
895 |
|
896 |
for (row = 0; row < n; row++) { |
897 |
for (col = 0; col <= row; col++) { |
898 |
values[idx] = Hessian_Mtx_get_element(hess_matrix,row,col) * (obj_factor); |
899 |
idx++; |
900 |
} |
901 |
} |
902 |
asc_assert(idx == nele_hess); |
903 |
|
904 |
|
905 |
/** Correction for m-relations **/ |
906 |
|
907 |
|
908 |
for(i=0; i<m; i++){ |
909 |
/** @TODO Initialize the Hess Matrix Elements to zero */ |
910 |
Hessian_Mtx_clear(hess_matrix); |
911 |
|
912 |
incidence_list = (struct var_variable**) rel_incidence_list(sys->rlist[i]); |
913 |
if(incidence_list!=NULL){ |
914 |
//CONSOLE_DEBUG("Correction for Constraint Relation [%lu] underway",i); |
915 |
relman_hess(sys->rlist[i],&(sys->vfilt),hess_matrix,&count,n,SLV_PARAM_BOOL(&(sys->p),ASCEND_PARAM_SAFEEVAL)); |
916 |
|
917 |
idx=0; |
918 |
|
919 |
for (row = 0; row < n; row++) { |
920 |
for (col = 0; col <= row; col++) { |
921 |
values[idx] += Hessian_Mtx_get_element(hess_matrix,row,col) * (lambda[i]); |
922 |
idx++; |
923 |
} |
924 |
} |
925 |
asc_assert(idx == nele_hess); |
926 |
|
927 |
} |
928 |
else{ |
929 |
ERROR_REPORTER_HERE(ASC_PROG_WARNING,"Unused Relation???"); |
930 |
Hessian_Mtx_destroy(hess_matrix); |
931 |
return FALSE; //I'm not sure about the action to take. |
932 |
} |
933 |
} |
934 |
|
935 |
//CONSOLE_DEBUG("Hessian Matrix evaluation successful"); |
936 |
|
937 |
Hessian_Mtx_destroy(hess_matrix); |
938 |
|
939 |
/* evaluate the Hessian matrix */ |
940 |
//CONSOLE_DEBUG("Evaluation of Hessian matrix Completed"); |
941 |
} |
942 |
|
943 |
return TRUE; /* fail: not yet implemented */ |
944 |
} |
945 |
|
946 |
/*------------------------------------------------------------------------------ |
947 |
SOLVE ROUTINES |
948 |
*/ |
949 |
|
950 |
static int ipopt_presolve(slv_system_t server, SlvClientToken asys){ |
951 |
IpoptSystem *sys; |
952 |
int max, i; |
953 |
struct var_variable *var; |
954 |
|
955 |
//CONSOLE_DEBUG("PRESOLVE"); |
956 |
|
957 |
sys = SYS(asys); |
958 |
ipopt_iteration_begins(sys); |
959 |
//check_system(sys); |
960 |
|
961 |
asc_assert(sys->vlist && sys->rlist); |
962 |
|
963 |
/** @todo work out if matrix creation is not again needed */ |
964 |
|
965 |
slv_sort_rels_and_vars(server,&(sys->m),&(sys->n)); |
966 |
#if 0 |
967 |
/* ignore any errors here; if it fails, we may just have a single objective function and no constraining relations */ |
968 |
if(-1 == sys->n){ |
969 |
ERROR_REPORTER_HERE(ASC_PROG_ERR,"Failed to find any optimisable vars"); |
970 |
return -4; |
971 |
} |
972 |
if(-1 == sys->m){ |
973 |
sys->m = 0; /* no relations found, but that's OK if there's an objective? */ |
974 |
} |
975 |
if(-1 == sys->m)sys->m = 0; |
976 |
if(-1 == sys->n)sys->n = 0; |
977 |
#endif |
978 |
|
979 |
CONSOLE_DEBUG("Got %d rels and %d vars",sys->m, sys->n); |
980 |
|
981 |
#if 1 |
982 |
/* count the number of optimisation variables */ |
983 |
sys->n = 0; |
984 |
for(i = 0; i < sys->vtot; i++){ |
985 |
var = sys->vlist[i]; |
986 |
if(var_apply_filter(var,&(sys->vfilt))){ |
987 |
sys->n++; |
988 |
} |
989 |
} |
990 |
#endif |
991 |
|
992 |
/* set all relations as being 'unsatisfied' to start with... */ |
993 |
for(i=0; i < sys->rtot; ++i){ |
994 |
rel_set_satisfied(sys->rlist[i],FALSE); |
995 |
} |
996 |
|
997 |
sys->obj = slv_get_obj_relation(server); /*may have changed objective*/ |
998 |
|
999 |
|
1000 |
if(!sys->obj){ |
1001 |
ERROR_REPORTER_HERE(ASC_PROG_ERR,"No objective function was specified"); |
1002 |
return -3; |
1003 |
} |
1004 |
//CONSOLE_DEBUG("got objective rel %p",sys->obj); |
1005 |
/* @todo check if old_obj == obj ? */ |
1006 |
|
1007 |
#if 1 |
1008 |
/* TODO are there cases where these should be different: answer: NO. they are always the same -- JP */ |
1009 |
sys->m = sys->rtot; |
1010 |
#endif |
1011 |
|
1012 |
//CONSOLE_DEBUG("Numbers of constraints = %d",sys->m); |
1013 |
|
1014 |
/** @todo we need to move the objective relation to the end of the list */ |
1015 |
|
1016 |
/*for(i=0;i<sys->rtot-1;++i){ |
1017 |
//CONSOLE_DEBUG("%d",i); |
1018 |
if(sys->rlist[i] == sys->obj) |
1019 |
//CONSOLE_DEBUG("<-------------------------------This Check Works------------------------>"); |
1020 |
|
1021 |
}*/ |
1022 |
|
1023 |
//CONSOLE_DEBUG("got objective rel %p",sys->obj); |
1024 |
|
1025 |
/* calculate nnz for hessian matrix @todo FIXME */ |
1026 |
|
1027 |
if(strcmp(SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_HESS_APPROX),"exact")==0){ |
1028 |
/** @todo fix rtot to be 'm' instead */ |
1029 |
sys->nnzH = ((sys->n)*((sys->n)+1))/2; //dense Hessian count |
1030 |
}else{ |
1031 |
//CONSOLE_DEBUG("Skipping relman_hessian_count as hessian method is not exact."); |
1032 |
//sys->nnzH = sys->n * sys->m; |
1033 |
} |
1034 |
|
1035 |
/* need to provide sparsity structure for hessian matrix? */ |
1036 |
|
1037 |
#if 0 |
1038 |
/** @SEE http://www.coin-or.org/Ipopt/documentation/node37.html */ |
1039 |
ipopt_eval_h(number_of_variables, NULL/*x at which to evaluate*/, TRUE /* new x */ |
1040 |
, 1.0/*obj_factor*/, number_of_constraints, lambda/* values of the constraint multipliers */ |
1041 |
, TRUE /* new lambda */, 0 /* number of nonzero elements in the Hessian */, Index* iRow |
1042 |
, Index* jCol, Number* values |
1043 |
, void *user_data |
1044 |
); |
1045 |
#endif |
1046 |
|
1047 |
|
1048 |
max = relman_obj_direction(sys->obj); |
1049 |
if(max==-1){ |
1050 |
//CONSOLE_DEBUG("this is a MINIMIZE problem"); |
1051 |
}else{ |
1052 |
//CONSOLE_DEBUG("this is a MAXIMIZE problem"); |
1053 |
} |
1054 |
|
1055 |
//CONSOLE_DEBUG("got %d constraints and %d vars in system", sys->m, sys->n); |
1056 |
/* calculate number of non-zeros in the Jacobian matrix for the constraint equations */ |
1057 |
|
1058 |
/* @todo make sure objective rel moved to end */ |
1059 |
|
1060 |
CONSOLE_DEBUG("About to call relman_jacobian_count"); |
1061 |
sys->nnzJ = relman_jacobian_count(sys->rlist, sys->m, &(sys->vfilt), &(sys->rfilt), &max); |
1062 |
/*sys->nnzJ=0; |
1063 |
for(i=0;i<sys->m;++i){ |
1064 |
sys->nnzJ += rel_n_incidences(sys->rlist[i]); |
1065 |
}*/ |
1066 |
|
1067 |
CONSOLE_DEBUG("got %d non-zeros in constraint Jacobian", sys->nnzJ); |
1068 |
|
1069 |
/* need to provide sparsity structure for jacobian? */ |
1070 |
|
1071 |
|
1072 |
|
1073 |
#if 0 |
1074 |
if(sys->presolved > 0) { /* system has been presolved before */ |
1075 |
if(!conopt_dof_changed(sys) /*no changes in fixed or included flags*/ |
1076 |
&& sys->p.partition == sys->J.old_partition |
1077 |
&& sys->obj == sys->old_obj |
1078 |
){ |
1079 |
matrix_creation_needed = 0; |
1080 |
CONOPT_//CONSOLE_DEBUG("YOU JUST AVOIDED MATRIX DESTRUCTION/CREATION"); |
1081 |
} |
1082 |
} |
1083 |
#endif |
1084 |
|
1085 |
#if 0 |
1086 |
// check all this... |
1087 |
|
1088 |
sys->presolved = 1; /* full presolve recognized here */ |
1089 |
sys->resolve = 0; /* initialize resolve flag */ |
1090 |
|
1091 |
sys->J.old_partition = sys->p.partition; |
1092 |
sys->old_obj = sys->obj; |
1093 |
|
1094 |
slv_sort_rels_and_vars(server,&(sys->con.m),&(sys->con.n)); |
1095 |
CONOPT_//CONSOLE_DEBUG("FOUND %d CONSTRAINTS AND %d VARS",sys->con.m,sys->con.n); |
1096 |
if (sys->obj != NULL) { |
1097 |
CONOPT_//CONSOLE_DEBUG("ADDING OBJECT AS A ROW"); |
1098 |
sys->con.m++; /* treat objective as a row */ |
1099 |
} |
1100 |
|
1101 |
cntvect = ASC_NEW_ARRAY(int,COIDEF_Size()); |
1102 |
COIDEF_Ini(cntvect); |
1103 |
sys->con.cntvect = cntvect; |
1104 |
CONOPT_//CONSOLE_DEBUG("NUMBER OF CONSTRAINTS = %d",sys->con.m); |
1105 |
COIDEF_NumVar(cntvect, &(sys->con.n)); |
1106 |
COIDEF_NumCon(cntvect, &(sys->con.m)); |
1107 |
sys->con.nz = num_jacobian_nonzeros(sys, &(sys->con.maxrow)); |
1108 |
COIDEF_NumNZ(cntvect, &(sys->con.nz)); |
1109 |
COIDEF_NumNlNz(cntvect, &(sys->con.nz)); |
1110 |
|
1111 |
sys->con.base = 0; |
1112 |
COIDEF_Base(cntvect,&(sys->con.base)); |
1113 |
COIDEF_ErrLim(cntvect, &(DOMLIM)); |
1114 |
COIDEF_ItLim(cntvect, &(ITER_LIMIT)); |
1115 |
|
1116 |
if(sys->obj!=NULL){ |
1117 |
sys->con.optdir = relman_obj_direction(sys->obj); |
1118 |
sys->con.objcon = sys->con.m - 1; /* objective will be last row */ |
1119 |
CONOPT_//CONSOLE_DEBUG("SETTING OBJECTIVE CONSTRAINT TO BE %d",sys->con.objcon); |
1120 |
}else{ |
1121 |
sys->con.optdir = 0; |
1122 |
sys->con.objcon = 0; |
1123 |
} |
1124 |
COIDEF_OptDir(cntvect, &(sys->con.optdir)); |
1125 |
COIDEF_ObjCon(cntvect, &(sys->con.objcon)); |
1126 |
|
1127 |
temp = 0; |
1128 |
COIDEF_StdOut(cntvect, &temp); |
1129 |
|
1130 |
int debugfv = 1; |
1131 |
COIDEF_DebugFV(cntvect, &debugfv); |
1132 |
|
1133 |
destroy_vectors(sys); |
1134 |
destroy_matrices(sys); |
1135 |
create_matrices(server,sys); |
1136 |
create_vectors(sys); |
1137 |
|
1138 |
sys->s.block.current_reordered_block = -2; |
1139 |
} |
1140 |
|
1141 |
//... |
1142 |
|
1143 |
if( matrix_creation_needed ) { |
1144 |
destroy_array(sys->s.cost); |
1145 |
sys->s.cost = create_zero_array(sys->s.costsize,struct slv_block_cost); |
1146 |
for( ind = 0; ind < sys->s.costsize; ++ind ) { |
1147 |
sys->s.cost[ind].reorder_method = -1; |
1148 |
} |
1149 |
} else { |
1150 |
reset_cost(sys->s.cost,sys->s.costsize); |
1151 |
} |
1152 |
|
1153 |
#endif |
1154 |
|
1155 |
/* Reset status */ |
1156 |
sys->s.iteration = 0; |
1157 |
sys->s.cpu_elapsed = 0.0; |
1158 |
sys->s.converged = sys->s.diverged = sys->s.inconsistent = FALSE; |
1159 |
sys->s.block.previous_total_size = 0; |
1160 |
sys->s.costsize = 1+sys->s.block.number_of; |
1161 |
|
1162 |
|
1163 |
/* set to go to first unconverged block */ |
1164 |
sys->s.block.current_block = -1; |
1165 |
sys->s.block.current_size = 0; |
1166 |
sys->s.calc_ok = TRUE; |
1167 |
sys->s.block.iteration = 0; |
1168 |
sys->obj_val = MAXDOUBLE/2000.0; |
1169 |
//CONSOLE_DEBUG("sys->obj_val=%g",sys->obj_val); |
1170 |
update_status(sys); |
1171 |
|
1172 |
ipopt_iteration_ends(sys); |
1173 |
|
1174 |
//CONSOLE_DEBUG("Reset status"); |
1175 |
|
1176 |
/* sys->s.cost[sys->s.block.number_of].time=sys->s.cpu_elapsed; */ |
1177 |
|
1178 |
//ERROR_REPORTER_HERE(ASC_USER_SUCCESS,"presolve completed"); |
1179 |
return 0; |
1180 |
} |
1181 |
|
1182 |
|
1183 |
static int ipopt_solve(slv_system_t server, SlvClientToken asys){ |
1184 |
IpoptSystem *sys; |
1185 |
UNUSED_PARAMETER(server); |
1186 |
enum ApplicationReturnStatus status; |
1187 |
int ret, i, j; |
1188 |
struct var_variable *var; |
1189 |
enum rel_enum type_of_rel; |
1190 |
sys = SYS(asys); |
1191 |
|
1192 |
double *x, *x_L, *x_U, *g_L, *g_U, *mult_x_L, *mult_x_U; |
1193 |
|
1194 |
CONSOLE_DEBUG("SOLVING: sys->n = %d, sys->m = %d...",sys->n,sys->m); |
1195 |
asc_assert(sys->n!=-1); |
1196 |
|
1197 |
/* set the number of variables and allocate space for the bounds */ |
1198 |
x_L = ASC_NEW_ARRAY(Number,sys->n); |
1199 |
x_U = ASC_NEW_ARRAY(Number,sys->n); |
1200 |
|
1201 |
//CONSOLE_DEBUG("SETTING BOUNDS..."); |
1202 |
|
1203 |
/* @todo set the values for the variable bounds */ |
1204 |
int jj = 0; |
1205 |
for(j = 0; j < sys->vtot; j++){ |
1206 |
//CONSOLE_DEBUG("j = %d, vtot = %d, vlist = %p",j,sys->vtot,sys->vlist); |
1207 |
var = sys->vlist[j]; |
1208 |
if(var_apply_filter(var,&(sys->vfilt))){ |
1209 |
//CONSOLE_DEBUG("setting x_L[%d] = %e",jj,var_lower_bound(var)); |
1210 |
assert(jj<sys->n); |
1211 |
x_L[jj] = var_lower_bound(var); |
1212 |
//CONSOLE_DEBUG("setting x_U[%d] = %e",jj,var_upper_bound(var)); |
1213 |
x_U[jj] = var_upper_bound(var); |
1214 |
jj++; |
1215 |
} |
1216 |
} |
1217 |
|
1218 |
//CONSOLE_DEBUG("jj = %d, sys->n = %d", jj, sys->n); |
1219 |
assert(jj==sys->n); |
1220 |
|
1221 |
/** @todo set bounds on the constraints? */ |
1222 |
/* is it possible to identify f(x)<a; f(x) >b and fold them into one? */ |
1223 |
/* then find the constant parts and make then g_L or g_U accordingly */ |
1224 |
/* what to do about other bounds? */ |
1225 |
/* set the number of variables and allocate space for the bounds */ |
1226 |
g_L = ASC_NEW_ARRAY(Number,sys->m); |
1227 |
g_U = ASC_NEW_ARRAY(Number,sys->m); |
1228 |
//CONSOLE_DEBUG("Allocated arrays for bounds of relations"); |
1229 |
if(g_L!=NULL && g_U!=NULL) |
1230 |
for(j = 0; j < sys->m; j++){ |
1231 |
type_of_rel = rel_relop(sys->rlist[j]); |
1232 |
if (type_of_rel == e_rel_less || type_of_rel == e_rel_lesseq){ |
1233 |
g_L[j] = -2.0e19; //refer to IPOPT Manual "The C Interface" |
1234 |
g_U[j] = 0; |
1235 |
} |
1236 |
else if (type_of_rel == e_rel_greatereq || type_of_rel == e_rel_greater){ |
1237 |
g_L[j] = 0; |
1238 |
g_U[j] = 2.0e19; //refer to IPOPT Manual "the C Interface" |
1239 |
} |
1240 |
else{ |
1241 |
g_L[j] = 0; |
1242 |
g_U[j] = 0; |
1243 |
} |
1244 |
//CONSOLE_DEBUG("set g_L[%d] = %e",j,g_L[j]); |
1245 |
//CONSOLE_DEBUG("set g_U[%d] = %e",j,g_U[j]); |
1246 |
} |
1247 |
else |
1248 |
ERROR_REPORTER_HERE(ASC_PROG_ERR,"Failed to allocate arrays for bounds of relations"); |
1249 |
|
1250 |
|
1251 |
//CONSOLE_DEBUG("CREATING PROBLEM..."); |
1252 |
|
1253 |
/* create the IpoptProblem */ |
1254 |
//CONSOLE_DEBUG("n = %d, m = %d, nnzJ = %d, nnzH = %d",sys->n, sys->m, sys->nnzJ, sys->nnzH); |
1255 |
sys->nlp = CreateIpoptProblem(sys->n, x_L, x_U, sys->m, g_L, g_U, sys->nnzJ, sys->nnzH, 0/*index style=C*/, |
1256 |
&ipopt_eval_f, &ipopt_eval_g, &ipopt_eval_grad_f, |
1257 |
&ipopt_eval_jac_g, &ipopt_eval_h |
1258 |
); |
1259 |
|
1260 |
//CONSOLE_DEBUG("FREEING INTERNAL STUFF"); |
1261 |
|
1262 |
/* We can free the memory now - the values for the bounds have been |
1263 |
copied internally in CreateIpoptProblem */ |
1264 |
ASC_FREE(x_L); |
1265 |
ASC_FREE(x_U); |
1266 |
ASC_FREE(g_L); |
1267 |
ASC_FREE(g_U); |
1268 |
|
1269 |
//CONSOLE_DEBUG("SETTING OPTIONS..."); |
1270 |
/* set some options */ |
1271 |
/** OUTPUT OPTIONS */ |
1272 |
AddIpoptIntOption(sys->nlp, "print_level", SLV_PARAM_INT(&(sys->p),IPOPT_PARAM_PRINT_LEVEL)); |
1273 |
AddIpoptStrOption(sys->nlp, "print_user_options", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_PRINT_USER_OPTIONS)); |
1274 |
/** TERMINATION OPTIONS */ |
1275 |
AddIpoptIntOption(sys->nlp, "max_iter", SLV_PARAM_INT(&(sys->p),IPOPT_PARAM_MAX_ITER)); |
1276 |
AddIpoptNumOption(sys->nlp, "tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_TOL)); |
1277 |
AddIpoptNumOption(sys->nlp, "max_cpu_time", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_MAX_CPU_TIME)); |
1278 |
AddIpoptNumOption(sys->nlp, "diverging_iterates_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_DIVERGING_ITERATES_TOL)); |
1279 |
AddIpoptNumOption(sys->nlp, "dual_inf_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_DUAL_INFEASIBILITY_TOL)); |
1280 |
AddIpoptNumOption(sys->nlp, "constr_viol_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_CONSTR_VIOL_TOL)); |
1281 |
AddIpoptNumOption(sys->nlp, "acceptable_tol", SLV_PARAM_REAL(&(sys->p),IPOPT_PARAM_ACCEPTABLE_TOL)); |
1282 |
AddIpoptIntOption(sys->nlp, "acceptable_iter", SLV_PARAM_INT(&(sys->p),IPOPT_PARAM_ACCEPTABLE_ITER)); |
1283 |
/** BARRIER PARAMETER OPTIONS */ |
1284 |
AddIpoptStrOption(sys->nlp, "mu_strategy", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_MU_STRATEGY)); |
1285 |
/** DERIVATIVE TEST OPTIONS */ |
1286 |
AddIpoptStrOption(sys->nlp, "derivative_test", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_DERIVATIVE_TEST)); |
1287 |
/** QUASI-NEWTON OPTIONS */ |
1288 |
AddIpoptStrOption(sys->nlp, "hessian_approximation", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_HESS_APPROX)); |
1289 |
/** LINEAR SOLVER OPTIONS */ |
1290 |
AddIpoptStrOption(sys->nlp, "linear_solver", SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_LINEAR_SOLVER)); |
1291 |
|
1292 |
|
1293 |
//CONSOLE_DEBUG("Hessian method: %s",SLV_PARAM_CHAR(&(sys->p),IPOPT_PARAM_HESS_APPROX)); |
1294 |
|
1295 |
//CONSOLE_DEBUG("number of vars n = %d, number of rels m = %d",sys->n, sys->m); |
1296 |
|
1297 |
/* initial values */ |
1298 |
x = ASC_NEW_ARRAY(Number, sys->n); |
1299 |
/*setting initial values here.*/ |
1300 |
//CONSOLE_DEBUG("Setting starting values for free variables."); |
1301 |
for(i=0;i<sys->n;++i){ |
1302 |
//CONSOLE_DEBUG("set x[%d] = %g",i,var_value(sys->vlist[i])); // need to set the default values |
1303 |
x[i]=var_value(sys->vlist[i]); |
1304 |
} |
1305 |
/** @todo get values of 'x' from the model */ |
1306 |
|
1307 |
/* allocate space to store the bound multipliers at the solution */ |
1308 |
mult_x_L = ASC_NEW_ARRAY(Number, sys->n); |
1309 |
mult_x_U = ASC_NEW_ARRAY(Number, sys->n); |
1310 |
|
1311 |
//CONSOLE_DEBUG("Calling IpoptSolve..."); |
1312 |
|
1313 |
//CONSOLE_DEBUG("sys->objval = %g", sys->obj_val); |
1314 |
|
1315 |
/* solve the problem */ |
1316 |
status = IpoptSolve(sys->nlp, x, NULL, &sys->obj_val, NULL, mult_x_L, mult_x_U, (void*)sys); |
1317 |
|
1318 |
//CONSOLE_DEBUG("Done IpoptSolve..."); |
1319 |
|
1320 |
/** @todo update the sys->s.xxxxx flags based on value of 'status' */ |
1321 |
|
1322 |
ret = 1; /* default case is failure */ |
1323 |
switch(status){ |
1324 |
case Solve_Succeeded: |
1325 |
sys->s.converged = TRUE; |
1326 |
|
1327 |
sys->s.block.current_block = -1; //is this 1?? |
1328 |
sys->s.cost = ASC_NEW_ARRAY(struct slv_block_cost,1); |
1329 |
sys->s.cost->size=sys->s.block.current_size=sys->n; |
1330 |
sys->s.cost->iterations=sys->s.block.iteration; |
1331 |
sys->s.cost->funcs=sys->s.block.funcs; |
1332 |
sys->s.cost->jacs=sys->s.block.jacs; |
1333 |
sys->s.cost->time=sys->s.block.cpu_elapsed; |
1334 |
sys->s.cost->functime=sys->s.block.functime; |
1335 |
sys->s.cost->jactime=sys->s.block.jactime; |
1336 |
|
1337 |
|
1338 |
//CONSOLE_DEBUG("Solution of the primal variables, x"); |
1339 |
for (i=0; i<sys->n; i++) { |
1340 |
//CONSOLE_DEBUG(" x[%d] = %e\n", i, x[i]); |
1341 |
} |
1342 |
|
1343 |
//CONSOLE_DEBUG("Solution of the bound multipliers, z_L and z_U"); |
1344 |
for (i=0; i<sys->n; i++) { |
1345 |
//CONSOLE_DEBUG(" z_L[%d] = %e", i, mult_x_L[i]); |
1346 |
} |
1347 |
for (i=0; i<sys->n; i++) { |
1348 |
//CONSOLE_DEBUG(" z_U[%d] = %e", i, mult_x_U[i]); |
1349 |
} |
1350 |
|
1351 |
//CONSOLE_DEBUG("Objective value"); |
1352 |
//CONSOLE_DEBUG(" f(x*) = %e", sys->obj_val); |
1353 |
|
1354 |
ret = 0; /* success */ |
1355 |
ipopt_iteration_ends(sys); |
1356 |
update_status(sys); |
1357 |
|
1358 |
break; |
1359 |
case Search_Direction_Becomes_Too_Small: |
1360 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Solve direction becomes too small"); |
1361 |
break; |
1362 |
case Feasible_Point_Found: |
1363 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Feasible point not found"); |
1364 |
break; |
1365 |
case NonIpopt_Exception_Thrown: |
1366 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Non-IPOPT exception thrown"); |
1367 |
break; |
1368 |
case Solved_To_Acceptable_Level: |
1369 |
/** @todo What should be done here? */ |
1370 |
ERROR_REPORTER_HERE(ASC_USER_NOTE,"Solved to acceptable level"); |
1371 |
break; |
1372 |
case Infeasible_Problem_Detected: |
1373 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Infeasible Problem Detected"); |
1374 |
break; |
1375 |
case Diverging_Iterates: |
1376 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Diverging iterations found."); |
1377 |
break; |
1378 |
case User_Requested_Stop: |
1379 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"User Requested Stop."); |
1380 |
break; |
1381 |
case Maximum_Iterations_Exceeded: |
1382 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Maximum Iterations Exceeded."); |
1383 |
break; |
1384 |
case Restoration_Failed: |
1385 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Restoration Failed."); |
1386 |
break; |
1387 |
case Error_In_Step_Computation: |
1388 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Error in Step Computation."); |
1389 |
break; |
1390 |
case Maximum_CpuTime_Exceeded: |
1391 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Maximum CPU Time exceeded."); |
1392 |
break; |
1393 |
case Not_Enough_Degrees_Of_Freedom: |
1394 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Not enough degrees of freedom."); |
1395 |
break; |
1396 |
case Invalid_Problem_Definition: |
1397 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Invalid problem definition."); |
1398 |
break; |
1399 |
case Invalid_Option: |
1400 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Invalid Option."); |
1401 |
break; |
1402 |
case Invalid_Number_Detected: |
1403 |
ERROR_REPORTER_HERE(ASC_USER_WARNING,"Invalid Number Detected."); |
1404 |
break; |
1405 |
case Unrecoverable_Exception: |
1406 |
ERROR_REPORTER_HERE(ASC_PROG_FATAL,"Unrecoverable_Exception."); |
1407 |
break; |
1408 |
case Insufficient_Memory: |
1409 |
ERROR_REPORTER_HERE(ASC_PROG_FATAL,"Insufficient Memory."); |
1410 |
break; |
1411 |
case Internal_Error: |
1412 |
ERROR_REPORTER_HERE(ASC_PROG_FATAL,"Internal Error."); |
1413 |
break; |
1414 |
default: |
1415 |
ERROR_REPORTER_HERE(ASC_PROG_ERROR,"Unhanded return state %d from IPOPT",status); |
1416 |
} |
1417 |
|
1418 |
/* free allocated memory */ |
1419 |
FreeIpoptProblem(sys->nlp); |
1420 |
ASC_FREE(x); |
1421 |
ASC_FREE(mult_x_L); |
1422 |
ASC_FREE(mult_x_U); |
1423 |
|
1424 |
return ret; |
1425 |
} |
1426 |
|
1427 |
/** |
1428 |
Prepare sys for entering an iteration, increasing the iteration counts |
1429 |
and starting the clock. |
1430 |
*/ |
1431 |
static void ipopt_iteration_begins(IpoptSystem *sys){ |
1432 |
sys->clock = tm_cpu_time(); |
1433 |
++(sys->s.block.iteration); |
1434 |
++(sys->s.iteration); |
1435 |
} |
1436 |
|
1437 |
|
1438 |
/* |
1439 |
Prepare sys for exiting an iteration, stopping the clock and recording |
1440 |
the cpu time. |
1441 |
*/ |
1442 |
static void ipopt_iteration_ends(IpoptSystem *sys){ |
1443 |
double cpu_elapsed; /* elapsed this iteration */ |
1444 |
|
1445 |
cpu_elapsed = (double)(tm_cpu_time() - sys->clock); |
1446 |
sys->s.block.cpu_elapsed += cpu_elapsed; |
1447 |
sys->s.cpu_elapsed += cpu_elapsed; |
1448 |
} |
1449 |
|
1450 |
|
1451 |
|
1452 |
static int ipopt_iterate(slv_system_t server, SlvClientToken asys){ |
1453 |
//CONSOLE_DEBUG("ipopt_iterate about to call ipopt_solve..."); |
1454 |
return ipopt_solve(server,asys); |
1455 |
} |
1456 |
|
1457 |
static int ipopt_resolve(slv_system_t server, SlvClientToken asys){ |
1458 |
IpoptSystem *sys; |
1459 |
sys = SYS(asys); |
1460 |
|
1461 |
/** @todo if implementing this, use the 'warm start' thing in IPOPT */ |
1462 |
|
1463 |
/** @todo provide initial values of the 'multipliers' */ |
1464 |
|
1465 |
sys->resolve = 1; /* resolved recognized here */ |
1466 |
|
1467 |
/* Reset status */ |
1468 |
sys->s.iteration = 0; |
1469 |
sys->s.cpu_elapsed = 0.0; |
1470 |
sys->s.converged = sys->s.diverged = sys->s.inconsistent = FALSE; |
1471 |
sys->s.block.previous_total_size = 0; |
1472 |
|
1473 |
/* go to first unconverged block */ |
1474 |
sys->s.block.current_block = -1; |
1475 |
sys->s.block.current_size = 0; |
1476 |
sys->s.calc_ok = TRUE; |
1477 |
sys->s.block.iteration = 0; |
1478 |
sys->obj_val = MAXDOUBLE/2000.0; |
1479 |
|
1480 |
update_status(sys); |
1481 |
return 1; |
1482 |
} |
1483 |
|
1484 |
static const SlvFunctionsT ipopt_internals = { |
1485 |
67 |
1486 |
,"IPOPT" |
1487 |
,ipopt_create |
1488 |
,ipopt_destroy |
1489 |
,ipopt_eligible_solver |
1490 |
,ipopt_get_default_parameters |
1491 |
,ipopt_get_parameters |
1492 |
,ipopt_set_parameters |
1493 |
,ipopt_get_status |
1494 |
,ipopt_solve |
1495 |
,ipopt_presolve |
1496 |
,ipopt_iterate |
1497 |
,ipopt_resolve |
1498 |
,NULL |
1499 |
,NULL |
1500 |
,NULL |
1501 |
}; |
1502 |
|
1503 |
int ipopt_register(void){ |
1504 |
return solver_register(&ipopt_internals); |
1505 |
} |