IPOPTSolver.cc 10.8 KB
Newer Older
David Bommes's avatar
David Bommes committed
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
//=============================================================================
//
//  CLASS IPOPTSolver - IMPLEMENTATION
//
//=============================================================================

//== INCLUDES =================================================================

//== COMPILE-TIME PACKAGE REQUIREMENTS ========================================
#include <CoMISo/Config/config.hh>
#if COMISO_IPOPT_AVAILABLE
//=============================================================================


#include "IPOPTSolver.hh"

//== NAMESPACES ===============================================================

namespace COMISO {

//== IMPLEMENTATION ========================================================== 



int
IPOPTSolver::
David Bommes's avatar
David Bommes committed
27
solve(NProblemGmmInterface* _problem, std::vector<NConstraintInterface*>& _constraints)
David Bommes's avatar
David Bommes committed
28
29
30
31
32
33
34
35
36
37
38
39
40
{
  //----------------------------------------------------------------------------
  // 1. Create an instance of IPOPT NLP
  //----------------------------------------------------------------------------
  Ipopt::SmartPtr<Ipopt::TNLP> np = new NProblemIPOPT(_problem, _constraints);

  //----------------------------------------------------------------------------
  // 2. solve problem
  //----------------------------------------------------------------------------
  // Create an instance of the IpoptApplication
  Ipopt::SmartPtr<Ipopt::IpoptApplication> app = IpoptApplicationFactory();

  app->Options()->SetStringValue("linear_solver", "ma57");
David Bommes's avatar
David Bommes committed
41
//  app->Options()->SetStringValue("derivative_test", "second-order");
David Bommes's avatar
David Bommes committed
42
  //  app->Options()->SetIntegerValue("print_level", 0);
43
  app->Options()->SetIntegerValue("max_iter", 100);
David Bommes's avatar
David Bommes committed
44

David Bommes's avatar
David Bommes committed
45
46
//  app->Options()->SetStringValue("expect_infeasible_problem", "yes");

David Bommes's avatar
David Bommes committed
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
  // Initialize the IpoptApplication and process the options
  Ipopt::ApplicationReturnStatus status;
  status = app->Initialize();
  if (status != Ipopt::Solve_Succeeded)
  {
    printf("\n\n*** Error IPOPT during initialization!\n");
  }

  //----------------------------------------------------------------------------
  // 3. solve problem
  //----------------------------------------------------------------------------
  status = app->OptimizeTNLP(np);

  //----------------------------------------------------------------------------
  // 4. output statistics
  //----------------------------------------------------------------------------
  if (status == Ipopt::Solve_Succeeded || status == Ipopt::Solved_To_Acceptable_Level)
  {
    // Retrieve some statistics about the solve
    Ipopt::Index iter_count = app->Statistics()->IterationCount();
    printf("\n\n*** IPOPT: The problem solved in %d iterations!\n", iter_count);

    Ipopt::Number final_obj = app->Statistics()->FinalObjective();
    printf("\n\n*** IPOPT: The final value of the objective function is %e.\n", final_obj);
  }

  return status;
}


//== IMPLEMENTATION PROBLEM INSTANCE==========================================================


bool NProblemIPOPT::get_nlp_info(Index& n, Index& m, Index& nnz_jac_g,
                         Index& nnz_h_lag, IndexStyleEnum& index_style)
{
  // number of variables
  n = problem_->n_unknowns();

  // number of constraints
  m = constraints_.size();

  // get nonzero structure
  std::vector<double> x(n);
  problem_->initial_x(&(x[0]));
  // ToDo: perturb x

  // nonzeros in the jacobian of C_ and the hessian of the lagrangian
David Bommes's avatar
David Bommes committed
95
96
97
98
  SMatrixNP HP;
  SVectorNC g;
  SMatrixNC H;
  problem_->eval_hessian(&(x[0]), HP);
David Bommes's avatar
David Bommes committed
99
  nnz_jac_g = 0;
David Bommes's avatar
David Bommes committed
100
  nnz_h_lag = 0;
David Bommes's avatar
David Bommes committed
101
102
103
104
105
106
107
108
109
110
111

  // clear old data
  jac_g_iRow_.clear();
  jac_g_jCol_.clear();
  h_lag_iRow_.clear();
  h_lag_jCol_.clear();

  // get non-zero structure of initial hessian
  // iterate over rows
  for( int i=0; i<n; ++i)
  {
David Bommes's avatar
David Bommes committed
112
    SVectorNP& ri = HP.row(i);
David Bommes's avatar
David Bommes committed
113
114
115
116
117
118
119
120
121
122
123

    SVectorNP_citer v_it  = gmm::vect_const_begin(ri);
    SVectorNP_citer v_end = gmm::vect_const_end  (ri);

    for(; v_it != v_end; ++v_it)
    {
      // store lower triangular part only
      if( i >= (int)v_it.index())
      {
        h_lag_iRow_.push_back(i);
        h_lag_jCol_.push_back(v_it.index());
David Bommes's avatar
David Bommes committed
124
        ++nnz_h_lag;
David Bommes's avatar
David Bommes committed
125
126
127
128
129
130
131
132
133
134
135
      }
    }
  }


  // get nonzero structure of constraints
  for( int i=0; i<m; ++i)
  {
    constraints_[i]->eval_gradient(&(x[0]),g);
    constraints_[i]->eval_hessian (&(x[0]),H);

David Bommes's avatar
David Bommes committed
136
137
138
    // iterate over sparse vector
    SVectorNC::InnerIterator v_it(g);
    for(; v_it; ++v_it)
David Bommes's avatar
David Bommes committed
139
140
141
    {
      jac_g_iRow_.push_back(i);
      jac_g_jCol_.push_back(v_it.index());
David Bommes's avatar
David Bommes committed
142
      ++nnz_jac_g;
David Bommes's avatar
David Bommes committed
143
144
    }

David Bommes's avatar
David Bommes committed
145
146
147
148
149
    // iterate over superSparseMatrix
    SMatrixNC::iterator m_it  = H.begin();
    SMatrixNC::iterator m_end = H.end();
    for(; m_it != m_end; ++m_it)
      if( m_it.row() >= m_it.col())
David Bommes's avatar
David Bommes committed
150
      {
David Bommes's avatar
David Bommes committed
151
152
153
        h_lag_iRow_.push_back(m_it.row());
        h_lag_jCol_.push_back(m_it.col());
        ++nnz_h_lag;
David Bommes's avatar
David Bommes committed
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
      }
  }

  // store for error checking...
  nnz_jac_g_ = nnz_jac_g;
  nnz_h_lag_ = nnz_h_lag;

  // We use the standard fortran index style for row/col entries
  index_style = C_STYLE;

  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::get_bounds_info(Index n, Number* x_l, Number* x_u,
                            Index m, Number* g_l, Number* g_u)
{
  // first clear all variable bounds
  for( int i=0; i<n; ++i)
  {
    // x_l[i] = Ipopt::nlp_lower_bound_inf;
    // x_u[i] = Ipopt::nlp_upper_bound_inf;

    x_l[i] = -1.0e19;
    x_u[i] =  1.0e19;
  }

  // set bounds for constraints
  for( int i=0; i<m; ++i)
  {
    // enum ConstraintType {NC_EQUAL, NC_LESS_EQUAL, NC_GREATER_EQUAL};
    switch(constraints_[i]->constraint_type())
    {
David Bommes's avatar
David Bommes committed
190
191
192
193
      case NConstraintInterface::NC_EQUAL         : g_u[i] = 0.0   ; g_l[i] =  0.0   ; break;
      case NConstraintInterface::NC_LESS_EQUAL    : g_u[i] = 0.0   ; g_l[i] = -1.0e19; break;
      case NConstraintInterface::NC_GREATER_EQUAL : g_u[i] = 1.0e19; g_l[i] =  0.0   ; break;
      default                                     : g_u[i] = 1.0e19; g_l[i] = -1.0e19; break;
David Bommes's avatar
David Bommes committed
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
    }
  }

  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::get_starting_point(Index n, bool init_x, Number* x,
                               bool init_z, Number* z_L, Number* z_U,
                               Index m, bool init_lambda,
                               Number* lambda)
{
  // get initial value of problem instance
  problem_->initial_x(x);

  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::eval_f(Index n, const Number* x, bool new_x, Number& obj_value)
{
  // return the value of the objective function
  obj_value = problem_->eval_f(x);
  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::eval_grad_f(Index n, const Number* x, bool new_x, Number* grad_f)
{
  problem_->eval_gradient(x, grad_f);

  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::eval_g(Index n, const Number* x, bool new_x, Index m, Number* g)
{
  // evaluate all constraint functions
  for( int i=0; i<m; ++i)
    g[i] = constraints_[i]->eval_constraint(x);

  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::eval_jac_g(Index n, const Number* x, bool new_x,
                       Index m, Index nele_jac, Index* iRow, Index *jCol,
                       Number* values)
{
  if (values == NULL)
  {
    // return the (cached) structure of the jacobian of the constraints
    gmm::copy(jac_g_iRow_, VectorPTi(iRow, jac_g_iRow_.size()));
    gmm::copy(jac_g_jCol_, VectorPTi(jCol, jac_g_jCol_.size()));
  }
  else
  {
    // return the values of the jacobian of the constraints

    // return the structure of the jacobian of the constraints
    // global index
    int gi = 0;
David Bommes's avatar
David Bommes committed
271
    SVectorNC g;
David Bommes's avatar
David Bommes committed
272
273
274
275
276

    for( int i=0; i<m; ++i)
    {
      constraints_[i]->eval_gradient(x, g);

David Bommes's avatar
David Bommes committed
277
      SVectorNC::InnerIterator v_it(g);
David Bommes's avatar
David Bommes committed
278

David Bommes's avatar
David Bommes committed
279
      for( ; v_it; ++v_it)
David Bommes's avatar
David Bommes committed
280
281
      {
        if(gi < nele_jac)
David Bommes's avatar
David Bommes committed
282
          values[gi] = v_it.value();
David Bommes's avatar
David Bommes committed
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
        ++gi;
      }
    }

    if( gi != nele_jac)
      std::cerr << "Warning: number of non-zeros in Jacobian of C is incorrect: "
                << gi << " vs " << nele_jac << std::endl;
  }

  return true;
}


//-----------------------------------------------------------------------------


bool NProblemIPOPT::eval_h(Index n, const Number* x, bool new_x,
                   Number obj_factor, Index m, const Number* lambda,
                   bool new_lambda, Index nele_hess, Index* iRow,
                   Index* jCol, Number* values)
{
  if (values == NULL)
  {
    // return the (cached) structure of the hessian
    gmm::copy(h_lag_iRow_, VectorPTi(iRow, h_lag_iRow_.size()));
    gmm::copy(h_lag_jCol_, VectorPTi(jCol, h_lag_jCol_.size()));
  }
  else
  {
    // return values.

    // global index
    int gi = 0;

    // get hessian of problem
David Bommes's avatar
David Bommes committed
318
    problem_->eval_hessian(x, HP_);
David Bommes's avatar
David Bommes committed
319
320
321

    for( int i=0; i<n; ++i)
    {
David Bommes's avatar
David Bommes committed
322
      SVectorNP& ri = HP_.row(i);
David Bommes's avatar
David Bommes committed
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341

      SVectorNP_citer v_it  = gmm::vect_const_begin(ri);
      SVectorNP_citer v_end = gmm::vect_const_end  (ri);

      for(; v_it != v_end; ++v_it)
      {
        // store lower triangular part only
        if( i >= (int)v_it.index())
        {
          if( gi < nele_hess)
            values[gi] = obj_factor*(*v_it);
          ++gi;
        }
      }
    }

    // Hessians of Constraints
    for(unsigned int j=0; j<constraints_.size(); ++j)
    {
David Bommes's avatar
David Bommes committed
342
      SMatrixNC H;
David Bommes's avatar
David Bommes committed
343
344
      constraints_[j]->eval_hessian(x, H);

David Bommes's avatar
David Bommes committed
345
346
      SMatrixNC::iterator m_it  = H.begin();
      SMatrixNC::iterator m_end = H.end();
David Bommes's avatar
David Bommes committed
347

David Bommes's avatar
David Bommes committed
348
349
350
351
      for(; m_it != m_end; ++m_it)
      {
        // store lower triangular part only
        if( m_it.row() >= m_it.col())
David Bommes's avatar
David Bommes committed
352
        {
David Bommes's avatar
David Bommes committed
353
354
355
          if( gi < nele_hess)
            values[gi] = lambda[j]*(*m_it);
          ++gi;
David Bommes's avatar
David Bommes committed
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
        }
      }
    }

    // error check
    if( gi != nele_hess)
      std::cerr << "Warning: number of non-zeros in Hessian of Lagrangian is incorrect: "
                << gi << " vs " << nele_hess << std::endl;
  }
  return true;
}


//-----------------------------------------------------------------------------


void NProblemIPOPT::finalize_solution(SolverReturn status,
                              Index n, const Number* x, const Number* z_L, const Number* z_U,
                              Index m, const Number* g, const Number* lambda,
                              Number obj_value,
                              const IpoptData* ip_data,
                              IpoptCalculatedQuantities* ip_cq)
{
  // problem knows what to do
  problem_->store_result(x);
}



//=============================================================================
} // namespace COMISO
//=============================================================================
#endif // COMISO_IPOPT_AVAILABLE
David Bommes's avatar
David Bommes committed
389
//=============================================================================