IpIpoptCalculatedQuantities.hpp

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00001 // Copyright (C) 2004, 2006 International Business Machines and others.
00002 // All Rights Reserved.
00003 // This code is published under the Common Public License.
00004 //
00005 // $Id: IpIpoptCalculatedQuantities.hpp 759 2006-07-07 03:07:08Z andreasw $
00006 //
00007 // Authors:  Carl Laird, Andreas Waechter     IBM    2004-08-13
00008 
00009 #ifndef __IPIPOPTCALCULATEDQUANTITIES_HPP__
00010 #define __IPIPOPTCALCULATEDQUANTITIES_HPP__
00011 
00012 #include "IpIpoptNLP.hpp"
00013 #include "IpIpoptData.hpp"
00014 
00015 namespace Ipopt
00016 {
00017 
00019   enum ENormType {
00020     NORM_1=0,
00021     NORM_2,
00022     NORM_MAX
00023   };
00024 
00028   class IpoptCalculatedQuantities : public ReferencedObject
00029   {
00030   public:
00031 
00035     IpoptCalculatedQuantities(const SmartPtr<IpoptNLP>& ip_nlp,
00036                               const SmartPtr<IpoptData>& ip_data);
00038     virtual ~IpoptCalculatedQuantities();
00040 
00044     bool Initialize(const Journalist& jnlst,
00045                     const OptionsList& options,
00046                     const std::string& prefix);
00047 
00051     SmartPtr<const Vector> curr_slack_x_L();
00053     SmartPtr<const Vector> curr_slack_x_U();
00055     SmartPtr<const Vector> curr_slack_s_L();
00057     SmartPtr<const Vector> curr_slack_s_U();
00059     SmartPtr<const Vector> trial_slack_x_L();
00061     SmartPtr<const Vector> trial_slack_x_U();
00063     SmartPtr<const Vector> trial_slack_s_L();
00065     SmartPtr<const Vector> trial_slack_s_U();
00067     Index AdjustedTrialSlacks();
00069     void ResetAdjustedTrialSlacks();
00071 
00075     Number curr_f();
00077     Number unscaled_curr_f();
00079     Number trial_f();
00081     Number unscaled_trial_f();
00083     SmartPtr<const Vector> curr_grad_f();
00085     SmartPtr<const Vector> trial_grad_f();
00087 
00093     Number curr_barrier_obj();
00097     Number trial_barrier_obj();
00098 
00101     SmartPtr<const Vector> curr_grad_barrier_obj_x();
00104     SmartPtr<const Vector> curr_grad_barrier_obj_s();
00105 
00108     SmartPtr<const Vector> grad_kappa_times_damping_x();
00111     SmartPtr<const Vector> grad_kappa_times_damping_s();
00113 
00117     SmartPtr<const Vector> curr_c();
00119     SmartPtr<const Vector> unscaled_curr_c();
00121     SmartPtr<const Vector> trial_c();
00123     SmartPtr<const Vector> curr_d();
00125     SmartPtr<const Vector> unscaled_curr_d();
00127     SmartPtr<const Vector> trial_d();
00129     SmartPtr<const Vector> curr_d_minus_s();
00131     SmartPtr<const Vector> trial_d_minus_s();
00133     SmartPtr<const Matrix> curr_jac_c();
00135     SmartPtr<const Matrix> trial_jac_c();
00137     SmartPtr<const Matrix> curr_jac_d();
00139     SmartPtr<const Matrix> trial_jac_d();
00142     SmartPtr<const Vector> curr_jac_cT_times_vec(const Vector& vec);
00145     SmartPtr<const Vector> trial_jac_cT_times_vec(const Vector& vec);
00148     SmartPtr<const Vector> curr_jac_dT_times_vec(const Vector& vec);
00151     SmartPtr<const Vector> trial_jac_dT_times_vec(const Vector& vec);
00154     SmartPtr<const Vector> curr_jac_cT_times_curr_y_c();
00157     SmartPtr<const Vector> trial_jac_cT_times_trial_y_c();
00160     SmartPtr<const Vector> curr_jac_dT_times_curr_y_d();
00163     SmartPtr<const Vector> trial_jac_dT_times_trial_y_d();
00166     SmartPtr<const Vector> curr_jac_c_times_vec(const Vector& vec);
00169     SmartPtr<const Vector> curr_jac_d_times_vec(const Vector& vec);
00173     Number curr_constraint_violation();
00177     Number trial_constraint_violation();
00181     Number curr_nlp_constraint_violation(ENormType NormType);
00185     Number unscaled_curr_nlp_constraint_violation(ENormType NormType);
00187 
00191     SmartPtr<const SymMatrix> curr_exact_hessian();
00193 
00197     SmartPtr<const Vector> curr_grad_lag_x();
00199     SmartPtr<const Vector> trial_grad_lag_x();
00201     SmartPtr<const Vector> curr_grad_lag_s();
00203     SmartPtr<const Vector> trial_grad_lag_s();
00206     SmartPtr<const Vector> curr_grad_lag_with_damping_x();
00209     SmartPtr<const Vector> curr_grad_lag_with_damping_s();
00211     SmartPtr<const Vector> curr_compl_x_L();
00213     SmartPtr<const Vector> curr_compl_x_U();
00215     SmartPtr<const Vector> curr_compl_s_L();
00217     SmartPtr<const Vector> curr_compl_s_U();
00219     SmartPtr<const Vector> trial_compl_x_L();
00221     SmartPtr<const Vector> trial_compl_x_U();
00223     SmartPtr<const Vector> trial_compl_s_L();
00225     SmartPtr<const Vector> trial_compl_s_U();
00227     SmartPtr<const Vector> curr_relaxed_compl_x_L();
00229     SmartPtr<const Vector> curr_relaxed_compl_x_U();
00231     SmartPtr<const Vector> curr_relaxed_compl_s_L();
00233     SmartPtr<const Vector> curr_relaxed_compl_s_U();
00234 
00236     Number curr_primal_infeasibility(ENormType NormType);
00238     Number trial_primal_infeasibility(ENormType NormType);
00239 
00241     Number curr_dual_infeasibility(ENormType NormType);
00243     Number trial_dual_infeasibility(ENormType NormType);
00245     Number unscaled_curr_dual_infeasibility(ENormType NormType);
00246 
00249     Number curr_complementarity(Number mu, ENormType NormType);
00252     Number trial_complementarity(Number mu, ENormType NormType);
00255     Number unscaled_curr_complementarity(Number mu, ENormType NormType);
00256 
00258     Number CalcCentralityMeasure(const Vector& compl_x_L,
00259                                  const Vector& compl_x_U,
00260                                  const Vector& compl_s_L,
00261                                  const Vector& compl_s_U);
00263     Number curr_centrality_measure();
00264 
00269     Number curr_nlp_error();
00274     Number unscaled_curr_nlp_error();
00275 
00278     Number curr_barrier_error();
00279 
00286     Number curr_primal_dual_system_error(Number mu);
00293     Number trial_primal_dual_system_error(Number mu);
00295 
00300     Number primal_frac_to_the_bound(Number tau,
00301                                     const Vector& delta_x,
00302                                     const Vector& delta_s);
00305     Number curr_primal_frac_to_the_bound(Number tau);
00308     Number dual_frac_to_the_bound(Number tau,
00309                                   const Vector& delta_z_L,
00310                                   const Vector& delta_z_U,
00311                                   const Vector& delta_v_L,
00312                                   const Vector& delta_v_U);
00315     Number uncached_dual_frac_to_the_bound(Number tau,
00316                                            const Vector& delta_z_L,
00317                                            const Vector& delta_z_U,
00318                                            const Vector& delta_v_L,
00319                                            const Vector& delta_v_U);
00322     Number curr_dual_frac_to_the_bound(Number tau);
00330     Number uncached_slack_frac_to_the_bound(Number tau,
00331                                             const Vector& delta_x_L,
00332                                             const Vector& delta_x_U,
00333                                             const Vector& delta_s_L,
00334                                             const Vector& delta_s_U);
00336 
00339     SmartPtr<const Vector> curr_sigma_x();
00340     SmartPtr<const Vector> curr_sigma_s();
00342 
00344     Number curr_avrg_compl();
00346     Number trial_avrg_compl();
00347 
00350     Number curr_gradBarrTDelta();
00351 
00353     Number
00354     CalcNormOfType(ENormType NormType,
00355                    std::vector<SmartPtr<const Vector> > vecs);
00356 
00358     Number
00359     CalcNormOfType(ENormType NormType,
00360                    const Vector& vec1, const Vector& vec2);
00361 
00363     ENormType constr_viol_normtype() const
00364     {
00365       return constr_viol_normtype_;
00366     }
00367 
00369     bool IsSquareProblem() const;
00370 
00374     static void RegisterOptions(SmartPtr<RegisteredOptions> roptions);
00376 
00377   private:
00387     IpoptCalculatedQuantities();
00388 
00390     IpoptCalculatedQuantities(const IpoptCalculatedQuantities&);
00391 
00393     void operator=(const IpoptCalculatedQuantities&);
00395 
00399     SmartPtr<IpoptNLP> ip_nlp_;
00401     SmartPtr<IpoptData> ip_data_;
00403 
00410     Number s_max_;
00413     Number kappa_d_;
00415     Number slack_move_;
00417     ENormType constr_viol_normtype_;
00420     bool warm_start_same_structure_;
00422 
00425     CachedResults< SmartPtr<Vector> > curr_slack_x_L_cache_;
00426     CachedResults< SmartPtr<Vector> > curr_slack_x_U_cache_;
00427     CachedResults< SmartPtr<Vector> > curr_slack_s_L_cache_;
00428     CachedResults< SmartPtr<Vector> > curr_slack_s_U_cache_;
00429     CachedResults< SmartPtr<Vector> > trial_slack_x_L_cache_;
00430     CachedResults< SmartPtr<Vector> > trial_slack_x_U_cache_;
00431     CachedResults< SmartPtr<Vector> > trial_slack_s_L_cache_;
00432     CachedResults< SmartPtr<Vector> > trial_slack_s_U_cache_;
00433     Index num_adjusted_slack_x_L_;
00434     Index num_adjusted_slack_x_U_;
00435     Index num_adjusted_slack_s_L_;
00436     Index num_adjusted_slack_s_U_;
00438 
00441     CachedResults<Number> curr_f_cache_;
00442     CachedResults<Number> trial_f_cache_;
00443     CachedResults< SmartPtr<const Vector> > curr_grad_f_cache_;
00444     CachedResults< SmartPtr<const Vector> > trial_grad_f_cache_;
00446 
00449     CachedResults<Number> curr_barrier_obj_cache_;
00450     CachedResults<Number> trial_barrier_obj_cache_;
00451     CachedResults< SmartPtr<const Vector> > curr_grad_barrier_obj_x_cache_;
00452     CachedResults< SmartPtr<const Vector> > curr_grad_barrier_obj_s_cache_;
00453     CachedResults< SmartPtr<const Vector> > grad_kappa_times_damping_x_cache_;
00454     CachedResults< SmartPtr<const Vector> > grad_kappa_times_damping_s_cache_;
00456 
00459     CachedResults< SmartPtr<const Vector> > curr_c_cache_;
00460     CachedResults< SmartPtr<const Vector> > trial_c_cache_;
00461     CachedResults< SmartPtr<const Vector> > curr_d_cache_;
00462     CachedResults< SmartPtr<const Vector> > trial_d_cache_;
00463     CachedResults< SmartPtr<const Vector> > curr_d_minus_s_cache_;
00464     CachedResults< SmartPtr<const Vector> > trial_d_minus_s_cache_;
00465     CachedResults< SmartPtr<const Matrix> > curr_jac_c_cache_;
00466     CachedResults< SmartPtr<const Matrix> > trial_jac_c_cache_;
00467     CachedResults< SmartPtr<const Matrix> > curr_jac_d_cache_;
00468     CachedResults< SmartPtr<const Matrix> > trial_jac_d_cache_;
00469     CachedResults< SmartPtr<const Vector> > curr_jac_cT_times_vec_cache_;
00470     CachedResults< SmartPtr<const Vector> > trial_jac_cT_times_vec_cache_;
00471     CachedResults< SmartPtr<const Vector> > curr_jac_dT_times_vec_cache_;
00472     CachedResults< SmartPtr<const Vector> > trial_jac_dT_times_vec_cache_;
00473     CachedResults< SmartPtr<const Vector> > curr_jac_c_times_vec_cache_;
00474     CachedResults< SmartPtr<const Vector> > curr_jac_d_times_vec_cache_;
00475     CachedResults<Number> curr_constraint_violation_cache_;
00476     CachedResults<Number> trial_constraint_violation_cache_;
00477     CachedResults<Number> curr_nlp_constraint_violation_cache_;
00478     CachedResults<Number> unscaled_curr_nlp_constraint_violation_cache_;
00480 
00482     CachedResults< SmartPtr<const SymMatrix> > curr_exact_hessian_cache_;
00483 
00486     CachedResults< SmartPtr<const Vector> > curr_grad_lag_x_cache_;
00487     CachedResults< SmartPtr<const Vector> > trial_grad_lag_x_cache_;
00488     CachedResults< SmartPtr<const Vector> > curr_grad_lag_s_cache_;
00489     CachedResults< SmartPtr<const Vector> > trial_grad_lag_s_cache_;
00490     CachedResults< SmartPtr<const Vector> > curr_grad_lag_with_damping_x_cache_;
00491     CachedResults< SmartPtr<const Vector> > curr_grad_lag_with_damping_s_cache_;
00492     CachedResults< SmartPtr<const Vector> > curr_compl_x_L_cache_;
00493     CachedResults< SmartPtr<const Vector> > curr_compl_x_U_cache_;
00494     CachedResults< SmartPtr<const Vector> > curr_compl_s_L_cache_;
00495     CachedResults< SmartPtr<const Vector> > curr_compl_s_U_cache_;
00496     CachedResults< SmartPtr<const Vector> > trial_compl_x_L_cache_;
00497     CachedResults< SmartPtr<const Vector> > trial_compl_x_U_cache_;
00498     CachedResults< SmartPtr<const Vector> > trial_compl_s_L_cache_;
00499     CachedResults< SmartPtr<const Vector> > trial_compl_s_U_cache_;
00500     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_x_L_cache_;
00501     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_x_U_cache_;
00502     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_s_L_cache_;
00503     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_s_U_cache_;
00504     CachedResults<Number> curr_primal_infeasibility_cache_;
00505     CachedResults<Number> trial_primal_infeasibility_cache_;
00506     CachedResults<Number> curr_dual_infeasibility_cache_;
00507     CachedResults<Number> trial_dual_infeasibility_cache_;
00508     CachedResults<Number> unscaled_curr_dual_infeasibility_cache_;
00509     CachedResults<Number> curr_complementarity_cache_;
00510     CachedResults<Number> trial_complementarity_cache_;
00511     CachedResults<Number> curr_centrality_measure_cache_;
00512     CachedResults<Number> curr_nlp_error_cache_;
00513     CachedResults<Number> unscaled_curr_nlp_error_cache_;
00514     CachedResults<Number> curr_barrier_error_cache_;
00515     CachedResults<Number> curr_primal_dual_system_error_cache_;
00516     CachedResults<Number> trial_primal_dual_system_error_cache_;
00518 
00521     CachedResults<Number> primal_frac_to_the_bound_cache_;
00522     CachedResults<Number> dual_frac_to_the_bound_cache_;
00524 
00527     CachedResults< SmartPtr<const Vector> > curr_sigma_x_cache_;
00528     CachedResults< SmartPtr<const Vector> > curr_sigma_s_cache_;
00530 
00532     CachedResults<Number> curr_avrg_compl_cache_;
00534     CachedResults<Number> trial_avrg_compl_cache_;
00535 
00537     CachedResults<Number> curr_gradBarrTDelta_cache_;
00538 
00544     SmartPtr<Vector> dampind_x_L_;
00547     SmartPtr<Vector> dampind_x_U_;
00550     SmartPtr<Vector> dampind_s_L_;
00553     SmartPtr<Vector> dampind_s_U_;
00555 
00560     SmartPtr<Vector> tmp_x_;
00561     SmartPtr<Vector> tmp_s_;
00562     SmartPtr<Vector> tmp_c_;
00563     SmartPtr<Vector> tmp_d_;
00564     SmartPtr<Vector> tmp_x_L_;
00565     SmartPtr<Vector> tmp_x_U_;
00566     SmartPtr<Vector> tmp_s_L_;
00567     SmartPtr<Vector> tmp_s_U_;
00568 
00570     Vector& Tmp_x();
00571     Vector& Tmp_s();
00572     Vector& Tmp_c();
00573     Vector& Tmp_d();
00574     Vector& Tmp_x_L();
00575     Vector& Tmp_x_U();
00576     Vector& Tmp_s_L();
00577     Vector& Tmp_s_U();
00579 
00582     bool initialize_called_;
00583 
00589     SmartPtr<Vector> CalcSlack_L(const Matrix& P,
00590                                  const Vector& x,
00591                                  const Vector& x_bound);
00595     SmartPtr<Vector> CalcSlack_U(const Matrix& P,
00596                                  const Vector& x,
00597                                  const Vector& x_bound);
00601     Number CalcBarrierTerm(Number mu,
00602                            const Vector& slack_x_L,
00603                            const Vector& slack_x_U,
00604                            const Vector& slack_s_L,
00605                            const Vector& slack_s_U);
00606 
00608     SmartPtr<const Vector> CalcCompl(const Vector& slack,
00609                                      const Vector& mult);
00610 
00612     Number CalcFracToBound(const Vector& slack_L,
00613                            Vector& tmp_L,
00614                            const Matrix& P_L,
00615                            const Vector& slack_U,
00616                            Vector& tmp_U,
00617                            const Matrix& P_U,
00618                            const Vector& delta,
00619                            Number tau);
00620 
00622     void ComputeOptimalityErrorScaling(const Vector& y_c, const Vector& y_d,
00623                                        const Vector& z_L, const Vector& z_U,
00624                                        const Vector& v_L, const Vector& v_U,
00625                                        Number s_max,
00626                                        Number& s_d, Number& s_c);
00627 
00631     Index CalculateSafeSlack(SmartPtr<Vector>& slack,
00632                              const SmartPtr<const Vector>& bound,
00633                              const SmartPtr<const Vector>& curr_point,
00634                              const SmartPtr<const Vector>& multiplier);
00635 
00641     void ComputeDampingIndicators(SmartPtr<const Vector>& dampind_x_L,
00642                                   SmartPtr<const Vector>& dampind_x_U,
00643                                   SmartPtr<const Vector>& dampind_s_L,
00644                                   SmartPtr<const Vector>& dampind_s_U);
00645 
00652     bool in_restoration_phase();
00653 
00655   };
00656 
00657 } // namespace Ipopt
00658 
00659 #endif