casadi 3.6.4__cp27-none-manylinux1_i686.whl → 3.6.6__cp27-none-manylinux1_i686.whl

casadi/include/coin-or/IpOrigIpoptNLP.hpp

@@ -0,0 +1,603 @@
+// Copyright (C) 2004, 2010 International Business Machines and others.
+// All Rights Reserved.
+// This code is published under the Eclipse Public License.
+//
+// Authors:  Carl Laird, Andreas Waechter     IBM    2004-08-13
+
+#ifndef __IPORIGIPOPTNLP_HPP__
+#define __IPORIGIPOPTNLP_HPP__
+
+#include "IpIpoptNLP.hpp"
+#include "IpException.hpp"
+#include "IpTimingStatistics.hpp"
+
+namespace Ipopt
+{
+
+/** enumeration for the Hessian information type. */
+enum HessianApproximationType
+{
+   EXACT = 0,
+   LIMITED_MEMORY
+};
+
+/** enumeration for the Hessian approximation space. */
+enum HessianApproximationSpace
+{
+   NONLINEAR_VARS = 0,
+   ALL_VARS
+};
+
+/** This class maps the traditional NLP into
+ *  something that is more useful for %Ipopt.
+ *
+ *  This class takes care of storing the
+ *  calculated model results, handles caching, scaling,
+ *  and (some day) takes care of addition of slacks.
+ *
+ *  Given a NLP
+ *  \f{eqnarray*}
+ *     \mathrm{min}  && f(x), \\
+ *     \mathrm{s.t.} && c(x) = 0,               &\qquad y_c\\
+ *                   && d_L \leq d(x) \leq d_U, &\qquad y_d \\
+ *                   && x_L \leq  x \leq x_U,   &\qquad z_L, z_U
+ *  \f}
+ *  and (invertible diagonal) scaling matrices \f$s_o\f$, \f$s_c\f$, \f$s_d\f$, \f$s_x\f$,
+ *  this class represents the %NLP
+ *  \f{eqnarray*}
+ *     \mathrm{min}  && s_o f(s_x^{-1} \tilde x), \\
+ *     \mathrm{s.t.} && s_c c(s_x^{-1} \tilde x) = 0,                       &\qquad \tilde y_c \\
+ *                   && s_d d_L \leq s_d d(s_x^{-1} \tilde x) \leq s_d d_U, &\qquad \tilde y_d \\
+ *                   && s_x x_L \leq \tilde x \leq s_x x_U,                 &\qquad \tilde z_L, z_U
+ *  \f}
+ *  where \f$\tilde x\f$, \f$\tilde y_c\f$, \f$\tilde y_d\f$, \f$\tilde z_L\f$, \f$\tilde z_U\f$,
+ *  are the primal and dual variables of the scaled problem (though, %Ipopt adds slack variables additionally).
+ *
+ *  The correspondence between a scaled and its corresponding unscaled solution is
+ *  \f{eqnarray*}
+ *    x   && = s_x^{-1} \tilde x \\
+ *    y_c && = s_o^{-1} s_c \tilde y_c \\
+ *    y_d && = s_o^{-1} s_d \tilde y_d \\
+ *    z_L && = s_o^{-1} s_x \tilde z_L \\
+ *    z_U && = s_o^{-1} s_x \tilde z_U
+ *  \f}
+ */
+class IPOPTLIB_EXPORT OrigIpoptNLP: public IpoptNLP
+{
+public:
+   /**@name Constructors / Destructor */
+   ///@{
+   /** Constructor */
+   OrigIpoptNLP(
+      const SmartPtr<const Journalist>& jnlst,             ///< Journalist
+      const SmartPtr<NLP>&              nlp,               ///< NLP
+      const SmartPtr<NLPScalingObject>& nlp_scaling,       ///< NLP scaling
+      TimingStatistics&                 timing_statistics  ///< Timing statistics @since 3.14.0
+   );
+
+   /** Destructor */
+   virtual ~OrigIpoptNLP();
+   ///@}
+
+   virtual bool Initialize(
+      const Journalist&  jnlst,
+      const OptionsList& options,
+      const std::string& prefix
+   );
+
+   /** Initialize (create) structures for the iteration data */
+   virtual bool InitializeStructures(
+      SmartPtr<Vector>& x,
+      bool              init_x,
+      SmartPtr<Vector>& y_c,
+      bool              init_y_c,
+      SmartPtr<Vector>& y_d,
+      bool              init_y_d,
+      SmartPtr<Vector>& z_L,
+      bool              init_z_L,
+      SmartPtr<Vector>& z_U,
+      bool              init_z_U,
+      SmartPtr<Vector>& v_L,
+      SmartPtr<Vector>& v_U
+   );
+
+   /** Method accessing the GetWarmStartIterate of the NLP */
+   virtual bool GetWarmStartIterate(
+      IteratesVector& warm_start_iterate
+   )
+   {
+      return nlp_->GetWarmStartIterate(warm_start_iterate);
+   }
+
+   /** Accessor methods for model data */
+   ///@{
+   /** Objective value */
+   virtual Number f(
+      const Vector& x
+   );
+
+   /** Objective value (depending in mu) - incorrect version for
+    *  OrigIpoptNLP
+    */
+   virtual Number f(
+      const Vector& x,
+      Number mu
+   );
+
+   /** Gradient of the objective */
+   virtual SmartPtr<const Vector> grad_f(
+      const Vector& x
+   );
+
+   /** Gradient of the objective (depending in mu) - incorrect
+    *  version for OrigIpoptNLP
+    */
+   virtual SmartPtr<const Vector> grad_f(
+      const Vector& x,
+      Number        mu
+   );
+
+   /** Equality constraint residual */
+   virtual SmartPtr<const Vector> c(
+      const Vector& x
+   );
+
+   /** Jacobian Matrix for equality constraints */
+   virtual SmartPtr<const Matrix> jac_c(
+      const Vector& x
+   );
+
+   /** Inequality constraint residual (reformulated
+    *  as equalities with slacks)
+    */
+   virtual SmartPtr<const Vector> d(
+      const Vector& x
+   );
+
+   /** Jacobian Matrix for inequality constraints */
+   virtual SmartPtr<const Matrix> jac_d(
+      const Vector& x
+   );
+
+   /** Hessian of the Lagrangian */
+   virtual SmartPtr<const SymMatrix> h(
+      const Vector& x,
+      Number        obj_factor,
+      const Vector& yc,
+      const Vector& yd
+   );
+
+   /** Hessian of the Lagrangian (depending in mu) - incorrect
+    *  version for OrigIpoptNLP
+    */
+   virtual SmartPtr<const SymMatrix> h(
+      const Vector& x,
+      Number        obj_factor,
+      const Vector& yc,
+      const Vector& yd,
+      Number        mu
+   );
+
+   /** Provides a Hessian matrix from the correct matrix space with
+    *  uninitialized values.
+    *
+    *  This can be used in LeastSquareMults to obtain a "zero Hessian".
+    */
+   virtual SmartPtr<const SymMatrix> uninitialized_h();
+
+   /** Scaled lower bounds on x */
+   virtual SmartPtr<const Vector> x_L() const
+   {
+      return x_L_;
+   }
+
+   /** Permutation matrix (x_L_ -> x) */
+   virtual SmartPtr<const Matrix> Px_L() const
+   {
+      return Px_L_;
+   }
+
+   /** Original unscaled lower bounds on x
+    *
+    * Returns NULL if bounds are not relaxed.
+    * @since 3.14.0
+    */
+   virtual SmartPtr<const Vector> orig_x_L() const
+   {
+      return orig_x_L_;
+   }
+
+   /** Scaled upper bounds on x */
+   virtual SmartPtr<const Vector> x_U() const
+   {
+      return x_U_;
+   }
+
+   /** Permutation matrix (x_U_ -> x) */
+   virtual SmartPtr<const Matrix> Px_U() const
+   {
+      return Px_U_;
+   }
+
+   /** Original unscaled upper bounds on x
+    *
+    * Returns NULL if bounds are not relaxed.
+    * @since 3.14.0
+    */
+   virtual SmartPtr<const Vector> orig_x_U() const
+   {
+      return orig_x_U_;
+   }
+
+   /** Scaled lower bounds on d */
+   virtual SmartPtr<const Vector> d_L() const
+   {
+      return d_L_;
+   }
+
+   /** Permutation matrix (d_L_ -> d) */
+   virtual SmartPtr<const Matrix> Pd_L() const
+   {
+      return Pd_L_;
+   }
+
+   /** Original unscaled lower bounds on d
+    *
+    * Returns NULL if bounds are not relaxed.
+    * @since 3.14.10
+    */
+   virtual SmartPtr<const Vector> orig_d_L() const
+   {
+      return orig_d_L_;
+   }
+
+   /** Scaled upper bounds on d */
+   virtual SmartPtr<const Vector> d_U() const
+   {
+      return d_U_;
+   }
+
+   /** Permutation matrix (d_U_ -> d) */
+   virtual SmartPtr<const Matrix> Pd_U() const
+   {
+      return Pd_U_;
+   }
+
+   /** Original unscaled upper bounds on d
+    *
+    * Returns NULL if bounds are not relaxed.
+    * @since 3.14.10
+    */
+   virtual SmartPtr<const Vector> orig_d_U() const
+   {
+      return orig_d_U_;
+   }
+
+   virtual SmartPtr<const SymMatrixSpace> HessianMatrixSpace() const
+   {
+      return h_space_;
+   }
+
+   virtual SmartPtr<const VectorSpace> x_space() const
+   {
+      return x_space_;
+   }
+   ///@}
+
+   /** Accessor method for vector/matrix spaces pointers */
+   virtual void GetSpaces(
+      SmartPtr<const VectorSpace>& x_space,
+      SmartPtr<const VectorSpace>& c_space,
+      SmartPtr<const VectorSpace>& d_space,
+      SmartPtr<const VectorSpace>& x_l_space,
+      SmartPtr<const MatrixSpace>& px_l_space,
+      SmartPtr<const VectorSpace>& x_u_space,
+      SmartPtr<const MatrixSpace>& px_u_space,
+      SmartPtr<const VectorSpace>& d_l_space,
+      SmartPtr<const MatrixSpace>& pd_l_space,
+      SmartPtr<const VectorSpace>& d_u_space,
+      SmartPtr<const MatrixSpace>& pd_u_space,
+      SmartPtr<const MatrixSpace>& Jac_c_space,
+      SmartPtr<const MatrixSpace>& Jac_d_space,
+      SmartPtr<const SymMatrixSpace>& Hess_lagrangian_space
+   );
+
+   /** Method for adapting the variable bounds.  This is called if
+    *  slacks are becoming too small */
+   virtual void AdjustVariableBounds(
+      const Vector& new_x_L,
+      const Vector& new_x_U,
+      const Vector& new_d_L,
+      const Vector& new_d_U
+   );
+
+   /** @name Counters for the number of function evaluations. */
+   ///@{
+   virtual Index f_evals() const
+   {
+      return f_evals_;
+   }
+   virtual Index grad_f_evals() const
+   {
+      return grad_f_evals_;
+   }
+   virtual Index c_evals() const
+   {
+      return c_evals_;
+   }
+   virtual Index jac_c_evals() const
+   {
+      return jac_c_evals_;
+   }
+   virtual Index d_evals() const
+   {
+      return d_evals_;
+   }
+   virtual Index jac_d_evals() const
+   {
+      return jac_d_evals_;
+   }
+   virtual Index h_evals() const
+   {
+      return h_evals_;
+   }
+   ///@}
+
+   /** Solution Routines - overloaded from IpoptNLP */
+   ///@{
+   void FinalizeSolution(
+      SolverReturn               status,
+      const Vector&              x,
+      const Vector&              z_L,
+      const Vector&              z_U,
+      const Vector&              c,
+      const Vector&              d,
+      const Vector&              y_c,
+      const Vector&              y_d,
+      Number                     obj_value,
+      const IpoptData*           ip_data,
+      IpoptCalculatedQuantities* ip_cq
+   );
+
+   bool IntermediateCallBack(
+      AlgorithmMode                       mode,
+      Index                               iter,
+      Number                              obj_value,
+      Number                              inf_pr,
+      Number                              inf_du,
+      Number                              mu,
+      Number                              d_norm,
+      Number                              regularization_size,
+      Number                              alpha_du,
+      Number                              alpha_pr,
+      Index                               ls_trials,
+      SmartPtr<const IpoptData>           ip_data,
+      SmartPtr<IpoptCalculatedQuantities> ip_cq
+   );
+   ///@}
+
+   /** Called to register the options */
+   static void RegisterOptions(
+      SmartPtr<RegisteredOptions> roptions
+   );
+
+   /** Accessor method to the underlying NLP */
+   SmartPtr<NLP> nlp()
+   {
+      return nlp_;
+   }
+
+private:
+   /** Journalist */
+   SmartPtr<const Journalist> jnlst_;
+
+   /** Pointer to the NLP */
+   SmartPtr<NLP> nlp_;
+
+   /** Necessary Vector/Matrix spaces */
+   ///@{
+   SmartPtr<const VectorSpace> x_space_;
+   SmartPtr<const VectorSpace> c_space_;
+   SmartPtr<const VectorSpace> d_space_;
+   SmartPtr<const VectorSpace> x_l_space_;
+   SmartPtr<const MatrixSpace> px_l_space_;
+   SmartPtr<const VectorSpace> x_u_space_;
+   SmartPtr<const MatrixSpace> px_u_space_;
+   SmartPtr<const VectorSpace> d_l_space_;
+   SmartPtr<const MatrixSpace> pd_l_space_;
+   SmartPtr<const VectorSpace> d_u_space_;
+   SmartPtr<const MatrixSpace> pd_u_space_;
+   SmartPtr<const MatrixSpace> jac_c_space_;
+   SmartPtr<const MatrixSpace> jac_d_space_;
+   SmartPtr<const SymMatrixSpace> h_space_;
+
+   SmartPtr<const MatrixSpace> scaled_jac_c_space_;
+   SmartPtr<const MatrixSpace> scaled_jac_d_space_;
+   SmartPtr<const SymMatrixSpace> scaled_h_space_;
+   ///@}
+
+   /**@name Storage for Model Quantities */
+   ///@{
+   /** Objective function */
+   CachedResults<Number> f_cache_;
+
+   /** Gradient of the objective function */
+   CachedResults<SmartPtr<const Vector> > grad_f_cache_;
+
+   /** Equality constraint residuals */
+   CachedResults<SmartPtr<const Vector> > c_cache_;
+
+   /** Jacobian Matrix for equality constraints
+    *  (current iteration)
+    */
+   CachedResults<SmartPtr<const Matrix> > jac_c_cache_;
+
+   /** Inequality constraint residual (reformulated
+    *  as equalities with slacks
+    */
+   CachedResults<SmartPtr<const Vector> > d_cache_;
+
+   /** Jacobian Matrix for inequality constraints
+    *  (current iteration)
+    */
+   CachedResults<SmartPtr<const Matrix> > jac_d_cache_;
+
+   /** Hessian of the lagrangian
+    *  (current iteration)
+    */
+   CachedResults<SmartPtr<const SymMatrix> > h_cache_;
+
+   /** Unscaled version of x vector */
+   CachedResults<SmartPtr<const Vector> > unscaled_x_cache_;
+
+   /** Lower bounds on x */
+   SmartPtr<const Vector> x_L_;
+
+   /** Permutation matrix (x_L_ -> x) */
+   SmartPtr<const Matrix> Px_L_;
+
+   /** Upper bounds on x */
+   SmartPtr<const Vector> x_U_;
+
+   /** Permutation matrix (x_U_ -> x) */
+   SmartPtr<const Matrix> Px_U_;
+
+   /** Lower bounds on d */
+   SmartPtr<const Vector> d_L_;
+
+   /** Permutation matrix (d_L_ -> d) */
+   SmartPtr<const Matrix> Pd_L_;
+
+   /** Upper bounds on d */
+   SmartPtr<const Vector> d_U_;
+
+   /** Permutation matrix (d_U_ -> d) */
+   SmartPtr<const Matrix> Pd_U_;
+
+   /** Original unmodified lower bounds on x */
+   SmartPtr<const Vector> orig_x_L_;
+
+   /** Original unmodified upper bounds on x */
+   SmartPtr<const Vector> orig_x_U_;
+
+   /** Original unmodified lower bounds on d */
+   SmartPtr<const Vector> orig_d_L_;
+
+   /** Original unmodified upper bounds on d */
+   SmartPtr<const Vector> orig_d_U_;
+   ///@}
+
+   /**@name Default Compiler Generated Methods
+    * (Hidden to avoid implicit creation/calling).
+    *
+    * These methods are not implemented and
+    * we do not want the compiler to implement
+    * them for us, so we declare them private
+    * and do not define them. This ensures that
+    * they will not be implicitly created/called.
+    */
+   ///@{
+   /** Default Constructor */
+   OrigIpoptNLP();
+
+   /** Copy Constructor */
+   OrigIpoptNLP(
+      const OrigIpoptNLP&
+   );
+
+   /** Overloaded Assignment Operator */
+   void operator=(
+      const OrigIpoptNLP&
+   );
+   ///@}
+
+   /** @name auxiliary functions */
+   ///@{
+   /** relax the bounds by a relative move of relax_bound_factor.
+    *
+    *  Here, relax_bound_factor should be negative (or zero) for
+    *  lower bounds, and positive (or zero) for upper bounds.
+    */
+   void relax_bounds(
+      Number  bound_relax_factor,
+      Vector& bounds
+   );
+
+   /** Method for getting the unscaled version of the x vector */
+   SmartPtr<const Vector> get_unscaled_x(
+      const Vector& x
+   );
+   ///@}
+
+   /** @name Algorithmic parameters */
+   ///@{
+
+   /** relaxation factor for the bounds */
+   Number bound_relax_factor_;
+
+   /** constraint violation tolerance (from OptimalityErrorConvergenceCheck) */
+   Number constr_viol_tol_;
+
+   /** Flag indicating whether the primal variables should be
+    *  projected back into original bounds are optimization.
+    */
+   bool honor_original_bounds_;
+
+   /** Flag indicating whether the TNLP with identical structure has
+    *  already been solved before.
+    */
+   bool warm_start_same_structure_;
+
+   /** Flag indicating what Hessian information is to be used. */
+   HessianApproximationType hessian_approximation_;
+
+   /** Flag indicating in which space Hessian is to be approximated. */
+   HessianApproximationSpace hessian_approximation_space_;
+
+   /** Flag indicating whether it is desired to check if there are
+    *  Nan or Inf entries in first and second derivative matrices.
+    */
+   bool check_derivatives_for_naninf_;
+
+   /** Flag indicating if we need to ask for objective
+    *  Gradient only once
+    */
+   bool grad_f_constant_;
+
+   /** Flag indicating if we need to ask for equality constraint
+    *  Jacobians only once
+    */
+   bool jac_c_constant_;
+
+   /** Flag indicating if we need to ask for inequality constraint
+    *  Jacobians only once
+    */
+   bool jac_d_constant_;
+
+   /** Flag indicating if we need to ask for Hessian only once */
+   bool hessian_constant_;
+   ///@}
+
+   /** @name Counters for the function evaluations */
+   ///@{
+   Index f_evals_;
+   Index grad_f_evals_;
+   Index c_evals_;
+   Index jac_c_evals_;
+   Index d_evals_;
+   Index jac_d_evals_;
+   Index h_evals_;
+   ///@}
+
+   /** Flag indicating if initialization method has been called */
+   bool initialized_;
+
+   /**@name Timing statistics for the function evaluations. */
+   ///@{
+   TimingStatistics& timing_statistics_;
+   ///@}
+};
+
+} // namespace Ipopt
+
+#endif