ipopt-src 0.2.3+3.14.16

// 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 __IPADAPTIVEMUUPDATE_HPP__
#define __IPADAPTIVEMUUPDATE_HPP__

#include "IpMuUpdate.hpp"
#include "IpLineSearch.hpp"
#include "IpMuOracle.hpp"
#include "IpFilter.hpp"
#include "IpQualityFunctionMuOracle.hpp"

namespace Ipopt
{

/** Non-monotone mu update. */
class AdaptiveMuUpdate: public MuUpdate
{
public:
   /**@name Constructors/Destructors */
   ///@{
   /** Constructor */
   AdaptiveMuUpdate(
      const SmartPtr<LineSearch>& linesearch,
      const SmartPtr<MuOracle>&   free_mu_oracle,
      const SmartPtr<MuOracle>&   fix_mu_oracle = NULL
   );

   /** Destructor */
   virtual ~AdaptiveMuUpdate();
   ///@}

   /** Initialize method - overloaded from AlgorithmStrategyObject */
   virtual bool InitializeImpl(
      const OptionsList& options,
      const std::string& prefix
   );

   /** Method for determining the barrier parameter for the next
    *  iteration.  When the optimality error for the current barrier
    *  parameter is less than a tolerance, the barrier parameter is
    *  reduced, and the Reset method of the LineSearch object
    *  linesearch is called. */
   virtual bool UpdateBarrierParameter();

   /** Methods for IpoptType */
   ///@{
   static void RegisterOptions(
      SmartPtr<RegisteredOptions> roptions
   );
   ///@}

private:
   /**@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 */
   AdaptiveMuUpdate();

   /** Copy Constructor */
   AdaptiveMuUpdate(
      const AdaptiveMuUpdate&
   );

   /** Default Assignment Operator */
   void operator=(
      const AdaptiveMuUpdate&
   );
   ///@}

   /** @name Algorithmic parameters */
   ///@{
   Number mu_max_fact_;
   Number mu_max_;
   Number mu_min_;
   Number mu_target_;
   bool mu_min_default_;
   Number tau_min_;
   Number adaptive_mu_safeguard_factor_; //ToDo don't need that?
   Number adaptive_mu_monotone_init_factor_;
   Number barrier_tol_factor_;
   Number mu_linear_decrease_factor_;
   Number mu_superlinear_decrease_power_;
   QualityFunctionMuOracle::NormEnum adaptive_mu_kkt_norm_;
   QualityFunctionMuOracle::CentralityEnum adaptive_mu_kkt_centrality_;
   QualityFunctionMuOracle::BalancingTermEnum adaptive_mu_kkt_balancing_term_;
   /** enumeration for adaptive globalization */
   enum AdaptiveMuGlobalizationEnum
   {
      KKT_ERROR = 0,
      FILTER_OBJ_CONSTR,
      NEVER_MONOTONE_MODE
   };
   /** Flag indicating which globalization strategy should be used. */
   AdaptiveMuGlobalizationEnum adaptive_mu_globalization_;
   /** Maximal margin in filter */
   Number filter_max_margin_;
   /** Factor for filter margin */
   Number filter_margin_fact_;
   /** Unscaled tolerance for complementarity */
   Number compl_inf_tol_;
   ///@}

   /** @name Strategy objects */
   ///@{
   /** Line search object of the Ipopt algorithm.  */
   SmartPtr<LineSearch> linesearch_;
   /** Pointer to strategy object that is to be used for computing a
    *  suggested value of the barrier parameter in the free mu mode.
    */
   SmartPtr<MuOracle> free_mu_oracle_;
   /** Pointer to strategy object that is to be used for computing a
    *  suggested value for the fixed mu mode.
    *
    *  If NULL, the current average complementarity is used.
    */
   SmartPtr<MuOracle> fix_mu_oracle_;
   ///@}

   /** Dual infeasibility at initial point.
    *
    *  A negative value means
    *  that this quantity has not yet been initialized.
    */
   Number init_dual_inf_;
   /** Primal infeasibility at initial point.
    *
    *  A negative value means
    *  that this quantity has not yet been initialized.
    */
   Number init_primal_inf_;

   /** @name Methods and data defining the outer globalization
    *  strategy (might be a strategy object later).
    */
   ///@{
   void InitializeFixedMuGlobalization();
   /** Check whether the point in the "current" fields offers
    *  sufficient reduction in order to remain in or switch to the
    *  free mu mode.
    */
   bool CheckSufficientProgress();
   /** Include the current point in internal memory to as accepted point */
   void RememberCurrentPointAsAccepted();
   /** Compute the value of the fixed mu that should be used in a new
    *  fixed mu phase.
    *
    *  This method is called at the beginning of a new fixed mu phase.
    */
   Number NewFixedMu();
   /** Compute value for the fraction-to-the-boundary parameter given
    *  mu in the monotone phase
    */
   Number Compute_tau_monotone(
      Number mu
   );

   /** Method for computing the norm of the primal dual system at the
    *  current point.
    *
    *  For consistency, this is computed in the same
    *  way as the quality function is computed.  This is the
    *  quantities used in the nonmonontone KKT reduction
    *  globalization.
    */
   Number quality_function_pd_system();

   /** Method for computing a lower safeguard bound for the barrier
    *  parameter.
    *
    *  For now, this is related to primal and dual infeasibility.
    */
   Number lower_mu_safeguard();

   /** Computer the currently largest reference value. */
   Number max_ref_val();

   /** Computer the currently smallest reference value. */
   Number min_ref_val();

   /** Maximal number of reference values (algorithmic parameter) */
   Index num_refs_max_;
   /** Values of the currently stored reference values (norm of pd equations) */
   std::list<Number> refs_vals_;
   /** Factor requested to reduce the reference values */
   Number refs_red_fact_;

   /** Alternatively, we might also want to use a filter */
   Filter filter_;
   /** Flag indicating whether the most recent accepted step should
    *  be restored, when switching to the fixed mode.
    */
   bool restore_accepted_iterate_;
   ///@}

   /** Flag indicating whether the problem has any inequality constraints */
   bool no_bounds_;
   /** Flag indicating whether no_bounds_ has been initialized */
   bool check_if_no_bounds_;

   /** @name Most recent accepted point in free mode, from which
    *  fixed mode should be started.
    */
   ///@{
   SmartPtr<const IteratesVector> accepted_point_;
   ///@}

};

} // namespace Ipopt

#endif