ipopt-src 0.2.3+3.14.16

// Copyright (C) 2004, 2006 International Business Machines and others.
// All Rights Reserved.
// This code is published under the Eclipse Public License.
//
// Authors:  Andreas Waechter             IBM    2004-11-12

#ifndef __IPQUALITYFUNCTIONMUORACLE_HPP__
#define __IPQUALITYFUNCTIONMUORACLE_HPP__

#include "IpMuOracle.hpp"
#include "IpPDSystemSolver.hpp"
#include "IpIpoptCalculatedQuantities.hpp"

namespace Ipopt
{

/** Implementation of the probing strategy for computing the
 *  barrier parameter.
 */
class QualityFunctionMuOracle: public MuOracle
{
public:
   /**@name Constructors/Destructors */
   ///@{
   /** Constructor */
   QualityFunctionMuOracle(
      const SmartPtr<PDSystemSolver>& pd_solver
   );

   /** Destructor */
   virtual ~QualityFunctionMuOracle();

   ///@}

   virtual bool InitializeImpl(
      const OptionsList& options,
      const std::string& prefix
   );

   /** Method for computing the value of the barrier parameter that
    *  could be used in the current iteration (using the LOQO formula).
    */
   virtual bool CalculateMu(
      Number  mu_min,
      Number  mu_max,
      Number& new_mu
   );

   static void RegisterOptions(
      SmartPtr<RegisteredOptions> roptions
   );

   /** @name Public enums.
    *  Some of those are also used for the quality function.
    */
   ///@{
   /** enum for norm type */
   enum NormEnum
   {
      NM_NORM_1 = 0,
      NM_NORM_2_SQUARED,
      NM_NORM_MAX,
      NM_NORM_2
   };

   /** enum for centrality type */
   enum CentralityEnum
   {
      CEN_NONE = 0,
      CEN_LOG,
      CEN_RECIPROCAL,
      CEN_CUBED_RECIPROCAL
   };

   /** enum for the quality function balancing term type */
   enum BalancingTermEnum
   {
      BT_NONE = 0,
      BT_CUBIC
   };
   ///@}

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 */
   QualityFunctionMuOracle();

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

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

   /** Pointer to the object that should be used to solve the
    *  primal-dual system.
    */
   SmartPtr<PDSystemSolver> pd_solver_;

   /** Auxiliary function for computing the average complementarity
    *  at a point, given step sizes and step.
    */
   Number CalculateQualityFunction(
      Number        sigma,
      const Vector& step_aff_x_L,
      const Vector& step_aff_x_U,
      const Vector& step_aff_s_L,
      const Vector& step_aff_s_U,
      const Vector& step_aff_y_c,
      const Vector& step_aff_y_d,
      const Vector& step_aff_z_L,
      const Vector& step_aff_z_U,
      const Vector& step_aff_v_L,
      const Vector& step_aff_v_U,
      const Vector& step_cen_x_L,
      const Vector& step_cen_x_U,
      const Vector& step_cen_s_L,
      const Vector& step_cen_s_U,
      const Vector& step_cen_y_c,
      const Vector& step_cen_y_d,
      const Vector& step_cen_z_L,
      const Vector& step_cen_z_U,
      const Vector& step_cen_v_L,
      const Vector& step_cen_v_U
   );

   /** Auxiliary function performing the golden section */
   Number PerformGoldenSection(
      Number        sigma_up,
      Number        q_up,
      Number        sigma_lo,
      Number        q_lo,
      Number        sigma_tol,
      Number        qf_tol,
      const Vector& step_aff_x_L,
      const Vector& step_aff_x_U,
      const Vector& step_aff_s_L,
      const Vector& step_aff_s_U,
      const Vector& step_aff_y_c,
      const Vector& step_aff_y_d,
      const Vector& step_aff_z_L,
      const Vector& step_aff_z_U,
      const Vector& step_aff_v_L,
      const Vector& step_aff_v_U,
      const Vector& step_cen_x_L,
      const Vector& step_cen_x_U,
      const Vector& step_cen_s_L,
      const Vector& step_cen_s_U,
      const Vector& step_cen_y_c,
      const Vector& step_cen_y_d,
      const Vector& step_cen_z_L,
      const Vector& step_cen_z_U,
      const Vector& step_cen_v_L,
      const Vector& step_cen_v_U
   );

   /** Auxiliary functions for scaling the sigma axis in the golden
    *  section procedure
    */
   ///@{
   Number ScaleSigma(
      Number sigma
   );

   Number UnscaleSigma(
      Number scaled_sigma
   );
   ///@}

   /** Auxiliary function performing the golden section in the
    *  logarithmic scale
    */
   /* This doesn't seem to work well, so I took it out for now (AW)
    Number PerformGoldenSectionLog(Number sigma_up,
    Number sigma_lo,
    Number tol,
    const Vector& step_aff_x_L,
    const Vector& step_aff_x_U,
    const Vector& step_aff_s_L,
    const Vector& step_aff_s_U,
    const Vector& step_aff_y_c,
    const Vector& step_aff_y_d,
    const Vector& step_aff_z_L,
    const Vector& step_aff_z_U,
    const Vector& step_aff_v_L,
    const Vector& step_aff_v_U,
    const Vector& step_cen_x_L,
    const Vector& step_cen_x_U,
    const Vector& step_cen_s_L,
    const Vector& step_cen_s_U,
    const Vector& step_cen_y_c,
    const Vector& step_cen_y_d,
    const Vector& step_cen_z_L,
    const Vector& step_cen_z_U,
    const Vector& step_cen_v_L,
    const Vector& step_cen_v_U);
    */

   /** @name Algorithmic parameters */
   ///@{
   /** Upper bound on centering parameter sigma */
   Number sigma_max_;

   /** Lower bound on centering parameter sigma */
   Number sigma_min_;

   /** Norm to be used for the quality function. */
   NormEnum quality_function_norm_;

   /** Flag indicating how centrality should be involved in the
    *  quality function
    */
   CentralityEnum quality_function_centrality_;

   /** Flag indicating whether we use a balancing term in the quality
    *  function.
    */
   BalancingTermEnum quality_function_balancing_term_;

   /** Relative tolerance for golden bi-section algorithm in sigma
    *  space.
    */
   Number quality_function_section_sigma_tol_;

   /** Relative tolerance for golden bi-section algorithm in function
    *  value space.
    */
   Number quality_function_section_qf_tol_;

   /** Maximal number of bi-section steps in the golden section
    *  search for sigma.
    */
   Index quality_function_max_section_steps_;
   ///@}

   /** @name Temporary work space vectors.
    *
    *  We use those to avoid repeated reallocation in CalculateQualityFunction.
    */
   ///@{
   SmartPtr<Vector> tmp_step_x_L_;
   SmartPtr<Vector> tmp_step_x_U_;
   SmartPtr<Vector> tmp_step_s_L_;
   SmartPtr<Vector> tmp_step_s_U_;
   SmartPtr<Vector> tmp_step_z_L_;
   SmartPtr<Vector> tmp_step_z_U_;
   SmartPtr<Vector> tmp_step_v_L_;
   SmartPtr<Vector> tmp_step_v_U_;

   SmartPtr<Vector> tmp_slack_x_L_;
   SmartPtr<Vector> tmp_slack_x_U_;
   SmartPtr<Vector> tmp_slack_s_L_;
   SmartPtr<Vector> tmp_slack_s_U_;
   SmartPtr<Vector> tmp_z_L_;
   SmartPtr<Vector> tmp_z_U_;
   SmartPtr<Vector> tmp_v_L_;
   SmartPtr<Vector> tmp_v_U_;
   ///@}

   /* Counter for the qualify function evaluations */
   Index count_qf_evals_;

   /**@name Quantities used many times in CalculateQualityFunction,
    * which we store here instead of retrieving them from cache every time.
    *
    * I (AW) don't know if that really makes a difference, but
    * some of those things showed up in gprof.
    */
   ///@{
   bool initialized_;
   Index n_dual_;
   Index n_pri_;
   Index n_comp_;

   SmartPtr<const Vector> curr_slack_x_L_;
   SmartPtr<const Vector> curr_slack_x_U_;
   SmartPtr<const Vector> curr_slack_s_L_;
   SmartPtr<const Vector> curr_slack_s_U_;

   SmartPtr<const Vector> curr_z_L_;
   SmartPtr<const Vector> curr_z_U_;
   SmartPtr<const Vector> curr_v_L_;
   SmartPtr<const Vector> curr_v_U_;

   Number curr_grad_lag_x_asum_;
   Number curr_grad_lag_s_asum_;
   Number curr_c_asum_;
   Number curr_d_minus_s_asum_;

   Number curr_grad_lag_x_nrm2_;
   Number curr_grad_lag_s_nrm2_;
   Number curr_c_nrm2_;
   Number curr_d_minus_s_nrm2_;

   Number curr_grad_lag_x_amax_;
   Number curr_grad_lag_s_amax_;
   Number curr_c_amax_;
   Number curr_d_minus_s_amax_;
   ///@}
};

} // namespace Ipopt

#endif