ipopt-src 0.2.3+3.14.16

// Copyright (C) 2005, 2008 International Business Machines and others.
// All Rights Reserved.
// This code is published under the Eclipse Public License.
//
// Authors:  Andreas Waechter                 IBM    2005-10-13

#ifndef __IPCGPENALTYLSACCEPTOR_HPP__
#define __IPCGPENALTYLSACCEPTOR_HPP__

#include "IpPiecewisePenalty.hpp"
#include "IpBacktrackingLSAcceptor.hpp"
#include "IpPDSystemSolver.hpp"
#include "IpIpoptAlg.hpp"
#include "IpCGPenaltyCq.hpp"

namespace Ipopt
{

/** Line search acceptor, based on the Chen-Goldfarb penalty
 *  function approach. */
class CGPenaltyLSAcceptor: public BacktrackingLSAcceptor
{
public:
   /**@name Constructors/Destructors */
   ///@{
   /** Constructor.
    *
    *  The PDSystemSolver object only needs to be
    *  provided (i.e. not NULL) if second order correction or
    *  corrector steps are to be used.
    */
   CGPenaltyLSAcceptor(
      const SmartPtr<PDSystemSolver>& pd_solver
   );

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

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

   /** Reset the acceptor.
    *
    *  This function should be called if all previous information
    *  should be discarded when the line search is performed the
    *  next time.  For example, this method should be called if
    *  the barrier parameter is changed.
    */
   virtual void Reset();

   /** Initialization for the next line search.
    *
    *  The flag in_watchdog indicates if we are currently
    *  in an active watchdog procedure.
    */
   virtual void InitThisLineSearch(
      bool in_watchdog
   );

   /** Method that is called before the restoration phase is called.
    *
    *  Here, we can set up things that are required in the
    *  termination test for the restoration phase.
    */
   virtual void PrepareRestoPhaseStart();

   /** Method returning the lower bound on the trial step sizes.
    *
    *  If the backtracking procedure encounters a trial step size below
    *  this value after the first trial set, it swtiches to the
    *  (soft) restoration phase.
    */
   virtual Number CalculateAlphaMin();

   /** Method for checking if current trial point is acceptable.
    *
    *  It is assumed that the delta information in ip_data is the
    *  search direction used in criteria.  The primal trial point has
    *  to be set before the call.
    */
   virtual bool CheckAcceptabilityOfTrialPoint(
      Number alpha_primal
   );

   /** Try a second order correction for the constraints.
    *
    *  If the
    *  first trial step (with incoming alpha_primal) has been reject,
    *  this tries up to max_soc_ second order corrections for the
    *  constraints.  Here, alpha_primal_test is the step size that
    *  has to be used in the merit function acceptance tests.  On
    *  output actual_delta_ has been set to the step including the
    *  second order correction if it has been accepted, otherwise it
    *  is unchanged.  If the SOC step has been accepted, alpha_primal
    *  has the fraction-to-the-boundary value for the SOC step on
    *  output.  The return value is true, if a SOC step has been
    *  accepted.
    */
   virtual bool TrySecondOrderCorrection(
      Number                    alpha_primal_test,
      Number&                   alpha_primal,
      SmartPtr<IteratesVector>& actual_delta
   );

   /** Try higher order corrector (for fast local convergence).
    *
    *  In contrast to a second order correction step, which tries to
    *  make an unacceptable point acceptable by improving constraint
    *  violation, this corrector step is tried even if the regular
    *  primal-dual step is acceptable.
    */
   virtual bool TryCorrector(
      Number                    alpha_primal_test,
      Number&                   alpha_primal,
      SmartPtr<IteratesVector>& actual_delta
   );

   /** Method for ending the current line search.
    *
    *  When it is called,
    *  the internal data should be updates, e.g., the penalty
    *  parameter might be updated.  alpha_primal_test is the value of
    *  alpha that has been used for in the acceptance test earlier.
    */
   virtual char UpdateForNextIteration(
      Number alpha_primal_test
   );

   /** Method for setting internal data if the watchdog procedure is started. */
   virtual void StartWatchDog();

   /** Method for setting internal data if the watchdog procedure is stopped. */
   virtual void StopWatchDog();

   /** Method for telling the BacktrackingLineSearch object that
    *  a previous iterate has been restored.
    */
   virtual bool RestoredIterate();

   /** Method for telling the BacktrackingLineSearch object that the restoration
    * is not needed
    */
   virtual bool NeverRestorationPhase();

   /** Method for doing a fallback approach in case no search
    *  direction could be computed.
    *
    *  @return false, if no such fall back option is available
    */
   virtual bool DoFallback();

   /** Methods for OptionsList */
   ///@{
   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.
    */
   ///@{
   /** Copy Constructor */
   CGPenaltyLSAcceptor(
      const CGPenaltyLSAcceptor&
   );

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

   /** Method to easily access CGPenalty data */
   CGPenaltyData& CGPenData()
   {
      CGPenaltyData& cg_pen_data = static_cast<CGPenaltyData&>(IpData().AdditionalData());
      DBG_ASSERT(dynamic_cast<CGPenaltyData*>(&IpData().AdditionalData()));
      return cg_pen_data;
   }

   /** Method to easily access CGPenalty calculated quantities */
   CGPenaltyCq& CGPenCq()
   {
      CGPenaltyCq& cg_pen_cq = static_cast<CGPenaltyCq&>(IpCq().AdditionalCq());
      DBG_ASSERT(dynamic_cast<CGPenaltyCq*>(&IpCq().AdditionalCq()));
      return cg_pen_cq;
   }

   /** Check if the trial point is acceptable to the piecewise penalty list */
   bool IsAcceptableToPiecewisePenalty(
      Number alpha_primal_test
   );

   /** Check if the trial point is acceptable by the Armijo condition */
   bool ArmijoHolds(
      Number alpha_primal_test
   );

   /** Check comparison "lhs <= rhs", using machine precision based on BasVal */
   // ToDo This should probably not be a static member function if we want to allow for different relaxation parameters values
   static bool Compare_le(
      Number lhs,
      Number rhs,
      Number BasVal
   );

   bool CurrentIsBest();
   void StoreBestPoint();
   bool RestoreBestPoint();
   bool MultipliersDiverged();
   char UpdatePenaltyParameter();

   /** @name Parameters for the penalty function algorithm. */
   ///@{
   /** Relaxation factor in the Armijo condition for the penalty function */
   Number eta_penalty_;
   /** Tolerance for infeasibility part in penalty parameter update
    *  rule. */
   Number penalty_update_infeasibility_tol_;
   /** Minimal tolerance for step part in penalty parameter update
    *  rule. */
   Number eta_min_;
   /** Tolerance for complementarity part in penalty parameter update
    *  rule. */
   Number penalty_update_compl_tol_;
   Number chi_hat_;
   Number chi_tilde_;
   Number chi_cup_;
   Number gamma_hat_;
   Number gamma_tilde_;
   Number penalty_max_;
   Number epsilon_c_;
   /** Parameters for piecewise penalty acceptor */
   Number piecewisepenalty_gamma_obj_;
   Number piecewisepenalty_gamma_infeasi_;
   ///@{
   /** Upper bound on infeasibility */
   Number pen_theta_max_;
   Number pen_theta_max_fact_;
   ///@}
   // Number used to indicate that mu has been decreased
   Number pen_curr_mu_;

   /** Parameters deciding when the piecewise penalty acceptor shall be closed */
   Number theta_min_;

   /** Flag indicating whether the trial point is accepted by the Armijo
    *  condition or the PLPF condition
    */
   bool accepted_by_Armijo_;

   /** Minimal step size that triggers non-monotone method */
   Number min_alpha_primal_;

   ///@{
   /** Initial constraint violation */
   Number reference_theta_;
   ///@}
   /** Maximal number of second order correction steps */
   Index max_soc_;
   /** Required reduction in constraint violation before trying
    *  multiple second order correction steps \f$ \kappa_{soc}\f$.
    */
   Number kappa_soc_;
   ///@}
   /** Counter for increases of penalty parameter. */
   Index counter_first_type_penalty_updates_;
   Index counter_second_type_penalty_updates_;
   /** eta parameter */
   Number curr_eta_;

   /** counter for cut backs in the line search*/
   Index ls_counter_;
   /** Record the lease KKT error found so far */
   Number best_KKT_error_;
   /** Store the iterate with best KKT error found so far */
   SmartPtr<const IteratesVector> best_iterate_;
   /** Check if the multpliers are diverging*/
   Number mult_diverg_feasibility_tol_;
   Number mult_diverg_y_tol_;

   /** @name Information related to watchdog procedure */
   ///@{
   /** Penalty function at the point with respect to which
    *  progress is to be made */
   Number reference_penalty_function_;
   /** Directional derivative of penalty function at the point with
    *  respect to which progress is to be made */
   Number reference_direct_deriv_penalty_function_;
   Number reference_curr_direct_f_nrm_;
   /** Penalty function at the point with respect to which
    *  progress is to be made (at watchdog point) */
   Number watchdog_penalty_function_;
   /** Directional derivative of penalty function at the point with
    *  respect to which progress is to be made (at watchdog point) */
   Number watchdog_direct_deriv_penalty_function_;
   /** Backup for the Chen-Goldfarb search direction (needed in the
    *  update rule for the penalty parameter */
   SmartPtr<const IteratesVector> watchdog_delta_cgpen_;
   ///@}
   /** Flag for whether or not use piecewise penalty line search */
   bool never_use_piecewise_penalty_ls_;
   /** piecewise penalty list */
   PiecewisePenalty PiecewisePenalty_;
   /** Flag indicating whether PiecewisePenalty has to be initialized */
   bool reset_piecewise_penalty_;

   Index jump_for_tiny_step_;

   /** @name Strategy objective that are used */
   ///@{
   SmartPtr<PDSystemSolver> pd_solver_;
   ///@}
};

} // namespace Ipopt

#endif