Module optimization_engine::alm [−][src]
Expand description
Augmented Lagrangian and Penalty Methods
A module that contains structures and implementations that allow
to formulate parametric constrained nonconvex optimization problems
in the form specified in AlmProblem
Such problems can then be solved using AlmOptimizer, which combines the
augmented Lagrangian and the penalty method.
The user needs to create an AlmCache object, which can then be passed to
different instances of AlmOptimizer. An AlmCache allocates the necessary
memory that the optimizer needs.
Upon completion of its execution, AlmOptimizer returns information about
the iterative procedure, such as the solution time, number of iterations,
measures of accuracy and more, in the form of an AlmOptimizerStatus
When using AlmOptimizer, the user is expected to provide a modified cost
function, psi (see AlmOptimizer for details). This should not be a problem
for users that use Optimization Engine via its Python or MATLAB interfaces.
Should the user need to use Optimization Engine in Rust, she can construct
function psi using AlmFactory
Structs
Cache for AlmOptimizer (to be allocated once)
Prepares function $\psi$ and its gradient given the problem data: $f$, $\nabla{}f$, and optionally $F_1$, $JF_1$, $C$ and $F_2$
Implements the ALM/PM method
Solution statistics for AlmOptimizer
Definition of optimization problem to be solved with AlmOptimizer. The optimization
problem has the general form
Constants
No Jacobian mapping is specified for $F_1$ and $F_2$
No mapping $F_1(u)$ or $F_2(u)$ is specified
No set is specified (when specifying a set is optional)
Type Definitions
Type of the Jacobian of mappings $F_1$ and $F_2$
Type of mappings $F_1(u)$ and $F_2(u)$