This is the implemetation of the Primal-Dual System, using the full space approach with a direct linear solver. More...

#include <IpPDFullSpaceSolver.hpp>

Inheritance diagram for Ipopt::PDFullSpaceSolver:

Public Member Functions
bool	InitializeImpl (const OptionsList &options, const std::string &prefix)
	overloaded from AlgorithmStrategyObject More...

virtual bool	Solve (Number alpha, Number beta, const IteratesVector &rhs, IteratesVector &res, bool allow_inexact=false, bool improve_solution=false)
	Solve the primal dual system, given one right hand side. More...

/Destructor
	PDFullSpaceSolver (AugSystemSolver &augSysSolver, PDPerturbationHandler &perturbHandler)
	Constructor that takes in the Augmented System solver that is to be used inside. More...

virtual	~PDFullSpaceSolver ()
	Default destructor. More...

Public Member Functions inherited from Ipopt::PDSystemSolver
	PDSystemSolver ()
	Default Constructor. More...

virtual	~PDSystemSolver ()
	Default destructor. More...

Public Member Functions inherited from Ipopt::AlgorithmStrategyObject
bool	Initialize (const Journalist &jnlst, IpoptNLP &ip_nlp, IpoptData &ip_data, IpoptCalculatedQuantities &ip_cq, const OptionsList &options, const std::string &prefix)
	This method is called every time the algorithm starts again - it is used to reset any internal state. More...

bool	ReducedInitialize (const Journalist &jnlst, const OptionsList &options, const std::string &prefix)
	Reduced version of the Initialize method, which does not require special Ipopt information. More...

	AlgorithmStrategyObject ()
	Default Constructor. More...

virtual	~AlgorithmStrategyObject ()
	Default Destructor. More...

Public Member Functions inherited from Ipopt::ReferencedObject
	ReferencedObject ()

virtual	~ReferencedObject ()

Index	ReferenceCount () const

void	AddRef (const Referencer *referencer) const

void	ReleaseRef (const Referencer *referencer) const

Static Public Member Functions

static void	RegisterOptions (SmartPtr< RegisteredOptions > roptions)
	Methods for IpoptType. More...

Private Member Functions
bool	SolveOnce (bool resolve_unmodified, bool pretend_singular, const SymMatrix &W, const Matrix &J_c, const Matrix &J_d, const Matrix &Px_L, const Matrix &Px_U, const Matrix &Pd_L, const Matrix &Pd_U, const Vector &z_L, const Vector &z_U, const Vector &v_L, const Vector &v_U, const Vector &slack_x_L, const Vector &slack_x_U, const Vector &slack_s_L, const Vector &slack_s_U, const Vector &sigma_x, const Vector &sigma_s, Number alpha, Number beta, const IteratesVector &rhs, IteratesVector &res)
	Internal function for a single backsolve (which will be used for iterative refinement on the outside). More...

void	ComputeResiduals (const SymMatrix &W, const Matrix &J_c, const Matrix &J_d, const Matrix &Px_L, const Matrix &Px_U, const Matrix &Pd_L, const Matrix &Pd_U, const Vector &z_L, const Vector &z_U, const Vector &v_L, const Vector &v_U, const Vector &slack_x_L, const Vector &slack_x_U, const Vector &slack_s_L, const Vector &slack_s_U, const Vector &sigma_x, const Vector &sigma_s, Number alpha, Number beta, const IteratesVector &rhs, const IteratesVector &res, IteratesVector &resid)
	Internal function for computing the residual (resid) given the right hand side (rhs) and the solution of the system (res). More...

Number	ComputeResidualRatio (const IteratesVector &rhs, const IteratesVector &res, const IteratesVector &resid)
	Internal function for computing the ratio of the residual compared to the right hand side and solution. More...

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.
	PDFullSpaceSolver ()
	Default Constructor. More...

PDFullSpaceSolver &	operator= (const PDFullSpaceSolver &)
	Overloaded Equals Operator. More...

Auxilliary functions
void	SinvBlrmZPTdBr (Number alpha, const Vector &S, const Vector &R, const Vector &Z, const Matrix &P, const Vector &g, Vector &X)
	Compute $x = S^{-1}(r + \alpha Z P^T d)$ . More...

Private Attributes
Strategy objects to hold on to.
SmartPtr< AugSystemSolver >	augSysSolver_
	Pointer to the Solver for the augmented system. More...

SmartPtr< PDPerturbationHandler >	perturbHandler_
	Pointer to the Perturbation Handler. More...

Data about the correction made to the system
CachedResults< void * >	dummy_cache_
	A dummy cache to figure out if the deltas are still up to date. More...

bool	augsys_improved_
	Flag indicating if for the current matrix the solution quality of the augmented system solver has already been increased. More...

Parameters
Index	min_refinement_steps_
	Minimal number of iterative refinement performed per backsolve. More...

Index	max_refinement_steps_
	Maximal number of iterative refinement performed per backsolve. More...

Number	residual_ratio_max_
	Maximal allowed ratio of the norm of the residual over the norm of the right hand side and solution. More...

Number	residual_ratio_singular_
	If the residual_ratio is larger than this value after trying to improve the solution, the linear system is assumed to be singular and modified. More...

Number	residual_improvement_factor_
	Factor defining require improvement to consider iterative refinement successful. More...

Number	neg_curv_test_tol_
	Tolernace for heuristic to ignore wrong inertia. More...

bool	neg_curv_test_reg_
	Do curvature test with primal regularization. More...

Additional Inherited Members
Protected Member Functions inherited from Ipopt::AlgorithmStrategyObject
const Journalist &	Jnlst () const

IpoptNLP &	IpNLP () const

IpoptData &	IpData () const

IpoptCalculatedQuantities &	IpCq () const

bool	HaveIpData () const

Detailed Description

This is the implemetation of the Primal-Dual System, using the full space approach with a direct linear solver.

A note on the iterative refinement: We perform at least min_refinement_steps number of iterative refinement steps. If after one iterative refinement the quality of the solution (defined in ResidualRatio) does not improve or the maximal number of iterative refinement steps is exceeded before the tolerance residual_ratio_max_ is satisfied, we first ask the linear solver to solve the system more accurately (e.g. by increasing the pivot tolerance). If that doesn't help or is not possible, we treat the system, as if it is singular (i.e. increase delta's).

Definition at line 32 of file IpPDFullSpaceSolver.hpp.

Constructor & Destructor Documentation

Ipopt::PDFullSpaceSolver::PDFullSpaceSolver	(	AugSystemSolver &	augSysSolver,
		PDPerturbationHandler &	perturbHandler
	)

Constructor that takes in the Augmented System solver that is to be used inside.

virtual Ipopt::PDFullSpaceSolver::~PDFullSpaceSolver ( )

virtual

Default destructor.

Ipopt::PDFullSpaceSolver::PDFullSpaceSolver ( )

private

Default Constructor.

Member Function Documentation

bool Ipopt::PDFullSpaceSolver::InitializeImpl	(	const OptionsList &	options,
		const std::string &	prefix
	)

virtual

overloaded from AlgorithmStrategyObject

Implements Ipopt::PDSystemSolver.

virtual bool Ipopt::PDFullSpaceSolver::Solve	(	Number	alpha,
		Number	beta,
		const IteratesVector &	rhs,
		IteratesVector &	res,
		bool	allow_inexact = `false`,
		bool	improve_solution = `false`
	)

virtual

Solve the primal dual system, given one right hand side.

Implements Ipopt::PDSystemSolver.

static void Ipopt::PDFullSpaceSolver::RegisterOptions ( SmartPtr< RegisteredOptions > roptions )

static

Methods for IpoptType.

PDFullSpaceSolver& Ipopt::PDFullSpaceSolver::operator= ( const PDFullSpaceSolver & )

private

Overloaded Equals Operator.

bool Ipopt::PDFullSpaceSolver::SolveOnce	(	bool	resolve_unmodified,
		bool	pretend_singular,
		const SymMatrix &	W,
		const Matrix &	J_c,
		const Matrix &	J_d,
		const Matrix &	Px_L,
		const Matrix &	Px_U,
		const Matrix &	Pd_L,
		const Matrix &	Pd_U,
		const Vector &	z_L,
		const Vector &	z_U,
		const Vector &	v_L,
		const Vector &	v_U,
		const Vector &	slack_x_L,
		const Vector &	slack_x_U,
		const Vector &	slack_s_L,
		const Vector &	slack_s_U,
		const Vector &	sigma_x,
		const Vector &	sigma_s,
		Number	alpha,
		Number	beta,
		const IteratesVector &	rhs,
		IteratesVector &	res
	)

private

Internal function for a single backsolve (which will be used for iterative refinement on the outside).

This method returns false, if for some reason the linear system could not be solved (e.g. when the regularization parameter becomes too large.)

void Ipopt::PDFullSpaceSolver::ComputeResiduals	(	const SymMatrix &	W,
		const Matrix &	J_c,
		const Matrix &	J_d,
		const Matrix &	Px_L,
		const Matrix &	Px_U,
		const Matrix &	Pd_L,
		const Matrix &	Pd_U,
		const Vector &	z_L,
		const Vector &	z_U,
		const Vector &	v_L,
		const Vector &	v_U,
		const Vector &	slack_x_L,
		const Vector &	slack_x_U,
		const Vector &	slack_s_L,
		const Vector &	slack_s_U,
		const Vector &	sigma_x,
		const Vector &	sigma_s,
		Number	alpha,
		Number	beta,
		const IteratesVector &	rhs,
		const IteratesVector &	res,
		IteratesVector &	resid
	)

private

Internal function for computing the residual (resid) given the right hand side (rhs) and the solution of the system (res).

Number Ipopt::PDFullSpaceSolver::ComputeResidualRatio	(	const IteratesVector &	rhs,
		const IteratesVector &	res,
		const IteratesVector &	resid
	)

private

Internal function for computing the ratio of the residual compared to the right hand side and solution.

The smaller this value, the better the solution.

void Ipopt::PDFullSpaceSolver::SinvBlrmZPTdBr	(	Number	alpha,
		const Vector &	S,
		const Vector &	R,
		const Vector &	Z,
		const Matrix &	P,
		const Vector &	g,
		Vector &	X
	)

private

Compute $x = S^{-1}(r + \alpha Z P^T d)$ .

Member Data Documentation

SmartPtr<AugSystemSolver> Ipopt::PDFullSpaceSolver::augSysSolver_

private

Pointer to the Solver for the augmented system.

Definition at line 83 of file IpPDFullSpaceSolver.hpp.

SmartPtr<PDPerturbationHandler> Ipopt::PDFullSpaceSolver::perturbHandler_

private

Pointer to the Perturbation Handler.

Definition at line 85 of file IpPDFullSpaceSolver.hpp.

CachedResults<void*> Ipopt::PDFullSpaceSolver::dummy_cache_

private

A dummy cache to figure out if the deltas are still up to date.

Definition at line 91 of file IpPDFullSpaceSolver.hpp.

bool Ipopt::PDFullSpaceSolver::augsys_improved_

private

Flag indicating if for the current matrix the solution quality of the augmented system solver has already been increased.

Definition at line 94 of file IpPDFullSpaceSolver.hpp.

Index Ipopt::PDFullSpaceSolver::min_refinement_steps_

private

Minimal number of iterative refinement performed per backsolve.

Definition at line 100 of file IpPDFullSpaceSolver.hpp.

Index Ipopt::PDFullSpaceSolver::max_refinement_steps_

private

Maximal number of iterative refinement performed per backsolve.

Definition at line 102 of file IpPDFullSpaceSolver.hpp.

Number Ipopt::PDFullSpaceSolver::residual_ratio_max_

private

Maximal allowed ratio of the norm of the residual over the norm of the right hand side and solution.

Definition at line 105 of file IpPDFullSpaceSolver.hpp.

Number Ipopt::PDFullSpaceSolver::residual_ratio_singular_

private

If the residual_ratio is larger than this value after trying to improve the solution, the linear system is assumed to be singular and modified.

Definition at line 109 of file IpPDFullSpaceSolver.hpp.

Number Ipopt::PDFullSpaceSolver::residual_improvement_factor_

private

Factor defining require improvement to consider iterative refinement successful.

Definition at line 112 of file IpPDFullSpaceSolver.hpp.

Number Ipopt::PDFullSpaceSolver::neg_curv_test_tol_

private

Tolernace for heuristic to ignore wrong inertia.

Definition at line 114 of file IpPDFullSpaceSolver.hpp.

bool Ipopt::PDFullSpaceSolver::neg_curv_test_reg_

private

Do curvature test with primal regularization.

Definition at line 116 of file IpPDFullSpaceSolver.hpp.

The documentation for this class was generated from the following file:

src/Algorithm/IpPDFullSpaceSolver.hpp

Public Member Functions

Static Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation