Penalty function line search. More...

#include <IpPenaltyLSAcceptor.hpp>

Inheritance diagram for Ipopt::PenaltyLSAcceptor:

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

virtual void	Reset ()
	Reset the acceptor. More...

virtual void	InitThisLineSearch (bool in_watchdog)
	Initialization for the next line search. More...

virtual void	PrepareRestoPhaseStart ()
	Method that is called before the restoration phase is called. More...

virtual Number	CalculateAlphaMin ()
	Method returning the lower bound on the trial step sizes. More...

virtual bool	CheckAcceptabilityOfTrialPoint (Number alpha_primal)
	Method for checking if current trial point is acceptable. More...

virtual bool	TrySecondOrderCorrection (Number alpha_primal_test, Number &alpha_primal, SmartPtr< IteratesVector > &actual_delta)
	Try a second order correction for the constraints. More...

virtual bool	TryCorrector (Number alpha_primal_test, Number &alpha_primal, SmartPtr< IteratesVector > &actual_delta)
	Try higher order corrector (for fast local convergence). More...

virtual char	UpdateForNextIteration (Number alpha_primal_test)
	Method for ending the current line search. More...

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

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

Constructors/Destructors
	PenaltyLSAcceptor (const SmartPtr< PDSystemSolver > &pd_solver)
	Constructor. More...

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

Trial Point Accepting Methods. Used internally to check certain
acceptability criteria and used externally (by the restoration phase convergence check object, for instance)
bool	IsAcceptableToCurrentIterate (Number trial_barr, Number trial_theta, bool called_from_restoration=false) const
	Checks if a trial point is acceptable to the current iterate. More...

Public Member Functions inherited from Ipopt::BacktrackingLSAcceptor
virtual bool	RestoredIterate ()
	Method for telling the BacktrackingLineSearch object that a previous iterate has been restored. More...

virtual bool	NeverRestorationPhase ()
	Method called by BacktrackingLineSearch object to determine whether the restoration phase should never be called. More...

virtual bool	DoFallback ()
	Method for doing a fallback approach in case no search direction could be computed. More...

virtual Number	ComputeAlphaForY (Number alpha_primal, Number alpha_dual, SmartPtr< IteratesVector > &delta)
	Method for computing the step for the constraint multipliers in the line search acceptor method. More...

virtual bool	HasComputeAlphaForY () const
	Method returning true of ComputeAlphaForY is implemented for this acceptor. More...

	BacktrackingLSAcceptor ()
	Constructor. More...

virtual	~BacktrackingLSAcceptor ()
	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 OptionsList. More...

Static Public Member Functions inherited from Ipopt::BacktrackingLSAcceptor
static void	RegisterOptions (SmartPtr< RegisteredOptions > roptions)
	Methods for OptionsList. More...

Private Member Functions
Number	CalcPred (Number alpha)
	Compute predicted reduction for given step size. 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.
	PenaltyLSAcceptor (const PenaltyLSAcceptor &)
	Copy Constructor. More...

void	operator= (const PenaltyLSAcceptor &)
	Overloaded Equals Operator. More...

Private Attributes
Number	resto_pred_
	When called from the restoration phase, this is the required predicted reduction. More...

Parameters for the penalty function line search
algorithm. Names as in the filter paper
Number	nu_init_
	Initial value of penalty parameter. More...

Number	nu_inc_
	Incrememt for penalty parameter. More...

Number	eta_
	$\eta_{\varphi}$ More...

Number	rho_
	$\rho$ More...

Index	max_soc_
	Maximal number of second order correction steps. More...

Number	kappa_soc_
	Required reduction in constraint violation before trying multiple second order correction steps $\kappa_{soc}$ . More...

Index	soc_method_
	Second method correction method. More...

Information related to watchdog procedure
Number	reference_theta_
	Constraint violation at the point with respect to which progress is to be made. More...

Number	reference_barr_
	Barrier objective function at the point with respect to which progress is to be made. More...

Number	reference_gradBarrTDelta_
	Barrier gradient transpose search direction at the point with respect to which progress is to be made. More...

Number	reference_dWd_
	Two-sided product of search direction with complete Hessian. More...

SmartPtr< const Vector >	reference_JacC_delta_
	Product of Jacobian of equality constraint with x direction. More...

SmartPtr< const Vector >	reference_JacD_delta_
	Product of Jacobian of (d-s) constraint with search direction. More...

Number	reference_pred_
	Reference predicted reduction. More...

Number	watchdog_theta_
	Constraint violation at reference point. More...

Number	watchdog_barr_
	Barrier objective function at reference point. More...

Number	watchdog_pred_
	Predicted reduction to be compared with in watch dog. More...

Penalty parameter
Number	nu_
	Current value of the penalty parameter. More...

Number	last_nu_
	Value of penalty parameter at beginning of the iteration. More...

Strategy objective that are used
SmartPtr< PDSystemSolver >	pd_solver_

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

Penalty function line search.

This class implements the penalty function line search procedure as proposed by Waltz, Morales, Nocedal, Orban.

Definition at line 23 of file IpPenaltyLSAcceptor.hpp.

Constructor & Destructor Documentation

Ipopt::PenaltyLSAcceptor::PenaltyLSAcceptor ( const SmartPtr< PDSystemSolver > & pd_solver )

Constructor.

The PDSystemSolver object only needs to be provided (i.e. not NULL) if second order correction or corrector steps are to be used.

virtual Ipopt::PenaltyLSAcceptor::~PenaltyLSAcceptor ( )

virtual

Default destructor.

Ipopt::PenaltyLSAcceptor::PenaltyLSAcceptor ( const PenaltyLSAcceptor & )

private

Copy Constructor.

Member Function Documentation

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

virtual

InitializeImpl - overloaded from AlgorithmStrategyObject.

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::PenaltyLSAcceptor::Reset ( )

virtual

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.

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::PenaltyLSAcceptor::InitThisLineSearch ( bool in_watchdog )

virtual

Initialization for the next line search.

The flag in_watchdog indicates if we are currently in an active watchdog procedure.

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::PenaltyLSAcceptor::PrepareRestoPhaseStart ( )

virtual

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.

Implements Ipopt::BacktrackingLSAcceptor.

virtual Number Ipopt::PenaltyLSAcceptor::CalculateAlphaMin ( )

virtual

Method returning the lower bound on the trial step sizes.

Implements Ipopt::BacktrackingLSAcceptor.

virtual bool Ipopt::PenaltyLSAcceptor::CheckAcceptabilityOfTrialPoint ( Number alpha_primal )

virtual

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.

Implements Ipopt::BacktrackingLSAcceptor.

virtual bool Ipopt::PenaltyLSAcceptor::TrySecondOrderCorrection	(	Number	alpha_primal_test,
		Number &	alpha_primal,
		SmartPtr< IteratesVector > &	actual_delta
	)

virtual

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 penalty 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.

Implements Ipopt::BacktrackingLSAcceptor.

virtual bool Ipopt::PenaltyLSAcceptor::TryCorrector	(	Number	alpha_primal_test,
		Number &	alpha_primal,
		SmartPtr< IteratesVector > &	actual_delta
	)

virtual

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.

Implements Ipopt::BacktrackingLSAcceptor.

virtual char Ipopt::PenaltyLSAcceptor::UpdateForNextIteration ( Number alpha_primal_test )

virtual

Method for ending the current line search.

When it is called, the internal data should be updates. alpha_primal_test is the value of alpha that has been used for in the acceptence test ealier.

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::PenaltyLSAcceptor::StartWatchDog ( )

virtual

Method for setting internal data if the watchdog procedure is started.

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::PenaltyLSAcceptor::StopWatchDog ( )

virtual

Method for setting internal data if the watchdog procedure is stopped.

Implements Ipopt::BacktrackingLSAcceptor.

bool Ipopt::PenaltyLSAcceptor::IsAcceptableToCurrentIterate	(	Number	trial_barr,
		Number	trial_theta,
		bool	called_from_restoration = `false`
	)		const

Checks if a trial point is acceptable to the current iterate.

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

static

Methods for OptionsList.

void Ipopt::PenaltyLSAcceptor::operator= ( const PenaltyLSAcceptor & )

private

Overloaded Equals Operator.

Number Ipopt::PenaltyLSAcceptor::CalcPred ( Number alpha )

private

Compute predicted reduction for given step size.

Member Data Documentation

Number Ipopt::PenaltyLSAcceptor::nu_init_

private

Initial value of penalty parameter.

Definition at line 147 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::nu_inc_

private

Incrememt for penalty parameter.

Definition at line 149 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::eta_

private

$\eta_{\varphi}$

Definition at line 151 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::rho_

private

$\rho$

Definition at line 153 of file IpPenaltyLSAcceptor.hpp.

Index Ipopt::PenaltyLSAcceptor::max_soc_

private

Maximal number of second order correction steps.

Definition at line 155 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::kappa_soc_

private

Required reduction in constraint violation before trying multiple second order correction steps $\kappa_{soc}$ .

Definition at line 159 of file IpPenaltyLSAcceptor.hpp.

Index Ipopt::PenaltyLSAcceptor::soc_method_

private

Second method correction method.

Definition at line 161 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::reference_theta_

private

Constraint violation at the point with respect to which progress is to be made.

Definition at line 168 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::reference_barr_

private

Barrier objective function at the point with respect to which progress is to be made.

Definition at line 171 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::reference_gradBarrTDelta_

private

Barrier gradient transpose search direction at the point with respect to which progress is to be made.

Definition at line 174 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::reference_dWd_

private

Two-sided product of search direction with complete Hessian.

Definition at line 176 of file IpPenaltyLSAcceptor.hpp.

SmartPtr<const Vector> Ipopt::PenaltyLSAcceptor::reference_JacC_delta_

private

Product of Jacobian of equality constraint with x direction.

Definition at line 178 of file IpPenaltyLSAcceptor.hpp.

SmartPtr<const Vector> Ipopt::PenaltyLSAcceptor::reference_JacD_delta_

private

Product of Jacobian of (d-s) constraint with search direction.

Definition at line 180 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::reference_pred_

private

Reference predicted reduction.

If positive, then it is used in watch dog.

Definition at line 183 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::watchdog_theta_

private

Constraint violation at reference point.

Definition at line 185 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::watchdog_barr_

private

Barrier objective function at reference point.

Definition at line 187 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::watchdog_pred_

private

Predicted reduction to be compared with in watch dog.

Definition at line 189 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::nu_

private

Current value of the penalty parameter.

Definition at line 195 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::last_nu_

private

Value of penalty parameter at beginning of the iteration.

Definition at line 197 of file IpPenaltyLSAcceptor.hpp.

Number Ipopt::PenaltyLSAcceptor::resto_pred_

private

When called from the restoration phase, this is the required predicted reduction.

Definition at line 202 of file IpPenaltyLSAcceptor.hpp.

SmartPtr<PDSystemSolver> Ipopt::PenaltyLSAcceptor::pd_solver_

private

Definition at line 206 of file IpPenaltyLSAcceptor.hpp.

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

src/Algorithm/IpPenaltyLSAcceptor.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