Ipopt::FilterLSAcceptor Class Reference

Filter line search. More...

#include <IpFilterLSAcceptor.hpp>

Inheritance diagram for Ipopt::FilterLSAcceptor:

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Collaboration diagram for Ipopt::FilterLSAcceptor:

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List of all members.

Public Member Functions
virtual bool	InitializeImpl (const OptionsList &options, const std::string &prefix)
	InitializeImpl - overloaded from AlgorithmStrategyObject.
virtual void	Reset ()
	Reset the acceptor.
virtual void	InitThisLineSearch (bool in_watchdog)
	Initialization for the next line search.
virtual void	PrepareRestoPhaseStart ()
	Method that is called before the restoration phase is called.
virtual Number	CalculateAlphaMin ()
	Method returning the lower bound on the trial step sizes.
virtual bool	CheckAcceptabilityOfTrialPoint (Number alpha_primal)
	Method for checking if current trial point is acceptable.
virtual bool	TrySecondOrderCorrection (Number alpha_primal_test, Number &alpha_primal, SmartPtr< IteratesVector > &actual_delta)
	Try a second order correction for the constraints.
virtual bool	TryCorrector (Number alpha_primal_test, Number &alpha_primal, SmartPtr< IteratesVector > &actual_delta)
	Try higher order corrector (for fast local convergence).
virtual char	UpdateForNextIteration (Number alpha_primal_test)
	Method for ending the current line search.
virtual void	StartWatchDog ()
	Method for setting internal data if the watchdog procedure is started.
virtual void	StopWatchDog ()
	Method for setting internal data if the watchdog procedure is stopped.
Constructors/Destructors

	FilterLSAcceptor (const SmartPtr< PDSystemSolver > &pd_solver)
	Constructor.
virtual	~FilterLSAcceptor ()
	Default destructor.
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.
bool	IsAcceptableToCurrentFilter (Number trial_barr, Number trial_theta) const
	Checks if a trial point is acceptable to the current filter.
Static Public Member Functions


static void	RegisterOptions (SmartPtr< RegisteredOptions > roptions)
	Methods for OptionsList.
Private Member Functions
bool	IsFtype (Number alpha_primal_test)
	Method for checking if the current step size satisfies the f-type switching condition.
bool	ArmijoHolds (Number alpha_primal_test)
	Method for checking the Armijo condition, given a trial step size.
void	AugmentFilter ()
	Augment the filter used on the current values of the barrier objective function and the contraint violation.
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.
	FilterLSAcceptor (const FilterLSAcceptor &)
	Copy Constructor.
void	operator= (const FilterLSAcceptor &)
	Overloaded Equals Operator.
Static Private Member Functions
static bool	Compare_le (Number lhs, Number rhs, Number BasVal)
	Check comparison "lhs <= rhs", using machine precision based on BasVal.
Private Attributes
Filter	filter_
	Filter with entries.
Filter information

Number	theta_max_
	Upper bound on infeasibility.
Number	theta_max_fact_
	Upper bound on infeasibility.
Number	theta_min_
	Infeasibility switching bound.
Number	theta_min_fact_
	Upper bound on infeasibility.
Information related to watchdog procedure

Number	reference_theta_
	Constraint violation at the point with respect to which progress is to be made.
Number	reference_barr_
	Barrier objective function at the point with respect to which progress is to be made.
Number	reference_gradBarrTDelta_
	Barrier gradient transpose search direction at the point with respect to which progress is to be made.
Number	watchdog_theta_
	Constraint violation at reference point.
Number	watchdog_barr_
	Barrier objective function at reference point.
Number	watchdog_gradBarrTDelta_
	Barrier gradient transpose search direction at reference point.
Filter reset stuff

Number	last_rejection_due_to_filter_
	True, if last rejected was due to the filter.
Index	count_successive_filter_rejections_
	Counter of successive iterations in which filter was reason for last rejection.
Index	n_filter_resets_
	Counter for the filter resets done so far.
Strategy objective that are used

SmartPtr< PDSystemSolver >	pd_solver_
Parameters for the filter algorithm. Names as in the paper

enum	CorrectorTypeEnum { NO_CORRECTOR = 0, AFFINE_CORRECTOR, PRIMAL_DUAL_CORRECTOR }
	enumeration for the corrector type More...
Number	eta_phi_
	$\eta_{\varphi}$
Number	delta_
	$\delta$
Number	s_phi_
	$s_{\varphi}$
Number	s_theta_
	$s_{\Theta}$
Number	gamma_phi_
	$\gamma_{\varphi}$
Number	gamma_theta_
	$\gamma_{\Theta}$
Number	alpha_min_frac_
	$\gamma_{\alpha}$
Index	max_soc_
	Maximal number of second order correction steps.
Number	kappa_soc_
	Required reduction in constraint violation before trying multiple second order correction steps $\kappa_{soc}$ .
Number	obj_max_inc_
	Maximal increase in objective function in orders of magnitute (log10).
CorrectorTypeEnum	corrector_type_
	Type of corrector steps that should be tried.
Number	corrector_compl_avrg_red_fact_
	parameter in heurstic that determines whether corrector step should be tried.
bool	skip_corr_if_neg_curv_
	Flag indicating whether the corrector should be skipped in an iteration in which negative curvature is detected.
bool	skip_corr_in_monotone_mode_
	Flag indicating whether the corrector should be skipped during the monotone mu mode.
Index	max_filter_resets_
	maximal allowed number of filter resets.
Index	filter_reset_trigger_
	interation counter trigger for filter reset.

Detailed Description

Filter line search.

This class implements the filter line search procedure.

Definition at line 23 of file IpFilterLSAcceptor.hpp.

Member Enumeration Documentation

enum Ipopt::FilterLSAcceptor::CorrectorTypeEnum [private]

enumeration for the corrector type

Enumerator:

NO_CORRECTOR
AFFINE_CORRECTOR
PRIMAL_DUAL_CORRECTOR

Definition at line 207 of file IpFilterLSAcceptor.hpp.

Constructor & Destructor Documentation

Ipopt::FilterLSAcceptor::FilterLSAcceptor ( 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::FilterLSAcceptor::~FilterLSAcceptor ( ) [virtual]

Default destructor.

Ipopt::FilterLSAcceptor::FilterLSAcceptor ( const FilterLSAcceptor & ) [private]

Copy Constructor.

Member Function Documentation

virtual bool Ipopt::FilterLSAcceptor::InitializeImpl	(	const OptionsList &	options,
		const std::string &	prefix
	)			`[virtual]`

InitializeImpl - overloaded from AlgorithmStrategyObject.

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::FilterLSAcceptor::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::FilterLSAcceptor::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::FilterLSAcceptor::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, such as augmenting a filter.

Implements Ipopt::BacktrackingLSAcceptor.

virtual Number Ipopt::FilterLSAcceptor::CalculateAlphaMin ( ) [virtual]

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.

Implements Ipopt::BacktrackingLSAcceptor.

virtual bool Ipopt::FilterLSAcceptor::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::FilterLSAcceptor::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 filter 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::FilterLSAcceptor::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::FilterLSAcceptor::UpdateForNextIteration ( Number alpha_primal_test ) [virtual]

Method for ending the current line search.

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

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::FilterLSAcceptor::StartWatchDog ( ) [virtual]

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

Implements Ipopt::BacktrackingLSAcceptor.

virtual void Ipopt::FilterLSAcceptor::StopWatchDog ( ) [virtual]

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

Implements Ipopt::BacktrackingLSAcceptor.

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

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

bool Ipopt::FilterLSAcceptor::IsAcceptableToCurrentFilter	(	Number	trial_barr,
		Number	trial_theta
	)			const

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

static void Ipopt::FilterLSAcceptor::RegisterOptions ( SmartPtr< RegisteredOptions > roptions ) [static]

Methods for OptionsList.

Reimplemented from Ipopt::BacktrackingLSAcceptor.

void Ipopt::FilterLSAcceptor::operator= ( const FilterLSAcceptor & ) [private]

Overloaded Equals Operator.

Reimplemented from Ipopt::BacktrackingLSAcceptor.

bool Ipopt::FilterLSAcceptor::IsFtype ( Number alpha_primal_test ) [private]

Method for checking if the current step size satisfies the f-type switching condition.

Here, we use the search direction stored in ip_data

bool Ipopt::FilterLSAcceptor::ArmijoHolds ( Number alpha_primal_test ) [private]

Method for checking the Armijo condition, given a trial step size.

The test uses the search direction stored in ip_data, and the values of the functions at the trial point in ip_data.

void Ipopt::FilterLSAcceptor::AugmentFilter ( ) [private]

Augment the filter used on the current values of the barrier objective function and the contraint violation.

static bool Ipopt::FilterLSAcceptor::Compare_le	(	Number	lhs,
		Number	rhs,
		Number	BasVal
	)			`[static, private]`

Check comparison "lhs <= rhs", using machine precision based on BasVal.

Member Data Documentation

Number Ipopt::FilterLSAcceptor::theta_max_ [private]

Upper bound on infeasibility.

Definition at line 149 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::theta_max_fact_ [private]

Upper bound on infeasibility.

Definition at line 150 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::theta_min_ [private]

Infeasibility switching bound.

Definition at line 153 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::theta_min_fact_ [private]

Upper bound on infeasibility.

Definition at line 154 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::eta_phi_ [private]

$\eta_{\varphi}$

Definition at line 181 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::delta_ [private]

$\delta$

Definition at line 183 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::s_phi_ [private]

$s_{\varphi}$

Definition at line 185 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::s_theta_ [private]

$s_{\Theta}$

Definition at line 187 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::gamma_phi_ [private]

$\gamma_{\varphi}$

Definition at line 189 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::gamma_theta_ [private]

$\gamma_{\Theta}$

Definition at line 191 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::alpha_min_frac_ [private]

$\gamma_{\alpha}$

Definition at line 193 of file IpFilterLSAcceptor.hpp.

Index Ipopt::FilterLSAcceptor::max_soc_ [private]

Maximal number of second order correction steps.

Definition at line 195 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::kappa_soc_ [private]

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

Definition at line 199 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::obj_max_inc_ [private]

Maximal increase in objective function in orders of magnitute (log10).

If the log10(barrier objective function) is increased more than this compared to the current point, the trial point is rejected.

Definition at line 204 of file IpFilterLSAcceptor.hpp.

CorrectorTypeEnum Ipopt::FilterLSAcceptor::corrector_type_ [private]

Type of corrector steps that should be tried.

Definition at line 214 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::corrector_compl_avrg_red_fact_ [private]

parameter in heurstic that determines whether corrector step should be tried.

Definition at line 217 of file IpFilterLSAcceptor.hpp.

bool Ipopt::FilterLSAcceptor::skip_corr_if_neg_curv_ [private]

Flag indicating whether the corrector should be skipped in an iteration in which negative curvature is detected.

Definition at line 220 of file IpFilterLSAcceptor.hpp.

bool Ipopt::FilterLSAcceptor::skip_corr_in_monotone_mode_ [private]

Flag indicating whether the corrector should be skipped during the monotone mu mode.

Definition at line 223 of file IpFilterLSAcceptor.hpp.

Index Ipopt::FilterLSAcceptor::max_filter_resets_ [private]

maximal allowed number of filter resets.

Definition at line 225 of file IpFilterLSAcceptor.hpp.

Index Ipopt::FilterLSAcceptor::filter_reset_trigger_ [private]

interation counter trigger for filter reset.

If the successive number of iterations in which the last rejected step was due to the filter, and max_filter_resets is non-zero, then the filter is reset.

Definition at line 230 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::reference_theta_ [private]

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

Definition at line 237 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::reference_barr_ [private]

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

Definition at line 240 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::reference_gradBarrTDelta_ [private]

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

Definition at line 243 of file IpFilterLSAcceptor.hpp.

Number Ipopt::FilterLSAcceptor::watchdog_theta_ [private]

Constraint violation at reference point.