/home/coin/SVN-release/Ipopt-3.5.3/Ipopt/src/Algorithm/IpIpoptCalculatedQuantities.hpp

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00001 // Copyright (C) 2004, 2008 International Business Machines and others.
00002 // All Rights Reserved.
00003 // This code is published under the Common Public License.
00004 //
00005 // $Id: IpIpoptCalculatedQuantities.hpp 1327 2008-09-18 19:01:17Z andreasw $
00006 //
00007 // Authors:  Carl Laird, Andreas Waechter     IBM    2004-08-13
00008 
00009 #ifndef __IPIPOPTCALCULATEDQUANTITIES_HPP__
00010 #define __IPIPOPTCALCULATEDQUANTITIES_HPP__
00011 
00012 #include "IpIpoptNLP.hpp"
00013 #include "IpIpoptData.hpp"
00014 
00015 namespace Ipopt
00016 {
00017 
00019   enum ENormType {
00020     NORM_1=0,
00021     NORM_2,
00022     NORM_MAX
00023   };
00024 
00030   class IpoptAdditionalCq : public ReferencedObject
00031   {
00032   public:
00036     IpoptAdditionalCq()
00037     {}
00038 
00040     virtual ~IpoptAdditionalCq()
00041     {}
00043 
00047     virtual bool Initialize(const Journalist& jnlst,
00048                             const OptionsList& options,
00049                             const std::string& prefix) = 0;
00050 
00051   private:
00061     IpoptAdditionalCq(const IpoptAdditionalCq&);
00062 
00064     void operator=(const IpoptAdditionalCq&);
00066   };
00067 
00071   class IpoptCalculatedQuantities : public ReferencedObject
00072   {
00073   public:
00074 
00078     IpoptCalculatedQuantities(const SmartPtr<IpoptNLP>& ip_nlp,
00079                               const SmartPtr<IpoptData>& ip_data);
00081     virtual ~IpoptCalculatedQuantities();
00083 
00086     void SetAddCq(SmartPtr<IpoptAdditionalCq> add_cq)
00087     {
00088       add_cq_ = add_cq;
00089     }
00090 
00094     bool Initialize(const Journalist& jnlst,
00095                     const OptionsList& options,
00096                     const std::string& prefix);
00097 
00101     SmartPtr<const Vector> curr_slack_x_L();
00103     SmartPtr<const Vector> curr_slack_x_U();
00105     SmartPtr<const Vector> curr_slack_s_L();
00107     SmartPtr<const Vector> curr_slack_s_U();
00109     SmartPtr<const Vector> trial_slack_x_L();
00111     SmartPtr<const Vector> trial_slack_x_U();
00113     SmartPtr<const Vector> trial_slack_s_L();
00115     SmartPtr<const Vector> trial_slack_s_U();
00117     Index AdjustedTrialSlacks();
00119     void ResetAdjustedTrialSlacks();
00121 
00125     Number curr_f();
00127     Number unscaled_curr_f();
00129     Number trial_f();
00131     Number unscaled_trial_f();
00133     SmartPtr<const Vector> curr_grad_f();
00135     SmartPtr<const Vector> trial_grad_f();
00137 
00143     Number curr_barrier_obj();
00147     Number trial_barrier_obj();
00148 
00151     SmartPtr<const Vector> curr_grad_barrier_obj_x();
00154     SmartPtr<const Vector> curr_grad_barrier_obj_s();
00155 
00158     SmartPtr<const Vector> grad_kappa_times_damping_x();
00161     SmartPtr<const Vector> grad_kappa_times_damping_s();
00163 
00167     SmartPtr<const Vector> curr_c();
00169     SmartPtr<const Vector> unscaled_curr_c();
00171     SmartPtr<const Vector> trial_c();
00173     SmartPtr<const Vector> curr_d();
00175     SmartPtr<const Vector> unscaled_curr_d();
00177     SmartPtr<const Vector> trial_d();
00179     SmartPtr<const Vector> curr_d_minus_s();
00181     SmartPtr<const Vector> trial_d_minus_s();
00183     SmartPtr<const Matrix> curr_jac_c();
00185     SmartPtr<const Matrix> trial_jac_c();
00187     SmartPtr<const Matrix> curr_jac_d();
00189     SmartPtr<const Matrix> trial_jac_d();
00192     SmartPtr<const Vector> curr_jac_cT_times_vec(const Vector& vec);
00195     SmartPtr<const Vector> trial_jac_cT_times_vec(const Vector& vec);
00198     SmartPtr<const Vector> curr_jac_dT_times_vec(const Vector& vec);
00201     SmartPtr<const Vector> trial_jac_dT_times_vec(const Vector& vec);
00204     SmartPtr<const Vector> curr_jac_cT_times_curr_y_c();
00207     SmartPtr<const Vector> trial_jac_cT_times_trial_y_c();
00210     SmartPtr<const Vector> curr_jac_dT_times_curr_y_d();
00213     SmartPtr<const Vector> trial_jac_dT_times_trial_y_d();
00216     SmartPtr<const Vector> curr_jac_c_times_vec(const Vector& vec);
00219     SmartPtr<const Vector> curr_jac_d_times_vec(const Vector& vec);
00223     Number curr_constraint_violation();
00227     Number trial_constraint_violation();
00231     Number curr_nlp_constraint_violation(ENormType NormType);
00235     Number unscaled_curr_nlp_constraint_violation(ENormType NormType);
00237 
00241     SmartPtr<const SymMatrix> curr_exact_hessian();
00243 
00247     SmartPtr<const Vector> curr_grad_lag_x();
00249     SmartPtr<const Vector> trial_grad_lag_x();
00251     SmartPtr<const Vector> curr_grad_lag_s();
00253     SmartPtr<const Vector> trial_grad_lag_s();
00256     SmartPtr<const Vector> curr_grad_lag_with_damping_x();
00259     SmartPtr<const Vector> curr_grad_lag_with_damping_s();
00261     SmartPtr<const Vector> curr_compl_x_L();
00263     SmartPtr<const Vector> curr_compl_x_U();
00265     SmartPtr<const Vector> curr_compl_s_L();
00267     SmartPtr<const Vector> curr_compl_s_U();
00269     SmartPtr<const Vector> trial_compl_x_L();
00271     SmartPtr<const Vector> trial_compl_x_U();
00273     SmartPtr<const Vector> trial_compl_s_L();
00275     SmartPtr<const Vector> trial_compl_s_U();
00277     SmartPtr<const Vector> curr_relaxed_compl_x_L();
00279     SmartPtr<const Vector> curr_relaxed_compl_x_U();
00281     SmartPtr<const Vector> curr_relaxed_compl_s_L();
00283     SmartPtr<const Vector> curr_relaxed_compl_s_U();
00284 
00286     Number curr_primal_infeasibility(ENormType NormType);
00288     Number trial_primal_infeasibility(ENormType NormType);
00289 
00291     Number curr_dual_infeasibility(ENormType NormType);
00293     Number trial_dual_infeasibility(ENormType NormType);
00295     Number unscaled_curr_dual_infeasibility(ENormType NormType);
00296 
00299     Number curr_complementarity(Number mu, ENormType NormType);
00302     Number trial_complementarity(Number mu, ENormType NormType);
00305     Number unscaled_curr_complementarity(Number mu, ENormType NormType);
00306 
00308     Number CalcCentralityMeasure(const Vector& compl_x_L,
00309                                  const Vector& compl_x_U,
00310                                  const Vector& compl_s_L,
00311                                  const Vector& compl_s_U);
00313     Number curr_centrality_measure();
00314 
00319     Number curr_nlp_error();
00324     Number unscaled_curr_nlp_error();
00325 
00328     Number curr_barrier_error();
00329 
00336     Number curr_primal_dual_system_error(Number mu);
00343     Number trial_primal_dual_system_error(Number mu);
00345 
00350     Number primal_frac_to_the_bound(Number tau,
00351                                     const Vector& delta_x,
00352                                     const Vector& delta_s);
00355     Number curr_primal_frac_to_the_bound(Number tau);
00358     Number dual_frac_to_the_bound(Number tau,
00359                                   const Vector& delta_z_L,
00360                                   const Vector& delta_z_U,
00361                                   const Vector& delta_v_L,
00362                                   const Vector& delta_v_U);
00365     Number uncached_dual_frac_to_the_bound(Number tau,
00366                                            const Vector& delta_z_L,
00367                                            const Vector& delta_z_U,
00368                                            const Vector& delta_v_L,
00369                                            const Vector& delta_v_U);
00372     Number curr_dual_frac_to_the_bound(Number tau);
00380     Number uncached_slack_frac_to_the_bound(Number tau,
00381                                             const Vector& delta_x_L,
00382                                             const Vector& delta_x_U,
00383                                             const Vector& delta_s_L,
00384                                             const Vector& delta_s_U);
00386 
00389     SmartPtr<const Vector> curr_sigma_x();
00390     SmartPtr<const Vector> curr_sigma_s();
00392 
00394     Number curr_avrg_compl();
00396     Number trial_avrg_compl();
00397 
00400     Number curr_gradBarrTDelta();
00401 
00403     Number
00404     CalcNormOfType(ENormType NormType,
00405                    std::vector<SmartPtr<const Vector> > vecs);
00406 
00408     Number
00409     CalcNormOfType(ENormType NormType,
00410                    const Vector& vec1, const Vector& vec2);
00411 
00413     ENormType constr_viol_normtype() const
00414     {
00415       return constr_viol_normtype_;
00416     }
00417 
00419     bool IsSquareProblem() const;
00420 
00423     SmartPtr<IpoptNLP>& GetIpoptNLP()
00424     {
00425       return ip_nlp_;
00426     }
00427 
00428     IpoptAdditionalCq& AdditionalCq()
00429     {
00430       DBG_ASSERT(IsValid(add_cq_));
00431       return *add_cq_;
00432     }
00433 
00437     static void RegisterOptions(SmartPtr<RegisteredOptions> roptions);
00439 
00440   private:
00450     IpoptCalculatedQuantities();
00451 
00453     IpoptCalculatedQuantities(const IpoptCalculatedQuantities&);
00454 
00456     void operator=(const IpoptCalculatedQuantities&);
00458 
00462     SmartPtr<IpoptNLP> ip_nlp_;
00464     SmartPtr<IpoptData> ip_data_;
00466     SmartPtr<IpoptAdditionalCq> add_cq_;
00468 
00475     Number s_max_;
00478     Number kappa_d_;
00480     Number slack_move_;
00482     ENormType constr_viol_normtype_;
00485     bool warm_start_same_structure_;
00487 
00490     CachedResults< SmartPtr<Vector> > curr_slack_x_L_cache_;
00491     CachedResults< SmartPtr<Vector> > curr_slack_x_U_cache_;
00492     CachedResults< SmartPtr<Vector> > curr_slack_s_L_cache_;
00493     CachedResults< SmartPtr<Vector> > curr_slack_s_U_cache_;
00494     CachedResults< SmartPtr<Vector> > trial_slack_x_L_cache_;
00495     CachedResults< SmartPtr<Vector> > trial_slack_x_U_cache_;
00496     CachedResults< SmartPtr<Vector> > trial_slack_s_L_cache_;
00497     CachedResults< SmartPtr<Vector> > trial_slack_s_U_cache_;
00498     Index num_adjusted_slack_x_L_;
00499     Index num_adjusted_slack_x_U_;
00500     Index num_adjusted_slack_s_L_;
00501     Index num_adjusted_slack_s_U_;
00503 
00506     CachedResults<Number> curr_f_cache_;
00507     CachedResults<Number> trial_f_cache_;
00508     CachedResults< SmartPtr<const Vector> > curr_grad_f_cache_;
00509     CachedResults< SmartPtr<const Vector> > trial_grad_f_cache_;
00511 
00514     CachedResults<Number> curr_barrier_obj_cache_;
00515     CachedResults<Number> trial_barrier_obj_cache_;
00516     CachedResults< SmartPtr<const Vector> > curr_grad_barrier_obj_x_cache_;
00517     CachedResults< SmartPtr<const Vector> > curr_grad_barrier_obj_s_cache_;
00518     CachedResults< SmartPtr<const Vector> > grad_kappa_times_damping_x_cache_;
00519     CachedResults< SmartPtr<const Vector> > grad_kappa_times_damping_s_cache_;
00521 
00524     CachedResults< SmartPtr<const Vector> > curr_c_cache_;
00525     CachedResults< SmartPtr<const Vector> > trial_c_cache_;
00526     CachedResults< SmartPtr<const Vector> > curr_d_cache_;
00527     CachedResults< SmartPtr<const Vector> > trial_d_cache_;
00528     CachedResults< SmartPtr<const Vector> > curr_d_minus_s_cache_;
00529     CachedResults< SmartPtr<const Vector> > trial_d_minus_s_cache_;
00530     CachedResults< SmartPtr<const Matrix> > curr_jac_c_cache_;
00531     CachedResults< SmartPtr<const Matrix> > trial_jac_c_cache_;
00532     CachedResults< SmartPtr<const Matrix> > curr_jac_d_cache_;
00533     CachedResults< SmartPtr<const Matrix> > trial_jac_d_cache_;
00534     CachedResults< SmartPtr<const Vector> > curr_jac_cT_times_vec_cache_;
00535     CachedResults< SmartPtr<const Vector> > trial_jac_cT_times_vec_cache_;
00536     CachedResults< SmartPtr<const Vector> > curr_jac_dT_times_vec_cache_;
00537     CachedResults< SmartPtr<const Vector> > trial_jac_dT_times_vec_cache_;
00538     CachedResults< SmartPtr<const Vector> > curr_jac_c_times_vec_cache_;
00539     CachedResults< SmartPtr<const Vector> > curr_jac_d_times_vec_cache_;
00540     CachedResults<Number> curr_constraint_violation_cache_;
00541     CachedResults<Number> trial_constraint_violation_cache_;
00542     CachedResults<Number> curr_nlp_constraint_violation_cache_;
00543     CachedResults<Number> unscaled_curr_nlp_constraint_violation_cache_;
00545 
00547     CachedResults< SmartPtr<const SymMatrix> > curr_exact_hessian_cache_;
00548 
00551     CachedResults< SmartPtr<const Vector> > curr_grad_lag_x_cache_;
00552     CachedResults< SmartPtr<const Vector> > trial_grad_lag_x_cache_;
00553     CachedResults< SmartPtr<const Vector> > curr_grad_lag_s_cache_;
00554     CachedResults< SmartPtr<const Vector> > trial_grad_lag_s_cache_;
00555     CachedResults< SmartPtr<const Vector> > curr_grad_lag_with_damping_x_cache_;
00556     CachedResults< SmartPtr<const Vector> > curr_grad_lag_with_damping_s_cache_;
00557     CachedResults< SmartPtr<const Vector> > curr_compl_x_L_cache_;
00558     CachedResults< SmartPtr<const Vector> > curr_compl_x_U_cache_;
00559     CachedResults< SmartPtr<const Vector> > curr_compl_s_L_cache_;
00560     CachedResults< SmartPtr<const Vector> > curr_compl_s_U_cache_;
00561     CachedResults< SmartPtr<const Vector> > trial_compl_x_L_cache_;
00562     CachedResults< SmartPtr<const Vector> > trial_compl_x_U_cache_;
00563     CachedResults< SmartPtr<const Vector> > trial_compl_s_L_cache_;
00564     CachedResults< SmartPtr<const Vector> > trial_compl_s_U_cache_;
00565     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_x_L_cache_;
00566     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_x_U_cache_;
00567     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_s_L_cache_;
00568     CachedResults< SmartPtr<const Vector> > curr_relaxed_compl_s_U_cache_;
00569     CachedResults<Number> curr_primal_infeasibility_cache_;
00570     CachedResults<Number> trial_primal_infeasibility_cache_;
00571     CachedResults<Number> curr_dual_infeasibility_cache_;
00572     CachedResults<Number> trial_dual_infeasibility_cache_;
00573     CachedResults<Number> unscaled_curr_dual_infeasibility_cache_;
00574     CachedResults<Number> curr_complementarity_cache_;
00575     CachedResults<Number> trial_complementarity_cache_;
00576     CachedResults<Number> curr_centrality_measure_cache_;
00577     CachedResults<Number> curr_nlp_error_cache_;
00578     CachedResults<Number> unscaled_curr_nlp_error_cache_;
00579     CachedResults<Number> curr_barrier_error_cache_;
00580     CachedResults<Number> curr_primal_dual_system_error_cache_;
00581     CachedResults<Number> trial_primal_dual_system_error_cache_;
00583 
00586     CachedResults<Number> primal_frac_to_the_bound_cache_;
00587     CachedResults<Number> dual_frac_to_the_bound_cache_;
00589 
00592     CachedResults< SmartPtr<const Vector> > curr_sigma_x_cache_;
00593     CachedResults< SmartPtr<const Vector> > curr_sigma_s_cache_;
00595 
00597     CachedResults<Number> curr_avrg_compl_cache_;
00599     CachedResults<Number> trial_avrg_compl_cache_;
00600 
00602     CachedResults<Number> curr_gradBarrTDelta_cache_;
00603 
00609     SmartPtr<Vector> dampind_x_L_;
00612     SmartPtr<Vector> dampind_x_U_;
00615     SmartPtr<Vector> dampind_s_L_;
00618     SmartPtr<Vector> dampind_s_U_;
00620 
00625     SmartPtr<Vector> tmp_x_;
00626     SmartPtr<Vector> tmp_s_;
00627     SmartPtr<Vector> tmp_c_;
00628     SmartPtr<Vector> tmp_d_;
00629     SmartPtr<Vector> tmp_x_L_;
00630     SmartPtr<Vector> tmp_x_U_;
00631     SmartPtr<Vector> tmp_s_L_;
00632     SmartPtr<Vector> tmp_s_U_;
00633 
00635     Vector& Tmp_x();
00636     Vector& Tmp_s();
00637     Vector& Tmp_c();
00638     Vector& Tmp_d();
00639     Vector& Tmp_x_L();
00640     Vector& Tmp_x_U();
00641     Vector& Tmp_s_L();
00642     Vector& Tmp_s_U();
00644 
00647     bool initialize_called_;
00648 
00654     SmartPtr<Vector> CalcSlack_L(const Matrix& P,
00655                                  const Vector& x,
00656                                  const Vector& x_bound);
00660     SmartPtr<Vector> CalcSlack_U(const Matrix& P,
00661                                  const Vector& x,
00662                                  const Vector& x_bound);
00666     Number CalcBarrierTerm(Number mu,
00667                            const Vector& slack_x_L,
00668                            const Vector& slack_x_U,
00669                            const Vector& slack_s_L,
00670                            const Vector& slack_s_U);
00671 
00673     SmartPtr<const Vector> CalcCompl(const Vector& slack,
00674                                      const Vector& mult);
00675 
00677     Number CalcFracToBound(const Vector& slack_L,
00678                            Vector& tmp_L,
00679                            const Matrix& P_L,
00680                            const Vector& slack_U,
00681                            Vector& tmp_U,
00682                            const Matrix& P_U,
00683                            const Vector& delta,
00684                            Number tau);
00685 
00687     void ComputeOptimalityErrorScaling(const Vector& y_c, const Vector& y_d,
00688                                        const Vector& z_L, const Vector& z_U,
00689                                        const Vector& v_L, const Vector& v_U,
00690                                        Number s_max,
00691                                        Number& s_d, Number& s_c);
00692 
00696     Index CalculateSafeSlack(SmartPtr<Vector>& slack,
00697                              const SmartPtr<const Vector>& bound,
00698                              const SmartPtr<const Vector>& curr_point,
00699                              const SmartPtr<const Vector>& multiplier);
00700 
00706     void ComputeDampingIndicators(SmartPtr<const Vector>& dampind_x_L,
00707                                   SmartPtr<const Vector>& dampind_x_U,
00708                                   SmartPtr<const Vector>& dampind_s_L,
00709                                   SmartPtr<const Vector>& dampind_s_U);
00710 
00717     bool in_restoration_phase();
00718 
00720   };
00721 
00722 } // namespace Ipopt
00723 
00724 #endif

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