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NPSOL.cc
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1996-09-28
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// NPSOL.cc -*- C++ -*-
/*
Copyright (C) 1992, 1993, 1994, 1995 John W. Eaton
This file is part of Octave.
Octave is free software; you can redistribute it and/or modify it
under the terms of the GNU General Public License as published by the
Free Software Foundation; either version 2, or (at your option) any
later version.
Octave is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
for more details.
You should have received a copy of the GNU General Public License
along with Octave; see the file COPYING. If not, write to the Free
Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
*/
#ifdef HAVE_CONFIG_H
#include "config.h"
#endif
#include <math.h>
#include <float.h>
#include <string.h>
#include <strstream.h>
#ifndef NPSOL_MISSING
#include "dMatrix.h"
#include "NPSOL.h"
#include "f77-uscore.h"
#include "sun-utils.h"
extern "C"
{
int F77_FCN (npoptn) (char *, long);
int F77_FCN (npsol) (int *, int *, int *, int *, int *, int *,
double *, double *, double *,
int (*)(int*, int*, int*, int*, int*, double*,
double*, double*, int*),
int (*)(int*, int*, double*, double*, double*, int*),
int *, int *, int *, double *,
double *, double *, double *, double *,
double *, double *, int *, int *, double *,
int *);
}
// XXX FIXME XXX -- would be nice to not have to have this global
// variable.
// Nonzero means an error occurred in the calculation of the objective
// function, and the user wants us to quit.
int npsol_objective_error = 0;
static objective_fcn user_phi;
static gradient_fcn user_grad;
static nonlinear_fcn user_g;
static jacobian_fcn user_jac;
int
npsol_objfun (int *mode, int *n, double *xx, double *objf,
double *objgrd, int *nstate)
{
int nn = *n;
Vector tmp_x (nn);
npsol_objective_error = 0;
for (int i = 0; i < nn; i++)
tmp_x.elem (i) = xx[i];
if (*mode == 0 || *mode == 2)
{
double value = (*user_phi) (tmp_x);
if (npsol_objective_error)
{
*mode = -1;
return 0;
}
#if defined (sun) && defined (__GNUC__)
assign_double (objf, value);
#else
*objf = value;
#endif
}
if ((*mode == 1 || *mode == 2) && user_grad)
{
Vector tmp_grad (nn);
tmp_grad = (*user_grad) (tmp_x);
if (tmp_grad.length () == 0)
*mode = -1;
else
{
for (i = 0; i < nn; i++)
objgrd[i] = tmp_grad.elem (i);
}
}
return 0;
}
int
npsol_confun (int *mode, int *ncnln, int *n, int *nrowj, int *needc,
double *xx, double *cons, double *cjac, int *nstate)
{
int nn = *n, nncnln = *ncnln;
Vector tmp_x (nn);
Vector tmp_c (nncnln);
for (int i = 0; i < nn; i++)
tmp_x.elem (i) = xx[i];
tmp_c = (*user_g) (tmp_x);
if (tmp_c.length () == 0)
{
*mode = -1;
return 0;
}
else
{
for (i = 0; i < nncnln; i++)
cons[i] = tmp_c.elem (i);
}
if (user_jac)
{
Matrix tmp_jac (nncnln, nn);
tmp_jac = (*user_jac) (tmp_x);
if (tmp_jac.rows () == 0 || tmp_jac.columns () == 0)
*mode = -1;
else
{
int ld = *nrowj;
for (int j = 0; j < nn; j++)
for (i = 0; i < nncnln; i++)
cjac[i+j*ld] = tmp_jac (i, j);
}
}
return 0;
}
Vector
NPSOL::minimize (void)
{
double objf;
int inform;
Vector lambda;
return minimize (objf, inform, lambda);
}
Vector
NPSOL::minimize (double& objf)
{
int inform;
Vector lambda;
return minimize (objf, inform, lambda);
}
Vector
NPSOL::minimize (double& objf, int& inform)
{
Vector lambda;
return minimize (objf, inform, lambda);
}
Vector
NPSOL::minimize (double& objf, int& inform, Vector& lambda)
{
// Dimensions of various things.
int n = x.capacity ();
int nclin = lc.size ();
int ncnln = nlc.size ();
int nrowa = 1 > nclin ? 1 : nclin;
int nrowj = 1 > ncnln ? 1 : ncnln;
int nrowr = n;
// Informative stuff.
int iter;
int *istate = new int [n+nclin+ncnln];
// User defined function stuff is defined above in the functions
// npsol_confun() and npsol_objfun();
// Constraint stuff.
double dummy;
double *pclin = &dummy;
Matrix clin;
if (nclin > 0)
{
clin = lc.constraint_matrix ();
pclin = clin.fortran_vec ();
}
double *clow = new double [n+nclin+ncnln];
double *cup = new double [n+nclin+ncnln];
if (bnds.size () > 0)
{
for (int i = 0; i < n; i++)
{
clow[i] = bnds.lower_bound (i);
cup[i] = bnds.upper_bound (i);
}
}
else
{
double huge = 1.0e30;
for (int i = 0; i < n; i++)
{
clow[i] = -huge;
cup[i] = huge;
}
}
for (int i = 0; i < nclin; i++)
{
clow[i+n] = lc.lower_bound (i);
cup[i+n] = lc.upper_bound (i);
}
for (i = 0; i < ncnln; i++)
{
clow[i+n+nclin] = nlc.lower_bound (i);
cup[i+n+nclin] = nlc.upper_bound (i);
}
double *c = 0;
double *cjac = 0;
if (ncnln > 0)
{
c = new double [ncnln];
cjac = new double [nrowj*n];
}
// Objective stuff.
double *objgrd = new double [n];
// Other stuff.
double *r = new double [n*n];
lambda.resize (n+nclin+ncnln);
double *pclambda = lambda.fortran_vec ();
// Decision variable stuff.
double *px = x.fortran_vec ();
// Workspace parameters.
int lenw;
int leniw = 3 * n + nclin + 2 * ncnln;
if (nclin == 0 && ncnln == 0)
lenw = 20*n;
else if (ncnln == 0)
lenw = 2*n*(10 + n) + 11*nclin;
else
lenw = 2*n*(n + 10) + nclin*(n + 11) + ncnln*(2*n + 21);
int *iw = new int [leniw];
double *w = new double [lenw];
user_phi = phi.objective_function ();
user_grad = phi.gradient_function ();
user_g = nlc.function ();
user_jac = nlc.jacobian_function ();
pass_options_to_npsol ();
if (! user_jac && ! user_grad)
F77_FCN (npoptn) ("Derivative Level 0", 18L);
else if (! user_jac && user_grad)
F77_FCN (npoptn) ("Derivative Level 1", 18L);
else if (user_jac && ! user_grad)
F77_FCN (npoptn) ("Derivative Level 2", 18L);
else if (user_jac && user_grad)
F77_FCN (npoptn) ("Derivative Level 3", 18L);
int attempt = 0;
while (attempt++ < 5)
{
F77_FCN (npsol) (&n, &nclin, &ncnln, &nrowa, &nrowj, &nrowr, pclin,
clow, cup, npsol_confun, npsol_objfun, &inform,
&iter, istate, c, cjac, pclambda, &objf, objgrd, r,
px, iw, &leniw, w, &lenw);
if (inform == 6 || inform == 1)
continue;
else
break;
}
// Clean up.
delete [] istate;
delete [] clow;
delete [] cup;
delete [] c;
delete [] cjac;
delete [] objgrd;
delete [] r;
delete [] iw;
delete [] w;
// See how it went.
return x;
}
Vector
NPSOL::minimize (const Vector& xnew)
{
x = xnew;
return minimize ();
}
Vector
NPSOL::minimize (const Vector& xnew, double& objf)
{
x = xnew;
return minimize (objf);
}
Vector
NPSOL::minimize (const Vector& xnew, double& objf, int& inform)
{
x = xnew;
return minimize (objf, inform);
}
Vector
NPSOL::minimize (const Vector& xnew, double& objf, int& inform, Vector& lambda)
{
x = xnew;
return minimize (objf, inform, lambda);
}
NPSOL&
NPSOL::option (char *s)
{
cerr << "This function no longer has any effect.\n"
<< "Use the NPSOL_option class instead\n";
return *this;
}
NPSOL_options::NPSOL_options (void)
{
init ();
}
NPSOL_options::NPSOL_options (const NPSOL_options& opt)
{
copy (opt);
}
NPSOL_options&
NPSOL_options::operator = (const NPSOL_options& opt)
{
if (this != &opt)
copy (opt);
return *this;
}
NPSOL_options::~NPSOL_options (void)
{
}
void
NPSOL_options::init (void)
{
x_central_difference_interval = -1.0;
x_crash_tolerance = 0.1;
x_difference_interval = -1.0;
x_function_precision = pow (DBL_EPSILON, 0.9);
x_infinite_bound = 1.0e+30;
x_infinite_step = 1.0e+30;
x_linear_feasibility_tolerance = sqrt (DBL_EPSILON);
x_linesearch_tolerance = 0.9;
x_nonlinear_feasibility_tolerance = sqrt (DBL_EPSILON);
x_optimality_tolerance = pow (DBL_EPSILON, 0.8);
x_derivative_level = 0;
x_major_iteration_limit = -1;
x_minor_iteration_limit = -1;
x_major_print_level = 0;
x_minor_print_level = 0;
x_start_objective_check = 1;
x_start_constraint_check = 1;
x_stop_objective_check = -1;
x_stop_constraint_check = -1;
x_verify_level = 0;
}
void
NPSOL_options::copy (const NPSOL_options& opt)
{
x_central_difference_interval = opt.x_central_difference_interval;
x_crash_tolerance = opt.x_crash_tolerance;
x_difference_interval = opt.x_difference_interval;
x_function_precision = opt.x_function_precision;
x_infinite_bound = opt.x_infinite_bound;
x_infinite_step = opt.x_infinite_step;
x_linear_feasibility_tolerance = opt.x_linear_feasibility_tolerance;
x_linesearch_tolerance = opt.x_linesearch_tolerance;
x_nonlinear_feasibility_tolerance = opt.x_nonlinear_feasibility_tolerance;
x_optimality_tolerance = opt.x_optimality_tolerance;
x_derivative_level = opt.x_derivative_level;
x_major_iteration_limit = opt.x_major_iteration_limit;
x_minor_iteration_limit = opt.x_minor_iteration_limit;
x_major_print_level = opt.x_major_print_level;
x_minor_print_level = opt.x_minor_print_level;
x_start_objective_check = opt.x_start_objective_check;
x_start_constraint_check = opt.x_start_constraint_check;
x_stop_objective_check = opt.x_stop_objective_check;
x_stop_constraint_check = opt.x_stop_constraint_check;
x_verify_level = opt.x_verify_level;
}
void
NPSOL_options::set_default_options (void)
{
init ();
}
/*
* Passing invalid values to the set_* functions will result in
* setting the default option.
*/
void
NPSOL_options::set_central_difference_interval (double val)
{
x_central_difference_interval = (val > 0.0) ? val : -1.0;
}
void
NPSOL_options::set_crash_tolerance (double val)
{
x_crash_tolerance = (val >= 0.0) ? val : 0.1;
}
void
NPSOL_options::set_difference_interval (double val)
{
x_difference_interval = (val > 0.0) ? val : -1.0;
}
void
NPSOL_options::set_function_precision (double val)
{
x_function_precision = (val > 0.0) ? val : pow (DBL_EPSILON, 0.9);
}
void
NPSOL_options::set_infinite_bound (double val)
{
x_infinite_bound = (val > 0.0) ? val : 1.0e+30;
}
void
NPSOL_options::set_infinite_step (double val)
{
x_infinite_step = (val > 0.0) ? val : 1.0e+30;
}
void
NPSOL_options::set_linear_feasibility_tolerance (double val)
{
x_linear_feasibility_tolerance = (val > 0.0) ? val : sqrt (DBL_EPSILON);
}
void
NPSOL_options::set_linesearch_tolerance (double val)
{
x_linesearch_tolerance = (val >= 0.0 && val < 1.0) ? val : 0.9;
}
void
NPSOL_options::set_nonlinear_feasibility_tolerance (double val)
{
x_nonlinear_feasibility_tolerance = (val > 0.0) ? val : sqrt (DBL_EPSILON);
}
void
NPSOL_options::set_optimality_tolerance (double val)
{
x_optimality_tolerance = (val > 0.0) ? val : pow (DBL_EPSILON, 0.8);
}
void
NPSOL_options::set_derivative_level (int val)
{
x_derivative_level = (val >= 0 && val < 4) ? val : 0;
}
void
NPSOL_options::set_major_iteration_limit (int val)
{
x_major_iteration_limit = (val > 0) ? val : -1;
}
void
NPSOL_options::set_minor_iteration_limit (int val)
{
x_minor_iteration_limit = (val > 0) ? val : -1;
}
void
NPSOL_options::set_major_print_level (int val)
{
x_major_print_level = (val >= 0) ? val : -1;
}
void
NPSOL_options::set_minor_print_level (int val)
{
x_minor_print_level = (val >= 0) ? val : -1;
}
void
NPSOL_options::set_start_objective_check (int val)
{
x_start_objective_check = (val >= 0) ? val : -1;
}
void
NPSOL_options::set_start_constraint_check (int val)
{
x_start_constraint_check = (val >= 0) ? val : -1;
}
void
NPSOL_options::set_stop_objective_check (int val)
{
x_stop_objective_check = (val >= 0) ? val : -1;
}
void
NPSOL_options::set_stop_constraint_check (int val)
{
x_stop_constraint_check = (val >= 0) ? val : -1;
}
void
NPSOL_options::set_verify_level (int val)
{
x_verify_level = ((val > -1 && val < 4) || (val > 9 && val < 14)) ? val : 0;
}
double
NPSOL_options::central_difference_interval (void) const
{
return x_central_difference_interval;
}
double
NPSOL_options::crash_tolerance (void) const
{
return x_crash_tolerance;
}
double
NPSOL_options::difference_interval (void) const
{
return x_difference_interval;
}
double
NPSOL_options::function_precision (void) const
{
return x_function_precision;
}
double
NPSOL_options::infinite_bound (void) const
{
return x_infinite_bound;
}
double
NPSOL_options::infinite_step (void) const
{
return x_infinite_step;
}
double
NPSOL_options::linear_feasibility_tolerance (void) const
{
return x_linear_feasibility_tolerance;
}
double
NPSOL_options::linesearch_tolerance (void) const
{
return x_linesearch_tolerance;
}
double
NPSOL_options::nonlinear_feasibility_tolerance (void) const
{
return x_nonlinear_feasibility_tolerance;
}
double
NPSOL_options::optimality_tolerance (void) const
{
return x_optimality_tolerance;
}
int
NPSOL_options::derivative_level (void) const
{
return x_derivative_level;
}
int
NPSOL_options::major_iteration_limit (void) const
{
return x_major_iteration_limit;
}
int
NPSOL_options::minor_iteration_limit (void) const
{
return x_minor_iteration_limit;
}
int
NPSOL_options::major_print_level (void) const
{
return x_major_print_level;
}
int
NPSOL_options::minor_print_level (void) const
{
return x_minor_print_level;
}
int
NPSOL_options::start_objective_check (void) const
{
return x_start_objective_check;
}
int
NPSOL_options::start_constraint_check (void) const
{
return x_start_constraint_check;
}
int
NPSOL_options::stop_objective_check (void) const
{
return x_stop_objective_check;
}
int
NPSOL_options::stop_constraint_check (void) const
{
return x_stop_constraint_check;
}
int
NPSOL_options::verify_level (void) const
{
return x_verify_level;
}
void
NPSOL_options::pass_options_to_npsol (void)
{
F77_FCN (npoptn) ("Nolist", 6L);
F77_FCN (npoptn) ("Defaults", 8L);
if (x_central_difference_interval > 0.0)
set_option ("Central Difference", x_central_difference_interval);
set_option ("Crash Tolerance", x_crash_tolerance);
if (x_difference_interval > 0.0)
set_option ("Difference Interval", x_difference_interval);
set_option ("Function Precision", x_function_precision);
set_option ("Infinite Bound", x_infinite_bound);
set_option ("Infinite Step", x_infinite_step);
set_option ("Linear Feasibility", x_linear_feasibility_tolerance);
set_option ("Linesearch Tolerance", x_linesearch_tolerance);
set_option ("Nonlinear Feasibility", x_nonlinear_feasibility_tolerance);
set_option ("Optimality Tolerance", x_optimality_tolerance);
set_option ("Derivative Level", x_derivative_level);
if (x_major_iteration_limit > 0)
set_option ("Major Iteration", x_major_iteration_limit);
if (x_minor_iteration_limit > 0)
set_option ("Minor Iteration", x_minor_iteration_limit);
set_option ("Major Print", x_major_print_level);
set_option ("Minor Print", x_minor_print_level);
set_option ("Start Objective", x_start_objective_check);
set_option ("Start Constraint", x_start_constraint_check);
if (x_stop_objective_check > 0)
set_option ("Stop Objective", x_stop_objective_check);
if (x_stop_constraint_check > 0)
set_option ("Stop Constraint", x_stop_constraint_check);
set_option ("Verify Level", x_verify_level);
}
void
NPSOL_options::set_option (const char *key, int opt)
{
ostrstream buf;
buf << key << " " << opt << ends;
char *command = buf.str ();
size_t len = strlen (command);
F77_FCN (npoptn) (command, (long) len);
delete [] command;
}
void
NPSOL_options::set_option (const char *key, double opt)
{
ostrstream buf;
buf << key << " " << opt << ends;
char *command = buf.str ();
size_t len = strlen (command);
F77_FCN (npoptn) (command, (long) len);
delete [] command;
}
#endif /* NPSOL_MISSING */
/*
;;; Local Variables: ***
;;; mode: C++ ***
;;; page-delimiter: "^/\\*" ***
;;; End: ***
*/