1 | // Copyright (C) 2004,2005 International Business Machines and others. |
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2 | // All Rights Reserved. |
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3 | // This code is published under the Common Public License. |
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4 | // |
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5 | // $Id: IpBacktrackingLineSearch.hpp 542 2005-10-13 22:43:08Z andreasw $ |
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6 | // |
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7 | // Authors: Carl Laird, Andreas Waechter IBM 2004-08-13 |
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8 | // Andreas Waechter IBM 2005-10-13 |
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9 | // derived file from IpFilterLineSearch.hpp |
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10 | |
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11 | #ifndef __IPBACKTRACKINGLINESEARCH_HPP__ |
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12 | #define __IPBACKTRACKINGLINESEARCH_HPP__ |
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13 | |
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14 | #include "IpLineSearch.hpp" |
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15 | #include "IpBacktrackingLSAcceptor.hpp" |
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16 | #include "IpRestoPhase.hpp" |
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17 | #include "IpConvCheck.hpp" |
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18 | |
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19 | namespace Ipopt |
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20 | { |
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21 | |
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22 | /** General implementation of a backtracking line search. This |
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23 | * class can be used to perform the filter line search procedure or |
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24 | * other procedures. The BacktrackingLSAcceptor is used to |
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25 | * determine whether trial points are acceptable (e.g., based on a |
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26 | * filter or other methods). |
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27 | * |
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28 | * This backtracking line search knows of a restoration phase |
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29 | * (which is called when the trial step size becomes too small or |
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30 | * no search direction could be computed). It also has the notion |
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31 | * of a "soft restoration phase," which uses the regular steps but |
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32 | * decides on the acceptability based on other measures than the |
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33 | * regular ones (e.g., reduction of the PD error instead of |
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34 | * acceptability to a filter mechanism). |
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35 | */ |
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36 | class BacktrackingLineSearch : public LineSearch |
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37 | { |
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38 | public: |
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39 | /**@name Constructors/Destructors */ |
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40 | //@{ |
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41 | /** Constructor. The acceptor implements the acceptance test for |
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42 | * the line search. The PDSystemSolver object only needs to be |
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43 | * provided (i.e. not NULL) if second order correction is to be |
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44 | * used. The ConvergenceCheck object is used to determine |
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45 | * whether the current iterate is acceptable (for example, the |
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46 | * restoration phase is not started if the acceptability level |
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47 | * has been reached). If conv_check is NULL, we assume that the |
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48 | * current iterate is not acceptable (in the sense of the |
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49 | * acceptable_tol option). */ |
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50 | BacktrackingLineSearch(const SmartPtr<BacktrackingLSAcceptor>& acceptor, |
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51 | const SmartPtr<RestorationPhase>& resto_phase, |
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52 | const SmartPtr<ConvergenceCheck>& conv_check |
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53 | ); |
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54 | |
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55 | /** Default destructor */ |
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56 | virtual ~BacktrackingLineSearch(); |
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57 | //@} |
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58 | |
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59 | /** InitializeImpl - overloaded from AlgorithmStrategyObject */ |
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60 | virtual bool InitializeImpl(const OptionsList& options, |
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61 | const std::string& prefix); |
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62 | |
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63 | /** Perform the line search. It is assumed that the search |
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64 | * direction is computed in the data object. |
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65 | */ |
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66 | virtual void FindAcceptableTrialPoint(); |
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67 | |
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68 | /** Reset the line search. |
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69 | * This function should be called if all previous information |
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70 | * should be discarded when the line search is performed the |
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71 | * next time. For example, this method should be called if |
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72 | * the barrier parameter is changed. |
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73 | */ |
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74 | virtual void Reset(); |
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75 | |
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76 | /** Set flag indicating whether a very rigorous line search should |
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77 | * be performed. If this flag is set to true, the line search |
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78 | * algorithm might decide to abort the line search and not to |
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79 | * accept a new iterate. If the line search decided not to |
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80 | * accept a new iterate, the return value of |
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81 | * CheckSkippedLineSearch() is true at the next call. For |
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82 | * example, in the non-monotone barrier parameter update |
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83 | * procedure, the filter algorithm should not switch to the |
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84 | * restoration phase in the free mode; instead, the algorithm |
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85 | * should swtich to the fixed mode. |
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86 | */ |
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87 | virtual void SetRigorousLineSearch(bool rigorous) |
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88 | { |
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89 | rigorous_ = rigorous; |
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90 | } |
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91 | |
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92 | /** Check if the line search procedure didn't accept a new iterate |
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93 | * during the last call of FindAcceptableTrialPoint(). |
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94 | * |
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95 | */ |
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96 | virtual bool CheckSkippedLineSearch() |
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97 | { |
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98 | return skipped_line_search_; |
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99 | } |
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100 | |
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101 | /** Methods for OptionsList */ |
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102 | //@{ |
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103 | static void RegisterOptions(SmartPtr<RegisteredOptions> roptions); |
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104 | //@} |
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105 | |
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106 | private: |
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107 | /**@name Default Compiler Generated Methods |
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108 | * (Hidden to avoid implicit creation/calling). |
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109 | * These methods are not implemented and |
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110 | * we do not want the compiler to implement |
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111 | * them for us, so we declare them private |
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112 | * and do not define them. This ensures that |
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113 | * they will not be implicitly created/called. */ |
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114 | //@{ |
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115 | /** Copy Constructor */ |
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116 | BacktrackingLineSearch(const BacktrackingLineSearch&); |
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117 | |
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118 | /** Overloaded Equals Operator */ |
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119 | void operator=(const BacktrackingLineSearch&); |
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120 | //@} |
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121 | |
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122 | /** Method performing the backtracking line search. The return |
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123 | * value indicates if the step acceptance criteria are met. If |
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124 | * the watchdog is active, only one trial step is performed (and |
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125 | * the trial values are set accordingly). */ |
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126 | bool DoBacktrackingLineSearch(bool skip_first_trial_point, |
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127 | Number& alpha_primal, |
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128 | bool& corr_taken, |
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129 | bool& soc_taken, |
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130 | Index& n_steps, |
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131 | bool& evaluation_error, |
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132 | SmartPtr<IteratesVector>& actual_delta); |
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133 | |
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134 | /** Method for starting the watch dog. Set all appropriate fields |
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135 | * accordingly */ |
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136 | void StartWatchDog(); |
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137 | |
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138 | /** Method for stopping the watch dog. Set all appropriate fields |
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139 | * accordingly. */ |
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140 | void StopWatchDog(SmartPtr<IteratesVector>& actual_delta); |
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141 | |
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142 | /** Method for checking if current trial point is acceptable. |
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143 | * It is assumed that the delta information in ip_data is the |
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144 | * search direction used in criteria. The primal trial point has |
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145 | * to be set before the call. |
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146 | */ |
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147 | bool CheckAcceptabilityOfTrialPoint(Number alpha_primal); |
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148 | |
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149 | /** Check comparison "lhs <= rhs", using machine precision based on BasVal */ |
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150 | //ToDo This should probably not be a static member function if we want to |
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151 | // allow for different relaxation parameters values |
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152 | static bool Compare_le(Number lhs, Number rhs, Number BasVal); |
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153 | |
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154 | /** Method for setting the dual variables in the trial fields in |
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155 | * IpData, given the search direction. The step size for the |
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156 | * bound multipliers is alpha_dual (the fraction-to-the-boundary |
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157 | * step size), and the step size for the equality constraint |
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158 | * multipliers depends on the choice of alpha_for_y. */ |
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159 | void PerformDualStep(Number alpha_primal, |
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160 | Number alpha_dual, |
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161 | SmartPtr<IteratesVector>& delta); |
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162 | |
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163 | /** Try a step for the soft restoration phase and check if it is |
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164 | * acceptable. The step size is identical for all variables. A |
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165 | * point is accepted if it is acceptable for the original |
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166 | * acceptability criterion (in which case |
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167 | * satisfies_original_criterion = true on return), or if the |
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168 | * primal-dual system error was decrease by at least the factor |
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169 | * soft_resto_pderror_reduction_factor_. The return value is |
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170 | * true, if the trial point was acceptable for the soft |
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171 | * restoration phase. */ |
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172 | bool TrySoftRestoStep(SmartPtr<IteratesVector>& actual_delta, |
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173 | bool &satisfies_original_criterion); |
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174 | |
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175 | /** Try a second order correction for the constraints. If the |
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176 | * first trial step (with incoming alpha_primal) has been reject, |
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177 | * this tries up to max_soc_ second order corrections for the |
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178 | * constraints. Here, alpha_primal_test is the step size that |
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179 | * has to be used in the filter acceptance tests. On output |
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180 | * actual_delta_... has been set to the steps including the |
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181 | * second order correction if it has been accepted, otherwise it |
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182 | * is unchanged. If the SOC step has been accepted, alpha_primal |
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183 | * has the fraction-to-the-boundary value for the SOC step on output. |
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184 | * The return value is true, if an SOC step has been accepted. |
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185 | */ |
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186 | bool TrySecondOrderCorrection(Number alpha_primal_test, |
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187 | Number& alpha_primal, |
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188 | SmartPtr<IteratesVector>& actual_delta); |
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189 | |
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190 | /** Try higher order corrector (for fast local convergence). In |
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191 | * contrast to a second order correction step, which tries to |
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192 | * make an unacceptable point acceptable by improving constraint |
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193 | * violation, this corrector step is tried even if the regular |
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194 | * primal-dual step is acceptable. |
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195 | */ |
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196 | bool TryCorrector(Number alpha_primal_test, |
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197 | Number& alpha_primal, |
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198 | SmartPtr<IteratesVector>& actual_delta); |
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199 | |
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200 | /** Perform magic steps. Take the current values of the slacks in |
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201 | * trial and replace them by better ones that lead to smaller |
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202 | * values of the barrier function and less constraint |
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203 | * violation. */ |
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204 | void PerformMagicStep(); |
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205 | |
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206 | /** Detect if the search direction is too small. This should be |
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207 | * true if the search direction is so small that if makes |
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208 | * numerically no difference. */ |
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209 | bool DetectTinyStep(); |
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210 | |
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211 | /** Store current iterate as acceptable point */ |
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212 | void StoreAcceptablePoint(); |
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213 | |
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214 | /** Restore acceptable point into the current fields of IpData if |
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215 | * found. Returns true if such as point is available. */ |
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216 | bool RestoreAcceptablePoint(); |
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217 | |
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218 | /** Method for determining if the current iterate is acceptable |
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219 | * (in the sense of the acceptable_tol options). This is a |
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220 | * wrapper for same method from ConvergenceCheck, but returns |
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221 | * false, if no ConvergenceCheck object is provided. */ |
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222 | bool CurrentIsAcceptable(); |
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223 | |
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224 | /** @name Parameters for the filter algorithm. Names as in the paper */ |
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225 | //@{ |
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226 | /** factor by which search direction is to be shortened if trial |
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227 | * point is rejected. */ |
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228 | Number alpha_red_factor_; |
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229 | |
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230 | /** enumeration for the different alpha_for_y_ settings */ |
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231 | enum AlphaForYEnum { |
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232 | PRIMAL_ALPHA_FOR_Y=0, |
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233 | DUAL_ALPHA_FOR_Y, |
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234 | MIN_ALPHA_FOR_Y, |
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235 | MAX_ALPHA_FOR_Y, |
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236 | FULL_STEP_FOR_Y, |
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237 | MIN_DUAL_INFEAS_ALPHA_FOR_Y, |
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238 | SAFE_MIN_DUAL_INFEAS_ALPHA_FOR_Y |
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239 | }; |
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240 | /** Flag indicating whether the dual step size is to be used for |
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241 | * the equality constraint multipliers. If 0, the primal step |
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242 | * size is used, if 1 the dual step size, and if 2, the minimum |
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243 | * of both. */ |
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244 | AlphaForYEnum alpha_for_y_; |
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245 | |
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246 | /** Reduction factor for the restoration phase that accepts steps |
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247 | * reducing the optimality error ("soft restoration phase"). If |
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248 | * 0., then this restoration phase is not enabled. */ |
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249 | Number soft_resto_pderror_reduction_factor_; |
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250 | |
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251 | /** Flag indicating whether magic steps should be used. */ |
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252 | bool magic_steps_; |
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253 | /** Flag indicating whether the line search should always accept |
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254 | * the full (fraction-to-the-boundary) step. */ |
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255 | bool accept_every_trial_step_; |
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256 | /** Indicates whether problem can be expected to be infeasible. |
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257 | * This will trigger requesting a tighter reduction in |
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258 | * infeasibility the first time the restoration phase is |
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259 | * called. */ |
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260 | bool expect_infeasible_problem_; |
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261 | /** Tolerance on constraint violation for |
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262 | * expect_infeasible_problem heuristic. If the constraint |
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263 | * violation becomes that than this value, the heuristic is |
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264 | * disabled for the rest of the optimization run. */ |
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265 | Number expect_infeasible_problem_ctol_; |
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266 | |
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267 | /** Tolerance for detecting tiny steps. */ |
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268 | Number tiny_step_tol_; |
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269 | |
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270 | /** Number of watch dog trial steps. */ |
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271 | Index watchdog_trial_iter_max_; |
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272 | /** Number of shortened iterations that trigger the watchdog. */ |
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273 | Index watchdog_shortened_iter_trigger_; |
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274 | |
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275 | /** Indicates whether the algorithm should start directly with the |
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276 | * restoratin phase */ |
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277 | bool start_with_resto_; |
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278 | //@} |
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279 | |
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280 | /** @name Information related to watchdog procedure */ |
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281 | //@{ |
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282 | /** Flag indicating if the watchdog is active */ |
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283 | bool in_watchdog_; |
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284 | /** Counter for shortened iterations. */ |
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285 | Index watchdog_shortened_iter_; |
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286 | /** Counter for watch dog iterations */ |
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287 | Index watchdog_trial_iter_; |
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288 | /** Step size for Armijo test in watch dog */ |
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289 | Number watchdog_alpha_primal_test_; |
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290 | /** Watchdog reference iterate */ |
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291 | SmartPtr<const IteratesVector> watchdog_iterate_; |
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292 | /** Watchdog search direction at reference point */ |
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293 | SmartPtr<const IteratesVector> watchdog_delta_; |
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294 | //@} |
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295 | |
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296 | /** @name Storage for last iterate that satisfies the acceptable |
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297 | * level of optimality error. */ |
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298 | //@{ |
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299 | SmartPtr<const IteratesVector> acceptable_iterate_; |
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300 | //@} |
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301 | |
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302 | /** Flag indicating whether the line search is to be performed |
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303 | * robust (usually this is true, unless SetRigorousLineSearch is |
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304 | * called with false). |
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305 | */ |
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306 | bool rigorous_; |
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307 | |
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308 | /** Flag indicating whether no acceptable trial point was found |
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309 | * during last line search. */ |
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310 | bool skipped_line_search_; |
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311 | |
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312 | /** Flag indicating whether we are currently in the "soft" |
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313 | * restoration phase mode, in which steps are accepted if they |
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314 | * reduce the optimality error (see |
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315 | * soft_resto_pderror_reduction_factor) */ |
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316 | bool in_soft_resto_phase_; |
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317 | |
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318 | /** Counter for the number of successive iterations in which the |
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319 | * full step was not accepted. */ |
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320 | Index count_successive_shortened_steps_; |
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321 | |
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322 | /** Flag indicating if a tiny step was detected in previous |
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323 | * iteration */ |
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324 | bool tiny_step_last_iteration_; |
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325 | |
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326 | /** @name Strategy objective that are used */ |
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327 | //@{ |
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328 | SmartPtr<BacktrackingLSAcceptor> acceptor_; |
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329 | SmartPtr<RestorationPhase> resto_phase_; |
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330 | SmartPtr<ConvergenceCheck> conv_check_; |
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331 | //@} |
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332 | }; |
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333 | |
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334 | } // namespace Ipopt |
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335 | |
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336 | #endif |
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