computation/optimization/NLoptSolver.cxx

// Copyright (C) 2010 INRIA
// Author(s): Marc Fragu
//
// This file is part of the linear-algebra library Seldon,
// http://seldon.sourceforge.net/.
//
// Seldon is free software; you can redistribute it and/or modify it under the
// terms of the GNU Lesser General Public License as published by the Free
// Software Foundation; either version 2.1 of the License, or (at your option)
// any later version.
//
// Seldon 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 Lesser General Public License for
// more details.
//
// You should have received a copy of the GNU Lesser General Public License
// along with Seldon. If not, see http://www.gnu.org/licenses/.


#ifndef SELDON_COMPUTATION_OPTIMIZATION_NLOPTSOLVER_CXX
#define SELDON_COMPUTATION_OPTIMIZATION_NLOPTSOLVER_CXX


#include "NLoptSolver.hxx"


namespace Seldon
{


  NLoptSolver::NLoptSolver()
  {
  }


  NLoptSolver::~NLoptSolver()
  {
  }



  void NLoptSolver::Initialize(int Nparameter, string algorithm,
                               double parameter_tolerance,
                               double cost_function_tolerance,
                               int Niteration_max)
  {
    map<string, nlopt::algorithm> algorithm_map;
    map<string, nlopt::algorithm>::iterator it;
    algorithm_map["GN_DIRECT"] = nlopt::GN_DIRECT;
    algorithm_map["GN_DIRECT_L"] = nlopt::GN_DIRECT_L;
    algorithm_map["GN_DIRECT_L_RAND"] = nlopt::GN_DIRECT_L_RAND;
    algorithm_map["GN_DIRECT_NOSCAL"] = nlopt::GN_DIRECT_NOSCAL;
    algorithm_map["GN_DIRECT_L_NOSCAL"] = nlopt::GN_DIRECT_L_NOSCAL;
    algorithm_map["GN_DIRECT_L_RAND_NOSCAL"]
      = nlopt::GN_DIRECT_L_RAND_NOSCAL;
    algorithm_map["GN_ORIG_DIRECT"] = nlopt::GN_ORIG_DIRECT;
    algorithm_map["GN_ORIG_DIRECT_L"] = nlopt::GN_ORIG_DIRECT_L;
    algorithm_map["GD_STOGO"] = nlopt::GD_STOGO;
    algorithm_map["GD_STOGO_RAND"] = nlopt::GD_STOGO_RAND;
    algorithm_map["LD_LBFGS_NOCEDAL"] = nlopt::LD_LBFGS_NOCEDAL;
    algorithm_map["LD_LBFGS"] = nlopt::LD_LBFGS;
    algorithm_map["LN_PRAXIS"] = nlopt::LN_PRAXIS;
    algorithm_map["LD_VAR1"] = nlopt::LD_VAR1;
    algorithm_map["LD_VAR2"] = nlopt::LD_VAR2;
    algorithm_map["LD_TNEWTON"] = nlopt::LD_TNEWTON;
    algorithm_map["LD_TNEWTON_RESTART"] = nlopt::LD_TNEWTON_RESTART;
    algorithm_map["LD_TNEWTON_PRECOND"] = nlopt::LD_TNEWTON_PRECOND;
    algorithm_map["LD_TNEWTON_PRECOND_RESTART"]
      = nlopt::LD_TNEWTON_PRECOND_RESTART;
    algorithm_map["GN_CRS2_LM"] = nlopt::GN_CRS2_LM;
    algorithm_map["GN_MLSL"] = nlopt::GN_MLSL;
    algorithm_map["GD_MLSL"] = nlopt::GD_MLSL;
    algorithm_map["GN_MLSL_LDS"] = nlopt::GN_MLSL_LDS;
    algorithm_map["GD_MLSL_LDS"] = nlopt::GD_MLSL_LDS;
    algorithm_map["LD_MMA"] = nlopt::LD_MMA;
    algorithm_map["LN_COBYLA"] = nlopt::LN_COBYLA;
    algorithm_map["LN_NEWUOA"] = nlopt::LN_NEWUOA;
    algorithm_map["LN_NEWUOA_BOUND"] = nlopt::LN_NEWUOA_BOUND;
    algorithm_map["LN_NELDERMEAD"] = nlopt::LN_NELDERMEAD;
    algorithm_map["LN_SBPLX"] = nlopt::LN_SBPLX;
    algorithm_map["LN_AUGLAG"] = nlopt::LN_AUGLAG;
    algorithm_map["LD_AUGLAG"] = nlopt::LD_AUGLAG;
    algorithm_map["LN_AUGLAG_EQ"] = nlopt::LN_AUGLAG_EQ;
    algorithm_map["LD_AUGLAG_EQ"] = nlopt::LD_AUGLAG_EQ;
    algorithm_map["LN_BOBYQA"] = nlopt::LN_BOBYQA;
    algorithm_map["GN_ISRES"] = nlopt::GN_ISRES;
    algorithm_map["AUGLAG"] = nlopt::AUGLAG;
    algorithm_map["AUGLAG_EQ"] = nlopt::AUGLAG_EQ;
    algorithm_map["G_MLSL"] = nlopt::G_MLSL;
    algorithm_map["G_MLSL_LDS"] = nlopt::G_MLSL_LDS;
    algorithm_map["LD_SLSQP"] = nlopt::LD_SLSQP;

    it = algorithm_map.find(algorithm);
    if (it == algorithm_map.end())
      WrongArgument("void NLoptSolver::Initialize(int, string, double)",
                    "Unknown algorithm. Implemented algorithms are:"
                    " GN_DIRECT, "
                    "GN_DIRECT_L, GN_DIRECT_L_RAND, "
                    "GN_DIRECT_NOSCAL, "
                    "GN_DIRECT_L_NOSCAL, GN_DIRECT_L_RAND_NOSCAL,"
                    " GN_ORIG_DIRECT, "
                    "GN_ORIG_DIRECT_L, GD_STOGO, GD_STOGO_RAND, "
                    "LD_LBFGS_NOCEDAL, LD_LBFGS, LN_PRAXIS, "
                    "LD_VAR1, LD_VAR2, LD_TNEWTON, "
                    "LD_TNEWTON_RESTART, LD_TNEWTON_PRECOND, "
                    "LD_TNEWTON_PRECOND_RESTART, GN_CRS2_LM, "
                    "GN_MLSL,"
                    "GD_MLSL, GN_MLSL_LDS, GD_MLSL_LDS, "
                    "LD_MMA, LN_COBYLA, LN_NEWUOA, "
                    "LN_NEWUOA_BOUND, LN_NELDERMEAD, "
                    "LN_SBPLX, LN_AUGLAG, LD_AUGLAG, "
                    "LN_AUGLAG_EQ, LD_AUGLAG_EQ, LN_BOBYQA, "
                    "GN_ISRES, AUGLAG, AUGLAG_EQ,"
                    "G_MLSL, G_MLSL_LDS, LD_SLSQP, NUM_ALGORITHMS");
    else
      algorithm_ = it->second;

    opt_ = nlopt::SeldonOpt(algorithm_, Nparameter);

    parameter_tolerance_ = parameter_tolerance;

    cost_function_tolerance_ = cost_function_tolerance;

    Niteration_max_ = Niteration_max;
  }



  void NLoptSolver::SetLowerBound(const Vector<double>& lower_bound)
  {
    if (lower_bound.GetSize() != 0)
      opt_.set_lower_bounds(lower_bound);
  }



  void NLoptSolver::SetUpperBound(const Vector<double>& upper_bound)
  {
    if (upper_bound.GetSize() != 0)
      opt_.set_upper_bounds(upper_bound);
  }



  void NLoptSolver::SetParameterTolerance(double tolerance)
  {
    parameter_tolerance_ = tolerance;
  }



  void NLoptSolver::SetCostFunctionTolerance(double tolerance)
  {
    cost_function_tolerance_ = tolerance;
  }



  void NLoptSolver::SetNiterationMax(int Niteration_max)
  {
    Niteration_max_ = Niteration_max;
  }



  void NLoptSolver::GetParameterTolerance(double& tolerance) const
  {
    tolerance = parameter_tolerance_;
  }



  void NLoptSolver::GetCostFunctionTolerance(double& tolerance) const
  {
    tolerance = cost_function_tolerance_;
  }



  void NLoptSolver::GetNiterationMax(int& Niteration_max) const
  {
    Niteration_max = Niteration_max_;
  }



  void NLoptSolver::SetParameter(const Vector<double>& parameter)
  {
    parameter_.Reallocate(parameter.GetM());
    Copy(parameter, parameter_);
  }



  void NLoptSolver::GetParameter(Vector<double>& parameter) const
  {
    parameter.Reallocate(parameter_.GetM());
    Copy(parameter_, parameter);
  }



  void NLoptSolver::Optimize(cost_ptr cost, void* argument)
  {
    int Nparameter;
    if (0 == (Nparameter = parameter_.GetM()))
      throw WrongArgument("NLoptSolver::Optimize()",
                          "The vector of parameters to be optimized"
                          " is empty.");

    opt_.set_min_objective(cost, argument);
    opt_.set_xtol_rel(parameter_tolerance_);
    opt_.set_ftol_rel(cost_function_tolerance_);
    opt_.set_maxeval(Niteration_max_);
    nlopt::result result = opt_.optimize(parameter_, cost_);

    if (result < 0)
      throw Error("NLoptSolver::Optimize()", "Nlopt failed.");
  }



  double NLoptSolver::GetCost() const
  {
    return cost_;
  }


} // namespace Seldon.


#endif