1 /* Copyright (c) 2007-2010 Massachusetts Institute of Technology
3 * Permission is hereby granted, free of charge, to any person obtaining
4 * a copy of this software and associated documentation files (the
5 * "Software"), to deal in the Software without restriction, including
6 * without limitation the rights to use, copy, modify, merge, publish,
7 * distribute, sublicense, and/or sell copies of the Software, and to
8 * permit persons to whom the Software is furnished to do so, subject to
9 * the following conditions:
11 * The above copyright notice and this permission notice shall be
12 * included in all copies or substantial portions of the Software.
14 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
15 * EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
16 * MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
17 * NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
18 * LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
19 * OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
20 * WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
27 #include "nlopt-internal.h"
29 /*********************************************************************/
32 static int my_isnan(double x) { return x != x; }
33 # define isnan my_isnan
36 /*********************************************************************/
48 # include "l-bfgs-b.h"
59 #include "neldermead.h"
64 /*********************************************************************/
66 static double f_bound(int n, const double *x, void *data_)
69 nlopt_opt data = (nlopt_opt) data_;
72 /* some methods do not support bound constraints, but support
73 discontinuous objectives so we can just return Inf for invalid x */
74 for (i = 0; i < n; ++i)
75 if (x[i] < data->lb[i] || x[i] > data->ub[i])
78 f = data->f((unsigned) n, x, NULL, data->f_data);
79 return (isnan(f) || nlopt_isinf(f) ? HUGE_VAL : f);
82 static double f_noderiv(int n, const double *x, void *data_)
84 nlopt_opt data = (nlopt_opt) data_;
85 return data->f((unsigned) n, x, NULL, data->f_data);
88 static double f_direct(int n, const double *x, int *undefined, void *data_)
90 nlopt_opt data = (nlopt_opt) data_;
93 f = data->f((unsigned) n, x, NULL, data->f_data);
94 *undefined = isnan(f) || nlopt_isinf(f);
95 if (nlopt_get_force_stop(data)) return f;
96 for (i = 0; i < data->m && !*undefined; ++i) {
97 nlopt_eval_constraint(data->work, NULL, data->fc+i, (unsigned) n, x);
98 if (nlopt_get_force_stop(data)) return f;
99 for (j = 0; j < data->fc[i].m; ++j)
100 if (data->work[j] > 0)
106 /*********************************************************************/
108 /* get min(dx) for algorithms requiring a scalar initial step size */
109 static nlopt_result initial_step(nlopt_opt opt, const double *x, double *step)
111 unsigned freedx = 0, i;
115 if (nlopt_set_default_initial_step(opt, x) != NLOPT_SUCCESS)
116 return NLOPT_OUT_OF_MEMORY;
120 for (i = 0; i < opt->n; ++i)
121 if (*step > fabs(opt->dx[i]))
122 *step = fabs(opt->dx[i]);
124 if (freedx) { free(opt->dx); opt->dx = NULL; }
125 return NLOPT_SUCCESS;
128 /*********************************************************************/
130 /* return true if [lb,ub] is finite in every dimension (n dimensions) */
131 static int finite_domain(unsigned n, const double *lb, const double *ub)
134 for (i = 0; i < n; ++i)
135 if (nlopt_isinf(ub[i] - lb[i])) return 0;
139 /*********************************************************************/
141 #define POP(defaultpop) (opt->stochastic_population > 0 ? \
142 opt->stochastic_population : \
143 (nlopt_stochastic_population > 0 ? \
144 nlopt_stochastic_population : (defaultpop)))
146 /* unlike nlopt_optimize() below, only handles minimization case */
147 static nlopt_result nlopt_optimize_(nlopt_opt opt, double *x, double *minf)
149 const double *lb, *ub;
150 nlopt_algorithm algorithm;
151 nlopt_func f; void *f_data;
156 if (!opt || !x || !minf || !opt->f
157 || opt->maximize) return NLOPT_INVALID_ARGS;
159 /* reset stopping flag */
160 nlopt_set_force_stop(opt, 0);
161 opt->force_stop_child = NULL;
163 /* copy a few params to local vars for convenience */
165 ni = (int) n; /* most of the subroutines take "int" arg */
166 lb = opt->lb; ub = opt->ub;
167 algorithm = opt->algorithm;
168 f = opt->f; f_data = opt->f_data;
170 if (n == 0) { /* trivial case: no degrees of freedom */
171 *minf = opt->f(n, x, NULL, opt->f_data);
172 return NLOPT_SUCCESS;
177 /* make sure rand generator is inited */
178 nlopt_srand_time_default(); /* default is non-deterministic */
180 /* check bound constraints */
181 for (i = 0; i < n; ++i)
182 if (lb[i] > ub[i] || x[i] < lb[i] || x[i] > ub[i])
183 return NLOPT_INVALID_ARGS;
186 stop.minf_max = opt->stopval;
187 stop.ftol_rel = opt->ftol_rel;
188 stop.ftol_abs = opt->ftol_abs;
189 stop.xtol_rel = opt->xtol_rel;
190 stop.xtol_abs = opt->xtol_abs;
192 stop.maxeval = opt->maxeval;
193 stop.maxtime = opt->maxtime;
194 stop.start = nlopt_seconds();
195 stop.force_stop = &(opt->force_stop);
198 case NLOPT_GN_DIRECT:
199 case NLOPT_GN_DIRECT_L:
200 case NLOPT_GN_DIRECT_L_RAND:
201 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
202 return cdirect(ni, f, f_data,
203 lb, ub, x, minf, &stop, 0.0,
204 (algorithm != NLOPT_GN_DIRECT)
205 + 3 * (algorithm == NLOPT_GN_DIRECT_L_RAND
206 ? 2 : (algorithm != NLOPT_GN_DIRECT))
207 + 9 * (algorithm == NLOPT_GN_DIRECT_L_RAND
208 ? 1 : (algorithm != NLOPT_GN_DIRECT)));
210 case NLOPT_GN_DIRECT_NOSCAL:
211 case NLOPT_GN_DIRECT_L_NOSCAL:
212 case NLOPT_GN_DIRECT_L_RAND_NOSCAL:
213 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
214 return cdirect_unscaled(ni, f, f_data, lb, ub, x, minf,
216 (algorithm != NLOPT_GN_DIRECT)
217 + 3 * (algorithm == NLOPT_GN_DIRECT_L_RAND ? 2 : (algorithm != NLOPT_GN_DIRECT))
218 + 9 * (algorithm == NLOPT_GN_DIRECT_L_RAND ? 1 : (algorithm != NLOPT_GN_DIRECT)));
220 case NLOPT_GN_ORIG_DIRECT:
221 case NLOPT_GN_ORIG_DIRECT_L: {
222 direct_return_code dret;
223 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
224 opt->work = (double*) malloc(sizeof(double) *
225 nlopt_max_constraint_dim(opt->m,
227 if (!opt->work) return NLOPT_OUT_OF_MEMORY;
228 dret = direct_optimize(f_direct, opt, ni, lb, ub, x, minf,
229 stop.maxeval, -1, 0.0, 0.0,
230 pow(stop.xtol_rel, (double) n), -1.0,
233 algorithm == NLOPT_GN_ORIG_DIRECT
236 free(opt->work); opt->work = NULL;
238 case DIRECT_INVALID_BOUNDS:
239 case DIRECT_MAXFEVAL_TOOBIG:
240 case DIRECT_INVALID_ARGS:
241 return NLOPT_INVALID_ARGS;
242 case DIRECT_INIT_FAILED:
243 case DIRECT_SAMPLEPOINTS_FAILED:
244 case DIRECT_SAMPLE_FAILED:
245 return NLOPT_FAILURE;
246 case DIRECT_MAXFEVAL_EXCEEDED:
247 case DIRECT_MAXITER_EXCEEDED:
248 return NLOPT_MAXEVAL_REACHED;
249 case DIRECT_GLOBAL_FOUND:
250 return NLOPT_MINF_MAX_REACHED;
252 case DIRECT_SIGMATOL:
253 return NLOPT_XTOL_REACHED;
254 case DIRECT_OUT_OF_MEMORY:
255 return NLOPT_OUT_OF_MEMORY;
261 case NLOPT_GD_STOGO_RAND:
263 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
264 if (!stogo_minimize(ni, f, f_data, x, minf, lb, ub, &stop,
265 algorithm == NLOPT_GD_STOGO
266 ? 0 : (int) POP(2*n)))
267 return NLOPT_FAILURE;
270 return NLOPT_FAILURE;
274 /* lacking a free/open-source license, we no longer use
275 Rowan's code, and instead use by "sbplx" re-implementation */
276 case NLOPT_LN_SUBPLEX: {
277 int iret, freedx = 0;
280 if (nlopt_set_default_initial_step(opt, x) != NLOPT_SUCCESS)
281 return NLOPT_OUT_OF_MEMORY;
283 iret = nlopt_subplex(f_bound, minf, x, n, opt, &stop, opt->dx);
284 if (freedx) { free(opt->dx); opt->dx = NULL; }
286 case -2: return NLOPT_INVALID_ARGS;
287 case -20: return NLOPT_FORCED_STOP;
288 case -10: return NLOPT_MAXTIME_REACHED;
289 case -1: return NLOPT_MAXEVAL_REACHED;
290 case 0: return NLOPT_XTOL_REACHED;
291 case 1: return NLOPT_SUCCESS;
292 case 2: return NLOPT_MINF_MAX_REACHED;
293 case 20: return NLOPT_FTOL_REACHED;
294 case -200: return NLOPT_OUT_OF_MEMORY;
295 default: return NLOPT_FAILURE; /* unknown return code */
301 case NLOPT_LN_PRAXIS: {
303 if (initial_step(opt, x, &step) != NLOPT_SUCCESS)
304 return NLOPT_OUT_OF_MEMORY;
305 return praxis_(0.0, DBL_EPSILON,
306 step, ni, x, f_bound, opt, &stop, minf);
310 case NLOPT_LD_LBFGS_NOCEDAL: {
311 int iret, *nbd = (int *) malloc(sizeof(int) * n);
312 if (!nbd) return NLOPT_OUT_OF_MEMORY;
313 for (i = 0; i < n; ++i) {
314 int linf = nlopt_isinf(lb[i]) && lb[i] < 0;
315 int uinf = nlopt_isinf(ub[i]) && ub[i] > 0;
316 nbd[i] = linf && uinf ? 0 : (uinf ? 1 : (linf ? 3 : 2));
318 iret = lbfgsb_minimize(ni, f, f_data, x, nbd, lb, ub,
319 ni < 5 ? ni : 5, 0.0, stop.ftol_rel,
320 stop.xtol_abs[0] > 0 ? stop.xtol_abs[0]
326 case -1: return NLOPT_INVALID_ARGS;
327 case -2: default: return NLOPT_FAILURE;
331 *minf = f(n, x, NULL, f_data);
333 case 5: return NLOPT_MAXEVAL_REACHED;
334 case 2: return NLOPT_XTOL_REACHED;
335 case 1: return NLOPT_FTOL_REACHED;
336 default: return NLOPT_SUCCESS;
344 return luksan_plis(ni, f, f_data, lb, ub, x, minf, &stop);
348 return luksan_plip(ni, f, f_data, lb, ub, x, minf, &stop,
349 algorithm == NLOPT_LD_VAR1 ? 1 : 2);
351 case NLOPT_LD_TNEWTON:
352 case NLOPT_LD_TNEWTON_RESTART:
353 case NLOPT_LD_TNEWTON_PRECOND:
354 case NLOPT_LD_TNEWTON_PRECOND_RESTART:
355 return luksan_pnet(ni, f, f_data, lb, ub, x, minf, &stop,
356 1 + (algorithm - NLOPT_LD_TNEWTON) % 2,
357 1 + (algorithm - NLOPT_LD_TNEWTON) / 2);
359 case NLOPT_GN_CRS2_LM:
360 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
361 return crs_minimize(ni, f, f_data, lb, ub, x, minf, &stop,
365 case NLOPT_G_MLSL_LDS:
368 case NLOPT_GN_MLSL_LDS:
369 case NLOPT_GD_MLSL_LDS: {
370 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
371 nlopt_opt local_opt = opt->local_opt;
373 if (!local_opt && (algorithm == NLOPT_G_MLSL
374 || algorithm == NLOPT_G_MLSL_LDS))
375 return NLOPT_INVALID_ARGS;
376 if (!local_opt) { /* default */
377 nlopt_algorithm local_alg = (algorithm == NLOPT_GN_MLSL ||
378 algorithm == NLOPT_GN_MLSL_LDS)
379 ? nlopt_local_search_alg_nonderiv
380 : nlopt_local_search_alg_deriv;
381 /* don't call MLSL recursively! */
382 if (local_alg >= NLOPT_GN_MLSL
383 && local_alg <= NLOPT_GD_MLSL_LDS)
384 local_alg = (algorithm == NLOPT_GN_MLSL ||
385 algorithm == NLOPT_GN_MLSL_LDS)
386 ? NLOPT_LN_COBYLA : NLOPT_LD_MMA;
387 local_opt = nlopt_create(local_alg, n);
388 if (!local_opt) return NLOPT_FAILURE;
389 nlopt_set_ftol_rel(local_opt, opt->ftol_rel);
390 nlopt_set_ftol_abs(local_opt, opt->ftol_abs);
391 nlopt_set_xtol_rel(local_opt, opt->xtol_rel);
392 nlopt_set_xtol_abs(local_opt, opt->xtol_abs);
393 nlopt_set_maxeval(local_opt, nlopt_local_search_maxeval);
395 if (opt->dx) nlopt_set_initial_step(local_opt, opt->dx);
396 for (i = 0; i < n && stop.xtol_abs[i] > 0; ++i) ;
397 if (local_opt->ftol_rel <= 0 && local_opt->ftol_abs <= 0 &&
398 local_opt->xtol_rel <= 0 && i < n) {
399 /* it is not sensible to call MLSL without *some*
400 nonzero tolerance for the local search */
401 nlopt_set_ftol_rel(local_opt, 1e-15);
402 nlopt_set_xtol_rel(local_opt, 1e-7);
404 opt->force_stop_child = local_opt;
405 ret = mlsl_minimize(ni, f, f_data, lb, ub, x, minf, &stop,
406 local_opt, (int) POP(0),
407 algorithm >= NLOPT_GN_MLSL_LDS &&
408 algorithm != NLOPT_G_MLSL);
409 opt->force_stop_child = NULL;
410 if (!opt->local_opt) nlopt_destroy(local_opt);
417 #define LO(param, def) (opt->local_opt ? opt->local_opt->param : (def))
418 dual_opt = nlopt_create(LO(algorithm,
419 nlopt_local_search_alg_deriv),
420 nlopt_count_constraints(opt->m,
422 if (!dual_opt) return NLOPT_FAILURE;
423 nlopt_set_ftol_rel(dual_opt, LO(ftol_rel, 1e-12));
424 nlopt_set_ftol_abs(dual_opt, LO(ftol_abs, 0.0));
425 nlopt_set_maxeval(dual_opt, LO(maxeval, 100000));
428 ret = mma_minimize(ni, f, f_data, (int) (opt->m), opt->fc,
429 lb, ub, x, minf, &stop, dual_opt);
430 nlopt_destroy(dual_opt);
434 case NLOPT_LN_COBYLA: {
436 if (initial_step(opt, x, &step) != NLOPT_SUCCESS)
437 return NLOPT_OUT_OF_MEMORY;
438 return cobyla_minimize(ni, f, f_data,
441 lb, ub, x, minf, &stop,
445 case NLOPT_LN_NEWUOA: {
447 if (initial_step(opt, x, &step) != NLOPT_SUCCESS)
448 return NLOPT_OUT_OF_MEMORY;
449 return newuoa(ni, 2*n+1, x, 0, 0, step,
450 &stop, minf, f_noderiv, opt);
453 case NLOPT_LN_NEWUOA_BOUND: {
455 if (initial_step(opt, x, &step) != NLOPT_SUCCESS)
456 return NLOPT_OUT_OF_MEMORY;
457 return newuoa(ni, 2*n+1, x, lb, ub, step,
458 &stop, minf, f_noderiv, opt);
461 case NLOPT_LN_BOBYQA: {
463 if (initial_step(opt, x, &step) != NLOPT_SUCCESS)
464 return NLOPT_OUT_OF_MEMORY;
465 return bobyqa(ni, 2*n+1, x, lb, ub, step,
466 &stop, minf, f_noderiv, opt);
469 case NLOPT_LN_NELDERMEAD:
476 if (nlopt_set_default_initial_step(opt, x) != NLOPT_SUCCESS)
477 return NLOPT_OUT_OF_MEMORY;
479 if (algorithm == NLOPT_LN_NELDERMEAD)
480 ret= nldrmd_minimize(ni,f,f_data,lb,ub,x,minf,opt->dx,&stop);
482 ret= sbplx_minimize(ni,f,f_data,lb,ub,x,minf,opt->dx,&stop);
483 if (freedx) { free(opt->dx); opt->dx = NULL; }
488 case NLOPT_AUGLAG_EQ:
489 case NLOPT_LN_AUGLAG:
490 case NLOPT_LN_AUGLAG_EQ:
491 case NLOPT_LD_AUGLAG:
492 case NLOPT_LD_AUGLAG_EQ: {
493 nlopt_opt local_opt = opt->local_opt;
495 if ((algorithm == NLOPT_AUGLAG || algorithm == NLOPT_AUGLAG_EQ)
497 return NLOPT_INVALID_ARGS;
498 if (!local_opt) { /* default */
499 local_opt = nlopt_create(
500 algorithm == NLOPT_LN_AUGLAG ||
501 algorithm == NLOPT_LN_AUGLAG_EQ
502 ? nlopt_local_search_alg_nonderiv
503 : nlopt_local_search_alg_deriv, n);
504 if (!local_opt) return NLOPT_FAILURE;
505 nlopt_set_ftol_rel(local_opt, opt->ftol_rel);
506 nlopt_set_ftol_abs(local_opt, opt->ftol_abs);
507 nlopt_set_xtol_rel(local_opt, opt->xtol_rel);
508 nlopt_set_xtol_abs(local_opt, opt->xtol_abs);
509 nlopt_set_maxeval(local_opt, nlopt_local_search_maxeval);
511 if (opt->dx) nlopt_set_initial_step(local_opt, opt->dx);
512 opt->force_stop_child = local_opt;
513 ret = auglag_minimize(ni, f, f_data,
516 lb, ub, x, minf, &stop,
518 algorithm == NLOPT_AUGLAG_EQ
519 || algorithm == NLOPT_LN_AUGLAG_EQ
520 || algorithm == NLOPT_LD_AUGLAG_EQ);
521 opt->force_stop_child = NULL;
522 if (!opt->local_opt) nlopt_destroy(local_opt);
527 if (!finite_domain(n, lb, ub)) return NLOPT_INVALID_ARGS;
528 return isres_minimize(ni, f, f_data,
529 (int) (opt->m), opt->fc,
530 (int) (opt->p), opt->h,
531 lb, ub, x, minf, &stop,
535 return NLOPT_INVALID_ARGS;
538 return NLOPT_SUCCESS; /* never reached */
541 /*********************************************************************/
548 /* wrapper for maximizing: just flip the sign of f and grad */
549 static double f_max(unsigned n, const double *x, double *grad, void *data)
551 f_max_data *d = (f_max_data *) data;
552 double val = d->f(n, x, grad, d->f_data);
555 for (i = 0; i < n; ++i)
562 NLOPT_STDCALL nlopt_optimize(nlopt_opt opt, double *x, double *opt_f)
564 nlopt_func f; void *f_data;
569 if (!opt || !opt_f || !opt->f) return NLOPT_INVALID_ARGS;
570 f = opt->f; f_data = opt->f_data;
572 /* for maximizing, just minimize the f_max wrapper, which
573 flips the sign of everything */
574 if ((maximize = opt->maximize)) {
575 fmd.f = f; fmd.f_data = f_data;
576 opt->f = f_max; opt->f_data = &fmd;
577 opt->stopval = -opt->stopval;
581 ret = nlopt_optimize_(opt, x, opt_f);
583 if (maximize) { /* restore original signs */
584 opt->maximize = maximize;
585 opt->stopval = -opt->stopval;
586 opt->f = f; opt->f_data = f_data;
593 /*********************************************************************/
595 nlopt_result nlopt_optimize_limited(nlopt_opt opt, double *x, double *minf,
596 int maxeval, double maxtime)
602 if (!opt) return NLOPT_INVALID_ARGS;
604 save_maxeval = nlopt_get_maxeval(opt);
605 save_maxtime = nlopt_get_maxtime(opt);
607 /* override opt limits if maxeval and/or maxtime are more stringent */
608 if (save_maxeval <= 0 || (maxeval > 0 && maxeval < save_maxeval))
609 nlopt_set_maxeval(opt, maxeval);
610 if (save_maxtime <= 0 || (maxtime > 0 && maxtime < save_maxtime))
611 nlopt_set_maxtime(opt, maxtime);
613 ret = nlopt_optimize(opt, x, minf);
615 nlopt_set_maxeval(opt, save_maxeval);
616 nlopt_set_maxtime(opt, save_maxtime);
621 /*********************************************************************/