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.
29 #include "nlopt-internal.h"
31 /*************************************************************************/
33 void NLOPT_STDCALL nlopt_destroy(nlopt_opt opt)
37 if (opt->munge_on_destroy) {
38 nlopt_munge munge = opt->munge_on_destroy;
40 for (i = 0; i < opt->m; ++i)
41 munge(opt->fc[i].f_data);
42 for (i = 0; i < opt->p; ++i)
43 munge(opt->h[i].f_data);
45 for (i = 0; i < opt->m; ++i)
47 for (i = 0; i < opt->p; ++i)
49 free(opt->lb); free(opt->ub);
53 nlopt_destroy(opt->local_opt);
60 nlopt_opt NLOPT_STDCALL nlopt_create(nlopt_algorithm algorithm, unsigned n)
64 if (((int) algorithm) < 0 || algorithm >= NLOPT_NUM_ALGORITHMS)
67 opt = (nlopt_opt) malloc(sizeof(struct nlopt_opt_s));
69 opt->algorithm = algorithm;
71 opt->f = NULL; opt->f_data = NULL;
73 opt->munge_on_destroy = opt->munge_on_copy = NULL;
75 opt->lb = opt->ub = NULL;
76 opt->m = opt->m_alloc = 0;
78 opt->p = opt->p_alloc = 0;
81 opt->stopval = -HUGE_VAL;
82 opt->ftol_rel = opt->ftol_abs = 0;
83 opt->xtol_rel = 0; opt->xtol_abs = NULL;
87 opt->force_stop_child = NULL;
89 opt->local_opt = NULL;
90 opt->stochastic_population = 0;
95 opt->lb = (double *) malloc(sizeof(double) * (n));
96 if (!opt->lb) goto oom;
97 opt->ub = (double *) malloc(sizeof(double) * (n));
98 if (!opt->ub) goto oom;
99 opt->xtol_abs = (double *) malloc(sizeof(double) * (n));
100 if (!opt->xtol_abs) goto oom;
101 nlopt_set_lower_bounds1(opt, -HUGE_VAL);
102 nlopt_set_upper_bounds1(opt, +HUGE_VAL);
103 nlopt_set_xtol_abs1(opt, 0.0);
114 nlopt_opt NLOPT_STDCALL nlopt_copy(const nlopt_opt opt)
116 nlopt_opt nopt = NULL;
120 nopt = (nlopt_opt) malloc(sizeof(struct nlopt_opt_s));
122 nopt->lb = nopt->ub = nopt->xtol_abs = NULL;
123 nopt->fc = nopt->h = NULL;
124 nopt->m_alloc = nopt->p_alloc = 0;
125 nopt->local_opt = NULL;
128 opt->force_stop_child = NULL;
130 munge = nopt->munge_on_copy;
131 if (munge && nopt->f_data)
132 if (!(nopt->f_data = munge(nopt->f_data))) goto oom;
135 nopt->lb = (double *) malloc(sizeof(double) * (opt->n));
136 if (!opt->lb) goto oom;
137 nopt->ub = (double *) malloc(sizeof(double) * (opt->n));
138 if (!opt->ub) goto oom;
139 nopt->xtol_abs = (double *) malloc(sizeof(double) * (opt->n));
140 if (!opt->xtol_abs) goto oom;
142 memcpy(nopt->lb, opt->lb, sizeof(double) * (opt->n));
143 memcpy(nopt->ub, opt->ub, sizeof(double) * (opt->n));
144 memcpy(nopt->xtol_abs, opt->xtol_abs, sizeof(double) * (opt->n));
148 nopt->m_alloc = opt->m;
149 nopt->fc = (nlopt_constraint *) malloc(sizeof(nlopt_constraint)
151 if (!nopt->fc) goto oom;
152 memcpy(nopt->fc, opt->fc, sizeof(nlopt_constraint) * (opt->m));
153 for (i = 0; i < opt->m; ++i) nopt->fc[i].tol = NULL;
155 for (i = 0; i < opt->m; ++i)
156 if (nopt->fc[i].f_data &&
158 = munge(nopt->fc[i].f_data)))
160 for (i = 0; i < opt->m; ++i)
161 if (opt->fc[i].tol) {
162 nopt->fc[i].tol = (double *) malloc(sizeof(double)
164 if (!nopt->fc[i].tol) goto oom;
165 memcpy(nopt->fc[i].tol, opt->fc[i].tol,
166 sizeof(double) * nopt->fc[i].m);
171 nopt->p_alloc = opt->p;
172 nopt->h = (nlopt_constraint *) malloc(sizeof(nlopt_constraint)
174 if (!nopt->h) goto oom;
175 memcpy(nopt->h, opt->h, sizeof(nlopt_constraint) * (opt->p));
176 for (i = 0; i < opt->p; ++i) nopt->h[i].tol = NULL;
178 for (i = 0; i < opt->p; ++i)
179 if (nopt->h[i].f_data &&
181 = munge(nopt->h[i].f_data)))
183 for (i = 0; i < opt->p; ++i)
185 nopt->h[i].tol = (double *) malloc(sizeof(double)
187 if (!nopt->h[i].tol) goto oom;
188 memcpy(nopt->h[i].tol, opt->h[i].tol,
189 sizeof(double) * nopt->h[i].m);
193 if (opt->local_opt) {
194 nopt->local_opt = nlopt_copy(opt->local_opt);
195 if (!nopt->local_opt) goto oom;
199 nopt->dx = (double *) malloc(sizeof(double) * (opt->n));
200 if (!nopt->dx) goto oom;
201 memcpy(nopt->dx, opt->dx, sizeof(double) * (opt->n));
207 nopt->munge_on_destroy = NULL; // better to leak mem than crash
212 /*************************************************************************/
214 nlopt_result NLOPT_STDCALL nlopt_set_min_objective(nlopt_opt opt,
215 nlopt_func f, void *f_data)
218 if (opt->munge_on_destroy) opt->munge_on_destroy(opt->f_data);
219 opt->f = f; opt->f_data = f_data;
221 if (nlopt_isinf(opt->stopval) && opt->stopval > 0)
222 opt->stopval = -HUGE_VAL; /* switch default from max to min */
223 return NLOPT_SUCCESS;
225 return NLOPT_INVALID_ARGS;
228 nlopt_result NLOPT_STDCALL nlopt_set_max_objective(nlopt_opt opt,
229 nlopt_func f, void *f_data)
232 if (opt->munge_on_destroy) opt->munge_on_destroy(opt->f_data);
233 opt->f = f; opt->f_data = f_data;
235 if (nlopt_isinf(opt->stopval) && opt->stopval < 0)
236 opt->stopval = +HUGE_VAL; /* switch default from min to max */
237 return NLOPT_SUCCESS;
239 return NLOPT_INVALID_ARGS;
242 /*************************************************************************/
245 NLOPT_STDCALL nlopt_set_lower_bounds(nlopt_opt opt, const double *lb)
247 if (opt && (opt->n == 0 || lb)) {
248 memcpy(opt->lb, lb, sizeof(double) * (opt->n));
249 return NLOPT_SUCCESS;
251 return NLOPT_INVALID_ARGS;
255 NLOPT_STDCALL nlopt_set_lower_bounds1(nlopt_opt opt, double lb)
259 for (i = 0; i < opt->n; ++i)
261 return NLOPT_SUCCESS;
263 return NLOPT_INVALID_ARGS;
267 NLOPT_STDCALL nlopt_get_lower_bounds(const nlopt_opt opt, double *lb)
269 if (opt && (opt->n == 0 || lb)) {
270 memcpy(lb, opt->lb, sizeof(double) * (opt->n));
271 return NLOPT_SUCCESS;
273 return NLOPT_INVALID_ARGS;
277 NLOPT_STDCALL nlopt_set_upper_bounds(nlopt_opt opt, const double *ub)
279 if (opt && (opt->n == 0 || ub)) {
280 memcpy(opt->ub, ub, sizeof(double) * (opt->n));
281 return NLOPT_SUCCESS;
283 return NLOPT_INVALID_ARGS;
287 NLOPT_STDCALL nlopt_set_upper_bounds1(nlopt_opt opt, double ub)
291 for (i = 0; i < opt->n; ++i)
293 return NLOPT_SUCCESS;
295 return NLOPT_INVALID_ARGS;
299 NLOPT_STDCALL nlopt_get_upper_bounds(const nlopt_opt opt, double *ub)
301 if (opt && (opt->n == 0 || ub)) {
302 memcpy(ub, opt->ub, sizeof(double) * (opt->n));
303 return NLOPT_SUCCESS;
305 return NLOPT_INVALID_ARGS;
308 /*************************************************************************/
310 #define AUGLAG_ALG(a) ((a) == NLOPT_AUGLAG || \
311 (a) == NLOPT_AUGLAG_EQ || \
312 (a) == NLOPT_LN_AUGLAG || \
313 (a) == NLOPT_LN_AUGLAG_EQ || \
314 (a) == NLOPT_LD_AUGLAG || \
315 (a) == NLOPT_LD_AUGLAG_EQ)
318 NLOPT_STDCALL nlopt_remove_inequality_constraints(nlopt_opt opt)
321 if (!opt) return NLOPT_INVALID_ARGS;
322 if (opt->munge_on_destroy) {
323 nlopt_munge munge = opt->munge_on_destroy;
324 for (i = 0; i < opt->m; ++i)
325 munge(opt->fc[i].f_data);
327 for (i = 0; i < opt->m; ++i)
328 free(opt->fc[i].tol);
331 opt->m = opt->m_alloc = 0;
332 return NLOPT_SUCCESS;
335 static nlopt_result add_constraint(unsigned *m, unsigned *m_alloc,
336 nlopt_constraint **c,
337 unsigned fm, nlopt_func fc, nlopt_mfunc mfc,
344 if ((fc && mfc) || (fc && fm != 1) || (!fc && !mfc) || !tol)
345 return NLOPT_INVALID_ARGS;
346 for (i = 0; i < fm; ++i) if (tol[i] < 0) return NLOPT_INVALID_ARGS;
348 tolcopy = (double *) malloc(sizeof(double) * fm);
349 if (fm && !tolcopy) return NLOPT_OUT_OF_MEMORY;
350 memcpy(tolcopy, tol, sizeof(double) * fm);
354 /* allocate by repeated doubling so that
355 we end up with O(log m) mallocs rather than O(m). */
357 *c = (nlopt_constraint *) realloc(*c,
358 sizeof(nlopt_constraint)
363 return NLOPT_OUT_OF_MEMORY;
369 (*c)[*m - 1].mf = mfc;
370 (*c)[*m - 1].f_data = fc_data;
371 (*c)[*m - 1].tol = tolcopy;
372 return NLOPT_SUCCESS;
375 static int inequality_ok(nlopt_algorithm algorithm) {
376 /* nonlinear constraints are only supported with some algorithms */
377 return (algorithm == NLOPT_LD_MMA
378 || algorithm == NLOPT_LD_SLSQP
379 || algorithm == NLOPT_LN_COBYLA
380 || AUGLAG_ALG(algorithm)
381 || algorithm == NLOPT_GN_ISRES
382 || algorithm == NLOPT_GN_ORIG_DIRECT
383 || algorithm == NLOPT_GN_ORIG_DIRECT_L);
387 NLOPT_STDCALL nlopt_add_inequality_mconstraint(nlopt_opt opt, unsigned m,
388 nlopt_mfunc fc, void *fc_data,
392 if (!m) { /* empty constraints are always ok */
393 if (opt && opt->munge_on_destroy) opt->munge_on_destroy(fc_data);
394 return NLOPT_SUCCESS;
396 if (!opt || !inequality_ok(opt->algorithm)) ret = NLOPT_INVALID_ARGS;
397 else ret = add_constraint(&opt->m, &opt->m_alloc, &opt->fc,
398 m, NULL, fc, fc_data, tol);
399 if (ret < 0 && opt && opt->munge_on_destroy)
400 opt->munge_on_destroy(fc_data);
405 NLOPT_STDCALL nlopt_add_inequality_constraint(nlopt_opt opt,
406 nlopt_func fc, void *fc_data,
410 if (!opt || !inequality_ok(opt->algorithm)) ret = NLOPT_INVALID_ARGS;
411 else ret = add_constraint(&opt->m, &opt->m_alloc, &opt->fc,
412 1, fc, NULL, fc_data, &tol);
413 if (ret < 0 && opt && opt->munge_on_destroy)
414 opt->munge_on_destroy(fc_data);
419 NLOPT_STDCALL nlopt_remove_equality_constraints(nlopt_opt opt)
422 if (!opt) return NLOPT_INVALID_ARGS;
423 if (opt->munge_on_destroy) {
424 nlopt_munge munge = opt->munge_on_destroy;
425 for (i = 0; i < opt->p; ++i)
426 munge(opt->h[i].f_data);
428 for (i = 0; i < opt->p; ++i)
432 opt->p = opt->p_alloc = 0;
433 return NLOPT_SUCCESS;
436 static int equality_ok(nlopt_algorithm algorithm) {
437 /* equality constraints (h(x) = 0) only via some algorithms */
438 return (AUGLAG_ALG(algorithm)
439 || algorithm == NLOPT_LD_SLSQP
440 || algorithm == NLOPT_GN_ISRES
441 || algorithm == NLOPT_LN_COBYLA);
445 NLOPT_STDCALL nlopt_add_equality_mconstraint(nlopt_opt opt, unsigned m,
446 nlopt_mfunc fc, void *fc_data,
450 if (!m) { /* empty constraints are always ok */
451 if (opt && opt->munge_on_destroy) opt->munge_on_destroy(fc_data);
452 return NLOPT_SUCCESS;
454 if (!opt || !equality_ok(opt->algorithm)
455 || nlopt_count_constraints(opt->p, opt->h) + m > opt->n)
456 ret = NLOPT_INVALID_ARGS;
457 else ret = add_constraint(&opt->p, &opt->p_alloc, &opt->h,
458 m, NULL, fc, fc_data, tol);
459 if (ret < 0 && opt && opt->munge_on_destroy)
460 opt->munge_on_destroy(fc_data);
465 NLOPT_STDCALL nlopt_add_equality_constraint(nlopt_opt opt,
466 nlopt_func fc, void *fc_data,
470 if (!opt || !equality_ok(opt->algorithm)
471 || nlopt_count_constraints(opt->p, opt->h) + 1 > opt->n)
472 ret = NLOPT_INVALID_ARGS;
473 else ret = add_constraint(&opt->p, &opt->p_alloc, &opt->h,
474 1, fc, NULL, fc_data, &tol);
475 if (ret < 0 && opt && opt->munge_on_destroy)
476 opt->munge_on_destroy(fc_data);
480 /*************************************************************************/
482 #define SET(param, T, arg) \
483 nlopt_result NLOPT_STDCALL nlopt_set_##param(nlopt_opt opt, T arg) \
487 return NLOPT_SUCCESS; \
489 return NLOPT_INVALID_ARGS; \
493 #define GET(param, T, arg) T NLOPT_STDCALL \
494 nlopt_get_##param(const nlopt_opt opt) { \
498 #define GETSET(param, T, arg) GET(param, T, arg) SET(param, T, arg)
500 GETSET(stopval, double, stopval)
502 GETSET(ftol_rel, double, ftol_rel)
503 GETSET(ftol_abs, double, ftol_abs)
504 GETSET(xtol_rel, double, xtol_rel)
507 NLOPT_STDCALL nlopt_set_xtol_abs(nlopt_opt opt, const double *xtol_abs)
510 memcpy(opt->xtol_abs, xtol_abs, opt->n * sizeof(double));
511 return NLOPT_SUCCESS;
513 return NLOPT_INVALID_ARGS;
517 NLOPT_STDCALL nlopt_set_xtol_abs1(nlopt_opt opt, double xtol_abs)
521 for (i = 0; i < opt->n; ++i)
522 opt->xtol_abs[i] = xtol_abs;
523 return NLOPT_SUCCESS;
525 return NLOPT_INVALID_ARGS;
529 NLOPT_STDCALL nlopt_get_xtol_abs(const nlopt_opt opt, double *xtol_abs)
531 memcpy(xtol_abs, opt->xtol_abs, opt->n * sizeof(double));
532 return NLOPT_SUCCESS;
535 GETSET(maxeval, int, maxeval)
537 GETSET(maxtime, double, maxtime)
539 /*************************************************************************/
542 NLOPT_STDCALL nlopt_set_force_stop(nlopt_opt opt, int force_stop)
545 opt->force_stop = force_stop;
546 if (opt->force_stop_child)
547 return nlopt_set_force_stop(opt->force_stop_child, force_stop);
548 return NLOPT_SUCCESS;
550 return NLOPT_INVALID_ARGS;
553 GET(force_stop, int, force_stop)
554 nlopt_result NLOPT_STDCALL nlopt_force_stop(nlopt_opt opt) {
555 return nlopt_set_force_stop(opt, 1);
558 /*************************************************************************/
560 GET(algorithm, nlopt_algorithm, algorithm)
561 GET(dimension, unsigned, n)
563 /*************************************************************************/
566 NLOPT_STDCALL nlopt_set_local_optimizer(nlopt_opt opt,
567 const nlopt_opt local_opt)
570 if (local_opt && local_opt->n != opt->n) return NLOPT_INVALID_ARGS;
571 nlopt_destroy(opt->local_opt);
572 opt->local_opt = nlopt_copy(local_opt);
574 if (!opt->local_opt) return NLOPT_OUT_OF_MEMORY;
575 nlopt_set_lower_bounds(opt->local_opt, opt->lb);
576 nlopt_set_upper_bounds(opt->local_opt, opt->ub);
577 nlopt_remove_inequality_constraints(opt->local_opt);
578 nlopt_remove_equality_constraints(opt->local_opt);
579 nlopt_set_min_objective(opt->local_opt, NULL, NULL);
580 nlopt_set_munge(opt->local_opt, NULL, NULL);
581 opt->local_opt->force_stop = 0;
583 return NLOPT_SUCCESS;
585 return NLOPT_INVALID_ARGS;
588 /*************************************************************************/
590 GETSET(population, unsigned, stochastic_population)
592 /*************************************************************************/
594 nlopt_result NLOPT_STDCALL nlopt_set_initial_step1(nlopt_opt opt, double dx)
597 if (!opt || dx == 0) return NLOPT_INVALID_ARGS;
598 if (!opt->dx && opt->n > 0) {
599 opt->dx = (double *) malloc(sizeof(double) * (opt->n));
600 if (!opt->dx) return NLOPT_OUT_OF_MEMORY;
602 for (i = 0; i < opt->n; ++i) opt->dx[i] = dx;
603 return NLOPT_SUCCESS;
607 NLOPT_STDCALL nlopt_set_initial_step(nlopt_opt opt, const double *dx)
610 if (!opt) return NLOPT_INVALID_ARGS;
612 free(opt->dx); opt->dx = NULL;
613 return NLOPT_SUCCESS;
615 for (i = 0; i < opt->n; ++i) if (dx[i] == 0) return NLOPT_INVALID_ARGS;
616 if (!opt->dx && nlopt_set_initial_step1(opt, 1) == NLOPT_OUT_OF_MEMORY)
617 return NLOPT_OUT_OF_MEMORY;
618 memcpy(opt->dx, dx, sizeof(double) * (opt->n));
619 return NLOPT_SUCCESS;
623 NLOPT_STDCALL nlopt_get_initial_step(const nlopt_opt opt, const double *x,
626 if (!opt) return NLOPT_INVALID_ARGS;
627 if (!opt->n) return NLOPT_SUCCESS;
629 nlopt_opt o = (nlopt_opt) opt; /* discard const temporarily */
630 nlopt_result ret = nlopt_set_default_initial_step(o, x);
631 if (ret != NLOPT_SUCCESS) return ret;
632 memcpy(dx, o->dx, sizeof(double) * (opt->n));
633 free(o->dx); o->dx = NULL; /* don't save, since x-dependent */
636 memcpy(dx, opt->dx, sizeof(double) * (opt->n));
637 return NLOPT_SUCCESS;
641 NLOPT_STDCALL nlopt_set_default_initial_step(nlopt_opt opt, const double *x)
643 const double *lb, *ub;
646 if (!opt || !x) return NLOPT_INVALID_ARGS;
647 lb = opt->lb; ub = opt->ub;
649 if (!opt->dx && nlopt_set_initial_step1(opt, 1) == NLOPT_OUT_OF_MEMORY)
650 return NLOPT_OUT_OF_MEMORY;
652 /* crude heuristics for initial step size of nonderivative algorithms */
653 for (i = 0; i < opt->n; ++i) {
654 double step = HUGE_VAL;
656 if (!nlopt_isinf(ub[i]) && !nlopt_isinf(lb[i])
657 && (ub[i] - lb[i]) * 0.25 < step && ub[i] > lb[i])
658 step = (ub[i] - lb[i]) * 0.25;
659 if (!nlopt_isinf(ub[i])
660 && ub[i] - x[i] < step && ub[i] > x[i])
661 step = (ub[i] - x[i]) * 0.75;
662 if (!nlopt_isinf(lb[i])
663 && x[i] - lb[i] < step && x[i] > lb[i])
664 step = (x[i] - lb[i]) * 0.75;
666 if (nlopt_isinf(step)) {
667 if (!nlopt_isinf(ub[i])
668 && fabs(ub[i] - x[i]) < fabs(step))
669 step = (ub[i] - x[i]) * 1.1;
670 if (!nlopt_isinf(lb[i])
671 && fabs(x[i] - lb[i]) < fabs(step))
672 step = (x[i] - lb[i]) * 1.1;
674 if (nlopt_isinf(step) || step == 0) {
677 if (nlopt_isinf(step) || step == 0)
682 return NLOPT_SUCCESS;
685 /*************************************************************************/
687 void NLOPT_STDCALL nlopt_set_munge(nlopt_opt opt,
688 nlopt_munge munge_on_destroy,
689 nlopt_munge munge_on_copy) {
691 opt->munge_on_destroy = munge_on_destroy;
692 opt->munge_on_copy = munge_on_copy;
696 /*************************************************************************/