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;
119 nopt = (nlopt_opt) malloc(sizeof(struct nlopt_opt_s));
121 nopt->lb = nopt->ub = nopt->xtol_abs = NULL;
122 nopt->fc = nopt->h = NULL;
123 nopt->m_alloc = nopt->p_alloc = 0;
124 nopt->local_opt = NULL;
127 opt->force_stop_child = NULL;
129 nlopt_munge munge = nopt->munge_on_copy;
130 if (munge && nopt->f_data)
131 if (!(nopt->f_data = munge(nopt->f_data))) goto oom;
134 nopt->lb = (double *) malloc(sizeof(double) * (opt->n));
135 if (!opt->lb) goto oom;
136 nopt->ub = (double *) malloc(sizeof(double) * (opt->n));
137 if (!opt->ub) goto oom;
138 nopt->xtol_abs = (double *) malloc(sizeof(double) * (opt->n));
139 if (!opt->xtol_abs) goto oom;
141 memcpy(nopt->lb, opt->lb, sizeof(double) * (opt->n));
142 memcpy(nopt->ub, opt->ub, sizeof(double) * (opt->n));
143 memcpy(nopt->xtol_abs, opt->xtol_abs, sizeof(double) * (opt->n));
147 nopt->m_alloc = opt->m;
148 nopt->fc = (nlopt_constraint *) malloc(sizeof(nlopt_constraint)
150 if (!nopt->fc) goto oom;
151 memcpy(nopt->fc, opt->fc, sizeof(nlopt_constraint) * (opt->m));
152 for (i = 0; i < opt->m; ++i) nopt->fc[i].tol = NULL;
154 for (i = 0; i < opt->m; ++i)
155 if (nopt->fc[i].f_data &&
157 = munge(nopt->fc[i].f_data)))
159 for (i = 0; i < opt->m; ++i)
160 if (opt->fc[i].tol) {
161 nopt->fc[i].tol = (double *) malloc(sizeof(double)
163 if (!nopt->fc[i].tol) goto oom;
164 memcpy(nopt->fc[i].tol, opt->fc[i].tol,
165 sizeof(double) * nopt->fc[i].m);
170 nopt->p_alloc = opt->p;
171 nopt->h = (nlopt_constraint *) malloc(sizeof(nlopt_constraint)
173 if (!nopt->h) goto oom;
174 memcpy(nopt->h, opt->h, sizeof(nlopt_constraint) * (opt->p));
175 for (i = 0; i < opt->p; ++i) nopt->h[i].tol = NULL;
177 for (i = 0; i < opt->p; ++i)
178 if (nopt->h[i].f_data &&
180 = munge(nopt->h[i].f_data)))
182 for (i = 0; i < opt->p; ++i)
184 nopt->h[i].tol = (double *) malloc(sizeof(double)
186 if (!nopt->h[i].tol) goto oom;
187 memcpy(nopt->h[i].tol, opt->h[i].tol,
188 sizeof(double) * nopt->h[i].m);
192 if (opt->local_opt) {
193 nopt->local_opt = nlopt_copy(opt->local_opt);
194 if (!nopt->local_opt) goto oom;
198 nopt->dx = (double *) malloc(sizeof(double) * (opt->n));
199 if (!nopt->dx) goto oom;
200 memcpy(nopt->dx, opt->dx, sizeof(double) * (opt->n));
206 nopt->munge_on_destroy = NULL; // better to leak mem than crash
211 /*************************************************************************/
213 nlopt_result NLOPT_STDCALL nlopt_set_min_objective(nlopt_opt opt,
214 nlopt_func f, void *f_data)
217 opt->f = f; opt->f_data = f_data;
219 if (nlopt_isinf(opt->stopval) && opt->stopval > 0)
220 opt->stopval = -HUGE_VAL; /* switch default from max to min */
221 return NLOPT_SUCCESS;
223 return NLOPT_INVALID_ARGS;
226 nlopt_result NLOPT_STDCALL nlopt_set_max_objective(nlopt_opt opt,
227 nlopt_func f, void *f_data)
230 opt->f = f; opt->f_data = f_data;
232 if (nlopt_isinf(opt->stopval) && opt->stopval < 0)
233 opt->stopval = +HUGE_VAL; /* switch default from min to max */
234 return NLOPT_SUCCESS;
236 return NLOPT_INVALID_ARGS;
239 /*************************************************************************/
242 NLOPT_STDCALL nlopt_set_lower_bounds(nlopt_opt opt, const double *lb)
244 if (opt && (opt->n == 0 || lb)) {
245 memcpy(opt->lb, lb, sizeof(double) * (opt->n));
246 return NLOPT_SUCCESS;
248 return NLOPT_INVALID_ARGS;
252 NLOPT_STDCALL nlopt_set_lower_bounds1(nlopt_opt opt, double lb)
256 for (i = 0; i < opt->n; ++i)
258 return NLOPT_SUCCESS;
260 return NLOPT_INVALID_ARGS;
264 NLOPT_STDCALL nlopt_get_lower_bounds(nlopt_opt opt, double *lb)
266 if (opt && (opt->n == 0 || lb)) {
267 memcpy(lb, opt->lb, sizeof(double) * (opt->n));
268 return NLOPT_SUCCESS;
270 return NLOPT_INVALID_ARGS;
274 NLOPT_STDCALL nlopt_set_upper_bounds(nlopt_opt opt, const double *ub)
276 if (opt && (opt->n == 0 || ub)) {
277 memcpy(opt->ub, ub, sizeof(double) * (opt->n));
278 return NLOPT_SUCCESS;
280 return NLOPT_INVALID_ARGS;
284 NLOPT_STDCALL nlopt_set_upper_bounds1(nlopt_opt opt, double ub)
288 for (i = 0; i < opt->n; ++i)
290 return NLOPT_SUCCESS;
292 return NLOPT_INVALID_ARGS;
296 NLOPT_STDCALL nlopt_get_upper_bounds(nlopt_opt opt, double *ub)
298 if (opt && (opt->n == 0 || ub)) {
299 memcpy(ub, opt->ub, sizeof(double) * (opt->n));
300 return NLOPT_SUCCESS;
302 return NLOPT_INVALID_ARGS;
305 /*************************************************************************/
307 #define AUGLAG_ALG(a) ((a) == NLOPT_AUGLAG || \
308 (a) == NLOPT_AUGLAG_EQ || \
309 (a) == NLOPT_LN_AUGLAG || \
310 (a) == NLOPT_LN_AUGLAG_EQ || \
311 (a) == NLOPT_LD_AUGLAG || \
312 (a) == NLOPT_LD_AUGLAG_EQ)
315 NLOPT_STDCALL nlopt_remove_inequality_constraints(nlopt_opt opt)
318 if (!opt) return NLOPT_INVALID_ARGS;
319 if (opt->munge_on_destroy) {
320 nlopt_munge munge = opt->munge_on_destroy;
321 for (i = 0; i < opt->m; ++i)
322 munge(opt->fc[i].f_data);
324 for (i = 0; i < opt->m; ++i)
325 free(opt->fc[i].tol);
328 opt->m = opt->m_alloc = 0;
329 return NLOPT_SUCCESS;
332 static nlopt_result add_constraint(unsigned *m, unsigned *m_alloc,
333 nlopt_constraint **c,
334 unsigned fm, nlopt_func fc, nlopt_mfunc mfc,
340 if ((fc && mfc) || (fc && fm != 1) || (!fc && !mfc) || tol < 0)
341 return NLOPT_INVALID_ARGS;
343 tolcopy = (double *) malloc(sizeof(double) * fm);
344 if (fm && !tolcopy) return NLOPT_OUT_OF_MEMORY;
345 memcpy(tolcopy, tol, sizeof(double) * fm);
349 /* allocate by repeated doubling so that
350 we end up with O(log m) mallocs rather than O(m). */
352 *c = (nlopt_constraint *) realloc(*c,
353 sizeof(nlopt_constraint)
358 return NLOPT_OUT_OF_MEMORY;
364 (*c)[*m - 1].mf = mfc;
365 (*c)[*m - 1].f_data = fc_data;
366 (*c)[*m - 1].tol = tolcopy;
367 return NLOPT_SUCCESS;
370 static int inequality_ok(nlopt_algorithm algorithm) {
371 /* nonlinear constraints are only supported with some algorithms */
372 return (algorithm == NLOPT_LD_MMA
373 || algorithm == NLOPT_LN_COBYLA
374 || AUGLAG_ALG(algorithm)
375 || algorithm == NLOPT_GN_ISRES
376 || algorithm == NLOPT_GN_ORIG_DIRECT
377 || algorithm == NLOPT_GN_ORIG_DIRECT_L);
381 NLOPT_STDCALL nlopt_add_inequality_mconstraint(nlopt_opt opt, unsigned m,
382 nlopt_mfunc fc, void *fc_data,
385 if (!m) return NLOPT_SUCCESS; /* empty constraints are always ok */
386 if (!opt || !inequality_ok(opt->algorithm)) return NLOPT_INVALID_ARGS;
387 return add_constraint(&opt->m, &opt->m_alloc, &opt->fc,
388 m, NULL, fc, fc_data, tol);
392 NLOPT_STDCALL nlopt_add_inequality_constraint(nlopt_opt opt,
393 nlopt_func fc, void *fc_data,
396 if (!opt || !inequality_ok(opt->algorithm)) return NLOPT_INVALID_ARGS;
397 return add_constraint(&opt->m, &opt->m_alloc, &opt->fc,
398 1, fc, NULL, fc_data, &tol);
402 NLOPT_STDCALL nlopt_remove_equality_constraints(nlopt_opt opt)
405 if (!opt) return NLOPT_INVALID_ARGS;
406 if (opt->munge_on_destroy) {
407 nlopt_munge munge = opt->munge_on_destroy;
408 for (i = 0; i < opt->p; ++i)
409 munge(opt->h[i].f_data);
411 for (i = 0; i < opt->p; ++i)
415 opt->p = opt->p_alloc = 0;
416 return NLOPT_SUCCESS;
419 static int equality_ok(nlopt_algorithm algorithm) {
420 /* equality constraints (h(x) = 0) only via some algorithms */
421 return (AUGLAG_ALG(algorithm)
422 || algorithm == NLOPT_GN_ISRES
423 || algorithm == NLOPT_LN_COBYLA);
427 NLOPT_STDCALL nlopt_add_equality_mconstraint(nlopt_opt opt, unsigned m,
428 nlopt_mfunc fc, void *fc_data,
431 if (!m) return NLOPT_SUCCESS; /* empty constraints are always ok */
432 if (!opt || !equality_ok(opt->algorithm)) return NLOPT_INVALID_ARGS;
433 return add_constraint(&opt->p, &opt->p_alloc, &opt->h,
434 m, NULL, fc, fc_data, tol);
438 NLOPT_STDCALL nlopt_add_equality_constraint(nlopt_opt opt,
439 nlopt_func fc, void *fc_data,
442 if (!opt || !equality_ok(opt->algorithm)) return NLOPT_INVALID_ARGS;
443 return add_constraint(&opt->p, &opt->p_alloc, &opt->h,
444 1, fc, NULL, fc_data, &tol);
447 /*************************************************************************/
449 #define SET(param, T, arg) \
450 nlopt_result NLOPT_STDCALL nlopt_set_##param(nlopt_opt opt, T arg) \
454 return NLOPT_SUCCESS; \
456 return NLOPT_INVALID_ARGS; \
460 #define GET(param, T, arg) T NLOPT_STDCALL \
461 nlopt_get_##param(const nlopt_opt opt) { \
465 #define GETSET(param, T, arg) GET(param, T, arg) SET(param, T, arg)
467 GETSET(stopval, double, stopval)
469 GETSET(ftol_rel, double, ftol_rel)
470 GETSET(ftol_abs, double, ftol_abs)
471 GETSET(xtol_rel, double, xtol_rel)
474 NLOPT_STDCALL nlopt_set_xtol_abs(nlopt_opt opt, const double *xtol_abs)
477 memcpy(opt->xtol_abs, xtol_abs, opt->n & sizeof(double));
478 return NLOPT_SUCCESS;
480 return NLOPT_INVALID_ARGS;
484 NLOPT_STDCALL nlopt_set_xtol_abs1(nlopt_opt opt, const double xtol_abs)
488 for (i = 0; i < opt->n; ++i)
489 opt->xtol_abs[i] = xtol_abs;
490 return NLOPT_SUCCESS;
492 return NLOPT_INVALID_ARGS;
496 NLOPT_STDCALL nlopt_get_xtol_abs(const nlopt_opt opt, double *xtol_abs)
498 memcpy(xtol_abs, opt->xtol_abs, opt->n & sizeof(double));
499 return NLOPT_SUCCESS;
502 GETSET(maxeval, int, maxeval)
504 GETSET(maxtime, double, maxtime)
506 /*************************************************************************/
509 NLOPT_STDCALL nlopt_set_force_stop(nlopt_opt opt, int force_stop)
512 opt->force_stop = force_stop;
513 if (opt->force_stop_child)
514 return nlopt_set_force_stop(opt->force_stop_child, force_stop);
515 return NLOPT_SUCCESS;
517 return NLOPT_INVALID_ARGS;
520 GET(force_stop, int, force_stop)
521 nlopt_result NLOPT_STDCALL nlopt_force_stop(nlopt_opt opt) {
522 return nlopt_set_force_stop(opt, 1);
525 /*************************************************************************/
527 GET(algorithm, nlopt_algorithm, algorithm)
528 GET(dimension, unsigned, n)
530 /*************************************************************************/
533 NLOPT_STDCALL nlopt_set_local_optimizer(nlopt_opt opt,
534 const nlopt_opt local_opt)
537 if (local_opt && local_opt->n != opt->n) return NLOPT_INVALID_ARGS;
538 nlopt_destroy(opt->local_opt);
539 opt->local_opt = nlopt_copy(local_opt);
541 if (!opt->local_opt) return NLOPT_OUT_OF_MEMORY;
542 nlopt_set_lower_bounds(opt->local_opt, opt->lb);
543 nlopt_set_upper_bounds(opt->local_opt, opt->ub);
544 nlopt_remove_inequality_constraints(opt->local_opt);
545 nlopt_remove_equality_constraints(opt->local_opt);
546 nlopt_set_min_objective(opt->local_opt, NULL, NULL);
547 opt->local_opt->force_stop = 0;
549 return NLOPT_SUCCESS;
551 return NLOPT_INVALID_ARGS;
554 /*************************************************************************/
556 GETSET(population, unsigned, stochastic_population)
558 /*************************************************************************/
560 nlopt_result NLOPT_STDCALL nlopt_set_initial_step1(nlopt_opt opt, double dx)
563 if (!opt || dx == 0) return NLOPT_INVALID_ARGS;
564 if (!opt->dx && opt->n > 0) {
565 opt->dx = (double *) malloc(sizeof(double) * (opt->n));
566 if (!opt->dx) return NLOPT_OUT_OF_MEMORY;
568 for (i = 0; i < opt->n; ++i) opt->dx[i] = dx;
569 return NLOPT_SUCCESS;
573 NLOPT_STDCALL nlopt_set_initial_step(nlopt_opt opt, const double *dx)
576 if (!opt) return NLOPT_INVALID_ARGS;
578 free(opt->dx); opt->dx = NULL;
579 return NLOPT_SUCCESS;
581 for (i = 0; i < opt->n; ++i) if (dx[i] == 0) return NLOPT_INVALID_ARGS;
582 if (!opt->dx && nlopt_set_initial_step1(opt, 1) == NLOPT_OUT_OF_MEMORY)
583 return NLOPT_OUT_OF_MEMORY;
584 memcpy(opt->dx, dx, sizeof(double) * (opt->n));
585 return NLOPT_SUCCESS;
589 NLOPT_STDCALL nlopt_get_initial_step(const nlopt_opt opt, const double *x,
592 if (!opt) return NLOPT_INVALID_ARGS;
593 if (!opt->n) return NLOPT_SUCCESS;
595 nlopt_opt o = (nlopt_opt) opt; /* discard const temporarily */
596 nlopt_result ret = nlopt_set_default_initial_step(o, x);
597 if (ret != NLOPT_SUCCESS) return ret;
598 memcpy(dx, o->dx, sizeof(double) * (opt->n));
599 free(o->dx); o->dx = NULL; /* don't save, since x-dependent */
602 memcpy(dx, opt->dx, sizeof(double) * (opt->n));
603 return NLOPT_SUCCESS;
607 NLOPT_STDCALL nlopt_set_default_initial_step(nlopt_opt opt, const double *x)
609 const double *lb, *ub;
612 if (!opt || !x) return NLOPT_INVALID_ARGS;
613 lb = opt->lb; ub = opt->ub;
615 if (!opt->dx && nlopt_set_initial_step1(opt, 1) == NLOPT_OUT_OF_MEMORY)
616 return NLOPT_OUT_OF_MEMORY;
618 /* crude heuristics for initial step size of nonderivative algorithms */
619 for (i = 0; i < opt->n; ++i) {
620 double step = HUGE_VAL;
622 if (!nlopt_isinf(ub[i]) && !nlopt_isinf(lb[i])
623 && (ub[i] - lb[i]) * 0.25 < step && ub[i] > lb[i])
624 step = (ub[i] - lb[i]) * 0.25;
625 if (!nlopt_isinf(ub[i])
626 && ub[i] - x[i] < step && ub[i] > x[i])
627 step = (ub[i] - x[i]) * 0.75;
628 if (!nlopt_isinf(lb[i])
629 && x[i] - lb[i] < step && x[i] > lb[i])
630 step = (x[i] - lb[i]) * 0.75;
632 if (nlopt_isinf(step)) {
633 if (!nlopt_isinf(ub[i])
634 && fabs(ub[i] - x[i]) < fabs(step))
635 step = (ub[i] - x[i]) * 1.1;
636 if (!nlopt_isinf(lb[i])
637 && fabs(x[i] - lb[i]) < fabs(step))
638 step = (x[i] - lb[i]) * 1.1;
640 if (nlopt_isinf(step) || step == 0) {
643 if (nlopt_isinf(step) || step == 0)
648 return NLOPT_SUCCESS;
651 /*************************************************************************/
653 void NLOPT_STDCALL nlopt_set_munge(nlopt_opt opt,
654 nlopt_munge munge_on_destroy,
655 nlopt_munge munge_on_copy) {
657 opt->munge_on_destroy = munge_on_destroy;
658 opt->munge_on_copy = munge_on_copy;
662 /*************************************************************************/