1 /* Copyright (c) 2007-2014 Massachusetts Institute of Technology
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12 * included in all copies or substantial portions of the Software.
14 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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23 /* Matlab MEX interface to NLopt, and in particular to nlopt_optimize */
33 #define CHECK0(cond, msg) if (!(cond)) mexErrMsgTxt(msg);
35 static double struct_val_default(const mxArray *s, const char *name, double dflt)
37 mxArray *val = mxGetField(s, 0, name);
39 CHECK0(mxIsNumeric(val) && !mxIsComplex(val)
40 && mxGetM(val) * mxGetN(val) == 1,
41 "opt fields, other than xtol_abs, must be real scalars");
42 return mxGetScalar(val);
47 static double *struct_arrval(const mxArray *s, const char *name, unsigned n,
50 mxArray *val = mxGetField(s, 0, name);
52 CHECK0(mxIsNumeric(val) && !mxIsComplex(val)
53 && mxGetM(val) * mxGetN(val) == n,
54 "opt vector field is not of length n");
60 static mxArray *struct_funcval(const mxArray *s, const char *name)
62 mxArray *val = mxGetField(s, 0, name);
64 CHECK0(mxIsChar(val) || mxIsFunctionHandle(val),
65 "opt function field is not a function handle/name");
71 static double *fill(double *arr, unsigned n, double val)
74 for (i = 0; i < n; ++i) arr[i] = val;
78 #define FLEN 128 /* max length of user function name */
79 #define MAXRHS 3 /* max nrhs for user function */
80 typedef struct user_function_data_s {
83 mxArray *prhs[MAXRHS];
86 struct user_function_data_s *dpre;
90 static double user_function(unsigned n, const double *x,
91 double *gradient, /* NULL if not needed */
94 user_function_data *d = (user_function_data *) d_;
97 d->plhs[0] = d->plhs[1] = NULL;
98 memcpy(mxGetPr(d->prhs[d->xrhs]), x, n * sizeof(double));
100 CHECK0(0 == mexCallMATLAB(gradient ? 2 : 1, d->plhs,
101 d->nrhs, d->prhs, d->f),
102 "error calling user function");
104 CHECK0(mxIsNumeric(d->plhs[0]) && !mxIsComplex(d->plhs[0])
105 && mxGetM(d->plhs[0]) * mxGetN(d->plhs[0]) == 1,
106 "user function must return real scalar");
107 f = mxGetScalar(d->plhs[0]);
108 mxDestroyArray(d->plhs[0]);
110 CHECK0(mxIsDouble(d->plhs[1]) && !mxIsComplex(d->plhs[1])
111 && (mxGetM(d->plhs[1]) == 1 || mxGetN(d->plhs[1]) == 1)
112 && mxGetM(d->plhs[1]) * mxGetN(d->plhs[1]) == n,
113 "gradient vector from user function is the wrong size");
114 memcpy(gradient, mxGetPr(d->plhs[1]), n * sizeof(double));
115 mxDestroyArray(d->plhs[1]);
118 if (d->verbose) mexPrintf("nlopt_optimize eval #%d: %g\n", d->neval, f);
119 if (mxIsNaN(f)) nlopt_force_stop(d->opt);
123 static void user_pre(unsigned n, const double *x, const double *v,
124 double *vpre, void *d_)
126 user_function_data *d = ((user_function_data *) d_)->dpre;
127 d->plhs[0] = d->plhs[1] = NULL;
128 memcpy(mxGetPr(d->prhs[d->xrhs]), x, n * sizeof(double));
129 memcpy(mxGetPr(d->prhs[d->xrhs + 1]), v, n * sizeof(double));
131 CHECK0(0 == mexCallMATLAB(1, d->plhs,
132 d->nrhs, d->prhs, d->f),
133 "error calling user function");
135 CHECK0(mxIsDouble(d->plhs[0]) && !mxIsComplex(d->plhs[0])
136 && (mxGetM(d->plhs[0]) == 1 || mxGetN(d->plhs[0]) == 1)
137 && mxGetM(d->plhs[0]) * mxGetN(d->plhs[0]) == n,
138 "vpre vector from user function is the wrong size");
139 memcpy(vpre, mxGetPr(d->plhs[0]), n * sizeof(double));
140 mxDestroyArray(d->plhs[0]);
142 if (d->verbose) mexPrintf("nlopt_optimize precond eval #%d\n", d->neval);
145 #define CHECK1(cond, msg) if (!(cond)) { mxFree(tmp); nlopt_destroy(opt); nlopt_destroy(local_opt); mexWarnMsgTxt(msg); return NULL; };
147 nlopt_opt make_opt(const mxArray *opts, unsigned n)
149 nlopt_opt opt = NULL, local_opt = NULL;
150 nlopt_algorithm algorithm;
154 algorithm = (nlopt_algorithm)
155 struct_val_default(opts, "algorithm", NLOPT_NUM_ALGORITHMS);
156 CHECK1(((int)algorithm) >= 0 && algorithm < NLOPT_NUM_ALGORITHMS,
157 "invalid opt.algorithm");
159 tmp = (double *) mxCalloc(n, sizeof(double));
160 opt = nlopt_create(algorithm, n);
161 CHECK1(opt, "nlopt: out of memory");
163 nlopt_set_lower_bounds(opt, struct_arrval(opts, "lower_bounds", n,
164 fill(tmp, n, -HUGE_VAL)));
165 nlopt_set_upper_bounds(opt, struct_arrval(opts, "upper_bounds", n,
166 fill(tmp, n, +HUGE_VAL)));
168 nlopt_set_stopval(opt, struct_val_default(opts, "stopval", -HUGE_VAL));
169 nlopt_set_ftol_rel(opt, struct_val_default(opts, "ftol_rel", 0.0));
170 nlopt_set_ftol_abs(opt, struct_val_default(opts, "ftol_abs", 0.0));
171 nlopt_set_xtol_rel(opt, struct_val_default(opts, "xtol_rel", 0.0));
172 nlopt_set_xtol_abs(opt, struct_arrval(opts, "xtol_abs", n,
174 nlopt_set_maxeval(opt, struct_val_default(opts, "maxeval", 0.0) < 0 ?
175 0 : struct_val_default(opts, "maxeval", 0.0));
176 nlopt_set_maxtime(opt, struct_val_default(opts, "maxtime", 0.0));
178 nlopt_set_population(opt, struct_val_default(opts, "population", 0));
179 nlopt_set_vector_storage(opt, struct_val_default(opts, "vector_storage", 0));
181 if (struct_arrval(opts, "initial_step", n, NULL))
182 nlopt_set_initial_step(opt,
183 struct_arrval(opts, "initial_step", n, NULL));
185 if (mxGetField(opts, 0, "local_optimizer")) {
186 const mxArray *local_opts = mxGetField(opts, 0, "local_optimizer");
187 CHECK1(mxIsStruct(local_opts),
188 "opt.local_optimizer must be a structure");
189 CHECK1(local_opt = make_opt(local_opts, n),
190 "error initializing local optimizer");
191 nlopt_set_local_optimizer(opt, local_opt);
192 nlopt_destroy(local_opt); local_opt = NULL;
199 #define CHECK(cond, msg) if (!(cond)) { mxFree(dh); mxFree(dfc); nlopt_destroy(opt); mexErrMsgTxt(msg); }
201 void mexFunction(int nlhs, mxArray *plhs[],
202 int nrhs, const mxArray *prhs[])
205 double *x, *x0, opt_f;
208 user_function_data d, dpre, *dfc = NULL, *dh = NULL;
209 nlopt_opt opt = NULL;
211 CHECK(nrhs == 2 && nlhs <= 3, "wrong number of arguments");
213 /* options = prhs[0] */
214 CHECK(mxIsStruct(prhs[0]), "opt must be a struct");
217 CHECK(mxIsDouble(prhs[1]) && !mxIsComplex(prhs[1])
218 && (mxGetM(prhs[1]) == 1 || mxGetN(prhs[1]) == 1),
219 "x must be real row or column vector");
220 n = mxGetM(prhs[1]) * mxGetN(prhs[1]),
221 x0 = mxGetPr(prhs[1]);
223 CHECK(opt = make_opt(prhs[0], n), "error initializing nlopt options");
226 d.verbose = (int) struct_val_default(prhs[0], "verbose", 0);
229 /* function f = prhs[1] */
230 mx = struct_funcval(prhs[0], "min_objective");
231 if (!mx) mx = struct_funcval(prhs[0], "max_objective");
232 CHECK(mx, "either opt.min_objective or opt.max_objective must exist");
234 CHECK(mxGetString(mx, d.f, FLEN) == 0,
235 "error reading function name string (too long?)");
241 strcpy(d.f, "feval");
245 d.prhs[d.xrhs] = mxCreateDoubleMatrix(1, n, mxREAL);
247 if ((mx = struct_funcval(prhs[0], "pre"))) {
248 CHECK(mxIsChar(mx) || mxIsFunctionHandle(mx),
249 "pre must contain function handles or function names");
251 CHECK(mxGetString(mx, dpre.f, FLEN) == 0,
252 "error reading function name string (too long?)");
258 strcpy(dpre.f, "feval");
262 dpre.verbose = d.verbose > 2;
265 dpre.prhs[dpre.xrhs] = d.prhs[d.xrhs];
266 dpre.prhs[d.xrhs+1] = mxCreateDoubleMatrix(1, n, mxREAL);
269 if (struct_funcval(prhs[0], "min_objective"))
270 nlopt_set_precond_min_objective(opt, user_function,user_pre,&d);
272 nlopt_set_precond_max_objective(opt, user_function,user_pre,&d);
276 if (struct_funcval(prhs[0], "min_objective"))
277 nlopt_set_min_objective(opt, user_function, &d);
279 nlopt_set_max_objective(opt, user_function, &d);
282 if ((mx = mxGetField(prhs[0], 0, "fc"))) {
286 CHECK(mxIsCell(mx), "fc must be a Cell array");
287 m = mxGetM(mx) * mxGetN(mx);;
288 dfc = (user_function_data *) mxCalloc(m, sizeof(user_function_data));
289 fc_tol = struct_arrval(prhs[0], "fc_tol", m, NULL);
291 for (j = 0; j < m; ++j) {
292 mxArray *fc = mxGetCell(mx, j);
293 CHECK(mxIsChar(fc) || mxIsFunctionHandle(fc),
294 "fc must contain function handles or function names");
296 CHECK(mxGetString(fc, dfc[j].f, FLEN) == 0,
297 "error reading function name string (too long?)");
303 strcpy(dfc[j].f, "feval");
307 dfc[j].verbose = d.verbose > 1;
310 dfc[j].prhs[dfc[j].xrhs] = d.prhs[d.xrhs];
311 CHECK(nlopt_add_inequality_constraint(opt, user_function,
313 fc_tol ? fc_tol[j] : 0)
314 > 0, "nlopt error adding inequality constraint");
319 if ((mx = mxGetField(prhs[0], 0, "h"))) {
323 CHECK(mxIsCell(mx), "h must be a Cell array");
324 m = mxGetM(mx) * mxGetN(mx);;
325 dh = (user_function_data *) mxCalloc(m, sizeof(user_function_data));
326 h_tol = struct_arrval(prhs[0], "h_tol", m, NULL);
328 for (j = 0; j < m; ++j) {
329 mxArray *h = mxGetCell(mx, j);
330 CHECK(mxIsChar(h) || mxIsFunctionHandle(h),
331 "h must contain function handles or function names");
333 CHECK(mxGetString(h, dh[j].f, FLEN) == 0,
334 "error reading function name string (too long?)");
340 strcpy(dh[j].f, "feval");
344 dh[j].verbose = d.verbose > 1;
347 dh[j].prhs[dh[j].xrhs] = d.prhs[d.xrhs];
348 CHECK(nlopt_add_equality_constraint(opt, user_function,
350 h_tol ? h_tol[j] : 0)
351 > 0, "nlopt error adding equality constraint");
356 x_mx = mxCreateDoubleMatrix(mxGetM(prhs[1]), mxGetN(prhs[1]), mxREAL);
358 memcpy(x, x0, sizeof(double) * n);
360 ret = nlopt_optimize(opt, x, &opt_f);
364 mxDestroyArray(d.prhs[d.xrhs]);
365 if (dpre.nrhs > 0) mxDestroyArray(dpre.prhs[d.xrhs+1]);
370 plhs[1] = mxCreateDoubleMatrix(1, 1, mxREAL);
371 *(mxGetPr(plhs[1])) = opt_f;
374 plhs[2] = mxCreateDoubleMatrix(1, 1, mxREAL);
375 *(mxGetPr(plhs[2])) = (int) ret;