From: stevenj <stevenj@alum.mit.edu>
Date: Mon, 30 Jul 2012 15:51:58 +0000 (-0400)
Subject: handle case of negative rescalings (from negative dx) in COBYLA and BOBYQA; thanks... 
X-Git-Url: http://www.chiark.greenend.org.uk/ucgi/~ianmdlvl/git?a=commitdiff_plain;h=037d5466fb7529d703d6cb81143625e929e5856e;p=nlopt.git

handle case of negative rescalings (from negative dx) in COBYLA and BOBYQA; thanks to Alexander Law for the bug report

Ignore-this: 2eb3c38f99b5d23bc5cf82aba25f1305

darcs-hash:20120730155158-c8de0-97cceb8446c78f4ed375222d1026ebf29f646506.gz
---

diff --git a/bobyqa/bobyqa.c b/bobyqa/bobyqa.c
index c4ddaf0..8fc454b 100644
--- a/bobyqa/bobyqa.c
+++ b/bobyqa/bobyqa.c
@@ -3108,8 +3108,9 @@ nlopt_result bobyqa(int n, int npt, double *x,
     sxu = nlopt_new_rescaled(U(n), s, xu);
     if (!sxu) { ret = NLOPT_OUT_OF_MEMORY; goto done; }
     xu = sxu;
+    nlopt_reorder_bounds(n, sxl, sxu);
 
-    rhobeg = dx[0] / s[0]; /* equals all other dx[i] after rescaling */
+    rhobeg = fabs(dx[0] / s[0]); /* equals all other dx[i] after rescaling */
 
     calfun_data.s = s;
     calfun_data.xs = xs;
@@ -3119,8 +3120,8 @@ nlopt_result bobyqa(int n, int npt, double *x,
     /* SGJ, 2009: compute rhoend from NLopt stop info */
     rhoend = stop->xtol_rel * (rhobeg);
     for (j = 0; j < n; ++j)
-	 if (rhoend < stop->xtol_abs[j] / s[j])
-	      rhoend = stop->xtol_abs[j] / s[j];
+	 if (rhoend < stop->xtol_abs[j] / fabs(s[j]))
+	      rhoend = stop->xtol_abs[j] / fabs(s[j]);
 
 
 /*     This subroutine seeks the least value of a function of many variables, */
diff --git a/cobyla/cobyla.c b/cobyla/cobyla.c
index 6a9a80e..763e01c 100644
--- a/cobyla/cobyla.c
+++ b/cobyla/cobyla.c
@@ -203,16 +203,17 @@ nlopt_result cobyla_minimize(unsigned n, nlopt_func f, void *f_data,
      if (!s.lb) { ret = NLOPT_OUT_OF_MEMORY; goto done; }
      s.ub = nlopt_new_rescaled(n, s.scale, ub);
      if (!s.ub) { ret = NLOPT_OUT_OF_MEMORY; goto done; }
+     nlopt_reorder_bounds(n, s.lb, s.ub);
 
      s.xtmp = (double *) malloc(sizeof(double) * n);
      if (!s.xtmp) { ret = NLOPT_OUT_OF_MEMORY; goto done; }
 
      /* SGJ, 2008: compute rhoend from NLopt stop info */
-     rhobeg = dx[0] / s.scale[0];
+     rhobeg = fabs(dx[0] / s.scale[0]);
      rhoend = stop->xtol_rel * (rhobeg);
      for (j = 0; j < n; ++j)
-	  if (rhoend < stop->xtol_abs[j] / s.scale[j])
-	       rhoend = stop->xtol_abs[j] / s.scale[j];
+	  if (rhoend < stop->xtol_abs[j] / fabs(s.scale[j]))
+	       rhoend = stop->xtol_abs[j] / fabs(s.scale[j]);
 
      /* each equality constraint gives two inequality constraints */
      m = nlopt_count_constraints(m, fc) + 2 * nlopt_count_constraints(p, h);
diff --git a/util/nlopt-util.h b/util/nlopt-util.h
index fa60d2b..5e2745e 100644
--- a/util/nlopt-util.h
+++ b/util/nlopt-util.h
@@ -127,6 +127,7 @@ double *nlopt_compute_rescaling(unsigned n, const double *dx);
 double *nlopt_new_rescaled(unsigned n, const double *s, const double *x);
 void nlopt_rescale(unsigned n, const double *s, const double *x, double *xs);
 void nlopt_unscale(unsigned n, const double *s, const double *x, double *xs);
+void nlopt_reorder_bounds(unsigned n, double *lb, double *ub);
 
 #ifdef __cplusplus
 }  /* extern "C" */
diff --git a/util/rescale.c b/util/rescale.c
index 11f2608..58004e8 100644
--- a/util/rescale.c
+++ b/util/rescale.c
@@ -66,3 +66,17 @@ double *nlopt_new_rescaled(unsigned n, const double *s, const double *x)
      nlopt_rescale(n, s, x, xs);
      return xs;
 }
+
+/* since rescaling can flip the signs of the x components and the bounds,
+   we may have to re-order the bounds in order to ensure that they
+   remain in the correct order */
+void nlopt_reorder_bounds(unsigned n, double *lb, double *ub)
+{
+     unsigned i;
+     for (i = 0; i < n; ++i)
+	  if (lb[i] > ub[i]) {
+	       double t = lb[i];
+	       lb[i] = ub[i];
+	       ub[i] = t;
+	  }
+}