ACLOCAL_AMFLAGS=-I ./m4
-SUBDIRS=lbfgs subplex direct stogo api . test
+SUBDIRS= util lbfgs subplex direct stogo api . test
EXTRA_DIST=COPYRIGHT autogen.sh nlopt.pc.in m4
libnlopt_la_SOURCES =
-libnlopt_la_LIBADD = lbfgs/liblbfgs.la subplex/libsubplex.la direct/libdirect.la stogo/libstogo.la api/libapi.la
+libnlopt_la_LIBADD = lbfgs/liblbfgs.la subplex/libsubplex.la direct/libdirect.la stogo/libstogo.la api/libapi.la util/libutil.la
libnlopt_la_LDFLAGS = -no-undefined -version-info @SHARED_VERSION_INFO@
-AM_CPPFLAGS = -I$(top_srcdir)/direct -I$(top_srcdir)/stogo -I$(top_srcdir)/lbfgs -I$(top_srcdir)/subplex
+AM_CPPFLAGS = -I$(top_srcdir)/direct -I$(top_srcdir)/stogo -I$(top_srcdir)/lbfgs -I$(top_srcdir)/subplex -I$(top_srcdir)/util
include_HEADERS = nlopt.h
noinst_LTLIBRARIES = libapi.la
#include <math.h>
#include "nlopt.h"
+#include "nlopt-util.h"
#include "config.h"
static const char nlopt_algorithm_names[NLOPT_NUM_ALGORITHMS][128] = {
return nlopt_algorithm_names[a];
}
+static int nlopt_srand_called = 0;
+void nlopt_srand(unsigned long seed) {
+ nlopt_srand_called = 1;
+ nlopt_init_genrand(seed);
+}
+
+void nlopt_srand_time() {
+ nlopt_srand(nlopt_time_seed());
+}
+
static int my_isinf(double x) {
return x == HUGE_VAL
#ifdef HAVE_ISINF
d.lb = lb;
d.ub = ub;
+ /* make sure rand generator is inited */
+ if (!nlopt_srand_called)
+ nlopt_srand_time(); /* default is non-deterministic */
+
/* check bound constraints */
for (i = 0; i < n; ++i)
if (lb[i] > ub[i] || x[i] < lb[i] || x[i] > ub[i])
double xtol_rel, const double *xtol_abs,
int maxeval, double maxtime);
+extern void nlopt_srand(unsigned long seed);
+extern void nlopt_srand_time(void);
+
#ifdef __cplusplus
} /* extern "C" */
#endif /* __cplusplus */
.SH ALGORITHMS
The
.I algorithm
-parameter can take on any of the following values:
+parameter specifies the optimization algorithm (for more detail on
+these, see the README files in the source-code subdirectories), and
+can take on any of the following values:
.TP
.B NLOPT_GLOBAL_DIRECT
Perform a global derivative-free optimization using the DIRECT search
-algorithm by Jones et al. See direct/README. Supports arbitrary
-nonlinear constraints as described above.
+algorithm by Jones et al. Supports arbitrary nonlinear constraints as
+described above.
.TP
.B NLOPT_GLOBAL_DIRECT_L
Perform a global derivative-free optimization using the DIRECT-L
and
.I ub
as well as nonlinear constraints as described above).
+.TP
+.B NLOPT_GLOBAL_STOGO
+Global optimization using the StoGO algorithm by Madsen et al. StoGO
+exploits gradient information (which must be supplied by the
+objective) for its local searches, and performs the global search by a
+stochastic branch-and-bound technique. This stochastic
.SH RETURN VALUE
The value returned is one of the following enumerated constants.
(Positive return values indicate successful termination, while negative
dnl Checks for typedefs, structures, and compiler characteristics.
AC_HEADER_STDC
AC_HEADER_TIME
-AC_CHECK_HEADERS([unistd.h getopt.h])
+AC_CHECK_HEADERS([unistd.h getopt.h stdint.h])
AC_C_CONST
AC_C_INLINE
+dnl find 32-bit unsigned integer type for random-number generator
+AC_CHECK_SIZEOF(unsigned int)
+AC_CHECK_SIZEOF(unsigned long)
+AC_CHECK_TYPES(uint32_t, [], [], [$ac_includes_default
+#ifdef HAVE_STDINT_H
+# include <stdint.h>
+#endif])
+
dnl Checks for libraries and functions
AC_CHECK_LIB(m, sin)
-AC_CHECK_FUNCS([BSDgettimeofday gettimeofday])
+AC_CHECK_FUNCS([BSDgettimeofday gettimeofday time])
AC_MSG_CHECKING([for isnan])
AC_TRY_LINK([#include <math.h>
Makefile
nlopt.pc
api/Makefile
+ util/Makefile
direct/Makefile
stogo/Makefile
lbfgs/Makefile
+AM_CPPFLAGS = -I$(top_srcdir)/util
+
noinst_LTLIBRARIES = libstogo.la
libstogo_la_SOURCES = global.cc linalg.cc local.cc stogo.cc tools.cc \
global.h linalg.h local.h stogo_config.h stogo.h tools.h
#include "stogo_config.h"
#include "global.h"
#include "local.h"
+#include "nlopt-util.h"
// Timer stuff
-time_t StartTime;
+double StartTime;
double MacEpsilon ;
int FC=0, GC=0 ;
tmpTrial.objval=DBL_MAX;
for (int i=1 ; i<=rnd_pnts ; i++) {
for (int dir=0 ; dir<dim ; dir++)
- tmpTrial.xvals(dir) =
- box.lb(dir)+(box.ub(dir)-box.lb(dir))*(double(rand())/RAND_MAX) ;
+ tmpTrial.xvals(dir) = nlopt_urand(box.lb(dir), box.ub(dir));
SampleBox.AddTrial(tmpTrial) ;
}
}
}
// Initialize timer
- time(&StartTime);
+ StartTime = nlopt_seconds();
// Clear priority_queues
while (!Garbage.empty())
/************* Various utility functions ****************/
double Global::GetTime()
{
- time_t ctime; time(&ctime);
- return difftime(ctime,StartTime);
+ return nlopt_seconds() - StartTime;
}
bool Global::InTime()
-AM_CPPFLAGS = -I$(top_srcdir)/api
+AM_CPPFLAGS = -I$(top_srcdir)/api -I$(top_srcdir)/util
noinst_PROGRAMS = testopt
#ifdef HAVE_GETOPT_H
# include <getopt.h>
#endif
-#if TIME_WITH_SYS_TIME
-# include <sys/time.h>
-# include <time.h>
-#else
-# if HAVE_SYS_TIME_H
-# include <sys/time.h>
-# else
-# include <time.h>
-# endif
-#endif
#include "nlopt.h"
+#include "nlopt-util.h"
#include "testfuncs.h"
-static double urand(double a, double b)
-{
- return a + (rand() * (b - a) / RAND_MAX);
-}
-
static nlopt_algorithm algorithm = NLOPT_GLOBAL_DIRECT;
static double ftol_rel = 0, ftol_abs = 0, xtol_rel = 0;
static int maxeval = 1000;
static double maxtime = 0.0;
+static void listalgs(FILE *f)
+{
+ int i;
+ fprintf(f, "Available algorithms:\n");
+ for (i = 0; i < NLOPT_NUM_ALGORITHMS; ++i)
+ fprintf(f, " %2d: %s\n", i, nlopt_algorithm_name((nlopt_algorithm) i));
+}
+
+static void listfuncs(FILE *f)
+{
+ int i;
+ fprintf(f, "Available objective functions:\n");
+ for (i = 0; i < NTESTFUNCS; ++i)
+ fprintf(f, " %2d: %s (%d dims)\n", i, testfuncs[i].name, testfuncs[i].n);
+}
+
static int test_function(int ifunc)
{
testfunc func;
int i;
double *x, fmin, f0;
nlopt_result ret;
+ double start = nlopt_seconds();
if (ifunc < 0 || ifunc >= NTESTFUNCS) {
fprintf(stderr, "testopt: invalid function %d\n", ifunc);
+ listfuncs(stderr);
return 0;
}
func = testfuncs[ifunc];
func.name, func.n, nlopt_algorithm_name(algorithm));
printf("Starting guess x = [");
for (i = 0; i < func.n; ++i)
- printf(" %g", x[i] = urand(func.lb[i], func.ub[i]));
+ printf(" %g", x[i] = nlopt_urand(func.lb[i], func.ub[i]));
printf("]\n");
f0 = func.f(func.n, x, x + func.n, func.f_data);
printf("Starting function value = %g\n", f0);
x, &fmin,
HUGE_VAL, ftol_rel, ftol_abs, xtol_rel, NULL,
maxeval, maxtime);
+ printf("finished after %g seconds.\n", nlopt_seconds() - start);
printf("return code %d from nlopt_minimize\n", ret);
if (ret < 0) {
fprintf(stderr, "testopt: error in nlopt_minimize\n");
fprintf(f, "Usage: testopt [OPTIONS]\n"
"Options:\n"
" -h : print this help\n"
+ " -L : list available algorithms and objective functions\n"
" -v : verbose mode\n"
" -r <s> : use random seed <s> for starting guesses\n"
" -a <n> : use optimization algorithm <n>\n"
{
int c;
- srand((unsigned) time(NULL));
+ nlopt_srand_time();
testfuncs_verbose = 0;
if (argc <= 1)
usage(stdout);
- while ((c = getopt(argc, argv, "hvra:o:e:")) != -1)
+ while ((c = getopt(argc, argv, "hLvra:o:e:")) != -1)
switch (c) {
case 'h':
usage(stdout);
return EXIT_SUCCESS;
+ case 'L':
+ listalgs(stdout);
+ listfuncs(stdout);
+ return EXIT_SUCCESS;
case 'v':
testfuncs_verbose = 1;
break;
c = atoi(optarg);
if (c < 0 || c >= NLOPT_NUM_ALGORITHMS) {
fprintf(stderr, "testopt: invalid algorithm %d\n", c);
+ listalgs(stderr);
return EXIT_FAILURE;
}
algorithm = (nlopt_algorithm) c;
--- /dev/null
+noinst_LTLIBRARIES = libutil.la
+libutil_la_SOURCES = mt19937ar.c timer.c nlopt-util.h
--- /dev/null
+/*
+ A C-program for MT19937, with initialization improved 2002/1/26.
+ Coded by Takuji Nishimura and Makoto Matsumoto.
+
+ Before using, initialize the state by using init_genrand(seed)
+ or init_by_array(init_key, key_length).
+
+ Copyright (C) 1997 - 2002, Makoto Matsumoto and Takuji Nishimura,
+ All rights reserved.
+
+ Modified 2007 by Steven G. Johnson for use with NLopt (to avoid
+ namespace pollution, use uint32_t instead of unsigned long,
+ and add the urand function).
+
+ Redistribution and use in source and binary forms, with or without
+ modification, are permitted provided that the following conditions
+ are met:
+
+ 1. Redistributions of source code must retain the above copyright
+ notice, this list of conditions and the following disclaimer.
+
+ 2. Redistributions in binary form must reproduce the above copyright
+ notice, this list of conditions and the following disclaimer in the
+ documentation and/or other materials provided with the distribution.
+
+ 3. The names of its contributors may not be used to endorse or promote
+ products derived from this software without specific prior written
+ permission.
+
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR
+ CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
+ EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
+ PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
+ PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
+ LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
+ NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+ SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+
+ Any feedback is very welcome.
+ http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/emt.html
+ email: m-mat @ math.sci.hiroshima-u.ac.jp (remove space)
+*/
+
+#include "nlopt-util.h"
+#include "config.h"
+
+#if defined(HAVE_STDINT_H)
+# include <stdint.h>
+#endif
+
+#ifndef HAVE_UINT32_T
+# if SIZEOF_UNSIGNED_LONG == 4
+ typedef unsigned long uint32_t;
+# elif SIZEOF_UNSIGNED_INT == 4
+ typedef unsigned int uint32_t;
+# else
+# error No 32-bit unsigned integer type
+# endif
+#endif
+
+/* Period parameters */
+#define N 624
+#define M 397
+#define MATRIX_A 0x9908b0dfUL /* constant vector a */
+#define UPPER_MASK 0x80000000UL /* most significant w-r bits */
+#define LOWER_MASK 0x7fffffffUL /* least significant r bits */
+
+static uint32_t mt[N]; /* the array for the state vector */
+static int mti=N+1; /* mti==N+1 means mt[N] is not initialized */
+
+/* initializes mt[N] with a seed */
+void nlopt_init_genrand(unsigned long s)
+{
+ mt[0]= s & 0xffffffffUL;
+ for (mti=1; mti<N; mti++) {
+ mt[mti] =
+ (1812433253UL * (mt[mti-1] ^ (mt[mti-1] >> 30)) + mti);
+ /* See Knuth TAOCP Vol2. 3rd Ed. P.106 for multiplier. */
+ /* In the previous versions, MSBs of the seed affect */
+ /* only MSBs of the array mt[]. */
+ /* 2002/01/09 modified by Makoto Matsumoto */
+ mt[mti] &= 0xffffffffUL;
+ /* for >32 bit machines */
+ }
+}
+
+/* generates a random number on [0,0xffffffff]-interval */
+static uint32_t nlopt_genrand_int32(void)
+{
+ uint32_t y;
+ static uint32_t mag01[2]={0x0UL, MATRIX_A};
+ /* mag01[x] = x * MATRIX_A for x=0,1 */
+
+ if (mti >= N) { /* generate N words at one time */
+ int kk;
+
+ if (mti == N+1) /* if init_genrand() has not been called, */
+ nlopt_init_genrand(5489UL); /* a default initial seed is used */
+
+ for (kk=0;kk<N-M;kk++) {
+ y = (mt[kk]&UPPER_MASK)|(mt[kk+1]&LOWER_MASK);
+ mt[kk] = mt[kk+M] ^ (y >> 1) ^ mag01[y & 0x1UL];
+ }
+ for (;kk<N-1;kk++) {
+ y = (mt[kk]&UPPER_MASK)|(mt[kk+1]&LOWER_MASK);
+ mt[kk] = mt[kk+(M-N)] ^ (y >> 1) ^ mag01[y & 0x1UL];
+ }
+ y = (mt[N-1]&UPPER_MASK)|(mt[0]&LOWER_MASK);
+ mt[N-1] = mt[M-1] ^ (y >> 1) ^ mag01[y & 0x1UL];
+
+ mti = 0;
+ }
+
+ y = mt[mti++];
+
+ /* Tempering */
+ y ^= (y >> 11);
+ y ^= (y << 7) & 0x9d2c5680UL;
+ y ^= (y << 15) & 0xefc60000UL;
+ y ^= (y >> 18);
+
+ return y;
+}
+
+#if 0 /* not used in NLopt */
+
+/* initialize by an array with array-length */
+/* init_key is the array for initializing keys */
+/* key_length is its length */
+/* slight change for C++, 2004/2/26 */
+static void nlopt_init_by_array(uint32_t init_key[], int key_length)
+{
+ int i, j, k;
+ nlopt_init_genrand(19650218UL);
+ i=1; j=0;
+ k = (N>key_length ? N : key_length);
+ for (; k; k--) {
+ mt[i] = (mt[i] ^ ((mt[i-1] ^ (mt[i-1] >> 30)) * 1664525UL))
+ + init_key[j] + j; /* non linear */
+ mt[i] &= 0xffffffffUL; /* for WORDSIZE > 32 machines */
+ i++; j++;
+ if (i>=N) { mt[0] = mt[N-1]; i=1; }
+ if (j>=key_length) j=0;
+ }
+ for (k=N-1; k; k--) {
+ mt[i] = (mt[i] ^ ((mt[i-1] ^ (mt[i-1] >> 30)) * 1566083941UL))
+ - i; /* non linear */
+ mt[i] &= 0xffffffffUL; /* for WORDSIZE > 32 machines */
+ i++;
+ if (i>=N) { mt[0] = mt[N-1]; i=1; }
+ }
+
+ mt[0] = 0x80000000UL; /* MSB is 1; assuring non-zero initial array */
+}
+
+/* generates a random number on [0,0x7fffffff]-interval */
+static long nlopt_genrand_int31(void)
+{
+ return (long)(nlopt_genrand_int32()>>1);
+}
+
+/* generates a random number on [0,1]-real-interval */
+static double nlopt_genrand_real1(void)
+{
+ return nlopt_genrand_int32()*(1.0/4294967295.0);
+ /* divided by 2^32-1 */
+}
+
+/* generates a random number on [0,1)-real-interval */
+static double nlopt_genrand_real2(void)
+{
+ return nlopt_genrand_int32()*(1.0/4294967296.0);
+ /* divided by 2^32 */
+}
+
+/* generates a random number on (0,1)-real-interval */
+static double nlopt_genrand_real3(void)
+{
+ return (((double)nlopt_genrand_int32()) + 0.5)*(1.0/4294967296.0);
+ /* divided by 2^32 */
+}
+
+#endif
+
+/* generates a random number on [0,1) with 53-bit resolution*/
+static double nlopt_genrand_res53(void)
+{
+ uint32_t a=nlopt_genrand_int32()>>5, b=nlopt_genrand_int32()>>6;
+ return(a*67108864.0+b)*(1.0/9007199254740992.0);
+}
+/* These real versions are due to Isaku Wada, 2002/01/09 added */
+
+/* generate uniform random number in [a,b) with 53-bit resolution,
+ added by SGJ */
+double nlopt_urand(double a, double b)
+{
+ return(a + (b - a) * nlopt_genrand_res53());
+}
+
+#if 0
+#include <stdio.h>
+int main(void)
+{
+ int i;
+ uint32_t init[4]={0x123, 0x234, 0x345, 0x456}, length=4;
+ init_by_array(init, length);
+ printf("1000 outputs of nlopt_genrand_int32()\n");
+ for (i=0; i<1000; i++) {
+ printf("%10lu ", nlopt_genrand_int32());
+ if (i%5==4) printf("\n");
+ }
+ printf("\n1000 outputs of genrand_real2()\n");
+ for (i=0; i<1000; i++) {
+ printf("%10.8f ", genrand_real2());
+ if (i%5==4) printf("\n");
+ }
+ return 0;
+}
+#endif
--- /dev/null
+#ifndef NLOPT_UTIL_H
+#define NLOPT_UTIL_H
+
+#ifdef __cplusplus
+extern "C"
+{
+#endif /* __cplusplus */
+
+/* seconds timer */
+extern double nlopt_seconds(void);
+extern unsigned long nlopt_time_seed(void);
+
+/* pseudorandom number generation by Mersenne twister algorithm */
+extern void nlopt_init_genrand(unsigned long s);
+extern double nlopt_urand(double a, double b);
+
+#ifdef __cplusplus
+} /* extern "C" */
+#endif /* __cplusplus */
+
+#endif
--- /dev/null
+#include "nlopt-util.h"
+#include "config.h"
+
+#if TIME_WITH_SYS_TIME
+# include <sys/time.h>
+# include <time.h>
+#else
+# if HAVE_SYS_TIME_H
+# include <sys/time.h>
+# else
+# include <time.h>
+# endif
+#endif
+
+#if defined(_WIN32) || defined(__WIN32__)
+# include <windows.h>
+#endif
+
+/* return time in seconds since some arbitrary point in the past */
+double nlopt_seconds(void)
+{
+ static int start_inited = 0; /* whether start time has been initialized */
+#if defined(HAVE_GETTIMEOFDAY)
+ static struct timeval start;
+ struct timeval tv;
+ if (!start_inited) {
+ start_inited = 1;
+ gettimeofday(&start, NULL);
+ }
+ gettimeofday(&tv, NULL);
+ return (tv.tv_sec - start.tv_sec) + 1.e-6 * (tv.tv_usec - start.tv_sec);
+#elif defined(HAVE_TIME)
+ return time(NULL);
+#elif defined(_WIN32) || defined(__WIN32__)
+ static ULONGLONG start;
+ FILETIME ft;
+ if (!start_inited) {
+ start_inited = 1;
+ GetSystemTimeAsFileTime(&ft);
+ start = (((ULONGLONG) ft.dwHighDateTime) << 32) + ft.dwLowDateTime;
+ }
+ GetSystemTimeAsFileTime(&ft);
+ return 100e-9 * (((((ULONGLONG) ft.dwHighDateTime) << 32) + ft.dwLowDateTime) - start);
+#else
+ /* use clock() as a fallback... this is somewhat annoying
+ because clock() may wrap around with a fairly short period */
+ static clock_t start;
+ if (!start_inited) {
+ start_inited = 1;
+ start = clock();
+ }
+ return (clock() - start) * 1.0 / CLOCKS_PER_SEC;
+#endif
+}
+
+/* number based on time for use as random seed */
+unsigned long nlopt_time_seed(void)
+{
+#if defined(HAVE_GETTIMEOFDAY)
+ struct timeval tv;
+ gettimeofday(&tv, NULL);
+ return (tv.tv_sec ^ tv.tv_usec);
+#elif defined(HAVE_TIME)
+ return time(NULL);
+#elif defined(_WIN32) || defined(__WIN32__)
+ FILETIME ft;
+ GetSystemTimeAsFileTime(&ft);
+ return ft.dwHighDateTime ^ ft.dwLowDateTime;
+#else
+ return clock();
+#endif
+}
~ianmdlvl / nlopt.git / commitdiff