+#include <limits.h>
#include <stdlib.h>
#include <math.h>
+#include <string.h>
#include "luksan.h"
-#define TRUE_ 1
-#define FALSE_ 0
-
-/* Common Block Declarations */
-
-struct {
- int nres, ndec, nin, nit, nfv, nfg, nfh;
-} stat_;
-
-#define stat_1 stat_
+#define max(a,b) ((a) > (b) ? (a) : (b))
+#define min(a,b) ((a) < (b) ? (a) : (b))
/* Table of constant values */
/* RI TOLF TOLERANCE FOR CHANGE OF FUNCTION VALUES. */
/* RI TOLB TOLERANCE FOR THE FUNCTION VALUE. */
/* RI TOLG TOLERANCE FOR THE GRADIENT NORM. */
-/* RI FMIN ESTIMATION OF THE MINIMUM FUNCTION VALUE. */
+/* RI MINF_EST ESTIMATION OF THE MINIMUM FUNCTION VALUE. */
/* RO GMAX MAXIMUM PARTIAL DERIVATIVE. */
/* RO F VALUE OF THE OBJECTIVE FUNCTION. */
/* II MIT MAXIMUM NUMBER OF ITERATIONS. */
/* II MFV MAXIMUM NUMBER OF FUNCTION EVALUATIONS. */
/* II MFG MAXIMUM NUMBER OF GRADIENT EVALUATIONS. */
/* II IEST ESTIMATION INDICATOR. IEST=0-MINIMUM IS NOT ESTIMATED. */
-/* IEST=1-MINIMUM IS ESTIMATED BY THE VALUE FMIN. */
+/* IEST=1-MINIMUM IS ESTIMATED BY THE VALUE MINF_EST. */
/* II MOS1 CHOICE OF RESTARTS AFTER A CONSTRAINT CHANGE. */
/* MOS1=1-RESTARTS ARE SUPPRESSED. MOS1=2-RESTARTS WITH */
/* STEEPEST DESCENT DIRECTIONS ARE USED. */
/* BFGS METHOD IS USED. */
/* II MF THE NUMBER OF LIMITED-MEMORY VARIABLE METRIC UPDATES */
/* IN EACH ITERATION (THEY USE 2*MF STORED VECTORS). */
-/* II IPRNT PRINT SPECIFICATION. IPRNT=0-NO PRINT. */
-/* ABS(IPRNT)=1-PRINT OF FINAL RESULTS. */
-/* ABS(IPRNT)=2-PRINT OF FINAL RESULTS AND ITERATIONS. */
-/* IPRNT>0-BASIC FINAL RESULTS. IPRNT<0-EXTENDED FINAL */
-/* RESULTS. */
/* IO ITERM VARIABLE THAT INDICATES THE CAUSE OF TERMINATION. */
/* ITERM=1-IF ABS(X-XO) WAS LESS THAN OR EQUAL TO TOLX IN */
/* MTESX (USUALLY TWO) SUBSEQUEBT ITERATIONS. */
/* CALLING SEQUENCE: CALL DOBJ(NF,X,GF) WHERE NF IS THE NUMBER */
/* OF VARIABLES, X(NF) IS THE VECTOR OF VARIABLES AND GF(NF) */
/* IS THE GRADIENT OF THE OBJECTIVE FUNCTION. */
+/* -- OBJ and DOBJ are replaced by a single function, objgrad, in NLopt */
/* METHOD : */
/* LIMITED MEMORY VARIABLE METRIC METHOD BASED ON THE STRANG */
/* RECURRENCES. */
static void pnet_(int *nf, int *nb, double *x, int *
- ix, double *xl, double *xu, double *gf, double *gn,
- double *s, double *xo, double *go, double *xs,
- double *gs, double *xm, double *gm, double *u1,
- double *u2, double *xmax, double *tolx, double *tolf,
- double *tolb, double *tolg, double *fmin, double *
- gmax, double *f, int *mit, int *mfv, int *mfg,
- int *iest, int *mos1, int *mos2, int *mf, int *
- iprnt, int *iterm)
+ ix, double *xl, double *xu, double *gf, double *gn,
+ double *s, double *xo, double *go, double *xs,
+ double *gs, double *xm, double *gm, double *u1,
+ double *u2, double *xmax, double *tolx, double *tolf,
+ double *tolb, double *tolg, nlopt_stopping *stop,
+ double *minf_est, double *
+ gmax, double *f, int *mit, int *mfv, int *mfg,
+ int *iest, int *mos1, int *mos2, int *mf,
+ int *iterm, stat_common *stat_1,
+ nlopt_func objgrad, void *objgrad_data)
{
/* System generated locals */
int i__1;
double fo, fp, po, pp, ro, rp;
int mx, kbf;
double alf;
- extern static void obj_(int *, double *, double *);
double par;
int mes, kit;
double rho, eps;
double alf1, alf2, eta0, eta9, par1, par2;
int mes1, mes2, mes3;
double rho1, rho2, eps8, eps9;
- extern static void dobj_(int *, double *, double *);
int mred, iold, nred;
- double fmax, dmax__;
- extern static void luksan_ps1l01__(double *, double *,
- double *, double *, double *, double *,
- double *, double *, double *, double *,
- double *, double *, double *, double *,
- double *, double *, int *, int *, int *,
- int *, int *, int *, int *, int *, int *,
- int *, int *, int *, int *);
+ double maxf, dmax__;
int inew;
double told;
int ites;
double rmin, rmax, umax, tolp, tols;
int isys;
- extern static void luksan_pcbs04__(int *, double *,
- int *, double *, double *, double *, int *);
int ires1, ires2;
- extern static void luksan_pyadc0__(int *, int *,
- double *, int *, double *, double *, int *);
int iterd, mtesf, ntesf;
double gnorm;
- extern static void luksan_pyrmc0__(int *, int *, int
- *, double *, double *, double *, double *,
- double *, int *, int *);
int iters, irest, inits, kters, maxst;
double snorm;
int mtesx, ntesx;
- extern static void luksan_pyfut1__(int *, double *,
- double *, double *, double *, double *,
- double *, double *, double *, double *, int *,
- int *, int *, int *, int *, int *, int *,
- int *, int *, int *, int *, int *, int *,
- int *, int *, int *, int *, int *),
- luksan_mxdrcb__(int *, int *, double *, double *,
- double *, double *, double *, int *, int *),
- luksan_mxdrcf__(int *, int *, double *, double *,
- double *, double *, double *, int *, int *),
- luksan_mxvdif__(int *, double *, double *, double
- *), luksan_mxvneg__(int *, double *, double *),
- luksan_pytrcd__(int *, double *, int *, double *,
- double *, double *, double *, double *,
- double *, double *, double *, double *, int *,
- int *, int *, int *), luksan_pytrcg__(int *,
- int *, int *, double *, double *, double *,
- int *, int *), luksan_mxudir__(int *, double *,
- double *, double *, double *, int *, int *),
- luksan_mxvcop__(int *, double *, double *),
- luksan_mxvscl__(int *, double *, double *, double
- *), luksan_mxdrsu__(int *, int *, double *,
- double *, double *), luksan_pytrcs__(int *,
- double *, int *, double *, double *, double *,
- double *, double *, double *, double *,
- double *, double *, double *, double *,
- double *, double *, double *, int *),
- luksan_mxvset__(int *, double *, double *);
- extern double mxudot_(int *, double *, double *, int *
- , int *);
-
/* INITIATION */
if (*nb > 0) {
kbf = 2;
}
- stat_1.nres = 0;
- stat_1.ndec = 0;
- stat_1.nin = 0;
- stat_1.nit = 0;
- stat_1.nfv = 0;
- stat_1.nfg = 0;
- stat_1.nfh = 0;
+ stat_1->nres = 0;
+ stat_1->ndec = 0;
+ stat_1->nin = 0;
+ stat_1->nit = 0;
+ stat_1->nfg = 0;
+ stat_1->nfh = 0;
isys = 0;
ites = 1;
mtesx = 2;
alf2 = 1e10;
rmax = eta9;
dmax__ = eta9;
- fmax = 1e20;
+ maxf = 1e20;
if (*iest <= 0) {
- *fmin = -1e60;
+ *minf_est = -HUGE_VAL; /* changed from -1e60 by SGJ */
}
if (*iest > 0) {
*iest = 1;
*tolf = 1e-14;
}
if (*tolg <= 0.) {
- *tolg = 1e-6;
+ *tolg = 1e-8; /* SGJ: was 1e-6, but this sometimes stops too soon */
}
+#if 0
+ /* removed by SGJ: this check prevented us from using minf_max <= 0,
+ which doesn't make sense. Instead, if you don't want to have a
+ lower limit, you should set minf_max = -HUGE_VAL */
if (*tolb <= 0.) {
- *tolb = *fmin + 1e-16;
+ *tolb = *minf_est + 1e-16;
}
+#endif
told = 1e-4;
tols = 1e-4;
tolp = .9;
+ /* changed by SGJ: default is no limit (INT_MAX) on # iterations/fevals */
if (*mit <= 0) {
- *mit = 5000;
+ *mit = INT_MAX;
}
if (*mfv <= 0) {
- *mfv = 5000;
+ *mfv = INT_MAX;
}
if (*mfg <= 0) {
- *mfg = 30000;
+ *mfg = INT_MAX;
}
if (*mos1 <= 0) {
*mos1 = 1;
kd = 1;
ld = -1;
kit = -(ires1 * *nf + ires2);
- fo = *fmin;
+ fo = *minf_est;
/* INITIAL OPERATIONS WITH SIMPLE BOUNDS */
luksan_pcbs04__(nf, &x[1], &ix[1], &xl[1], &xu[1], &eps9, &kbf);
luksan_pyadc0__(nf, &n, &x[1], &ix[1], &xl[1], &xu[1], &inew);
}
- obj_(nf, &x[1], f);
- ++stat_1.nfv;
- dobj_(nf, &x[1], &gf[1]);
- ++stat_1.nfg;
+ *f = objgrad(*nf, &x[1], &gf[1], objgrad_data);
+ ++stop->nevals;
+ ++stat_1->nfg;
ld = kd;
L11020:
luksan_pytrcg__(nf, nf, &ix[1], &gf[1], &umax, gmax, &kbf, &iold);
luksan_mxvcop__(nf, &gf[1], &gn[1]);
luksan_pyfut1__(nf, f, &fo, &umax, gmax, &dmax__, tolx, tolf, tolb, tolg,
- &kd, &stat_1.nit, &kit, mit, &stat_1.nfv, mfv, &stat_1.nfg, mfg, &
+ &kd, &stat_1->nit, &kit, mit, &stop->nevals, mfv, &stat_1->nfg, mfg, &
ntesx, &mtesx, &ntesf, &mtesf, &ites, &ires1, &ires2, &irest, &
iters, iterm);
if (*iterm != 0) {
goto L11080;
}
+ if (nlopt_stop_time(stop)) { *iterm = 100; goto L11080; }
if (kbf > 0) {
luksan_pyrmc0__(nf, &n, &ix[1], &gn[1], &eps8, &umax, gmax, &rmax, &
iold, &irest);
/* DIRECTION DETERMINATION */
if (irest != 0) {
- if (kit < stat_1.nit) {
+ if (kit < stat_1->nit) {
mx = 0;
- ++stat_1.nres;
- kit = stat_1.nit;
+ ++stat_1->nres;
+ kit = stat_1->nit;
} else {
*iterm = -10;
if (iters < 0) {
}
if (*mos1 > 1) {
luksan_mxvneg__(nf, &gn[1], &s[1]);
- gnorm = sqrt(mxudot_(nf, &gn[1], &gn[1], &ix[1], &kbf));
+ gnorm = sqrt(luksan_mxudot__(nf, &gn[1], &gn[1], &ix[1], &kbf));
snorm = gnorm;
goto L12560;
}
}
- rho1 = mxudot_(nf, &gn[1], &gn[1], &ix[1], &kbf);
+ rho1 = luksan_mxudot__(nf, &gn[1], &gn[1], &ix[1], &kbf);
gnorm = sqrt(rho1);
/* Computing MIN */
d__1 = eps, d__2 = sqrt(gnorm);
par = min(d__1,d__2);
if (par > .01) {
/* Computing MIN */
- d__1 = par, d__2 = 1. / (double) stat_1.nit;
+ d__1 = par, d__2 = 1. / (double) stat_1->nit;
par = min(d__1,d__2);
}
par *= par;
if (mx == 0) {
b = 0.;
} else {
- b = mxudot_(nf, &xm[1], &gm[1], &ix[1], &kbf);
+ b = luksan_mxudot__(nf, &xm[1], &gm[1], &ix[1], &kbf);
}
if (b > 0.) {
u1[1] = 1. / b;
luksan_mxdrcb__(nf, &mx, &xm[1], &gm[1], &u1[1], &u2[1], &xs[1], &
ix[1], &kbf);
- a = mxudot_(nf, &gm[1], &gm[1], &ix[1], &kbf);
+ a = luksan_mxudot__(nf, &gm[1], &gm[1], &ix[1], &kbf);
if (a > 0.) {
d__1 = b / a;
luksan_mxvscl__(nf, &d__1, &xs[1], &xs[1]);
ix[1], &kbf);
}
}
- rho = mxudot_(nf, &gs[1], &xs[1], &ix[1], &kbf);
+ rho = luksan_mxudot__(nf, &gs[1], &xs[1], &ix[1], &kbf);
/* SIG=RHO */
mmx = *nf + 3;
nred = 0;
goto L12550;
}
fo = *f;
- pp = sqrt(eta0 / mxudot_(nf, &xs[1], &xs[1], &ix[1], &kbf));
+ pp = sqrt(eta0 / luksan_mxudot__(nf, &xs[1], &xs[1], &ix[1], &kbf));
ld = 0;
luksan_mxudir__(nf, &pp, &xs[1], &xo[1], &x[1], &ix[1], &kbf);
- dobj_(nf, &x[1], &gf[1]);
- ++stat_1.nfg;
+ objgrad(*nf, &x[1], &gf[1], objgrad_data);
+ ++stop->nevals;
+ ++stat_1->nfg;
ld = kd;
luksan_mxvdif__(nf, &gf[1], &gn[1], &go[1]);
*f = fo;
d__1 = 1. / pp;
luksan_mxvscl__(nf, &d__1, &go[1], &go[1]);
- alf = mxudot_(nf, &xs[1], &go[1], &ix[1], &kbf);
+ alf = luksan_mxudot__(nf, &xs[1], &go[1], &ix[1], &kbf);
if (alf <= 1. / eta9) {
/* IF (ALF.LE.1.0D-8*SIG) THEN */
luksan_mxudir__(nf, &alf, &xs[1], &s[1], &s[1], &ix[1], &kbf);
d__1 = -alf;
luksan_mxudir__(nf, &d__1, &go[1], &gs[1], &gs[1], &ix[1], &kbf);
- rho2 = mxudot_(nf, &gs[1], &gs[1], &ix[1], &kbf);
- snorm = sqrt(mxudot_(nf, &s[1], &s[1], &ix[1], &kbf));
+ rho2 = luksan_mxudot__(nf, &gs[1], &gs[1], &ix[1], &kbf);
+ snorm = sqrt(luksan_mxudot__(nf, &s[1], &s[1], &ix[1], &kbf));
if (rho2 <= par * rho1) {
goto L12560;
}
}
luksan_mxdrcf__(nf, &mx, &xm[1], &gm[1], &u1[1], &u2[1], &go[1], &
ix[1], &kbf);
- rho2 = mxudot_(nf, &gs[1], &go[1], &ix[1], &kbf);
+ rho2 = luksan_mxudot__(nf, &gs[1], &go[1], &ix[1], &kbf);
alf = rho2 / rho;
luksan_mxudir__(nf, &alf, &xs[1], &go[1], &xs[1], &ix[1], &kbf);
} else {
luksan_mxvcop__(nf, &xo[1], &x[1]);
luksan_mxvcop__(nf, &gn[1], &gf[1]);
if (kd > 0) {
- p = mxudot_(nf, &gn[1], &s[1], &ix[1], &kbf);
+ p = luksan_mxudot__(nf, &gn[1], &s[1], &ix[1], &kbf);
}
if (iterd < 0) {
*iterm = iterd;
if (*iterm != 0) {
goto L11080;
}
+ if (nlopt_stop_time(stop)) { *iterm = 100; goto L11080; }
if (irest != 0) {
goto L11040;
}
goto L11075;
}
L11060:
- luksan_ps1l01__(&r__, &rp, f, &fo, &fp, &p, &po, &pp, fmin, &fmax, &rmin,
- &rmax, &tols, &tolp, &par1, &par2, &kd, &ld, &stat_1.nit, &kit, &
+ luksan_ps1l01__(&r__, &rp, f, &fo, &fp, &p, &po, &pp, minf_est, &maxf, &rmin,
+ &rmax, &tols, &tolp, &par1, &par2, &kd, &ld, &stat_1->nit, &kit, &
nred, &mred, &maxst, iest, &inits, &iters, &kters, &mes, &isys);
if (isys == 0) {
goto L11064;
}
luksan_mxudir__(nf, &r__, &s[1], &xo[1], &x[1], &ix[1], &kbf);
luksan_pcbs04__(nf, &x[1], &ix[1], &xl[1], &xu[1], &eps9, &kbf);
- obj_(nf, &x[1], f);
- ++stat_1.nfv;
- dobj_(nf, &x[1], &gf[1]);
- ++stat_1.nfg;
+ *f = objgrad(*nf, &x[1], &gf[1], objgrad_data);
+ ++stop->nevals;
+ ++stat_1->nfg;
ld = kd;
- p = mxudot_(nf, &gf[1], &s[1], &ix[1], &kbf);
+ p = luksan_mxudot__(nf, &gf[1], &s[1], &ix[1], &kbf);
goto L11060;
L11064:
if (iters <= 0) {
return;
} /* pnet_ */
+/* NLopt wrapper around pnet_, handling dynamic allocation etc. */
+nlopt_result luksan_pnet(int n, nlopt_func f, void *f_data,
+ const double *lb, const double *ub, /* bounds */
+ double *x, /* in: initial guess, out: minimizer */
+ double *minf,
+ nlopt_stopping *stop,
+ int mos1, int mos2) /* 1 or 2 */
+{
+ int i, *ix, nb = 1;
+ double *work;
+ double *xl, *xu, *gf, *gn, *s, *xo, *go, *xs, *gs, *xm, *gm, *u1, *u2;
+ double gmax, minf_est;
+ double xmax = 0; /* no maximum */
+ double tolg = 0; /* default gradient tolerance */
+ int iest = 0; /* we have no estimate of min function value */
+ int mit = 0, mfg = 0; /* default no limit on #iterations */
+ int mfv = stop->maxeval;
+ stat_common stat;
+ int iterm;
+ int mf;
+
+ ix = (int*) malloc(sizeof(int) * n);
+ if (!ix) return NLOPT_OUT_OF_MEMORY;
+
+ /* FIXME: what should we set mf to? The example program tlis.for
+ sets it to zero as far as I can tell, but it seems to greatly
+ improve convergence to make it > 0. The computation time
+ per iteration, and of course the memory, seem to go as O(n * mf),
+ and we'll assume that the main limiting factor is the memory.
+ We'll assume that at least MEMAVAIL memory, or 4*n memory, whichever
+ is bigger, is available. */
+ mf = max(MEMAVAIL/n, 4);
+ if (stop->maxeval && stop->maxeval <= mf)
+ mf = max(stop->maxeval - 5, 1); /* mf > maxeval seems not good */
+
+ retry_alloc:
+ work = (double*) malloc(sizeof(double) * (n * 9 + max(n,n*mf)*2 +
+ max(n,mf)*2));
+ if (!work) {
+ if (mf > 0) {
+ mf = 0; /* allocate minimal memory */
+ goto retry_alloc;
+ }
+ free(ix);
+ return NLOPT_OUT_OF_MEMORY;
+ }
+
+ xl = work; xu = xl + n;
+ gf = xu + n; gn = gf + n; s = gn + n;
+ xo = s + n; go = xo + n; xs = go + n; gs = xs + n;
+ xm = gs + n; gm = xm + max(n*mf,n);
+ u1 = gm + max(n*mf,n); u2 = u1 + max(n,mf);
+
+ for (i = 0; i < n; ++i) {
+ int lbu = lb[i] <= -0.99 * HUGE_VAL; /* lb unbounded */
+ int ubu = ub[i] >= 0.99 * HUGE_VAL; /* ub unbounded */
+ ix[i] = lbu ? (ubu ? 0 : 2) : (ubu ? 1 : (lb[i] == ub[i] ? 5 : 3));
+ xl[i] = lb[i];
+ xu[i] = ub[i];
+ }
+
+ /* ? xo does not seem to be initialized in the
+ original Fortran code, but it is used upon
+ input to pnet if mf > 0 ... perhaps ALLOCATE initializes
+ arrays to zero by default? */
+ memset(xo, 0, sizeof(double) * max(n,n*mf));
+
+ pnet_(&n, &nb, x, ix, xl, xu,
+ gf, gn, s, xo, go, xs, gs, xm, gm, u1, u2,
+ &xmax,
+
+ /* fixme: pass tol_rel and tol_abs and use NLopt check */
+ &stop->xtol_rel,
+ &stop->ftol_rel,
+ &stop->minf_max,
+ &tolg,
+ stop,
+
+ &minf_est, &gmax,
+ minf,
+ &mit, &mfv, &mfg,
+ &iest,
+ &mos1, &mos2,
+ &mf,
+ &iterm, &stat,
+ f, f_data);
+
+ free(work);
+ free(ix);
+
+ switch (iterm) {
+ case 1: return NLOPT_XTOL_REACHED;
+ case 2: return NLOPT_FTOL_REACHED;
+ case 3: return NLOPT_MINF_MAX_REACHED;
+ case 4: return NLOPT_SUCCESS; /* gradient tolerance reached */
+ case 6: return NLOPT_SUCCESS;
+ case 12: case 13: return NLOPT_MAXEVAL_REACHED;
+ default: return NLOPT_FAILURE;
+ }
+}
~ianmdlvl / nlopt.git / commitdiff