improve MMA for infeasible starting point -- new points should be preferred over...

darcs-hash:20081111222652-c8de0-edd440d99bc11a1724b26307f03d47eb6cca4544.gz

diff --git a/mma/mma.c b/mma/mma.c
index a611a1cac3403f6beae1d6e7e1053a02128f6594..31d6089bf0a766f1b8634b5f1597d563809e000b 100644 (file)
--- a/mma/mma.c
+++ b/mma/mma.c
@@ -163,6 +163,7 @@ nlopt_result mma_minimize(int n, nlopt_func f, void *f_data,
      char *fc_data = (char *) fc_data_;
      dual_data dd;
      int feasible;
+     double infeasibility;
      
      sigma = (double *) malloc(sizeof(double) * (6*n + 2*m*n + m*7));
      if (!sigma) return NLOPT_OUT_OF_MEMORY;
@@ -210,10 +211,11 @@ nlopt_result mma_minimize(int n, nlopt_func f, void *f_data,
      stop->nevals++;
      memcpy(xcur, x, sizeof(double) * n);
 
-     feasible = 1;
+     feasible = 1; infeasibility = 0;
      for (i = 0; i < m; ++i) {
          fcval[i] = fc(n, x, dfcdx + i*n, fc_data + fc_datum_size * i);
          feasible = feasible && (fcval[i] <= 0 || isnan(fcval[i]));
+         if (fcval[i] > infeasibility) infeasibility = fcval[i];
      }
      /* For non-feasible initial points, set a finite (large)
        upper-bound on the dual variables.  What this means is that,
@@ -239,7 +241,7 @@ nlopt_result mma_minimize(int n, nlopt_func f, void *f_data,
          memcpy(xprev, xcur, sizeof(double) * n);
 
          while (1) { /* inner iterations */
-              double min_dual;
+              double min_dual, infeasibility_cur;
               int feasible_cur, inner_done, save_verbose;
               int new_infeasible_constraint;
               nlopt_result reti;
@@ -281,7 +283,7 @@ nlopt_result mma_minimize(int n, nlopt_func f, void *f_data,
 
               fcur = f(n, xcur, dfdx_cur, f_data);
               stop->nevals++;
-              feasible_cur = 1;
+              feasible_cur = 1; infeasibility_cur = 0;
               new_infeasible_constraint = 0;
               inner_done = dd.gval >= fcur;
               for (i = 0; i < m; ++i) {
@@ -294,14 +296,17 @@ nlopt_result mma_minimize(int n, nlopt_func f, void *f_data,
                                   (dd.gcval[i] >= fcval_cur[i]);
                         else if (fcval_cur[i] > 0)
                              new_infeasible_constraint = 1;
+                        if (fcval_cur[i] > infeasibility_cur)
+                             infeasibility_cur = fcval_cur[i];
                    }
               }
 
               if ((fcur < *minf && (inner_done || feasible_cur || !feasible))
-                   || (!feasible && feasible_cur)) {
+                   || (!feasible && infeasibility_cur < infeasibility)) {
                    if (mma_verbose && !feasible_cur)
                         printf("MMA - using infeasible point?\n");
                    dd.fval = *minf = fcur;
+                   infeasibility = infeasibility_cur;
                    memcpy(fcval, fcval_cur, sizeof(double)*m);
                    memcpy(x, xcur, sizeof(double)*n);
                    memcpy(dfdx, dfdx_cur, sizeof(double)*n);