9 #ifndef __IPLIMMEMQUASINEWTONUPDATER_HPP__
10 #define __IPLIMMEMQUASINEWTONUPDATER_HPP__
40 const std::string& prefix);
Class for dense general matrices.
Dense Vector Implementation.
Abstract base class for objects responsible for updating the Hessian information.
Implementation of the HessianUpdater for limit-memory quasi-Newton approximation of the Lagrangian He...
void StoreInternalDataBackup()
Store a copy of the pointers to the internal data (S, Y, D, L, SdotS, curr_lm_memory) This is called ...
void ShiftDenseVector(SmartPtr< DenseVector > &V, Number v_new)
Given a DenseVector V, get rid of the first element, shift all other elements one position to the top...
void AugmentSTDRSMatrix(SmartPtr< DenseSymMatrix > &V, const MultiVectorMatrix &S, const MultiVectorMatrix &DRS)
Given a DenseSymMatrix V, create a new DenseGenMatrixSpace with one more dimension,...
SmartPtr< DenseSymMatrix > STDRS_
For efficient implementation, we store the S^T S DR * S.
SmartPtr< DenseSymMatrix > SdotS_old_
For efficient implementation, we store the pairwise products for s's (backup).
SmartPtr< const Matrix > last_jac_c_
Jacobian for equality constraints w.r.t x at x_last.
Index limited_memory_max_skipping_
Number of successive iterations of skipped updates after which the approximation is reset.
Index lm_skipped_iter_
Counter for successive iterations in which the update was skipped.
SmartPtr< MultiVectorMatrix > Ypart_old_
For restoration phase update: Y without the quadratic objective function part (backup)
void AugmentMultiVector(SmartPtr< MultiVectorMatrix > &V, const Vector &v_new)
Given a MutliVector V, create a new MultiVectorSpace with one more column, and return V as a member o...
SmartPtr< MultiVectorMatrix > S_
s pairs for the recent iterations
void ShiftSdotSMatrix(SmartPtr< DenseSymMatrix > &V, const MultiVectorMatrix &S)
Given a DenseSymMatrix V, shift everything up one row and column, and fill the new entries as s_i^Ts_...
static void RegisterOptions(SmartPtr< RegisteredOptions > roptions)
Methods for OptionsList.
void AugmentDenseVector(SmartPtr< DenseVector > &V, Number v_new)
Given a DenseVector V, create a new DenseVectorSpace with one more row, and return V as a member of t...
void ReleaseInternalDataBackup()
Release anything that we allocated for StoreInternalDataBackup and is no longer needed.
SmartPtr< const Matrix > last_jac_d_
Jacobian for inequality constraints w.r.t x at x_last.
void operator=(const LimMemQuasiNewtonUpdater &)
Overloaded Equals Operator.
bool SplitEigenvalues(DenseGenMatrix &Q, const DenseVector &E, SmartPtr< DenseGenMatrix > &Qminus, SmartPtr< DenseGenMatrix > &Qplus)
Split the eigenvectors into negative and positive ones.
void ShiftLMatrix(SmartPtr< DenseGenMatrix > &V, const MultiVectorMatrix &S, const MultiVectorMatrix &Y)
Given a strictly-lower triangular square DenseGenMatrix V, shift everything one row and column up,...
bool UpdateInternalData(const Vector &s_new, const Vector &y_new, SmartPtr< Vector > ypart_new)
Update the internal data, such as the S, Y, L, D etc matrices and vectors that are required for compu...
SmartPtr< MultiVectorMatrix > Ypart_
For restoration phase update: Y without the quadratic objective function part.
Number sigma_safe_min_
Minimal safeguard value for sigma.
SmartPtr< DenseSymMatrix > SdotS_
For efficient implementation, we store the pairwise products for s's.
Number sigma_
First term (starting matrix) for the approximation.
void SetW()
Set the W field in IpData based on the current values of B0_, V_, and U_.
const bool update_for_resto_
Flag indicating if the update is to be done for the original NLP or for the restoration phase NLP.
SmartPtr< const Vector > curr_red_DR_x_
Current DR_x scaling factors in the restoration phase objective function in the smaller space for the...
SmartPtr< MultiVectorMatrix > U_
U in LowRankUpdateMatrix from last update.
bool CheckSkippingBFGS(Vector &s_new, Vector &y_new)
Method deciding whether the BFGS update should be skipped.
SmartPtr< MultiVectorMatrix > DRS_old_
DR * S (only for restoration phase) (backup)
SmartPtr< MultiVectorMatrix > Y_old_
y pairs for the recent iterations.
SmartPtr< DenseVector > D_old_
Diagonal elements D_k for compact formulation from last update (backup).
bool SdotS_uptodate_old_
Flag indicating whether SdotS_ is update to date from most recent update (backup).
SmartPtr< Vector > B0_old_
First term (starting matrix) for the approximation (backup).
Index limited_memory_max_history_
Size of memory for limited memory update.
Number curr_eta_
Current value of weighing factor eta in the restoration phase objective function (only for update_for...
virtual void UpdateHessian()
Update the Hessian based on the current information in IpData.
void ShiftSTDRSMatrix(SmartPtr< DenseSymMatrix > &V, const MultiVectorMatrix &S, const MultiVectorMatrix &DRS)
Given a DenseSymMatrix V, shift everything up one row and column, and fill the new entries as s_i^TDR...
TaggedObject::Tag curr_DR_x_tag_
Tag for curr_DR_x_.
Number sigma_safe_max_
Maximal safeguard value for sigma.
SmartPtr< MultiVectorMatrix > V_
V in LowRankUpdateMatrix from last update.
LMInitialization
enumeration for the Hessian initialization.
LimMemQuasiNewtonUpdater(const LimMemQuasiNewtonUpdater &)
Copy Constructor.
bool limited_memory_special_for_resto_
Flag indicating if Hessian approximation should be done in a special manner for the restoration phase...
SmartPtr< const Vector > last_grad_f_
Gradient of objective function w.r.t.
void RestoreInternalDataBackup()
Restore the copy of the pointers to the internal data most recently stored with StoreInternalDataBack...
LimMemQuasiNewtonUpdater(bool update_for_resto)
Default Constructor.
virtual ~LimMemQuasiNewtonUpdater()
Default destructor.
void RecalcY(Number eta, const Vector &DR_x, MultiVectorMatrix &S, MultiVectorMatrix &Ypart, SmartPtr< MultiVectorMatrix > &Y)
Method for recomputing Y from scratch, using Ypart (only for restoration phase)
SmartPtr< DenseVector > D_
Diagonal elements D_k for compact formulation from last update.
Number sigma_old_
First term (starting matrix) for the approximation.
void AugmentLMatrix(SmartPtr< DenseGenMatrix > &V, const MultiVectorMatrix &S, const MultiVectorMatrix &Y)
Given a strictly-lower triangular square DenseGenMatrix V, create a new DenseGenMatrixSpace with one ...
LMInitialization limited_memory_initialization_
How to choose B0 in the low-rank update.
void AugmentSdotSMatrix(SmartPtr< DenseSymMatrix > &V, const MultiVectorMatrix &S)
Given a DenseSymMatrix V, create a new DenseGenMatrixSpace with one more dimension,...
virtual bool InitializeImpl(const OptionsList &options, const std::string &prefix)
overloaded from AlgorithmStrategyObject
SmartPtr< DenseGenMatrix > L_old_
Matrix L_k for compact formulation from last update (backup).
LMUpdateType limited_memory_update_type_
Type of Hessian update.
SmartPtr< DenseGenMatrix > L_
Matrix L_k for compact formulation from last update.
Index curr_lm_memory_
current size of limited memory
void ShiftMultiVector(SmartPtr< MultiVectorMatrix > &V, const Vector &v_new)
Given a MutliVector V, get rid of the first column, shift all other columns to the left,...
LMUpdateType
enumeration for the Hessian update type.
SmartPtr< const Vector > last_x_
Primal variables x from most recent update.
SmartPtr< MultiVectorMatrix > U_old_
U in LowRankUpdateMatrix from last update (backup)
void RecalcD(MultiVectorMatrix &S, MultiVectorMatrix &Y, SmartPtr< DenseVector > &D)
Method for recomputing D from S and Y.
SmartPtr< DenseSymMatrix > STDRS_old_
For efficient implementation, we store the S^T S DR * S.
SmartPtr< MultiVectorMatrix > DRS_
DR * S (only for restoration phase)
SmartPtr< MultiVectorMatrix > S_old_
s pairs for the recent iterations (backup)
SmartPtr< MultiVectorMatrix > Y_
y pairs for the recent iterations.
SmartPtr< const LowRankUpdateSymMatrixSpace > h_space_
Matrix space for the low-rank Hessian approximation.
Number limited_memory_init_val_
Value of B0 (as this multiple of the identity in certain situations.)
bool SdotS_uptodate_
Flag indicating whether SdotS_ is update to date from most recent update.
Number last_eta_
Most recent value for eta in the restoration phase objective function (only for update_for_resto_ = t...
Index curr_lm_memory_old_
current size of limited memory
void RecalcL(MultiVectorMatrix &S, MultiVectorMatrix &Y, SmartPtr< DenseGenMatrix > &L)
Method for recomputing L from S and Y.
SmartPtr< Vector > B0_
First term (starting matrix) for the approximation.
SmartPtr< const Vector > curr_DR_x_
Current DR_x scaling factors in the restoration phase objective function (only for update_for_resto_ ...
SmartPtr< MultiVectorMatrix > V_old_
V in LowRankUpdateMatrix from last update (backup)
Class for Matrices with few columns that consists of Vectors.
This class stores a list of user set options.
Template class for Smart Pointers.
unsigned int Tag
Type for the Tag values.
int Index
Type of all indices of vectors, matrices etc.
double Number
Type of all numbers.