#include <alpaqa/dl/dl-problem.hpp>
Class that loads a problem using dlopen
.
The shared library should export a C function with the name <symbol_prefix>_register
that accepts a void pointer with user data, and returns a struct of type alpaqa_problem_register_t that contains all data to represent the problem, as well as function pointers for all required operations. See C++/DLProblem/main.cpp and problems/sparse-logistic-regression.cpp for examples.
Definition at line 92 of file dl-problem.hpp.
Public Types | |
using | instance_t = ExtraFuncs::instance_t |
using | Box = alpaqa::Box< config_t > |
Public Member Functions | |
DLProblem (const std::string &so_filename, std::string symbol_prefix="alpaqa_problem", void *user_param=nullptr) | |
Load a problem from a shared library. | |
real_t | eval_prox_grad_step (real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) const |
real_t | eval_f (crvec x) const |
void | eval_grad_f (crvec x, rvec grad_fx) const |
void | eval_g (crvec x, rvec gx) const |
void | eval_grad_g_prod (crvec x, crvec y, rvec grad_gxy) const |
void | eval_jac_g (crvec x, rindexvec inner_idx, rindexvec outer_ptr, rvec J_values) const |
length_t | get_jac_g_num_nonzeros () const |
void | eval_grad_gi (crvec x, index_t i, rvec grad_gi) const |
void | eval_hess_L_prod (crvec x, crvec y, real_t scale, crvec v, rvec Hv) const |
void | eval_hess_L (crvec x, crvec y, real_t scale, rindexvec inner_idx, rindexvec outer_ptr, rvec H_values) const |
length_t | get_hess_L_num_nonzeros () const |
void | eval_hess_ψ_prod (crvec x, crvec y, crvec Σ, real_t scale, crvec v, rvec Hv) const |
void | eval_hess_ψ (crvec x, crvec y, crvec Σ, real_t scale, rindexvec inner_idx, rindexvec outer_ptr, rvec H_values) const |
length_t | get_hess_ψ_num_nonzeros () const |
real_t | eval_f_grad_f (crvec x, rvec grad_fx) const |
real_t | eval_f_g (crvec x, rvec g) const |
void | eval_grad_f_grad_g_prod (crvec x, crvec y, rvec grad_f, rvec grad_gxy) const |
void | eval_grad_L (crvec x, crvec y, rvec grad_L, rvec work_n) const |
real_t | eval_ψ (crvec x, crvec y, crvec Σ, rvec ŷ) const |
void | eval_grad_ψ (crvec x, crvec y, crvec Σ, rvec grad_ψ, rvec work_n, rvec work_m) const |
real_t | eval_ψ_grad_ψ (crvec x, crvec y, crvec Σ, rvec grad_ψ, rvec work_n, rvec work_m) const |
bool | provides_eval_f () const |
bool | provides_eval_grad_f () const |
bool | provides_eval_g () const |
bool | provides_eval_grad_g_prod () const |
bool | provides_eval_jac_g () const |
bool | provides_get_jac_g_num_nonzeros () const |
bool | provides_eval_grad_gi () const |
bool | provides_eval_hess_L_prod () const |
bool | provides_eval_hess_L () const |
bool | provides_get_hess_L_num_nonzeros () const |
bool | provides_eval_hess_ψ_prod () const |
bool | provides_eval_hess_ψ () const |
bool | provides_get_hess_ψ_num_nonzeros () const |
bool | provides_eval_f_grad_f () const |
bool | provides_eval_f_g () const |
bool | provides_eval_grad_f_grad_g_prod () const |
bool | provides_eval_grad_L () const |
bool | provides_eval_ψ () const |
bool | provides_eval_grad_ψ () const |
bool | provides_eval_ψ_grad_ψ () const |
bool | provides_get_box_C () const |
template<class Signature , class... Args> | |
decltype(auto) | call_extra_func (const std::string &name, Args &&...args) const |
template<class Signature , class... Args> | |
decltype(auto) | call_extra_func (const std::string &name, Args &&...args) |
void | resize (length_t n, length_t m) |
Change the dimensions of the problem (number of decision variables and number of constaints). | |
length_t | get_n () const |
Number of decision variables, n. | |
length_t | get_m () const |
Number of constraints, m. | |
void | eval_proj_diff_g (crvec z, rvec p) const |
void | eval_proj_multipliers (rvec y, real_t M) const |
const Box & | get_box_C () const |
const Box & | get_box_D () const |
index_t | eval_inactive_indices_res_lna (real_t γ, crvec x, crvec grad_ψ, rindexvec J) const |
void | check () const |
Static Public Member Functions | |
static real_t | eval_proj_grad_step_box (const Box &C, real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) |
Projected gradient step for rectangular box C. | |
static void | eval_prox_grad_step_box_l1_impl (const Box &C, const auto &λ, real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) |
Proximal gradient step for rectangular box C with ℓ₁-regularization. | |
static real_t | eval_prox_grad_step_box_l1 (const Box &C, const auto &λ, real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) |
Proximal gradient step for rectangular box C with ℓ₁-regularization. | |
static real_t | eval_prox_grad_step_box_l1_scal (const Box &C, real_t λ, real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) |
Proximal gradient step for rectangular box C with ℓ₁-regularization. | |
static void | eval_proj_multipliers_box (const Box &D, rvec y, real_t M, index_t penalty_alm_split) |
Public Attributes | |
length_t | n |
Number of decision variables, dimension of x. | |
length_t | m |
Number of constraints, dimension of g(x) and z. | |
Box | C |
Constraints of the decision variables, \( x \in C \). | |
Box | D |
Other constraints, \( g(x) \in D \). | |
vec | l1_reg |
\( \ell_1 \) (1-norm) regularization parameter. | |
index_t | penalty_alm_split |
Components of the constraint function with indices below this number are handled using a quadratic penalty method rather than using an augmented Lagrangian method. | |
Private Attributes | |
std::shared_ptr< void > | handle |
Handle to the shared module defining the problem. | |
std::shared_ptr< void > | instance |
Problem instance created by the registration function, including the deleter to destroy it. | |
problem_functions_t * | functions = nullptr |
Pointer to the struct of function pointers for evaluating the objective, constraints, their gradients, etc. | |
ExtraFuncs | extra_funcs |
Dictionary of extra functions that were registered by the problem. | |
using instance_t = ExtraFuncs::instance_t |
Definition at line 164 of file dl-problem.hpp.
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inherited |
Definition at line 19 of file box-constr-problem.hpp.
DLProblem | ( | const std::string & | so_filename, |
std::string | symbol_prefix = "alpaqa_problem" , |
||
void * | user_param = nullptr |
||
) |
Load a problem from a shared library.
so_filename | Filename of the shared library to load. |
symbol_prefix | Prefix of the registration function. |
user_param | Pointer to custom user data to pass to the registration function. |
Definition at line 70 of file dl-problem.cpp.
auto eval_f | ( | crvec | x | ) | const |
Definition at line 133 of file dl-problem.cpp.
Definition at line 134 of file dl-problem.cpp.
Definition at line 135 of file dl-problem.cpp.
Definition at line 136 of file dl-problem.cpp.
Definition at line 138 of file dl-problem.cpp.
auto get_jac_g_num_nonzeros | ( | ) | const |
Definition at line 139 of file dl-problem.cpp.
Definition at line 137 of file dl-problem.cpp.
Definition at line 140 of file dl-problem.cpp.
auto eval_hess_L | ( | crvec | x, |
crvec | y, | ||
real_t | scale, | ||
rindexvec | inner_idx, | ||
rindexvec | outer_ptr, | ||
rvec | H_values | ||
) | const |
Definition at line 141 of file dl-problem.cpp.
auto get_hess_L_num_nonzeros | ( | ) | const |
Definition at line 142 of file dl-problem.cpp.
Definition at line 143 of file dl-problem.cpp.
auto eval_hess_ψ | ( | crvec | x, |
crvec | y, | ||
crvec | Σ, | ||
real_t | scale, | ||
rindexvec | inner_idx, | ||
rindexvec | outer_ptr, | ||
rvec | H_values | ||
) | const |
Definition at line 144 of file dl-problem.cpp.
auto get_hess_ψ_num_nonzeros | ( | ) | const |
Definition at line 145 of file dl-problem.cpp.
Definition at line 146 of file dl-problem.cpp.
Definition at line 147 of file dl-problem.cpp.
Definition at line 148 of file dl-problem.cpp.
Definition at line 149 of file dl-problem.cpp.
Definition at line 150 of file dl-problem.cpp.
Definition at line 151 of file dl-problem.cpp.
Definition at line 152 of file dl-problem.cpp.
bool provides_eval_f | ( | ) | const |
Definition at line 154 of file dl-problem.cpp.
bool provides_eval_grad_f | ( | ) | const |
Definition at line 155 of file dl-problem.cpp.
bool provides_eval_g | ( | ) | const |
Definition at line 156 of file dl-problem.cpp.
bool provides_eval_grad_g_prod | ( | ) | const |
Definition at line 157 of file dl-problem.cpp.
bool provides_eval_jac_g | ( | ) | const |
Definition at line 158 of file dl-problem.cpp.
bool provides_get_jac_g_num_nonzeros | ( | ) | const |
Definition at line 159 of file dl-problem.cpp.
bool provides_eval_grad_gi | ( | ) | const |
Definition at line 160 of file dl-problem.cpp.
bool provides_eval_hess_L_prod | ( | ) | const |
Definition at line 161 of file dl-problem.cpp.
bool provides_eval_hess_L | ( | ) | const |
Definition at line 162 of file dl-problem.cpp.
bool provides_get_hess_L_num_nonzeros | ( | ) | const |
Definition at line 163 of file dl-problem.cpp.
bool provides_eval_hess_ψ_prod | ( | ) | const |
Definition at line 164 of file dl-problem.cpp.
bool provides_eval_hess_ψ | ( | ) | const |
Definition at line 165 of file dl-problem.cpp.
bool provides_get_hess_ψ_num_nonzeros | ( | ) | const |
Definition at line 166 of file dl-problem.cpp.
bool provides_eval_f_grad_f | ( | ) | const |
Definition at line 167 of file dl-problem.cpp.
bool provides_eval_f_g | ( | ) | const |
Definition at line 168 of file dl-problem.cpp.
bool provides_eval_grad_f_grad_g_prod | ( | ) | const |
Definition at line 169 of file dl-problem.cpp.
bool provides_eval_grad_L | ( | ) | const |
Definition at line 170 of file dl-problem.cpp.
bool provides_eval_ψ | ( | ) | const |
Definition at line 171 of file dl-problem.cpp.
bool provides_eval_grad_ψ | ( | ) | const |
Definition at line 172 of file dl-problem.cpp.
bool provides_eval_ψ_grad_ψ | ( | ) | const |
Definition at line 173 of file dl-problem.cpp.
bool provides_get_box_C | ( | ) | const |
Definition at line 174 of file dl-problem.cpp.
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inline |
Definition at line 167 of file dl-problem.hpp.
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inline |
Change the dimensions of the problem (number of decision variables and number of constaints).
Destructive: resizes and/or resets the members C, D, l1_reg and penalty_alm_split.
Definition at line 41 of file box-constr-problem.hpp.
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inlineinherited |
Number of decision variables, n.
Definition at line 75 of file box-constr-problem.hpp.
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inlineinherited |
Number of constraints, m.
Definition at line 77 of file box-constr-problem.hpp.
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inlinestaticinherited |
Projected gradient step for rectangular box C.
\[ \begin{aligned} \hat x &= \Pi_C(x - \gamma\nabla\psi(x)) \\ p &= \hat x - x \\ &= \max(\underline x - x, \;\min(-\gamma\nabla\psi(x), \overline x - x) \end{aligned} \]
Definition at line 84 of file box-constr-problem.hpp.
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inlinestaticinherited |
Proximal gradient step for rectangular box C with ℓ₁-regularization.
\[ \begin{aligned} h(x) &= \|x\|_1 + \delta_C(x) \\ \hat x &= \prox_{\gamma h}(x - \gamma\nabla\psi(x)) \\ &= -\max\big( x - \overline x, \;\min\big( x - \underline x, \;\min\big( \gamma(\nabla\psi(x) + \lambda), \;\max\big( \gamma(\nabla\psi(x) - \lambda), x \big) \big) \big) \big) \end{aligned} \]
Definition at line 107 of file box-constr-problem.hpp.
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inlinestaticinherited |
Proximal gradient step for rectangular box C with ℓ₁-regularization.
\[ \begin{aligned} h(x) &= \|x\|_1 + \delta_C(x) \\ \hat x &= \prox_{\gamma h}(x - \gamma\nabla\psi(x)) \\ &= -\max\big( x - \overline x, \;\min\big( x - \underline x, \;\min\big( \gamma(\nabla\psi(x) + \lambda), \;\max\big( \gamma(\nabla\psi(x) - \lambda), x \big) \big) \big) \big) \end{aligned} \]
Definition at line 116 of file box-constr-problem.hpp.
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inlinestaticinherited |
Proximal gradient step for rectangular box C with ℓ₁-regularization.
\[ \begin{aligned} h(x) &= \|x\|_1 + \delta_C(x) \\ \hat x &= \prox_{\gamma h}(x - \gamma\nabla\psi(x)) \\ &= -\max\big( x - \overline x, \;\min\big( x - \underline x, \;\min\big( \gamma(\nabla\psi(x) + \lambda), \;\max\big( \gamma(\nabla\psi(x) - \lambda), x \big) \big) \big) \big) \end{aligned} \]
Definition at line 123 of file box-constr-problem.hpp.
Definition at line 142 of file box-constr-problem.hpp.
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inlinestaticinherited |
Definition at line 144 of file box-constr-problem.hpp.
Definition at line 166 of file box-constr-problem.hpp.
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inlineinherited |
Definition at line 171 of file box-constr-problem.hpp.
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inlineinherited |
Definition at line 173 of file box-constr-problem.hpp.
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inlineinherited |
Definition at line 176 of file box-constr-problem.hpp.
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inlineinherited |
Definition at line 213 of file box-constr-problem.hpp.
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private |
Handle to the shared module defining the problem.
Definition at line 107 of file dl-problem.hpp.
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private |
Problem instance created by the registration function, including the deleter to destroy it.
Definition at line 110 of file dl-problem.hpp.
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private |
Pointer to the struct of function pointers for evaluating the objective, constraints, their gradients, etc.
Definition at line 113 of file dl-problem.hpp.
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private |
Dictionary of extra functions that were registered by the problem.
Definition at line 115 of file dl-problem.hpp.
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inherited |
Number of decision variables, dimension of x.
Definition at line 22 of file box-constr-problem.hpp.
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inherited |
Number of constraints, dimension of g(x) and z.
Definition at line 24 of file box-constr-problem.hpp.
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inherited |
Constraints of the decision variables, \( x \in C \).
Definition at line 59 of file box-constr-problem.hpp.
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inherited |
Other constraints, \( g(x) \in D \).
Definition at line 61 of file box-constr-problem.hpp.
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inherited |
\( \ell_1 \) (1-norm) regularization parameter.
Possible dimensions are: \( 0 \) (no regularization), \( 1 \) (a single scalar factor), or \( n \) (a different factor for each variable).
Definition at line 66 of file box-constr-problem.hpp.
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inherited |
Components of the constraint function with indices below this number are handled using a quadratic penalty method rather than using an augmented Lagrangian method.
Specifically, the Lagrange multipliers for these components (which determine the shifts in ALM) are kept at zero.
Definition at line 72 of file box-constr-problem.hpp.