CasADiProblem< Conf > Class Template Reference

#include <alpaqa/casadi/CasADiProblem.hpp>

Detailed Description

template<Config Conf = EigenConfigd>
class alpaqa::CasADiProblem< Conf >

Problem definition for a CasADi problem, loaded from a DLL.

Examples

C++/CasADi/Rosenbrock/main.cpp.

Definition at line 19 of file CasADiProblem.hpp.

Inheritance diagram for CasADiProblem< Conf >:

Collaboration diagram for CasADiProblem< Conf >:

Public Types
using	Sparsity = alpaqa::Sparsity< config_t >
using	Box = alpaqa::Box< config_t >

Public Member Functions
	CasADiProblem (const std::string &filename)
	Load a problem generated by CasADi (with parameters).
	~CasADiProblem ()
	CasADiProblem (const CasADiProblem &)
CasADiProblem &	operator= (const CasADiProblem &)
	CasADiProblem (CasADiProblem &&) noexcept
CasADiProblem &	operator= (CasADiProblem &&) noexcept
void	load_numerical_data (const std::filesystem::path &filepath, char sep=',')
	Load the numerical problem data (bounds and parameters) from a CSV file.
real_t	eval_f (crvec x) const
void	eval_grad_f (crvec x, rvec grad_fx) const
real_t	eval_f_grad_f (crvec x, rvec grad_fx) const
void	eval_g (crvec x, rvec g) const
void	eval_grad_g_prod (crvec x, crvec y, rvec grad_gxy) 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
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_gi (crvec x, index_t i, rvec grad_i) const
Sparsity	get_jac_g_sparsity () const
void	eval_jac_g (crvec x, rvec J_values) const
void	eval_hess_L_prod (crvec x, crvec y, real_t scale, crvec v, rvec Hv) const
Sparsity	get_hess_L_sparsity () const
void	eval_hess_L (crvec x, crvec y, real_t scale, rvec H_values) const
void	eval_hess_ψ_prod (crvec x, crvec y, crvec Σ, real_t scale, crvec v, rvec Hv) const
Sparsity	get_hess_ψ_sparsity () const
void	eval_hess_ψ (crvec x, crvec y, crvec Σ, real_t scale, rvec H_values) const
bool	provides_eval_grad_gi () const
bool	provides_eval_jac_g () const
bool	provides_eval_hess_L_prod () const
bool	provides_eval_hess_L () const
bool	provides_eval_hess_ψ_prod () const
bool	provides_eval_hess_ψ () const
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.
real_t	eval_prox_grad_step (real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) const
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
vec	param
length_t	n
	Number of decision variables, dimension of x.
length_t	m
	Number of constraints, dimension of g(x) and z.
Box	C {this->n}
	Constraints of the decision variables, \( x \in C \).
Box	D {this->m}
	Other constraints, \( g(x) \in D \).
vec	l1_reg {}
	\( \ell_1 \) (1-norm) regularization parameter.
index_t	penalty_alm_split = 0
	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 Types
using	Functions = casadi_loader::CasADiFunctionsWithParam< Conf >

Private Attributes
util::copyable_unique_ptr< Functions >	impl

Member Typedef Documentation

Sparsity

template<Config Conf = EigenConfigd>

using Sparsity = alpaqa::Sparsity<config_t>

Definition at line 22 of file CasADiProblem.hpp.

Functions

template<Config Conf = EigenConfigd>

using Functions = casadi_loader::CasADiFunctionsWithParam<Conf>

private

Definition at line 97 of file CasADiProblem.hpp.

Box

template<Config Conf>

using Box = alpaqa::Box<config_t>

inherited

Definition at line 19 of file box-constr-problem.hpp.

Constructor & Destructor Documentation

CasADiProblem() [1/3]

template<Config Conf>

CasADiProblem

(

const std::string &

filename

)

Load a problem generated by CasADi (with parameters).

Parameters

filename

Filename of the shared library to load the functions from.

The file should contain functions with the names f, grad_f, g and grad_g. These functions evaluate the objective function, its gradient, the constraints, and the constraint gradient times a vector respectively. For second order solvers, additional functions hess_L, hess_ψ, hess_L_prod and hess_ψ_prod can be provided to evaluate the Hessian of the (augmented) Lagrangian and Hessian-vector products.

Exceptions

std::invalid_argument

The dimensions of the loaded functions do not match.

Definition at line 59 of file CasADiProblem.tpp.

~CasADiProblem()

template<Config Conf>

~CasADiProblem ( )

default

CasADiProblem() [2/3]

template<Config Conf>

CasADiProblem ( const CasADiProblem< Conf > &  )

default

CasADiProblem() [3/3]

template<Config Conf>

CasADiProblem ( CasADiProblem< Conf > &&  )

defaultnoexcept

Member Function Documentation

operator=() [1/2]

template<Config Conf>

CasADiProblem< Conf > & operator= ( const CasADiProblem< Conf > &  )

default

operator=() [2/2]

template<Config Conf>

CasADiProblem< Conf > & operator= ( CasADiProblem< Conf > &&  )

defaultnoexcept

load_numerical_data()

template<Config Conf>

void load_numerical_data	(	const std::filesystem::path &	filepath,
		char	sep = ','
	)

Load the numerical problem data (bounds and parameters) from a CSV file.

The file should contain 7 rows, with the following contents:

1. C lower bound [n]
2. C upper bound [n]
3. D lower bound [m]
4. D upper bound [m]
5. param [p]
6. l1_reg [0, 1 or n]
7. penalty_alm_split [1]

Line endings are encoded using a single line feed (\n), and the column separator can be specified using the sep argument.

Definition at line 145 of file CasADiProblem.tpp.

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eval_f()

template<Config Conf>

auto eval_f

(

crvec

x

)

const

Definition at line 208 of file CasADiProblem.tpp.

eval_grad_f()

template<Config Conf>

void eval_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 215 of file CasADiProblem.tpp.

eval_f_grad_f()

template<Config Conf>

auto eval_f_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 221 of file CasADiProblem.tpp.

eval_g()

template<Config Conf>

void eval_g	(	crvec	x,
		rvec	g
	)		const

Definition at line 228 of file CasADiProblem.tpp.

eval_grad_g_prod()

template<Config Conf>

void eval_grad_g_prod	(	crvec	x,
		crvec	y,
		rvec	grad_gxy
	)		const

Definition at line 234 of file CasADiProblem.tpp.

eval_grad_ψ()

template<Config Conf>

void eval_grad_ψ	(	crvec	x,
		crvec	y,
		crvec	Σ,
		rvec	grad_ψ,
		rvec	work_n,
		rvec	work_m
	)		const

Definition at line 239 of file CasADiProblem.tpp.

eval_ψ_grad_ψ()

template<Config Conf>

CasADiProblem< Conf >::real_t eval_ψ_grad_ψ	(	crvec	x,
		crvec	y,
		crvec	Σ,
		rvec	grad_ψ,
		rvec	work_n,
		rvec	work_m
	)		const

Definition at line 257 of file CasADiProblem.tpp.

eval_grad_L()

template<Config Conf>

void eval_grad_L	(	crvec	x,
		crvec	y,
		rvec	grad_L,
		rvec	work_n
	)		const

Definition at line 267 of file CasADiProblem.tpp.

eval_ψ()

template<Config Conf>

CasADiProblem< Conf >::real_t eval_ψ	(	crvec	x,
		crvec	y,
		crvec	Σ,
		rvec	ŷ
	)		const

Definition at line 278 of file CasADiProblem.tpp.

eval_grad_gi()

template<Config Conf>

void eval_grad_gi	(	crvec	x,
		index_t	i,
		rvec	grad_i
	)		const

Definition at line 290 of file CasADiProblem.tpp.

get_jac_g_sparsity()

template<Config Conf>

auto get_jac_g_sparsity

(

)

const

Definition at line 310 of file CasADiProblem.tpp.

eval_jac_g()

template<Config Conf>

void eval_jac_g	(	crvec	x,
		rvec	J_values
	)		const

Definition at line 325 of file CasADiProblem.tpp.

eval_hess_L_prod()

template<Config Conf>

void eval_hess_L_prod	(	crvec	x,
		crvec	y,
		real_t	scale,
		crvec	v,
		rvec	Hv
	)		const

Definition at line 331 of file CasADiProblem.tpp.

get_hess_L_sparsity()

template<Config Conf>

auto get_hess_L_sparsity

(

)

const

Definition at line 339 of file CasADiProblem.tpp.

eval_hess_L()

template<Config Conf>

void eval_hess_L	(	crvec	x,
		crvec	y,
		real_t	scale,
		rvec	H_values
	)		const

Definition at line 353 of file CasADiProblem.tpp.

eval_hess_ψ_prod()

template<Config Conf>

void eval_hess_ψ_prod	(	crvec	x,
		crvec	y,
		crvec	Σ,
		real_t	scale,
		crvec	v,
		rvec	Hv
	)		const

Definition at line 361 of file CasADiProblem.tpp.

get_hess_ψ_sparsity()

template<Config Conf>

auto get_hess_ψ_sparsity

(

)

const

Definition at line 372 of file CasADiProblem.tpp.

eval_hess_ψ()

template<Config Conf>

void eval_hess_ψ	(	crvec	x,
		crvec	y,
		crvec	Σ,
		real_t	scale,
		rvec	H_values
	)		const

Definition at line 386 of file CasADiProblem.tpp.

provides_eval_grad_gi()

template<Config Conf>

bool provides_eval_grad_gi

(

)

const

See also

TypeErasedProblem::provides_eval_grad_gi

Definition at line 395 of file CasADiProblem.tpp.

provides_eval_jac_g()

template<Config Conf>

bool provides_eval_jac_g

(

)

const

See also

TypeErasedProblem::provides_eval_jac_g

Definition at line 399 of file CasADiProblem.tpp.

provides_eval_hess_L_prod()

template<Config Conf>

bool provides_eval_hess_L_prod

(

)

const

See also

TypeErasedProblem::provides_eval_hess_L_prod

Definition at line 403 of file CasADiProblem.tpp.

provides_eval_hess_L()

template<Config Conf>

bool provides_eval_hess_L

(

)

const

See also

TypeErasedProblem::provides_eval_hess_L

Definition at line 407 of file CasADiProblem.tpp.

provides_eval_hess_ψ_prod()

template<Config Conf>

bool provides_eval_hess_ψ_prod

(

)

const

See also

TypeErasedProblem::provides_eval_hess_ψ_prod

Definition at line 411 of file CasADiProblem.tpp.

provides_eval_hess_ψ()

template<Config Conf>

bool provides_eval_hess_ψ

(

)

const

See also

TypeErasedProblem::provides_eval_hess_ψ

Definition at line 415 of file CasADiProblem.tpp.

resize()

template<Config Conf>

void resize ( length_t  n, length_t  m  )

inlineinherited

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.

get_n()

template<Config Conf>

length_t get_n ( ) const

inlineinherited

Number of decision variables, n.

Definition at line 75 of file box-constr-problem.hpp.

get_m()

template<Config Conf>

length_t get_m ( ) const

inlineinherited

Number of constraints, m.

Definition at line 77 of file box-constr-problem.hpp.

eval_proj_grad_step_box()

template<Config Conf>

static real_t eval_proj_grad_step_box ( const Box &  C, real_t  γ, crvec  x, crvec  grad_ψ, rvec  x̂, rvec  p  )

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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eval_prox_grad_step_box_l1_impl()

template<Config Conf>

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  )

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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eval_prox_grad_step_box_l1()

template<Config Conf>

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  )

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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eval_prox_grad_step_box_l1_scal()

template<Config Conf>

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  )

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.

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eval_prox_grad_step()

template<Config Conf>

real_t eval_prox_grad_step ( real_t  γ, crvec  x, crvec  grad_ψ, rvec  x̂, rvec  p  ) const

inlineinherited

See also

TypeErasedProblem::eval_prox_grad_step

Definition at line 132 of file box-constr-problem.hpp.

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eval_proj_diff_g()

template<Config Conf>

void eval_proj_diff_g ( crvec  z, rvec  p  ) const

inlineinherited

See also

TypeErasedProblem::eval_proj_diff_g

Definition at line 142 of file box-constr-problem.hpp.

eval_proj_multipliers_box()

template<Config Conf>

static void eval_proj_multipliers_box ( const Box &  D, rvec  y, real_t  M, index_t  penalty_alm_split  )

inlinestaticinherited

Definition at line 144 of file box-constr-problem.hpp.

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eval_proj_multipliers()

template<Config Conf>

void eval_proj_multipliers ( rvec  y, real_t  M  ) const

inlineinherited

See also

TypeErasedProblem::eval_proj_multipliers

Definition at line 166 of file box-constr-problem.hpp.

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get_box_C()

template<Config Conf>

const Box & get_box_C ( ) const

inlineinherited

See also

TypeErasedProblem::get_box_C

Definition at line 171 of file box-constr-problem.hpp.

get_box_D()

template<Config Conf>

const Box & get_box_D ( ) const

inlineinherited

See also

TypeErasedProblem::get_box_D

Definition at line 173 of file box-constr-problem.hpp.

eval_inactive_indices_res_lna()

template<Config Conf>

index_t eval_inactive_indices_res_lna ( real_t  γ, crvec  x, crvec  grad_ψ, rindexvec  J  ) const

inlineinherited

See also

TypeErasedProblem::eval_inactive_indices_res_lna

Definition at line 176 of file box-constr-problem.hpp.

check()

template<Config Conf>

void check ( ) const

inlineinherited

See also

TypeErasedProblem::check

Definition at line 213 of file box-constr-problem.hpp.

Member Data Documentation

param

template<Config Conf = EigenConfigd>

vec param

Definition at line 23 of file CasADiProblem.hpp.

impl

template<Config Conf = EigenConfigd>

util::copyable_unique_ptr<Functions> impl

private

Definition at line 98 of file CasADiProblem.hpp.

n

template<Config Conf>

length_t n

inherited

Number of decision variables, dimension of x.

Examples

C++/CustomCppProblem/main.cpp.

Definition at line 22 of file box-constr-problem.hpp.

m

template<Config Conf>

length_t m

inherited

Number of constraints, dimension of g(x) and z.

Examples

C++/CustomCppProblem/main.cpp.

Definition at line 24 of file box-constr-problem.hpp.

C

template<Config Conf>

Box C {this->n}

inherited

Constraints of the decision variables, \( x \in C \).

Examples

C++/CasADi/Rosenbrock/main.cpp.

Definition at line 59 of file box-constr-problem.hpp.

D

template<Config Conf>

Box D {this->m}

inherited

Other constraints, \( g(x) \in D \).

Definition at line 61 of file box-constr-problem.hpp.

l1_reg

template<Config Conf>

vec l1_reg {}

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.

penalty_alm_split

template<Config Conf>

index_t penalty_alm_split = 0

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.

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The documentation for this class was generated from the following files:

• src/interop/casadi/include/alpaqa/casadi/CasADiProblem.hpp
• src/interop/casadi/include/alpaqa/implementation/casadi/CasADiProblem.tpp