CUTEstProblem Class Reference

#include <alpaqa/cutest/cutest-loader.hpp>

Detailed Description

Wrapper for CUTEst problems loaded from an external shared library.

Definition at line 18 of file cutest-loader.hpp.

Inheritance diagram for CUTEstProblem:

Collaboration diagram for CUTEstProblem:

Classes
struct	Report
	The report generated by CUTEst. More...
struct	SparseStorage

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

Public Member Functions
	CUTEstProblem (const char *so_fname, const char *outsdif_fname=nullptr, bool sparse=false)
	Load a CUTEst problem from the given shared library and OUTSDIF.d file.
	CUTEstProblem (const CUTEstProblem &)
CUTEstProblem &	operator= (const CUTEstProblem &)
	CUTEstProblem (CUTEstProblem &&) noexcept
CUTEstProblem &	operator= (CUTEstProblem &&) noexcept
	~CUTEstProblem ()
Report	get_report () const
std::ostream &	format_report (std::ostream &os, const Report &r) const
std::ostream &	format_report (std::ostream &os) 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, rvec J_values) const
Sparsity	get_jac_g_sparsity () 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, rvec H_values) const
Sparsity	get_hess_L_sparsity () const
void	eval_hess_ψ_prod (crvec x, crvec y, crvec Σ, real_t scale, crvec v, rvec Hv) 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_L (crvec x, crvec y, rvec grad_L, rvec work_n) 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
bool	provides_get_box_C () const
	Only supported if the ℓ₁-regularization term is zero.
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
std::string	name = "<UNKNOWN>"
	Problem name.
vec	x0
	Initial value of decision variables.
vec	y0
	Initial value of Lagrange multipliers.
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
util::copyable_unique_ptr< class CUTEstLoader >	impl
bool	sparse = false
int	nnz_H = -1
int	nnz_J = -1
struct alpaqa::CUTEstProblem::SparseStorage	storage_jac_g
struct alpaqa::CUTEstProblem::SparseStorage	storage_hess_L

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Class Documentation

alpaqa::CUTEstProblem::Report

struct alpaqa::CUTEstProblem::Report

Collaboration diagram for CUTEstProblem::Report:

Class Members
Calls	calls	Function call counters.
double	time_setup = 0	CPU time (in seconds) for CUTEST_csetup.
double	time = 0	CPU time (in seconds) since the end of CUTEST_csetup.

alpaqa::CUTEstProblem::SparseStorage

struct alpaqa::CUTEstProblem::SparseStorage

Collaboration diagram for CUTEstProblem::SparseStorage:

Class Members
VectorX< int >	rows
VectorX< int >	cols

Member Typedef Documentation

Sparsity

using Sparsity = alpaqa::Sparsity<config_t>

Definition at line 22 of file cutest-loader.hpp.

Box

using Box = alpaqa::Box<config_t>

inherited

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

Constructor & Destructor Documentation

CUTEstProblem() [1/3]

CUTEstProblem	(	const char *	so_fname,
		const char *	outsdif_fname = nullptr,
		bool	sparse = false
	)

Load a CUTEst problem from the given shared library and OUTSDIF.d file.

If so_fname points to a directory, "PROBLEM.so" is appended automatically. If outsdif_fname is nullptr, the same directory as so_fname is used.

Definition at line 253 of file cutest-loader.cpp.

CUTEstProblem() [2/3]

CUTEstProblem ( const CUTEstProblem &  )

default

CUTEstProblem() [3/3]

CUTEstProblem ( CUTEstProblem &&  )

defaultnoexcept

~CUTEstProblem()

~CUTEstProblem ( )

default

Member Function Documentation

operator=() [1/2]

CUTEstProblem & operator= ( const CUTEstProblem &  )

default

operator=() [2/2]

CUTEstProblem & operator= ( CUTEstProblem &&  )

defaultnoexcept

get_report()

auto get_report

(

)

const

Definition at line 271 of file cutest-loader.cpp.

format_report() [1/2]

std::ostream & format_report	(	std::ostream &	os,
		const Report &	r
	)		const

Definition at line 539 of file cutest-loader.cpp.

format_report() [2/2]

std::ostream & format_report ( std::ostream &  os ) const

inline

Definition at line 74 of file cutest-loader.hpp.

eval_f()

auto eval_f

(

crvec

x

)

const

Definition at line 291 of file cutest-loader.cpp.

eval_grad_f()

void eval_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 299 of file cutest-loader.cpp.

eval_g()

void eval_g	(	crvec	x,
		rvec	gx
	)		const

Definition at line 307 of file cutest-loader.cpp.

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eval_grad_g_prod()

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

Definition at line 316 of file cutest-loader.cpp.

eval_jac_g()

void eval_jac_g	(	crvec	x,
		rvec	J_values
	)		const

Definition at line 328 of file cutest-loader.cpp.

get_jac_g_sparsity()

auto get_jac_g_sparsity

(

)

const

Definition at line 354 of file cutest-loader.cpp.

eval_grad_gi()

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

Definition at line 383 of file cutest-loader.cpp.

eval_hess_L_prod()

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

Definition at line 390 of file cutest-loader.cpp.

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eval_hess_L()

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

Definition at line 450 of file cutest-loader.cpp.

get_hess_L_sparsity()

auto get_hess_L_sparsity

(

)

const

Definition at line 483 of file cutest-loader.cpp.

eval_hess_ψ_prod()

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

Definition at line 408 of file cutest-loader.cpp.

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eval_f_grad_f()

auto eval_f_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 512 of file cutest-loader.cpp.

eval_f_g()

auto eval_f_g	(	crvec	x,
		rvec	g
	)		const

Definition at line 521 of file cutest-loader.cpp.

eval_grad_L()

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

Definition at line 529 of file cutest-loader.cpp.

resize()

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.

Parameters

n	Number of decision variables
m	Number of constraints

Definition at line 45 of file box-constr-problem.hpp.

get_n()

length_t get_n ( ) const

inlineinherited

Number of decision variables, n.

Definition at line 81 of file box-constr-problem.hpp.

get_m()

length_t get_m ( ) const

inlineinherited

Number of constraints, m.

Definition at line 83 of file box-constr-problem.hpp.

eval_proj_grad_step_box()

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 90 of file box-constr-problem.hpp.

eval_prox_grad_step_box_l1_impl()

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 113 of file box-constr-problem.hpp.

eval_prox_grad_step_box_l1()

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 122 of file box-constr-problem.hpp.

eval_prox_grad_step_box_l1_scal()

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 129 of file box-constr-problem.hpp.

eval_prox_grad_step()

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 138 of file box-constr-problem.hpp.

eval_proj_diff_g()

void eval_proj_diff_g ( crvec  z, rvec  p  ) const

inlineinherited

See also

TypeErasedProblem::eval_proj_diff_g

Definition at line 148 of file box-constr-problem.hpp.

eval_proj_multipliers_box()

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

inlinestaticinherited

Definition at line 150 of file box-constr-problem.hpp.

eval_proj_multipliers()

void eval_proj_multipliers ( rvec  y, real_t  M  ) const

inlineinherited

See also

TypeErasedProblem::eval_proj_multipliers

Definition at line 172 of file box-constr-problem.hpp.

get_box_C()

const Box & get_box_C ( ) const

inlineinherited

See also

TypeErasedProblem::get_box_C

Definition at line 177 of file box-constr-problem.hpp.

get_box_D()

const Box & get_box_D ( ) const

inlineinherited

See also

TypeErasedProblem::get_box_D

Definition at line 179 of file box-constr-problem.hpp.

provides_get_box_C()

bool provides_get_box_C ( ) const

inlineinherited

Only supported if the ℓ₁-regularization term is zero.

See also

TypeErasedProblem::provides_get_box_C

Definition at line 183 of file box-constr-problem.hpp.

eval_inactive_indices_res_lna()

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 189 of file box-constr-problem.hpp.

check()

void check ( ) const

inlineinherited

See also

TypeErasedProblem::check

Definition at line 226 of file box-constr-problem.hpp.

Member Data Documentation

name

std::string name = "<UNKNOWN>"

Problem name.

Definition at line 79 of file cutest-loader.hpp.

x0

vec x0

Initial value of decision variables.

Definition at line 80 of file cutest-loader.hpp.

y0

vec y0

Initial value of Lagrange multipliers.

Definition at line 81 of file cutest-loader.hpp.

impl

util::copyable_unique_ptr<class CUTEstLoader> impl

private

Definition at line 84 of file cutest-loader.hpp.

sparse

bool sparse = false

private

Definition at line 85 of file cutest-loader.hpp.

nnz_H

int nnz_H = -1

mutableprivate

Definition at line 86 of file cutest-loader.hpp.

nnz_J

int nnz_J = -1

mutableprivate

Definition at line 87 of file cutest-loader.hpp.

storage_jac_g

struct alpaqa::CUTEstProblem::SparseStorage storage_jac_g

private

storage_hess_L

struct alpaqa::CUTEstProblem::SparseStorage storage_hess_L

private

n

length_t n

inherited

Number of decision variables, dimension of x.

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

m

length_t m

inherited

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

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

C

Box C

inherited

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

Definition at line 65 of file box-constr-problem.hpp.

D

Box D

inherited

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

Definition at line 67 of file box-constr-problem.hpp.

l1_reg

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 72 of file box-constr-problem.hpp.

penalty_alm_split

index_t penalty_alm_split

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 78 of file box-constr-problem.hpp.

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

• src/interop/cutest/include/alpaqa/cutest/cutest-loader.hpp
• src/interop/cutest/src/cutest-loader.cpp