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

Detailed Description

Wrapper for CUTEst problems loaded from an external shared library.

Warning: The lifetime of the wrapper should be at least as long as the lifetime of the CUTEstProblem::problem member. Do not make a copy of the problem that could outlive the wrapper.

Definition at line 20 of file cutest-loader.hpp.

Inheritance diagram for CUTEstProblem:

Collaboration diagram for CUTEstProblem:

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

struct	Report.calls
	Function call counters. More...

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

Public Member Functions
	CUTEstProblem (const char so_fname, const char outsdif_fname, 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

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

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)

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
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.

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.

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.

Private Attributes
util::copyable_unique_ptr< class CUTEstLoader >	impl

bool	sparse = false

int	nnz_H = -1

int	nnz_J = -1

Eigen::VectorX< int >	H_row

Eigen::VectorX< int >	H_col

Eigen::VectorX< int >	J_row

Eigen::VectorX< int >	J_col

vec	H_work

vec	J_work

indexvec	H_perm

indexvec	J_perm

Class Documentation

◆ alpaqa::CUTEstProblem::Report.calls

struct alpaqa::CUTEstProblem::Report.calls

Collaboration diagram for CUTEstProblem::Report.calls:

Class Members
unsigned	objective	Number of calls to the objective function.
unsigned	objective_grad	Number of calls to the objective gradient.
unsigned	objective_hess	Number of calls to the objective Hessian.
unsigned	hessian_times_vector	Number of Hessian times vector products.
unsigned	constraints	Number of calls to the constraint functions.
unsigned	constraints_grad	Number of calls to the constraint gradients.
unsigned	constraints_hess	Number of calls to the constraint Hessians.

Member Typedef Documentation

◆ Box

using Box = alpaqa::Box<config_t>

inherited

Definition at line 16 of file box-constr-problem.hpp.

Constructor & Destructor Documentation

◆ CUTEstProblem() [1/3]

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

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

Definition at line 251 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()

CUTEstProblem::Report get_report ( ) const

Definition at line 269 of file cutest-loader.cpp.

◆ eval_f()

auto eval_f ( crvec x ) const

Definition at line 292 of file cutest-loader.cpp.

◆ eval_grad_f()

void eval_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 301 of file cutest-loader.cpp.

◆ eval_g()

void eval_g	(	crvec	x,
		rvec	gx
	)		const

Definition at line 310 of file cutest-loader.cpp.

◆ eval_grad_g_prod()

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

Definition at line 320 of file cutest-loader.cpp.

◆ eval_jac_g()

void eval_jac_g	(	crvec	x,
		rindexvec	inner_idx,
		rindexvec	outer_ptr,
		rvec	J_values
	)		const

Definition at line 333 of file cutest-loader.cpp.

◆ get_jac_g_num_nonzeros()

auto get_jac_g_num_nonzeros ( ) const

Definition at line 387 of file cutest-loader.cpp.

◆ eval_grad_gi()

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

Definition at line 403 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 411 of file cutest-loader.cpp.

◆ eval_hess_L()

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

Definition at line 430 of file cutest-loader.cpp.

◆ get_hess_L_num_nonzeros()

auto get_hess_L_num_nonzeros ( ) const

Definition at line 489 of file cutest-loader.cpp.

◆ eval_f_grad_f()

auto eval_f_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 504 of file cutest-loader.cpp.

◆ eval_f_g()

auto eval_f_g	(	crvec	x,
		rvec	g
	)		const

Definition at line 514 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 523 of file cutest-loader.cpp.

◆ resize()

void resize	(	length_t	n,
		length_t	m
	)

inlineinherited

Definition at line 37 of file box-constr-problem.hpp.

◆ get_n()

length_t get_n ( ) const

inlineinherited

Number of decision variables, n.

Definition at line 60 of file box-constr-problem.hpp.

◆ get_m()

length_t get_m ( ) const

inlineinherited

Number of constraints, m.

Definition at line 62 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 69 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 92 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 101 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 108 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 117 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 127 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 129 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 151 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 156 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 158 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 161 of file box-constr-problem.hpp.

◆ check()

void check ( ) const

inlineinherited

See also: TypeErasedProblem::check

private

Definition at line 99 of file cutest-loader.hpp.

◆ n

length_t n

inherited

Number of decision variables, dimension of x.

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

◆ m

length_t m

inherited

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

Definition at line 21 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 27 of file box-constr-problem.hpp.

◆ C

Box C

inherited

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

Definition at line 50 of file box-constr-problem.hpp.

◆ D

Box D

inherited

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

Definition at line 52 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 57 of file box-constr-problem.hpp.

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

Detailed Description

Classes

Public Types

Public Member Functions

Static Public Member Functions

Public Attributes

Private Attributes

Class Documentation

◆ alpaqa::CUTEstProblem::Report.calls

Member Typedef Documentation

◆ Box

Constructor & Destructor Documentation

◆ CUTEstProblem() [1/3]

◆ CUTEstProblem() [2/3]

◆ CUTEstProblem() [3/3]

◆ ~CUTEstProblem()

Member Function Documentation

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ get_report()

◆ eval_f()

◆ eval_grad_f()

◆ eval_g()

◆ eval_grad_g_prod()

◆ eval_jac_g()

◆ get_jac_g_num_nonzeros()

◆ eval_grad_gi()

◆ eval_hess_L_prod()

◆ eval_hess_L()

◆ get_hess_L_num_nonzeros()

◆ eval_f_grad_f()

◆ eval_f_g()

◆ eval_grad_L()

◆ resize()

◆ get_n()

◆ get_m()

◆ eval_proj_grad_step_box()

◆ eval_prox_grad_step_box_l1_impl()

◆ eval_prox_grad_step_box_l1()

◆ eval_prox_grad_step_box_l1_scal()

◆ eval_prox_grad_step()

◆ eval_proj_diff_g()

◆ eval_proj_multipliers_box()

◆ eval_proj_multipliers()

◆ get_box_C()

◆ get_box_D()

◆ eval_inactive_indices_res_lna()

◆ check()

Member Data Documentation

◆ name

◆ x0

◆ y0

◆ impl

◆ sparse

◆ nnz_H

◆ nnz_J

◆ H_row

◆ H_col

◆ J_row

◆ J_col

◆ H_work

◆ J_work

◆ H_perm

◆ J_perm

◆ n

◆ m

◆ penalty_alm_split

◆ C

◆ D

◆ l1_reg