#include <interop/casadi/include/alpaqa/casadi/CasADiProblem.hpp>

Detailed Description

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

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

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

Definition at line 18 of file CasADiProblem.hpp.

Inheritance diagram for CasADiProblem< Conf >:

Collaboration diagram for CasADiProblem< Conf >:

Public Types
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

length_t	get_jac_g_num_nonzeros () const

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

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

length_t	get_hess_L_num_nonzeros () const

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

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

length_t	get_hess_ψ_num_nonzeros () const

void	eval_hess_ψ (crvec x, crvec y, crvec Σ, real_t scale, rindexvec inner_idx, rindexvec outer_ptr, 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)

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.

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.

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.

Private Types
using	Functions = casadi_loader::CasADiFunctionsWithParam< Conf >

Private Attributes
util::copyable_unique_ptr< Functions >	impl

Member Typedef Documentation

◆ Functions

using Functions = casadi_loader::CasADiFunctionsWithParam<Conf>

private

Definition at line 95 of file CasADiProblem.hpp.

◆ Box

using Box = alpaqa::Box<config_t>

inherited

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

Constructor & Destructor Documentation

◆ CasADiProblem() [1/3]

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 60 of file CasADiProblem.tpp.

◆ ~CasADiProblem()

~CasADiProblem ( )

default

◆ CasADiProblem() [2/3]

CasADiProblem ( const CasADiProblem< Conf > & )

default

◆ CasADiProblem() [3/3]

CasADiProblem ( CasADiProblem< Conf > && )

defaultnoexcept

Member Function Documentation

◆ operator=() [1/2]

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

default

◆ operator=() [2/2]

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

defaultnoexcept

◆ load_numerical_data()

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:

C lower bound [n]
C upper bound [n]
D lower bound [m]
D upper bound [m]
param [p]
l1_reg [0, 1 or n]
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 146 of file CasADiProblem.tpp.

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◆ eval_f()

auto eval_f ( crvec x ) const

Definition at line 209 of file CasADiProblem.tpp.

◆ eval_grad_f()

void eval_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 216 of file CasADiProblem.tpp.

◆ eval_f_grad_f()

auto eval_f_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

Definition at line 222 of file CasADiProblem.tpp.

◆ eval_g()

void eval_g	(	crvec	x,
		rvec	g
	)		const

Definition at line 229 of file CasADiProblem.tpp.

◆ eval_grad_g_prod()

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

Definition at line 235 of file CasADiProblem.tpp.

◆ eval_grad_ψ()

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

Definition at line 240 of file CasADiProblem.tpp.

◆ eval_ψ_grad_ψ()

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 258 of file CasADiProblem.tpp.

◆ eval_grad_L()

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

Definition at line 268 of file CasADiProblem.tpp.

◆ eval_ψ()

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

Definition at line 279 of file CasADiProblem.tpp.

◆ eval_grad_gi()

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

Definition at line 291 of file CasADiProblem.tpp.

◆ get_jac_g_num_nonzeros()

auto get_jac_g_num_nonzeros

Definition at line 296 of file CasADiProblem.tpp.

◆ eval_jac_g()

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

Definition at line 304 of file CasADiProblem.tpp.

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◆ eval_hess_L_prod()

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

Definition at line 323 of file CasADiProblem.tpp.

◆ get_hess_L_num_nonzeros()

auto get_hess_L_num_nonzeros

Definition at line 331 of file CasADiProblem.tpp.

◆ 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 339 of file CasADiProblem.tpp.

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◆ 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 360 of file CasADiProblem.tpp.

◆ get_hess_ψ_num_nonzeros()

auto get_hess_ψ_num_nonzeros

Definition at line 371 of file CasADiProblem.tpp.

◆ eval_hess_ψ()

void 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 379 of file CasADiProblem.tpp.

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◆ provides_eval_grad_gi()

bool provides_eval_grad_gi

See also: TypeErasedProblem::provides_eval_grad_gi

Definition at line 401 of file CasADiProblem.tpp.

◆ provides_eval_jac_g()

bool provides_eval_jac_g

See also: TypeErasedProblem::provides_eval_jac_g

Definition at line 405 of file CasADiProblem.tpp.

◆ provides_eval_hess_L_prod()

bool provides_eval_hess_L_prod

See also: TypeErasedProblem::provides_eval_hess_L_prod

Definition at line 409 of file CasADiProblem.tpp.

◆ provides_eval_hess_L()

bool provides_eval_hess_L

See also: TypeErasedProblem::provides_eval_hess_L

Definition at line 413 of file CasADiProblem.tpp.

◆ provides_eval_hess_ψ_prod()

bool provides_eval_hess_ψ_prod

See also: TypeErasedProblem::provides_eval_hess_ψ_prod

Definition at line 417 of file CasADiProblem.tpp.

◆ provides_eval_hess_ψ()

bool provides_eval_hess_ψ

See also: TypeErasedProblem::provides_eval_hess_ψ

Definition at line 421 of file CasADiProblem.tpp.

◆ 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.

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◆ 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.

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◆ 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.

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◆ 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.

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◆ 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.

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◆ 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.

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◆ 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.

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◆ 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.

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◆ 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

Definition at line 198 of file box-constr-problem.hpp.

Member Data Documentation

◆ param

vec param

Definition at line 21 of file CasADiProblem.hpp.

◆ impl

util::copyable_unique_ptr<Functions> impl

private

Definition at line 96 of file CasADiProblem.hpp.

◆ n

length_t n

inherited

Number of decision variables, dimension of x.

Examples: C++/CustomCppProblem/main.cpp.

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

◆ m

length_t m

inherited

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

Examples: C++/CustomCppProblem/main.cpp.

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

◆ penalty_alm_split

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 27 of file box-constr-problem.hpp.

◆ C

Box C {this->n}

inherited

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

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

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

◆ D

Box D {this->m}

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

Public Types

Public Member Functions

Static Public Member Functions

Public Attributes

Private Types

Private Attributes

Member Typedef Documentation

◆ Functions

◆ Box

Constructor & Destructor Documentation

◆ CasADiProblem() [1/3]

◆ ~CasADiProblem()

◆ CasADiProblem() [2/3]

◆ CasADiProblem() [3/3]

Member Function Documentation

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ load_numerical_data()

◆ eval_f()

◆ eval_grad_f()

◆ eval_f_grad_f()

◆ eval_g()

◆ eval_grad_g_prod()

◆ eval_grad_ψ()

◆ eval_ψ_grad_ψ()

◆ eval_grad_L()

◆ eval_ψ()

◆ eval_grad_gi()

◆ get_jac_g_num_nonzeros()

◆ eval_jac_g()

◆ eval_hess_L_prod()

◆ get_hess_L_num_nonzeros()

◆ eval_hess_L()

◆ eval_hess_ψ_prod()

◆ get_hess_ψ_num_nonzeros()

◆ eval_hess_ψ()

◆ provides_eval_grad_gi()

◆ provides_eval_jac_g()

◆ provides_eval_hess_L_prod()

◆ provides_eval_hess_L()

◆ provides_eval_hess_ψ_prod()

◆ provides_eval_hess_ψ()

◆ 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

◆ param

◆ impl

◆ n

◆ m

◆ penalty_alm_split

◆ C

◆ D

◆ l1_reg