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

Detailed Description

Wrapper for CUTEst problems loaded from an external shared library.

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	SparseStorage

Public Types
using	Box

Public Member Functions
	CUTEstProblem (const char so_fname, const char outsdif_fname=nullptr, bool sparse=false, DynamicLoadFlags dl_flags={})
	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_objective (crvec x) const
void	eval_objective_gradient (crvec x, rvec grad_fx) const
void	eval_constraints (crvec x, rvec gx) const
void	eval_constraints_gradient_product (crvec x, crvec y, rvec grad_gxy) const
void	eval_constraints_jacobian (crvec x, rvec J_values) const
Sparsity	get_constraints_jacobian_sparsity () const
void	eval_grad_gi (crvec x, index_t i, rvec grad_gi) const
void	eval_lagrangian_hessian_product (crvec x, crvec y, real_t scale, crvec v, rvec Hv) const
void	eval_lagrangian_hessian (crvec x, crvec y, real_t scale, rvec H_values) const
Sparsity	get_lagrangian_hessian_sparsity () const
void	eval_augmented_lagrangian_hessian_product (crvec x, crvec y, crvec Σ, real_t scale, crvec v, rvec Hv) const
real_t	eval_objective_and_gradient (crvec x, rvec grad_fx) const
real_t	eval_objective_and_constraints (crvec x, rvec g) const
void	eval_lagrangian_gradient (crvec x, crvec y, rvec grad_L, rvec work_n) const
std::string	get_name () const
void	resize (length_t num_variables, length_t num_constraints)
	Change the dimensions of the problem (number of decision variables and number of constraints).
length_t	get_num_variables () const
	Number of decision variables \( n \), num_variables.
length_t	get_num_constraints () const
	Number of constraints \( m \), num_constraints.
real_t	eval_proximal_gradient_step (real_t γ, crvec x, crvec grad_ψ, rvec x̂, rvec p) const
void	eval_projecting_difference_constraints (crvec z, rvec p) const
void	eval_projection_multipliers (rvec y, real_t M) const
const Box &	get_variable_bounds () const
const Box &	get_general_bounds () const
bool	provides_get_variable_bounds () 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	num_variables
	Number of decision variables, dimension of x.
length_t	num_constraints
	Number of constraints, dimension of g(x) and z.
Box	variable_bounds
	Constraints of the decision variables, \( x \in C \).
Box	general_bounds
	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
guanaqo::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

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

◆ Box

using Box

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,
		DynamicLoadFlags	dl_flags = {} )

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 238 of file cutest-loader.cpp.

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◆ CUTEstProblem() [2/3]

CUTEstProblem ( const CUTEstProblem & )

default

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◆ CUTEstProblem() [3/3]

CUTEstProblem ( CUTEstProblem && )

defaultnoexcept

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◆ ~CUTEstProblem()

~CUTEstProblem ( )

default

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Member Function Documentation

◆ operator=() [1/2]

CUTEstProblem & operator= ( const CUTEstProblem & )

default

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◆ operator=() [2/2]

CUTEstProblem & operator= ( CUTEstProblem && )

defaultnoexcept

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◆ get_report()

auto get_report ( ) const

nodiscard

Definition at line 256 of file cutest-loader.cpp.

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◆ format_report() [1/2]

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

Definition at line 532 of file cutest-loader.cpp.

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◆ format_report() [2/2]

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

inline

Definition at line 75 of file cutest-loader.hpp.

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◆ eval_objective()

auto eval_objective ( crvec x ) const

nodiscard

Definition at line 276 of file cutest-loader.cpp.

◆ eval_objective_gradient()

void eval_objective_gradient	(	crvec	x,
		rvec	grad_fx ) const

Definition at line 284 of file cutest-loader.cpp.

◆ eval_constraints()

void eval_constraints	(	crvec	x,
		rvec	gx ) const

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

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◆ eval_constraints_gradient_product()

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

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

◆ eval_constraints_jacobian()

void eval_constraints_jacobian	(	crvec	x,
		rvec	J_values ) const

Definition at line 315 of file cutest-loader.cpp.

◆ get_constraints_jacobian_sparsity()

auto get_constraints_jacobian_sparsity ( ) const

nodiscard

Definition at line 341 of file cutest-loader.cpp.

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◆ eval_grad_gi()

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

Definition at line 370 of file cutest-loader.cpp.

◆ eval_lagrangian_hessian_product()

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

Definition at line 377 of file cutest-loader.cpp.

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◆ eval_lagrangian_hessian()

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

Definition at line 440 of file cutest-loader.cpp.

◆ get_lagrangian_hessian_sparsity()

auto get_lagrangian_hessian_sparsity ( ) const

nodiscard

Definition at line 473 of file cutest-loader.cpp.

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◆ eval_augmented_lagrangian_hessian_product()

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

Definition at line 397 of file cutest-loader.cpp.

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◆ eval_objective_and_gradient()

auto eval_objective_and_gradient	(	crvec	x,
		rvec	grad_fx ) const

nodiscard

Definition at line 502 of file cutest-loader.cpp.

◆ eval_objective_and_constraints()

auto eval_objective_and_constraints	(	crvec	x,
		rvec	g ) const

nodiscard

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

◆ eval_lagrangian_gradient()

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

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

◆ get_name()

std::string get_name ( ) const

inlinenodiscard

Definition at line 116 of file cutest-loader.hpp.

◆ resize()

void resize	(	length_t	num_variables,
		length_t	num_constraints )

inlineinherited

Change the dimensions of the problem (number of decision variables and number of constraints).

Destructive: resizes and/or resets the members variable_bounds, general_bounds, l1_reg and penalty_alm_split.

Parameters

num_variables	Number of decision variables
num_constraints	Number of constraints

Definition at line 47 of file box-constr-problem.hpp.

◆ get_num_variables()

length_t get_num_variables ( ) const

inlineinherited

Number of decision variables \( n \), num_variables.

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

◆ get_num_constraints()

length_t get_num_constraints ( ) const

inlineinherited

Number of constraints \( m \), num_constraints.

Definition at line 85 of file box-constr-problem.hpp.

◆ eval_proj_grad_step_box()

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 92 of file box-constr-problem.hpp.

◆ eval_prox_grad_step_box_l1_impl()

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 115 of file box-constr-problem.hpp.

◆ eval_prox_grad_step_box_l1()

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 124 of file box-constr-problem.hpp.

◆ eval_prox_grad_step_box_l1_scal()

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 132 of file box-constr-problem.hpp.

◆ eval_proximal_gradient_step()

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

inlineinherited

See also: eval_proximal_gradient_step

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

◆ eval_projecting_difference_constraints()

void eval_projecting_difference_constraints	(	crvec	z,
		rvec	p ) const

inlineinherited

See also: eval_projecting_difference_constraints

Definition at line 153 of file box-constr-problem.hpp.

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◆ eval_proj_multipliers_box()

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

inlinestaticinherited

Definition at line 157 of file box-constr-problem.hpp.

◆ eval_projection_multipliers()

void eval_projection_multipliers	(	rvec	y,
		real_t	M ) const

inlineinherited

See also: eval_projection_multipliers

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

◆ get_variable_bounds()

const Box & get_variable_bounds ( ) const

inlineinherited

See also: get_variable_bounds

Definition at line 178 of file box-constr-problem.hpp.

◆ get_general_bounds()

const Box & get_general_bounds ( ) const

inlineinherited

See also: get_general_bounds

Definition at line 180 of file box-constr-problem.hpp.

◆ provides_get_variable_bounds()

bool provides_get_variable_bounds ( ) const

inlinenodiscardinherited

Only supported if the ℓ₁-regularization term is zero.

See also: provides_get_variable_bounds

Definition at line 184 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: eval_inactive_indices_res_lna

Definition at line 194 of file box-constr-problem.hpp.

◆ check()

void check ( ) const

inlineinherited

See also: check

Definition at line 233 of file box-constr-problem.hpp.

Member Data Documentation

◆ name

std::string name = "<UNKNOWN>"

Problem name.

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

◆ x0

vec x0

Initial value of decision variables.

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

◆ y0

vec y0

Initial value of Lagrange multipliers.

Definition at line 82 of file cutest-loader.hpp.

◆ impl

guanaqo::copyable_unique_ptr<class CUTEstLoader> impl

private

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

◆ sparse

bool sparse = false

private

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

◆ nnz_H

int nnz_H = -1

mutableprivate

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

◆ nnz_J

int nnz_J = -1

mutableprivate

Definition at line 88 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

◆ num_variables

length_t num_variables

inherited

Number of decision variables, dimension of x.

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

◆ num_constraints

length_t num_constraints

inherited

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

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

◆ variable_bounds

Box variable_bounds

inherited

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

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

◆ general_bounds

Box general_bounds

inherited

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

Definition at line 69 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 74 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 80 of file box-constr-problem.hpp.

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

Detailed Description

Classes

Public Types

Public Member Functions

Static Public Member Functions

Public Attributes

Private Attributes

Class Documentation

◆ alpaqa::CUTEstProblem::Report

◆ alpaqa::CUTEstProblem::SparseStorage

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()

◆ format_report() [1/2]

◆ format_report() [2/2]

◆ eval_objective()

◆ eval_objective_gradient()

◆ eval_constraints()

◆ eval_constraints_gradient_product()

◆ eval_constraints_jacobian()

◆ get_constraints_jacobian_sparsity()

◆ eval_grad_gi()

◆ eval_lagrangian_hessian_product()

◆ eval_lagrangian_hessian()

◆ get_lagrangian_hessian_sparsity()

◆ eval_augmented_lagrangian_hessian_product()

◆ eval_objective_and_gradient()

◆ eval_objective_and_constraints()

◆ eval_lagrangian_gradient()

◆ get_name()

◆ resize()

◆ get_num_variables()

◆ get_num_constraints()

◆ 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_proximal_gradient_step()

◆ eval_projecting_difference_constraints()

◆ eval_proj_multipliers_box()

◆ eval_projection_multipliers()

◆ get_variable_bounds()

◆ get_general_bounds()

◆ provides_get_variable_bounds()

◆ eval_inactive_indices_res_lna()

◆ check()

Member Data Documentation

◆ name

◆ x0

◆ y0

◆ impl

◆ sparse

◆ nnz_H

◆ nnz_J

◆ storage_jac_g

◆ storage_hess_L

◆ num_variables

◆ num_constraints

◆ variable_bounds

◆ general_bounds

◆ l1_reg

◆ penalty_alm_split