#include <alpaqa/include/alpaqa/problem/functional-problem.hpp>

Detailed Description

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

Problem class that allows specifying the basic functions as C++ std::functions.

Definition at line 12 of file functional-problem.hpp.

Inheritance diagram for FunctionalProblem< Conf >:

Collaboration diagram for FunctionalProblem< Conf >:

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

Public Member Functions
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_grad_gi (crvec x, index_t i, rvec grad_gix) const

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

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

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

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

void	eval_hess_ψ (crvec x, crvec y, crvec Σ, real_t scale, rindexvec, rindexvec, 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

	FunctionalProblem (const FunctionalProblem &)=default

FunctionalProblem &	operator= (const FunctionalProblem &)=default

	FunctionalProblem (FunctionalProblem &&) noexcept=default

FunctionalProblem &	operator= (FunctionalProblem &&) noexcept=default

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::function< real_t(crvec)>	f

std::function< void(crvec, rvec)>	grad_f

std::function< void(crvec, rvec)>	g

std::function< void(crvec, crvec, rvec)>	grad_g_prod

std::function< void(crvec, index_t, rvec)>	grad_gi

std::function< void(crvec, rmat)>	jac_g

std::function< void(crvec, crvec, real_t, crvec, rvec)>	hess_L_prod

std::function< void(crvec, crvec, real_t, rmat)>	hess_L

std::function< void(crvec, crvec, crvec, real_t, crvec, rvec)>	hess_ψ_prod

std::function< void(crvec, crvec, crvec, real_t, rmat)>	hess_ψ

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.

Member Typedef Documentation

◆ Box

using Box = alpaqa::Box<config_t>

inherited

Definition at line 13 of file box-constr-problem.hpp.

Constructor & Destructor Documentation

◆ FunctionalProblem() [1/2]

FunctionalProblem ( const FunctionalProblem< Conf > & )

default

◆ FunctionalProblem() [2/2]

FunctionalProblem ( FunctionalProblem< Conf > && )

defaultnoexcept

Member Function Documentation

◆ eval_f()

real_t eval_f ( crvec x ) const

inline

Definition at line 29 of file functional-problem.hpp.

◆ eval_grad_f()

void eval_grad_f	(	crvec	x,
		rvec	grad_fx
	)		const

inline

Definition at line 30 of file functional-problem.hpp.

◆ eval_g()

void eval_g	(	crvec	x,
		rvec	gx
	)		const

inline

Definition at line 31 of file functional-problem.hpp.

◆ eval_grad_g_prod()

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

inline

Definition at line 32 of file functional-problem.hpp.

◆ eval_grad_gi()

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

inline

Definition at line 33 of file functional-problem.hpp.

◆ eval_hess_L_prod()

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

inline

Definition at line 34 of file functional-problem.hpp.

◆ eval_hess_ψ_prod()

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

inline

Definition at line 35 of file functional-problem.hpp.

◆ eval_jac_g()

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

inline

Definition at line 37 of file functional-problem.hpp.

◆ eval_hess_L()

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

inline

Definition at line 42 of file functional-problem.hpp.

◆ eval_hess_ψ()

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

inline

Definition at line 47 of file functional-problem.hpp.

◆ provides_eval_grad_gi()

bool provides_eval_grad_gi ( ) const

inline

See also: TypeErasedProblem::provides_eval_grad_gi

Definition at line 55 of file functional-problem.hpp.

◆ provides_eval_jac_g()

bool provides_eval_jac_g ( ) const

inline

See also: TypeErasedProblem::provides_eval_jac_g

Definition at line 57 of file functional-problem.hpp.

◆ provides_eval_hess_L_prod()

bool provides_eval_hess_L_prod ( ) const

inline

See also: TypeErasedProblem::provides_eval_hess_L_prod

Definition at line 59 of file functional-problem.hpp.

◆ provides_eval_hess_L()

bool provides_eval_hess_L ( ) const

inline

See also: TypeErasedProblem::provides_eval_hess_L

Definition at line 61 of file functional-problem.hpp.

◆ provides_eval_hess_ψ_prod()

bool provides_eval_hess_ψ_prod ( ) const

inline

See also: TypeErasedProblem::provides_eval_hess_ψ_prod

Definition at line 63 of file functional-problem.hpp.

◆ provides_eval_hess_ψ()

bool provides_eval_hess_ψ ( ) const

inline

See also: TypeErasedProblem::provides_eval_hess_ψ

Definition at line 65 of file functional-problem.hpp.

◆ operator=() [1/2]

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

default

◆ operator=() [2/2]

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

defaultnoexcept

◆ get_n()

length_t get_n ( ) const

inlineinherited

Number of decision variables, n.

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

◆ get_m()

length_t get_m ( ) const

inlineinherited

Number of constraints, m.

Definition at line 52 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 59 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 82 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 91 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 98 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 107 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 117 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 119 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 141 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 146 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 148 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 151 of file box-constr-problem.hpp.

◆ check()

void check ( ) const

inlineinherited

See also: TypeErasedProblem::check

Definition at line 188 of file box-constr-problem.hpp.

Member Data Documentation

◆ f

std::function<real_t(crvec)> f

Definition at line 17 of file functional-problem.hpp.

◆ grad_f

std::function<void(crvec, rvec)> grad_f

Definition at line 18 of file functional-problem.hpp.

◆ g

std::function<void(crvec, rvec)> g

Definition at line 19 of file functional-problem.hpp.

◆ grad_g_prod

std::function<void(crvec, crvec, rvec)> grad_g_prod

Definition at line 20 of file functional-problem.hpp.

◆ grad_gi

std::function<void(crvec, index_t, rvec)> grad_gi

Definition at line 21 of file functional-problem.hpp.

◆ jac_g

std::function<void(crvec, rmat)> jac_g

Definition at line 22 of file functional-problem.hpp.

◆ hess_L_prod

std::function<void(crvec, crvec, real_t, crvec, rvec)> hess_L_prod

Definition at line 23 of file functional-problem.hpp.

◆ hess_L

std::function<void(crvec, crvec, real_t, rmat)> hess_L

Definition at line 24 of file functional-problem.hpp.

◆ hess_ψ_prod

std::function<void(crvec, crvec, crvec, real_t, crvec, rvec)> hess_ψ_prod

Definition at line 25 of file functional-problem.hpp.

◆ hess_ψ

std::function<void(crvec, crvec, crvec, real_t, rmat)> hess_ψ

Definition at line 26 of file functional-problem.hpp.

◆ n

length_t n

inherited

Number of decision variables, dimension of x.

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

Definition at line 16 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 18 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 24 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 40 of file box-constr-problem.hpp.

◆ D

Box D {this->m}

inherited

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

Definition at line 42 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 47 of file box-constr-problem.hpp.

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

functional-problem.hpp

Detailed Description

Public Types

Public Member Functions

Static Public Member Functions

Public Attributes

Member Typedef Documentation

◆ Box

Constructor & Destructor Documentation

◆ FunctionalProblem() [1/2]

◆ FunctionalProblem() [2/2]

Member Function Documentation

◆ eval_f()

◆ eval_grad_f()

◆ eval_g()

◆ eval_grad_g_prod()

◆ eval_grad_gi()

◆ eval_hess_L_prod()

◆ eval_hess_ψ_prod()

◆ eval_jac_g()

◆ eval_hess_L()

◆ 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()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ 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

◆ f

◆ grad_f

◆ g

◆ grad_g_prod

◆ grad_gi

◆ jac_g

◆ hess_L_prod

◆ hess_L

◆ hess_ψ_prod

◆ hess_ψ

◆ n

◆ m

◆ penalty_alm_split

◆ C

◆ D

◆ l1_reg