proxsuite::nlp::ProxNLPSolverTpl< _Scalar > Class Template Reference

#include <proxsuite-nlp/prox-solver.hpp>

Collaboration diagram for proxsuite::nlp::ProxNLPSolverTpl< _Scalar >:

Public Types
using	Scalar = _Scalar
using	Problem = ProblemTpl<Scalar>
using	Workspace = WorkspaceTpl<Scalar>
using	Results = ResultsTpl<Scalar>
using	Manifold = ManifoldAbstractTpl<Scalar>
using	LinesearchOptions = typename Linesearch<Scalar>::Options
using	CallbackPtr = shared_ptr<helpers::base_callback<Scalar>>
using	ConstraintSet = ConstraintSetTpl<Scalar>
using	ConstraintObject = ConstraintObjectTpl<Scalar>

Public Member Functions
	ProxNLPSolverTpl (Problem &prob, const Scalar tol=1e-6, const Scalar mu_eq_init=1e-2, const Scalar rho_init=0., const VerboseLevel verbose=QUIET, const Scalar mu_lower=1e-9, const Scalar prim_alpha=0.1, const Scalar prim_beta=0.9, const Scalar dual_alpha=1., const Scalar dual_beta=1., LDLTChoice ldlt_blocked=LDLTChoice::BUNCHKAUFMAN, const LinesearchOptions ls_options=LinesearchOptions())
const Problem &	problem () const
const Manifold &	manifold () const
void	setup ()
ConvergenceFlag	solve (const ConstVectorRef &x0, const std::vector< VectorRef > &lams0)
	Solve the problem.
PROXSUITE_NLP_DEPRECATED const Workspace &	getWorkspace () const
PROXSUITE_NLP_DEPRECATED const Results &	getResults () const
ConvergenceFlag	solve (const ConstVectorRef &x0, const ConstVectorRef &lams0=VectorXs(0))
	Solve the problem.
void	innerLoop (Workspace &workspace, Results &results)
void	assembleKktMatrix (Workspace &workspace)
PROXSUITE_NLP_INLINE bool	iterativeRefinement (Workspace &workspace) const
	Iterative refinement of the KKT linear system.
void	updatePenalty ()
void	setDualPenalty (const Scalar beta)
	Set the dual penalty weight for the merit function.
void	setPenalty (const Scalar &new_mu) noexcept
	Set penalty parameter, its inverse and update the merit function.
void	setProxParameter (const Scalar &new_rho) noexcept
	Set proximal penalty parameter.
void	registerCallback (const CallbackPtr &cb) noexcept
	Add a callback to the solver instance.
void	clearCallbacks () noexcept
	Remove all callbacks from the instance.
void	updateToleranceFailure () noexcept
	Update primal-dual subproblem tolerances upon failure (insufficient primal feasibility)
void	updateToleranceSuccess () noexcept
	Update primal-dual subproblem tolerances upon successful outer-loop iterate (good primal feasibility)
void	tolerancePostUpdate () noexcept
void	acceptMultipliers (Results &results, Workspace &workspace) const
	Accept Lagrange multiplier estimates.
void	computeMultipliers (const ConstVectorRef &inner_lams_data, Workspace &workspace) const
void	computeProblemDerivatives (const ConstVectorRef &x, Workspace &workspace, boost::mpl::false_) const
void	computeProblemDerivatives (const ConstVectorRef &x, Workspace &workspace, boost::mpl::true_) const
void	computePrimalResiduals (Workspace &workspace, Results &results) const
void	tryStep (Workspace &workspace, const Results &results, Scalar alpha)
void	invokeCallbacks (Workspace &workspace, Results &results)

Public Attributes
	Scalar
ALMeritFunctionTpl< Scalar >	merit_fun
	Merit function.
QuadraticDistanceCostTpl< Scalar >	prox_penalty
	Proximal regularization penalty.
VerboseLevel	verbose = QUIET
	Level of verbosity of the solver.
HessianApprox	hess_approx = HessianApprox::GAUSS_NEWTON
	Use a Gauss-Newton approximation for the Lagrangian Hessian.
LinesearchStrategy	ls_strat = LinesearchStrategy::ARMIJO
	Linesearch strategy.
MultiplierUpdateMode	mul_update_mode = MultiplierUpdateMode::NEWTON
std::size_t	max_refinement_steps_ = 5
	linear algebra opts
Scalar	kkt_tolerance_ = 1e-13
LDLTChoice	ldlt_choice_
KktSystem	kkt_system_ = KKT_CLASSIC
Scalar	inner_tol0 = 1.
Scalar	prim_tol0 = 1.
Scalar	inner_tol_ = inner_tol0
Scalar	prim_tol_ = prim_tol0
Scalar	rho_init_
Scalar	mu_init_
Scalar	inner_tol_min = 1e-9
Scalar	mu_upper_ = 1.
Scalar	mu_lower_ = 1e-9
Scalar	pdal_beta_ = 0.5
BCLParamsTpl< Scalar >	bcl_params
	BCL strategy parameters.
LinesearchOptions	ls_options
	Linesearch options.
Scalar	target_tol
	Target tolerance for the problem.
BaseLogger	logger {}
	Logger.
Scalar	del_inc_k = 8.
Scalar	del_inc_big = 100.
Scalar	del_dec_k = 1. / 3.
Scalar	DELTA_MIN = 1e-14
Scalar	DELTA_MAX = 1e6
Scalar	DELTA_NONZERO_INIT = 1e-4
Scalar	DELTA_INIT = 0.
std::size_t	max_iters = 100
std::size_t	max_al_iters = 1000
std::vector< CallbackPtr >	callbacks_
	Callbacks.
unique_ptr< Workspace >	workspace_
unique_ptr< Results >	results_

Protected Attributes
Problem *	problem_
	General nonlinear program to solve.

Detailed Description

template<typename _Scalar>
class proxsuite::nlp::ProxNLPSolverTpl< _Scalar >

Semi-smooth Newton-based solver for nonlinear optimization using a primal-dual method of multipliers. This solver works by approximately solving the proximal subproblems in the method of multipliers.

Definition at line 39 of file prox-solver.hpp.

Member Typedef Documentation

Scalar

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::Scalar = _Scalar

Definition at line 41 of file prox-solver.hpp.

Problem

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::Problem = ProblemTpl<Scalar>

Definition at line 43 of file prox-solver.hpp.

Workspace

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::Workspace = WorkspaceTpl<Scalar>

Definition at line 44 of file prox-solver.hpp.

Results

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::Results = ResultsTpl<Scalar>

Definition at line 45 of file prox-solver.hpp.

Manifold

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::Manifold = ManifoldAbstractTpl<Scalar>

Definition at line 46 of file prox-solver.hpp.

LinesearchOptions

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::LinesearchOptions = typename Linesearch<Scalar>::Options

Definition at line 47 of file prox-solver.hpp.

CallbackPtr

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::CallbackPtr = shared_ptr<helpers::base_callback<Scalar>>

Definition at line 48 of file prox-solver.hpp.

ConstraintSet

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::ConstraintSet = ConstraintSetTpl<Scalar>

Definition at line 49 of file prox-solver.hpp.

ConstraintObject

template<typename _Scalar >

using proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::ConstraintObject = ConstraintObjectTpl<Scalar>

Definition at line 50 of file prox-solver.hpp.

Constructor & Destructor Documentation

ProxNLPSolverTpl()

template<typename _Scalar >

proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::ProxNLPSolverTpl	(	Problem &	prob,
		const Scalar	tol = 1e-6,
		const Scalar	mu_eq_init = 1e-2,
		const Scalar	rho_init = 0.,
		const VerboseLevel	verbose = QUIET,
		const Scalar	mu_lower = 1e-9,
		const Scalar	prim_alpha = 0.1,
		const Scalar	prim_beta = 0.9,
		const Scalar	dual_alpha = 1.,
		const Scalar	dual_beta = 1.,
		LDLTChoice	ldlt_blocked = LDLTChoice::BUNCHKAUFMAN,
		const LinesearchOptions	ls_options = LinesearchOptions() )

Member Function Documentation

problem()

template<typename _Scalar >

const Problem & proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::problem ( ) const

inline

Definition at line 134 of file prox-solver.hpp.

manifold()

template<typename _Scalar >

const Manifold & proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::manifold ( ) const

inline

Definition at line 136 of file prox-solver.hpp.

setup()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::setup ( )

inline

Definition at line 138 of file prox-solver.hpp.

solve() [1/2]

template<typename _Scalar >

ConvergenceFlag proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::solve	(	const ConstVectorRef &	x0,
		const std::vector< VectorRef > &	lams0 )

Solve the problem.

Parameters

x0	Initial guess.
lams0	Initial Lagrange multipliers given separately for each constraint.

getWorkspace()

template<typename _Scalar >

PROXSUITE_NLP_DEPRECATED const Workspace & proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::getWorkspace ( ) const

inline

Definition at line 155 of file prox-solver.hpp.

getResults()

template<typename _Scalar >

PROXSUITE_NLP_DEPRECATED const Results & proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::getResults ( ) const

inline

Definition at line 157 of file prox-solver.hpp.

solve() [2/2]

template<typename _Scalar >

ConvergenceFlag proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::solve	(	const ConstVectorRef &	x0,
		const ConstVectorRef &	lams0 = VectorXs(0) )

Solve the problem.

Parameters

x0	Initial guess.
lams0	Initial Lagrange multipliers given separately for each constraint.

innerLoop()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::innerLoop	(	Workspace &	workspace,
		Results &	results )

assembleKktMatrix()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::assembleKktMatrix

(

Workspace &

workspace

)

iterativeRefinement()

template<typename _Scalar >

PROXSUITE_NLP_INLINE bool proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::iterativeRefinement

(

Workspace &

workspace

)

const

Iterative refinement of the KKT linear system.

updatePenalty()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::updatePenalty ( )

inline

Update penalty parameter using the provided factor (with a safeguard ProxNLPSolverTpl::mu_lower).

setDualPenalty()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::setDualPenalty ( const Scalar beta )

inline

Set the dual penalty weight for the merit function.

Definition at line 182 of file prox-solver.hpp.

setPenalty()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::setPenalty ( const Scalar & new_mu )

noexcept

Set penalty parameter, its inverse and update the merit function.

Parameters

new_mu

The new penalty parameter.

setProxParameter()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::setProxParameter ( const Scalar & new_rho )

noexcept

Set proximal penalty parameter.

registerCallback()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::registerCallback ( const CallbackPtr & cb )

inlinenoexcept

Add a callback to the solver instance.

Definition at line 192 of file prox-solver.hpp.

clearCallbacks()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::clearCallbacks ( )

inlinenoexcept

Remove all callbacks from the instance.

Definition at line 197 of file prox-solver.hpp.

updateToleranceFailure()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::updateToleranceFailure ( )

noexcept

Update primal-dual subproblem tolerances upon failure (insufficient primal feasibility)

This is called upon initialization of the solver.

updateToleranceSuccess()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::updateToleranceSuccess ( )

noexcept

Update primal-dual subproblem tolerances upon successful outer-loop iterate (good primal feasibility)

tolerancePostUpdate()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::tolerancePostUpdate ( )

inlinenoexcept

acceptMultipliers()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::acceptMultipliers	(	Results &	results,
		Workspace &	workspace ) const

Accept Lagrange multiplier estimates.

computeMultipliers()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::computeMultipliers	(	const ConstVectorRef &	inner_lams_data,
		Workspace &	workspace ) const

Evaluate the problem data, as well as the proximal/projection operators, and the first-order & primal-dual multiplier estimates.

Parameters

inner_lams_data	Inner (SQP) dual variables
workspace	Problem workspace.

computeProblemDerivatives() [1/2]

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::computeProblemDerivatives	(	const ConstVectorRef &	x,
		Workspace &	workspace,
		boost::mpl::false_	) const

Evaluate the derivatives (cost gradient, Hessian, constraint Jacobians, vector-Hessian products) of the problem data.

Parameters

x	Primal variable
workspace	Problem workspace.
second_order	Whether to compute the second-order information; set to false for e.g. linesearch.

computeProblemDerivatives() [2/2]

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::computeProblemDerivatives	(	const ConstVectorRef &	x,
		Workspace &	workspace,
		boost::mpl::true_	) const

Evaluate the derivatives (cost gradient, Hessian, constraint Jacobians, vector-Hessian products) of the problem data.

Parameters

x	Primal variable
workspace	Problem workspace.
second_order	Whether to compute the second-order information; set to false for e.g. linesearch.

computePrimalResiduals()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::computePrimalResiduals	(	Workspace &	workspace,
		Results &	results ) const

Compute the primal residuals at the current primal-dual pair \((x, \lambda^+)\), where the multipliers are chosen to be the predicted next ALM iterate.

tryStep()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::tryStep	(	Workspace &	workspace,
		const Results &	results,
		Scalar	alpha )

Take a trial step.

Parameters

workspace	Workspace
results	Contains the previous primal-dual point
alpha	Step size

invokeCallbacks()

template<typename _Scalar >

void proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::invokeCallbacks ( Workspace & workspace, Results & results )

inline

Definition at line 260 of file prox-solver.hpp.

Member Data Documentation

Scalar

template<typename _Scalar >

proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::Scalar

Definition at line 42 of file prox-solver.hpp.

problem_

template<typename _Scalar >

Problem* proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::problem_

protected

General nonlinear program to solve.

Definition at line 54 of file prox-solver.hpp.

merit_fun

template<typename _Scalar >

ALMeritFunctionTpl<Scalar> proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::merit_fun

Merit function.

Definition at line 58 of file prox-solver.hpp.

prox_penalty

template<typename _Scalar >

QuadraticDistanceCostTpl<Scalar> proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::prox_penalty

Proximal regularization penalty.

Definition at line 60 of file prox-solver.hpp.

verbose

template<typename _Scalar >

VerboseLevel proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::verbose = QUIET

Level of verbosity of the solver.

Definition at line 63 of file prox-solver.hpp.

hess_approx

template<typename _Scalar >

HessianApprox proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::hess_approx = HessianApprox::GAUSS_NEWTON

Use a Gauss-Newton approximation for the Lagrangian Hessian.

Definition at line 65 of file prox-solver.hpp.

ls_strat

template<typename _Scalar >

LinesearchStrategy proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::ls_strat = LinesearchStrategy::ARMIJO

Linesearch strategy.

Definition at line 67 of file prox-solver.hpp.

mul_update_mode

template<typename _Scalar >

MultiplierUpdateMode proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::mul_update_mode = MultiplierUpdateMode::NEWTON

Definition at line 68 of file prox-solver.hpp.

max_refinement_steps_

template<typename _Scalar >

std::size_t proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::max_refinement_steps_ = 5

linear algebra opts

Definition at line 71 of file prox-solver.hpp.

kkt_tolerance_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::kkt_tolerance_ = 1e-13

Definition at line 72 of file prox-solver.hpp.

ldlt_choice_

template<typename _Scalar >

LDLTChoice proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::ldlt_choice_

Definition at line 73 of file prox-solver.hpp.

kkt_system_

template<typename _Scalar >

KktSystem proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::kkt_system_ = KKT_CLASSIC

Definition at line 74 of file prox-solver.hpp.

inner_tol0

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::inner_tol0 = 1.

Definition at line 78 of file prox-solver.hpp.

prim_tol0

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::prim_tol0 = 1.

Definition at line 79 of file prox-solver.hpp.

inner_tol_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::inner_tol_ = inner_tol0

Definition at line 80 of file prox-solver.hpp.

prim_tol_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::prim_tol_ = prim_tol0

Definition at line 81 of file prox-solver.hpp.

rho_init_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::rho_init_

Definition at line 82 of file prox-solver.hpp.

mu_init_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::mu_init_

Definition at line 83 of file prox-solver.hpp.

inner_tol_min

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::inner_tol_min = 1e-9

Definition at line 89 of file prox-solver.hpp.

mu_upper_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::mu_upper_ = 1.

Definition at line 90 of file prox-solver.hpp.

mu_lower_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::mu_lower_ = 1e-9

Definition at line 91 of file prox-solver.hpp.

pdal_beta_

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::pdal_beta_ = 0.5

Definition at line 92 of file prox-solver.hpp.

bcl_params

template<typename _Scalar >

BCLParamsTpl<Scalar> proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::bcl_params

BCL strategy parameters.

Definition at line 95 of file prox-solver.hpp.

ls_options

template<typename _Scalar >

LinesearchOptions proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::ls_options

Linesearch options.

Definition at line 98 of file prox-solver.hpp.

target_tol

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::target_tol

Target tolerance for the problem.

Definition at line 101 of file prox-solver.hpp.

logger

template<typename _Scalar >

BaseLogger proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::logger {}

Logger.

Definition at line 104 of file prox-solver.hpp.

del_inc_k

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::del_inc_k = 8.

Definition at line 108 of file prox-solver.hpp.

del_inc_big

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::del_inc_big = 100.

Definition at line 109 of file prox-solver.hpp.

del_dec_k

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::del_dec_k = 1. / 3.

Definition at line 110 of file prox-solver.hpp.

DELTA_MIN

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::DELTA_MIN = 1e-14

Definition at line 111 of file prox-solver.hpp.

DELTA_MAX

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::DELTA_MAX = 1e6

Definition at line 112 of file prox-solver.hpp.

DELTA_NONZERO_INIT

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::DELTA_NONZERO_INIT = 1e-4

Definition at line 113 of file prox-solver.hpp.

DELTA_INIT

template<typename _Scalar >

Scalar proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::DELTA_INIT = 0.

Definition at line 114 of file prox-solver.hpp.

max_iters

template<typename _Scalar >

std::size_t proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::max_iters = 100

Definition at line 116 of file prox-solver.hpp.

max_al_iters

template<typename _Scalar >

std::size_t proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::max_al_iters = 1000

Definition at line 117 of file prox-solver.hpp.

callbacks_

template<typename _Scalar >

std::vector<CallbackPtr> proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::callbacks_

Callbacks.

Definition at line 120 of file prox-solver.hpp.

workspace_

template<typename _Scalar >

unique_ptr<Workspace> proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::workspace_

Definition at line 122 of file prox-solver.hpp.

results_

template<typename _Scalar >

unique_ptr<Results> proxsuite::nlp::ProxNLPSolverTpl< _Scalar >::results_

Definition at line 123 of file prox-solver.hpp.

---

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

• include/proxsuite-nlp/fwd.hpp
• include/proxsuite-nlp/prox-solver.hpp