Ipopt Documentation  
IpLowRankSSAugSystemSolver.hpp
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1 // Copyright (C) 2005, 2009 International Business Machines and others.
2 // All Rights Reserved.
3 // This code is published under the Eclipse Public License.
4 //
5 // Authors: Andreas Waechter IBM 2009-11-05
6 // (based on IpLowRankAugSystemSolver.hpp rev 1324)
7 
8 #ifndef __IP_LOWRANKSSAUGSYSTEMSOLVER_HPP__
9 #define __IP_LOWRANKSSAUGSYSTEMSOLVER_HPP__
10 
11 #include "IpAugSystemSolver.hpp"
12 #include "IpDiagMatrix.hpp"
13 #include "IpCompoundMatrix.hpp"
14 #include "IpCompoundVector.hpp"
16 
17 namespace Ipopt
18 {
19 
28 {
29 public:
34  AugSystemSolver& aug_system_solver,
35  Index max_rank
36  );
37 
39  virtual ~LowRankSSAugSystemSolver();
41 
42  bool InitializeImpl(
43  const OptionsList& options,
44  const std::string& prefix
45  );
46 
48  virtual ESymSolverStatus Solve(
49  const SymMatrix* W,
50  double W_factor,
51  const Vector* D_x,
52  double delta_x,
53  const Vector* D_s,
54  double delta_s,
55  const Matrix* J_c,
56  const Vector* D_c,
57  double delta_c,
58  const Matrix* J_d,
59  const Vector* D_d,
60  double delta_d,
61  const Vector& rhs_x,
62  const Vector& rhs_s,
63  const Vector& rhs_c,
64  const Vector& rhs_d,
65  Vector& sol_x,
66  Vector& sol_s,
67  Vector& sol_c,
68  Vector& sol_d,
69  bool check_NegEVals,
70  Index numberOfNegEVals
71  );
72 
81  virtual Index NumberOfNegEVals() const;
82 
87  virtual bool ProvidesInertia() const;
88 
96  virtual bool IncreaseQuality();
97 
98 private:
111 
115  );
116 
117  void operator=(
119  );
121 
127 
130 
141 
143  double w_factor_;
144 
150 
152  double delta_x_;
153 
158 
160  double delta_s_;
161 
167 
173 
175  double delta_c_;
176 
182 
188 
190  double delta_d_;
192 
195 
203 
206 
209 
212 
215 
220 
232 
239  const SymMatrix* W,
240  double W_factor,
241  const Vector* D_x,
242  double delta_x,
243  const Vector* D_s,
244  double delta_s,
245  const Matrix& J_c,
246  const Vector* D_c,
247  double delta_c,
248  const Matrix& J_d,
249  const Vector* D_d,
250  double delta_d,
251  const Vector& proto_rhs_x,
252  const Vector& proto_rhs_s,
253  const Vector& proto_rhs_c,
254  const Vector& proto_rhs_d
255  );
256 
263  const SymMatrix* W,
264  double W_factor,
265  const Vector* D_x,
266  double delta_x,
267  const Vector* D_s,
268  double delta_s,
269  const Matrix& J_c,
270  const Vector* D_c,
271  double delta_c,
272  const Matrix& J_d,
273  const Vector* D_d,
274  double delta_d
275  );
277 };
278 
279 } // namespace Ipopt
280 
281 #endif
Ipopt::ESymSolverStatus
ESymSolverStatus
Enum to report outcome of a linear solve.
Definition: IpSymLinearSolver.hpp:19
Ipopt::LowRankSSAugSystemSolver::delta_x_
double delta_x_
Most recent value of delta_x from Set method.
Definition: IpLowRankSSAugSystemSolver.hpp:152
Ipopt::LowRankSSAugSystemSolver::w_tag_
TaggedObject::Tag w_tag_
Tag for W matrix.
Definition: IpLowRankSSAugSystemSolver.hpp:140
Ipopt::LowRankSSAugSystemSolver::J_c_ext_
SmartPtr< CompoundMatrix > J_c_ext_
Extended Jac_c to include expanded_vu_.
Definition: IpLowRankSSAugSystemSolver.hpp:208
Ipopt::LowRankSSAugSystemSolver::d_d_tag_
TaggedObject::Tag d_d_tag_
Tag for D_d vector, representing the diagonal matrix D_d.
Definition: IpLowRankSSAugSystemSolver.hpp:187
Ipopt::LowRankSSAugSystemSolver::~LowRankSSAugSystemSolver
virtual ~LowRankSSAugSystemSolver()
Destructor.
Ipopt::LowRankSSAugSystemSolver::NumberOfNegEVals
virtual Index NumberOfNegEVals() const
Number of negative eigenvalues detected during last solve.
Ipopt::LowRankSSAugSystemSolver::AugmentedSystemRequiresChange
bool AugmentedSystemRequiresChange(const SymMatrix *W, double W_factor, const Vector *D_x, double delta_x, const Vector *D_s, double delta_s, const Matrix &J_c, const Vector *D_c, double delta_c, const Matrix &J_d, const Vector *D_d, double delta_d)
Method that compares the tags of the data for the matrix with those from the previous call.
Ipopt::LowRankSSAugSystemSolver::aug_system_solver_
SmartPtr< AugSystemSolver > aug_system_solver_
The augmented system solver object that should be used for the factorization of the augmented system ...
Definition: IpLowRankSSAugSystemSolver.hpp:126
Ipopt
This file contains a base class for all exceptions and a set of macros to help with exceptions.
Definition: IpInexactAlgBuilder.hpp:13
Ipopt::Matrix
Matrix Base Class.
Definition: IpMatrix.hpp:27
Ipopt::LowRankSSAugSystemSolver::d_x_tag_
TaggedObject::Tag d_x_tag_
Tag for D_x vector, representing the diagonal matrix D_x.
Definition: IpLowRankSSAugSystemSolver.hpp:149
Ipopt::LowRankSSAugSystemSolver::delta_d_
double delta_d_
Most recent value of delta_d from Set method.
Definition: IpLowRankSSAugSystemSolver.hpp:190
Ipopt::LowRankSSAugSystemSolver::max_rank_
Index max_rank_
Maximal rank of low rank Hessian update.
Definition: IpLowRankSSAugSystemSolver.hpp:129
Ipopt::Index
int Index
Type of all indices of vectors, matrices etc.
Definition: IpTypes.hpp:17
IpAugSystemSolver.hpp
Ipopt::LowRankSSAugSystemSolver::d_c_tag_
TaggedObject::Tag d_c_tag_
Tag for D_c vector, representing the diagonal matrix D_c.
Definition: IpLowRankSSAugSystemSolver.hpp:172
Ipopt::LowRankSSAugSystemSolver::LowRankSSAugSystemSolver
LowRankSSAugSystemSolver()
Default constructor.
Ipopt::LowRankSSAugSystemSolver
Solver for the augmented system with LowRankUpdateSymMatrix Hessian matrices.
Definition: IpLowRankSSAugSystemSolver.hpp:27
Ipopt::SmartPtr
Template class for Smart Pointers.
Definition: IpSmartPtr.hpp:171
Ipopt::LowRankSSAugSystemSolver::UpdateExtendedData
ESymSolverStatus UpdateExtendedData(const SymMatrix *W, double W_factor, const Vector *D_x, double delta_x, const Vector *D_s, double delta_s, const Matrix &J_c, const Vector *D_c, double delta_c, const Matrix &J_d, const Vector *D_d, double delta_d, const Vector &proto_rhs_x, const Vector &proto_rhs_s, const Vector &proto_rhs_c, const Vector &proto_rhs_d)
Method for updating the factorization, including J1_, J2_, Vtilde1_, Utilde2, Wdiag_,...
Ipopt::LowRankSSAugSystemSolver::Solve
virtual ESymSolverStatus Solve(const SymMatrix *W, double W_factor, const Vector *D_x, double delta_x, const Vector *D_s, double delta_s, const Matrix *J_c, const Vector *D_c, double delta_c, const Matrix *J_d, const Vector *D_d, double delta_d, const Vector &rhs_x, const Vector &rhs_s, const Vector &rhs_c, const Vector &rhs_d, Vector &sol_x, Vector &sol_s, Vector &sol_c, Vector &sol_d, bool check_NegEVals, Index numberOfNegEVals)
Set up the augmented system and solve it for a given right hand side.
Ipopt::LowRankSSAugSystemSolver::Wdiag_
SmartPtr< DiagMatrix > Wdiag_
Hessian Matrix passed to the augmented system solver solving the matrix without the low-rank update.
Definition: IpLowRankSSAugSystemSolver.hpp:202
Ipopt::LowRankSSAugSystemSolver::d_s_tag_
TaggedObject::Tag d_s_tag_
Tag for D_s vector, representing the diagonal matrix D_s.
Definition: IpLowRankSSAugSystemSolver.hpp:157
Ipopt::LowRankSSAugSystemSolver::ProvidesInertia
virtual bool ProvidesInertia() const
Query whether inertia is computed by linear solver.
IpCompoundMatrix.hpp
IpDiagMatrix.hpp
Ipopt::AugSystemSolver
Base class for Solver for the augmented system.
Definition: IpAugSystemSolver.hpp:36
Ipopt::LowRankSSAugSystemSolver::operator=
void operator=(const LowRankSSAugSystemSolver &)
Ipopt::SymMatrix
This is the base class for all derived symmetric matrix types.
Definition: IpSymMatrix.hpp:20
Ipopt::LowRankSSAugSystemSolver::j_c_tag_
TaggedObject::Tag j_c_tag_
Tag for J_c matrix.
Definition: IpLowRankSSAugSystemSolver.hpp:166
IpExpandedMultiVectorMatrix.hpp
Ipopt::LowRankSSAugSystemSolver::IncreaseQuality
virtual bool IncreaseQuality()
Request to increase quality of solution for next solve.
Ipopt::LowRankSSAugSystemSolver::num_neg_evals_
Index num_neg_evals_
Stores the number of negative eigenvalues detected during most recent factorization.
Definition: IpLowRankSSAugSystemSolver.hpp:231
IpCompoundVector.hpp
Ipopt::LowRankSSAugSystemSolver::expanded_vu_
SmartPtr< ExpandedMultiVectorMatrix > expanded_vu_
Artificial rows for Jac_c part for low rank data.
Definition: IpLowRankSSAugSystemSolver.hpp:205
Ipopt::TaggedObject::Tag
unsigned int Tag
Type for the Tag values.
Definition: IpTaggedObject.hpp:63
Ipopt::LowRankSSAugSystemSolver::y_c_ext_space_
SmartPtr< CompoundVectorSpace > y_c_ext_space_
Extended vector space for y_c.
Definition: IpLowRankSSAugSystemSolver.hpp:214
Ipopt::OptionsList
This class stores a list of user set options.
Definition: IpOptionsList.hpp:32
Ipopt::LowRankSSAugSystemSolver::delta_c_
double delta_c_
Most recent value of delta_c from Set method.
Definition: IpLowRankSSAugSystemSolver.hpp:175
Ipopt::LowRankSSAugSystemSolver::D_c_ext_
SmartPtr< CompoundVector > D_c_ext_
Extended D_c diagonal.
Definition: IpLowRankSSAugSystemSolver.hpp:211
Ipopt::LowRankSSAugSystemSolver::first_call_
bool first_call_
Flag indicating if this is the first call.
Definition: IpLowRankSSAugSystemSolver.hpp:194
Ipopt::LowRankSSAugSystemSolver::w_factor_
double w_factor_
Most recent value of W_factor.
Definition: IpLowRankSSAugSystemSolver.hpp:143
Ipopt::LowRankSSAugSystemSolver::negEvalsCorrection_
Index negEvalsCorrection_
Number of components in V, so that it can be used to correct the inertia.
Definition: IpLowRankSSAugSystemSolver.hpp:218
Ipopt::LowRankSSAugSystemSolver::InitializeImpl
bool InitializeImpl(const OptionsList &options, const std::string &prefix)
overloaded from AlgorithmStrategyObject
Ipopt::LowRankSSAugSystemSolver::delta_s_
double delta_s_
Most recent value of delta_s from Set method.
Definition: IpLowRankSSAugSystemSolver.hpp:160
Ipopt::Vector
Vector Base Class.
Definition: IpVector.hpp:47
Ipopt::LowRankSSAugSystemSolver::j_d_tag_
TaggedObject::Tag j_d_tag_
Tag for J_d matrix.
Definition: IpLowRankSSAugSystemSolver.hpp:181