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sqp.m: Ignore missing lower/upper bounds (bug #32008) * sqp.m: Avoid setting lower and upper bounds to +/-realmax when unspecified in the function call. Set bounds to +/-Inf in main function. Update constraint subfunction to correctly return empty distance to constraint when bounds are unspecified.
author Julien Bect <julien.bect@supelec.fr>
date Thu, 08 Dec 2022 15:23:29 -0500
parents c05ef94a2bbc
children 5f11de0e7440
Ignore whitespace changes - Everywhere: Within whitespace: At end of lines:
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1 ########################################################################
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2 ##
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3 ## Copyright (C) 2005-2022 The Octave Project Developers
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4 ##
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5 ## See the file COPYRIGHT.md in the top-level directory of this
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6 ## distribution or <https://octave.org/copyright/>.
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7 ##
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8 ## This file is part of Octave.
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9 ##
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10 ## Octave is free software: you can redistribute it and/or modify it
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11 ## under the terms of the GNU General Public License as published by
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12 ## the Free Software Foundation, either version 3 of the License, or
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13 ## (at your option) any later version.
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14 ##
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15 ## Octave is distributed in the hope that it will be useful, but
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16 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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17 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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18 ## GNU General Public License for more details.
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19 ##
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20 ## You should have received a copy of the GNU General Public License
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21 ## along with Octave; see the file COPYING. If not, see
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22 ## <https://www.gnu.org/licenses/>.
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23 ##
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24 ########################################################################
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25
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26 ## -*- texinfo -*-
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27 ## @deftypefn {} {[@var{x}, @var{obj}, @var{info}, @var{iter}, @var{nf}, @var{lambda}] =} sqp (@var{x0}, @var{phi})
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28 ## @deftypefnx {} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g})
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29 ## @deftypefnx {} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h})
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30 ## @deftypefnx {} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub})
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31 ## @deftypefnx {} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter})
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32 ## @deftypefnx {} {[@dots{}] =} sqp (@var{x0}, @var{phi}, @var{g}, @var{h}, @var{lb}, @var{ub}, @var{maxiter}, @var{tolerance})
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33 ## Minimize an objective function using sequential quadratic programming (SQP).
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34 ##
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35 ## Solve the nonlinear program
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36 ## @tex
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37 ## $$
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38 ## \min_x \phi (x)
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39 ## $$
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40 ## @end tex
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41 ## @ifnottex
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42 ##
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43 ## @example
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44 ## @group
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45 ## min phi (x)
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46 ## x
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47 ## @end group
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48 ## @end example
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49 ##
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50 ## @end ifnottex
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51 ## subject to
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52 ## @tex
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53 ## $$
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54 ## g(x) = 0 \qquad h(x) \geq 0 \qquad lb \leq x \leq ub
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55 ## $$
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56 ## @end tex
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57 ## @ifnottex
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58 ##
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59 ## @example
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60 ## @group
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61 ## g(x) = 0
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62 ## h(x) >= 0
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63 ## lb <= x <= ub
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64 ## @end group
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65 ## @end example
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66 ##
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67 ## @end ifnottex
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68 ## @noindent
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69 ## using a sequential quadratic programming method.
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70 ##
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71 ## The first argument is the initial guess for the vector @var{x0}.
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72 ##
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73 ## The second argument is a function handle pointing to the objective function
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74 ## @var{phi}. The objective function must accept one vector argument and
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75 ## return a scalar.
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76 ##
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77 ## The second argument may also be a 2- or 3-element cell array of function
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78 ## handles. The first element should point to the objective function, the
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79 ## second should point to a function that computes the gradient of the
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80 ## objective function, and the third should point to a function that computes
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81 ## the Hessian of the objective function. If the gradient function is not
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82 ## supplied, the gradient is computed by finite differences. If the Hessian
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83 ## function is not supplied, a BFGS update formula is used to approximate the
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84 ## Hessian.
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85 ##
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86 ## When supplied, the gradient function @code{@var{phi}@{2@}} must accept one
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87 ## vector argument and return a vector. When supplied, the Hessian function
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88 ## @code{@var{phi}@{3@}} must accept one vector argument and return a matrix.
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89 ##
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90 ## The third and fourth arguments @var{g} and @var{h} are function handles
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91 ## pointing to functions that compute the equality constraints and the
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92 ## inequality constraints, respectively. If the problem does not have
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93 ## equality (or inequality) constraints, then use an empty matrix ([]) for
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94 ## @var{g} (or @var{h}). When supplied, these equality and inequality
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95 ## constraint functions must accept one vector argument and return a vector.
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96 ##
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97 ## The third and fourth arguments may also be 2-element cell arrays of
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98 ## function handles. The first element should point to the constraint
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99 ## function and the second should point to a function that computes the
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100 ## gradient of the constraint function:
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101 ## @tex
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102 ## $$
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103 ## \Bigg( {\partial f(x) \over \partial x_1},
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104 ## {\partial f(x) \over \partial x_2}, \ldots,
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105 ## {\partial f(x) \over \partial x_N} \Bigg)^T
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106 ## $$
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107 ## @end tex
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108 ## @ifnottex
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109 ##
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110 ## @example
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111 ## @group
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112 ## [ d f(x) d f(x) d f(x) ]
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113 ## transpose ( [ ------ ----- ... ------ ] )
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114 ## [ dx_1 dx_2 dx_N ]
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115 ## @end group
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116 ## @end example
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117 ##
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118 ## @end ifnottex
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119 ## The fifth and sixth arguments, @var{lb} and @var{ub}, contain lower and
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120 ## upper bounds on @var{x}. These must be consistent with the equality and
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121 ## inequality constraints @var{g} and @var{h}. If the arguments are vectors
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122 ## then @var{x}(i) is bound by @var{lb}(i) and @var{ub}(i). A bound can also
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123 ## be a scalar in which case all elements of @var{x} will share the same
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124 ## bound.
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125 ##
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126 ## The seventh argument @var{maxiter} specifies the maximum number of
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127 ## iterations. The default value is 100.
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128 ##
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129 ## The eighth argument @var{tolerance} specifies the tolerance for the stopping
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130 ## criteria. The default value is @code{sqrt (eps)}.
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131 ##
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132 ## The value returned in @var{info} may be one of the following:
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133 ##
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134 ## @table @asis
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135 ## @item 101
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136 ## The algorithm terminated normally.
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137 ## All constraints meet the specified tolerance.
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138 ##
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139 ## @item 102
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140 ## The BFGS update failed.
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141 ##
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142 ## @item 103
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143 ## The maximum number of iterations was reached.
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144 ##
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145 ## @item 104
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146 ## The stepsize has become too small, i.e.,
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147 ## @tex
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148 ## $\Delta x,$
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149 ## @end tex
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150 ## @ifnottex
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151 ## delta @var{x},
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152 ## @end ifnottex
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153 ## is less than @code{@var{tol} * norm (x)}.
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154 ## @end table
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155 ##
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156 ## An example of calling @code{sqp}:
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157 ##
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158 ## @example
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159 ## function r = g (x)
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160 ## r = [ sumsq(x)-10;
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161 ## x(2)*x(3)-5*x(4)*x(5);
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162 ## x(1)^3+x(2)^3+1 ];
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163 ## endfunction
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164 ##
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165 ## function obj = phi (x)
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166 ## obj = exp (prod (x)) - 0.5*(x(1)^3+x(2)^3+1)^2;
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167 ## endfunction
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168 ##
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169 ## x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
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170 ##
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171 ## [x, obj, info, iter, nf, lambda] = sqp (x0, @@phi, @@g, [])
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172 ##
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173 ## x =
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174 ##
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175 ## -1.71714
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176 ## 1.59571
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177 ## 1.82725
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178 ## -0.76364
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179 ## -0.76364
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180 ##
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181 ## obj = 0.053950
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182 ## info = 101
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183 ## iter = 8
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184 ## nf = 10
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185 ## lambda =
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186 ##
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187 ## -0.0401627
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188 ## 0.0379578
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189 ## -0.0052227
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190 ## @end example
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191 ##
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192 ## @seealso{qp}
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193 ## @end deftypefn
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194
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195 function [x, obj, info, iter, nf, lambda] = sqp (x0, objf, cef, cif, lb, ub, maxiter, tolerance)
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196
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197 globals = struct (); # data and handles, needed and changed by subfunctions
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198
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199 if (nargin < 2 || nargin == 5)
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200 print_usage ();
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201 endif
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202
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203 if (! isvector (x0))
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204 error ("sqp: X0 must be a vector");
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205 endif
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206 if (rows (x0) == 1)
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207 x0 = x0';
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208 endif
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209
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210 have_grd = 0;
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211 have_hess = 0;
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212 if (iscell (objf))
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213 switch (numel (objf))
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214 case 1
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215 obj_fcn = objf{1};
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216 obj_grd = @(x, obj) fd_obj_grd (x, obj, obj_fcn);
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217 case 2
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218 obj_fcn = objf{1};
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219 obj_grd = objf{2};
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220 have_grd = 1;
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221 case 3
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222 obj_fcn = objf{1};
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223 obj_grd = objf{2};
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224 obj_hess = objf{3};
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225 have_grd = 1;
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226 have_hess = 1;
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227 otherwise
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228 error ("sqp: invalid objective function specification");
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229 endswitch
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230 else
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231 obj_fcn = objf; # No cell array, only obj_fcn set
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232 obj_grd = @(x, obj) fd_obj_grd (x, obj, obj_fcn);
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233 endif
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234
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235 ce_fcn = @empty_cf;
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236 ce_grd = @empty_jac;
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237 if (nargin > 2)
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238 if (iscell (cef))
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239 switch (numel (cef))
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240 case 1
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241 ce_fcn = cef{1};
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242 ce_grd = @(x) fd_ce_jac (x, ce_fcn);
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243 case 2
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244 ce_fcn = cef{1};
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245 ce_grd = cef{2};
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246 otherwise
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247 error ("sqp: invalid equality constraint function specification");
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248 endswitch
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249 elseif (! isempty (cef))
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250 ce_fcn = cef; # No cell array, only constraint equality function set
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251 ce_grd = @(x) fd_ce_jac (x, ce_fcn);
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252 endif
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253 endif
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254
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255 ci_fcn = @empty_cf;
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256 ci_grd = @empty_jac;
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257 if (nargin > 3)
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258 ## constraint function given by user with possible gradient
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259 globals.cif = cif;
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260 ## constraint function given by user without gradient
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261 globals.cifcn = @empty_cf;
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262 if (iscell (cif))
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263 if (length (cif) > 0)
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264 globals.cifcn = cif{1};
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265 endif
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266 elseif (! isempty (cif))
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267 globals.cifcn = cif;
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268 endif
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269
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diff changeset
270 if (nargin < 5 || (nargin > 5 && isempty (lb) && isempty (ub)))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
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parents: 10549
diff changeset
271 ## constraint inequality function only without any bounds
19833
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
272 ci_grd = @(x) fd_ci_jac (x, globals.cifcn);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
273 if (iscell (cif))
16933
e39f00a32dc7 maint: Use parentheses around condition for switch(),while(),if() statements.
Rik <rik@octave.org>
parents: 16064
diff changeset
274 switch (length (cif))
17174
c3c1ebfaa7dc maint: Use common indentation for switch statement.
Rik <rik@octave.org>
parents: 16933
diff changeset
275 case 1
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
276 ci_fcn = cif{1};
17174
c3c1ebfaa7dc maint: Use common indentation for switch statement.
Rik <rik@octave.org>
parents: 16933
diff changeset
277 case 2
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
278 ci_fcn = cif{1};
17174
c3c1ebfaa7dc maint: Use common indentation for switch statement.
Rik <rik@octave.org>
parents: 16933
diff changeset
279 ci_grd = cif{2};
c3c1ebfaa7dc maint: Use common indentation for switch statement.
Rik <rik@octave.org>
parents: 16933
diff changeset
280 otherwise
c3c1ebfaa7dc maint: Use common indentation for switch statement.
Rik <rik@octave.org>
parents: 16933
diff changeset
281 error ("sqp: invalid inequality constraint function specification");
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
282 endswitch
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
283 elseif (! isempty (cif))
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
284 ci_fcn = cif; # No cell array, only constraint inequality function set
5289
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jwe
parents:
diff changeset
285 endif
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
286 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
287 ## constraint inequality function with bounds present
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
288 lb_idx = ub_idx = true (size (x0));
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
289 ub_grad = - (lb_grad = eye (rows (x0)));
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
290
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
291 ## if unspecified set ub and lb to +/-Inf, preserving single type
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
292 if (isempty (lb))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
293 if (isa (x0, "single"))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
294 lb = - inf (size (x0), "single");
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
295 else
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
296 lb = - inf (size (x0));
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
297 endif
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
298 endif
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
299
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
300 if (isvector (lb))
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
301 lb = lb(:);
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
302 lb_idx(:) = (lb != -Inf);
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
303 globals.lb = lb(lb_idx, 1);
11347
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
304 lb_grad = lb_grad(lb_idx, :);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
305 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
306 error ("sqp: invalid lower bound");
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
307 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
308
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
309 if (isempty (ub))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
310 if (isa (x0, "single"))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
311 ub = inf (size (x0), "single");
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
312 else
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
313 ub = inf (size (x0));
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
314 endif
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
315 endif
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
316
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
317 if (isvector (ub))
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
318 ub = ub(:);
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
319 ub_idx(:) = (ub != Inf);
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
320 globals.ub = ub(ub_idx, 1);
11347
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
321 ub_grad = ub_grad(ub_idx, :);
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
322 else
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
323 error ("sqp: invalid upper bound");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
324 endif
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
325
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
326 if (any (globals.lb > globals.ub))
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
327 error ("sqp: upper bound smaller than lower bound");
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
328 endif
11347
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
329 bounds_grad = [lb_grad; ub_grad];
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
330 ci_fcn = @(x) cf_ub_lb (x, lb_idx, ub_idx, globals);
19833
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
331 ci_grd = @(x) cigrad_ub_lb (x, bounds_grad, globals);
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
332 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
333
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
334 endif # if (nargin > 3)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
335
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
336 iter_max = 100;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
337 if (nargin > 6 && ! isempty (maxiter))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
338 if (isscalar (maxiter) && maxiter > 0 && fix (maxiter) == maxiter)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
339 iter_max = maxiter;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
340 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
341 error ("sqp: invalid number of maximum iterations");
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
342 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
343 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
344
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
345 tol = sqrt (eps);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
346 if (nargin > 7 && ! isempty (tolerance))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
347 if (isscalar (tolerance) && tolerance > 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
348 tol = tolerance;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
349 else
11472
1740012184f9 Use uppercase for variable names in error() strings to match Info documentation. Only m-files done.
Rik <octave@nomad.inbox5.com>
parents: 11371
diff changeset
350 error ("sqp: invalid value for TOLERANCE");
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
351 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
352 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
353
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
354 ## Initialize variables for search loop
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
355 ## Seed x with initial guess and evaluate objective function, constraints,
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
356 ## and gradients at initial value x0.
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
357 ##
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
358 ## obj_fcn -- objective function
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
359 ## obj_grad -- objective gradient
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
360 ## ce_fcn -- equality constraint functions
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
361 ## ci_fcn -- inequality constraint functions
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
362 ## A == [grad_{x_1} cx_fun, grad_{x_2} cx_fun, ..., grad_{x_n} cx_fun]^T
11587
c792872f8942 all script files: untabify and strip trailing whitespace
John W. Eaton <jwe@octave.org>
parents: 11523
diff changeset
363 x = x0;
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
364
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
365 obj = feval (obj_fcn, x0);
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
366 globals.nfev = 1;
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
367
26237
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
368 if (have_grd)
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
369 c = feval (obj_grd, x0);
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
370 else
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
371 c = feval (obj_grd, x0, obj);
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
372 endif
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
373
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
374 ## Choose an initial NxN symmetric positive definite Hessian approximation B.
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
375 n = length (x0);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
376 if (have_hess)
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
377 B = feval (obj_hess, x0);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
378 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
379 B = eye (n, n);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
380 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
381
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
382 ce = feval (ce_fcn, x0);
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
383 F = feval (ce_grd, x0);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
384
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
385 ci = feval (ci_fcn, x0);
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
386 C = feval (ci_grd, x0);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
387
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
388 A = [F; C];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
389
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
390 ## Choose an initial lambda (x is provided by the caller).
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
391 lambda = 100 * ones (rows (A), 1);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
392
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
393 qp_iter = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
394 alpha = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
395
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
396 info = 0;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
397 iter = 0;
28942
fc4bb4bd1d5e maint: Use '##' as lead-in for full-line comments.
Rik <rik@octave.org>
parents: 28896
diff changeset
398 ## report (); # Called with no arguments to initialize reporting
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
399 ## report (iter, qp_iter, alpha, __sqp_nfev__, obj);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
400
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
401 while (++iter < iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
402
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
403 ## Check convergence. This is just a simple check on the first
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
404 ## order necessary conditions.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
405 nr_f = rows (F);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
406
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
407 lambda_e = lambda((1:nr_f)');
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
408 lambda_i = lambda((nr_f+1:end)');
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
409
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
410 con = [ce; ci];
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
411
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
412 t0 = norm (c - A' * lambda);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
413 t1 = norm (ce);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
414 t2 = all (ci >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
415 t3 = all (lambda_i >= 0);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
416 t4 = norm (lambda .* con);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
417
18255
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
418 ## Normal convergence. All constraints are satisfied
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
419 ## and objective has converged.
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
420 if (t2 && t3 && max ([t0; t1; t4]) < tol)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
421 info = 101;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
422 break;
6382
f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe]
jwe
parents: 6046
diff changeset
423 endif
f74e71ef6612 [project @ 2007-03-05 21:29:40 by jwe]
jwe
parents: 6046
diff changeset
424
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
425 ## Compute search direction p by solving QP.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
426 g = -ce;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
427 d = -ci;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
428
22224
20e0c0b8820c Allow sequential quadratic programs with infeasible QPs (bug #36015).
Lachlan Andrew <lachlanbis@gmail.com>
parents: 21758
diff changeset
429 old_lambda = lambda;
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
430 [p, obj_qp, INFO, lambda] = qp (x, B, c, F, g, [], [], d, C,
26332
d4211810202a qp and sqp: Non-fixed tolerance for qp (bug #53506).
Maor Shutman <maorus12@gmail.com>
parents: 26237
diff changeset
431 Inf (size (d)), struct ("TolX", tol));
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
432
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
433 info = INFO.info;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
434
18255
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
435 ## FIXME: check QP solution and attempt to recover if it has failed.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
436 ## For now, just warn about possible problems.
19593
446c46af4b42 strip trailing whitespace from most source files
John W. Eaton <jwe@octave.org>
parents: 17744
diff changeset
437
13206
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
438 id = "Octave:SQP-QP-subproblem";
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
439 switch (info)
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
440 case 2
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
441 warning (id, "sqp: QP subproblem is non-convex and unbounded");
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
442 case 3
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
443 warning (id, "sqp: QP subproblem failed to converge in %d iterations",
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
444 INFO.solveiter);
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
445 case 6
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
446 warning (id, "sqp: QP subproblem is infeasible");
22224
20e0c0b8820c Allow sequential quadratic programs with infeasible QPs (bug #36015).
Lachlan Andrew <lachlanbis@gmail.com>
parents: 21758
diff changeset
447 lambda = old_lambda; # The return value was size 0x0 in this case.
13206
658aa9fd8665 sqp: provide warnings for QP subproblem failures
John W. Eaton <jwe@octave.org>
parents: 11587
diff changeset
448 endswitch
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
449
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
450 ## Choose mu such that p is a descent direction for the chosen
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
451 ## merit function phi.
17245
7babcdb9bc13 Use ... instead of \ for line continuation marker.
Stefan Mahr <dac922@gmx.de>
parents: 17174
diff changeset
452 [x_new, alpha, obj_new, globals] = ...
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
453 linesearch_L1 (x, p, obj_fcn, obj_grd, ce_fcn, ci_fcn, lambda, ...
26237
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
454 obj, c, globals);
26617
98afb8bbd1f6 maint: Strip trailing whitespace from source files.
John W. Eaton <jwe@octave.org>
parents: 26376
diff changeset
455
26237
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
456 delx = x_new - x;
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
457
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
458 ## Check if step size has become too small (indicates lack of progress).
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
459 if (norm (delx) < tol * norm (x))
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
460 info = 104;
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
461 break;
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
462 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
463
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
464 ## Evaluate objective function, constraints, and gradients at x_new.
26237
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
465 if (have_grd)
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
466 c_new = feval (obj_grd, x_new);
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
467 else
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
468 c_new = feval (obj_grd, x_new, obj_new);
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
469 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
470
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
471 ce_new = feval (ce_fcn, x_new);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
472 F_new = feval (ce_grd, x_new);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
473
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
474 ci_new = feval (ci_fcn, x_new);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
475 C_new = feval (ci_grd, x_new);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
476
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
477 A_new = [F_new; C_new];
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
478
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
479 ## Set
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
480 ##
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
481 ## s = alpha * p
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
482 ## y = grad_x L (x_new, lambda) - grad_x L (x, lambda})
6527
2a04f026ef54 [project @ 2007-04-16 16:54:09 by jwe]
jwe
parents: 6382
diff changeset
483
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
484 y = c_new - c;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
485
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
486 if (! isempty (A))
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
487 t = ((A_new - A)'*lambda);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
488 y -= t;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
489 endif
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
490
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
491 if (have_hess)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
492
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
493 B = feval (obj_hess, x);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
494
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
495 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
496 ## Update B using a quasi-Newton formula.
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
497 delxt = delx';
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
498
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
499 ## Damped BFGS. Or maybe we would actually want to use the Hessian
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
500 ## of the Lagrangian, computed directly?
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
501 d1 = delxt*B*delx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
502
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
503 t1 = 0.2 * d1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
504 t2 = delxt*y;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
505
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
506 if (t2 < t1)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
507 theta = 0.8*d1/(d1 - t2);
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
508 else
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
509 theta = 1;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
510 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
511
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
512 r = theta*y + (1-theta)*B*delx;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
513
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
514 d2 = delxt*r;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
515
18255
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
516 ## Check if the next BFGS update will work properly.
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
517 ## If d1 or d2 vanish, the BFGS update will fail.
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
518 if (d1 == 0 || d2 == 0)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
519 info = 102;
10549
95c3e38098bf Untabify .m scripts
Rik <code@nomad.inbox5.com>
parents: 10542
diff changeset
520 break;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
521 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
522
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
523 B = B - B*delx*delxt*B/d1 + r*r'/d2;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
524
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
525 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
526
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
527 x = x_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
528
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
529 obj = obj_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
530
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
531 c = c_new;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
532
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
533 ce = ce_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
534 F = F_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
535
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
536 ci = ci_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
537 C = C_new;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
538
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
539 A = A_new;
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
540
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
541 ## report (iter, qp_iter, alpha, __sqp_nfev__, obj);
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
542
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
543 endwhile
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
544
18255
f58a6cd3f909 sqp.m: Fix return values in sqp (bug #32008).
Arun Giridhar <arungiridhar@gmail.com>
parents: 17744
diff changeset
545 ## Check if we've spent too many iterations without converging.
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
546 if (iter >= iter_max)
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
547 info = 103;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
548 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
549
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
550 nf = globals.nfev;
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
551
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
552 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
553
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
554
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
555 function [merit, obj, globals] = phi_L1 (obj, obj_fcn, ce_fcn, ci_fcn, ...
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
556 x, mu, globals)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
557
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
558 ce = feval (ce_fcn, x);
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
559 ci = feval (ci_fcn, x);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
560
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
561 idx = ci < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
562
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
563 con = [ce; ci(idx)];
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
564
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
565 if (isempty (obj))
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
566 obj = feval (obj_fcn, x);
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
567 globals.nfev += 1;
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
568 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
569
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
570 merit = obj;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
571 t = norm (con, 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
572
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
573 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
574 merit += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
575 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
576
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
577 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
578
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
579
17245
7babcdb9bc13 Use ... instead of \ for line continuation marker.
Stefan Mahr <dac922@gmx.de>
parents: 17174
diff changeset
580 function [x_new, alpha, obj, globals] = ...
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
581 linesearch_L1 (x, p, obj_fcn, obj_grd, ce_fcn, ci_fcn, lambda, obj, c, globals)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
582
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
583 ## Choose parameters
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
584 ##
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
585 ## eta in the range (0, 0.5)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
586 ## tau in the range (0, 1)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
587
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
588 eta = 0.25;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
589 tau = 0.5;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
590
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
591 delta_bar = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
592
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
593 if (isempty (lambda))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
594 mu = 1 / delta_bar;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
595 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
596 mu = 1 / (norm (lambda, Inf) + delta_bar);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
597 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
598
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
599 alpha = 1;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
600
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
601 ce = feval (ce_fcn, x);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
602
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
603 [phi_x_mu, obj, globals] = phi_L1 (obj, obj_fcn, ce_fcn, ci_fcn, x, ...
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
604 mu, globals);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
605
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
606 D_phi_x_mu = c' * p;
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
607 d = feval (ci_fcn, x);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
608 ## only those elements of d corresponding
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
609 ## to violated constraints should be included.
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
610 idx = d < 0;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
611 t = - norm ([ce; d(idx)], 1) / mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
612 if (! isempty (t))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
613 D_phi_x_mu += t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
614 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
615
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
616 while (1)
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
617 [p1, obj, globals] = phi_L1 ([], obj_fcn, ce_fcn, ci_fcn, ...
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
618 x+alpha*p, mu, globals);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
619 p2 = phi_x_mu+eta*alpha*D_phi_x_mu;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
620 if (p1 > p2)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
621 ## Reset alpha = tau_alpha * alpha for some tau_alpha in the
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
622 ## range (0, tau).
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
623 tau_alpha = 0.9 * tau; # ??
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
624 alpha = tau_alpha * alpha;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
625 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
626 break;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
627 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
628 endwhile
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
629
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
630 x_new = x + alpha * p;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
631
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
632 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
633
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
634
26237
34cc6edf2041 sqp.m: Eliminate redundant objective function calls (patch #8073).
Ken Marek <gm.kmarek@gmail.com>
parents: 25054
diff changeset
635 function grd = fdgrd (f, x, y0)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
636
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
637 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
638 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
639 grd = zeros (nx, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
640 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
641 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
642 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
643 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
644 grd(i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
645 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
646 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
647 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
648 grd = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
649 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
650
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
651 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
652
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
653
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
654 function jac = fdjac (f, x)
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
655
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
656 nx = length (x);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
657 if (! isempty (f))
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
658 y0 = feval (f, x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
659 nf = length (y0);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
660 nx = length (x);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
661 jac = zeros (nf, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
662 deltax = sqrt (eps);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
663 for i = 1:nx
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
664 t = x(i);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
665 x(i) += deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
666 jac(:,i) = (feval (f, x) - y0) / deltax;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
667 x(i) = t;
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
668 endfor
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
669 else
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
670 jac = zeros (0, nx);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
671 endif
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
672
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
673 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
674
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
675
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
676 function grd = fd_obj_grd (x, obj, obj_fcn)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
677
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
678 grd = fdgrd (obj_fcn, x, obj);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
679
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
680 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
681
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
682
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
683 function res = empty_cf (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
684
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
685 res = zeros (0, 1);
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
686
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
687 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
688
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
689
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
690 function res = empty_jac (x)
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
691
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
692 res = zeros (0, length (x));
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
693
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
694 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
695
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
696
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
697 function jac = fd_ce_jac (x, ce_fcn)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
698
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
699 jac = fdjac (ce_fcn, x);
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
700
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
701 endfunction
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
702
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
703
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
704 function jac = fd_ci_jac (x, cifcn)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
705
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
706 ## cifcn = constraint function without gradients and lb or ub
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
707 jac = fdjac (cifcn, x);
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
708
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
709 endfunction
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
710
7017
a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe]
jwe
parents: 7016
diff changeset
711
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
712 function res = cf_ub_lb (x, lbidx, ubidx, globals)
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
713 ## function returning constraint evaluated at x, and distance between ub/lb
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
714 ## and x, when they are specified (otherwise return empty)
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
715
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
716 ## inequality constraints
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
717 if (! isempty (globals.cifcn))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
718 ci = feval (globals.cifcn, x);
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
719 else
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
720 ci = [];
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
721 endif
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
722
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
723 ## lower bounds
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
724 if (! isempty (globals.lb))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
725 lb = x(lbidx, 1) - globals.lb;
11347
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
726 else
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
727 lb = [];
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
728 endif
5289
b98bf1d70a0a [project @ 2005-04-21 14:43:14 by jwe]
jwe
parents:
diff changeset
729
31653
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
730 ## upper bounds
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
731 if (! isempty (globals.ub))
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
732 ub = globals.ub - x(ubidx, 1);
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
733 else
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
734 ub = [];
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
735 end
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
736
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
737 res = [ci; lb; ub];
972dcc46bb41 sqp.m: Ignore missing lower/upper bounds (bug #32008)
Julien Bect <julien.bect@supelec.fr>
parents: 31493
diff changeset
738
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
739 endfunction
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
740
7017
a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe]
jwe
parents: 7016
diff changeset
741
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
742 function res = cigrad_ub_lb (x, bgrad, globals)
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
743
19833
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
744 cigradfcn = @(x) fd_ci_jac (x, globals.cifcn);
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
745
14595
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
746 if (iscell (globals.cif) && length (globals.cif) > 1)
11a9d448fdc3 Get rid of global variables in sqp.
Olaf Till <i7tiol@t-online.de>
parents: 14552
diff changeset
747 cigradfcn = globals.cif{2};
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
748 endif
11587
c792872f8942 all script files: untabify and strip trailing whitespace
John W. Eaton <jwe@octave.org>
parents: 11523
diff changeset
749
11347
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
750 if (isempty (cigradfcn))
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
751 res = bgrad;
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
752 else
2726132f77f6 sqp.m: Remove never violated Inf bounds from computation (bug #31742)
Rik <octave@nomad.inbox5.com>
parents: 11290
diff changeset
753 res = [feval(cigradfcn,x); bgrad];
6768
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
754 endif
40e1255eda0e [project @ 2007-06-29 20:11:58 by jwe]
jwe
parents: 6741
diff changeset
755
7399
c1a3d6c7d2fb [project @ 2008-01-18 07:37:35 by jwe]
jwe
parents: 7381
diff changeset
756 endfunction
7361
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
757
19833
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
758 ## Utility function used to debug sqp
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
759 function report (iter, qp_iter, alpha, nfev, obj)
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
760
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
761 if (nargin == 0)
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
762 printf (" Itn ItQP Step Nfev Objective\n");
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
763 else
30893
e1788b1a315f maint: Use "fcn" as preferred abbreviation for "function" in m-files.
Rik <rik@octave.org>
parents: 30564
diff changeset
764 printf ("%5d %4d %8.1g %5d %13.6e\n", iter, qp_iter, alpha, nfev, obj);
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
765 endif
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
766
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
767 endfunction
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
768
14363
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
769
19833
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
770 ################################################################################
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
771 ## Test Code
11348
2ae0ca4ee36b sqp.m: Change docstring to refer to x0 as the initial seed vector
Rik <octave@nomad.inbox5.com>
parents: 11347
diff changeset
772
13305
63463570d9fe Add %!endfunction block keyword to test.m
Rik <octave@nomad.inbox5.com>
parents: 13268
diff changeset
773 %!function r = __g (x)
7371
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe]
jwe
parents: 7361
diff changeset
774 %! r = [sumsq(x)-10;
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe]
jwe
parents: 7361
diff changeset
775 %! x(2)*x(3)-5*x(4)*x(5);
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe]
jwe
parents: 7361
diff changeset
776 %! x(1)^3+x(2)^3+1 ];
13305
63463570d9fe Add %!endfunction block keyword to test.m
Rik <octave@nomad.inbox5.com>
parents: 13268
diff changeset
777 %!endfunction
7361
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
778 %!
13305
63463570d9fe Add %!endfunction block keyword to test.m
Rik <octave@nomad.inbox5.com>
parents: 13268
diff changeset
779 %!function obj = __phi (x)
14363
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
780 %! obj = exp (prod (x)) - 0.5*(x(1)^3 + x(2)^3 + 1)^2;
13305
63463570d9fe Add %!endfunction block keyword to test.m
Rik <octave@nomad.inbox5.com>
parents: 13268
diff changeset
781 %!endfunction
7361
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
782 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
783 %!test
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
784 %!
7361
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
785 %! x0 = [-1.8; 1.7; 1.9; -0.8; -0.8];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
786 %!
13305
63463570d9fe Add %!endfunction block keyword to test.m
Rik <octave@nomad.inbox5.com>
parents: 13268
diff changeset
787 %! [x, obj, info, iter, nf, lambda] = sqp (x0, @__phi, @__g, []);
7361
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
788 %!
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
789 %! x_opt = [-1.717143501952599;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
790 %! 1.595709610928535;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
791 %! 1.827245880097156;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
792 %! -0.763643103133572;
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
793 %! -0.763643068453300];
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
794 %!
7371
fe9a44d753d6 [project @ 2008-01-14 19:34:22 by jwe]
jwe
parents: 7361
diff changeset
795 %! obj_opt = 0.0539498477702739;
7361
a2870fd8ac58 [project @ 2008-01-12 07:50:54 by jwe]
jwe
parents: 7031
diff changeset
796 %!
31493
c05ef94a2bbc test: Increase tolerance in test for sqp for higher deviations on macOS.
Markus Mützel <markus.muetzel@gmx.de>
parents: 30893
diff changeset
797 %! assert (x, x_opt, 10 * sqrt (eps));
14363
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
798 %! assert (obj, obj_opt, sqrt (eps));
10678
35338deff753 Guarantee equivalent results if sqp called with or wihout bounds
Rik <octave@nomad.inbox5.com>
parents: 10549
diff changeset
799
19833
9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
parents: 19697
diff changeset
800 ## Test input validation
28896
90fea9cc9caa test: Add expected error message <Invalid call> to BIST tests for nargin.
Rik <rik@octave.org>
parents: 28892
diff changeset
801 %!error <Invalid call> sqp ()
90fea9cc9caa test: Add expected error message <Invalid call> to BIST tests for nargin.
Rik <rik@octave.org>
parents: 28892
diff changeset
802 %!error <Invalid call> sqp (1)
90fea9cc9caa test: Add expected error message <Invalid call> to BIST tests for nargin.
Rik <rik@octave.org>
parents: 28892
diff changeset
803 %!error <Invalid call> sqp (1,2,3,4,5)
14363
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
804 %!error sqp (ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
805 %!error sqp (1, cell (4,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
806 %!error sqp (1, cell (3,1), cell (3,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
807 %!error sqp (1, cell (3,1), cell (2,1), cell (3,1))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
808 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1), ones (2,2),[])
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
809 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
810 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),1,-1)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
811 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
812 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],-1)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
813 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],1.5)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
814 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],[], ones (2,2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks
Rik <octave@nomad.inbox5.com>
parents: 14327
diff changeset
815 %!error sqp (1, cell (3,1), cell (2,1), cell (2,1),[],[],[],-1)