Model an interior-point optimisation problem. More...

#include <Model.hpp>

Inheritance diagram for ipo::Model:

Collaboration diagram for ipo::Model:

Classes
class	DirectSubvector
	This class gives direct access to a subvector of a vector. More...

class	IndirectSubvector
	This class gives direct access to a subvector of a vector. More...

class	Parameters

class	Subvector
	Abstract base class for subvector classes. More...

Public Member Functions
	Model ()
	Constructor. More...

virtual void	notify ()
	Notify function that model must implement. More...

void	setObjective (Objective &objective)
	Set the objective function. More...

Objective	getObjective ()
	Get the objective function. More...

void	addConstraint (Constraint &constraint)
	Add a constraint. More...

bool	removeConstraint (Constraint &constraint)
	Remove a constraint. More...

std::vector< Constraint > const &	getConstraints () const
	Get list of constraints. More...

std::vector< LinearConstraint > const &	getEqualityConstraints () const
	Get list of equality constraints. More...

bool	isFeasible ()
	Test whether current values of variables give a feasible solution. More...

bool	isStrictlyFeasible ()
	Test whether current values of variables give a feasible solution. More...

bool	minimise ()
	Try to minimise the objective function subject to the constraints. More...

bool	maximise ()
	Try to maximise the objective function subject to the constraints. More...

virtual bool	findFeasible ()
	Try to find a set of values for the variables that gives a feasible solution. More...

Parameters &	getParameters ()
	Get parameters by reference. More...

detail::NewtonDescent::Parameters &	getNewtonDescentParameters ()
	Get Newton descent parameters by reference. More...

detail::LineSearch::Parameters &	getLineSearchParameters ()
	Get line search parameters by reference. More...

bool	checkSize () const
	Check objective and constraint functions. More...

void	testSizes () const
	Check objective and constraint functions. More...

void	summary (std::ostream &ostream=std::cout) const
	Create a summary of this model. More...

Protected Member Functions
gsl::vector	getVectorFromVariables () const
	Get a vector from values of variables. More...

void	setVariablesFromVector (gsl::vector const &vector)
	Set variable values from a vector. More...

bool	stoppingCriterion (double const t) const
	Check whether or not stopping criterion has been met. More...

virtual bool	optimise (bool const minimise)
	Try to optimise the objective function subject to the constraints. More...

virtual void	setIndices ()
	Sets the values of objectiveIndices, constraintIndices and variableIndices from constraints. More...

void	setObjectiveIndices ()
	Set objectiveIndices. More...

void	setConstraintIndices ()
	Set constraintIndices. More...

Protected Attributes
std::vector< Constraint >	constraints
	The set of constraints. More...

std::vector < ipo::LinearConstraint >	equalityConstraints
	The set of equality constraints. More...

Objective	objective
	The objective function. More...

std::shared_ptr< Subvector >	objectiveIndices
	Used internally to match the variables in the objective to indices in a vector: objectiveIndices[i] is the index in a gsl::vector of the ith variable in objective.getVariables() after a call to setIndices(). More...

std::vector< std::shared_ptr < Subvector > >	constraintIndices
	Used internally to match the variables in each constraint to indices in a vector: (*constraintIndices[j])()[i] is the index in a gsl::vector of the ith variable in constraint[j]->getVariables() after a call to setIndices(). More...

std::vector< std::shared_ptr < Subvector > >	equalityConstraintIndices
	Used internally to match the variables in each equality constraint to indices in a vector: (constraintIndices[j])()[i] is the index in a gsl::vector of the ith variable in constraint[j]->getVariables() after a call to setIndices(). More...

std::map< Variable, size_t >	indexMap
	Used internally to match the variables in each variable to indices in a vector. More...

bool	variablesChanged = false
	Value that indicates if any variables, objective or constraints have been modified in such a way that we may have to update them. More...

detail::NewtonDescent::Parameters	newtonDescentParameters
	Parameters used by Newton descent algorithm during optimisation. More...

detail::LineSearch::Parameters	lineSearchParameters
	Parameters used by backtracking line search algorithm during optimisation. More...

Private Attributes
Parameters	parameters
	Parameters for interior point optimisation. More...

Friends
class	detail::BarrierFunction

class	detail::PhaseIModel

Detailed Description

Model an interior-point optimisation problem.

The problem must have an objective function and (usually) some constraints. Initially a new instance of this class will have a null objective function and no constraints.

Definition at line 325 of file Model.hpp.

Constructor & Destructor Documentation

Model::Model ( )

Constructor.

Definition at line 132 of file Model.cc.

Member Function Documentation

void Model::addConstraint ( Constraint & constraint )

Add a constraint.

Parameters

constraint The constraint

Definition at line 48 of file Model.cc.

References constraints, and equalityConstraints.

Referenced by ipo::LinearConstraint::setLowerBound(), ipo::LinearConstraint::setUpperBound(), and ipo::LinearConstraint::setValue().

bool Model::checkSize ( ) const

Check objective and constraint functions.

If any of these differ in the number of Variable objects assigned to them and the declared size of the function return true; otherwise return false.

If the result is false, use the chcekSize() method on the Objective object or Constraint object to identify where the problem lies.

Returns: true or false according as there is some mistmatch between argument size and number of Variable objects assigned to objective or some constraint.

Definition at line 343 of file Model.cc.

References ipo::detail::ModelFunction::checkSize(), constraints, and objective.

bool Model::findFeasible ( )

virtual

Try to find a set of values for the variables that gives a feasible solution.

If the values are not already feasible this function used a Phase I model to seek a feasible solution.

Returns: true or false according as there is a feasible solution to the constraint problem or not

Definition at line 531 of file Model.cc.

References ipo::detail::PhaseIModel::findFeasibleSolution(), and isStrictlyFeasible().

Referenced by optimise().

std::vector< Constraint > const & Model::getConstraints ( ) const

Get list of constraints.

Returns: List of constraints

Definition at line 82 of file Model.cc.

References constraints.

std::vector< LinearConstraint > const & Model::getEqualityConstraints ( ) const

Get list of equality constraints.

Returns: List of equality constraints

Definition at line 87 of file Model.cc.

References equalityConstraints.

detail::LineSearch::Parameters & Model::getLineSearchParameters ( )

Get line search parameters by reference.

These parameters are used by backtracking line search algorithm during optimisation.

Returns: parameters

Definition at line 336 of file Model.cc.

References lineSearchParameters.

Referenced by optimise().

detail::NewtonDescent::Parameters & Model::getNewtonDescentParameters ( )

Get Newton descent parameters by reference.

These parameters are used by Newton descent algorithm during optimisation.

Returns: parameters

Definition at line 331 of file Model.cc.

References newtonDescentParameters.

Referenced by ipo::detail::PhaseIModel::findFeasibleSolution(), and optimise().

Objective Model::getObjective ( )

Get the objective function.

Returns: The objective function

Definition at line 43 of file Model.cc.

References objective.

Referenced by summary().

Model::Parameters & Model::getParameters ( )

Get parameters by reference.

Returns: parameters

Definition at line 341 of file Model.cc.

References parameters.

gsl::vector Model::getVectorFromVariables ( ) const

protected

Get a vector from values of variables.

Returns: a vector from values of variables

Definition at line 214 of file Model.cc.

References indexMap.

Referenced by optimise().

bool Model::isFeasible ( )

Test whether current values of variables give a feasible solution.

Returns: true or false according as current solution is feasible or not

Definition at line 136 of file Model.cc.

References constraintIndices, constraints, equalityConstraints, ipo::Variable::getValue(), indexMap, and setIndices().

bool Model::isStrictlyFeasible ( )

Test whether current values of variables give a feasible solution.

This function differs from isFeasible because it also checks if variables are strictly within their bounds.

Returns: true or false according as current solution is feasible or not

Definition at line 175 of file Model.cc.

References constraintIndices, constraints, equalityConstraintIndices, equalityConstraints, ipo::Variable::getValue(), indexMap, and setIndices().

Referenced by findFeasible(), and ipo::detail::PhaseIModel::findFeasibleSolution().

bool ipo::Model::maximise ( )

inline

Try to maximise the objective function subject to the constraints.

Returns: true or false according as maximisation succeeded or not

Definition at line 763 of file Model.hpp.

References optimise().

bool ipo::Model::minimise ( )

inline

Try to minimise the objective function subject to the constraints.

Returns: true or false according as minimisation succeeded or not

Definition at line 758 of file Model.hpp.

References optimise().

Referenced by ipo::detail::PhaseIModel::findFeasibleSolution().

void Model::notify ( )

virtual

Notify function that model must implement.

This function is called internally whenever a variable is changed.

Implements ipo::detail::ModelBase.

Definition at line 130 of file Model.cc.

References variablesChanged.

bool Model::optimise ( bool const minimise )

protectedvirtual

Try to optimise the objective function subject to the constraints.

Parameters

minimise Set to true for minimisation, false for maximisation

Returns: true or false according as optimisation succeeded or not

DEBUG

Definition at line 247 of file Model.cc.

References equalityConstraints, findFeasible(), getLineSearchParameters(), ipo::Model::Parameters::getMu(), getNewtonDescentParameters(), ipo::Model::Parameters::getOutputStream(), ipo::detail::NewtonDescent::getParameters(), getVectorFromVariables(), indexMap, ipo::detail::BarrierFunction::negative, parameters, ipo::detail::BarrierFunction::positive, RETHROW, setVariablesFromVector(), and stoppingCriterion().

Referenced by maximise(), and minimise().

bool Model::removeConstraint ( Constraint & constraint )

Remove a constraint.

If the constraint is not in this then it cannot be removed and the function returns false.

Parameters

constraint The constraint

Returns: true or false according as constraint was removed or not

Definition at line 57 of file Model.cc.

References constraints, and equalityConstraints.

void Model::setConstraintIndices ( )

protected

Set constraintIndices.

This function is called internally in setIndices.

Definition at line 429 of file Model.cc.

References constraintIndices, equalityConstraintIndices, equalityConstraints, ipo::Array::front(), ipo::Objective::getVariables(), indexMap, objective, and ipo::Array::size().

Referenced by ipo::detail::PhaseIModel::setIndices(), and setIndices().

void Model::setIndices ( )

protectedvirtual

Sets the values of objectiveIndices, constraintIndices and variableIndices from constraints.

This function is designed to be used internally to generate indices for subvectors of a gsl::vector for calculating gradients and Hessians during optimisation.

Reimplemented in ipo::detail::PhaseIModel.

Definition at line 92 of file Model.cc.

References constraints, equalityConstraints, ipo::Objective::getVariables(), indexMap, objective, RETHROW, setConstraintIndices(), setObjectiveIndices(), ipo::Array::size(), testSizes(), and variablesChanged.

Referenced by ipo::detail::PhaseIModel::getInitial_s(), isFeasible(), isStrictlyFeasible(), and ipo::detail::PhaseIModel::setIndices().

void Model::setObjective ( Objective & objective )

Set the objective function.

Parameters

objective The objective function

Definition at line 38 of file Model.cc.

References objective.

void ipo::Model::setObjectiveIndices ( )

inlineprotected

Set objectiveIndices.

This function is called internally in setIndices.

Definition at line 847 of file Model.hpp.

References ipo::Objective::getVariables(), indexMap, objective, objectiveIndices, and ipo::Array::size().

Referenced by ipo::detail::PhaseIModel::setIndices(), and setIndices().

void Model::setVariablesFromVector ( gsl::vector const & vector )

protected

Set variable values from a vector.

Parameters

vector a vector of values for variables

Exceptions

IPOException if vector size does not match number of variables

Definition at line 224 of file Model.cc.

References indexMap, and IPOE.

Referenced by ipo::detail::PhaseIModel::findFeasibleSolution(), and optimise().

bool Model::stoppingCriterion ( double const t ) const

protected

Check whether or not stopping criterion has been met.

Parameters

t	The value or t used by the barrier

Returns: true or false according as criterion met or not

Definition at line 238 of file Model.cc.

References constraints, equalityConstraints, ipo::Model::Parameters::getEpsilon(), and parameters.

Referenced by optimise().

void Model::summary ( std::ostream & ostream = std::cout ) const

Create a summary of this model.

Parameters

ostream The stream to print to.

Definition at line 391 of file Model.cc.

References getObjective(), ipo::Objective::summary(), and summary().

Referenced by summary().

void Model::testSizes ( ) const

Check objective and constraint functions.

If any of these differ in the number of Variable objects assigned to them and the declared size of the function, throw an exception of class IPOException describing all the failures.

Exceptions

IPOException if any function size don’t match the number of variables supplied

Definition at line 351 of file Model.cc.

References constraints, ipo::Objective::getName(), ipo::detail::ModelFunction::getSizes(), and objective.

Referenced by setIndices().

Friends And Related Function Documentation

friend class detail::BarrierFunction

friend

Definition at line 699 of file Model.hpp.

friend class detail::PhaseIModel

friend

Definition at line 700 of file Model.hpp.

Member Data Documentation

std::vector<std::shared_ptr<Subvector> > ipo::Model::constraintIndices

protected

Used internally to match the variables in each constraint to indices in a vector: (*constraintIndices[j])()[i] is the index in a gsl::vector of the ith variable in constraint[j]->getVariables() after a call to setIndices().

Definition at line 892 of file Model.hpp.

Referenced by ipo::detail::PhaseIModel::getInitial_s(), ipo::detail::BarrierFunction::gradient(), ipo::detail::BarrierFunction::hessian(), isFeasible(), isStrictlyFeasible(), ipo::detail::BarrierFunction::operator()(), setConstraintIndices(), ipo::detail::PhaseIModel::setIndices(), ipo::detail::BarrierFunction::setVector(), ipo::detail::BarrierFunction::updateGradientFromConstraint(), and ipo::detail::BarrierFunction::updateHessianFromConstraint().

std::vector<Constraint> ipo::Model::constraints

protected

The set of constraints.

Definition at line 872 of file Model.hpp.

Referenced by addConstraint(), checkSize(), getConstraints(), ipo::detail::PhaseIModel::getInitial_s(), ipo::detail::BarrierFunction::gradient(), ipo::detail::BarrierFunction::hessian(), isFeasible(), isStrictlyFeasible(), ipo::detail::BarrierFunction::operator()(), removeConstraint(), ipo::detail::PhaseIModel::setIndices(), setIndices(), ipo::detail::BarrierFunction::setVector(), stoppingCriterion(), testSizes(), ipo::detail::BarrierFunction::updateGradientFromConstraint(), and ipo::detail::BarrierFunction::updateHessianFromConstraint().

std::vector<std::shared_ptr<Subvector> > ipo::Model::equalityConstraintIndices

protected

Used internally to match the variables in each equality constraint to indices in a vector: (*constraintIndices[j])()[i] is the index in a gsl::vector of the ith variable in * constraint[j]->getVariables() after a call to setIndices().

Definition at line 898 of file Model.hpp.

Referenced by isStrictlyFeasible(), and setConstraintIndices().

std::vector<ipo::LinearConstraint> ipo::Model::equalityConstraints

protected

The set of equality constraints.

Definition at line 876 of file Model.hpp.

Referenced by addConstraint(), ipo::detail::PhaseIModel::findEqualityConstraintFeasibleSolution(), getEqualityConstraints(), isFeasible(), isStrictlyFeasible(), optimise(), removeConstraint(), setConstraintIndices(), ipo::detail::PhaseIModel::setIndices(), setIndices(), and stoppingCriterion().

std::map<Variable,size_t> ipo::Model::indexMap

protected

Used internally to match the variables in each variable to indices in a vector.

Maps each variable used to a unique index in [0,indexMap.size()).

Definition at line 903 of file Model.hpp.

Referenced by ipo::detail::PhaseIModel::findEqualityConstraintFeasibleSolution(), ipo::detail::PhaseIModel::findFeasibleSolution(), ipo::detail::PhaseIModel::getInitial_s(), getVectorFromVariables(), ipo::detail::BarrierFunction::gradient(), ipo::detail::BarrierFunction::hessian(), ipo::detail::BarrierFunction::initialiseGradientFromObjective(), ipo::detail::BarrierFunction::initialiseHessianFromObjective(), isFeasible(), isStrictlyFeasible(), ipo::detail::BarrierFunction::operator()(), optimise(), setConstraintIndices(), ipo::detail::PhaseIModel::setIndices(), setIndices(), setObjectiveIndices(), setVariablesFromVector(), and ipo::detail::BarrierFunction::setVector().

detail::LineSearch::Parameters ipo::Model::lineSearchParameters

protected

Parameters used by backtracking line search algorithm during optimisation.

Definition at line 916 of file Model.hpp.

Referenced by getLineSearchParameters(), and ipo::detail::PhaseIModel::PhaseIModel().

detail::NewtonDescent::Parameters ipo::Model::newtonDescentParameters

protected

Parameters used by Newton descent algorithm during optimisation.

Definition at line 912 of file Model.hpp.

Referenced by getNewtonDescentParameters(), and ipo::detail::PhaseIModel::PhaseIModel().

Objective ipo::Model::objective

protected

The objective function.

Definition at line 880 of file Model.hpp.

Referenced by checkSize(), getObjective(), ipo::detail::BarrierFunction::initialiseGradientFromObjective(), ipo::detail::BarrierFunction::initialiseHessianFromObjective(), ipo::detail::BarrierFunction::initialiseResultFromObjective(), setConstraintIndices(), ipo::detail::PhaseIModel::setIndices(), setIndices(), setObjective(), setObjectiveIndices(), and testSizes().

std::shared_ptr<Subvector> ipo::Model::objectiveIndices

protected

Used internally to match the variables in the objective to indices in a vector: objectiveIndices[i] is the index in a gsl::vector of the ith variable in objective.getVariables() after a call to setIndices().

Definition at line 886 of file Model.hpp.

Referenced by ipo::detail::BarrierFunction::gradient(), ipo::detail::BarrierFunction::hessian(), ipo::detail::BarrierFunction::initialiseGradientFromObjective(), ipo::detail::BarrierFunction::initialiseHessianFromObjective(), ipo::detail::BarrierFunction::operator()(), setObjectiveIndices(), and ipo::detail::BarrierFunction::setVector().

Parameters ipo::Model::parameters

private

Parameters for interior point optimisation.

Definition at line 399 of file Model.hpp.

Referenced by getParameters(), optimise(), ipo::detail::PhaseIModel::PhaseIModel(), and stoppingCriterion().

bool ipo::Model::variablesChanged = false

protected

Value that indicates if any variables, objective or constraints have been modified in such a way that we may have to update them.

Definition at line 908 of file Model.hpp.

Referenced by notify(), ipo::detail::PhaseIModel::PhaseIModel(), ipo::detail::PhaseIModel::setIndices(), and setIndices().

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

Classes

Public Member Functions

Protected Member Functions

Protected Attributes

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation