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SNLLOptimizer Class Reference

Wrapper class for the OPT++ optimization library. More...

Inheritance diagram for SNLLOptimizer:
Optimizer SNLLBase Minimizer Iterator

Public Member Functions

 SNLLOptimizer (ProblemDescDB &problem_db, Model &model)
 standard constructor More...
 
 SNLLOptimizer (const String &method_string, Model &model)
 alternate constructor for instantiations "on the fly" More...
 
 SNLLOptimizer (const RealVector &initial_pt, const RealVector &var_l_bnds, const RealVector &var_u_bnds, const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_l_bnds, const RealVector &lin_ineq_u_bnds, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_tgts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, void(*nlf1_obj_eval)(int mode, int n, const RealVector &x, double &f, RealVector &grad_f, int &result_mode), void(*nlf1_con_eval)(int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode), size_t max_iter=100, size_t max_eval=1000, Real conv_tol=1.e-4, Real grad_tol=1.e-4, Real max_step=1000.)
 alternate constructor for objective/constraint call-backs; analytic gradient case More...
 
 SNLLOptimizer (const RealVector &initial_pt, const RealVector &var_l_bnds, const RealVector &var_u_bnds, const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_l_bnds, const RealVector &lin_ineq_u_bnds, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_tgts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, void(*nlf0_obj_eval)(int n, const RealVector &x, double &f, int &result_mode), void(*nlf1_con_eval)(int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode), size_t max_iter=100, size_t max_eval=1000, Real conv_tol=1.e-4, Real grad_tol=1.e-4, Real max_step=1000.)
 alternate constructor for objective/constraint call-backs; mixed gradient case: numerical objective, analytic constraints More...
 
 SNLLOptimizer (const RealVector &initial_pt, const RealVector &var_l_bnds, const RealVector &var_u_bnds, const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_l_bnds, const RealVector &lin_ineq_u_bnds, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_tgts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, void(*nlf1_obj_eval)(int mode, int n, const RealVector &x, double &f, RealVector &grad_f, int &result_mode), void(*nlf0_con_eval)(int n, const RealVector &x, RealVector &g, int &result_mode), size_t max_iter=100, size_t max_eval=1000, Real conv_tol=1.e-4, Real grad_tol=1.e-4, Real max_step=1000.)
 alternate constructor for objective/constraint call-backs; mixed gradient case: analytic objective, numerical constraints More...
 
 SNLLOptimizer (const RealVector &initial_pt, const RealVector &var_l_bnds, const RealVector &var_u_bnds, const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_l_bnds, const RealVector &lin_ineq_u_bnds, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_tgts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, void(*nlf0_obj_eval)(int n, const RealVector &x, double &f, int &result_mode), void(*nlf0_con_eval)(int n, const RealVector &x, RealVector &g, int &result_mode), size_t max_iter=100, size_t max_eval=1000, Real conv_tol=1.e-4, Real grad_tol=1.e-4, Real max_step=1000.)
 alternate constructor for objective/constraint call-backs; numerical gradient case More...
 
 ~SNLLOptimizer ()
 destructor
 
void core_run ()
 Performs the iterations to determine the optimal solution.
 
void reset ()
 restore initial state for repeated sub-iterator executions
 
void declare_sources ()
 Declare sources to the evaluations database.
 
void initial_point (const RealVector &pt)
 sets the initial point (active continuous variables) for this iterator (user-functions mode for which Model updating is not used)
 
void variable_bounds (const RealVector &cv_lower_bnds, const RealVector &cv_upper_bnds)
 assign nonlinear inequality and equality constraint allowables for this iterator (user-functions mode for which Model updating is not used)
 
void linear_constraints (const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_l_bnds, const RealVector &lin_ineq_u_bnds, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_targets)
 assign linear inequality and linear equality constraints for this iterator (user-functions mode for which Model updating is not used)
 
void nonlinear_constraints (const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_targets)
 assign nonlinear inequality and equality constraint allowables for this iterator (user-functions mode for which Model updating is not used)
 
- Public Member Functions inherited from Optimizer
void get_common_stopping_criteria (int &max_fn_evals, int &max_iters, double &conv_tol, double &min_var_chg, double &obj_target)
 
int num_nonlin_ineq_constraints_found () const
 
template<typename AdapterT >
bool get_variable_bounds_from_dakota (typename AdapterT::VecT &lower, typename AdapterT::VecT &upper)
 
template<typename VecT >
void get_responses_from_dakota (const RealVector &dak_fn_vals, VecT &funs, VecT &cEqs, VecT &cIneqs)
 
- Public Member Functions inherited from Minimizer
void constraint_tolerance (Real constr_tol)
 set the method constraint tolerance (constraintTol)
 
Real constraint_tolerance () const
 return the method constraint tolerance (constraintTol)
 
std::shared_ptr< TPLDataTransferget_data_transfer_helper () const
 
bool resize ()
 reinitializes iterator based on new variable size
 
- Public Member Functions inherited from Iterator
 Iterator (std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 default constructor More...
 
 Iterator (ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate envelope constructor that assigns a representation pointer More...
 
 Iterator (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate envelope constructor which uses the ProblemDescDB but accepts a model from a higher level (meta-iterator) context, instead of constructing its own More...
 
 Iterator (const String &method_string, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate envelope constructor for instantiations by name without the ProblemDescDB More...
 
 Iterator (const Iterator &iterator)
 copy constructor More...
 
virtual ~Iterator ()
 destructor
 
Iterator operator= (const Iterator &iterator)
 assignment operator
 
virtual void derived_set_communicators (ParLevLIter pl_iter)
 derived class contributions to setting the communicators associated with this Iterator instance
 
virtual void derived_free_communicators (ParLevLIter pl_iter)
 derived class contributions to freeing the communicators associated with this Iterator instance
 
virtual void pre_run ()
 pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori More...
 
virtual void pre_output ()
 write variables to file, following pre-run
 
virtual void post_input ()
 read tabular data for post-run mode
 
virtual void nested_variable_mappings (const SizetArray &c_index1, const SizetArray &di_index1, const SizetArray &ds_index1, const SizetArray &dr_index1, const ShortArray &c_target2, const ShortArray &di_target2, const ShortArray &ds_target2, const ShortArray &dr_target2)
 set primaryA{CV,DIV,DRV}MapIndices, secondaryA{CV,DIV,DRV}MapTargets within derived Iterators; supports computation of higher-level sensitivities in nested contexts (e.g., derivatives of statistics w.r.t. inserted design variables)
 
virtual void nested_response_mappings (const RealMatrix &primary_coeffs, const RealMatrix &secondary_coeffs)
 set primaryResponseCoefficients, secondaryResponseCoefficients within derived Iterators; Necessary for scalarization case in MLMC NonDMultilevelSampling to map scalarization in nested context
 
virtual void initialize_iterator (int job_index)
 used by IteratorScheduler to set the starting data for a run
 
virtual void pack_parameters_buffer (MPIPackBuffer &send_buffer, int job_index)
 used by IteratorScheduler to pack starting data for an iterator run
 
virtual void unpack_parameters_buffer (MPIUnpackBuffer &recv_buffer, int job_index)
 used by IteratorScheduler to unpack starting data for an iterator run
 
virtual void unpack_parameters_initialize (MPIUnpackBuffer &recv_buffer, int job_index)
 used by IteratorScheduler to unpack starting data and initialize an iterator run
 
virtual void pack_results_buffer (MPIPackBuffer &send_buffer, int job_index)
 used by IteratorScheduler to pack results data from an iterator run
 
virtual void unpack_results_buffer (MPIUnpackBuffer &recv_buffer, int job_index)
 used by IteratorScheduler to unpack results data from an iterator run
 
virtual void update_local_results (int job_index)
 used by IteratorScheduler to update local results arrays
 
virtual const Variablesvariables_results () const
 return a single final iterator solution (variables)
 
virtual const Responseresponse_results () const
 return a single final iterator solution (response)
 
virtual const VariablesArray & variables_array_results ()
 return multiple final iterator solutions (variables). This should only be used if returns_multiple_points() returns true.
 
virtual const ResponseArray & response_array_results ()
 return multiple final iterator solutions (response). This should only be used if returns_multiple_points() returns true.
 
virtual void response_results_active_set (const ActiveSet &set)
 set the requested data for the final iterator response results
 
virtual const RealVector & response_error_estimates () const
 return error estimates associated with the final iterator solution
 
virtual bool accepts_multiple_points () const
 indicates if this iterator accepts multiple initial points. Default return is false. Override to return true if appropriate.
 
virtual bool returns_multiple_points () const
 indicates if this iterator returns multiple final points. Default return is false. Override to return true if appropriate.
 
virtual void initial_point (const Variables &pt)
 sets the initial point for this iterator (user-functions mode for which Model updating is not used)
 
virtual void initial_points (const VariablesArray &pts)
 sets the multiple initial points for this iterator. This should only be used if accepts_multiple_points() returns true.
 
virtual void initialize_graphics (int iterator_server_id=1)
 initialize the 2D graphics window and the tabular graphics data More...
 
virtual unsigned short uses_method () const
 return name of any enabling iterator used by this iterator More...
 
virtual void method_recourse ()
 perform a method switch, if possible, due to a detected conflict
 
virtual const VariablesArray & all_variables ()
 return the complete set of evaluated variables
 
virtual const RealMatrix & all_samples ()
 return the complete set of evaluated samples
 
virtual const IntResponseMap & all_responses () const
 return the complete set of computed responses
 
virtual int num_samples () const
 get the current number of samples
 
virtual void sampling_reset (int min_samples, bool all_data_flag, bool stats_flag)
 reset sampling iterator to use at least min_samples
 
virtual void sampling_reference (int samples_ref)
 set reference number of samples, which is a lower bound during reset
 
virtual void sampling_increment ()
 increment to next in sequence of refinement samples
 
virtual void random_seed (int seed)
 set randomSeed, if present
 
virtual unsigned short sampling_scheme () const
 return sampling name
 
virtual bool compact_mode () const
 returns Analyzer::compactMode
 
virtual IntIntPair estimate_partition_bounds ()
 estimate the minimum and maximum partition sizes that can be utilized by this Iterator
 
void init_communicators (ParLevLIter pl_iter)
 initialize the communicators associated with this Iterator instance
 
void set_communicators (ParLevLIter pl_iter)
 set the communicators associated with this Iterator instance
 
void free_communicators (ParLevLIter pl_iter)
 free the communicators associated with this Iterator instance
 
void resize_communicators (ParLevLIter pl_iter, bool reinit_comms)
 Resize the communicators. This is called from the letter's resize()
 
void parallel_configuration_iterator (ParConfigLIter pc_iter)
 set methodPCIter
 
ParConfigLIter parallel_configuration_iterator () const
 return methodPCIter
 
void run (ParLevLIter pl_iter)
 invoke set_communicators(pl_iter) prior to run()
 
void run ()
 orchestrate initialize/pre/core/post/finalize phases More...
 
void assign_rep (std::shared_ptr< Iterator > iterator_rep)
 replaces existing letter with a new one More...
 
void iterated_model (const Model &model)
 set the iteratedModel (iterators and meta-iterators using a single model instance)
 
Modeliterated_model ()
 return the iteratedModel (iterators & meta-iterators using a single model instance)
 
ProblemDescDBproblem_description_db () const
 return the problem description database (probDescDB)
 
ParallelLibraryparallel_library () const
 return the parallel library (parallelLib)
 
void method_name (unsigned short m_name)
 set the method name to an enumeration value
 
unsigned short method_name () const
 return the method name via its native enumeration value
 
void method_string (const String &m_str)
 set the method name by string
 
String method_string () const
 return the method name by string
 
String method_enum_to_string (unsigned short method_enum) const
 convert a method name enumeration value to a string
 
unsigned short method_string_to_enum (const String &method_str) const
 convert a method name string to an enumeration value
 
String submethod_enum_to_string (unsigned short submethod_enum) const
 convert a sub-method name enumeration value to a string
 
const String & method_id () const
 return the method identifier (methodId)
 
int maximum_evaluation_concurrency () const
 return the maximum evaluation concurrency supported by the iterator
 
void maximum_evaluation_concurrency (int max_conc)
 set the maximum evaluation concurrency supported by the iterator
 
size_t maximum_iterations () const
 return the maximum iterations for this iterator
 
void maximum_iterations (size_t max_iter)
 set the maximum iterations for this iterator
 
void convergence_tolerance (Real conv_tol)
 set the method convergence tolerance (convergenceTol)
 
Real convergence_tolerance () const
 return the method convergence tolerance (convergenceTol)
 
void output_level (short out_lev)
 set the method output level (outputLevel)
 
short output_level () const
 return the method output level (outputLevel)
 
void summary_output (bool summary_output_flag)
 Set summary output control; true enables evaluation/results summary.
 
size_t num_final_solutions () const
 return the number of solutions to retain in best variables/response arrays
 
void num_final_solutions (size_t num_final)
 set the number of solutions to retain in best variables/response arrays
 
void active_set (const ActiveSet &set)
 set the default active set (for use with iterators that employ evaluate_parameter_sets())
 
const ActiveSetactive_set () const
 return the default active set (used by iterators that employ evaluate_parameter_sets())
 
void active_set_request_vector (const ShortArray &asv)
 return the default active set request vector (used by iterators that employ evaluate_parameter_sets())
 
const ShortArray & active_set_request_vector () const
 return the default active set request vector (used by iterators that employ evaluate_parameter_sets())
 
void active_set_request_values (short asv_val)
 return the default active set request vector (used by iterators that employ evaluate_parameter_sets())
 
void sub_iterator_flag (bool si_flag)
 set subIteratorFlag (and update summaryOutputFlag if needed)
 
bool is_null () const
 function to check iteratorRep (does this envelope contain a letter?)
 
std::shared_ptr< Iteratoriterator_rep () const
 returns iteratorRep for access to derived class member functions that are not mapped to the top Iterator level
 
virtual void eval_tag_prefix (const String &eval_id_str)
 set the hierarchical eval ID tag prefix More...
 
std::shared_ptr< TraitsBasetraits () const
 returns methodTraits for access to derived class member functions that are not mapped to the top TraitsBase level
 
bool top_level ()
 Return whether the iterator is the top level iterator.
 
void top_level (const bool &tflag)
 Set the iterator's top level flag.
 
- Public Member Functions inherited from SNLLBase
 SNLLBase ()
 default constructor
 
 SNLLBase (ProblemDescDB &problem_db)
 standard constructor
 
 ~SNLLBase ()
 destructor
 

Protected Member Functions

void initialize_run ()
 invokes Optimizer::initialize_run(), SNLLBase::snll_initialize_run(), and performs other set-up
 
void post_run (std::ostream &s)
 performs data recovery and calls Optimizer::post_run()
 
void finalize_run ()
 performs cleanup, restores instances and calls parent finalize
 
- Protected Member Functions inherited from Optimizer
 Optimizer (std::shared_ptr< TraitsBase > traits)
 default constructor
 
 Optimizer (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits)
 alternate constructor; accepts a model
 
 Optimizer (unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits)
 alternate constructor for "on the fly" instantiations
 
 Optimizer (unsigned short method_name, size_t num_cv, size_t num_div, size_t num_dsv, size_t num_drv, size_t num_lin_ineq, size_t num_lin_eq, size_t num_nln_ineq, size_t num_nln_eq, std::shared_ptr< TraitsBase > traits)
 alternate constructor for "on the fly" instantiations
 
 ~Optimizer ()
 destructor
 
void print_results (std::ostream &s, short results_state=FINAL_RESULTS)
 
void configure_constraint_maps ()
 
int configure_inequality_constraints (CONSTRAINT_TYPE ctype)
 
void configure_equality_constraints (CONSTRAINT_TYPE ctype, size_t index_offset)
 
template<typename AdapterT >
void get_linear_constraints_and_bounds (typename AdapterT::VecT &lin_ineq_lower_bnds, typename AdapterT::VecT &lin_ineq_upper_bnds, typename AdapterT::VecT &lin_eq_targets, typename AdapterT::MatT &lin_ineq_coeffs, typename AdapterT::MatT &lin_eq_coeffs)
 
- Protected Member Functions inherited from Minimizer
 Minimizer (std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 default constructor
 
 Minimizer (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 standard constructor More...
 
 Minimizer (unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for "on the fly" instantiations
 
 Minimizer (unsigned short method_name, size_t num_lin_ineq, size_t num_lin_eq, size_t num_nln_ineq, size_t num_nln_eq, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for "on the fly" instantiations
 
 ~Minimizer ()
 destructor
 
void update_from_model (const Model &model)
 set inherited data attributes based on extractions from incoming model
 
const Modelalgorithm_space_model () const
 
Model original_model (unsigned short recasts_left=0) const
 Return a shallow copy of the original model this Iterator was originally passed, optionally leaving recasts_left on top of it.
 
void data_transform_model ()
 Wrap iteratedModel in a RecastModel that subtracts provided observed data from the primary response functions (variables and secondary responses are unchanged) More...
 
void scale_model ()
 Wrap iteratedModel in a RecastModel that performs variable and/or response scaling. More...
 
Real objective (const RealVector &fn_vals, const BoolDeque &max_sense, const RealVector &primary_wts) const
 compute a composite objective value from one or more primary functions More...
 
Real objective (const RealVector &fn_vals, size_t num_fns, const BoolDeque &max_sense, const RealVector &primary_wts) const
 compute a composite objective with specified number of source primary functions, instead of userPrimaryFns More...
 
void objective_gradient (const RealVector &fn_vals, const RealMatrix &fn_grads, const BoolDeque &max_sense, const RealVector &primary_wts, RealVector &obj_grad) const
 compute the gradient of the composite objective function
 
void objective_gradient (const RealVector &fn_vals, size_t num_fns, const RealMatrix &fn_grads, const BoolDeque &max_sense, const RealVector &primary_wts, RealVector &obj_grad) const
 compute the gradient of the composite objective function More...
 
void objective_hessian (const RealVector &fn_vals, const RealMatrix &fn_grads, const RealSymMatrixArray &fn_hessians, const BoolDeque &max_sense, const RealVector &primary_wts, RealSymMatrix &obj_hess) const
 compute the Hessian of the composite objective function
 
void objective_hessian (const RealVector &fn_vals, size_t num_fns, const RealMatrix &fn_grads, const RealSymMatrixArray &fn_hessians, const BoolDeque &max_sense, const RealVector &primary_wts, RealSymMatrix &obj_hess) const
 compute the Hessian of the composite objective function More...
 
virtual void archive_best_results ()
 top-level archival method
 
void archive_best_variables (const bool active_only=false) const
 archive best variables for the index'th final solution
 
void archive_best_objective_functions () const
 archive the index'th set of objective functions
 
void archive_best_constraints () const
 archive the index'th set of constraints
 
void archive_best_residuals () const
 Archive residuals when calibration terms are used.
 
void resize_best_vars_array (size_t newsize)
 Safely resize the best variables array to newsize taking into account the envelope-letter design pattern and any recasting. More...
 
void resize_best_resp_array (size_t newsize)
 Safely resize the best response array to newsize taking into account the envelope-letter design pattern and any recasting. More...
 
void local_recast_retrieve (const Variables &vars, Response &response) const
 infers MOO/NLS solution from the solution of a single-objective optimizer More...
 
- Protected Member Functions inherited from Iterator
 Iterator (BaseConstructor, ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 constructor initializes the base class part of letter classes (BaseConstructor overloading avoids infinite recursion in the derived class constructors - Coplien, p. 139) More...
 
 Iterator (NoDBBaseConstructor, unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for base iterator classes constructed on the fly More...
 
 Iterator (NoDBBaseConstructor, unsigned short method_name, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for base iterator classes constructed on the fly More...
 
virtual void derived_init_communicators (ParLevLIter pl_iter)
 derived class contributions to initializing the communicators associated with this Iterator instance
 
virtual const VariablesArray & initial_points () const
 gets the multiple initial points for this iterator. This will only be meaningful after a call to initial_points mutator.
 
StrStrSizet run_identifier () const
 get the unique run identifier based on method name, id, and number of executions
 
void initialize_model_graphics (Model &model, int iterator_server_id)
 helper function that encapsulates initialization operations, modular on incoming Model instance More...
 
void export_final_surrogates (Model &data_fit_surr_model)
 export final surrogates generated, e.g., GP in EGO and friends More...
 
- Protected Member Functions inherited from SNLLBase
void copy_con_vals_dak_to_optpp (const RealVector &local_fn_vals, RealVector &g, size_t offset)
 convenience function for copying local_fn_vals to g; used by constraint evaluator functions
 
void copy_con_vals_optpp_to_dak (const RealVector &g, RealVector &local_fn_vals, size_t offset)
 convenience function for copying g to local_fn_vals; used in final solution logging
 
void copy_con_grad (const RealMatrix &local_fn_grads, RealMatrix &grad_g, size_t offset)
 convenience function for copying local_fn_grads to grad_g; used by constraint evaluator functions
 
void copy_con_hess (const RealSymMatrixArray &local_fn_hessians, OPTPP::OptppArray< RealSymMatrix > &hess_g, size_t offset)
 convenience function for copying local_fn_hessians to hess_g; used by constraint evaluator functions
 
void snll_pre_instantiate (bool bound_constr_flag, int num_constr)
 convenience function for setting OPT++ options prior to the method instantiation
 
void snll_post_instantiate (int num_cv, bool vendor_num_grad_flag, const String &finite_diff_type, const RealVector &fdss, size_t max_iter, size_t max_eval, Real conv_tol, Real grad_tol, Real max_step, bool bound_constr_flag, int num_constr, short output_lev, OPTPP::OptimizeClass *the_optimizer, OPTPP::NLP0 *nlf_objective, OPTPP::FDNLF1 *fd_nlf1, OPTPP::FDNLF1 *fd_nlf1_con)
 convenience function for setting OPT++ options after the method instantiation
 
void snll_initialize_run (OPTPP::NLP0 *nlf_objective, OPTPP::NLP *nlp_constraint, const RealVector &init_pt, bool bound_constr_flag, const RealVector &lower_bnds, const RealVector &upper_bnds, const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_l_bnds, const RealVector &lin_ineq_u_bnds, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_targets, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_targets)
 convenience function for OPT++ configuration prior to the method invocation
 
void snll_post_run (OPTPP::NLP0 *nlf_objective)
 convenience function for managing OPT++ results after method execution
 
void snll_finalize_run (OPTPP::NLP0 *nlf_objective)
 convenience function for clearing OPT++ data after method execution
 
void reset_base ()
 reset last{FnEvalLocn,EvalMode,EvalVars}
 

Private Member Functions

void default_instantiate_q_newton (void(*obj_eval)(int mode, int n, const RealVector &x, double &f, RealVector &grad_f, int &result_mode))
 instantiate an OPTPP_Q_NEWTON solver using standard settings
 
void default_instantiate_q_newton (void(*obj_eval)(int n, const RealVector &x, double &f, int &result_mode))
 instantiate an OPTPP_Q_NEWTON solver using standard settings
 
void default_instantiate_constraint (void(*con_eval)(int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode))
 instantiate constraint objectives using standard settings
 
void default_instantiate_constraint (void(*con_eval)(int n, const RealVector &x, RealVector &g, int &result_mode))
 instantiate constraint objectives using standard settings
 
void default_instantiate_newton (void(*obj_eval)(int mode, int n, const RealVector &x, double &f, RealVector &grad_f, RealSymMatrix &hess_f, int &result_mode), void(*con_eval)(int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, OPTPP::OptppArray< RealSymMatrix > &hess_g, int &result_mode))
 instantiate an OPTPP_NEWTON solver using standard settings
 

Static Private Member Functions

static void nlf0_evaluator (int n, const RealVector &x, double &f, int &result_mode)
 objective function evaluator function for OPT++ methods which require only function values. More...
 
static void nlf1_evaluator (int mode, int n, const RealVector &x, double &f, RealVector &grad_f, int &result_mode)
 objective function evaluator function which provides function values and gradients to OPT++ methods. More...
 
static void nlf2_evaluator (int mode, int n, const RealVector &x, double &f, RealVector &grad_f, RealSymMatrix &hess_f, int &result_mode)
 objective function evaluator function which provides function values, gradients, and Hessians to OPT++ methods. More...
 
static void constraint0_evaluator (int n, const RealVector &x, RealVector &g, int &result_mode)
 constraint evaluator function for OPT++ methods which require only constraint values. More...
 
static void constraint1_evaluator (int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode)
 constraint evaluator function which provides constraint values and gradients to OPT++ methods. More...
 
static void constraint2_evaluator (int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, OPTPP::OptppArray< RealSymMatrix > &hess_g, int &result_mode)
 constraint evaluator function which provides constraint values, gradients, and Hessians to OPT++ methods. More...
 

Private Attributes

SNLLOptimizerprevSnllOptInstance
 pointer to the previously active object instance used for restoration in the case of iterator/model recursion
 
OPTPP::NLP0 * nlfObjective
 objective NLF base class pointer
 
OPTPP::NLP0 * nlfConstraint
 constraint NLF base class pointer
 
OPTPP::NLP * nlpConstraint
 constraint NLP pointer
 
OPTPP::NLF0 * nlf0
 pointer to objective NLF for nongradient optimizers
 
OPTPP::NLF1 * nlf1
 pointer to objective NLF for (analytic) gradient-based optimizers
 
OPTPP::NLF1 * nlf1Con
 pointer to constraint NLF for (analytic) gradient-based optimizers
 
OPTPP::FDNLF1 * fdnlf1
 pointer to objective NLF for (finite diff) gradient-based optimizers
 
OPTPP::FDNLF1 * fdnlf1Con
 pointer to constraint NLF for (finite diff) gradient-based optimizers
 
OPTPP::NLF2 * nlf2
 pointer to objective NLF for full Newton optimizers
 
OPTPP::NLF2 * nlf2Con
 pointer to constraint NLF for full Newton optimizers
 
OPTPP::OptimizeClass * theOptimizer
 optimizer base class pointer
 
OPTPP::OptPDS * optpds
 PDS optimizer pointer.
 
OPTPP::OptCG * optcg
 CG optimizer pointer.
 
OPTPP::OptLBFGS * optlbfgs
 L-BFGS optimizer pointer.
 
OPTPP::OptNewton * optnewton
 Newton optimizer pointer.
 
OPTPP::OptQNewton * optqnewton
 Quasi-Newton optimizer pointer.
 
OPTPP::OptFDNewton * optfdnewton
 Finite Difference Newton opt pointer.
 
OPTPP::OptBCNewton * optbcnewton
 Bound constrained Newton opt pointer.
 
OPTPP::OptBCQNewton * optbcqnewton
 Bnd constrained Quasi-Newton opt ptr.
 
OPTPP::OptBCFDNewton * optbcfdnewton
 Bnd constrained FD-Newton opt ptr.
 
OPTPP::OptNIPS * optnips
 NIPS optimizer pointer.
 
OPTPP::OptQNIPS * optqnips
 Quasi-Newton NIPS optimizer pointer.
 
OPTPP::OptFDNIPS * optfdnips
 Finite Difference NIPS opt pointer.
 
String setUpType
 flag for iteration mode: "model" (normal usage) or "user_functions" (user-supplied functions mode for "on the fly" instantiations). NonDReliability currently uses the user_functions mode.
 
RealVector initialPoint
 initial point used in "user_functions" mode
 
RealVector lowerBounds
 variable lower bounds used in "user_functions" mode
 
RealVector upperBounds
 variable upper bounds used in "user_functions" mode
 
RealMatrix linIneqCoeffs
 linear inequality constraint coefficients used in "user_functions" mode
 
RealVector linIneqLowerBnds
 linear inequality constraint lower bounds used in "user_functions" mode
 
RealVector linIneqUpperBnds
 linear inequality constraint upper bounds used in "user_functions" mode
 
RealMatrix linEqCoeffs
 linear equality constraint coefficients used in "user_functions" mode
 
RealVector linEqTargets
 linear equality constraint targets used in "user_functions" mode
 
RealVector nlnIneqLowerBnds
 nonlinear inequality constraint lower bounds used in "user_functions" mode
 
RealVector nlnIneqUpperBnds
 nonlinear inequality constraint upper bounds used in "user_functions" mode
 
RealVector nlnEqTargets
 nonlinear equality constraint targets used in "user_functions" mode
 

Static Private Attributes

static SNLLOptimizersnllOptInstance
 pointer to the active object instance used within the static evaluator functions in order to avoid the need for static data
 

Additional Inherited Members

- Static Public Member Functions inherited from Optimizer
static void not_available (const std::string &package_name)
 Static helper function: third-party opt packages which are not available.
 
- Static Protected Member Functions inherited from Iterator
static void gnewton_set_recast (const Variables &recast_vars, const ActiveSet &recast_set, ActiveSet &sub_model_set)
 conversion of request vector values for the Gauss-Newton Hessian approximation More...
 
- Static Protected Member Functions inherited from SNLLBase
static void init_fn (int n, RealVector &x)
 An initialization mechanism provided by OPT++ (not currently used).
 
- Protected Attributes inherited from Optimizer
size_t numObjectiveFns
 number of objective functions (iterator view)
 
bool localObjectiveRecast
 flag indicating whether local recasting to a single objective is used
 
OptimizerprevOptInstance
 pointer containing previous value of optimizerInstance
 
int numNonlinearIneqConstraintsFound
 number of nonlinear ineq constraints actually used (based on conditional and bigRealBoundSize
 
std::vector< int > constraintMapIndices
 map from Dakota constraint number to APPS constraint number
 
std::vector< double > constraintMapMultipliers
 multipliers for constraint transformations
 
std::vector< double > constraintMapOffsets
 offsets for constraint transformations
 
- Protected Attributes inherited from SNLLBase
String searchMethod
 value_based_line_search, gradient_based_line_search, trust_region, or tr_pds
 
OPTPP::SearchStrategy searchStrat
 enum: LineSearch, TrustRegion, or TrustPDS
 
OPTPP::MeritFcn meritFn
 enum: NormFmu, ArgaezTapia, or VanShanno
 
Real maxStep
 value from max_step specification
 
Real stepLenToBndry
 value from steplength_to_boundary specification
 
Real centeringParam
 value from centering_parameter specification
 
bool constantASVFlag
 flags a user selection of active_set_vector == constant. By mapping this into mode override, reliance on duplicate detection can be avoided.
 
- Static Protected Attributes inherited from Optimizer
static OptimizeroptimizerInstance
 pointer to Optimizer instance used in static member functions
 
- Static Protected Attributes inherited from SNLLBase
static MinimizeroptLSqInstance
 pointer to the active base class object instance used within the static evaluator functions in order to avoid the need for static data
 
static bool modeOverrideFlag
 flags OPT++ mode override (for combining value, gradient, and Hessian requests)
 
static EvalType lastFnEvalLocn
 an enum used to track whether an nlf evaluator or a constraint evaluator was the last location of a function evaluation
 
static int lastEvalMode
 copy of mode from constraint evaluators
 
static RealVector lastEvalVars
 copy of variables from constraint evaluators
 

Detailed Description

Wrapper class for the OPT++ optimization library.

The SNLLOptimizer class provides a wrapper for OPT++, a C++ optimization library of nonlinear programming and pattern search techniques from the Computational Sciences and Mathematics Research (CSMR) department at Sandia's Livermore CA site. It uses a function pointer approach for which passed functions must be either global functions or static member functions. Any attribute used within static member functions must be either local to that function, a static member, or accessed by static pointer.

The user input mappings are as follows: max_iterations, max_function_evaluations, convergence_tolerance, max_step, gradient_tolerance, search_method, and search_scheme_size are set using OPT++'s setMaxIter(), setMaxFeval(), setFcnTol(), setMaxStep(), setGradTol(), setSearchStrategy(), and setSSS() member functions, respectively; output verbosity is used to toggle OPT++'s debug mode using the setDebug() member function. Internal to OPT++, there are 3 search strategies, while the DAKOTA search_method specification supports 4 (value_based_line_search, gradient_based_line_search, trust_region, or tr_pds). The difference stems from the "is_expensive" flag in OPT++. If the search strategy is LineSearch and "is_expensive" is turned on, then the value_based_line_search is used. Otherwise (the "is_expensive" default is off), the algorithm will use the gradient_based_line_search. Refer to [Meza, J.C., 1994] and to the OPT++ source in the Dakota/packages/OPTPP directory for information on OPT++ class member functions.

Constructor & Destructor Documentation

SNLLOptimizer ( ProblemDescDB problem_db,
Model model 
)

standard constructor

This constructor is used for normal instantiations using data from the ProblemDescDB.

References Dakota::abort_handler(), Minimizer::boundConstraintFlag, SNLLBase::centeringParam, SNLLOptimizer::constraint0_evaluator(), SNLLOptimizer::constraint1_evaluator(), SNLLOptimizer::constraint2_evaluator(), Iterator::convergenceTol, SNLLOptimizer::default_instantiate_constraint(), SNLLOptimizer::default_instantiate_newton(), SNLLOptimizer::default_instantiate_q_newton(), Model::fd_gradient_step_size(), SNLLOptimizer::fdnlf1, SNLLOptimizer::fdnlf1Con, ProblemDescDB::get_int(), ProblemDescDB::get_real(), SNLLBase::init_fn(), Model::interval_type(), Iterator::iteratedModel, Dakota::LARGE_SCALE, Iterator::maxEvalConcurrency, Iterator::maxFunctionEvals, Iterator::maxIterations, SNLLBase::maxStep, SNLLBase::meritFn, Iterator::method_enum_to_string(), Iterator::methodName, SNLLOptimizer::nlf0, SNLLOptimizer::nlf0_evaluator(), SNLLOptimizer::nlf1, SNLLOptimizer::nlf1_evaluator(), SNLLOptimizer::nlf1Con, SNLLOptimizer::nlf2_evaluator(), SNLLOptimizer::nlfConstraint, SNLLOptimizer::nlfObjective, SNLLOptimizer::nlpConstraint, Minimizer::numConstraints, Minimizer::numContinuousVars, Minimizer::numNonlinearConstraints, SNLLOptimizer::optbcfdnewton, SNLLOptimizer::optbcqnewton, SNLLOptimizer::optcg, SNLLOptimizer::optfdnewton, SNLLOptimizer::optfdnips, SNLLOptimizer::optlbfgs, SNLLOptimizer::optpds, SNLLOptimizer::optqnewton, SNLLOptimizer::optqnips, Iterator::outputLevel, Iterator::probDescDB, SNLLBase::searchStrat, SNLLBase::snll_post_instantiate(), SNLLBase::snll_pre_instantiate(), SNLLBase::stepLenToBndry, SNLLOptimizer::theOptimizer, and Minimizer::vendorNumericalGradFlag.

SNLLOptimizer ( const String &  method_string,
Model model 
)
SNLLOptimizer ( const RealVector &  initial_pt,
const RealVector &  var_l_bnds,
const RealVector &  var_u_bnds,
const RealMatrix &  lin_ineq_coeffs,
const RealVector &  lin_ineq_l_bnds,
const RealVector &  lin_ineq_u_bnds,
const RealMatrix &  lin_eq_coeffs,
const RealVector &  lin_eq_tgts,
const RealVector &  nln_ineq_l_bnds,
const RealVector &  nln_ineq_u_bnds,
const RealVector &  nln_eq_tgts,
void(*)(int mode, int n, const RealVector &x, double &f, RealVector &grad_f, int &result_mode)  nlf1_obj_eval,
void(*)(int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode)  nlf1_con_eval,
size_t  max_iter = 100,
size_t  max_eval = 1000,
Real  conv_tol = 1.e-4,
Real  grad_tol = 1.e-4,
Real  max_step = 1000. 
)
SNLLOptimizer ( const RealVector &  initial_pt,
const RealVector &  var_l_bnds,
const RealVector &  var_u_bnds,
const RealMatrix &  lin_ineq_coeffs,
const RealVector &  lin_ineq_l_bnds,
const RealVector &  lin_ineq_u_bnds,
const RealMatrix &  lin_eq_coeffs,
const RealVector &  lin_eq_tgts,
const RealVector &  nln_ineq_l_bnds,
const RealVector &  nln_ineq_u_bnds,
const RealVector &  nln_eq_tgts,
void(*)(int n, const RealVector &x, double &f, int &result_mode)  nlf0_obj_eval,
void(*)(int mode, int n, const RealVector &x, RealVector &g, RealMatrix &grad_g, int &result_mode)  nlf1_con_eval,
size_t  max_iter = 100,
size_t  max_eval = 1000,
Real  conv_tol = 1.e-4,
Real  grad_tol = 1.e-4,
Real  max_step = 1000. 
)

alternate constructor for objective/constraint call-backs; mixed gradient case: numerical objective, analytic constraints

This is an alternate constructor for performing an optimization using the passed in objective function and constraint function pointers.

References Minimizer::bigRealBoundSize, Minimizer::boundConstraintFlag, Dakota::copy_data(), SNLLOptimizer::default_instantiate_constraint(), SNLLOptimizer::default_instantiate_q_newton(), SNLLOptimizer::initialPoint, SNLLOptimizer::lowerBounds, SNLLOptimizer::nlfObjective, Minimizer::numConstraints, Minimizer::numContinuousVars, Iterator::outputLevel, SNLLBase::snll_post_instantiate(), SNLLBase::snll_pre_instantiate(), SNLLOptimizer::theOptimizer, and SNLLOptimizer::upperBounds.

SNLLOptimizer ( const RealVector &  initial_pt,
const RealVector &  var_l_bnds,
const RealVector &  var_u_bnds,
const RealMatrix &  lin_ineq_coeffs,
const RealVector &  lin_ineq_l_bnds,
const RealVector &  lin_ineq_u_bnds,
const RealMatrix &  lin_eq_coeffs,
const RealVector &  lin_eq_tgts,
const RealVector &  nln_ineq_l_bnds,
const RealVector &  nln_ineq_u_bnds,
const RealVector &  nln_eq_tgts,
void(*)(int mode, int n, const RealVector &x, double &f, RealVector &grad_f, int &result_mode)  nlf1_obj_eval,
void(*)(int n, const RealVector &x, RealVector &g, int &result_mode)  nlf0_con_eval,
size_t  max_iter = 100,
size_t  max_eval = 1000,
Real  conv_tol = 1.e-4,
Real  grad_tol = 1.e-4,
Real  max_step = 1000. 
)

alternate constructor for objective/constraint call-backs; mixed gradient case: analytic objective, numerical constraints

This is an alternate constructor for performing an optimization using the passed in objective function and constraint function pointers.

References Minimizer::bigRealBoundSize, Minimizer::boundConstraintFlag, Dakota::copy_data(), SNLLOptimizer::default_instantiate_constraint(), SNLLOptimizer::default_instantiate_q_newton(), SNLLOptimizer::initialPoint, SNLLOptimizer::lowerBounds, SNLLOptimizer::nlfObjective, Minimizer::numConstraints, Minimizer::numContinuousVars, Iterator::outputLevel, SNLLBase::snll_post_instantiate(), SNLLBase::snll_pre_instantiate(), SNLLOptimizer::theOptimizer, and SNLLOptimizer::upperBounds.

SNLLOptimizer ( const RealVector &  initial_pt,
const RealVector &  var_l_bnds,
const RealVector &  var_u_bnds,
const RealMatrix &  lin_ineq_coeffs,
const RealVector &  lin_ineq_l_bnds,
const RealVector &  lin_ineq_u_bnds,
const RealMatrix &  lin_eq_coeffs,
const RealVector &  lin_eq_tgts,
const RealVector &  nln_ineq_l_bnds,
const RealVector &  nln_ineq_u_bnds,
const RealVector &  nln_eq_tgts,
void(*)(int n, const RealVector &x, double &f, int &result_mode)  nlf0_obj_eval,
void(*)(int n, const RealVector &x, RealVector &g, int &result_mode)  nlf0_con_eval,
size_t  max_iter = 100,
size_t  max_eval = 1000,
Real  conv_tol = 1.e-4,
Real  grad_tol = 1.e-4,
Real  max_step = 1000. 
)

Member Function Documentation

void nlf0_evaluator ( int  n,
const RealVector &  x,
double &  f,
int &  result_mode 
)
staticprivate

objective function evaluator function for OPT++ methods which require only function values.

For use when DAKOTA computes f and gradients are not directly available. This is used by nongradient-based optimizers such as PDS and by gradient-based optimizers in vendor numerical gradient mode (opt++'s internal finite difference routine is used).

References Model::continuous_variables(), Model::current_response(), Model::evaluate(), Response::function_value(), Iterator::iteratedModel, SNLLBase::lastEvalVars, SNLLBase::lastFnEvalLocn, Minimizer::numNonlinearConstraints, Iterator::outputLevel, Model::primary_response_fn_sense(), and SNLLOptimizer::snllOptInstance.

Referenced by SNLLOptimizer::SNLLOptimizer().

void nlf1_evaluator ( int  mode,
int  n,
const RealVector &  x,
double &  f,
RealVector &  grad_f,
int &  result_mode 
)
staticprivate

objective function evaluator function which provides function values and gradients to OPT++ methods.

For use when DAKOTA computes f and df/dX (regardless of gradient type). Vendor numerical gradient case is handled by nlf0_evaluator.

References Iterator::activeSet, Model::continuous_variables(), Model::current_response(), Model::evaluate(), Response::function_gradient_copy(), Response::function_value(), Iterator::iteratedModel, SNLLBase::lastEvalMode, SNLLBase::lastEvalVars, SNLLBase::lastFnEvalLocn, Minimizer::numNonlinearConstraints, Iterator::outputLevel, Model::primary_response_fn_sense(), ActiveSet::request_values(), and SNLLOptimizer::snllOptInstance.

Referenced by SNLLOptimizer::SNLLOptimizer().

void nlf2_evaluator ( int  mode,
int  n,
const RealVector &  x,
double &  f,
RealVector &  grad_f,
RealSymMatrix &  hess_f,
int &  result_mode 
)
staticprivate

objective function evaluator function which provides function values, gradients, and Hessians to OPT++ methods.

For use when DAKOTA receives f, df/dX, & d^2f/dx^2 from the ApplicationInterface (analytic only). Finite differencing does not make sense for a full Newton approach, since lack of analytic gradients & Hessian should dictate the use of quasi-newton or fd-newton. Thus, there is no fdnlf2_evaluator for use with full Newton approaches, since it is preferable to use quasi-newton or fd-newton with nlf1. Gauss-Newton does not fit this model; it uses nlf2_evaluator_gn instead of nlf2_evaluator.

References Iterator::activeSet, Model::continuous_variables(), Model::current_response(), Model::evaluate(), Response::function_gradient_copy(), Response::function_hessian(), Response::function_value(), Iterator::iteratedModel, SNLLBase::lastEvalMode, SNLLBase::lastEvalVars, SNLLBase::lastFnEvalLocn, Minimizer::numNonlinearConstraints, Iterator::outputLevel, Model::primary_response_fn_sense(), ActiveSet::request_values(), and SNLLOptimizer::snllOptInstance.

Referenced by SNLLOptimizer::SNLLOptimizer().

void constraint0_evaluator ( int  n,
const RealVector &  x,
RealVector &  g,
int &  result_mode 
)
staticprivate

constraint evaluator function for OPT++ methods which require only constraint values.

For use when DAKOTA computes g and gradients are not directly available. This is used by nongradient-based optimizers and by gradient-based optimizers in vendor numerical gradient mode (opt++'s internal finite difference routine is used).

References Model::continuous_variables(), SNLLBase::copy_con_vals_dak_to_optpp(), Model::current_response(), Model::evaluate(), Response::function_values(), Iterator::iteratedModel, SNLLBase::lastEvalVars, SNLLBase::lastFnEvalLocn, Optimizer::numObjectiveFns, Iterator::outputLevel, and SNLLOptimizer::snllOptInstance.

Referenced by SNLLOptimizer::SNLLOptimizer().

void constraint1_evaluator ( int  mode,
int  n,
const RealVector &  x,
RealVector &  g,
RealMatrix &  grad_g,
int &  result_mode 
)
staticprivate

constraint evaluator function which provides constraint values and gradients to OPT++ methods.

For use when DAKOTA computes g and dg/dX (regardless of gradient type). Vendor numerical gradient case is handled by constraint0_evaluator.

References Iterator::activeSet, Model::continuous_variables(), SNLLBase::copy_con_grad(), SNLLBase::copy_con_vals_dak_to_optpp(), Model::current_response(), Model::evaluate(), Response::function_gradients(), Response::function_values(), Iterator::iteratedModel, SNLLBase::lastEvalMode, SNLLBase::lastEvalVars, SNLLBase::lastFnEvalLocn, Optimizer::numObjectiveFns, Iterator::outputLevel, ActiveSet::request_values(), and SNLLOptimizer::snllOptInstance.

Referenced by SNLLOptimizer::SNLLOptimizer().

void constraint2_evaluator ( int  mode,
int  n,
const RealVector &  x,
RealVector &  g,
RealMatrix &  grad_g,
OPTPP::OptppArray< RealSymMatrix > &  hess_g,
int &  result_mode 
)
staticprivate

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