BFGSupdate Class Reference

Implements BFGS updates for approximating second-order derivatives within NLPsolvers. More...

#include <bfgs_update.hpp>

Inheritance diagram for BFGSupdate:

List of all members.

Public Member Functions
virtual returnValue	apply (BlockMatrix &B, const BlockMatrix &x, const BlockMatrix &y)
	BFGSupdate ()
	BFGSupdate (UserInteraction *_userInteraction, uint _nBlocks=0)
	BFGSupdate (const BFGSupdate &rhs)
virtual NLPderivativeApproximation *	clone () const
virtual returnValue	initHessian (BlockMatrix &B, uint N, const OCPiterate &iter)
virtual returnValue	initScaling (BlockMatrix &B, const BlockMatrix &x, const BlockMatrix &y)
BFGSupdate &	operator= (const BFGSupdate &rhs)
BooleanType	performsBlockUpdates () const
returnValue	setBFGSModification (const BFGSModificationType &modification_)
virtual	~BFGSupdate ()
Protected Member Functions
virtual returnValue	applyBlockDiagonalUpdate (BlockMatrix &B, const BlockMatrix &x, const BlockMatrix &y)
virtual returnValue	applyUpdate (BlockMatrix &B, const BlockMatrix &x, const BlockMatrix &y)
returnValue	getSubBlockLine (const int &N, const int &line1, const int &line2, const int &offset, const BlockMatrix &M, BlockMatrix &x)
returnValue	setSubBlockLine (const int &N, const int &line1, const int &line2, const int &offset, BlockMatrix &M, const BlockMatrix &x)
Protected Attributes
BFGSModificationType	modification
uint	nBlocks

---

Detailed Description

Implements BFGS updates for approximating second-order derivatives within NLPsolvers.

The class BFGSupdate implements BFGS updates for approximating second-order derivative information within iterative NLPsolvers.

Author:

Boris Houska, Hans Joachim Ferreau

Definition at line 67 of file bfgs_update.hpp.

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Constructor & Destructor Documentation

BEGIN_NAMESPACE_ACADO BFGSupdate::BFGSupdate

(

)

Default constructor.

Definition at line 45 of file bfgs_update.cpp.

BFGSupdate::BFGSupdate	(	UserInteraction *	_userInteraction,
		uint	_nBlocks = 0
	)

Constructor that takes the number of blocks for matrix block updates.

Definition at line 52 of file bfgs_update.cpp.

BFGSupdate::BFGSupdate

(

const BFGSupdate &

rhs

)

Copy constructor (deep copy).

Definition at line 61 of file bfgs_update.cpp.

BFGSupdate::~BFGSupdate

(

)

[virtual]

Destructor.

Definition at line 68 of file bfgs_update.cpp.

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Member Function Documentation

returnValue BFGSupdate::apply	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)		[virtual]

Applies a BFGS update.

Returns:

SUCCESSFUL_RETURN

Parameters:

B	matrix to be updated
x	direction x
y	residuum

Reimplemented from ConstantHessian.

Definition at line 113 of file bfgs_update.cpp.

returnValue BFGSupdate::applyBlockDiagonalUpdate	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)		[protected, virtual]

Applies a block BFGS update to the diagonal of the matrix B. The integer N
specifies the number of blocks.

B_ii = B_ii - B_ii*x_i*x_i^T*B_ii/(x_i^T*B_ii*x_i) + y_i*y_i^T/(x_i^T*y_i)

Returns:

SUCCESSFUL_RETURN

Parameters:

B	matrix to be updated
x	direction x
y	residuum

Definition at line 219 of file bfgs_update.cpp.

returnValue BFGSupdate::applyUpdate	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)		[protected, virtual]

Applies a BFGS update in its "standard" form:

B = B - B*x*x^T*B/(x^T*B*x) + y*y^T/(x^T*y)

Returns:

SUCCESSFUL_RETURN

Parameters:

B	matrix to be updated
x	direction x
y	residuum

Definition at line 130 of file bfgs_update.cpp.

NLPderivativeApproximation * BFGSupdate::clone

(

)

const [virtual]

Reimplemented from ConstantHessian.

Definition at line 87 of file bfgs_update.cpp.

returnValue BFGSupdate::getSubBlockLine	(	const int &	N,
		const int &	line1,
		const int &	line2,
		const int &	offset,
		const BlockMatrix &	M,
		BlockMatrix &	x
	)		[protected]

Definition at line 257 of file bfgs_update.cpp.

returnValue BFGSupdate::initHessian	(	BlockMatrix &	B,
		uint	N,
		const OCPiterate &	iter
	)		[virtual]

Parameters:

B	matrix to be initialised
N	number of intervals
iter	current iterate

Reimplemented from ConstantHessian.

Definition at line 94 of file bfgs_update.cpp.

returnValue BFGSupdate::initScaling	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)		[virtual]

Applies an initial scaling of the form:

B = B*sqrt( (y^T*y)/(x^T*x) )

This rescaling can be used if the initial Hessian was a
unit matrix which should be auto-scaled in the first step
Note that the update will be skipped for the case that
x^T*x or y^T*y is less than 1000.0*EPS (safeguard
against unreasonable scaling).

Returns:

sqrt( (y^T*y)/(x^T*x) )

Parameters:

B	matrix to be updated
x	direction x
y	residuum

Reimplemented from ConstantHessian.

Definition at line 103 of file bfgs_update.cpp.

BFGSupdate & BFGSupdate::operator=

(

const BFGSupdate &

rhs

)

Assignment operator (deep copy).

Definition at line 73 of file bfgs_update.cpp.

BooleanType BFGSupdate::performsBlockUpdates

(

)

const [inline]

returnValue BFGSupdate::setBFGSModification

(

const BFGSModificationType &

modification_

)

[inline]

returnValue BFGSupdate::setSubBlockLine	(	const int &	N,
		const int &	line1,
		const int &	line2,
		const int &	offset,
		BlockMatrix &	M,
		const BlockMatrix &	x
	)		[protected]

Definition at line 285 of file bfgs_update.cpp.

---

Member Data Documentation

BFGSModificationType BFGSupdate::modification [protected]

Definition at line 193 of file bfgs_update.hpp.

uint BFGSupdate::nBlocks [protected]

Definition at line 195 of file bfgs_update.hpp.

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

• bfgs_update.hpp
• bfgs_update.cpp