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

#include <bfgs_update.hpp>

Inheritance diagram for BFGSupdate:

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 ()

Public Member Functions inherited from ConstantHessian
	ConstantHessian ()

	ConstantHessian (UserInteraction *_userInteraction)

	ConstantHessian (const ConstantHessian &rhs)

ConstantHessian &	operator= (const ConstantHessian &rhs)

virtual	~ConstantHessian ()

Public Member Functions inherited from NLPderivativeApproximation
double	getHessianScaling () const

	NLPderivativeApproximation ()

	NLPderivativeApproximation (UserInteraction *_userInteraction)

	NLPderivativeApproximation (const NLPderivativeApproximation &rhs)

NLPderivativeApproximation &	operator= (const NLPderivativeApproximation &rhs)

virtual	~NLPderivativeApproximation ()

Public Member Functions inherited from AlgorithmicBase
int	addLogRecord (LogRecord &_record)

returnValue	addOption (OptionsName name, int value)

returnValue	addOption (OptionsName name, double value)

returnValue	addOption (uint idx, OptionsName name, int value)

returnValue	addOption (uint idx, OptionsName name, double value)

returnValue	addOptionsList ()

	AlgorithmicBase ()

	AlgorithmicBase (UserInteraction *_userInteraction)

	AlgorithmicBase (const AlgorithmicBase &rhs)

returnValue	get (OptionsName name, int &value) const

returnValue	get (OptionsName name, double &value) const

returnValue	get (OptionsName name, std::string &value) const

returnValue	get (uint idx, OptionsName name, int &value) const

returnValue	get (uint idx, OptionsName name, double &value) const

returnValue	getAll (LogName _name, MatrixVariablesGrid &values) const

returnValue	getFirst (LogName _name, DMatrix &firstValue) const

returnValue	getFirst (LogName _name, VariablesGrid &firstValue) const

returnValue	getLast (LogName _name, DMatrix &lastValue) const

returnValue	getLast (LogName _name, VariablesGrid &lastValue) const

Options	getOptions (uint idx) const

BooleanType	haveOptionsChanged () const

BooleanType	haveOptionsChanged (uint idx) const

AlgorithmicBase &	operator= (const AlgorithmicBase &rhs)

returnValue	plot (PlotFrequency _frequency=PLOT_IN_ANY_CASE)

returnValue	printLogRecord (std::ostream &_stream, int idx, LogPrintMode _mode=PRINT_ITEM_BY_ITEM) const

returnValue	replot (PlotFrequency _frequency=PLOT_IN_ANY_CASE)

returnValue	set (OptionsName name, int value)

returnValue	set (OptionsName name, double value)

returnValue	set (OptionsName name, const std::string &value)

returnValue	set (uint idx, OptionsName name, int value)

returnValue	set (uint idx, OptionsName name, double value)

returnValue	setAll (LogName _name, const MatrixVariablesGrid &values)

returnValue	setLast (LogName _name, int lastValue, double time=-INFTY)

returnValue	setLast (LogName _name, double lastValue, double time=-INFTY)

returnValue	setLast (LogName _name, const DVector &lastValue, double time=-INFTY)

returnValue	setLast (LogName _name, const DMatrix &lastValue, double time=-INFTY)

returnValue	setLast (LogName _name, const VariablesGrid &lastValue, double time=-INFTY)

returnValue	setOptions (const Options &arg)

returnValue	setOptions (uint idx, const Options &arg)

virtual	~AlgorithmicBase ()

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 Member Functions inherited from NLPderivativeApproximation
virtual returnValue	setupLogging ()

virtual returnValue	setupOptions ()

Protected Attributes
BFGSModificationType	modification

uint	nBlocks

Protected Attributes inherited from NLPderivativeApproximation
double	hessianScaling

Protected Attributes inherited from AlgorithmicBase
int	outputLoggingIdx

BooleanType	useModuleStandalone

UserInteraction *	userInteraction

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.

Constructor & Destructor Documentation

◆ BFGSupdate() [1/3]

BEGIN_NAMESPACE_ACADO BFGSupdate::BFGSupdate ( )

Default constructor.

Definition at line 45 of file bfgs_update.cpp.

◆ BFGSupdate() [2/3]

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() [3/3]

BFGSupdate::BFGSupdate ( const BFGSupdate & rhs )

Copy constructor (deep copy).

Definition at line 61 of file bfgs_update.cpp.

◆ ~BFGSupdate()

BFGSupdate::~BFGSupdate ( )

virtual

Destructor.

Definition at line 68 of file bfgs_update.cpp.

Member Function Documentation

◆ apply()

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.

◆ applyBlockDiagonalUpdate()

returnValue BFGSupdate::applyBlockDiagonalUpdate	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)

protectedvirtual

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.

◆ applyUpdate()

returnValue BFGSupdate::applyUpdate	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)

protectedvirtual

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.

◆ clone()

NLPderivativeApproximation * BFGSupdate::clone ( ) const

virtual

Reimplemented from ConstantHessian.

Definition at line 87 of file bfgs_update.cpp.

◆ getSubBlockLine()

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.

◆ initHessian()

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.

◆ initScaling()

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.

◆ operator=()

BFGSupdate & BFGSupdate::operator= ( const BFGSupdate & rhs )

Assignment operator (deep copy).

Definition at line 73 of file bfgs_update.cpp.

◆ performsBlockUpdates()

BooleanType BFGSupdate::performsBlockUpdates ( ) const

inline

◆ setBFGSModification()

returnValue BFGSupdate::setBFGSModification ( const BFGSModificationType & modification_ )

inline

◆ setSubBlockLine()

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

◆ modification

BFGSModificationType BFGSupdate::modification

protected

Definition at line 193 of file bfgs_update.hpp.

◆ nBlocks

uint BFGSupdate::nBlocks

protected

Definition at line 195 of file bfgs_update.hpp.

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

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ BFGSupdate() [1/3]

◆ BFGSupdate() [2/3]

◆ BFGSupdate() [3/3]

◆ ~BFGSupdate()

Member Function Documentation

◆ apply()

◆ applyBlockDiagonalUpdate()

◆ applyUpdate()

◆ clone()

◆ getSubBlockLine()

◆ initHessian()

◆ initScaling()

◆ operator=()

◆ performsBlockUpdates()

◆ setBFGSModification()

◆ setSubBlockLine()

Member Data Documentation

◆ modification

◆ nBlocks