Implements an exact Hessian computation for obtaining second-order derivatives within NLPsolvers. More...

#include <exact_hessian.hpp>

Inheritance diagram for ExactHessian:

Public Member Functions
virtual returnValue	apply (BlockMatrix &B, const BlockMatrix &x, const BlockMatrix &y)

virtual NLPderivativeApproximation *	clone () const

	ExactHessian ()

	ExactHessian (UserInteraction *_userInteraction)

	ExactHessian (const ExactHessian &rhs)

double	getHessianScaling () const

virtual returnValue	initHessian (BlockMatrix &B, uint N, const OCPiterate &iter)

virtual returnValue	initScaling (BlockMatrix &B, const BlockMatrix &x, const BlockMatrix &y)

ExactHessian &	operator= (const ExactHessian &rhs)

virtual	~ExactHessian ()

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 ()

Additional Inherited Members
Protected Member Functions inherited from NLPderivativeApproximation
virtual returnValue	setupLogging ()

virtual returnValue	setupOptions ()

Protected Attributes inherited from NLPderivativeApproximation
double	hessianScaling

Protected Attributes inherited from AlgorithmicBase
int	outputLoggingIdx

BooleanType	useModuleStandalone

UserInteraction *	userInteraction

Detailed Description

Implements an exact Hessian computation for obtaining second-order derivatives within NLPsolvers.

The class ExactHessian implements an exact Hessian computation for obtaining second-order derivatives within iterative NLPsolvers.

Author: Boris Houska, Hans Joachim Ferreau

Definition at line 56 of file exact_hessian.hpp.

Constructor & Destructor Documentation

◆ ExactHessian() [1/3]

BEGIN_NAMESPACE_ACADO ExactHessian::ExactHessian ( )

Default constructor.

Definition at line 45 of file exact_hessian.cpp.

◆ ExactHessian() [2/3]

ExactHessian::ExactHessian ( UserInteraction * _userInteraction )

Default constructor.

Definition at line 50 of file exact_hessian.cpp.

◆ ExactHessian() [3/3]

ExactHessian::ExactHessian ( const ExactHessian & rhs )

Copy constructor (deep copy).

Definition at line 55 of file exact_hessian.cpp.

◆ ~ExactHessian()

ExactHessian::~ExactHessian ( )

virtual

Destructor.

Definition at line 60 of file exact_hessian.cpp.

Member Function Documentation

◆ apply()

returnValue ExactHessian::apply	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)

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

Implements NLPderivativeApproximation.

Definition at line 146 of file exact_hessian.cpp.

◆ clone()

NLPderivativeApproximation * ExactHessian::clone ( ) const

virtual

Implements NLPderivativeApproximation.

Definition at line 76 of file exact_hessian.cpp.

◆ getHessianScaling()

double ExactHessian::getHessianScaling ( ) const

inline

◆ initHessian()

returnValue ExactHessian::initHessian	(	BlockMatrix &	B,
		uint	N,
		const OCPiterate &	iter
	)

virtual

Parameters

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

Implements NLPderivativeApproximation.

Definition at line 82 of file exact_hessian.cpp.

◆ initScaling()

returnValue ExactHessian::initScaling	(	BlockMatrix &	B,
		const BlockMatrix &	x,
		const BlockMatrix &	y
	)

virtual

Parameters

B	matrix to be updated
x	direction x
y	residuum

Implements NLPderivativeApproximation.

Definition at line 123 of file exact_hessian.cpp.

◆ operator=()

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

Assignment operator (deep copy).

Definition at line 65 of file exact_hessian.cpp.

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

Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ExactHessian() [1/3]

◆ ExactHessian() [2/3]

◆ ExactHessian() [3/3]

◆ ~ExactHessian()

Member Function Documentation

◆ apply()

◆ clone()

◆ getHessianScaling()

◆ initHessian()

◆ initScaling()

◆ operator=()