levenberg_marquardt_sparse.h

Go to the documentation of this file.

/*********************************************************************
 *
 *  Software License Agreement
 *
 *  Copyright (c) 2020,
 *  TU Dortmund - Institute of Control Theory and Systems Engineering.
 *  All rights reserved.
 *
 *  This program is free software: you can redistribute it and/or modify
 *  it under the terms of the GNU General Public License as published by
 *  the Free Software Foundation, either version 3 of the License, or
 *  (at your option) any later version.
 *
 *  This program is distributed in the hope that it will be useful,
 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU General Public License for more details.
 *
 *  You should have received a copy of the GNU General Public License
 *  along with this program.  If not, see <https://www.gnu.org/licenses/>.
 *
 *  Authors: Christoph Rösmann
 *********************************************************************/

#ifndef SRC_OPTIMIZATION_INCLUDE_CORBO_OPTIMIZATION_SOLVER_LEVENBERG_MARQUARDT_SPARSE_H_
#define SRC_OPTIMIZATION_INCLUDE_CORBO_OPTIMIZATION_SOLVER_LEVENBERG_MARQUARDT_SPARSE_H_

#include <corbo-optimization/solver/nlp_solver_interface.h>

#include <Eigen/Sparse>

#ifdef CHOLMOD
#include <Eigen/CholmodSupport>
#endif

#include <memory>

namespace corbo {

class LevenbergMarquardtSparse : public NlpSolverInterface
{
 public:
    using Ptr  = std::shared_ptr<LevenbergMarquardtSparse>;
    using UPtr = std::unique_ptr<LevenbergMarquardtSparse>;

    // implements interface method
    NlpSolverInterface::Ptr getInstance() const override { return std::make_shared<LevenbergMarquardtSparse>(); }

    // implements interface method
    bool isLsqSolver() const override { return true; }

    // implements interface method
    bool initialize(OptimizationProblemInterface* problem = nullptr) override;
    // implements interface method
    SolverStatus solve(OptimizationProblemInterface& problem, bool new_structure = true, bool new_run = true, double* obj_value = nullptr) override;

    void setIterations(int iterations) { _iterations = iterations; }
    void setPenaltyWeights(double weight_eq, double weight_ineq, double weight_bounds);
    void setWeightAdapation(double factor_eq, double factor_ineq, double factor_bounds, double max_eq, double max_ineq, double max_bounds);

    void clear() override;

#ifdef MESSAGE_SUPPORT
    // implements interface method
    void toMessage(corbo::messages::NlpSolver& message) const override;
    // implements interface method
    void fromMessage(const corbo::messages::NlpSolver& message, std::stringstream* issues = nullptr) override;
#endif

 protected:
    void computeValues(OptimizationProblemInterface& problem);

    void resetWeights();
    void adaptWeights();

 private:
    // parameters
    int _iterations = 10;

    double _weight_init_eq     = 2;
    double _weight_init_ineq   = 2;
    double _weight_init_bounds = 2;

    double _weight_adapt_factor_eq     = 1;
    double _weight_adapt_factor_ineq   = 1;
    double _weight_adapt_factor_bounds = 1;

    double _weight_adapt_max_eq     = 500;
    double _weight_adapt_max_ineq   = 500;
    double _weight_adapt_max_bounds = 500;

    // internal states
    int _param_dim         = 0;
    int _obj_dim           = 0;
    int _eq_dim            = 0;
    int _ineq_dim          = 0;
    int _finite_bounds_dim = 0;
    int _val_dim           = 0;

    Eigen::VectorXd _values;
    Eigen::SparseMatrix<double> _jacobian;
    Eigen::SparseMatrix<double> _hessian;
    Eigen::VectorXd _delta;
    Eigen::VectorXd _rhs;

    double _weight_eq     = _weight_init_eq;
    double _weight_ineq   = _weight_init_ineq;
    double _weight_bounds = _weight_init_bounds;

#if defined(CHOLMOD) && !defined(FORCE_EIGEN_SOLVER)
    Eigen::CholmodSupernodalLLT<Eigen::SparseMatrix<double>, Eigen::Upper> _sparse_solver;
#else
    // Eigen::SimplicialLDLT<Eigen::SparseMatrix<double>, Eigen::Upper> _sparse_solver;
    Eigen::SimplicialLLT<Eigen::SparseMatrix<double>, Eigen::Upper> _sparse_solver;
#endif
};

FACTORY_REGISTER_NLP_SOLVER(LevenbergMarquardtSparse)

}  // namespace corbo

#endif  // SRC_OPTIMIZATION_INCLUDE_CORBO_OPTIMIZATION_SOLVER_LEVENBERG_MARQUARDT_SPARSE_H_