levenberg_marquardt_dense.h

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 *
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 *  Copyright (c) 2020,
 *  TU Dortmund - Institute of Control Theory and Systems Engineering.
 *  All rights reserved.
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 *  Authors: Christoph Rösmann
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#ifndef SRC_OPTIMIZATION_INCLUDE_CORBO_OPTIMIZATION_SOLVER_LEVENBERG_MARQUARDT_DENSE_H_
#define SRC_OPTIMIZATION_INCLUDE_CORBO_OPTIMIZATION_SOLVER_LEVENBERG_MARQUARDT_DENSE_H_
 
#include <corbo-optimization/solver/nlp_solver_interface.h>
 
#include <memory>
 
namespace corbo {
 
class LevenbergMarquardtDense : public NlpSolverInterface
{
 public:
    using Ptr  = std::shared_ptr<LevenbergMarquardtDense>;
    using UPtr = std::unique_ptr<LevenbergMarquardtDense>;
 
    // implements interface method
    NlpSolverInterface::Ptr getInstance() const override { return std::make_shared<LevenbergMarquardtDense>(); }
 
    // 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);
 
    // implements interface method
    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 computeJacobian(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::MatrixXd _jacobian;
    Eigen::MatrixXd _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;
};
 
FACTORY_REGISTER_NLP_SOLVER(LevenbergMarquardtDense)
 
}  // namespace corbo
 
#endif  // SRC_OPTIMIZATION_INCLUDE_CORBO_OPTIMIZATION_SOLVER_LEVENBERG_MARQUARDT_DENSE_H_