levenberg_marquardt_sparse.h

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/*********************************************************************
 *
 *  Software License Agreement
 *
 *  Copyright (c) 2020,
 *  TU Dortmund - Institute of Control Theory and Systems Engineering.
 *  All rights reserved.
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 *  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
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 *  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.
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 *  Authors: Christoph Rösmann
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#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_