bfgs_update.hpp

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/*
 *    This file is part of ACADO Toolkit.
 *
 *    ACADO Toolkit -- A Toolkit for Automatic Control and Dynamic Optimization.
 *    Copyright (C) 2008-2014 by Boris Houska, Hans Joachim Ferreau,
 *    Milan Vukov, Rien Quirynen, KU Leuven.
 *    Developed within the Optimization in Engineering Center (OPTEC)
 *    under supervision of Moritz Diehl. All rights reserved.
 *
 *    ACADO Toolkit is free software; you can redistribute it and/or
 *    modify it under the terms of the GNU Lesser General Public
 *    License as published by the Free Software Foundation; either
 *    version 3 of the License, or (at your option) any later version.
 *
 *    ACADO Toolkit 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
 *    Lesser General Public License for more details.
 *
 *    You should have received a copy of the GNU Lesser General Public
 *    License along with ACADO Toolkit; if not, write to the Free Software
 *    Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA  02110-1301  USA
 *
 */


#ifndef ACADO_TOOLKIT_BFGS_UPDATE_HPP
#define ACADO_TOOLKIT_BFGS_UPDATE_HPP


#include <acado/utils/acado_utils.hpp>
#include <acado/nlp_derivative_approximation/constant_hessian.hpp>


BEGIN_NAMESPACE_ACADO


enum BFGSModificationType{

    MOD_POWELLS_MODIFICATION,   
    MOD_NOCEDALS_MODIFICATION,  
    MOD_NO_MODIFICATION         
};



class BFGSupdate : public ConstantHessian
{

    //
    // PUBLIC MEMBER FUNCTIONS:
    //
    public:

        BFGSupdate( );
                
        BFGSupdate(     UserInteraction* _userInteraction,
                                        uint _nBlocks = 0
                                        );

        BFGSupdate( const BFGSupdate& rhs );

        virtual ~BFGSupdate( );

        BFGSupdate& operator=( 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  
                                                                                        );


        virtual returnValue apply(       BlockMatrix &B, 
                                   const BlockMatrix &x, 
                                   const BlockMatrix &y   );



        inline returnValue setBFGSModification( const BFGSModificationType &modification_
                                                                                                );


                inline BooleanType performsBlockUpdates( ) const;





    //
    // PROTECTED MEMBER FUNCTIONS:
    //
    protected:



        virtual returnValue applyUpdate(        BlockMatrix &B, 
                                                                                        const BlockMatrix &x, 
                                                                                        const BlockMatrix &y  
                                                                                        );



        virtual returnValue applyBlockDiagonalUpdate(   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 DATA MEMBERS:
    //
    protected:

                BFGSModificationType modification;

                uint nBlocks;

};


CLOSE_NAMESPACE_ACADO

#include <acado/nlp_derivative_approximation/bfgs_update.ipp>


#endif  // ACADO_TOOLKIT_BFGS_UPDATE_HPP

/*
 *  end of file
 */