IpFilterLSAcceptor.hpp

// Copyright (C) 2005, 2006 International Business Machines and others.
// All Rights Reserved.
// This code is published under the Eclipse Public License.
//
// Authors:  Andreas Waechter                 IBM    2005-10-13
//               derived file from IpFilterLineSearch.hpp

#ifndef __IPFILTERLSACCEPTOR_HPP__
#define __IPFILTERLSACCEPTOR_HPP__

#include "IpFilter.hpp"
#include "IpBacktrackingLSAcceptor.hpp"
#include "IpPDSystemSolver.hpp"

namespace Ipopt
{

/** Filter line search procedure. */
class FilterLSAcceptor: public BacktrackingLSAcceptor
{
public:
   /**@name Constructors/Destructors */
   ///@{
   /** Constructor.
    *
    *  The PDSystemSolver object only needs to be
    *  provided (i.e. not NULL) if second order correction or
    *  corrector steps are to be used.
    */
   FilterLSAcceptor(
      const SmartPtr<PDSystemSolver>& pd_solver
   );

   virtual ~FilterLSAcceptor();
   ///@}

   virtual bool InitializeImpl(
      const OptionsList& options,
      const std::string& prefix
   );

   /** Reset the acceptor.
    *
    *  This function should be called if all previous information
    *  should be discarded when the line search is performed the
    *  next time.  For example, this method should be called if
    *  the barrier parameter is changed.
    */
   virtual void Reset();

   /** Initialization for the next line search.
    *
    *  @param in_watchdog indicates if we are currently in an active watchdog procedure
    */
   virtual void InitThisLineSearch(
      bool in_watchdog
   );

   /** Method that is called before the restoration phase is called.
    *
    *  Here, we can set up things that are required in the
    *  termination test for the restoration phase, such as augmenting
    *  a filter. */
   virtual void PrepareRestoPhaseStart();

   /** Method returning the lower bound on the trial step sizes. */
   virtual Number CalculateAlphaMin();

   /** Method for checking if current trial point is acceptable.
    *
    *  It is assumed that the delta information in ip_data is the
    *  search direction used in criteria.  The primal trial point has
    *  to be set before the call.
    */
   virtual bool CheckAcceptabilityOfTrialPoint(
      Number alpha_primal
   );

   /** Try a second order correction for the constraints.
    *
    *  If the first trial step (with incoming alpha_primal) has been reject,
    *  this tries up to max_soc_ second order corrections for the
    *  constraints.  Here, alpha_primal_test is the step size that
    *  has to be used in the filter acceptance tests.  On output
    *  actual_delta_ has been set to the step including the
    *  second order correction if it has been accepted, otherwise it
    *  is unchanged.  If the SOC step has been accepted, alpha_primal
    *  has the fraction-to-the-boundary value for the SOC step on output.
    *  The return value is true, if a SOC step has been accepted.
    */
   virtual bool TrySecondOrderCorrection(
      Number                    alpha_primal_test,
      Number&                   alpha_primal,
      SmartPtr<IteratesVector>& actual_delta
   );

   /** Try higher order corrector (for fast local convergence).
    *
    *  In contrast to a second order correction step, which tries to
    *  make an unacceptable point acceptable by improving constraint
    *  violation, this corrector step is tried even if the regular
    *  primal-dual step is acceptable.
    */
   virtual bool TryCorrector(
      Number                    alpha_primal_test,
      Number&                   alpha_primal,
      SmartPtr<IteratesVector>& actual_delta
   );

   /** Method for ending the current line search.
    *
    *  When it is called,
    *  the internal data should be updates, e.g., the filter might be
    *  augmented.  alpha_primal_test is the value of alpha that has
    *  been used for in the acceptance test earlier.
    */
   virtual char UpdateForNextIteration(
      Number alpha_primal_test
   );

   /** Method for setting internal data if the watchdog procedure is
    *  started.
    */
   virtual void StartWatchDog();

   /** Method for setting internal data if the watchdog procedure is
    *  stopped.
    */
   virtual void StopWatchDog();

   /**@name Trial Point Accepting Methods.
    *
    * Used internally to check certain
    * acceptability criteria and used externally (by the restoration phase
    * convergence check object, for instance)
    */
   ///@{
   /** Checks if a trial point is acceptable to the current iterate */
   bool IsAcceptableToCurrentIterate(
      Number trial_barr,
      Number trial_theta,
      bool   called_from_restoration = false
   ) const;

   /** Checks if a trial point is acceptable to the current filter */
   bool IsAcceptableToCurrentFilter(
      Number trial_barr,
      Number trial_theta
   ) const;
   ///@}

   /** Methods for OptionsList */
   ///@{
   static void RegisterOptions(
      SmartPtr<RegisteredOptions> roptions
   );
   ///@}

private:
   /**@name Default Compiler Generated Methods
    * (Hidden to avoid implicit creation/calling).
    *
    * These methods are not implemented and
    * we do not want the compiler to implement
    * them for us, so we declare them private
    * and do not define them. This ensures that
    * they will not be implicitly created/called.
    */
   ///@{
   /** Copy Constructor */
   FilterLSAcceptor(
      const FilterLSAcceptor&
   );

   /** Overloaded Assignment Operator */
   void operator=(
      const FilterLSAcceptor&
   );
   ///@}

   /** @name Filter information */
   ///@{
   /** Upper bound on infeasibility */
   Number theta_max_;
   Number theta_max_fact_;

   /** Infeasibility switching bound */
   Number theta_min_;
   Number theta_min_fact_;
   ///@}

   /** Method for checking if the current step size satisfies the
    *  f-type switching condition.
    *
    *  Here, we use the search direction stored in ip_data.
    */
   bool IsFtype(
      Number alpha_primal_test
   );

   /** Method for checking the Armijo condition, given a trial step
    *  size.
    *
    *  The test uses the search direction stored in ip_data,
    *  and the values of the functions at the trial point in ip_data.
    */
   bool ArmijoHolds(
      Number alpha_primal_test
   );

   /** Augment the filter used on the current values of the barrier
    *  objective function and the constraint violation.
    */
   void AugmentFilter();

   /** @name Parameters for the filter algorithm.  Names as in the paper */
   ///@{
   /** \f$ \eta_{\varphi} \f$ */
   Number eta_phi_;
   /** \f$ \delta \f$ */
   Number delta_;
   /** \f$ s_{\varphi} \f$ */
   Number s_phi_;
   /** \f$ s_{\Theta} \f$ */
   Number s_theta_;
   /** \f$ \gamma_{\varphi} \f$ */
   Number gamma_phi_;
   /** \f$ \gamma_{\Theta} \f$ */
   Number gamma_theta_;
   /** \f$ \gamma_{\alpha} \f$ */
   Number alpha_min_frac_;
   /** Maximal number of second order correction steps */
   Index max_soc_;
   /** Required reduction in constraint violation before trying
    *  multiple second order correction steps \f$ \kappa_{soc}\f$.
    */
   Number kappa_soc_;
   /** Maximal increase in objective function in orders of magnitude
    *  (std::log10).
    *
    *  If the log10(barrier objective function) is
    *  increased more than this compared to the current point, the
    *  trial point is rejected.
    */
   Number obj_max_inc_;
   /** Second method correction method */
   Index soc_method_;

   /** enumeration for the corrector type */
   enum CorrectorTypeEnum
   {
      NO_CORRECTOR = 0,
      AFFINE_CORRECTOR,
      PRIMAL_DUAL_CORRECTOR
   };
   /** Type of corrector steps that should be tried. */
   CorrectorTypeEnum corrector_type_;
   /** parameter in heuristic that determines whether corrector step should be tried. */
   Number corrector_compl_avrg_red_fact_;
   /** Flag indicating whether the corrector should be skipped in an
    *  iteration in which negative curvature is detected.
    */
   bool skip_corr_if_neg_curv_;
   /** Flag indicating whether the corrector should be skipped during
    *  the monotone mu mode.
    */
   bool skip_corr_in_monotone_mode_;
   /** maximal allowed number of filter resets. */
   Index max_filter_resets_;
   /** iteration counter trigger for filter reset.
    *
    *  If the successive number of iterations in which the last rejected
    *  step was due to the filter, and max_filter_resets is non-zero,
    *  then the filter is reset.
    */
   Index filter_reset_trigger_;
   ///@}

   /** @name Information related to watchdog procedure */
   ///@{
   /** Constraint violation at the point with respect to which
    *  progress is to be made
    */
   Number reference_theta_;
   /** Barrier objective function at the point with respect to which
    *  progress is to be made
    */
   Number reference_barr_;
   /** Barrier gradient transpose search direction at the point with
    *  respect to which progress is to be made
    */
   Number reference_gradBarrTDelta_;
   /** Constraint violation at reference point */
   Number watchdog_theta_;
   /** Barrier objective function at reference point */
   Number watchdog_barr_;
   /** Barrier gradient transpose search direction at reference point */
   Number watchdog_gradBarrTDelta_;
   ///@}

   /** Filter with entries */
   Filter filter_;

   /** @name Filter reset stuff */
   ///@{
   /** True, if last rejected was due to the filter. */
   bool last_rejection_due_to_filter_;
   /** Counter of successive iterations in which filter was reason
    *  for last rejection.
    */
   Index count_successive_filter_rejections_;
   /** Counter for the filter resets done so far. */
   Index n_filter_resets_;
   ///@}

   /** @name Strategy objective that are used */
   ///@{
   SmartPtr<PDSystemSolver> pd_solver_;
   ///@}
};

} // namespace Ipopt

#endif