Function for the logarithmic barrier. More...

#include <BarrierFunction.hpp>

Inheritance diagram for ipo::detail::BarrierFunction:

Collaboration diagram for ipo::detail::BarrierFunction:

Public Types
enum	Sign { Sign::positive, Sign::negative }
	Enumerated type used to determine sign of objective in BarrierFunction. More...

Public Member Functions
	BarrierFunction (Model &model, Sign const sign=Sign::positive, double const t=0.1)
	The constructor needs a Model. More...

virtual double	operator() (gsl::vector const &vector)
	Evaluate the function. More...

virtual gsl::vector	gradient (gsl::vector const &vector)
	Compute or estimate a gradient value from objective and constraints. More...

virtual gsl::matrix	hessian (gsl::vector const &vector)
	Compute or estimate a Hessian value from objective and constraints. More...

virtual gsl::vector	gradient ()
	Get gradient value from last call to setValue();. More...

virtual gsl::matrix	hessian ()
	Get Hessian value from last call to setValue();. More...

void	set_t (double const t)
	Set t to a new value. More...

double	get_t () const
	Get t value. More...

virtual void	setVector (gsl::vector const &vector)
	Set value of vector. More...

Public Member Functions inherited from ipo_function::Function
	Function (size_t const size=0)
	Constructor. More...

virtual std::tuple < gsl::vector, gsl::matrix >	derivatives (gsl::vector const &vector)
	Compute or estimate derivative values. More...

Public Member Functions inherited from ipo_function::detail::FunctionBase
	FunctionBase (size_t const size=0)
	Constructor. More...

virtual	~FunctionBase ()=0
	Make the class abstract. More...

size_t	getSize () const
	Get size of vector for function arguments or zero for arbitrary size. More...

Public Member Functions inherited from ipo_function::DerivativesEstimates
	DerivativesEstimates (size_t const size=0)
	Constructor. More...

virtual gsl::matrix	hessian () const

Public Member Functions inherited from ipo_function::GradientEstimate
	GradientEstimate (size_t const size=0)
	Constructor. More...

virtual double	value () const

virtual gsl::vector	gradient () const

Protected Member Functions
void	initialiseResultFromObjective (gsl::vector &subvector, bool const simul=false)
	Update result from objective. More...

void	updateResultFromConstraint (Constraint &constraint, gsl::vector &subvector, double const &lowerBound, double const &functionValue, double const &upperBound)
	Update result from a constraint. More...

void	updateResultFromVariable (std::map< Variable, size_t >::value_type &entry, gsl::vector const &vector)
	Update result from a variable. More...

gsl::vector	initialiseGradientFromObjective (gsl::vector &subvector, bool const simul=false)
	Update gradient from objective. More...

gsl::vector	updateGradientFromConstraint (size_t const constraintIndex, gsl::vector &subvector, double const &lowerBound, double const &functionValue, double const &upperBound, bool const simul=false)
	Update gradient from a constraint. More...

void	updateGradientFromVariable (std::map< Variable, size_t >::value_type &entry, gsl::vector const &vector)
	Update gradient from a variable. More...

void	initialiseHessianFromObjective (gsl::vector &subvector, bool const simul=false)
	Update gradient from objective. More...

void	updateHessianFromConstraint (size_t const constraintIndex, gsl::vector &subvector, double const &lowerBound, double const &functionValue, double const &upperBound, gsl::vector &gradient, bool const simul=false)
	Update Hessian from a constraint. More...

void	updateHessianFromVariable (std::map< Variable, size_t >::value_type &entry, gsl::vector const &vector)
	Update hessian from a variable. More...

Protected Attributes
Model &	model
	The value t used to determine the barrier. More...

Sign const	sign
	Set this to true or false according as the objective is to be added or subtracted. More...

double	t
	The value t used to determine the barrier. More...

Protected Attributes inherited from ipo_function::Function
double	h = std::sqrt( std::numeric_limits<double>::epsilon() )
	Value used for default gradient estimates. More...

double	h2 = std::sqrt( h )
	Value used for default Hessian estimates. More...

Protected Attributes inherited from ipo_function::detail::FunctionBase
size_t const	size
	Size of vector arguments to supply to subclass functions. More...

Protected Attributes inherited from ipo_function::DerivativesEstimates
gsl::matrix	functionHessian
	The Hessian value. More...

Protected Attributes inherited from ipo_function::GradientEstimate
double	functionValue
	The function value. More...

gsl::vector	functionGradient
	The gradient value. More...

Detailed Description

Function for the logarithmic barrier.

Definition at line 35 of file BarrierFunction.hpp.

Member Enumeration Documentation

enum ipo::detail::BarrierFunction::Sign

strong

Enumerated type used to determine sign of objective in BarrierFunction.

Enumerator
positive	Use +objective.
negative	Use -objective.

Definition at line 41 of file BarrierFunction.hpp.

Constructor & Destructor Documentation

BarrierFunction::BarrierFunction	(	Model &	model,
		Sign const	sign = `Sign::positive`,
		double const	t = `0.1`
	)

The constructor needs a Model.

It can also take a parameter t that is used together with logarithms to approximate an indicator function. The larger t is the better the approximation. Typically t is set useing set_t() during optimisation.

Parameters

model	The Model
sign	The Sign: positive or negative
t	The value of t

Definition at line 28 of file BarrierFunction.cc.

Member Function Documentation

double BarrierFunction::get_t ( ) const

Get t value.

Returns: The value of t

Definition at line 42 of file BarrierFunction.cc.

References t.

gsl::vector BarrierFunction::gradient ( gsl::vector const & vector )

virtual

Compute or estimate a gradient value from objective and constraints.

Parameters

vector The vector at which to evaluate the function

Returns: The gradient value

Reimplemented from ipo_function::Function.

Definition at line 77 of file BarrierFunction.cc.

References ipo::Model::constraintIndices, ipo::Model::constraints, ipo_function::GradientEstimate::functionGradient, ipo::Model::indexMap, ipo::infinity, initialiseGradientFromObjective(), lowerBound, ipo::minusInfinity, model, ipo::Model::objectiveIndices, updateGradientFromConstraint(), updateGradientFromVariable(), and upperBound.

virtual gsl::vector ipo::detail::BarrierFunction::gradient ( )

inlinevirtual

Get gradient value from last call to setValue();.

Returns: The gradient value

Definition at line 74 of file BarrierFunction.hpp.

Referenced by hessian(), initialiseGradientFromObjective(), setVector(), and updateGradientFromConstraint().

gsl::matrix BarrierFunction::hessian ( gsl::vector const & vector )

virtual

Compute or estimate a Hessian value from objective and constraints.

Parameters

vector The vector at which to evaluate the function

Returns: The Hessian value

Reimplemented from ipo_function::Function.

Definition at line 107 of file BarrierFunction.cc.

References ipo::Model::constraintIndices, ipo::Model::constraints, ipo_function::DerivativesEstimates::functionHessian, gradient(), ipo::Model::indexMap, ipo::infinity, initialiseHessianFromObjective(), lowerBound, ipo::minusInfinity, model, ipo::Model::objectiveIndices, updateHessianFromConstraint(), updateHessianFromVariable(), and upperBound.

virtual gsl::matrix ipo::detail::BarrierFunction::hessian ( )

inlinevirtual

Get Hessian value from last call to setValue();.

Returns: The Hessian value

Definition at line 79 of file BarrierFunction.hpp.

Referenced by initialiseHessianFromObjective(), and updateHessianFromConstraint().

gsl::vector BarrierFunction::initialiseGradientFromObjective	(	gsl::vector &	subvector,
		bool const	simul = `false`
	)

protected

Update gradient from objective.

Parameters

subvector	The subvector for the objective
simul	Set to true to try to estimate function value and derivatives simultaneously: assumes gradient already calculated

Returns: The gradient of the objective function

Definition at line 185 of file BarrierFunction.cc.

References ipo_function::DerivativesEstimates::DerivativesEstimates(), ipo_function::GradientEstimate::functionGradient, ipo::detail::ModelFunction::getFunction(), ipo_function::Function::gradient(), gradient(), ipo::Model::indexMap, model, ipo::Model::objective, ipo::Model::objectiveIndices, positive, sign, and t.

Referenced by gradient(), and setVector().

void BarrierFunction::initialiseHessianFromObjective	(	gsl::vector &	subvector,
		bool const	simul = `false`
	)

protected

Update gradient from objective.

Parameters

subvector	The subvector for the objective
simul	Set to true to try to estimate function value and derivatives simultaneously

Definition at line 252 of file BarrierFunction.cc.

References ipo_function::DerivativesEstimates::DerivativesEstimates(), ipo_function::DerivativesEstimates::functionHessian, ipo::detail::ModelFunction::getFunction(), ipo_function::Function::hessian(), hessian(), ipo::Model::indexMap, model, ipo::Model::objective, ipo::Model::objectiveIndices, positive, sign, and t.

Referenced by hessian(), and setVector().

void BarrierFunction::initialiseResultFromObjective	(	gsl::vector &	subvector,
		bool const	simul = `false`
	)

protected

Update result from objective.

Parameters

subvector	The subvector for the objective
simul	Set to true to try to estimate function value and derivatives simultaneously

Definition at line 138 of file BarrierFunction.cc.

References ipo_function::DerivativesEstimates::DerivativesEstimates(), ipo_function::GradientEstimate::functionValue, ipo::detail::ModelFunction::getFunction(), model, ipo::Model::objective, positive, sign, and t.

Referenced by operator()(), and setVector().

double BarrierFunction::operator() ( gsl::vector const & vector )

virtual

Evaluate the function.

Parameters

vector The function argument

Implements ipo_function::Function.

Definition at line 47 of file BarrierFunction.cc.

References ipo::Model::constraintIndices, ipo::Model::constraints, ipo_function::GradientEstimate::functionValue, ipo::Model::indexMap, ipo::infinity, initialiseResultFromObjective(), lowerBound, ipo::minusInfinity, model, ipo::Model::objectiveIndices, updateResultFromConstraint(), updateResultFromVariable(), and upperBound.

void BarrierFunction::set_t ( double const t )

Set t to a new value.

Parameters

t	The new vector value

Definition at line 37 of file BarrierFunction.cc.

References t.

void BarrierFunction::setVector ( gsl::vector const & vector )

virtual

Set value of vector.

This also calculates and stores function value, gradient and Hessian more efficiently than if all three are computed seprately. It is even more efficient on objective and constraint functions that are also derived classes of DerivativesEstimates.

Implements ipo_function::GradientEstimate.

Definition at line 327 of file BarrierFunction.cc.

References ipo::Model::constraintIndices, ipo::Model::constraints, ipo_function::DerivativesEstimates::DerivativesEstimates(), gradient(), ipo::Model::indexMap, ipo::infinity, initialiseGradientFromObjective(), initialiseHessianFromObjective(), initialiseResultFromObjective(), lowerBound, ipo::minusInfinity, model, ipo::Model::objectiveIndices, updateGradientFromConstraint(), updateGradientFromVariable(), updateHessianFromConstraint(), updateHessianFromVariable(), updateResultFromConstraint(), updateResultFromVariable(), and upperBound.

gsl::vector BarrierFunction::updateGradientFromConstraint	(	size_t const	constraintIndex,
		gsl::vector &	subvector,
		double const &	lowerBound,
		double const &	functionValue,
		double const &	upperBound,
		bool const	simul = `false`
	)

protected

Update gradient from a constraint.

Parameters

constraintIndex	The constraintIndex
subvector	The subvector for constraint
lowerBound	The lower bound on the constraint
functionValue	The constraint function value
upperBound	The upper bound on the constraint

Returns: The gradient of the constraint function

Parameters

simul Set to true to try to estimate function value and derivatives simultaneously: assumes gradient already calculated

Definition at line 205 of file BarrierFunction.cc.

References ipo::Model::constraintIndices, ipo::Model::constraints, ipo_function::DerivativesEstimates::DerivativesEstimates(), ipo_function::GradientEstimate::functionGradient, gradient(), ipo::infinity, ipo::minusInfinity, and model.

Referenced by gradient(), and setVector().

void BarrierFunction::updateGradientFromVariable	(	std::map< Variable, size_t >::value_type &	entry,
		gsl::vector const &	vector
	)

protected

Update gradient from a variable.

Parameters

entry	The indexMap entry for the variable
vector	The vector of variable values

Definition at line 230 of file BarrierFunction.cc.

References ipo_function::GradientEstimate::functionGradient, ipo::infinity, lowerBound, ipo::minusInfinity, and upperBound.

Referenced by gradient(), and setVector().

void BarrierFunction::updateHessianFromConstraint	(	size_t const	constraintIndex,
		gsl::vector &	subvector,
		double const &	lowerBound,
		double const &	functionValue,
		double const &	upperBound,
		gsl::vector &	gradient,
		bool const	simul = `false`
	)

protected

Update Hessian from a constraint.

Parameters

constraintIndex	The constraintIndex
subvector	The subvector for constraint
lowerBound	The lower bound on the constraint
functionValue	The constraint function value
upperBound	The upper bound on the constraint
gradient	The gradient at subvector
simul	Set to true to try to estimate function value and derivatives simultaneously

Definition at line 272 of file BarrierFunction.cc.

References ipo::Model::constraintIndices, ipo::Model::constraints, ipo_function::DerivativesEstimates::DerivativesEstimates(), ipo_function::DerivativesEstimates::functionHessian, hessian(), ipo::infinity, ipo::minusInfinity, and model.

Referenced by hessian(), and setVector().

void BarrierFunction::updateHessianFromVariable	(	std::map< Variable, size_t >::value_type &	entry,
		gsl::vector const &	vector
	)

protected

Update hessian from a variable.

Parameters

entry	The indexMap entry for the variable
vector	The vector of variable values

Definition at line 301 of file BarrierFunction.cc.

References ipo_function::DerivativesEstimates::functionHessian, ipo::infinity, lowerBound, ipo::minusInfinity, and upperBound.

Referenced by hessian(), and setVector().

void BarrierFunction::updateResultFromConstraint	(	Constraint &	constraint,
		gsl::vector &	subvector,
		double const &	lowerBound,
		double const &	functionValue,
		double const &	upperBound
	)

protected

Update result from a constraint.

Parameters

constraint	The constraint
subvector	The subvector for constraint
lowerBound	The lower bound on the constraint
functionValue	The constraint function value
upperBound	The upper bound on the constraint