quasi-Newton models

src/NLPModels.jl

@@ -214,6 +214,8 @@ function hess_op(nlp :: AbstractNLPModel, x :: Vector{Float64};
   return LinearOperator(nlp.meta.nvar, Float64, v -> hprod(nlp, x, v; obj_weight=obj_weight, y=y))
 end
 
+update!(nlp :: AbstractNLPModel, args...; kwargs...) =
+  throw(NotImplementedError("update!"))
 varscale(nlp :: AbstractNLPModel, args...; kwargs...) =
   throw(NotImplementedError("varscale"))
 lagscale(nlp :: AbstractNLPModel, args...; kwargs...) =
@@ -236,5 +238,6 @@ end
 include("simple_model.jl")
 
 include("slack_model.jl")
+include("qn_model.jl")
 
 end # module

src/qn_model.jl

@@ -0,0 +1,64 @@
+using LinearOperators
+
+export QuasiNewtonModel, LBFGSModel, LSR1Model,
+       reset!,
+       obj, grad, grad!,
+       cons, cons!, jac_coord, jac, jprod, jprod!, jtprod, jtprod!,
+       hess, hprod
+
+abstract QuasiNewtonModel <: AbstractNLPModel
+
+type LBFGSModel <: QuasiNewtonModel
+  meta :: NLPModelMeta
+  model :: AbstractNLPModel
+  op :: LBFGSOperator
+end
+
+type LSR1Model <: QuasiNewtonModel
+  meta :: NLPModelMeta
+  model :: AbstractNLPModel
+  op :: LSR1Operator
+end
+
+"Construct a `LBFGSModel` from another type of model."
+function LBFGSModel(nlp :: AbstractNLPModel; memory :: Int=5)
+  op = LBFGSOperator(nlp.meta.nvar, memory)
+  return LBFGSModel(nlp.meta, nlp, op)
+end
+
+"Construct a `LSR1Model` from another type of nlp."
+function LSR1Model(nlp :: AbstractNLPModel; memory :: Int=5)
+  op = LSR1Operator(nlp.meta.nvar, memory)
+  return LSR1Model(nlp.meta, nlp, op)
+end
+
+# retrieve counters from underlying model
+for counter in fieldnames(Counters)
+  @eval begin
+    $counter(nlp :: QuasiNewtonModel) = $counter(nlp.model)
+    export $counter
+  end
+end
+
+function reset!(nlp :: QuasiNewtonModel)
+  reset!(nlp.model.counters)
+  return nlp
+end
+
+# the following methods are not affected by the Hessian approximation
+for meth in (:obj, :grad, :grad!, :cons, :cons!, :jac_coord, :jac, :jprod, :jprod!, :jtprod, :jtprod!)
+  @eval begin
+    $meth(nlp :: QuasiNewtonModel, args...) = $meth(nlp.model, args...)
+  end
+end
+
+# the following methods are affected by the Hessian approximation
+hess_op(nlp :: QuasiNewtonModel, args...) = nlp.op
+hprod(nlp :: QuasiNewtonModel, x :: Array{Float64}, v :: Array{Float64}; kwargs...) = nlp.op * v
+
+function update!(nlp :: QuasiNewtonModel, args...)
+	nlp.op.push!(args...)
+	return nlp
+end
+
+# not implemented: hess_coord, hess, hprod!