NLopt

This is a Chicken Scheme egg which provides bindings to NLopt, a library for non-linear optimization. http://ab-initio.mit.edu/wiki/index.php/NLopt

High-level setup

(nlopt:optimize algorithm initial f)

Call f, a function that will be passed an NLopt optimizer object and will set up the optimization problem, run the algorithm specificed with the initial starting position give. It returns a 3-vector: final paramters, final objective value, reason for exit. The reason for exiting is currently just an integer, see section on Errors.

result. Keep in mind that the optimizer may have failed, but a result is always provided.

(nlopt:srand seed)

(nlopt:srand-time)

Some NLopt algorithm generate random values, this sets the seed for the random number generator. The latter uses the current clock time.

(nlopt:get-algorithm nlopt)

(nlopt:get-dimension nlopt)

Find the algorithm or arity of an nlopt object.

High-level optimization

(nlopt:set-min-objective nlopt f)

(nlopt:set-max-objective nlopt f)

Ask the optimizer to minimize or maximize f.

nlopt:set-lower-bounds

nlopt:set-lower-bounds1

nlopt:set-upper-bounds

nlopt:set-upper-bounds1

nlopt:remove-inequality-constraints

nlopt:add-inequality-constraint

nlopt:remove-equality-constraints

nlopt:add-equality-constraint

nlopt:set-stopval

nlopt:get-stopval

nlopt:set-ftol-rel

nlopt:get-ftol-rel

nlopt:set-ftol-abs

nlopt:get-ftol-abs

nlopt:set-xtol-rel

nlopt:get-xtol-rel

nlopt:set-xtol-abs1

nlopt:set-xtol-abs

nlopt:get-xtol-abs

nlopt:set-maxeval

nlopt:get-maxeval

nlopt:set-maxtime

nlopt:get-maxtime

nlopt:force-stop

nlopt:set-force-stop

nlopt:get-force-stop

nlopt:set-local-optimizer

nlopt:set-population

nlopt:get-population

nlopt:set-default-initial-step

nlopt:set-initial-step

nlopt:set-initial-step1

nlopt:get-initial-step

These calls correspond well to those in NLopt.

TODO: nlopt:add-inequality-mconstraint nlopt:add-equality-mconstraint

Low-level

(nlopt:create algorithm arity)

Create a new NLopt object for an optimizer of a particular arity using the algorithm provided.

(nlopt:destroy nlopt)

(nlopt:copy nlopt)

Delete and copy an NLopt object.

(with-nlopt kind arg f)

(nlopt:optimize-now nlopt initial)

(nlopt:wrap-single f)

These are implementation details users should not have to worry about.

Algorithms

nlopt:gn-direct

nlopt:gn-direct-l

nlopt:gn-direct-l-rand

nlopt:gn-direct-noscal

nlopt:gn-direct-l-noscal

nlopt:gn-direct-l-rand-noscal

nlopt:gn-orig-direct

nlopt:gn-orig-direct-l

nlopt:gd-stogo

nlopt:gd-stogo-rand

nlopt:ld-lbfgs-nocedal

nlopt:ld-lbfgs

nlopt:ln-praxis

nlopt:ld-var1

nlopt:ld-var2

nlopt:ld-tnewton

nlopt:ld-tnewton-restart

nlopt:ld-tnewton-precond

nlopt:ld-tnewton-precond-restart

nlopt:gn-crs2-lm

nlopt:gn-mlsl

nlopt:gd-mlsl

nlopt:gn-mlsl-lds

nlopt:gd-mlsl-lds

nlopt:ld-mma

nlopt:ln-cobyla

nlopt:ln-newuoa

nlopt:ln-newuoa_bound

nlopt:ln-neldermead

nlopt:ln-sbplx

nlopt:ln-auglag

nlopt:ld-auglag

nlopt:ln-auglag-eq

nlopt:ld-auglag-eq

nlopt:ln-bobyqa

nlopt:gn-isres

nlopt:auglag

nlopt:auglag-eq

nlopt:g-mlsl

nlopt:g-mlsl-lds

nlopt:ld-slsqp

Errors

Error handling is very basic and left almsot entirely to the user. These error codes may be returned by nlopt:optimize as the last element of the 3-vector it returns.

nlopt:failure nlopt:invalid-args nlopt:out-of-memory nlopt:roundoff-limited nlopt:forced-stop nlopt:success nlopt:stopval-reached nlopt:ftol-reached nlopt:xtol-reached nlopt:maxeval-reached nlopt:maxtime-reached

Misc

(nlopt:algorithm-name algorithm)

Produce the name of the algorithm provided as a string.

License

Copyright 2012 Purdue University. All rights reserved. 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 (at your option) any later version. This program 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 General Public License for more details. You should have received a copy of the GNU General Public License along with this program. If not, see http://www.gnu.org/licenses.