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optimization.h
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optimization.h
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/*************************************************************************
ALGLIB 3.11.0 (source code generated 2017-05-11)
Copyright (c) Sergey Bochkanov (ALGLIB project).
>>> SOURCE LICENSE >>>
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 (www.fsf.org); either version 2 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.
A copy of the GNU General Public License is available at
http://www.fsf.org/licensing/licenses
>>> END OF LICENSE >>>
*************************************************************************/
#ifndef _optimization_pkg_h
#define _optimization_pkg_h
#include "ap.h"
#include "alglibinternal.h"
#include "alglibmisc.h"
#include "linalg.h"
#include "solvers.h"
/////////////////////////////////////////////////////////////////////////
//
// THIS SECTION CONTAINS COMPUTATIONAL CORE DECLARATIONS (DATATYPES)
//
/////////////////////////////////////////////////////////////////////////
namespace alglib_impl
{
typedef struct
{
ae_int_t n;
ae_int_t k;
double alpha;
double tau;
double theta;
ae_matrix a;
ae_matrix q;
ae_vector b;
ae_vector r;
ae_vector xc;
ae_vector d;
ae_vector activeset;
ae_matrix tq2dense;
ae_matrix tk2;
ae_vector tq2diag;
ae_vector tq1;
ae_vector tk1;
double tq0;
double tk0;
ae_vector txc;
ae_vector tb;
ae_int_t nfree;
ae_int_t ecakind;
ae_matrix ecadense;
ae_matrix eq;
ae_matrix eccm;
ae_vector ecadiag;
ae_vector eb;
double ec;
ae_vector tmp0;
ae_vector tmp1;
ae_vector tmpg;
ae_matrix tmp2;
ae_bool ismaintermchanged;
ae_bool issecondarytermchanged;
ae_bool islineartermchanged;
ae_bool isactivesetchanged;
} convexquadraticmodel;
typedef struct
{
ae_vector norms;
ae_vector alpha;
ae_vector rho;
ae_matrix yk;
ae_vector idx;
ae_vector bufa;
ae_vector bufb;
} precbuflbfgs;
typedef struct
{
ae_int_t n;
ae_int_t k;
ae_vector d;
ae_matrix v;
ae_vector bufc;
ae_matrix bufz;
ae_matrix bufw;
ae_vector tmp;
} precbuflowrank;
typedef struct
{
ae_int_t ns;
ae_int_t nd;
ae_int_t nr;
ae_matrix densea;
ae_vector b;
ae_vector nnc;
double debugflops;
ae_int_t debugmaxinnerits;
ae_vector xn;
ae_vector xp;
ae_matrix tmpca;
ae_matrix tmplq;
ae_matrix trda;
ae_vector trdd;
ae_vector crb;
ae_vector g;
ae_vector d;
ae_vector dx;
ae_vector diagaa;
ae_vector cb;
ae_vector cx;
ae_vector cborg;
ae_vector tmpcholesky;
ae_vector r;
ae_vector regdiag;
ae_vector tmp0;
ae_vector tmp1;
ae_vector tmp2;
ae_vector rdtmprowmap;
} snnlssolver;
typedef struct
{
ae_int_t n;
ae_int_t algostate;
ae_vector xc;
ae_bool hasxc;
ae_vector s;
ae_vector h;
ae_vector activeset;
ae_bool basisisready;
ae_matrix sbasis;
ae_matrix pbasis;
ae_matrix ibasis;
ae_int_t basissize;
ae_bool feasinitpt;
ae_bool constraintschanged;
ae_vector hasbndl;
ae_vector hasbndu;
ae_vector bndl;
ae_vector bndu;
ae_matrix cleic;
ae_int_t nec;
ae_int_t nic;
ae_vector mtx;
ae_vector mtas;
ae_vector cdtmp;
ae_vector corrtmp;
ae_vector unitdiagonal;
snnlssolver solver;
ae_vector scntmp;
ae_vector tmp0;
ae_vector tmpfeas;
ae_matrix tmpm0;
ae_vector rctmps;
ae_vector rctmpg;
ae_vector rctmprightpart;
ae_matrix rctmpdense0;
ae_matrix rctmpdense1;
ae_vector rctmpisequality;
ae_vector rctmpconstraintidx;
ae_vector rctmplambdas;
ae_matrix tmpbasis;
} sactiveset;
typedef struct
{
double epsg;
double epsf;
double epsx;
ae_int_t maxouterits;
ae_bool cgphase;
ae_bool cnphase;
ae_int_t cgminits;
ae_int_t cgmaxits;
ae_int_t cnmaxupdates;
ae_int_t sparsesolver;
} qqpsettings;
typedef struct
{
ae_int_t n;
ae_int_t nmain;
ae_int_t nslack;
ae_int_t nec;
ae_int_t nic;
ae_int_t akind;
ae_matrix densea;
sparsematrix sparsea;
ae_bool sparseupper;
double absamax;
double absasum;
double absasum2;
ae_vector b;
ae_vector bndl;
ae_vector bndu;
ae_vector havebndl;
ae_vector havebndu;
ae_matrix cleic;
ae_vector xs;
ae_vector xf;
ae_vector gc;
ae_vector xp;
ae_vector dc;
ae_vector dp;
ae_vector cgc;
ae_vector cgp;
sactiveset sas;
ae_vector activated;
ae_int_t nfree;
ae_int_t cnmodelage;
ae_matrix densez;
sparsematrix sparsecca;
ae_vector yidx;
ae_vector regdiag;
ae_vector regx0;
ae_vector tmpcn;
ae_vector tmpcni;
ae_vector tmpcnb;
ae_vector tmp0;
ae_vector stpbuf;
sparsebuffers sbuf;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repncholesky;
ae_int_t repncupdates;
} qqpbuffers;
typedef struct
{
ae_int_t n;
ae_int_t m;
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
ae_bool xrep;
double stpmax;
ae_vector s;
double diffstep;
ae_int_t nfev;
ae_int_t mcstage;
ae_int_t k;
ae_int_t q;
ae_int_t p;
ae_vector rho;
ae_matrix yk;
ae_matrix sk;
ae_vector xp;
ae_vector theta;
ae_vector d;
double stp;
ae_vector work;
double fold;
double trimthreshold;
ae_int_t prectype;
double gammak;
ae_matrix denseh;
ae_vector diagh;
ae_vector precc;
ae_vector precd;
ae_matrix precw;
ae_int_t preck;
precbuflbfgs precbuf;
precbuflowrank lowrankbuf;
double fbase;
double fm2;
double fm1;
double fp1;
double fp2;
ae_vector autobuf;
ae_vector x;
double f;
ae_vector g;
ae_bool needf;
ae_bool needfg;
ae_bool xupdated;
ae_bool userterminationneeded;
double teststep;
rcommstate rstate;
ae_int_t repiterationscount;
ae_int_t repnfev;
ae_int_t repvaridx;
ae_int_t repterminationtype;
linminstate lstate;
} minlbfgsstate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
ae_int_t varidx;
ae_int_t terminationtype;
} minlbfgsreport;
typedef struct
{
double epsx;
ae_int_t outerits;
double rho;
} qpdenseaulsettings;
typedef struct
{
ae_vector nulc;
ae_matrix sclsfta;
ae_vector sclsftb;
ae_vector sclsfthasbndl;
ae_vector sclsfthasbndu;
ae_vector sclsftbndl;
ae_vector sclsftbndu;
ae_vector sclsftxc;
ae_matrix sclsftcleic;
ae_matrix exa;
ae_vector exb;
ae_vector exxc;
ae_vector exxn;
ae_vector exbndl;
ae_vector exbndu;
ae_vector exscale;
ae_vector exxorigin;
qqpsettings qqpsettingsuser;
qqpbuffers qqpbuf;
ae_vector nulcest;
ae_vector tmp0;
ae_matrix tmp2;
ae_vector modelg;
ae_vector d;
ae_vector deltax;
convexquadraticmodel dummycqm;
sparsematrix dummysparse;
ae_matrix qrkkt;
ae_vector qrrightpart;
ae_vector qrtau;
ae_vector qrsv0;
ae_vector qrsvx1;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repncholesky;
ae_int_t repnmv;
} qpdenseaulbuffers;
typedef struct
{
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
} qpcholeskysettings;
typedef struct
{
sactiveset sas;
ae_vector pg;
ae_vector gc;
ae_vector xs;
ae_vector xn;
ae_vector workbndl;
ae_vector workbndu;
ae_vector havebndl;
ae_vector havebndu;
ae_matrix workcleic;
ae_vector rctmpg;
ae_vector tmp0;
ae_vector tmp1;
ae_vector tmpb;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repncholesky;
} qpcholeskybuffers;
typedef struct
{
ae_int_t n;
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
double stpmax;
double suggestedstep;
ae_bool xrep;
ae_bool drep;
ae_int_t cgtype;
ae_int_t prectype;
ae_vector diagh;
ae_vector diaghl2;
ae_matrix vcorr;
ae_int_t vcnt;
ae_vector s;
double diffstep;
ae_int_t nfev;
ae_int_t mcstage;
ae_int_t k;
ae_vector xk;
ae_vector dk;
ae_vector xn;
ae_vector dn;
ae_vector d;
double fold;
double stp;
double curstpmax;
ae_vector yk;
double lastgoodstep;
double lastscaledstep;
ae_int_t mcinfo;
ae_bool innerresetneeded;
ae_bool terminationneeded;
double trimthreshold;
ae_int_t rstimer;
ae_vector x;
double f;
ae_vector g;
ae_bool needf;
ae_bool needfg;
ae_bool xupdated;
ae_bool algpowerup;
ae_bool lsstart;
ae_bool lsend;
ae_bool userterminationneeded;
double teststep;
rcommstate rstate;
ae_int_t repiterationscount;
ae_int_t repnfev;
ae_int_t repvaridx;
ae_int_t repterminationtype;
ae_int_t debugrestartscount;
linminstate lstate;
double fbase;
double fm2;
double fm1;
double fp1;
double fp2;
double betahs;
double betady;
ae_vector work0;
ae_vector work1;
} mincgstate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
ae_int_t varidx;
ae_int_t terminationtype;
} mincgreport;
typedef struct
{
ae_int_t nmain;
ae_int_t nslack;
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
ae_bool xrep;
ae_bool drep;
double stpmax;
double diffstep;
sactiveset sas;
ae_vector s;
ae_int_t prectype;
ae_vector diagh;
ae_vector x;
double f;
ae_vector g;
ae_bool needf;
ae_bool needfg;
ae_bool xupdated;
ae_bool lsstart;
ae_bool steepestdescentstep;
ae_bool boundedstep;
ae_bool userterminationneeded;
double teststep;
rcommstate rstate;
ae_vector ugc;
ae_vector cgc;
ae_vector xn;
ae_vector ugn;
ae_vector cgn;
ae_vector xp;
double fc;
double fn;
double fp;
ae_vector d;
ae_matrix cleic;
ae_int_t nec;
ae_int_t nic;
double lastgoodstep;
double lastscaledgoodstep;
double maxscaledgrad;
ae_vector hasbndl;
ae_vector hasbndu;
ae_vector bndl;
ae_vector bndu;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repnfev;
ae_int_t repvaridx;
ae_int_t repterminationtype;
double repdebugeqerr;
double repdebugfs;
double repdebugff;
double repdebugdx;
ae_int_t repdebugfeasqpits;
ae_int_t repdebugfeasgpaits;
ae_vector xstart;
snnlssolver solver;
double fbase;
double fm2;
double fm1;
double fp1;
double fp2;
double xm1;
double xp1;
double gm1;
double gp1;
ae_int_t cidx;
double cval;
ae_vector tmpprec;
ae_vector tmp0;
ae_int_t nfev;
ae_int_t mcstage;
double stp;
double curstpmax;
double activationstep;
ae_vector work;
linminstate lstate;
double trimthreshold;
ae_int_t nonmonotoniccnt;
ae_matrix bufyk;
ae_matrix bufsk;
ae_vector bufrho;
ae_vector buftheta;
ae_int_t bufsize;
} minbleicstate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
ae_int_t varidx;
ae_int_t terminationtype;
double debugeqerr;
double debugfs;
double debugff;
double debugdx;
ae_int_t debugfeasqpits;
ae_int_t debugfeasgpaits;
ae_int_t inneriterationscount;
ae_int_t outeriterationscount;
} minbleicreport;
typedef struct
{
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
} qpbleicsettings;
typedef struct
{
minbleicstate solver;
minbleicreport solverrep;
ae_vector tmp0;
ae_vector tmp1;
ae_vector tmpi;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
} qpbleicbuffers;
typedef struct
{
ae_int_t n;
qqpsettings qqpsettingsuser;
qpbleicsettings qpbleicsettingsuser;
qpdenseaulsettings qpdenseaulsettingsuser;
ae_bool dbgskipconstraintnormalization;
ae_int_t algokind;
ae_int_t akind;
convexquadraticmodel a;
sparsematrix sparsea;
ae_bool sparseaupper;
double absamax;
double absasum;
double absasum2;
ae_vector b;
ae_vector bndl;
ae_vector bndu;
ae_vector s;
ae_vector havebndl;
ae_vector havebndu;
ae_vector xorigin;
ae_vector startx;
ae_bool havex;
ae_matrix cleic;
ae_int_t nec;
ae_int_t nic;
sparsematrix scleic;
ae_int_t snec;
ae_int_t snic;
ae_vector xs;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repncholesky;
ae_int_t repnmv;
ae_int_t repterminationtype;
ae_vector tmp0;
ae_matrix ecleic;
ae_matrix dummyr2;
ae_bool qpbleicfirstcall;
qpbleicbuffers qpbleicbuf;
qqpbuffers qqpbuf;
qpdenseaulbuffers qpdenseaulbuf;
qpcholeskybuffers qpcholeskybuf;
} minqpstate;
typedef struct
{
ae_int_t inneriterationscount;
ae_int_t outeriterationscount;
ae_int_t nmv;
ae_int_t ncholesky;
ae_int_t terminationtype;
} minqpreport;
typedef struct
{
double stabilizingpoint;
double initialinequalitymultiplier;
ae_int_t solvertype;
ae_int_t prectype;
ae_int_t updatefreq;
double rho;
ae_int_t n;
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
ae_int_t aulitscnt;
ae_bool xrep;
double stpmax;
double diffstep;
double teststep;
ae_vector s;
ae_vector bndl;
ae_vector bndu;
ae_vector hasbndl;
ae_vector hasbndu;
ae_int_t nec;
ae_int_t nic;
ae_matrix cleic;
ae_int_t ng;
ae_int_t nh;
ae_vector x;
double f;
ae_vector fi;
ae_matrix j;
ae_bool needfij;
ae_bool needfi;
ae_bool xupdated;
rcommstate rstate;
rcommstate rstateaul;
ae_vector scaledbndl;
ae_vector scaledbndu;
ae_matrix scaledcleic;
ae_vector xc;
ae_vector xstart;
ae_vector xbase;
ae_vector fbase;
ae_vector dfbase;
ae_vector fm2;
ae_vector fm1;
ae_vector fp1;
ae_vector fp2;
ae_vector dfm1;
ae_vector dfp1;
ae_vector bufd;
ae_vector bufc;
ae_vector tmp0;
ae_matrix bufw;
ae_matrix bufz;
ae_vector xk;
ae_vector xk1;
ae_vector gk;
ae_vector gk1;
double gammak;
ae_bool xkpresent;
minlbfgsstate auloptimizer;
minlbfgsreport aulreport;
ae_vector nubc;
ae_vector nulc;
ae_vector nunlc;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repnfev;
ae_int_t repvaridx;
ae_int_t repfuncidx;
ae_int_t repterminationtype;
ae_int_t repdbgphase0its;
} minnlcstate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
ae_int_t varidx;
ae_int_t funcidx;
ae_int_t terminationtype;
ae_int_t dbgphase0its;
} minnlcreport;
typedef struct
{
ae_int_t nmain;
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
ae_bool xrep;
double stpmax;
double diffstep;
ae_vector s;
ae_int_t prectype;
ae_vector diagh;
ae_vector x;
double f;
ae_vector g;
ae_bool needf;
ae_bool needfg;
ae_bool xupdated;
ae_bool userterminationneeded;
double teststep;
rcommstate rstate;
ae_vector xc;
ae_vector ugc;
ae_vector cgc;
ae_vector xn;
ae_vector ugn;
ae_vector cgn;
ae_vector xp;
double fc;
double fn;
double fp;
ae_vector d;
double lastscaledgoodstep;
ae_vector hasbndl;
ae_vector hasbndu;
ae_vector bndl;
ae_vector bndu;
ae_int_t repiterationscount;
ae_int_t repnfev;
ae_int_t repvaridx;
ae_int_t repterminationtype;
ae_vector xstart;
snnlssolver solver;
double fbase;
double fm2;
double fm1;
double fp1;
double fp2;
double xm1;
double xp1;
double gm1;
double gp1;
ae_vector tmpprec;
ae_vector tmp0;
ae_int_t nfev;
ae_int_t mcstage;
double stp;
double curstpmax;
ae_vector work;
linminstate lstate;
double trimthreshold;
ae_int_t nonmonotoniccnt;
ae_matrix bufyk;
ae_matrix bufsk;
ae_vector bufrho;
ae_vector buftheta;
ae_int_t bufsize;
} minbcstate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
ae_int_t varidx;
ae_int_t terminationtype;
} minbcreport;
typedef struct
{
double fc;
double fn;
ae_vector xc;
ae_vector xn;
ae_vector x0;
ae_vector gc;
ae_vector d;
ae_matrix uh;
ae_matrix ch;
ae_matrix rk;
ae_vector invutc;
ae_vector tmp0;
ae_vector tmpidx;
ae_vector tmpd;
ae_vector tmpc;
ae_vector tmplambdas;
ae_matrix tmpc2;
ae_vector tmpb;
snnlssolver nnls;
} minnsqp;
typedef struct
{
ae_int_t solvertype;
ae_int_t n;
double epsx;
ae_int_t maxits;
ae_bool xrep;
double diffstep;
ae_vector s;
ae_vector bndl;
ae_vector bndu;
ae_vector hasbndl;
ae_vector hasbndu;
ae_int_t nec;
ae_int_t nic;
ae_matrix cleic;
ae_int_t ng;
ae_int_t nh;
ae_vector x;
double f;
ae_vector fi;
ae_matrix j;
ae_bool needfij;
ae_bool needfi;
ae_bool xupdated;
rcommstate rstate;
rcommstate rstateags;
hqrndstate agsrs;
double agsradius;
ae_int_t agssamplesize;
double agsraddecay;
double agsalphadecay;
double agsdecrease;
double agsinitstp;
double agsstattold;
double agsshortstpabs;
double agsshortstprel;
double agsshortf;
ae_int_t agsshortlimit;
double agsrhononlinear;
ae_int_t agsminupdate;
ae_int_t agsmaxraddecays;
ae_int_t agsmaxbacktrack;
ae_int_t agsmaxbacktracknonfull;
double agspenaltylevel;
double agspenaltyincrease;
ae_vector xstart;
ae_vector xc;
ae_vector xn;
ae_vector grs;
ae_vector d;
ae_vector colmax;
ae_vector diagh;
ae_vector signmin;
ae_vector signmax;
ae_bool userterminationneeded;
ae_vector scaledbndl;
ae_vector scaledbndu;
ae_matrix scaledcleic;
ae_vector rholinear;
ae_matrix samplex;
ae_matrix samplegm;
ae_matrix samplegmbc;
ae_vector samplef;
ae_vector samplef0;
minnsqp nsqp;
ae_vector tmp0;
ae_vector tmp1;
ae_matrix tmp2;
ae_vector tmp3;
ae_vector xbase;
ae_vector fp;
ae_vector fm;
ae_int_t repinneriterationscount;
ae_int_t repouteriterationscount;
ae_int_t repnfev;
ae_int_t repvaridx;
ae_int_t repfuncidx;
ae_int_t repterminationtype;
double replcerr;
double repnlcerr;
ae_int_t dbgncholesky;
} minnsstate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
double cerr;
double lcerr;
double nlcerr;
ae_int_t terminationtype;
ae_int_t varidx;
ae_int_t funcidx;
} minnsreport;
typedef struct
{
ae_int_t n;
double epsg;
double epsf;
double epsx;
ae_int_t maxits;
ae_bool xrep;
double stpmax;
ae_int_t cgtype;
ae_int_t k;
ae_int_t nfev;
ae_int_t mcstage;
ae_vector bndl;
ae_vector bndu;
ae_int_t curalgo;
ae_int_t acount;
double mu;
double finit;
double dginit;
ae_vector ak;
ae_vector xk;
ae_vector dk;
ae_vector an;
ae_vector xn;
ae_vector dn;
ae_vector d;
double fold;
double stp;
ae_vector work;
ae_vector yk;
ae_vector gc;
double laststep;
ae_vector x;
double f;
ae_vector g;
ae_bool needfg;
ae_bool xupdated;
rcommstate rstate;
ae_int_t repiterationscount;
ae_int_t repnfev;
ae_int_t repterminationtype;
ae_int_t debugrestartscount;
linminstate lstate;
double betahs;
double betady;
} minasastate;
typedef struct
{
ae_int_t iterationscount;
ae_int_t nfev;
ae_int_t terminationtype;
ae_int_t activeconstraints;
} minasareport;
typedef struct
{
ae_int_t n;
ae_int_t m;
double stpmax;
ae_int_t modelage;
ae_int_t maxmodelage;
ae_bool hasfi;
double epsx;
ae_vector x;
double f;
ae_vector fi;
ae_bool needf;
ae_bool needfi;
double fbase;
ae_vector modeldiag;
ae_vector xbase;
ae_vector fibase;
ae_vector bndl;
ae_vector bndu;
ae_vector havebndl;
ae_vector havebndu;
ae_vector s;
rcommstate rstate;
ae_vector xdir;
ae_vector choleskybuf;
ae_vector tmp0;
ae_vector tmpct;
double actualdecrease;
double predicteddecrease;
minqpstate qpstate;
minqpreport qprep;
sparsematrix tmpsp;
} minlmstepfinder;
typedef struct
{
ae_int_t n;
ae_int_t m;
double diffstep;
double epsx;
ae_int_t maxits;
ae_bool xrep;
double stpmax;
ae_int_t maxmodelage;
ae_bool makeadditers;
ae_vector x;
double f;
ae_vector fi;
ae_matrix j;
ae_matrix h;
ae_vector g;
ae_bool needf;
ae_bool needfg;
ae_bool needfgh;
ae_bool needfij;