Add support for perIteration callback (fix #2)

CMakeLists.txt

@@ -38,6 +38,8 @@ IF(HAS_VISIBILITY)
 ENDIF()
 
 # Search for dependencies.
+SET(BOOST_COMPONENTS
+  date_time filesystem system thread program_options unit_test_framework)
 SEARCH_FOR_BOOST()
 
 # Search for Ipopt.

include/roboptim/core/plugin/nag/nag-differentiable.hh

@@ -50,6 +50,17 @@ namespace roboptim
     /// \brief Solve the problem.
     void solve () throw ();
 
+    void
+    setIterationCallback (callback_t callback) throw (std::runtime_error)
+    {
+      callback_ = callback;
+    }
+
+    const callback_t& callback () const throw ()
+    {
+      return callback_;
+    }
+
   private:
     /// \brief Relative accuracy.
     double e1_;
@@ -65,6 +76,9 @@ namespace roboptim
     Function::vector_t f_;
     /// \brief Current gradient.
     Function::vector_t g_;
+
+    /// \brief Per-iteration callback function.
+    callback_t callback_;
   };
 
   /// @}

include/roboptim/core/plugin/nag/nag-nlp-sparse.hh

@@ -67,6 +67,16 @@ namespace roboptim
   /// \brief Solve the problem.
   void solve () throw ();
 
+  void
+  setIterationCallback (callback_t callback) throw (std::runtime_error)
+  {
+    callback_ = callback;
+  }
+
+  const callback_t& callback () const throw ()
+  {
+    return callback_;
+  }
 private:
   void compute_nf ();
   void fill_xlow_xupp ();
@@ -121,6 +131,8 @@ private:
 
   Integer ninf_;
   double sinf_;
+
+  callback_t callback_;
 };
 
 /// @}

include/roboptim/core/plugin/nag/nag-nlp.hh

@@ -58,6 +58,16 @@ namespace roboptim
     /// \brief Solve the problem.
     void solve () throw ();
 
+    void
+    setIterationCallback (callback_t callback) throw (std::runtime_error)
+    {
+      callback_ = callback;
+    }
+
+    const callback_t& callback () const throw ()
+    {
+      return callback_;
+    }
   private:
     Integer n_;
     Integer nclin_;
@@ -78,6 +88,8 @@ namespace roboptim
     Function::vector_t grad_;
     TwiceDifferentiableFunction::hessian_t h_;
     Function::vector_t x_;
+
+    callback_t callback_;
   };
 
   /// @}

include/roboptim/core/plugin/nag/nag-simplex.hh

@@ -68,6 +68,17 @@ namespace roboptim
       /// \brief Solve the problem.
       void solve () throw ();
 
+
+      void
+      setIterationCallback (callback_t callback) throw (std::runtime_error)
+      {
+	callback_ = callback;
+      }
+
+      const callback_t& callback () const throw ()
+      {
+	return callback_;
+      }
     private:
       /// \brief Lower bound.
       std::vector<double> a_;
@@ -79,6 +90,9 @@ namespace roboptim
       Function::vector_t f_;
       /// \brief Current gradient.
       Function::vector_t g_;
+
+      /// \brief Per-iteration callback function.
+      callback_t callback_;
     };
 
     /// @}

src/nag-differentiable.cc

@@ -58,6 +58,11 @@ namespace roboptim
 
       gc_.setZero ();
       gc_ = solver->problem ().function ().gradient (x_, 0);
+
+      if (!solver->callback ())
+	return;
+      DifferentiableFunction::vector_t xCb = x_;
+      solver->callback () (xCb, solver->problem ());
     }
   } // end of namespace detail
 

src/nag-nlp-sparse.cc

@@ -194,6 +194,11 @@ namespace roboptim
 	    }
 	  assert (offset == leng);
 	}
+
+      if (!solver->callback ())
+	return;
+      DifferentiableFunction::vector_t xCb = x_;
+      solver->callback () (xCb, solver->problem ());
     }
   } // end of namespace detail
 

src/nag-nlp.cc

@@ -116,6 +116,11 @@ namespace roboptim
 
       if (*mode == 1 || *mode == 2) // evaluate objective gradient
 	grad_ = solver->problem ().function ().gradient (x_, 0);
+
+      if (!solver->callback ())
+	return;
+      DifferentiableFunction::vector_t xCb = x_;
+      solver->callback () (xCb, solver->problem ());
     }
   } // end of namespace detail
 
@@ -136,7 +141,8 @@ namespace roboptim
       clamda_ (),
       grad_ (),
       h_ (),
-      x_ (pb.function ().inputSize ())
+      x_ (pb.function ().inputSize ()),
+      callback_ ()
   {
     objf_[0] = 0.;
   }

src/nag-simplex.cc

@@ -57,6 +57,11 @@ namespace roboptim
 
 	fc_.setZero ();
 	fc_ = solver->problem ().function () (x_);
+
+	if (!solver->callback ())
+	  return;
+	Function::vector_t xCb = x_;
+	solver->callback () (xCb, solver->problem ());
       }
 
       static void