nlopt.h

/* Copyright (c) 2007-2014 Massachusetts Institute of Technology
 *
 * Permission is hereby granted, free of charge, to any person obtaining
 * a copy of this software and associated documentation files (the
 * "Software"), to deal in the Software without restriction, including
 * without limitation the rights to use, copy, modify, merge, publish,
 * distribute, sublicense, and/or sell copies of the Software, and to
 * permit persons to whom the Software is furnished to do so, subject to
 * the following conditions:
 * 
 * The above copyright notice and this permission notice shall be
 * included in all copies or substantial portions of the Software.
 * 
 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
 * EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
 * MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
 * NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
 * LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
 * OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
 * WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. 
 */

#ifndef NLOPT_H
#define NLOPT_H

#include <stddef.h> /* for ptrdiff_t and size_t */

/* Change 0 to 1 to use stdcall convention under Win32 */
#if 0 && (defined(_WIN32) || defined(__WIN32__))
#  if defined(__GNUC__)
#    define NLOPT_STDCALL __attribute__((stdcall))
#  elif defined(_MSC_VER) || defined(_ICC) || defined(_STDCALL_SUPPORTED)
#    define NLOPT_STDCALL __stdcall
#  else
#    define NLOPT_STDCALL
#  endif
#else
#  define NLOPT_STDCALL
#endif

/* for Windows compilers, you should add a line
           #define NLOPT_DLL
   when using NLopt from a DLL, in order to do the proper
   Windows importing nonsense. */
#if defined(NLOPT_DLL) && (defined(_WIN32) || defined(__WIN32__)) && !defined(__LCC__)
/* annoying Windows syntax for calling functions in a DLL */
#  if defined(NLOPT_DLL_EXPORT)
#    define NLOPT_EXTERN(T) extern __declspec(dllexport) T NLOPT_STDCALL
#  else
#    define NLOPT_EXTERN(T) extern __declspec(dllimport) T NLOPT_STDCALL
#  endif
#else
#  define NLOPT_EXTERN(T) extern T NLOPT_STDCALL
#endif

#ifdef __cplusplus
extern "C"
{
#endif /* __cplusplus */

typedef double (*nlopt_func)(unsigned n, const double *x,
			     double *gradient, /* NULL if not needed */
			     void *func_data);

typedef void (*nlopt_mfunc)(unsigned m, double *result,
			    unsigned n, const double *x,
			     double *gradient, /* NULL if not needed */
			     void *func_data);

/* A preconditioner, which preconditions v at x to return vpre. 
   (The meaning of "preconditioning" is algorithm-dependent.) */
typedef void (*nlopt_precond)(unsigned n, const double *x, const double *v,
			      double *vpre, void *data);

typedef enum {
     /* Naming conventions:

        NLOPT_{G/L}{D/N}_* 
	    = global/local derivative/no-derivative optimization, 
              respectively 
 
	*_RAND algorithms involve some randomization.

	*_NOSCAL algorithms are *not* scaled to a unit hypercube
	         (i.e. they are sensitive to the units of x)
	*/

     NLOPT_GN_DIRECT = 0,
     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,

     /* new variants that require local_optimizer to be set,
	not with older constants for backwards compatibility */
     NLOPT_AUGLAG,
     NLOPT_AUGLAG_EQ,
     NLOPT_G_MLSL,
     NLOPT_G_MLSL_LDS,

     NLOPT_LD_SLSQP,

     NLOPT_LD_CCSAQ,

     NLOPT_GN_ESCH,

     NLOPT_NUM_ALGORITHMS /* not an algorithm, just the number of them */
} nlopt_algorithm;

NLOPT_EXTERN(const char *) nlopt_algorithm_name(nlopt_algorithm a);

typedef enum {
     NLOPT_FAILURE = -1, /* generic failure code */
     NLOPT_INVALID_ARGS = -2,
     NLOPT_OUT_OF_MEMORY = -3,
     NLOPT_ROUNDOFF_LIMITED = -4,
     NLOPT_FORCED_STOP = -5,
     NLOPT_SUCCESS = 1, /* generic success code */
     NLOPT_STOPVAL_REACHED = 2,
     NLOPT_FTOL_REACHED = 3,
     NLOPT_XTOL_REACHED = 4,
     NLOPT_MAXEVAL_REACHED = 5,
     NLOPT_MAXTIME_REACHED = 6
} nlopt_result;

#define NLOPT_MINF_MAX_REACHED NLOPT_STOPVAL_REACHED

NLOPT_EXTERN(void) nlopt_srand(unsigned long seed);
NLOPT_EXTERN(void) nlopt_srand_time(void);

NLOPT_EXTERN(void) nlopt_version(int *major, int *minor, int *bugfix);

/*************************** OBJECT-ORIENTED API **************************/
/* The style here is that we create an nlopt_opt "object" (an opaque pointer),
   then set various optimization parameters, and then execute the
   algorithm.  In this way, we can add more and more optimization parameters
   (including algorithm-specific ones) without breaking backwards
   compatibility, having functions with zillions of parameters, or
   relying non-reentrantly on global variables.*/

struct nlopt_opt_s; /* opaque structure, defined internally */
typedef struct nlopt_opt_s *nlopt_opt;

/* the only immutable parameters of an optimization are the algorithm and
   the dimension n of the problem, since changing either of these could
   have side-effects on lots of other parameters */
NLOPT_EXTERN(nlopt_opt) nlopt_create(nlopt_algorithm algorithm, unsigned n);
NLOPT_EXTERN(void) nlopt_destroy(nlopt_opt opt);
NLOPT_EXTERN(nlopt_opt) nlopt_copy(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_optimize(nlopt_opt opt, double *x,
					 double *opt_f);

NLOPT_EXTERN(nlopt_result) nlopt_set_min_objective(nlopt_opt opt, nlopt_func f, 
						  void *f_data);
NLOPT_EXTERN(nlopt_result) nlopt_set_max_objective(nlopt_opt opt, nlopt_func f, 
						  void *f_data);

NLOPT_EXTERN(nlopt_result) nlopt_set_precond_min_objective(nlopt_opt opt, nlopt_func f, nlopt_precond pre, void *f_data);
NLOPT_EXTERN(nlopt_result) nlopt_set_precond_max_objective(nlopt_opt opt, nlopt_func f, nlopt_precond pre, void *f_data);

NLOPT_EXTERN(nlopt_algorithm) nlopt_get_algorithm(const nlopt_opt opt);
NLOPT_EXTERN(unsigned) nlopt_get_dimension(const nlopt_opt opt);

/* constraints: */

NLOPT_EXTERN(nlopt_result) nlopt_set_lower_bounds(nlopt_opt opt, 
						 const double *lb);
NLOPT_EXTERN(nlopt_result) nlopt_set_lower_bounds1(nlopt_opt opt, double lb);
NLOPT_EXTERN(nlopt_result) nlopt_get_lower_bounds(const nlopt_opt opt, 
						 double *lb);
NLOPT_EXTERN(nlopt_result) nlopt_set_upper_bounds(nlopt_opt opt, 
						 const double *ub);
NLOPT_EXTERN(nlopt_result) nlopt_set_upper_bounds1(nlopt_opt opt, double ub);
NLOPT_EXTERN(nlopt_result) nlopt_get_upper_bounds(const nlopt_opt opt,
						 double *ub);

NLOPT_EXTERN(nlopt_result) nlopt_remove_inequality_constraints(nlopt_opt opt);
NLOPT_EXTERN(nlopt_result) nlopt_add_inequality_constraint(nlopt_opt opt,
							  nlopt_func fc,
							  void *fc_data,
							  double tol);
NLOPT_EXTERN(nlopt_result) nlopt_add_precond_inequality_constraint(
     nlopt_opt opt, nlopt_func fc, nlopt_precond pre, void *fc_data,
     double tol);
NLOPT_EXTERN(nlopt_result) nlopt_add_inequality_mconstraint(nlopt_opt opt,
							    unsigned m,
							    nlopt_mfunc fc,
							    void *fc_data,
							    const double *tol);

NLOPT_EXTERN(nlopt_result) nlopt_remove_equality_constraints(nlopt_opt opt);
NLOPT_EXTERN(nlopt_result) nlopt_add_equality_constraint(nlopt_opt opt,
							nlopt_func h,
							void *h_data,
							double tol);
NLOPT_EXTERN(nlopt_result) nlopt_add_precond_equality_constraint(
     nlopt_opt opt, nlopt_func h, nlopt_precond pre, void *h_data,
     double tol);
NLOPT_EXTERN(nlopt_result) nlopt_add_equality_mconstraint(nlopt_opt opt,
							  unsigned m,
							  nlopt_mfunc h,
							  void *h_data,
							  const double *tol);

/* stopping criteria: */

NLOPT_EXTERN(nlopt_result) nlopt_set_stopval(nlopt_opt opt, double stopval);
NLOPT_EXTERN(double) nlopt_get_stopval(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_set_ftol_rel(nlopt_opt opt, double tol);
NLOPT_EXTERN(double) nlopt_get_ftol_rel(const nlopt_opt opt);
NLOPT_EXTERN(nlopt_result) nlopt_set_ftol_abs(nlopt_opt opt, double tol);
NLOPT_EXTERN(double) nlopt_get_ftol_abs(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_set_xtol_rel(nlopt_opt opt, double tol);
NLOPT_EXTERN(double) nlopt_get_xtol_rel(const nlopt_opt opt);
NLOPT_EXTERN(nlopt_result) nlopt_set_xtol_abs1(nlopt_opt opt, double tol);
NLOPT_EXTERN(nlopt_result) nlopt_set_xtol_abs(nlopt_opt opt, const double *tol);
NLOPT_EXTERN(nlopt_result) nlopt_get_xtol_abs(const nlopt_opt opt,
					     double *tol);

NLOPT_EXTERN(nlopt_result) nlopt_set_maxeval(nlopt_opt opt, int maxeval);
NLOPT_EXTERN(int) nlopt_get_maxeval(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_set_maxtime(nlopt_opt opt, double maxtime);
NLOPT_EXTERN(double) nlopt_get_maxtime(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_force_stop(nlopt_opt opt);
NLOPT_EXTERN(nlopt_result) nlopt_set_force_stop(nlopt_opt opt, int val);
NLOPT_EXTERN(int) nlopt_get_force_stop(const nlopt_opt opt);

/* more algorithm-specific parameters */

NLOPT_EXTERN(nlopt_result) nlopt_set_local_optimizer(nlopt_opt opt, 
						    const nlopt_opt local_opt);

NLOPT_EXTERN(nlopt_result) nlopt_set_population(nlopt_opt opt, unsigned pop);
NLOPT_EXTERN(unsigned) nlopt_get_population(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_set_vector_storage(nlopt_opt opt, unsigned dim);
NLOPT_EXTERN(unsigned) nlopt_get_vector_storage(const nlopt_opt opt);

NLOPT_EXTERN(nlopt_result) nlopt_set_default_initial_step(nlopt_opt opt, 
							 const double *x);
NLOPT_EXTERN(nlopt_result) nlopt_set_initial_step(nlopt_opt opt, 
						 const double *dx);
NLOPT_EXTERN(nlopt_result) nlopt_set_initial_step1(nlopt_opt opt, double dx);
NLOPT_EXTERN(nlopt_result) nlopt_get_initial_step(const nlopt_opt opt, 
						 const double *x, double *dx);

/* the following are functions mainly designed to be used internally
   by the Fortran and SWIG wrappers, allow us to tel nlopt_destroy and
   nlopt_copy to do something to the f_data pointers (e.g. free or
   duplicate them, respectively) */
typedef void* (*nlopt_munge)(void *p);
NLOPT_EXTERN(void) nlopt_set_munge(nlopt_opt opt,
				  nlopt_munge munge_on_destroy,
				  nlopt_munge munge_on_copy);
typedef void* (*nlopt_munge2)(void *p, void *data);
NLOPT_EXTERN(void) nlopt_munge_data(nlopt_opt opt,
                                    nlopt_munge2 munge, void *data);

/*************************** DEPRECATED API **************************/
/* The new "object-oriented" API is preferred, since it allows us to
   gracefully add new features and algorithm-specific options in a
   re-entrant way, and we can automatically assume reasonable defaults
   for unspecified parameters. */

/* Where possible (e.g. for gcc >= 3.1), enable a compiler warning
   for code that uses a deprecated function */
#if defined(__GNUC__) && (__GNUC__ > 3 || (__GNUC__==3 && __GNUC_MINOR__ > 0))
#  define NLOPT_DEPRECATED __attribute__((deprecated))
#else
#  define NLOPT_DEPRECATED 
#endif

typedef double (*nlopt_func_old)(int n, const double *x,
				 double *gradient, /* NULL if not needed */
				 void *func_data);

NLOPT_EXTERN(nlopt_result) nlopt_minimize(
     nlopt_algorithm algorithm,
     int n, nlopt_func_old f, void *f_data,
     const double *lb, const double *ub, /* bounds */
     double *x, /* in: initial guess, out: minimizer */
     double *minf, /* out: minimum */
     double minf_max, double ftol_rel, double ftol_abs,
     double xtol_rel, const double *xtol_abs,
     int maxeval, double maxtime) NLOPT_DEPRECATED;

NLOPT_EXTERN(nlopt_result) nlopt_minimize_constrained(
     nlopt_algorithm algorithm,
     int n, nlopt_func_old f, void *f_data,
     int m, nlopt_func_old fc, void *fc_data, ptrdiff_t fc_datum_size,
     const double *lb, const double *ub, /* bounds */
     double *x, /* in: initial guess, out: minimizer */
     double *minf, /* out: minimum */
     double minf_max, double ftol_rel, double ftol_abs,
     double xtol_rel, const double *xtol_abs,
     int maxeval, double maxtime) NLOPT_DEPRECATED;

NLOPT_EXTERN(nlopt_result) nlopt_minimize_econstrained(
     nlopt_algorithm algorithm,
     int n, nlopt_func_old f, void *f_data,
     int m, nlopt_func_old fc, void *fc_data, ptrdiff_t fc_datum_size,
     int p, nlopt_func_old h, void *h_data, ptrdiff_t h_datum_size,
     const double *lb, const double *ub, /* bounds */
     double *x, /* in: initial guess, out: minimizer */
     double *minf, /* out: minimum */
     double minf_max, double ftol_rel, double ftol_abs,
     double xtol_rel, const double *xtol_abs,
     double htol_rel, double htol_abs,
     int maxeval, double maxtime) NLOPT_DEPRECATED;

NLOPT_EXTERN(void) nlopt_get_local_search_algorithm(nlopt_algorithm *deriv,
					     nlopt_algorithm *nonderiv,
					     int *maxeval) NLOPT_DEPRECATED;
NLOPT_EXTERN(void) nlopt_set_local_search_algorithm(nlopt_algorithm deriv,
					     nlopt_algorithm nonderiv,
					     int maxeval) NLOPT_DEPRECATED;

NLOPT_EXTERN(int) nlopt_get_stochastic_population(void) NLOPT_DEPRECATED;
NLOPT_EXTERN(void) nlopt_set_stochastic_population(int pop) NLOPT_DEPRECATED;

/*********************************************************************/

#ifdef __cplusplus
}  /* extern "C" */
#endif /* __cplusplus */

#endif