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source: branches/2994-AutoDiffForIntervals/HeuristicLab.Problems.DataAnalysis.Regression.Symbolic.Extensions/NLOpt.cs @ 17204

Last change on this file since 17204 was 17204, checked in by gkronber, 5 years ago

#2994: added parameter for gradient checks and experimented with preconditioning

File size: 15.3 KB
Line 
1using System;
2using System.Runtime.InteropServices;
3
4namespace HeuristicLab.Problems.DataAnalysis.Symbolic.Regression {
5  public static class NLOpt {
6    public delegate double nlopt_func(uint n,
7                              [In] [MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 0)] double[] x, // double*
8                              [In][Out] [MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 0)] double[] gradient, /* double* NULL if not needed */
9                              IntPtr func_data);
10
11    public delegate IntPtr nlopt_mfunc(uint m,
12      [Out][MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 0)] double[] result,
13      uint n,
14      [In][MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 2)] double[] x,
15      ref double[] gradient, /* NULL if not needed */ // TODO: we need manual marshalling here (array is of length n*m) is stored in ∂c_i/∂x_j = grad[i*n + j]
16      IntPtr func_data);
17
18    /* A preconditioner, which preconditions v at x to return vpre.
19       (The meaning of "preconditioning" is algorithm-dependent.) */
20    public delegate void nlopt_precond(uint n,
21      [In] [MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 0)] double[] x,
22      [In] [MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 0)] double[] v,
23      [In][Out] [MarshalAs(UnmanagedType.LPArray, SizeParamIndex = 0)] double[] vpre,
24      IntPtr data);
25
26    public enum nlopt_algorithm {
27      /* Naming conventions:
28
29         NLOPT_{G/L}{D/N}_*
30         = global/local derivative/no-derivative optimization,
31         respectively
32
33         *_RAND algorithms involve some randomization.
34
35         *_NOSCAL algorithms are *not* scaled to a unit hypercube
36         (i.e. they are sensitive to the units of x)
37       */
38
39      NLOPT_GN_DIRECT = 0,
40      NLOPT_GN_DIRECT_L,
41      NLOPT_GN_DIRECT_L_RAND,
42      NLOPT_GN_DIRECT_NOSCAL,
43      NLOPT_GN_DIRECT_L_NOSCAL,
44      NLOPT_GN_DIRECT_L_RAND_NOSCAL,
45
46      NLOPT_GN_ORIG_DIRECT,
47      NLOPT_GN_ORIG_DIRECT_L,
48
49      NLOPT_GD_STOGO,
50      NLOPT_GD_STOGO_RAND,
51
52      NLOPT_LD_LBFGS_NOCEDAL,
53
54      NLOPT_LD_LBFGS,
55
56      NLOPT_LN_PRAXIS,
57
58      NLOPT_LD_VAR1,
59      NLOPT_LD_VAR2,
60
61      NLOPT_LD_TNEWTON,
62      NLOPT_LD_TNEWTON_RESTART,
63      NLOPT_LD_TNEWTON_PRECOND,
64      NLOPT_LD_TNEWTON_PRECOND_RESTART,
65
66      NLOPT_GN_CRS2_LM,
67
68      NLOPT_GN_MLSL,
69      NLOPT_GD_MLSL,
70      NLOPT_GN_MLSL_LDS,
71      NLOPT_GD_MLSL_LDS,
72
73      NLOPT_LD_MMA,
74
75      NLOPT_LN_COBYLA,
76
77      NLOPT_LN_NEWUOA,
78      NLOPT_LN_NEWUOA_BOUND,
79
80      NLOPT_LN_NELDERMEAD,
81      NLOPT_LN_SBPLX,
82
83      NLOPT_LN_AUGLAG,
84      NLOPT_LD_AUGLAG,
85      NLOPT_LN_AUGLAG_EQ,
86      NLOPT_LD_AUGLAG_EQ,
87
88      NLOPT_LN_BOBYQA,
89
90      NLOPT_GN_ISRES,
91
92      /* new variants that require local_optimizer to be set,
93         not with older constants for backwards compatibility */
94      NLOPT_AUGLAG,
95      NLOPT_AUGLAG_EQ,
96      NLOPT_G_MLSL,
97      NLOPT_G_MLSL_LDS,
98
99      NLOPT_LD_SLSQP,
100
101      NLOPT_LD_CCSAQ,
102
103      NLOPT_GN_ESCH,
104
105      NLOPT_GN_AGS,
106
107      NLOPT_NUM_ALGORITHMS        /* not an algorithm, just the number of them */
108    };
109
110    public enum nlopt_result {
111      NLOPT_FAILURE = -1,         /* generic failure code */
112      NLOPT_INVALID_ARGS = -2,
113      NLOPT_OUT_OF_MEMORY = -3,
114      NLOPT_ROUNDOFF_LIMITED = -4,
115      NLOPT_FORCED_STOP = -5,
116      NLOPT_SUCCESS = 1,          /* generic success code */
117      NLOPT_STOPVAL_REACHED = 2,
118      NLOPT_FTOL_REACHED = 3,
119      NLOPT_XTOL_REACHED = 4,
120      NLOPT_MAXEVAL_REACHED = 5,
121      NLOPT_MAXTIME_REACHED = 6
122    };
123
124
125    #region x86
126    [DllImport("nlopt_x86.dll", EntryPoint = "nlopt_version", CallingConvention = CallingConvention.Cdecl)]
127    public static extern IntPtr nlopt_version_x86(ref int major, ref int minor, ref int bugfix);
128
129
130    #endregion
131
132    #region x64
133    [DllImport("nlopt_x64.dll", EntryPoint = "nlopt_version", CallingConvention = CallingConvention.Cdecl)]
134    public static extern IntPtr nlopt_version_x64(ref int major, ref int minor, ref int bugfix);
135
136
137    /*************************** OBJECT-ORIENTED API **************************/
138    /* The style here is that we create an nlopt_opt "object" (an opaque pointer),
139       then set various optimization parameters, and then execute the
140       algorithm.  In this way, we can add more and more optimization parameters
141       (including algorithm-specific ones) without breaking backwards
142       compatibility, having functions with zillions of parameters, or
143       relying non-reentrantly on global variables.*/
144
145
146    /* the only immutable parameters of an optimization are the algorithm and
147   the dimension n of the problem, since changing either of these could
148   have side-effects on lots of other parameters */
149    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
150    public static extern IntPtr nlopt_create(nlopt_algorithm algorithm, uint n); // returns nlopt_opt
151
152    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
153    public static extern IntPtr nlopt_destroy(IntPtr nlopt_opt);
154
155    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
156    public static extern IntPtr /*nlopt_opt*/ nlopt_copy([In] IntPtr nlopt_opt);
157
158    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
159    public static extern nlopt_result nlopt_optimize(IntPtr nlopt_opt,
160      [In][Out] double[] x,
161      ref double opt_f); // opt_f is optimal value
162
163    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
164    public static extern nlopt_result nlopt_set_min_objective(IntPtr nlopt_opt,
165      [MarshalAs(UnmanagedType.FunctionPtr)] nlopt_func f,
166      IntPtr f_data);
167    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
168    public static extern nlopt_result nlopt_set_max_objective(IntPtr nlopt_opt, nlopt_func f, IntPtr f_data);
169
170    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
171    public static extern nlopt_result nlopt_set_precond_min_objective(IntPtr nlopt_opt, nlopt_func f, nlopt_precond pre, IntPtr f_data);  // only used by CCSAQ optimizer in NLOpt version 2.6.1
172
173    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
174    public static extern nlopt_result nlopt_set_precond_max_objective(IntPtr nlopt_opt, nlopt_func f, nlopt_precond pre, IntPtr f_data);  // only used by CCSAQ optimizer in NLOpt version 2.6.1
175
176    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
177    public static extern nlopt_algorithm nlopt_get_algorithm([In] IntPtr nlopt_opt);
178
179    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
180    public static extern uint nlopt_get_dimension([In] IntPtr nlopt_opt);
181
182    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
183    public static extern string nlopt_get_errmsg(IntPtr nlopt_opt);
184
185    /* constraints: */
186
187    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
188    public static extern nlopt_result nlopt_set_lower_bounds(IntPtr nlopt_opt,
189      [In] double[] lb);
190    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
191    public static extern nlopt_result nlopt_set_lower_bounds1(IntPtr nlopt_opt, double lb);
192    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
193    public static extern nlopt_result nlopt_set_lower_bound(IntPtr nlopt_opt, int i, double lb);
194    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
195    public static extern nlopt_result nlopt_get_lower_bounds([In] IntPtr nlopt_opt,
196      IntPtr lb); // actually: double* TODO: manual marshalling
197    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
198    public static extern nlopt_result nlopt_set_upper_bounds(IntPtr nlopt_opt,
199      [In] double[] ub);
200    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
201    public static extern nlopt_result nlopt_set_upper_bounds1(IntPtr nlopt_opt, double ub);
202    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
203    public static extern nlopt_result nlopt_set_upper_bound(IntPtr nlopt_opt, int i, double ub);
204    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
205    public static extern nlopt_result nlopt_get_upper_bounds([In] IntPtr nlopt_opt,
206      IntPtr ub); // actually: double* TODO: manual marshalling
207
208    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
209    public static extern nlopt_result nlopt_remove_inequality_constraints(IntPtr nlopt_opt);
210    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
211    public static extern nlopt_result nlopt_add_inequality_constraint(IntPtr nlopt_opt, nlopt_func fc, IntPtr fc_data, double tol);
212    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
213    public static extern nlopt_result nlopt_add_precond_inequality_constraint(IntPtr nlopt_opt, nlopt_func fc, nlopt_precond pre, IntPtr fc_data, double tol);
214    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
215    public static extern nlopt_result nlopt_add_inequality_mconstraint(IntPtr nlopt_opt, uint m, nlopt_mfunc fc, IntPtr fc_data, ref double[] tol);
216
217    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
218    public static extern nlopt_result nlopt_remove_equality_constraints(IntPtr nlopt_opt);
219    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
220    public static extern nlopt_result nlopt_add_equality_constraint(IntPtr nlopt_opt, nlopt_func h, IntPtr h_data, double tol);
221    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
222    public static extern nlopt_result nlopt_add_precond_equality_constraint(IntPtr nlopt_opt, nlopt_func h, nlopt_precond pre, IntPtr h_data, double tol);
223    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
224    public static extern nlopt_result nlopt_add_equality_mconstraint(IntPtr nlopt_opt, uint m, nlopt_mfunc h, IntPtr h_data, ref double[] tol);
225
226    /* stopping criteria: */
227
228    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
229    public static extern nlopt_result nlopt_set_stopval(IntPtr nlopt_opt, double stopval);
230    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
231    public static extern double nlopt_get_stopval([In] IntPtr nlopt_opt);
232
233    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
234    public static extern nlopt_result nlopt_set_ftol_rel(IntPtr nlopt_opt, double tol);
235    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
236    public static extern double nlopt_get_ftol_rel([In] IntPtr nlopt_opt);
237    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
238    public static extern nlopt_result nlopt_set_ftol_abs(IntPtr nlopt_opt, double tol);
239    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
240    public static extern double nlopt_get_ftol_abs([In] IntPtr nlopt_opt);
241
242    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
243    public static extern nlopt_result nlopt_set_xtol_rel(IntPtr nlopt_opt, double tol);
244    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
245    public static extern double nlopt_get_xtol_rel([In] IntPtr nlopt_opt);
246    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
247    public static extern nlopt_result nlopt_set_xtol_abs1(IntPtr nlopt_opt, double tol);
248    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
249    public static extern nlopt_result nlopt_set_xtol_abs(IntPtr nlopt_opt,
250      [In] double[] tol);
251    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
252    public static extern nlopt_result nlopt_get_xtol_abs([In] IntPtr nlopt_opt,
253      IntPtr tol); // actually: double* TODO: manual marshalling
254
255    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
256    public static extern nlopt_result nlopt_set_maxeval(IntPtr nlopt_opt, int maxeval);
257    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
258    public static extern int nlopt_get_maxeval([In] IntPtr nlopt_opt);
259
260    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
261    public static extern int nlopt_get_numevals([In] IntPtr nlopt_opt);
262
263    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
264    public static extern nlopt_result nlopt_set_maxtime(IntPtr nlopt_opt, double maxtime);
265    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
266    public static extern double nlopt_get_maxtime([In] IntPtr nlopt_opt);
267
268    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
269    public static extern nlopt_result nlopt_force_stop(IntPtr nlopt_opt);
270    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
271    public static extern nlopt_result nlopt_set_force_stop(IntPtr nlopt_opt, int val);
272    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
273    public static extern int nlopt_get_force_stop([In] IntPtr nlopt_opt);
274
275    /* more algorithm-specific parameters */
276
277    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
278    public static extern nlopt_result nlopt_set_local_optimizer(IntPtr nlopt_opt, [In] IntPtr local_opt);
279
280    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
281    public static extern nlopt_result nlopt_set_population(IntPtr nlopt_opt, uint pop);
282    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
283    public static extern uint nlopt_get_population([In] IntPtr nlopt_opt);
284
285    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
286    public static extern nlopt_result nlopt_set_vector_storage(IntPtr nlopt_opt, uint dim);
287    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
288    public static extern uint nlopt_get_vector_storage([In] IntPtr nlopt_opt);
289
290    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
291    public static extern nlopt_result nlopt_set_default_initial_step(IntPtr nlopt_opt,
292      [In] double[] x);
293    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
294    public static extern nlopt_result nlopt_set_initial_step(IntPtr nlopt_opt,
295      [In] double[] dx);
296    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
297    public static extern nlopt_result nlopt_set_initial_step1(IntPtr nlopt_opt, double dx);
298    [DllImport("nlopt_x64.dll", CallingConvention = CallingConvention.Cdecl)]
299    public static extern nlopt_result nlopt_get_initial_step([In] IntPtr nlopt_opt,
300      IntPtr x, // actually: double* TODO: manual marshalling
301      IntPtr dx // actually: double* TODO: manual marshalling
302      );
303    #endregion
304
305    #region dispatch x86/x64
306    public static void nlopt_version(out int major, out int minor, out int bugfix) {
307      major = 0;
308      minor = 0;
309      bugfix = 0;
310      if (Environment.Is64BitProcess) {
311        nlopt_version_x64(ref major, ref minor, ref bugfix);
312      } else {
313        nlopt_version_x86(ref major, ref minor, ref bugfix);
314      }
315    }
316    #endregion
317  }
318}
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