ipopt_solve_retape.cpp

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Nonlinear Programming Retaping: Example and Test

Purpose

This example program demonstrates a case were the ipopt::solve argument Retape should be true.

# include <cppad/ipopt/solve.hpp>

namespace {
   using CppAD::AD;

   class FG_eval {
   public:
      typedef CPPAD_TESTVECTOR( AD<double> ) ADvector;
      void operator()(ADvector& fg, const ADvector& x)
      {  assert( fg.size() == 1 );
         assert( x.size()  == 1 );

         // compute the Huber function using a conditional
         // statement that depends on the value of x.
         double eps = 0.1;
         if( fabs(x[0]) <= eps )
            fg[0] = x[0] * x[0] / (2.0 * eps);
         else
            fg[0] = fabs(x[0]) - eps / 2.0;

         return;
      }
   };
}

bool retape(void)
{  bool ok = true;
   typedef CPPAD_TESTVECTOR( double ) Dvector;

   // number of independent variables (domain dimension for f and g)
   size_t nx = 1;
   // number of constraints (range dimension for g)
   size_t ng = 0;
   // initial value, lower and upper limits, for the independent variables
   Dvector xi(nx), xl(nx), xu(nx);
   xi[0] = 2.0;
   xl[0] = -1e+19;
   xu[0] = +1e+19;
   // lower and upper limits for g
   Dvector gl(ng), gu(ng);

   // object that computes objective and constraints
   FG_eval fg_eval;

   // options
   std::string options;
   // retape operation sequence for each new x
   options += "Retape  true\n";
   // turn off any printing
   options += "Integer print_level   0\n";
   options += "String  sb          yes\n";
   // maximum number of iterations
   options += "Integer max_iter      10\n";
   // approximate accuracy in first order necessary conditions;
   // see Mathematical Programming, Volume 106, Number 1,
   // Pages 25-57, Equation (6)
   options += "Numeric tol           1e-9\n";
   // derivative testing
   options += "String  derivative_test            second-order\n";
   // maximum amount of random pertubation; e.g.,
   // when evaluation finite diff
   options += "Numeric point_perturbation_radius  0.\n";

   // place to return solution
   CppAD::ipopt::solve_result<Dvector> solution;

   // solve the problem
   CppAD::ipopt::solve<Dvector, FG_eval>(
      options, xi, xl, xu, gl, gu, fg_eval, solution
   );
   //
   // Check some of the solution values
   //
   ok &= solution.status == CppAD::ipopt::solve_result<Dvector>::success;
   double rel_tol    = 1e-6;  // relative tolerance
   double abs_tol    = 1e-6;  // absolute tolerance
   ok &= CppAD::NearEqual( solution.x[0], 0.0,  rel_tol, abs_tol);

   return ok;
}