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authorHarpreet2016-08-04 15:25:44 +0530
committerHarpreet2016-08-04 15:25:44 +0530
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tree22502de6e6988d5cd595290d11266f8432ad825b /build/Scilab/intfmincon.sci
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+// Copyright (C) 2015 - IIT Bombay - FOSSEE
+//
+// This file must be used under the terms of the CeCILL.
+// This source file is licensed as described in the file COPYING, which
+// you should have received as part of this distribution. The terms
+// are also available at
+// http://www.cecill.info/licences/Licence_CeCILL_V2-en.txt
+// Author: Harpreet Singh, Pranav Deshpande and Akshay Miterani
+// Organization: FOSSEE, IIT Bombay
+// Email: toolbox@scilab.in
+
+function [xopt,fopt,exitflag,gradient,hessian] = intfmincon (varargin)
+ // Solves a constrainted multi-variable mixed integer non linear programming problem
+ //
+ // Calling Sequence
+ // xopt = intfmincon(f,x0,intcon,A,b)
+ // xopt = intfmincon(f,x0,intcon,A,b,Aeq,beq)
+ // xopt = intfmincon(f,x0,intcon,A,b,Aeq,beq,lb,ub)
+ // xopt = intfmincon(f,x0,intcon,A,b,Aeq,beq,lb,ub,nlc)
+ // xopt = intfmincon(f,x0,intcon,A,b,Aeq,beq,lb,ub,nlc,options)
+ // [xopt,fopt] = intfmincon(.....)
+ // [xopt,fopt,exitflag]= intfmincon(.....)
+ // [xopt,fopt,exitflag,gradient]=intfmincon(.....)
+ // [xopt,fopt,exitflag,gradient,hessian]=intfmincon(.....)
+ //
+ // Parameters
+ // f : a function, representing the objective function of the problem
+ // x0 : a vector of doubles, containing the starting values of variables.
+ // intcon : a vector of integers, represents which variables are constrained to be integers
+ // A : a matrix of double, represents the linear coefficients in the inequality constraints A⋅x ≤ b.
+ // b : a vector of double, represents the linear coefficients in the inequality constraints A⋅x ≤ b.
+ // Aeq : a matrix of double, represents the linear coefficients in the equality constraints Aeq⋅x = beq.
+ // beq : a vector of double, represents the linear coefficients in the equality constraints Aeq⋅x = beq.
+ // lb : Lower bounds, specified as a vector or array of double. lb represents the lower bounds elementwise in lb ≤ x ≤ ub.
+ // ub : Upper bounds, specified as a vector or array of double. ub represents the upper bounds elementwise in lb ≤ x ≤ ub.
+ // nlc : a function, representing the Non-linear Constraints functions(both Equality and Inequality) of the problem. It is declared in such a way that non-linear inequality constraints are defined first as a single row vector (c), followed by non-linear equality constraints as another single row vector (ceq). Refer Example for definition of Constraint function.
+ // options : a list, containing the option for user to specify. See below for details.
+ // xopt : a vector of doubles, containing the the computed solution of the optimization problem.
+ // fopt : a scalar of double, containing the the function value at x.
+ // exitflag : a scalar of integer, containing the flag which denotes the reason for termination of algorithm. See below for details.
+ // gradient : a vector of doubles, containing the Objective's gradient of the solution.
+ // hessian : a matrix of doubles, containing the Objective's hessian of the solution.
+ //
+ // Description
+ // Search the minimum of a multi-variable function on bounded interval specified by :
+ // Find the minimum of f(x) such that
+ //
+ // <latex>
+ // \begin{eqnarray}
+ // &\mbox{min}_{x}
+ // & f(x)\\
+ // & \text{subject to} & x1 \ < x \ < x2 \\
+ // \end{eqnarray}
+ // </latex>
+ //
+ // The routine calls Bonmin for solving the Bounded Optimization problem, Bonmin is a library written in C++.
+ //
+ // The options allows the user to set various parameters of the Optimization problem.
+ // It should be defined as type "list" and contains the following fields.
+ // <itemizedlist>
+ // <listitem>Syntax : options= list("IntegerTolerance", [---], "MaxNodes",[---], "MaxIter", [---], "AllowableGap",[---] "CpuTime", [---],"gradobj", "off", "hessian", "off" );</listitem>
+ // <listitem>IntegerTolerance : a Scalar, a number with that value of an integer is considered integer..</listitem>
+ // <listitem>MaxNodes : a Scalar, containing the Maximum Number of Nodes that the solver should search.</listitem>
+ // <listitem>CpuTime : a Scalar, containing the Maximum amount of CPU Time that the solver should take.</listitem>
+ // <listitem>AllowableGap : a Scalar, to stop the tree search when the gap between the objective value of the best known solution is reached.</listitem>
+ // <listitem>MaxIter : a Scalar, containing the Maximum Number of Iteration that the solver should take.</listitem>
+ // <listitem>gradobj : a string, to turn on or off the user supplied objective gradient.</listitem>
+ // <listitem>hessian : a Scalar, to turn on or off the user supplied objective hessian.</listitem>
+ // <listitem>Default Values : options = list('integertolerance',1d-06,'maxnodes',2147483647,'cputime',1d10,'allowablegap',0,'maxiter',2147483647,'gradobj',"off",'hessian',"off")</listitem>
+ // </itemizedlist>
+ //
+ // The exitflag allows to know the status of the optimization which is given back by Ipopt.
+ // <itemizedlist>
+ // <listitem>exitflag=0 : Optimal Solution Found </listitem>
+ // <listitem>exitflag=1 : Maximum Number of Iterations Exceeded. Output may not be optimal.</listitem>
+ // <listitem>exitflag=2 : Maximum CPU Time exceeded. Output may not be optimal.</listitem>
+ // <listitem>exitflag=3 : Stop at Tiny Step.</listitem>
+ // <listitem>exitflag=4 : Solved To Acceptable Level.</listitem>
+ // <listitem>exitflag=5 : Converged to a point of local infeasibility.</listitem>
+ // </itemizedlist>
+ //
+ // For more details on exitflag see the Bonmin documentation, go to http://www.coin-or.org/Bonmin
+ //
+ // Examples
+ // //Find x in R^6 such that it minimizes:
+ // //f(x)= sin(x1) + sin(x2) + sin(x3) + sin(x4) + sin(x5) + sin(x6)
+ // //-2 <= x1,x2,x3,x4,x5,x6 <= 2
+ // //Objective function to be minimised
+ // function y=f(x)
+ // y=0
+ // for i =1:6
+ // y=y+sin(x(i));
+ // end
+ // endfunction
+ // //Variable bounds
+ // x1 = [-2, -2, -2, -2, -2, -2];
+ // x2 = [2, 2, 2, 2, 2, 2];
+ // intcon = [2 3 4]
+ // //Options
+ // options=list("MaxIter",[1500],"CpuTime", [100])
+ // [x,fval] =intfmincon(f ,intcon, x1, x2, options)
+ // // Press ENTER to continue
+ //
+ // Examples
+ // //Find x in R such that it minimizes:
+ // //f(x)= 1/x^2
+ // //0 <= x <= 1000
+ // //Objective function to be minimised
+ // function y=f(x)
+ // y=1/x^2;
+ // endfunction
+ // //Variable bounds
+ // x1 = [0];
+ // x2 = [1000];
+ // intcon = [1];
+ // [x,fval,exitflag,output,lambda] =intfmincon(f,intcon , x1, x2)
+ // // Press ENTER to continue
+ //
+ // Examples
+ // //The below problem is an unbounded problem:
+ // //Find x in R^2 such that it minimizes:
+ // //f(x)= -[(x1-1)^2 + (x2-1)^2]
+ // //-inf <= x1,x2 <= inf
+ // //Objective function to be minimised
+ // function y=f(x)
+ // y=-((x(1)-1)^2+(x(2)-1)^2);
+ // endfunction
+ // //Variable bounds
+ // x1 = [-%inf , -%inf];
+ // x2 = [ %inf , %inf];
+ // //Options
+ // options=list("MaxIter",[1500],"CpuTime", [100])
+ // [x,fval,exitflag,output,lambda] =intfmincon(f,intcon, x1, x2, options)
+ // Authors
+ // Harpreet Singh
+
+ //To check the number of input and output arguments
+ [lhs , rhs] = argn();
+
+ //To check the number of arguments given by the user
+ if ( rhs<4 | rhs>11 ) then
+ errmsg = msprintf(gettext("%s: Unexpected number of input arguments : %d provided while should be int [4 5] "), "intfmincon", rhs);
+ error(errmsg);
+ end
+
+ //Storing the Input Parameters
+ fun = varargin(1);
+ x0 = varargin(2);
+ intcon = varargin(3);
+ A = varargin(4);
+ b = varargin(5);
+ Aeq = [];
+ beq = [];
+ lb = [];
+ ub = [];
+ nlc = [];
+
+ if (rhs>5) then
+ Aeq = varargin(6);
+ beq = varargin(7);
+ end
+
+ if (rhs>7) then
+ lb = varargin(8);
+ ub = varargin(9);
+ end
+
+ if (rhs>9) then
+ nlc = varargin(10);
+ end
+
+ param = list();
+ //To check whether options has been entered by user
+ if ( rhs> 10) then
+ param =varargin(11);
+ end
+
+ //To check whether the Input arguments
+ Checktype("intfmincon", fun, "fun", 1, "function");
+ Checktype("intfmincon", x0, "x0", 2, "constant");
+ Checktype("intfmincon", intcon, "intcon", 3, "constant");
+ Checktype("intfmincon", A, "A", 4, "constant");
+ Checktype("intfmincon", b, "b", 5, "constant");
+ Checktype("intfmincon", Aeq, "Aeq", 6, "constant");
+ Checktype("intfmincon", beq, "beq", 7, "constant");
+ Checktype("intfmincon", lb, "lb", 8, "constant");
+ Checktype("intfmincon", ub, "ub", 9, "constant");
+ Checktype("intfmincon", nlc, "nlc", 10, ["constant","function"]);
+ Checktype("intfmincon", param, "options", 11, "list");
+
+
+ nbVar = size(x0,"*");
+ if(nbVar==0) then
+ errmsg = msprintf(gettext("%s: x0 cannot be an empty"), "intfmincon");
+ error(errmsg);
+ end
+
+ if(size(lb,"*")==0) then
+ lb = repmat(-%inf,nbVar,1);
+ end
+
+ if(size(ub,"*")==0) then
+ ub = repmat(%inf,nbVar,1);
+ end
+
+ //////////////// To Check linear constraints /////////
+
+ //To check for correct size of A(3rd paramter)
+ if(size(A,2)~=nbVar & size(A,2)~=0) then
+ errmsg = msprintf(gettext("%s: Expected Matrix of size (No of linear inequality constraints X No of Variables) or an Empty Matrix for Linear Inequality Constraint coefficient Matrix A"), solver_name);
+ error(errmsg);
+ end
+ nbConInEq=size(A,"r");
+
+ //To check for the correct size of Aeq (5th paramter)
+ if(size(Aeq,2)~=nbVar & size(Aeq,2)~=0) then
+ errmsg = msprintf(gettext("%s: Expected Matrix of size (No of linear equality constraints X No of Variables) or an Empty Matrix for Linear Equality Constraint coefficient Matrix Aeq"), solver_name);
+ error(errmsg);
+ end
+ nbConEq=size(Aeq,"r");
+
+ ///////////////// To check vectors /////////////////
+
+ Checkvector("intfmincon", x0, "x0", 2, nbVar);
+ x0 = x0(:);
+ if(size(intcon,"*")) then
+ Checkvector("intfmincon", intcon, "intcon", 3, size(intcon,"*"))
+ intcon = intcon(:);
+ end
+ if(nbConInEq) then
+ Checkvector("intfmincon", b, "b", 5, nbConInEq);
+ b = b(:);
+ end
+ if(nbConEq) then
+ Checkvector("intfmincon", beq, "beq", 7, nbConEq);
+ beq = beq(:);
+ end
+ Checkvector("intfmincon", lb, "lb", 8, nbVar);
+ lb = lb(:);
+
+ Checkvector("intfmincon", ub, "ub", 9, nbVar);
+ ub = ub(:);
+
+ /////////////// To check integer //////////////////////
+ for i=1:size(intcon,1)
+ if(intcon(i)>nbVar) then
+ errmsg = msprintf(gettext("%s: The values inside intcon should be less than the number of variables"), "intfmincon");
+ error(errmsg);
+ end
+
+ if (intcon(i)<0) then
+ errmsg = msprintf(gettext("%s: The values inside intcon should be greater than 0 "), "intfmincon");
+ error(errmsg);
+ end
+
+ if(modulo(intcon(i),1)) then
+ errmsg = msprintf(gettext("%s: The values inside intcon should be an integer "), "intfmincon");
+ error(errmsg);
+ end
+ end
+
+options = list('integertolerance',1d-06,'maxnodes',2147483647,'cputime',1d10,'allowablegap',0,'maxiter',2147483647,'gradobj',"off",'hessian',"off",'gradcon',"off")
+
+ //Pushing param into default value
+
+ for i = 1:(size(param))/2
+ select convstr(param(2*i-1),'l')
+ case 'integertolerance' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "constant");
+ options(2) = param(2*i);
+ case 'maxnodes' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "constant");
+ options(4) = param(2*i);
+ case 'cputime' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "constant");
+ options(6) = param(2*i);
+ case 'allowablegap' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "constant");
+ options(8) = param(2*i);
+ case 'maxiter' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "constant");
+ options(10) = param(2*i);
+ case 'gradobj' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "string");
+ if(convstr(options(2*i),'l') == "on") then
+ options(12) = "on"
+ elseif(convstr(options(2*i),'l') == "off") then
+ options(12) = "off"
+ else
+ error(999, 'Unknown string passed in gradobj.');
+ end
+ case 'hessian' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "function");
+ options(14) = param(2*i);
+ case 'GradCon' then
+ Checktype("intfmincon_options", param(2*i), param(2*i-1), 2*i, "string");
+ if(convstr(options(2*i),'l') == "on") then
+ options(16) = "on"
+ elseif(convstr(options(2*i),'l') == "off") then
+ options(16) = "off"
+ else
+ error(999, 'Unknown string passed in gradcon.');
+ end
+ else
+ error(999, 'Unknown string argument passed.');
+ end
+ end
+
+ ///////////////// Functions Check /////////////////
+
+ //To check the match between f (1st Parameter) and x0 (2nd Parameter)
+ if(execstr('init=fun(x0)','errcatch')==21) then
+ errmsg = msprintf(gettext("%s: Objective function and x0 did not match"), "intfmincon");
+ error(errmsg);
+ end
+
+ if(options(12) == "on") then
+ if(execstr('[grad_y,grad_dy]=fun(x1)','errcatch')==59) then
+ errmsg = msprintf(gettext("%s: Gradient of objective function is not provided"), "intfmincon");
+ error(errmsg);
+ end
+ Checkvector("intfmincon_options", grad_dy, "dy", 12, nbVar);
+ end
+
+ if(options(14) == "on") then
+ if(execstr('[hessian_y,hessian_dy,hessian]=fun(x1)','errcatch')==59) then
+ errmsg = msprintf(gettext("%s: Gradient of objective function is not provided"), "intfmincon");
+ error(errmsg);
+ end
+
+ if ( ~isequal(size(hessian) == [nbVar nbVar]) ) then
+ errmsg = msprintf(gettext("%s: Size of hessian should be nbVar X nbVar"), "intfmincon");
+ error(errmsg);
+ end
+ end
+
+ numNlic = 0;
+ numNlec = 0;
+ numNlc = 0;
+
+ if (type(nlc) == 13 | type(nlc) == 11) then
+ if(execstr('[sample_c,sample_ceq] = nlc(x0)','errcatch')==21) then
+ errmsg = msprintf(gettext("%s: Non-Linear Constraint function and x0 did not match"), solver_name);
+ error(errmsg);
+ end
+ numNlic = size(sample_c,"*");
+ numNlec = size(sample_ceq,"*");
+ numNlc = no_nlic + no_nlec;
+ end
+
+ /////////////// Creating conLb and conUb ////////////////////////
+
+ conLb = [repmat(-%inf,nbConInEq,1);beq;repmat(-%inf,numNlic,1);repmat(0,numNlic,1);]
+ conUb = [b;beq;repmat(0,numNlic,1);repmat(0,numNlic,1);]
+
+ //Converting the User defined Objective function into Required form (Error Detectable)
+ function [y,check] = _f(x)
+ try
+ y=fun(x)
+ [y,check] = checkIsreal(y)
+ catch
+ y=0;
+ check=1;
+ end
+ endfunction
+
+ //Defining an inbuilt Objective gradient function
+ function [dy,check] = _gradf(x)
+ if (options(12) =="on") then
+ try
+ [y,dy]=fun(x)
+ [dy,check] = checkIsreal(dy)
+ catch
+ dy = 0;
+ check=1;
+ end
+ else
+ try
+ dy=numderivative(fun,x)
+ [dy,check] = checkIsreal(dy)
+ catch
+ dy=0;
+ check=1;
+ end
+ end
+ endfunction
+
+ function [y,check] = _addnlc(x)
+ x= x(:);
+ c=[]
+ ceq = [];
+ try
+ if(type(nlc) == 13 & numNlc~=0) then
+ {
+ [c,ceq] = nlc(x);
+ }
+ end
+ ylin = [A*x;Aeq*x];
+ y = [ylin;c(:);ceq(:)];
+ [y,check] = checkIsreal(y)
+ catch
+ y=0;
+ check=1;
+ end
+ endfunction
+
+ //Defining an inbuilt Objective gradient function
+ function [dy,check] = _gradnlc(x)
+ if (options(16) =="on") then
+ try
+ [y,dy]=_addnlc(x)
+ [dy,check] = checkIsreal(dy)
+ catch
+ dy = 0;
+ check=1;
+ end
+ else
+ try
+ dy=numderivative(_addnlc,x)
+ [dy,check] = checkIsreal(dy)
+ catch
+ dy=0;
+ check=1;
+ end
+ end
+ endfunction
+
+ //Defining a function to calculate Hessian if the respective user entry is OFF
+ function [hessy,check]=_gradhess(x,obj_factor,lambda)
+ if (type(options(14)) == "function") then
+ try
+ [obj,dy,hessy] = fun(x,obj_factor,lambda)
+ [hessy,check] = checkIsreal(hessy)
+ catch
+ hessy = 0;
+ check=1;
+ end
+ else
+ try
+ [dy,hessfy]=numderivative(_f,x,%eps^(1/3),1,"blockmat");
+ hessny = []
+ if(type(nlc) == 13 & numNlc~=0) then
+ {
+ [dy,hessny] = numderivative(_addnlc,x,%eps^(1/3),1,"blockmat");
+ }
+ end
+ hessianc = []
+ for i = 1:numNlc
+ hessianc = hessianc + lambda(i)*hessny((i-1)*nbVar+1:nbVar*i,:)
+ end
+ hessy = obj_factor*hessfy + hessianc;
+ [hessy,check] = checkIsreal(hessy)
+ catch
+ hessy=0;
+ check=1;
+ end
+ end
+ endfunction
+
+ intconsize = size(intcon,"*");
+
+ [xopt,fopt,exitflag] = inter_fmincon(_f,_gradf,_addnlc,_gradnlc,_gradhess,x0,lb,ub,conLb,conUb,intcon,options,nbConInEq+nbConEq);
+
+ //In the cases of the problem not being solved, return NULL to the output matrices
+ if( exitflag~=0 & exitflag~=3 ) then
+ gradient = [];
+ hessian = [];
+ else
+ [ gradient, hessian] = numderivative(_f, xopt, [], [], "blockmat");
+ end
+
+ //To print output message
+ select exitflag
+
+ case 0 then
+ printf("\nOptimal Solution Found.\n");
+ case 1 then
+ printf("\nInFeasible Solution.\n");
+ case 2 then
+ printf("\nObjective Function is Continuous Unbounded.\n");
+ case 3 then
+ printf("\Limit Exceeded.\n");
+ case 4 then
+ printf("\nUser Interrupt.\n");
+ case 5 then
+ printf("\nMINLP Error.\n");
+ else
+ printf("\nInvalid status returned. Notify the Toolbox authors\n");
+ break;
+ end
+endfunction
+
+function [y, check] = checkIsreal(x)
+ if ((~isreal(x))) then
+ y = 0
+ check=1;
+ else
+ y = x;
+ check=0;
+ end
+endfunction