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240131.180347.HKT improve prima.c and prima.h
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@zaikunzhang
zaikunzhang committed Jan 31, 2024
1 parent e91e4e8 commit 716393e
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Showing 2 changed files with 181 additions and 154 deletions.
170 changes: 99 additions & 71 deletions c/include/prima/prima.h
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Original file line number Diff line number Diff line change
Expand Up @@ -25,6 +25,18 @@ extern "C" {
#define PRIMAC_API PRIMAC_HELPER_DLL_IMPORT
#endif


// Possible algorithms
typedef enum
{
PRIMA_UOBYQA, // Unconstrained
PRIMA_NEWUOA, // Unconstrained
PRIMA_BOBYQA, // Bound-constrained
PRIMA_LINCOA, // Linearly constrained
PRIMA_COBYLA // Nonlinearly constrained
} prima_algorithm_t;


// Verbosity level
typedef enum {
PRIMA_MSG_NONE = 0, // Do not print any message
Expand Down Expand Up @@ -91,8 +103,9 @@ typedef void (*prima_obj_t)(const double x[], double *f, const void *data);
*/
typedef void (*prima_objcon_t)(const double x[], double *f, double constr[], const void *data);


/*
* An optional callback function to report algorithm progress
* Callback function to report algorithm progress
* n : number of variables
* x : the current best point
* f : the function value of the current best point
Expand All @@ -106,88 +119,64 @@ typedef void (*prima_objcon_t)(const double x[], double *f, double constr[], con
typedef void (*prima_callback_t)(const int n, const double x[], const double f, int nf, int tr,
const double cstrv, int m_nlcon, const double nlconstr[], bool *terminate);

// Structure to hold the options
typedef struct {

// rhobeg: a reasonable initial change to the variables; by default this is NaN, which will be
// interpreted in Fortran as not present, in which case a default value will be used
double rhobeg;

// rhoend: required accuracy for the variables; by default this is NaN, which will be interpreted
// in Fortran as not present, in which case a default value will be used
double rhoend;

// maxfun: maximum number of function evaluations; by default this is 0, which will be interpreted
// in Fortran as not present, in which case a default value will be used
int maxfun;

// iprint: verbosity level, see the prima_message_t enum; default = PRIMA_MSG_NONE
int iprint;

// ftarget: target function value; solver stops when f <= ftarget for a feasible point; default: -Inf
double ftarget;

// npt: number of points in the interpolation set for NEWUOA, BOBYQA, and LINCOA; it should
// satisfy n+2 <= npt <= (n+1)(n+2)/2; by default this is 0, which will be interpreted by Fortran
// as not present, in which case a default value based on the algorithm will be used;
// it is not used by UOBYQA or COBYLA.
int npt;

// user data, will be passed through the objective function callback; default: NULL
void *data;

// callback function to report algorithm progress; default: NULL
prima_callback_t callback;

} prima_options_t;


// Function to initialize the options
PRIMAC_API
int prima_init_options(prima_options_t *options);


// Structure to hold the problem
// FIXME: What about the default values of xl, xu, m_ineq, Aineq, bineq, m_eq, Aeq, and beq?
// In the following, "Default" refers to the value set by `prima_init_problem`.
typedef struct {

// dimension of the problem
// n: number of variables, n >= 1
// Default: 0
int n;

// objective function to minimize (not COBYLA)
// calfun: pointer to the objective function to minimize
// Should not be NULL for UOBYQA, NEWUOA, BOBYQA, and LINCOA; should be NULL for COBYLA
// Default: NULL
prima_obj_t calfun;

// objective function to minimize with constraints (COBYLA only)
// calcfc: pointer to the objective & constraint function to minimize
// Should not be NULL for COBYLA; should be NULL for UOBYQA, NEWUOA, BOBYQA, and LINCOA
// Default: NULL
prima_objcon_t calcfc;

// starting point
// Should not be NULL
// Default: NULL
double *x0;

// bound constraints: xl <= x <= xu
// Bound constraints: xl <= x <= xu
// Should be NULL for UOBYQA and NEWUOA
// Default: xl = NULL and xu = NULL
double *xl;
double *xu;

// linear inequality constraints: Aineq*x <= bineq
// Linear inequality constraints: Aineq*x <= bineq
// Aineq is an m_ineq-by-n matrix stored in row-major order (row by row)
// bineq is of size m_ineq
// Should be m_ineq = 0, Aineq = NULL, and bineq = NULL for UOBYQA, NEWUOA, and BOBYQA
// Default: m_ineq = 0, Aineq = NULL, and bineq = NULL
int m_ineq;
double *Aineq;
double *bineq;

// linear equality constraints: Aeq*x = beq
// Linear equality constraints: Aeq*x = beq
// Aeq is an m_eq-by-n matrix stored in row-major order (row by row)
// beq is of size m_eq
// Should be m_eq = 0, Aeq = NULL, and beq = NULL for UOBYQA, NEWUOA, and BOBYQA
// Default: m_eq = 0, Aeq = NULL, and beq = NULL
int m_eq;
double *Aeq;
double *beq;

// number of nonlinear constraints (COBYLA only); default: 0
// m_nlcon: number of nonlinear constraints
// Should be 0 for UOBYQA, NEWUOA, BOBYQA, and LINCOA
// Default: 0
int m_nlcon;

// initial objective function value and constraint values (COBYLA only)
// They are OPTIONAL and should ONLY be used when interfacing with MATLAB/Python/Julia/R,
// where we need to evaluate the constraints at the initial point to get m_nlcon.
// C end users should leave them as default, i.e., f0 = NAN and nlconstr0 = NULL.
// f0, nlconstr0: initial objective function value and constraint values (COBYLA only)
// Should ONLY be used when interfacing with MATLAB/Python/Julia/R, where we need to evaluate
// the constraints at the initial point to get m_nlcon
// C end users should leave them as the default, i.e., f0 = NAN and nlconstr0 = NULL.
// Default: f0 = NAN and nlconstr0 = NULL
double f0;
double *nlconstr0;

Expand All @@ -199,28 +188,78 @@ PRIMAC_API
int prima_init_problem(prima_problem_t *problem, int n);


// Structure to hold the options
// In the following, "Default" refers to the value set by `prima_init_options`.
typedef struct {

// rhobeg: a reasonable initial change to the variables
// Default: NaN, which will be interpreted in Fortran as not present, in which case a default
// value will be used
double rhobeg;

// rhoend: required accuracy for the variables
// Default: NaN, which will be interpreted in Fortran as not present, in which case a default
// value will be used
double rhoend;

// maxfun: maximum number of function evaluations
// Default: 0, which will be interpreted in Fortran as not present, in which case a default value
// will be used
int maxfun;

// iprint: verbosity level (see the prima_message_t enum)
// Default: PRIMA_MSG_NONE, which means that no message will be printed
int iprint;

// ftarget: target function value; solver stops when f <= ftarget for a feasible point
// Default: -Inf
double ftarget;

// npt: number of points in the interpolation set for NEWUOA, BOBYQA, and LINCOA
// Should satisfy n+2 <= npt <= (n+1)(n+2)/2
// It will be ignored by UOBYQA or COBYLA if provided
// Default: 0, which will be interpreted by Fortran as not present, in which case a default value
// based on the algorithm that will be used
int npt;

// data: user data, will be passed through the objective function callback
// Default: NULL
void *data;

// callback: pointer to the callback function to report algorithm progress
// Default: NULL, which means that no callback will be called
prima_callback_t callback;

} prima_options_t;


// Function to initialize the options
PRIMAC_API
int prima_init_options(prima_options_t *options);


// Structure to hold the result
typedef struct {

// returned point
// x: returned point
double *x;

// objective function value at the returned point
// f: objective function value at the returned point
double f;

// number of objective function evaluations
// nf: number of objective function evaluations
int nf;

// constraint violation at the returned point (COBYLA and LINCOA only)
// cstrv: constraint violation at the returned point (COBYLA and LINCOA only)
double cstrv;

// nonlinear constraint values at the returned point, of size m_nlcon (COBYLA only)
// nlconstr: nonlinear constraint values at the returned point, of size m_nlcon (COBYLA only)
double *nlconstr;

// exit code
// status: return code
int status;

// exit message
// message: exit message
const char *message;

} prima_result_t;
Expand All @@ -231,17 +270,6 @@ PRIMAC_API
int prima_free_result(prima_result_t *result);


// Algorithm
typedef enum
{
PRIMA_BOBYQA,
PRIMA_COBYLA,
PRIMA_LINCOA,
PRIMA_NEWUOA,
PRIMA_UOBYQA
} prima_algorithm_t;


/*
* The function that does the minimization using a PRIMA solver
* algorithm : optimization algorithm (see prima_algorithm)
Expand Down
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