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Preconditioners not wrapped in C++ ... #177

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bobmyhill opened this issue Mar 16, 2018 · 2 comments · May be fixed by #410
Open

Preconditioners not wrapped in C++ ... #177

bobmyhill opened this issue Mar 16, 2018 · 2 comments · May be fixed by #410

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@bobmyhill
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bobmyhill commented Mar 16, 2018 •
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...and therefore also not implemented in fortran (#52), python, etc.

The NLOPT_LD_CCSAQ algorithm allows the user to supply an approximation to the Hessian, via
the set_precond_min_objective() and set_precond_max_objective() functions. Unfortunately, it looks like these are not included in nlopt-in.hpp (at least I assume this is the problem). I'm not well-versed in writing wrappers; can someone give me a hand to implement the changes?
@jschueller
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I'd try mimic the existing code, set_min_objective is what's most similar:

In nlopt.h (C API)

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

this is wrapped in nlopt-in.hpp as:

void set_min_objective(func f, void *f_data) {
      myfunc_data *d = new myfunc_data;
      if (!d) throw std::bad_alloc();
      d->o = this; d->f = f; d->f_data = f_data; d->mf = NULL; d->vf = NULL;
      d->munge_destroy = d->munge_copy = NULL;
      mythrow(nlopt_set_min_objective(o, myfunc, d)); // d freed via o
    }

What changes is that you may have to create a new struct equivalent to myfunc_data adapted for the preconditioner signature nlopt_precond:

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

nlopt_precond is declared as follows:

typedef void (*nlopt_precond)(unsigned n, const double *x, const double *v,
			      double *vpre, void *data);

also there is a std::vector prototype for set_min_objective, you might want to add the same.

@bobmyhill
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Thanks @jschueller.

It turns out that my current problem is better posed as a (quite non-linear) bounded root-finding exercise, so I might not get to this straight away. But I'd like to get it running for other problems, and your comments are really helpful.

@smartalecH smartalecH linked a pull request Aug 27, 2021 that will close this issue
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Hessian preconditioner wrappers smartalecH/nlopt
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@jschueller @bobmyhill