public override IpoptBoolType eval_jac_g(Int32 n, Double[] x, IpoptBoolType new_x, Int32 m, Int32 nele_jac,
Int32[] iRow, Int32[] jCol, Double[] values, IntPtr p_user_data)
{
if (values == null)
{
for (var i = 0; i < iRow.Length; i++)
{
iRow[i] = this._jacobian.iRow[i];
}
for (var i = 0; i < jCol.Length; i++)
{
jCol[i] = this._jacobian.jCol[i];
}
}
else
{
if (this._refreshJac)
{
this._jacobian = this._jacobianHelper.UpdateJacobian(x, this._constraints, this._jacobian);
}
//else
//{
for (var i = 0; i < values.Length; i++)
{
values[i] = this._jacobian.values[i];
}
//}
}
return(IpoptBoolType.True);
}
public Jacobian UpdateJacobian(Double[] averageValues, Func <Double[], Double[]> constraints,
Jacobian originalJacobian)
{
//i: constraints
//j: variables
var iRow = originalJacobian.iRow;
var jCol = originalJacobian.jCol;
var values = new Double[originalJacobian.values.Length];
var originalConstraintValues = constraints(averageValues);
const Double disturbance = 1e-6;
var globalIndex = 0;
for (var j = 0; j < averageValues.Length; j++)
{
var averageValue = averageValues[j];
var originalValue = averageValue;
if (Math.Abs(averageValue) < disturbance)
{
averageValues[j] = disturbance;
}
else
{
averageValues[j] = averageValue * (1 + disturbance);
}
var updatedConstraintValues = constraints(averageValues);
var toUpdate = jCol.Select((d, i) => new { index = i, jj = d })
.Where(d => d.jj == j)
.Select(d => d.index)
.ToList();
foreach (var index in toUpdate)
{
var constraintNumber = iRow[index];
var diff = updatedConstraintValues[constraintNumber] - originalConstraintValues[constraintNumber];
var gradient = diff / (averageValues[j] - originalValue);
values[globalIndex] = gradient;
var minGradient = 1e-12;
if (Math.Abs(gradient) < minGradient)
{
values[globalIndex] = minGradient;
if (gradient < 0)
{
values[globalIndex] = -values[globalIndex];
}
}
globalIndex++;
}
averageValues[j] = originalValue;
}
var computeJacobian = new Jacobian
{
iRow = iRow,
jCol = jCol,
values = values
};
return(computeJacobian);
}
public IpoptReconciliationProblem(JacobianHelper jacobianHelper, Double[] lowerBounds,
Double[] upperBounds, Double[] constraintLowerBounds, Double[] constraintUpperBounds,
Func <Double[], Double[]> constraints, Jacobian jacobian, IpoptParams ipoptParams,
Action <IterationResult> callback)
: base(
lowerBounds.Length, lowerBounds, upperBounds, constraintLowerBounds.Length, constraintLowerBounds,
constraintUpperBounds, jacobian.iRow.Length, 0, true, true, true)
{
this._jacobianHelper = jacobianHelper;
this._constraints = constraints;
this._jacobian = jacobian;
this._callback = callback;
this.SetOptions(ipoptParams);
}
private static SolverResult Solve(JacobianHelper jacobianHelper, Double[] lowerBounds, Double[] upperBounds,
Double[] cLowerBounds, Double[] cUpperBoundsBounds, Func <Double[], Double[]> constraintCallback,
Jacobian jac, IpoptParams ipoptParams,
Double[] avg, Double[] stdDev)
{
var res = new SolverResult(new Double[0], -1);
using (var sut = new IpoptReconciliationProblem(jacobianHelper, lowerBounds, upperBounds, cLowerBounds,
cUpperBoundsBounds, constraintCallback, jac, ipoptParams, ir => { }))
{
res = sut.Solve(avg, stdDev);
}
return(res);
}
public Jacobian ComputeJacobian(Double[] averageValues, Func <Double[], Double[]> constraints)
{
var iRow = new List <Int32>();
var jCol = new List <Int32>();
var values = new List <Double>();
var originalConstraintValues = constraints(averageValues);
for (var j = 0; j < averageValues.Length; j++)
{
var averageValue = averageValues[j];
var originalValue = averageValue;
averageValues[j] = averageValue * (1 + 1e-9);
if (Math.Abs(averageValues[j]) < Double.Epsilon)
{
averageValues[j] = 1e-9;
}
var updatedConstraintValues = constraints(averageValues);
for (var i = 0; i < updatedConstraintValues.Length; i++)
{
var diff = updatedConstraintValues[i] - originalConstraintValues[i];
if (Math.Abs(diff) >= Double.Epsilon)
{
iRow.Add(i);
jCol.Add(j);
values.Add(diff / (averageValues[j] - originalValue));
}
}
averageValues[j] = originalValue;
}
var computeJacobian = new Jacobian
{
iRow = iRow.ToArray(),
jCol = jCol.ToArray(),
values = values.ToArray()
};
return(computeJacobian);
}
