/* nag_glopt_nlp_multistart_sqp_lsq (e05usc) Example Program.
*
* Copyright 2024 Numerical Algorithms Group.
*
* Mark 30.2, 2024.
*/
#include <math.h>
#include <nag.h>
#include <stdio.h>
#ifdef __cplusplus
extern "C" {
#endif
static void NAG_CALL confun(Integer *mode, Integer ncnln, Integer n,
Integer pdcj, const Integer needc[],
const double x[], double c[], double cjac[],
Integer nstate, Nag_Comm *comm);
static void NAG_CALL objfun(Integer *mode, Integer m, Integer n, Integer pdfj,
Integer needfi, const double x[], double f[],
double fjac[], Integer nstate, Nag_Comm *comm);
static void NAG_CALL mystart(Integer npts, double quas[], Integer n,
Nag_Boolean repeat, const double bl[],
const double bu[], Nag_Comm *comm, Integer *mode);
#ifdef __cplusplus
}
#endif
int main(void) {
#define LEN_OPTS 485
#define LEN_IOPTS 740
#define ISTATE(I, J) istate[(J - 1) * pdistate + I - 1]
#define A(I, J) a[(J - 1) * pda + I - 1]
#define C(I, J) c[(J - 1) * pdc + I - 1]
#define CLAMDA(I, J) clamda[(J - 1) * pdclamda + I - 1]
#define X(I, J) x[(J - 1) * pdx + I - 1]
static double ruser[3] = {-1.0, -1.0, -1.0};
Integer exit_status = 0;
Integer m = 44, n = 2, nb = 1, nclin = 1, ncnln = 1, npts = 3;
Integer pdistate, pda, pdc, ldcjac, pdclamda, ldfjac, pdx;
Integer sdcjac, sdfjac;
Integer i, j, k, l;
Nag_Boolean repeat = Nag_TRUE;
Integer inc;
double alpha, beta;
double *a = 0, *bl = 0, *bu = 0, *c = 0, *cjac = 0, *clamda = 0, *f = 0;
double *fjac = 0, *objf = 0, *work = 0, *x = 0, *y = 0;
Integer *info = 0, *istate = 0, *iter = 0;
double opts[LEN_OPTS];
Integer iopts[LEN_IOPTS];
Integer len_opts = LEN_OPTS, len_iopts = LEN_IOPTS;
/* Nag Types */
Nag_Comm comm;
NagError fail;
INIT_FAIL(fail);
printf("nag_glopt_nlp_multistart_sqp_lsq (e05usc) Example Program Results\n");
/* For communication with user-supplied functions: */
comm.user = ruser;
fflush(stdout);
pda = nclin;
pdc = ncnln;
ldcjac = ncnln;
sdcjac = (ncnln > 0 ? n : 0);
ldfjac = m;
sdfjac = n;
pdclamda = n + nclin + ncnln;
pdistate = n + nclin + ncnln;
pdx = n;
if (nclin > 0) {
if (!(a = NAG_ALLOC(pda * n, double))) {
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
}
if (!(bl = NAG_ALLOC(n + nclin + ncnln, double)) ||
!(bu = NAG_ALLOC(n + nclin + ncnln, double)) ||
!(y = NAG_ALLOC(m, double)) || !(c = NAG_ALLOC(pdc * nb, double)) ||
!(cjac = NAG_ALLOC(ldcjac * sdcjac * nb, double)) ||
!(f = NAG_ALLOC(m * nb, double)) ||
!(fjac = NAG_ALLOC(ldfjac * sdfjac * nb, double)) ||
!(clamda = NAG_ALLOC(pdclamda * nb, double)) ||
!(x = NAG_ALLOC(pdx * nb, double)) || !(objf = NAG_ALLOC(nb, double)) ||
!(istate = NAG_ALLOC(pdistate * nb, Integer)) ||
!(info = NAG_ALLOC(nb, Integer)) || !(iter = NAG_ALLOC(nb, Integer)) ||
!(work = NAG_ALLOC(nclin, double))) {
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
/* Skip heading in data file */
scanf("%*[^\n] ");
if (nclin > 0) {
for (i = 1; i <= nclin; i++)
for (j = 1; j <= n; j++)
scanf("%lf", &A(i, j));
scanf("%*[^\n] ");
}
for (i = 0; i < m; i++)
scanf("%lf", &y[i]);
scanf("%*[^\n] ");
for (i = 0; i < (n + nclin + ncnln); i++)
scanf("%lf", &bl[i]);
scanf("%*[^\n] ");
for (i = 0; i < (n + nclin + ncnln); i++)
scanf("%lf", &bu[i]);
scanf("%*[^\n] ");
/* nag_glopt_optset (e05zkc).
* Option setting routine for nag_glopt_nlp_multistart_sqp_lsq (e05usc).
* First initialize.
*/
nag_glopt_optset("Initialize = e05usc", iopts, len_iopts, opts, len_opts,
&fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_glopt_optset (e05zkc).\n%s\n", fail.message);
exit_status = 1;
goto END;
}
/* nag_glopt_nlp_multistart_sqp_lsq (e05usc).
* Global optimization of a sum of squares problem using multi-start,
* nonlinear constraints.
* Solve the problem.
*/
nag_glopt_nlp_multistart_sqp_lsq(
m, n, nclin, ncnln, a, pda, bl, bu, y, confun, objfun, npts, x, pdx,
mystart, repeat, nb, objf, f, fjac, ldfjac, sdfjac, iter, c, pdc, cjac,
ldcjac, sdcjac, clamda, pdclamda, istate, pdistate, iopts, opts, &comm,
info, &fail);
if (fail.code != NE_NOERROR && fail.code != NW_SOME_SOLUTIONS) {
printf("Error from nag_glopt_nlp_multistart_sqp_lsq (e05usc).\n%s\n",
fail.message);
exit_status = 4;
goto END;
}
switch (fail.code) {
case NE_NOERROR:
l = nb;
break;
case NW_SOME_SOLUTIONS:
l = info[nb - 1];
printf("%16" NAG_IFMT " starting points converged\n", iter[nb - 1]);
break;
}
for (i = 1; i <= l; i++) {
printf("\nSolution number %16" NAG_IFMT "\n", i);
printf("\nLocal minimization exited with code %" NAG_IFMT "\n",
info[i - 1]);
printf("\nVarbl Istate Value Lagr Mult\n\n");
for (j = 1; j <= n; j++) {
printf("V %3" NAG_IFMT " %3" NAG_IFMT, j, ISTATE(j, i));
printf(" %14.6f %12.4f\n", X(j, i), CLAMDA(j, i));
}
if (nclin > 0) {
/* Below is a call to the NAG version of the level 2 BLAS
* routine nag_blast_dgemv.
* This performs the matrix vector multiplication A*X
* (linear constraint values) and puts the result in
* the first nclin locations of work.
*/
inc = 1;
alpha = 1.0;
beta = 0.0;
/* nag_blast_dgemv (f16pac).
* Matrix-vector product, real rectangular matrix.
*/
nag_blast_dgemv(Nag_ColMajor, Nag_NoTrans, nclin, n, alpha, a, pda,
&X(1, i), inc, beta, work, inc, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_blast_dgemv (f16pac).\n%s\n", fail.message);
exit_status = 5;
goto END;
}
printf("\nL Con Istate Value Lagr Mult\n\n");
for (k = n + 1; k <= n + nclin; k++) {
j = k - n;
printf("L %3" NAG_IFMT " %3" NAG_IFMT, j, ISTATE(k, i));
printf(" %14.6f %12.4f\n", work[j - 1], CLAMDA(k, i));
}
}
if (ncnln > 0) {
printf("\nN Con Istate Value Lagr Mult\n\n");
for (k = n + nclin + 1; k <= n + nclin + ncnln; k++) {
j = k - n - nclin;
printf("N %3" NAG_IFMT " %3" NAG_IFMT, j, ISTATE(k, i));
printf(" %14.6f %12.4f\n", C(j, i), CLAMDA(k, i));
}
}
printf("\nFinal objective value = %15.7f\n", objf[i - 1]);
printf("\nQP multipliers\n");
for (k = 1; k <= n + nclin + ncnln; k++)
printf("%12.4f\n", CLAMDA(k, i));
if (l == 1)
break;
printf("\n------------------------------------------------------\n");
}
END:
NAG_FREE(a);
NAG_FREE(bl);
NAG_FREE(bu);
NAG_FREE(c);
NAG_FREE(cjac);
NAG_FREE(clamda);
NAG_FREE(f);
NAG_FREE(fjac);
NAG_FREE(x);
NAG_FREE(y);
NAG_FREE(work);
NAG_FREE(objf);
NAG_FREE(istate);
NAG_FREE(info);
NAG_FREE(iter);
return exit_status;
}
static void NAG_CALL confun(Integer *mode, Integer ncnln, Integer n,
Integer pdcj, const Integer needc[],
const double x[], double c[], double cjac[],
Integer nstate, Nag_Comm *comm) {
#define CJAC(I, J) cjac[(J - 1) * pdcj + I - 1]
/* Function to evaluate the nonlinear constraint and its 1st derivatives. */
Integer i, j;
#ifdef _OPENMP
#pragma omp master
#endif
if (comm->user[0] == -1.0) {
fflush(stdout);
printf("(User-supplied callback confun, first invocation.)\n");
comm->user[0] = 0.0;
fflush(stdout);
}
/* This problem has only one constraint.
* As an example of using the mode mechanism,
* terminate if any other size is supplied.
*/
if (ncnln != 1) {
*mode = -1;
return;
}
if (nstate == 1) {
/* First call to confun. Set all Jacobian elements to zero.
* Note that this will only work when 'Derivative Level = 3'
* (the default; see Section 11.1).
*/
for (i = 1; i <= ncnln; i++)
for (j = 1; j <= n; j++)
CJAC(i, j) = 0.0;
}
if (needc[0] > 0) {
if (*mode == 0 || *mode == 2)
c[0] = -0.09 - x[0] * x[1] + 0.49 * x[1];
if (*mode == 1 || *mode == 2) {
CJAC(1, 1) = -x[1];
CJAC(1, 2) = -x[0] + 0.49;
}
}
}
static void NAG_CALL objfun(Integer *mode, Integer m, Integer n, Integer pdfj,
Integer needfi, const double x[], double f[],
double fjac[], Integer nstate, Nag_Comm *comm) {
#define FJAC(I, J) fjac[J * pdfj + I]
/* Function to evaluate the subfunctions and their 1st derivatives. */
double a[] = {8.0, 8.0, 10.0, 10.0, 10.0, 10.0, 12.0, 12.0, 12.0,
12.0, 14.0, 14.0, 14.0, 16.0, 16.0, 16.0, 18.0, 18.0,
20.0, 20.0, 20.0, 22.0, 22.0, 22.0, 24.0, 24.0, 24.0,
26.0, 26.0, 26.0, 28.0, 28.0, 30.0, 30.0, 30.0, 32.0,
32.0, 34.0, 36.0, 36.0, 38.0, 38.0, 40.0, 42.0};
double temp, x1, x2;
Integer i;
#ifdef _OPENMP
#pragma omp master
#endif
if (comm->user[1] == -1.0) {
fflush(stdout);
printf("(User-supplied callback objfun, first invocation.)\n");
comm->user[1] = 0.0;
fflush(stdout);
}
/* This is a two-dimensional objective function.
* As an example of using the mode mechanism,
* terminate if any other problem size is supplied.
*/
if (n != 2) {
*mode = -1;
return;
}
if (nstate == 1) {
/* This is the first call.
* Take any special action here if desired.
*/
}
x1 = x[0];
x2 = x[1];
if (*mode == 0 && needfi > 0) {
f[needfi - 1] = x1 + (0.49 - x1) * exp(-x2 * (a[needfi - 1] - 8.0));
return;
}
for (i = 0; i < m; i++) {
temp = exp(-x2 * (a[i] - 8.0));
if (*mode == 0 || *mode == 2)
f[i] = x1 + (0.49 - x1) * temp;
if (*mode == 1 || *mode == 2) {
FJAC(i, 0) = 1.0 - temp;
FJAC(i, 1) = -(0.49 - x1) * (a[i] - 8.0) * temp;
}
}
return;
}
static void NAG_CALL mystart(Integer npts, double quas[], Integer n,
Nag_Boolean repeat, const double bl[],
const double bu[], Nag_Comm *comm, Integer *mode) {
#define QUAS(I, J) quas[(J - 1) * n + I - 1]
if (comm->user[2] == -1.0) {
fflush(stdout);
printf("(User-supplied callback mystart, first invocation.)\n");
comm->user[2] = 0.0;
fflush(stdout);
}
/* All elements of quas[n*npts] are pre-assigned to zero,
* so we only need to set nonzero elements.
*/
if (repeat == Nag_TRUE) {
QUAS(1, 1) = 0.4;
QUAS(2, 2) = 1.0;
} else {
/* Generate a non-repeatable spread of points between bl and bu. */
Nag_BaseRNG genid;
Integer i, j, lstate, subid;
Integer *state = 0;
NagError fail;
INIT_FAIL(fail);
genid = Nag_WichmannHill_I;
subid = 53;
lstate = -1;
nag_rand_init_nonrepeat(genid, subid, NULL, &lstate, &fail);
if (fail.code != NE_NOERROR) {
*mode = -1;
return;
}
if (!(state = NAG_ALLOC(lstate, Integer))) {
*mode = -1;
return;
}
nag_rand_init_nonrepeat(genid, subid, state, &lstate, &fail);
if (fail.code != NE_NOERROR) {
*mode = -1;
goto END;
}
for (j = 2; j <= npts; j++)
for (i = 1; i <= n; i++) {
nag_rand_dist_uniform(1, bl[i - 1], bu[i - 1], state, &QUAS(i, j),
&fail);
if (fail.code != NE_NOERROR) {
*mode = -1;
goto END;
}
}
END:
NAG_FREE(state);
}
#undef QUAS
}