sgpp::optimization::optimizer::ConstrainedOptimizer Class Reference

Abstract class for solving constrained optimization problems. More...

#include <ConstrainedOptimizer.hpp>

Inheritance diagram for sgpp::optimization::optimizer::ConstrainedOptimizer:

Public Member Functions
	ConstrainedOptimizer (const ScalarFunction &f, const VectorFunction &g, const VectorFunction &h, size_t N=DEFAULT_N)
	Constructor. More...
	ConstrainedOptimizer (const ConstrainedOptimizer &other)
	Copy constructor. More...
VectorFunction &	getEqualityConstraintFunction () const
VectorFunction &	getInequalityConstraintFunction () const
	~ConstrainedOptimizer () override
	Destructor. More...
Public Member Functions inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
virtual void	clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const =0
	Pure virtual method for cloning the optimizer. More...
const base::DataMatrix &	getHistoryOfOptimalPoints () const
const base::DataVector &	getHistoryOfOptimalValues () const
size_t	getN () const
ScalarFunction &	getObjectiveFunction () const
const base::DataVector &	getOptimalPoint () const
double	getOptimalValue () const
const base::DataVector &	getStartingPoint () const
virtual void	optimize ()=0
	Pure virtual method for optimization of the objective function. More...
void	setN (size_t N)
void	setStartingPoint (const base::DataVector &startingPoint)
	UnconstrainedOptimizer (const ScalarFunction &f, size_t N=DEFAULT_N)
	Constructor. More...
	UnconstrainedOptimizer (const UnconstrainedOptimizer &other)
	Copy constructor. More...
virtual	~UnconstrainedOptimizer ()
	Destructor. More...

Protected Attributes
std::unique_ptr< VectorFunction >	g
	inequality constraint function More...
std::unique_ptr< VectorFunction >	h
	equality constraint function More...
Protected Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
std::unique_ptr< ScalarFunction >	f
	objective function More...
base::DataVector	fHist
	search history vector (optimal values) More...
double	fOpt
	result of optimization (optimal function value) More...
size_t	N
	maximal number of iterations or function evaluations More...
base::DataVector	x0
	starting point More...
base::DataMatrix	xHist
	search history matrix (optimal points) More...
base::DataVector	xOpt
	result of optimization (location of optimum) More...

Additional Inherited Members
Static Public Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
static const size_t	DEFAULT_N = 1000
	default maximal number of iterations or function evaluations More...

Detailed Description

Abstract class for solving constrained optimization problems.

Constructor & Destructor Documentation

ConstrainedOptimizer() [1/2]

sgpp::optimization::optimizer::ConstrainedOptimizer::ConstrainedOptimizer ( const ScalarFunction &  f, const VectorFunction &  g, const VectorFunction &  h, size_t  N = DEFAULT_N  )

inline

Constructor.

The starting point is set to \((0.5, \dotsc, 0.5)^{\mathrm{T}}\). Depending on the implementation $g$ and/or $h$ may be ignored (if only equality or inequality constraints can be handled by the underlying algorithm).

Parameters

f	function to optimize
g	inequality constraint function ( \(g(\vec{x}) \le 0\))
h	equality constraint function ( \(h(\vec{x}) = 0\))
N	maximal number of iterations or objective function evaluations (depending on the implementation)

References sgpp::optimization::VectorFunction::clone().

ConstrainedOptimizer() [2/2]

sgpp::optimization::optimizer::ConstrainedOptimizer::ConstrainedOptimizer ( const ConstrainedOptimizer &  other )

inline

Copy constructor.

Parameters

other

optimizer to be copied

References g, and h.

~ConstrainedOptimizer()

sgpp::optimization::optimizer::ConstrainedOptimizer::~ConstrainedOptimizer ( )

inlineoverride

Destructor.

Member Function Documentation

getEqualityConstraintFunction()

VectorFunction& sgpp::optimization::optimizer::ConstrainedOptimizer::getEqualityConstraintFunction ( ) const

inline

Returns

equality constraint function

References h.

getInequalityConstraintFunction()

VectorFunction& sgpp::optimization::optimizer::ConstrainedOptimizer::getInequalityConstraintFunction ( ) const

inline

Returns

inequality constraint function

References g.

Member Data Documentation

g

std::unique_ptr<VectorFunction> sgpp::optimization::optimizer::ConstrainedOptimizer::g

protected

inequality constraint function

Referenced by ConstrainedOptimizer(), sgpp::optimization::optimizer::AugmentedLagrangian::findFeasiblePoint(), getInequalityConstraintFunction(), sgpp::optimization::optimizer::LogBarrier::optimize(), sgpp::optimization::optimizer::SquaredPenalty::optimize(), and sgpp::optimization::optimizer::AugmentedLagrangian::optimize().

h

std::unique_ptr<VectorFunction> sgpp::optimization::optimizer::ConstrainedOptimizer::h

protected

equality constraint function

Referenced by ConstrainedOptimizer(), sgpp::optimization::optimizer::AugmentedLagrangian::findFeasiblePoint(), getEqualityConstraintFunction(), sgpp::optimization::optimizer::SquaredPenalty::optimize(), and sgpp::optimization::optimizer::AugmentedLagrangian::optimize().

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The documentation for this class was generated from the following file:

• optimization/src/sgpp/optimization/optimizer/constrained/ConstrainedOptimizer.hpp