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| 1 | +module OptimizationIpopt |
| 2 | + |
| 3 | +using Optimization |
| 4 | +using Ipopt |
| 5 | +using LinearAlgebra |
| 6 | +using SparseArrays |
| 7 | +using SciMLBase |
| 8 | +using SymbolicIndexingInterface |
| 9 | + |
| 10 | +export IpoptOptimizer |
| 11 | + |
| 12 | +const DenseOrSparse{T} = Union{Matrix{T}, SparseMatrixCSC{T}} |
| 13 | + |
| 14 | +struct IpoptOptimizer end |
| 15 | + |
| 16 | +function SciMLBase.supports_opt_cache_interface(alg::IpoptOptimizer) |
| 17 | + true |
| 18 | +end |
| 19 | + |
| 20 | +function SciMLBase.requiresgradient(opt::IpoptOptimizer) |
| 21 | + true |
| 22 | +end |
| 23 | +function SciMLBase.requireshessian(opt::IpoptOptimizer) |
| 24 | + true |
| 25 | +end |
| 26 | +function SciMLBase.requiresconsjac(opt::IpoptOptimizer) |
| 27 | + true |
| 28 | +end |
| 29 | +function SciMLBase.requiresconshess(opt::IpoptOptimizer) |
| 30 | + true |
| 31 | +end |
| 32 | + |
| 33 | +function SciMLBase.allowsbounds(opt::IpoptOptimizer) |
| 34 | + true |
| 35 | +end |
| 36 | +function SciMLBase.allowsconstraints(opt::IpoptOptimizer) |
| 37 | + true |
| 38 | +end |
| 39 | + |
| 40 | +include("cache.jl") |
| 41 | +include("callback.jl") |
| 42 | + |
| 43 | +function __map_optimizer_args(cache, |
| 44 | + opt::IpoptOptimizer; |
| 45 | + maxiters::Union{Number, Nothing} = nothing, |
| 46 | + maxtime::Union{Number, Nothing} = nothing, |
| 47 | + abstol::Union{Number, Nothing} = nothing, |
| 48 | + reltol::Union{Number, Nothing} = nothing, |
| 49 | + hessian_approximation = "exact", |
| 50 | + verbose = false, |
| 51 | + progress = false, |
| 52 | + callback = nothing, |
| 53 | + kwargs...) |
| 54 | + jacobian_sparsity = jacobian_structure(cache) |
| 55 | + hessian_sparsity = hessian_lagrangian_structure(cache) |
| 56 | + |
| 57 | + eval_f(x) = eval_objective(cache, x) |
| 58 | + eval_grad_f(x, grad_f) = eval_objective_gradient(cache, grad_f, x) |
| 59 | + eval_g(x, g) = eval_constraint(cache, g, x) |
| 60 | + function eval_jac_g(x, rows, cols, values) |
| 61 | + if values === nothing |
| 62 | + for i in 1:length(jacobian_sparsity) |
| 63 | + rows[i], cols[i] = jacobian_sparsity[i] |
| 64 | + end |
| 65 | + else |
| 66 | + eval_constraint_jacobian(cache, values, x) |
| 67 | + end |
| 68 | + return |
| 69 | + end |
| 70 | + function eval_h(x, rows, cols, obj_factor, lambda, values) |
| 71 | + if values === nothing |
| 72 | + for i in 1:length(hessian_sparsity) |
| 73 | + rows[i], cols[i] = hessian_sparsity[i] |
| 74 | + end |
| 75 | + else |
| 76 | + eval_hessian_lagrangian(cache, values, x, obj_factor, lambda) |
| 77 | + end |
| 78 | + return |
| 79 | + end |
| 80 | + |
| 81 | + lb = isnothing(cache.lb) ? fill(-Inf, cache.n) : cache.lb |
| 82 | + ub = isnothing(cache.ub) ? fill(Inf, cache.n) : cache.ub |
| 83 | + |
| 84 | + prob = Ipopt.CreateIpoptProblem( |
| 85 | + cache.n, |
| 86 | + lb, |
| 87 | + ub, |
| 88 | + cache.num_cons, |
| 89 | + cache.lcons, |
| 90 | + cache.ucons, |
| 91 | + length(jacobian_structure(cache)), |
| 92 | + length(hessian_lagrangian_structure(cache)), |
| 93 | + eval_f, |
| 94 | + eval_g, |
| 95 | + eval_grad_f, |
| 96 | + eval_jac_g, |
| 97 | + eval_h |
| 98 | + ) |
| 99 | + progress_callback = IpoptProgressLogger(cache.progress, cache, prob) |
| 100 | + intermediate = (args...) -> progress_callback(args...) |
| 101 | + Ipopt.SetIntermediateCallback(prob, intermediate) |
| 102 | + |
| 103 | + if !isnothing(maxiters) |
| 104 | + Ipopt.AddIpoptIntOption(prob, "max_iter", maxiters) |
| 105 | + end |
| 106 | + if !isnothing(maxtime) |
| 107 | + Ipopt.AddIpoptNumOption(prob, "max_cpu_time", maxtime) |
| 108 | + end |
| 109 | + if !isnothing(reltol) |
| 110 | + Ipopt.AddIpoptNumOption(prob, "tol", reltol) |
| 111 | + end |
| 112 | + if verbose isa Bool |
| 113 | + Ipopt.AddIpoptIntOption(prob, "print_level", verbose * 5) |
| 114 | + else |
| 115 | + Ipopt.AddIpoptIntOption(prob, "print_level", verbose) |
| 116 | + end |
| 117 | + Ipopt.AddIpoptStrOption(prob, "hessian_approximation", hessian_approximation) |
| 118 | + |
| 119 | + for kw in pairs(kwargs) |
| 120 | + if kw[2] isa Int |
| 121 | + Ipopt.AddIpoptIntOption(prob, string(kw[1]), kw[2]) |
| 122 | + elseif kw[2] isa Float64 |
| 123 | + Ipopt.AddIpoptNumOption(prob, string(kw[1]), kw[2]) |
| 124 | + elseif kw[2] isa String |
| 125 | + Ipopt.AddIpoptStrOption(prob, string(kw[1]), kw[2]) |
| 126 | + else |
| 127 | + error("Keyword argument type $(typeof(kw[2])) not recognized") |
| 128 | + end |
| 129 | + end |
| 130 | + |
| 131 | + return prob |
| 132 | +end |
| 133 | + |
| 134 | +function map_retcode(solvestat) |
| 135 | + status = Ipopt.ApplicationReturnStatus(solvestat) |
| 136 | + if status in [ |
| 137 | + Ipopt.Solve_Succeeded, |
| 138 | + Ipopt.Solved_To_Acceptable_Level, |
| 139 | + Ipopt.User_Requested_Stop, |
| 140 | + Ipopt.Feasible_Point_Found |
| 141 | + ] |
| 142 | + return ReturnCode.Success |
| 143 | + elseif status in [ |
| 144 | + Ipopt.Infeasible_Problem_Detected, |
| 145 | + Ipopt.Search_Direction_Becomes_Too_Small, |
| 146 | + Ipopt.Diverging_Iterates |
| 147 | + ] |
| 148 | + return ReturnCode.Infeasible |
| 149 | + elseif status == Ipopt.Maximum_Iterations_Exceeded |
| 150 | + return ReturnCode.MaxIters |
| 151 | + elseif status in [Ipopt.Maximum_CpuTime_Exceeded |
| 152 | + Ipopt.Maximum_WallTime_Exceeded] |
| 153 | + return ReturnCode.MaxTime |
| 154 | + else |
| 155 | + return ReturnCode.Failure |
| 156 | + end |
| 157 | +end |
| 158 | + |
| 159 | +function SciMLBase.__solve(cache::IpoptCache) |
| 160 | + maxiters = Optimization._check_and_convert_maxiters(cache.solver_args.maxiters) |
| 161 | + maxtime = Optimization._check_and_convert_maxtime(cache.solver_args.maxtime) |
| 162 | + |
| 163 | + opt_setup = __map_optimizer_args(cache, |
| 164 | + cache.opt; |
| 165 | + abstol = cache.solver_args.abstol, |
| 166 | + reltol = cache.solver_args.reltol, |
| 167 | + maxiters = maxiters, |
| 168 | + maxtime = maxtime, |
| 169 | + cache.solver_args...) |
| 170 | + |
| 171 | + opt_setup.x .= cache.reinit_cache.u0 |
| 172 | + |
| 173 | + start_time = time() |
| 174 | + status = Ipopt.IpoptSolve(opt_setup) |
| 175 | + |
| 176 | + opt_ret = map_retcode(status) |
| 177 | + |
| 178 | + if cache.progress |
| 179 | + # Set progressbar to 1 to finish it |
| 180 | + Base.@logmsg(Base.LogLevel(-1), "", progress=1, _id=:OptimizationIpopt) |
| 181 | + end |
| 182 | + |
| 183 | + minimum = opt_setup.obj_val |
| 184 | + minimizer = opt_setup.x |
| 185 | + |
| 186 | + stats = Optimization.OptimizationStats(; time = time() - start_time, |
| 187 | + iterations = cache.iterations, fevals = cache.f_calls, gevals = cache.f_grad_calls) |
| 188 | + |
| 189 | + finalize(opt_setup) |
| 190 | + |
| 191 | + return SciMLBase.build_solution(cache, |
| 192 | + cache.opt, |
| 193 | + minimizer, |
| 194 | + minimum; |
| 195 | + original = opt_setup, |
| 196 | + retcode = opt_ret, |
| 197 | + stats = stats) |
| 198 | +end |
| 199 | + |
| 200 | +function SciMLBase.__init(prob::OptimizationProblem, |
| 201 | + opt::IpoptOptimizer; |
| 202 | + maxiters::Union{Number, Nothing} = nothing, |
| 203 | + maxtime::Union{Number, Nothing} = nothing, |
| 204 | + abstol::Union{Number, Nothing} = nothing, |
| 205 | + reltol::Union{Number, Nothing} = nothing, |
| 206 | + kwargs...) |
| 207 | + cache = IpoptCache(prob, opt; |
| 208 | + maxiters, |
| 209 | + maxtime, |
| 210 | + abstol, |
| 211 | + reltol, |
| 212 | + kwargs... |
| 213 | + ) |
| 214 | + cache.reinit_cache.u0 .= prob.u0 |
| 215 | + |
| 216 | + return cache |
| 217 | +end |
| 218 | + |
| 219 | +end # OptimizationIpopt |
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