 ROOT   6.13/01 Reference Guide
ROOT::Math::IpoptMinimizer Class Reference

IpoptMinimizer class.

Implementation for Ipopt (Interior Point OPTimizer) is a software package for large-scale ​nonlinear optimization. It is designed to find (local) solutions of mathematical optimization problems.

The following information is required by IPOPT:

• Problem dimensions
1. number of variables
2. number of constraints
• Problem bounds
1. variable bounds
2. constraint bounds
• Initial starting point
1. Initial values for the primal $$x$$ variables
2. Initial values for the multipliers (only required for a warm start option)
• Problem Structure
1. number of nonzeros in the Jacobian of the constraints
2. number of nonzeros in the Hessian of the Lagrangian function
3. sparsity structure of the Jacobian of the constraints
4. sparsity structure of the Hessian of the Lagrangian function
• Evaluation of Problem Functions
1. Information evaluated using a given point ( $$x,\lambda, \sigma_f$$ coming from IPOPT)
2. Objective function, $$f(x)$$
3. Gradient of the objective $$\nabla f(x)$$
4. Constraint function values, $$g(x)$$
5. Jacobian of the constraints, $$\nabla g(x)^T$$
6. Hessian of the Lagrangian function, $$\sigma_f \nabla^2 f(x) + \sum_{i=1}^m\lambda_i\nabla^2 g_i(x)$$

(this is not required if a quasi-Newton options is chosen to approximate the second derivatives) The problem dimensions and bounds are straightforward and come solely from the problem definition. The initial starting point is used by the algorithm when it begins iterating to solve the problem. If IPOPT has difficulty converging, or if it converges to a locally infeasible point, adjusting the starting point may help. Depending on the starting point, IPOPT may also converge to different local solutions.

See Ipopt doc from more info on the Ipopt minimization algorithms.

Definition at line 88 of file IpoptMinimizer.h.

## Classes

class  InternalTNLP
Internal class to create a TNLP object, required for Ipopt minimization in c++, every method is overloaded to pass the information to Ipopt solvers. More...

## Public Member Functions

IpoptMinimizer ()
Default constructor. More...

IpoptMinimizer (const char *type)
Constructor with a string giving name of algorithm. More...

virtual ~IpoptMinimizer ()
Destructor. More...

virtual double CovMatrix (unsigned int, unsigned int) const
return covariance matrices elements if the variable is fixed the matrix is zero The ordering of the variables is the same as in errors More...

virtual double Edm () const
return expected distance reached from the minimum More...

virtual const double * Errors () const
return errors at the minimum More...

virtual bool Minimize ()
method to perform the minimization More...

virtual bool ProvidesError () const
return pointer to gradient values at the minimum More...

virtual void SetFunction (const ROOT::Math::IMultiGenFunction &func)
set the function to minimize More...

virtual void SetFunction (const ROOT::Math::IMultiGradFunction &func)
set the function to minimize More...

virtual void SetNNZerosHessian (UInt_t nzeros)

virtual void SetNNZerosJacobian (UInt_t nzeros)

virtual void SetOptionStringValue (const char *var, const char *value) Public Member Functions inherited from ROOT::Math::BasicMinimizer
BasicMinimizer ()
Default constructor. More...

virtual ~BasicMinimizer ()
Destructor. More...

virtual bool FixVariable (unsigned int ivar)
fix an existing variable More...

virtual bool GetVariableSettings (unsigned int ivar, ROOT::Fit::ParameterSettings &varObj) const
get variable settings in a variable object (like ROOT::Fit::ParamsSettings) More...

const ROOT::Math::IMultiGradFunctionGradObjFunction () const
return pointer to used gradient object function (NULL if gradient is not supported) More...

virtual bool IsFixedVariable (unsigned int ivar) const
query if an existing variable is fixed (i.e. More...

virtual double MinValue () const
return minimum function value More...

virtual unsigned int NDim () const
number of dimensions More...

virtual unsigned int NFree () const
number of free variables (real dimension of the problem) More...

virtual unsigned int NPar () const
total number of parameter defined More...

const ROOT::Math::IMultiGenFunctionObjFunction () const
return pointer to used objective function More...

void PrintResult () const
print result of minimization More...

virtual bool ReleaseVariable (unsigned int ivar)
release an existing variable More...

virtual bool SetFixedVariable (unsigned int, const std::string &, double)
set fixed variable (override if minimizer supports them ) More...

virtual bool SetLimitedVariable (unsigned int ivar, const std::string &name, double val, double step, double, double)
set upper/lower limited variable (override if minimizer supports them ) More...

virtual bool SetLowerLimitedVariable (unsigned int ivar, const std::string &name, double val, double step, double lower)
set lower limit variable (override if minimizer supports them ) More...

virtual bool SetUpperLimitedVariable (unsigned int ivar, const std::string &name, double val, double step, double upper)
set upper limit variable (override if minimizer supports them ) More...

virtual bool SetVariable (unsigned int ivar, const std::string &name, double val, double step)
set free variable More...

virtual bool SetVariableLimits (unsigned int ivar, double lower, double upper)
set the limits of an already existing variable More...

virtual bool SetVariableLowerLimit (unsigned int ivar, double lower)
set the lower-limit of an already existing variable More...

virtual bool SetVariableStepSize (unsigned int ivar, double step)
set the step size of an already existing variable More...

virtual bool SetVariableUpperLimit (unsigned int ivar, double upper)
set the upper-limit of an already existing variable More...

virtual bool SetVariableValue (unsigned int ivar, double val)
set the value of an existing variable More...

virtual bool SetVariableValues (const double *x)
set the values of all existing variables (array must be dimensioned to the size of existing parameters) More...

virtual const double * StepSizes () const
accessor methods More...

const ROOT::Math::MinimTransformFunctionTransformFunction () const
return transformation function (NULL if not having a transformation) More...

virtual int VariableIndex (const std::string &name) const
get index of variable given a variable given a name return -1 if variable is not found More...

virtual std::string VariableName (unsigned int ivar) const
get name of variables (override if minimizer support storing of variable names) More...

virtual const double * X () const
return pointer to X values at the minimum More... Public Member Functions inherited from ROOT::Math::Minimizer
Minimizer ()
Default constructor. More...

virtual ~Minimizer ()
Destructor (no operations) More...

virtual void Clear ()
reset for consecutive minimizations - implement if needed More...

virtual bool Contour (unsigned int ivar, unsigned int jvar, unsigned int &npoints, double *xi, double *xj)
find the contour points (xi, xj) of the function for parameter ivar and jvar around the minimum The contour will be find for value of the function = Min + ErrorUp(); More...

virtual double Correlation (unsigned int i, unsigned int j) const
return correlation coefficient between variable i and j. More...

virtual int CovMatrixStatus () const
return status of covariance matrix using Minuit convention {0 not calculated 1 approximated 2 made pos def , 3 accurate} Minimizer who implements covariance matrix calculation will re-implement the method More...

double ErrorDef () const
return the statistical scale used for calculate the error is typically 1 for Chi2 and 0.5 for likelihood minimization More...

virtual bool GetCovMatrix (double *covMat) const
Fill the passed array with the covariance matrix elements if the variable is fixed or const the value is zero. More...

virtual bool GetHessianMatrix (double *hMat) const
Fill the passed array with the Hessian matrix elements The Hessian matrix is the matrix of the second derivatives and is the inverse of the covariance matrix If the variable is fixed or const the values for that variables are zero. More...

virtual bool GetMinosError (unsigned int ivar, double &errLow, double &errUp, int option=0)
minos error for variable i, return false if Minos failed or not supported and the lower and upper errors are returned in errLow and errUp An extra flag specifies if only the lower (option=-1) or the upper (option=+1) error calculation is run (This feature is not yet implemented) More...

virtual double GlobalCC (unsigned int ivar) const
return global correlation coefficient for variable i This is a number between zero and one which gives the correlation between the i-th parameter and that linear combination of all other parameters which is most strongly correlated with i. More...

virtual bool Hesse ()
perform a full calculation of the Hessian matrix for error calculation More...

bool IsValidError () const
return true if Minimizer has performed a detailed error validation (e.g. run Hesse for Minuit) More...

unsigned int MaxFunctionCalls () const
max number of function calls More...

unsigned int MaxIterations () const
max iterations More...

virtual const double * MinGradient () const
return pointer to gradient values at the minimum More...

virtual unsigned int NCalls () const
number of function calls to reach the minimum More...

virtual unsigned int NIterations () const
number of iterations to reach the minimum More...

virtual MinimizerOptions Options () const
retrieve the minimizer options (implement derived class if needed) More...

double Precision () const
precision of minimizer in the evaluation of the objective function ( a value <=0 corresponds to the let the minimizer choose its default one) More...

int PrintLevel () const
minimizer configuration parameters More...

virtual void PrintResults ()
return reference to the objective function virtual const ROOT::Math::IGenFunction & Function() const = 0; More...

virtual bool Scan (unsigned int ivar, unsigned int &nstep, double *x, double *y, double xmin=0, double xmax=0)
scan function minimum for variable i. More...

void SetDefaultOptions ()
reset the defaut options (defined in MinimizerOptions) More...

void SetErrorDef (double up)
set scale for calculating the errors More...

void SetMaxFunctionCalls (unsigned int maxfcn)
set maximum of function calls More...

void SetMaxIterations (unsigned int maxiter)
set maximum iterations (one iteration can have many function calls) More...

void SetOptions (const MinimizerOptions &opt)
set all options in one go More...

void SetPrecision (double prec)
set in the minimizer the objective function evaluation precision ( a value <=0 means the minimizer will choose its optimal value automatically, i.e. More...

void SetPrintLevel (int level)
set print level More...

void SetStrategy (int strategyLevel)
set the strategy More...

void SetTolerance (double tol)
set the tolerance More...

void SetValidError (bool on)
flag to check if minimizer needs to perform accurate error analysis (e.g. run Hesse for Minuit) More...

virtual bool SetVariableInitialRange (unsigned int, double, double)
set the initial range of an existing variable More...

template<class VariableIterator >
int SetVariables (const VariableIterator &begin, const VariableIterator &end)
add variables . Return number of variables successfully added More...

int Status () const
status code of minimizer More...

int Strategy () const
strategy More...

double Tolerance () const
absolute tolerance More...

## Protected Attributes

Ipopt::SmartPtr< InternalTNLPfInternalTNLP Protected Attributes inherited from ROOT::Math::Minimizer
MinimizerOptions fOptions

int fStatus

bool fValidError

## Private Member Functions

IpoptMinimizer (const IpoptMinimizer &)
Copy constructor. More...

IpoptMinimizeroperator= (const IpoptMinimizer &rhs)
Assignment operator. More...

## Private Attributes

Ipopt::SmartPtr< Ipopt::IpoptApplication > fIpotApp

## Additional Inherited Members Protected Member Functions inherited from ROOT::Math::BasicMinimizer
bool CheckDimension () const

bool CheckObjFunction () const

MinimTransformFunctionCreateTransformation (std::vector< double > &startValues, const ROOT::Math::IMultiGradFunction *func=0)

void SetFinalValues (const double *x)

void SetMinValue (double val)

#include <Math/IpoptMinimizer.h>

Inheritance diagram for ROOT::Math::IpoptMinimizer:
[legend]

## ◆ IpoptMinimizer() [1/3]

 IpoptMinimizer::IpoptMinimizer ( )

Default constructor.

Definition at line 13 of file IpoptMinimizer.cxx.

## ◆ IpoptMinimizer() [2/3]

 IpoptMinimizer::IpoptMinimizer ( const char * type )

Constructor with a string giving name of algorithm.

Definition at line 21 of file IpoptMinimizer.cxx.

## ◆ ~IpoptMinimizer()

 IpoptMinimizer::~IpoptMinimizer ( )
virtual

Destructor.

Definition at line 28 of file IpoptMinimizer.cxx.

## ◆ IpoptMinimizer() [3/3]

 ROOT::Math::IpoptMinimizer::IpoptMinimizer ( const IpoptMinimizer & )
inlineprivate

Copy constructor.

Definition at line 375 of file IpoptMinimizer.h.

## ◆ CovMatrix()

 virtual double ROOT::Math::IpoptMinimizer::CovMatrix ( unsigned int , unsigned int ) const
inlinevirtual

return covariance matrices elements if the variable is fixed the matrix is zero The ordering of the variables is the same as in errors

Reimplemented from ROOT::Math::Minimizer.

Definition at line 423 of file IpoptMinimizer.h.

## ◆ Edm()

 virtual double ROOT::Math::IpoptMinimizer::Edm ( ) const
inlinevirtual

return expected distance reached from the minimum

Reimplemented from ROOT::Math::Minimizer.

Definition at line 405 of file IpoptMinimizer.h.

## ◆ Errors()

 virtual const double* ROOT::Math::IpoptMinimizer::Errors ( ) const
inlinevirtual

return errors at the minimum

Reimplemented from ROOT::Math::Minimizer.

Definition at line 417 of file IpoptMinimizer.h.

## ◆ Minimize()

 bool IpoptMinimizer::Minimize ( )
virtual

method to perform the minimization

Reimplemented from ROOT::Math::BasicMinimizer.

Definition at line 225 of file IpoptMinimizer.cxx.

## ◆ operator=()

 IpoptMinimizer& ROOT::Math::IpoptMinimizer::operator= ( const IpoptMinimizer & rhs )
inlineprivate

Assignment operator.

Definition at line 380 of file IpoptMinimizer.h.

## ◆ ProvidesError()

 virtual bool ROOT::Math::IpoptMinimizer::ProvidesError ( ) const
inlinevirtual

return pointer to gradient values at the minimum

number of function calls to reach the minimum minimizer provides error and error matrix

Reimplemented from ROOT::Math::Minimizer.

Definition at line 414 of file IpoptMinimizer.h.

## ◆ SetFunction() [1/2]

 void IpoptMinimizer::SetFunction ( const ROOT::Math::IMultiGenFunction & func )
virtual

set the function to minimize

Reimplemented from ROOT::Math::BasicMinimizer.

Definition at line 192 of file IpoptMinimizer.cxx.

## ◆ SetFunction() [2/2]

 virtual void ROOT::Math::IpoptMinimizer::SetFunction ( const ROOT::Math::IMultiGradFunction & func )
inlinevirtual

set the function to minimize

Reimplemented from ROOT::Math::BasicMinimizer.

Definition at line 393 of file IpoptMinimizer.h.

## ◆ SetNNZerosHessian()

 void IpoptMinimizer::SetNNZerosHessian ( UInt_t nzeros )
virtual

Definition at line 213 of file IpoptMinimizer.cxx.

## ◆ SetNNZerosJacobian()

 void IpoptMinimizer::SetNNZerosJacobian ( UInt_t nzeros )
virtual

Definition at line 207 of file IpoptMinimizer.cxx.

## ◆ SetOptionStringValue()

 void IpoptMinimizer::SetOptionStringValue ( const char * var, const char * value )
virtual

Definition at line 219 of file IpoptMinimizer.cxx.

## ◆ fInternalTNLP

 Ipopt::SmartPtr ROOT::Math::IpoptMinimizer::fInternalTNLP
protected

Definition at line 425 of file IpoptMinimizer.h.

## ◆ fIpotApp

 Ipopt::SmartPtr ROOT::Math::IpoptMinimizer::fIpotApp
private

Definition at line 90 of file IpoptMinimizer.h.

Libraries for ROOT::Math::IpoptMinimizer: [legend]

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