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::IMultiGradFunction *	GradObjFunction () 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::IMultiGenFunction *	ObjFunction () 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::MinimTransformFunction *	TransformFunction () 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< InternalTNLP >	fInternalTNLP

Protected Attributes inherited from ROOT::Math::Minimizer
MinimizerOptions	fOptions

int	fStatus

bool	fValidError

Private Member Functions
	IpoptMinimizer (const IpoptMinimizer &)
	Copy constructor. More...

IpoptMinimizer &	operator= (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

MinimTransformFunction *	CreateTransformation (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]

Constructor & Destructor Documentation

◆ 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.

Member Function Documentation

◆ 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.

Member Data Documentation

◆ fInternalTNLP

Ipopt::SmartPtr<InternalTNLP> ROOT::Math::IpoptMinimizer::fInternalTNLP

protected

Definition at line 425 of file IpoptMinimizer.h.

◆ fIpotApp

Ipopt::SmartPtr<Ipopt::IpoptApplication> 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:

math/ipopt/inc/Math/IpoptMinimizer.h
math/ipopt/src/IpoptMinimizer.cxx

Classes

Public Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Additional Inherited Members

Constructor & Destructor Documentation

◆ IpoptMinimizer() [1/3]

◆ IpoptMinimizer() [2/3]

◆ ~IpoptMinimizer()

◆ IpoptMinimizer() [3/3]

Member Function Documentation

◆ CovMatrix()

◆ Edm()

◆ Errors()

◆ Minimize()

◆ operator=()

◆ ProvidesError()

◆ SetFunction() [1/2]

◆ SetFunction() [2/2]

◆ SetNNZerosHessian()

◆ SetNNZerosJacobian()

◆ SetOptionStringValue()

Member Data Documentation

◆ fInternalTNLP

◆ fIpotApp