Optimizer.h

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#ifndef SimTK_SIMMATH_OPTIMIZER_H_
#define SimTK_SIMMATH_OPTIMIZER_H_

/* -------------------------------------------------------------------------- *
 *                        Simbody(tm): SimTKmath                              *
 * -------------------------------------------------------------------------- *
 * This is part of the SimTK biosimulation toolkit originating from           *
 * Simbios, the NIH National Center for Physics-Based Simulation of           *
 * Biological Structures at Stanford, funded under the NIH Roadmap for        *
 * Medical Research, grant U54 GM072970. See https://simtk.org/home/simbody.  *
 *                                                                            *
 * Portions copyright (c) 2006-13 Stanford University and the Authors.        *
 * Authors: Jack Middleton                                                    *
 * Contributors: Michael Sherman                                              *
 *                                                                            *
 * Licensed under the Apache License, Version 2.0 (the "License"); you may    *
 * not use this file except in compliance with the License. You may obtain a  *
 * copy of the License at http://www.apache.org/licenses/LICENSE-2.0.         *
 *                                                                            *
 * Unless required by applicable law or agreed to in writing, software        *
 * distributed under the License is distributed on an "AS IS" BASIS,          *
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.   *
 * See the License for the specific language governing permissions and        *
 * limitations under the License.                                             *
 * -------------------------------------------------------------------------- */


#include "SimTKcommon.h"
#include "simmath/internal/common.h"
#include "simmath/Differentiator.h"

namespace SimTK {

enum OptimizerAlgorithm {
     BestAvailable = 0,
     InteriorPoint = 1,
     LBFGS         = 2,
     LBFGSB        = 3,
     CFSQP         = 4,
     CMAES         = 5,
     UnknownOptimizerAlgorithm = 6, // the default impl. of getAlgorithm.
     UserSuppliedOptimizerAlgorithm = 7
};

class SimTK_SIMMATH_EXPORT OptimizerSystem {
public:
    OptimizerSystem() : numParameters(0),
                        numEqualityConstraints(0),
                        numInequalityConstraints(0),
                        numLinearEqualityConstraints(0),
                        numLinearInequalityConstraints(0),
                        useLimits( false ),
                        lowerLimits(0),
                        upperLimits(0) { 
    }

    explicit OptimizerSystem(int nParameters ) { 
        new (this) OptimizerSystem(); // call the above constructor
        setNumParameters(nParameters);
    }

    virtual ~OptimizerSystem() {
        if( useLimits ) {
            delete lowerLimits;
            delete upperLimits;
        }
    }

    virtual int objectiveFunc      ( const Vector& parameters, 
                                 bool new_parameters, Real& f ) const {
                                 SimTK_THROW2(SimTK::Exception::UnimplementedVirtualMethod , "OptimizerSystem", "objectiveFunc" );
                                 return -1; }
  
    virtual int gradientFunc       ( const Vector &parameters, 
                                 bool new_parameters, Vector &gradient ) const  {
                                 SimTK_THROW2(SimTK::Exception::UnimplementedVirtualMethod , "OptimizerSystem", "gradientFunc" );
                                 return -1; }
    virtual int constraintFunc     ( const Vector & parameters, 
                                 bool new_parameters, Vector & constraints ) const {
                                 SimTK_THROW2(SimTK::Exception::UnimplementedVirtualMethod , "OptimizerSystem", "constraintFunc" );
                                 return -1; }
    virtual int constraintJacobian ( const Vector& parameters, 
                                  bool new_parameters, Matrix& jac ) const {
                                 SimTK_THROW2(SimTK::Exception::UnimplementedVirtualMethod , "OptimizerSystem", "constraintJacobian" );
                                 return -1; }
    virtual int hessian            (  const Vector &parameters, 
                                 bool new_parameters, Vector &gradient) const {
                                 SimTK_THROW2(SimTK::Exception::UnimplementedVirtualMethod , "OptimizerSystem", "hessian" );
                                 return -1; }

   void setNumParameters( const int nParameters ) {
       if(   nParameters < 1 ) {
           const char* where = " OptimizerSystem  Constructor";
           const char* szName = "number of parameters";
           SimTK_THROW5(SimTK::Exception::ValueOutOfRange, szName, 1, nParameters, INT_MAX, where);
       } else {
           numParameters = nParameters;
       }
   }
   void setNumEqualityConstraints( const int n ) {
       if( n < 0 ) {
           const char* where = " OptimizerSystem  setNumEqualityConstraints";
           const char* szName = "number of equality constraints";
           SimTK_THROW3(SimTK::Exception::SizeWasNegative, szName, n, where);
       } else {
           numEqualityConstraints = n;
       }
   }
   void setNumInequalityConstraints( const int n ) {
       if( n < 0 ) {
           const char* where = " OptimizerSystem  setNumInequalityConstraints";
           const char* szName = "number of inequality constraints";
           SimTK_THROW3(SimTK::Exception::SizeWasNegative, szName, n, where);
       } else {
           numInequalityConstraints = n;
       }
   }
   void setNumLinearEqualityConstraints( const int n ) {
       if( n < 0 || n > numEqualityConstraints ) {
           const char* where = " OptimizerSystem  setNumLinearEqualityConstraints";
           const char* szName = "number of linear equality constraints";
           SimTK_THROW4(SimTK::Exception::SizeOutOfRange, szName, n, numEqualityConstraints, where);
       } else {
           numLinearEqualityConstraints = n;
       }
   }
   void setNumLinearInequalityConstraints( const int n ) {
       if( n < 0 || n > numInequalityConstraints ) {
           const char* where = " OptimizerSystem  setNumLinearInequalityConstraints";
           const char* szName = "number of linear inequality constraints";
           SimTK_THROW4(SimTK::Exception::SizeOutOfRange, szName, n, numInequalityConstraints, where);
       } else {
           numLinearInequalityConstraints = n;
       }
   }
   void setParameterLimits( const Vector& lower, const Vector& upper  ) {
       if(   upper.size() != numParameters  && upper.size() != 0) {
           const char* where = " OptimizerSystem  setParamtersLimits";
           const char* szName = "upper limits length";
           SimTK_THROW5(Exception::IncorrectArrayLength, szName, upper.size(), "numParameters", numParameters, where);
       }
       if(   lower.size() != numParameters  && lower.size() != 0 ) {
           const char* where = " OptimizerSystem  setParamtersLimits";
           const char* szName = "lower limits length";
           SimTK_THROW5(Exception::IncorrectArrayLength, szName, lower.size(), "numParameters", numParameters, where);
       } 

       // set the upper and lower limits
       if( useLimits ) {
           delete lowerLimits;
           delete upperLimits;
       }

       if( upper.size() == 0 ) {
          useLimits = false;
       } else {
          lowerLimits = new Vector( lower );
          upperLimits = new Vector( upper );
          useLimits = true;
       }
   }

   int getNumParameters() const {return numParameters;}
   int getNumConstraints() const {return numEqualityConstraints+numInequalityConstraints;}
   int getNumEqualityConstraints() const {return numEqualityConstraints;}
   int getNumInequalityConstraints() const {return numInequalityConstraints;}
   int getNumLinearEqualityConstraints() const {return numLinearEqualityConstraints;}
   int getNumNonlinearEqualityConstraints() const {return numEqualityConstraints-numLinearEqualityConstraints;}
   int getNumLinearInequalityConstraints() const {return numLinearInequalityConstraints;}
   int getNumNonlinearInequalityConstraints() const {return numInequalityConstraints-numLinearInequalityConstraints;}

   bool getHasLimits() const { return useLimits; }
   void getParameterLimits( Real **lower, Real **upper ) const {
        *lower = &(*lowerLimits)[0];
        *upper = &(*upperLimits)[0];
   }

private:
   int numParameters;
   int numEqualityConstraints;
   int numInequalityConstraints;
   int numLinearEqualityConstraints;
   int numLinearInequalityConstraints;
   bool useLimits;
   Vector* lowerLimits;
   Vector* upperLimits;

}; // class OptimizerSystem

class SimTK_SIMMATH_EXPORT Optimizer {
public:
    Optimizer();
    Optimizer( const OptimizerSystem& sys);
    Optimizer( const OptimizerSystem& sys, OptimizerAlgorithm algorithm);
    ~Optimizer();

    static bool isAlgorithmAvailable(OptimizerAlgorithm algorithm);
   
    void setConvergenceTolerance(Real accuracy );
    void setConstraintTolerance(Real tolerance);


    void setMaxIterations( int iter );
    void setLimitedMemoryHistory( int history );
    void setDiagnosticsLevel( int level ); 

    void setOptimizerSystem( const OptimizerSystem& sys  );
    void setOptimizerSystem( const OptimizerSystem& sys, OptimizerAlgorithm algorithm );

    bool setAdvancedStrOption( const char *option, const char *value );
    bool setAdvancedRealOption( const char *option, const Real value );
    bool setAdvancedIntOption( const char *option, const int value );
    bool setAdvancedBoolOption( const char *option, const bool value );

    
    void setDifferentiatorMethod(Differentiator::Method method);
    Differentiator::Method getDifferentiatorMethod() const;

    OptimizerAlgorithm getAlgorithm() const;

    void useNumericalGradient(bool flag, 
        Real estimatedAccuracyOfObjective = SignificantReal);
    void useNumericalJacobian(bool flag, 
        Real estimatedAccuracyOfConstraints = SignificantReal);

    Real optimize(Vector&);

    const OptimizerSystem& getOptimizerSystem() const;

    bool isUsingNumericalGradient() const;
    bool isUsingNumericalJacobian() const;
    Real getEstimatedAccuracyOfObjective() const;
    Real getEstimatedAccuracyOfConstraints() const;

    // This is a local class.
    class OptimizerRep;
private:
    Optimizer( const Optimizer& c );
    Optimizer& operator=(const Optimizer& rhs);

    OptimizerRep* constructOptimizerRep(const OptimizerSystem&, OptimizerAlgorithm);
    const OptimizerRep& getRep() const {assert(rep); return *rep;}
    OptimizerRep&       updRep()       {assert(rep); return *rep;}

    // Hidden implementation to preserve binary compatibility.
    OptimizerRep* rep;

friend class OptimizerRep;
}; // class Optimizer
 
} // namespace SimTK

#endif //SimTK_SIMMATH_OPTIMIZER_H_