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api.jl
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export obj, grad, grad!, objgrad, objgrad!, objcons, objcons!
export cons, cons!, cons_lin, cons_lin!, cons_nln, cons_nln!
export jth_con, jth_congrad, jth_congrad!, jth_sparse_congrad
export jac_structure!, jac_structure, jac_coord!, jac_coord
export jac, jprod, jprod!, jtprod, jtprod!, jac_op, jac_op!
export jac_lin_structure!, jac_lin_structure, jac_lin_coord!, jac_lin_coord
export jac_lin, jprod_lin, jprod_lin!, jtprod_lin, jtprod_lin!, jac_lin_op, jac_lin_op!
export jac_nln_structure!, jac_nln_structure, jac_nln_coord!, jac_nln_coord
export jac_nln, jprod_nln, jprod_nln!, jtprod_nln, jtprod_nln!, jac_nln_op, jac_nln_op!
export jth_hess_coord, jth_hess_coord!, jth_hess
export jth_hprod, jth_hprod!, ghjvprod, ghjvprod!
export hess_structure!, hess_structure, hess_coord!, hess_coord
export hess, hprod, hprod!, hess_op, hess_op!
export varscale, lagscale, conscale
"""
f = obj(nlp, x)
Evaluate ``f(x)``, the objective function of `nlp` at `x`.
"""
function obj end
"""
g = grad(nlp, x)
Evaluate ``∇f(x)``, the gradient of the objective function at `x`.
"""
function grad(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
g = S(undef, nlp.meta.nvar)
return grad!(nlp, x, g)
end
"""
g = grad!(nlp, x, g)
Evaluate ``∇f(x)``, the gradient of the objective function at `x` in place.
"""
function grad! end
"""
c = cons(nlp, x)
Evaluate ``c(x)``, the constraints at `x`.
"""
function cons(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
c = S(undef, nlp.meta.ncon)
return cons!(nlp, x, c)
end
"""
c = cons!(nlp, x, c)
Evaluate ``c(x)``, the constraints at `x` in place.
"""
function cons!(nlp::AbstractNLPModel, x::AbstractVector, cx::AbstractVector)
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.ncon cx
increment!(nlp, :neval_cons)
nlp.meta.nlin > 0 && cons_lin!(nlp, x, view(cx, nlp.meta.lin))
nlp.meta.nnln > 0 && cons_nln!(nlp, x, view(cx, nlp.meta.nln))
return cx
end
"""
c = cons_lin(nlp, x)
Evaluate the linear constraints at `x`.
"""
function cons_lin(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
c = S(undef, nlp.meta.nlin)
return cons_lin!(nlp, x, c)
end
"""
c = cons_lin!(nlp, x, c)
Evaluate the linear constraints at `x` in place.
"""
function cons_lin! end
"""
c = cons_nln(nlp, x)
Evaluate the nonlinear constraints at `x`.
"""
function cons_nln(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
c = S(undef, nlp.meta.nnln)
return cons_nln!(nlp, x, c)
end
"""
c = cons_nln!(nlp, x, c)
Evaluate the nonlinear constraints at `x` in place.
"""
function cons_nln! end
function jth_con end
function jth_congrad(nlp::AbstractNLPModel{T, S}, x::AbstractVector, j::Integer) where {T, S}
@lencheck nlp.meta.nvar x
g = S(undef, nlp.meta.nvar)
return jth_congrad!(nlp, x, j, g)
end
function jth_congrad! end
function jth_sparse_congrad end
"""
f, c = objcons(nlp, x)
Evaluate ``f(x)`` and ``c(x)`` at `x`.
"""
function objcons(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
c = S(undef, nlp.meta.ncon)
return objcons!(nlp, x, c)
end
"""
f, c = objcons!(nlp, x, c)
Evaluate ``f(x)`` and ``c(x)`` at `x`. `c` is overwritten with the value of ``c(x)``.
"""
function objcons!(nlp::AbstractNLPModel, x::AbstractVector, c::AbstractVector)
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.ncon c
f = obj(nlp, x)
cons!(nlp, x, c)
return f, c
end
"""
f, g = objgrad(nlp, x)
Evaluate ``f(x)`` and ``∇f(x)`` at `x`.
"""
function objgrad(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
g = S(undef, nlp.meta.nvar)
return objgrad!(nlp, x, g)
end
"""
f, g = objgrad!(nlp, x, g)
Evaluate ``f(x)`` and ``∇f(x)`` at `x`. `g` is overwritten with the
value of ``∇f(x)``.
"""
function objgrad!(nlp::AbstractNLPModel, x::AbstractVector, g::AbstractVector)
@lencheck nlp.meta.nvar x g
f = obj(nlp, x)
grad!(nlp, x, g)
return f, g
end
"""
(rows,cols) = jac_structure(nlp)
Return the structure of the constraints Jacobian in sparse coordinate format.
"""
function jac_structure(nlp::AbstractNLPModel)
rows = Vector{Int}(undef, nlp.meta.nnzj)
cols = Vector{Int}(undef, nlp.meta.nnzj)
jac_structure!(nlp, rows, cols)
end
"""
jac_structure!(nlp, rows, cols)
Return the structure of the constraints Jacobian in sparse coordinate format in place.
"""
function jac_structure!(
nlp::AbstractNLPModel,
rows::AbstractVector{T},
cols::AbstractVector{T},
) where {T}
@lencheck nlp.meta.nnzj rows cols
lin_ind = 1:(nlp.meta.lin_nnzj)
nlp.meta.nlin > 0 && jac_lin_structure!(nlp, view(rows, lin_ind), view(cols, lin_ind))
for i in lin_ind
rows[i] += count(x < nlp.meta.lin[rows[i]] for x in nlp.meta.nln)
end
if nlp.meta.nnln > 0
nln_ind = (nlp.meta.lin_nnzj + 1):(nlp.meta.lin_nnzj + nlp.meta.nln_nnzj)
jac_nln_structure!(nlp, view(rows, nln_ind), view(cols, nln_ind))
for i in nln_ind
rows[i] += count(x < nlp.meta.nln[rows[i]] for x in nlp.meta.lin)
end
end
return rows, cols
end
"""
(rows,cols) = jac_lin_structure(nlp)
Return the structure of the linear constraints Jacobian in sparse coordinate format.
"""
function jac_lin_structure(nlp::AbstractNLPModel)
rows = Vector{Int}(undef, nlp.meta.lin_nnzj)
cols = Vector{Int}(undef, nlp.meta.lin_nnzj)
jac_lin_structure!(nlp, rows, cols)
end
"""
jac_lin_structure!(nlp, rows, cols)
Return the structure of the linear constraints Jacobian in sparse coordinate format in place.
"""
function jac_lin_structure! end
"""
(rows,cols) = jac_nln_structure(nlp)
Return the structure of the nonlinear constraints Jacobian in sparse coordinate format.
"""
function jac_nln_structure(nlp::AbstractNLPModel)
rows = Vector{Int}(undef, nlp.meta.nln_nnzj)
cols = Vector{Int}(undef, nlp.meta.nln_nnzj)
jac_nln_structure!(nlp, rows, cols)
end
"""
jac_nln_structure!(nlp, rows, cols)
Return the structure of the nonlinear constraints Jacobian in sparse coordinate format in place.
"""
function jac_nln_structure! end
"""
vals = jac_coord!(nlp, x, vals)
Evaluate ``J(x)``, the constraints Jacobian at `x` in sparse coordinate format,
rewriting `vals`.
"""
function jac_coord!(nlp::AbstractNLPModel, x::AbstractVector, vals::AbstractVector)
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.nnzj vals
increment!(nlp, :neval_jac)
lin_ind = 1:(nlp.meta.lin_nnzj)
nlp.meta.nlin > 0 && jac_lin_coord!(nlp, x, view(vals, lin_ind))
nln_ind = (nlp.meta.lin_nnzj + 1):(nlp.meta.lin_nnzj + nlp.meta.nln_nnzj)
nlp.meta.nnln > 0 && jac_nln_coord!(nlp, x, view(vals, nln_ind))
return vals
end
"""
vals = jac_coord(nlp, x)
Evaluate ``J(x)``, the constraints Jacobian at `x` in sparse coordinate format.
"""
function jac_coord(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
vals = S(undef, nlp.meta.nnzj)
return jac_coord!(nlp, x, vals)
end
"""
Jx = jac(nlp, x)
Evaluate ``J(x)``, the constraints Jacobian at `x` as a sparse matrix.
"""
function jac(nlp::AbstractNLPModel, x::AbstractVector)
@lencheck nlp.meta.nvar x
rows, cols = jac_structure(nlp)
vals = jac_coord(nlp, x)
sparse(rows, cols, vals, nlp.meta.ncon, nlp.meta.nvar)
end
"""
vals = jac_lin_coord!(nlp, x, vals)
Evaluate ``J(x)``, the linear constraints Jacobian at `x` in sparse coordinate format,
overwriting `vals`.
"""
function jac_lin_coord! end
"""
vals = jac_lin_coord(nlp, x)
Evaluate ``J(x)``, the linear constraints Jacobian at `x` in sparse coordinate format.
"""
function jac_lin_coord(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
vals = S(undef, nlp.meta.lin_nnzj)
return jac_lin_coord!(nlp, x, vals)
end
"""
Jx = jac_lin(nlp, x)
Evaluate ``J(x)``, the linear constraints Jacobian at `x` as a sparse matrix.
"""
function jac_lin(nlp::AbstractNLPModel, x::AbstractVector)
@lencheck nlp.meta.nvar x
rows, cols = jac_lin_structure(nlp)
vals = jac_lin_coord(nlp, x)
sparse(rows, cols, vals, nlp.meta.nlin, nlp.meta.nvar)
end
"""
vals = jac_nln_coord!(nlp, x, vals)
Evaluate ``J(x)``, the nonlinear constraints Jacobian at `x` in sparse coordinate format,
overwriting `vals`.
"""
function jac_nln_coord! end
"""
vals = jac_nln_coord(nlp, x)
Evaluate ``J(x)``, the nonlinear constraints Jacobian at `x` in sparse coordinate format.
"""
function jac_nln_coord(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
vals = S(undef, nlp.meta.nln_nnzj)
return jac_nln_coord!(nlp, x, vals)
end
"""
Jx = jac_nln(nlp, x)
Evaluate ``J(x)``, the nonlinear constraints Jacobian at `x` as a sparse matrix.
"""
function jac_nln(nlp::AbstractNLPModel, x::AbstractVector)
@lencheck nlp.meta.nvar x
rows, cols = jac_nln_structure(nlp)
vals = jac_nln_coord(nlp, x)
sparse(rows, cols, vals, nlp.meta.nnln, nlp.meta.nvar)
end
"""
Jv = jprod(nlp, x, v)
Evaluate ``J(x)v``, the Jacobian-vector product at `x`.
"""
function jprod(nlp::AbstractNLPModel{T, S}, x::AbstractVector, v::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x v
Jv = S(undef, nlp.meta.ncon)
return jprod!(nlp, x, v, Jv)
end
"""
Jv = jprod!(nlp, x, v, Jv)
Evaluate ``J(x)v``, the Jacobian-vector product at `x` in place.
"""
function jprod!(nlp::AbstractNLPModel, x::AbstractVector, v::AbstractVector, Jv::AbstractVector)
@lencheck nlp.meta.nvar x v
@lencheck nlp.meta.ncon Jv
increment!(nlp, :neval_jprod)
nlp.meta.nlin > 0 && jprod_lin!(nlp, x, v, view(Jv, nlp.meta.lin))
nlp.meta.nnln > 0 && jprod_nln!(nlp, x, v, view(Jv, nlp.meta.nln))
return Jv
end
"""
Jv = jprod!(nlp, rows, cols, vals, v, Jv)
Evaluate ``J(x)v``, the Jacobian-vector product, where the Jacobian is given by
`(rows, cols, vals)` in triplet format.
"""
function jprod!(
nlp::AbstractNLPModel,
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector,
v::AbstractVector,
Jv::AbstractVector,
)
@lencheck nlp.meta.nnzj rows cols vals
@lencheck nlp.meta.nvar v
@lencheck nlp.meta.ncon Jv
increment!(nlp, :neval_jprod)
coo_prod!(rows, cols, vals, v, Jv)
end
"""
Jv = jprod_lin(nlp, x, v)
Evaluate ``J(x)v``, the linear Jacobian-vector product at `x`.
"""
function jprod_lin(nlp::AbstractNLPModel{T, S}, x::AbstractVector, v::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x v
Jv = S(undef, nlp.meta.nlin)
return jprod_lin!(nlp, x, v, Jv)
end
"""
Jv = jprod_lin!(nlp, x, v, Jv)
Evaluate ``J(x)v``, the linear Jacobian-vector product at `x` in place.
"""
function jprod_lin! end
"""
Jv = jprod_lin!(nlp, rows, cols, vals, v, Jv)
Evaluate ``J(x)v``, the linear Jacobian-vector product, where the Jacobian is given by
`(rows, cols, vals)` in triplet format.
"""
function jprod_lin!(
nlp::AbstractNLPModel,
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector,
v::AbstractVector,
Jv::AbstractVector,
)
@lencheck nlp.meta.lin_nnzj rows cols vals
@lencheck nlp.meta.nvar v
@lencheck nlp.meta.nlin Jv
increment!(nlp, :neval_jprod_lin)
coo_prod!(rows, cols, vals, v, Jv)
end
"""
Jv = jprod_nln(nlp, x, v)
Evaluate ``J(x)v``, the nonlinear Jacobian-vector product at `x`.
"""
function jprod_nln(nlp::AbstractNLPModel{T, S}, x::AbstractVector, v::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x v
Jv = S(undef, nlp.meta.nnln)
return jprod_nln!(nlp, x, v, Jv)
end
"""
Jv = jprod_nln!(nlp, x, v, Jv)
Evaluate ``J(x)v``, the nonlinear Jacobian-vector product at `x` in place.
"""
function jprod_nln! end
"""
Jv = jprod_nln!(nlp, rows, cols, vals, v, Jv)
Evaluate ``J(x)v``, the nonlinear Jacobian-vector product, where the Jacobian is given by
`(rows, cols, vals)` in triplet format.
"""
function jprod_nln!(
nlp::AbstractNLPModel,
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector,
v::AbstractVector,
Jv::AbstractVector,
)
@lencheck nlp.meta.nln_nnzj rows cols vals
@lencheck nlp.meta.nvar v
@lencheck nlp.meta.nnln Jv
increment!(nlp, :neval_jprod_nln)
coo_prod!(rows, cols, vals, v, Jv)
end
"""
Jtv = jtprod(nlp, x, v)
Evaluate ``J(x)^Tv``, the transposed-Jacobian-vector product at `x`.
"""
function jtprod(nlp::AbstractNLPModel{T, S}, x::AbstractVector, v::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.ncon v
Jtv = S(undef, nlp.meta.nvar)
return jtprod!(nlp, x, v, Jtv)
end
"""
Jtv = jtprod!(nlp, x, v, Jtv)
Evaluate ``J(x)^Tv``, the transposed-Jacobian-vector product at `x` in place.
If the problem has linear and nonlinear constraints, this function allocates.
"""
function jtprod!(nlp::AbstractNLPModel, x::AbstractVector, v::AbstractVector, Jtv::AbstractVector)
@lencheck nlp.meta.nvar x Jtv
@lencheck nlp.meta.ncon v
increment!(nlp, :neval_jtprod)
if nlp.meta.nnln == 0
jtprod_lin!(nlp, x, v, Jtv)
elseif nlp.meta.nlin == 0
jtprod_nln!(nlp, x, v, Jtv)
elseif nlp.meta.nlin >= nlp.meta.nnln
jtprod_lin!(nlp, x, view(v, nlp.meta.lin), Jtv)
if nlp.meta.nnln > 0
Jtv .+= jtprod_nln(nlp, x, view(v, nlp.meta.nln))
end
else
jtprod_nln!(nlp, x, view(v, nlp.meta.nln), Jtv)
if nlp.meta.nlin > 0
Jtv .+= jtprod_lin(nlp, x, view(v, nlp.meta.lin))
end
end
return Jtv
end
"""
Jtv = jtprod!(nlp, rows, cols, vals, v, Jtv)
Evaluate ``J(x)^Tv``, the transposed-Jacobian-vector product, where the
Jacobian is given by `(rows, cols, vals)` in triplet format.
"""
function jtprod!(
nlp::AbstractNLPModel,
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector,
v::AbstractVector,
Jtv::AbstractVector,
)
@lencheck nlp.meta.nnzj rows cols vals
@lencheck nlp.meta.ncon v
@lencheck nlp.meta.nvar Jtv
increment!(nlp, :neval_jtprod)
coo_prod!(cols, rows, vals, v, Jtv)
end
"""
Jtv = jtprod_lin(nlp, x, v)
Evaluate ``J(x)^Tv``, the linear transposed-Jacobian-vector product at `x`.
"""
function jtprod_lin(nlp::AbstractNLPModel{T, S}, x::AbstractVector, v::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.nlin v
Jtv = S(undef, nlp.meta.nvar)
return jtprod_lin!(nlp, x, v, Jtv)
end
"""
Jtv = jtprod_lin!(nlp, x, v, Jtv)
Evaluate ``J(x)^Tv``, the linear transposed-Jacobian-vector product at `x` in place.
"""
function jtprod_lin! end
"""
Jtv = jtprod_lin!(nlp, rows, cols, vals, v, Jtv)
Evaluate ``J(x)^Tv``, the linear transposed-Jacobian-vector product, where the
Jacobian is given by `(rows, cols, vals)` in triplet format.
"""
function jtprod_lin!(
nlp::AbstractNLPModel,
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector,
v::AbstractVector,
Jtv::AbstractVector,
)
@lencheck nlp.meta.lin_nnzj rows cols vals
@lencheck nlp.meta.nlin v
@lencheck nlp.meta.nvar Jtv
increment!(nlp, :neval_jtprod_lin)
coo_prod!(cols, rows, vals, v, Jtv)
end
"""
Jtv = jtprod_nln(nlp, x, v)
Evaluate ``J(x)^Tv``, the nonlinear transposed-Jacobian-vector product at `x`.
"""
function jtprod_nln(nlp::AbstractNLPModel{T, S}, x::AbstractVector, v::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.nnln v
Jtv = S(undef, nlp.meta.nvar)
return jtprod_nln!(nlp, x, v, Jtv)
end
"""
Jtv = jtprod_nln!(nlp, x, v, Jtv)
Evaluate ``J(x)^Tv``, the nonlinear transposed-Jacobian-vector product at `x` in place.
"""
function jtprod_nln! end
"""
Jtv = jtprod_nln!(nlp, rows, cols, vals, v, Jtv)
Evaluate ``J(x)^Tv``, the nonlinear transposed-Jacobian-vector product, where the
Jacobian is given by `(rows, cols, vals)` in triplet format.
"""
function jtprod_nln!(
nlp::AbstractNLPModel,
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector,
v::AbstractVector,
Jtv::AbstractVector,
)
@lencheck nlp.meta.nln_nnzj rows cols vals
@lencheck nlp.meta.nnln v
@lencheck nlp.meta.nvar Jtv
increment!(nlp, :neval_jtprod_nln)
coo_prod!(cols, rows, vals, v, Jtv)
end
"""
J = jac_op(nlp, x)
Return the Jacobian at `x` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or
`J' * v`.
"""
function jac_op(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
Jv = S(undef, nlp.meta.ncon)
Jtv = S(undef, nlp.meta.nvar)
return jac_op!(nlp, x, Jv, Jtv)
end
"""
J = jac_op!(nlp, x, Jv, Jtv)
Return the Jacobian at `x` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or
`J' * v`. The values `Jv` and `Jtv` are used as preallocated storage for the
operations.
"""
function jac_op!(
nlp::AbstractNLPModel{T, S},
x::AbstractVector{T},
Jv::AbstractVector,
Jtv::AbstractVector,
) where {T, S}
@lencheck nlp.meta.nvar x Jtv
@lencheck nlp.meta.ncon Jv
prod! = @closure (res, v, α, β) -> begin # res = α * J * v + β * res
jprod!(nlp, x, v, Jv)
if β == 0
@. res = α * Jv
else
@. res = α * Jv + β * res
end
return res
end
ctprod! = @closure (res, v, α, β) -> begin
jtprod!(nlp, x, v, Jtv)
if β == 0
@. res = α * Jtv
else
@. res = α * Jtv + β * res
end
return res
end
return LinearOperator{T}(nlp.meta.ncon, nlp.meta.nvar, false, false, prod!, ctprod!, ctprod!)
end
"""
J = jac_op!(nlp, rows, cols, vals, Jv, Jtv)
Return the Jacobian given by `(rows, cols, vals)` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or `J' * v`.
The values `Jv` and `Jtv` are used as preallocated storage for the operations.
"""
function jac_op!(
nlp::AbstractNLPModel{T, S},
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector{T},
Jv::AbstractVector,
Jtv::AbstractVector,
) where {T, S}
@lencheck nlp.meta.nnzj rows cols vals
@lencheck nlp.meta.ncon Jv
@lencheck nlp.meta.nvar Jtv
prod! = @closure (res, v, α, β) -> begin # res = α * J * v + β * res
jprod!(nlp, rows, cols, vals, v, Jv)
if β == 0
@. res = α * Jv
else
@. res = α * Jv + β * res
end
return res
end
ctprod! = @closure (res, v, α, β) -> begin
jtprod!(nlp, rows, cols, vals, v, Jtv)
if β == 0
@. res = α * Jtv
else
@. res = α * Jtv + β * res
end
return res
end
return LinearOperator{T}(nlp.meta.ncon, nlp.meta.nvar, false, false, prod!, ctprod!, ctprod!)
end
"""
J = jac_lin_op(nlp, x)
Return the linear Jacobian at `x` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or
`J' * v`.
"""
function jac_lin_op(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
Jv = S(undef, nlp.meta.nlin)
Jtv = S(undef, nlp.meta.nvar)
return jac_lin_op!(nlp, x, Jv, Jtv)
end
"""
J = jac_lin_op!(nlp, x, Jv, Jtv)
Return the linear Jacobian at `x` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or
`J' * v`. The values `Jv` and `Jtv` are used as preallocated storage for the
operations.
"""
function jac_lin_op!(
nlp::AbstractNLPModel{T, S},
x::AbstractVector{T},
Jv::AbstractVector,
Jtv::AbstractVector,
) where {T, S}
@lencheck nlp.meta.nvar x Jtv
@lencheck nlp.meta.nlin Jv
prod! = @closure (res, v, α, β) -> begin # res = α * J * v + β * res
jprod_lin!(nlp, x, v, Jv)
if β == 0
@. res = α * Jv
else
@. res = α * Jv + β * res
end
return res
end
ctprod! = @closure (res, v, α, β) -> begin
jtprod_lin!(nlp, x, v, Jtv)
if β == 0
@. res = α * Jtv
else
@. res = α * Jtv + β * res
end
return res
end
return LinearOperator{T}(nlp.meta.nlin, nlp.meta.nvar, false, false, prod!, ctprod!, ctprod!)
end
"""
J = jac_lin_op!(nlp, rows, cols, vals, Jv, Jtv)
Return the linear Jacobian given by `(rows, cols, vals)` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or `J' * v`.
The values `Jv` and `Jtv` are used as preallocated storage for the operations.
"""
function jac_lin_op!(
nlp::AbstractNLPModel{T, S},
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector{T},
Jv::AbstractVector,
Jtv::AbstractVector,
) where {T, S}
@lencheck nlp.meta.lin_nnzj rows cols vals
@lencheck nlp.meta.nlin Jv
@lencheck nlp.meta.nvar Jtv
prod! = @closure (res, v, α, β) -> begin # res = α * J * v + β * res
jprod_lin!(nlp, rows, cols, vals, v, Jv)
if β == 0
@. res = α * Jv
else
@. res = α * Jv + β * res
end
return res
end
ctprod! = @closure (res, v, α, β) -> begin
jtprod_lin!(nlp, rows, cols, vals, v, Jtv)
if β == 0
@. res = α * Jtv
else
@. res = α * Jtv + β * res
end
return res
end
return LinearOperator{T}(nlp.meta.nlin, nlp.meta.nvar, false, false, prod!, ctprod!, ctprod!)
end
"""
J = jac_nln_op(nlp, x)
Return the nonlinear Jacobian at `x` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or
`J' * v`.
"""
function jac_nln_op(nlp::AbstractNLPModel{T, S}, x::AbstractVector) where {T, S}
@lencheck nlp.meta.nvar x
Jv = S(undef, nlp.meta.nnln)
Jtv = S(undef, nlp.meta.nvar)
return jac_nln_op!(nlp, x, Jv, Jtv)
end
"""
J = jac_nln_op!(nlp, x, Jv, Jtv)
Return the nonlinear Jacobian at `x` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or
`J' * v`. The values `Jv` and `Jtv` are used as preallocated storage for the
operations.
"""
function jac_nln_op!(
nlp::AbstractNLPModel{T, S},
x::AbstractVector{T},
Jv::AbstractVector,
Jtv::AbstractVector,
) where {T, S}
@lencheck nlp.meta.nvar x Jtv
@lencheck nlp.meta.nnln Jv
prod! = @closure (res, v, α, β) -> begin # res = α * J * v + β * res
jprod_nln!(nlp, x, v, Jv)
if β == 0
@. res = α * Jv
else
@. res = α * Jv + β * res
end
return res
end
ctprod! = @closure (res, v, α, β) -> begin
jtprod_nln!(nlp, x, v, Jtv)
if β == 0
@. res = α * Jtv
else
@. res = α * Jtv + β * res
end
return res
end
return LinearOperator{T}(nlp.meta.nnln, nlp.meta.nvar, false, false, prod!, ctprod!, ctprod!)
end
"""
J = jac_nln_op!(nlp, rows, cols, vals, Jv, Jtv)
Return the nonlinear Jacobian given by `(rows, cols, vals)` as a linear operator.
The resulting object may be used as if it were a matrix, e.g., `J * v` or `J' * v`.
The values `Jv` and `Jtv` are used as preallocated storage for the operations.
"""
function jac_nln_op!(
nlp::AbstractNLPModel{T, S},
rows::AbstractVector{<:Integer},
cols::AbstractVector{<:Integer},
vals::AbstractVector{T},
Jv::AbstractVector,
Jtv::AbstractVector,
) where {T, S}
@lencheck nlp.meta.nln_nnzj rows cols vals
@lencheck nlp.meta.nnln Jv
@lencheck nlp.meta.nvar Jtv
prod! = @closure (res, v, α, β) -> begin # res = α * J * v + β * res
jprod_nln!(nlp, rows, cols, vals, v, Jv)
if β == 0
@. res = α * Jv
else
@. res = α * Jv + β * res
end
return res
end
ctprod! = @closure (res, v, α, β) -> begin
jtprod_nln!(nlp, rows, cols, vals, v, Jtv)
if β == 0
@. res = α * Jtv
else
@. res = α * Jtv + β * res
end
return res
end
return LinearOperator{T}(nlp.meta.nnln, nlp.meta.nvar, false, false, prod!, ctprod!, ctprod!)
end
"""
vals = jth_hess_coord(nlp, x, j)
Evaluate the Hessian of j-th constraint at `x` in sparse coordinate format.
Only the lower triangle is returned.
"""
function jth_hess_coord(nlp::AbstractNLPModel{T, S}, x::AbstractVector, j::Integer) where {T, S}
@lencheck nlp.meta.nvar x
@rangecheck 1 nlp.meta.ncon j
vals = S(undef, nlp.meta.nnzh)
return jth_hess_coord!(nlp, x, j, vals)
end
"""
vals = jth_hess_coord!(nlp, x, j, vals)
Evaluate the Hessian of j-th constraint at `x` in sparse coordinate format, with `vals` of
length `nlp.meta.nnzh`, in place. Only the lower triangle is returned.
"""
function jth_hess_coord! end
"""
Hx = jth_hess(nlp, x, j)
Evaluate the Hessian of j-th constraint at `x` as a sparse matrix with
the same sparsity pattern as the Lagrangian Hessian.
A `Symmetric` object wrapping the lower triangle is returned.
"""
function jth_hess(nlp::AbstractNLPModel, x::AbstractVector, j::Integer)
@lencheck nlp.meta.nvar x
@rangecheck 1 nlp.meta.ncon j
rows, cols = hess_structure(nlp)
vals = jth_hess_coord(nlp, x, j)
return Symmetric(sparse(rows, cols, vals, nlp.meta.nvar, nlp.meta.nvar), :L)
end
"""
Hv = jth_hprod(nlp, x, v, j)
Evaluate the product of the Hessian of j-th constraint at `x` with the vector `v`.
"""
function jth_hprod(
nlp::AbstractNLPModel{T, S},
x::AbstractVector,
v::AbstractVector,
j::Integer,
) where {T, S}
@lencheck nlp.meta.nvar x v
@rangecheck 1 nlp.meta.ncon j
Hv = S(undef, nlp.meta.nvar)
return jth_hprod!(nlp, x, v, j, Hv)
end
"""
Hv = jth_hprod!(nlp, x, v, j, Hv)
Evaluate the product of the Hessian of j-th constraint at `x` with the vector `v`
in place.
"""
function jth_hprod! end
"""
gHv = ghjvprod(nlp, x, g, v)
Return the vector whose i-th component is gᵀ ∇²cᵢ(x) v.
"""
function ghjvprod(
nlp::AbstractNLPModel{T, S},
x::AbstractVector,
g::AbstractVector,
v::AbstractVector,
) where {T, S}
@lencheck nlp.meta.nvar x g v
gHv = S(undef, nlp.meta.ncon)
return ghjvprod!(nlp, x, g, v, gHv)
end
"""
ghjvprod!(nlp, x, g, v, gHv)
Return the vector whose i-th component is gᵀ ∇²cᵢ(x) v in place.
"""
function ghjvprod! end
"""
(rows,cols) = hess_structure(nlp)
Return the structure of the Lagrangian Hessian in sparse coordinate format.
"""
function hess_structure(nlp::AbstractNLPModel)
rows = Vector{Int}(undef, nlp.meta.nnzh)
cols = Vector{Int}(undef, nlp.meta.nnzh)
hess_structure!(nlp, rows, cols)
end
"""
hess_structure!(nlp, rows, cols)
Return the structure of the Lagrangian Hessian in sparse coordinate format in place.
"""
function hess_structure! end
"""
vals = hess_coord!(nlp, x, vals; obj_weight=1.0)
Evaluate the objective Hessian at `x` in sparse coordinate format,
with objective function scaled by `obj_weight`, i.e.,
$(OBJECTIVE_HESSIAN), overwriting `vals`.
Only the lower triangle is returned.
"""
function hess_coord!(
nlp::AbstractNLPModel{T, S},
x::AbstractVector{T},
vals::AbstractVector;
obj_weight::Real = one(T),
) where {T, S}
@lencheck nlp.meta.nvar x
@lencheck nlp.meta.nnzh vals
y = fill!(S(undef, nlp.meta.ncon), 0)
hess_coord!(nlp, x, y, vals, obj_weight = obj_weight)
end
"""
vals = hess_coord!(nlp, x, y, vals; obj_weight=1.0)
Evaluate the Lagrangian Hessian at `(x,y)` in sparse coordinate format,
with objective function scaled by `obj_weight`, i.e.,
$(LAGRANGIAN_HESSIAN), overwriting `vals`.
Only the lower triangle is returned.