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Implement compacted hessian_lagrangian #14

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Apr 7, 2022
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Implement compacted hessian_lagrangian #14

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56 changes: 46 additions & 10 deletions src/nonlinear_oracle.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -196,6 +196,7 @@ mutable struct _NonlinearOracle{B} <: MOI.AbstractNLPEvaluator
objective::Union{Nothing,_Function}
constraints::Vector{_Function}
symbolic_functions::Dict{UInt,_SymbolicsFunction}
hessian_sparsity_map::Vector{Int}
eval_objective_timer::Float64
eval_objective_gradient_timer::Float64
eval_constraint_timer::Float64
Expand All @@ -207,6 +208,7 @@ mutable struct _NonlinearOracle{B} <: MOI.AbstractNLPEvaluator
objective,
constraints,
Dict{UInt,_SymbolicsFunction}(),
Int[],
0.0,
0.0,
0.0,
Expand Down Expand Up @@ -353,22 +355,43 @@ function MOI.eval_constraint_jacobian(
return
end

_hessian_lagrangian_structure(::Any, ::Any, ::Nothing) = nothing
function _hessian_lagrangian_structure(
::Vector{Tuple{Int,Int}},
::_NonlinearOracle,
::Any,
::Nothing,
)
return
end

function _hessian_lagrangian_structure(structure, oracle, c)
function _hessian_lagrangian_structure(
structure::Vector{Tuple{Int,Int}},
oracle::_NonlinearOracle,
map::Dict{Tuple{Int,Int},Int},
c::_Function,
)
f = oracle.symbolic_functions[c.expr.hash]
for (i, j) in f.H_structure
row, col = c.ordered_variables[i], c.ordered_variables[j]
push!(structure, row >= col ? (row, col) : (col, row))
row_col = row >= col ? (row, col) : (col, row)
index = get(map, row_col, nothing)
if index === nothing
push!(structure, row_col)
map[row_col] = length(structure)
push!(oracle.hessian_sparsity_map, length(structure))
else
push!(oracle.hessian_sparsity_map, index::Int)
end
end
return
end

function MOI.hessian_lagrangian_structure(oracle::_NonlinearOracle)
structure = Tuple{Int,Int}[]
_hessian_lagrangian_structure(structure, oracle, oracle.objective)
map = Dict{Tuple{Int,Int},Int}()
_hessian_lagrangian_structure(structure, oracle, map, oracle.objective)
for c in oracle.constraints
_hessian_lagrangian_structure(structure, oracle, c)
_hessian_lagrangian_structure(structure, oracle, map, c)
end
return structure
end
Expand All @@ -382,22 +405,21 @@ function MOI.eval_hessian_lagrangian(
)
fill!(H, 0.0)
start = time()
hessian_offset = 0
k = 1
if oracle.objective !== nothing && !iszero(σ)
h = _eval_hessian(oracle, oracle.objective, x)
for (i, hi) in enumerate(h)
@inbounds H[i] = σ * hi
@inbounds H[oracle.hessian_sparsity_map[i]] += σ * hi
end
hessian_offset += length(h)
k += length(h)
end
k = hessian_offset + 1
for (μi, constraint) in zip(μ, oracle.constraints)
if iszero(μi)
continue
end
h = _eval_hessian(oracle, constraint, x)
for nzval in h
@inbounds H[k] = μi * nzval
@inbounds H[oracle.hessian_sparsity_map[k]] += μi * nzval
k += 1
end
end
Expand Down Expand Up @@ -510,6 +532,20 @@ function MOI.eval_constraint_jacobian(
return
end

function _hessian_lagrangian_structure(
structure::Vector{Tuple{Int,Int}},
oracle::_NonlinearOracle{ThreadedBackend},
::Dict{Tuple{Int,Int},Int},
c::_Function,
)
f = oracle.symbolic_functions[c.expr.hash]
for (i, j) in f.H_structure
row, col = c.ordered_variables[i], c.ordered_variables[j]
push!(structure, row >= col ? (row, col) : (col, row))
end
return
end

function MOI.eval_hessian_lagrangian(
oracle::_NonlinearOracle{ThreadedBackend},
H::AbstractVector{Float64},
Expand Down