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Project NLOptWR

The name of program NLOptWR is an abreviation of an wrapper of NLOPT.

Description

The program NLOptWR is an extension to the Program NLOPT. Initially it was started a an experiment to use the Program NLOPT more easyly.

The program has the folowing functionalities:

  1. C++ API
  2. rule based selection of algoritms
  3. numerical calculation of gradients in parallel with OpenMP if needed

Because of numerical calculation of gradients a lot of algorithms is available. In case of many parameters the calculation in parallel efficient.

The program does not require a implementation of object serialization with boost.

C++ API

The class oif::OptFknBase is an interface class can be derived.

For less implementation the derived class oif::OptFknClass can be derived.

The remaining following functions have to be implementd:

  1. virtual double optFktn ( const std::vector& x, std::vector& c ) override; // target function
  2. virtual void initialize ( double lb, double ub, double xInit ); // initialize function
  3. virtual oif::OptFknBase* clone() const override; // clone method

The function return the function value.

  • "x" contains the function arguments.
  • "c" are the constraints (c[i] <= 0).
  • "lb" is the lower bound
  • "ub" is the upper bound
  • "xInit" is the initial value

The class PDemo01 in the file "nloptwr_test1.cpp" in a example.

Rule based selection of algorittms

An instance of parameter class nloptwr::NLOptWrSStrat can be used to select the search methods. The constructor of this class has three arguments:

  1. nloptwr::SSTRAT
    // enum of search strategies
  2. useGrad
    // usage of gradient methods (default=true)
  3. useAugLagBeforeMlsl
    // prefer Augmented Lagrangian before MLSL (default=true)

The emun class nloptwr::SSTRAT can have following valid values:

  • L = Local search strategy is prefered
  • G = Global search strategy is choosen
  • R = Random search strategy is choosen (NLOPT has no accelertion with gradient at all)
  • GM = Global meta search strategy is choosen
  • LM = Local meta search strategy is choosen (sometimes a global search strategy is selected)

The selected methods also depends on the number of parameters (see nloptwr::NLOptWrSearchAlgoParam3 and nloptwr::NLOptWrParamFactory).

Calculation of gradients

The numerical calculation can be activated with the flag useGrad of nloptwr::NLOptWrSStrat. The numerical calculation is done automatially in parallel with OpenMP. Necessary is a correct working clone method.

The default method of numerical derivation is the 2-point formula.

An experimental feature is an polynom regression. This feature can be activated with the call NLOptWrapper::setNewDerivMethod(true) method. The following parameters can changed:

  • NLOptWrapper::setDerivRegrDim(size_t d) // "d" dimension of regression (default: 3)
  • NLOptWrapper::setDerivRegrNoSteps(std::size_t val) // Number of steps: val >= (2*d+1)

Getting Started

Dependencies

The package needs the following packages:

  • c-compiler (gcc and g++) und libc
  • OpenMP (libomp-dev, libgomp1)
  • NLOPT instllation with C++ extensions (libnlopt-dev, libnlopt0)

The the Debian ".deb" 64-bit binary package (Bullseye) has the following dependencies: libc6, libgcc-s1, libgomp1, libnlopt-cxx0, libstdc++6

Other OS can try to build it from source.

The directory "misc" contains some files (FindNLOPT.cmake, FindNLOPTCXX.cmake FindNLOPTWR.cmake, FindOpenMP.cmake).

Installing

You can get this program from git repository. Under LINUX (Debian or RPM based systems, X86, 64-bit) you can install the library and the demo-programs from package.

Other system can install the package from source.

Executing program

Execution the prcompiled demo programs

The precompiled demo programs can be launched manually:

  • nloptwr_test01
  • nloptwr_test02
  • nloptwr_test03
  • nloptwr_test04
  • selalg_test

The test can be started with "ctest" after "cmake" and "build".

Create your own optimiztion program with NLOptWR

Create your own class with your tatget function

The class oif::OptFknClass can be derived.

The class "opttest::PDemo01" in the file "nloptwr_test1.cpp" is an expample of such implementation.

In the same file the usage of the is explained:

  1. deturmine some parameters (number of threads, time limit, limit of calculations, initial result)

  2. create instance of search strategy (nloptwr::NLOptWrSStrat)

  3. create an instance of class with target function (opttest::PDemo01)

  4. create an instance of nloptwr::NLOptWrapper

  5. start optimization

  6. get the solution

  7. other tasks (display the result, check the result, print the selected algorithms)

Help

Any advise for common problems or issues.

Authors

Contributors and contact info: Knut Opherden [email protected]

Links

NLOPT

NLOPT Algoritms

NLOPT C++ Reference

OpenMP

PaGMO

GENEVA on Hithub

GENEVA

Version History

  • 0.1
    • Initial Release

License

This project is licensed under the GNU AFFERO GENERAL PUBLIC LICENSE, Version 3 from 19 November 2007 - see the License.txt file for details

Acknowledgments