AugmentedLagrangianOptimizer.h

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// Mantid Repository : https://github.com/mantidproject/mantid
//
// Copyright © 2013 ISIS Rutherford Appleton Laboratory UKRI,
//   NScD Oak Ridge National Laboratory, European Spallation Source,
//   Institut Laue - Langevin & CSNS, Institute of High Energy Physics, CAS
// SPDX - License - Identifier: GPL - 3.0 +
#pragma once
 
#include "MantidCurveFitting/DllConfig.h"
#include "MantidKernel/Matrix.h"
 
#include <boost/function.hpp>
 
namespace Mantid {
namespace CurveFitting {
enum OptimizerResult { Failure = -1, Success = 1, FTolReached = 2, XTolReached = 3 };
 
//---------------------------------------------------------------------------------------------
// Forward declaration
//---------------------------------------------------------------------------------------------
class UnconstrainedCostFunction;
 
class MANTID_CURVEFITTING_DLL AugmentedLagrangianOptimizer {
 
public:
  using ObjFunction = boost::function<double(const size_t, const double *)>;
 
public:
  AugmentedLagrangianOptimizer(const size_t nparams, const ObjFunction &objfunc)
      : m_userfunc(objfunc), m_nparams(nparams), m_neq(0), m_eq(), m_nineq(0), m_ineq(), m_maxIter(500) {}
 
  AugmentedLagrangianOptimizer(const size_t nparams, const ObjFunction &objfunc, const Kernel::DblMatrix &equality,
                               const Kernel::DblMatrix &inequality)
      : m_userfunc(objfunc), m_nparams(nparams), m_neq(equality.numRows()), m_eq(equality),
        m_nineq(inequality.numRows()), m_ineq(inequality), m_maxIter(500) {
    checkConstraints(equality, inequality);
  }
 
  AugmentedLagrangianOptimizer() = delete;
 
  AugmentedLagrangianOptimizer(const AugmentedLagrangianOptimizer &) = delete;
 
  AugmentedLagrangianOptimizer &operator=(const AugmentedLagrangianOptimizer &) = delete;
 
  inline size_t numParameters() const { return m_nparams; }
  inline size_t numEqualityConstraints() const { return m_neq; }
  inline size_t numInequalityConstraints() const { return m_nineq; }
 
  inline void setMaxIterations(const int maxIter) { m_maxIter = maxIter; }
 
  void minimize(std::vector<double> &xv) const;
 
private:
  friend class UnconstrainedCostFunction;
  void unconstrainedOptimization(const std::vector<double> &lambda, const std::vector<double> &mu, const double rho,
                                 std::vector<double> &xcur) const;
 
  void checkConstraints(const Kernel::DblMatrix &equality, const Kernel::DblMatrix &inequality);
 
  // FunctionWrapper m_userfunc;
 
  ObjFunction m_userfunc;
  const size_t m_nparams;
  const size_t m_neq;
  Kernel::DblMatrix m_eq;
  const size_t m_nineq;
  Kernel::DblMatrix m_ineq;
  int m_maxIter;
};
 
} // namespace CurveFitting
} // namespace Mantid