Minimize an objective function using the SLSQP optimization subroutine originally implemented by Dieter Kraft and ported to Python by scipy. More...

#include <SLSQPMinimizer.h>

Classes
class	FunctionWrapper
	Non-templated wrapper for objective function object to allow it to be stored without templating the class. More...

Public Member Functions
std::vector< double >	minimize (const std::vector< double > &x0) const
	Perform the minimization. More...

size_t	numEqualityConstraints () const

size_t	numInequalityConstraints () const

size_t	numParameters () const

SLSQPMinimizer &	operator= (const SLSQPMinimizer &)=delete
	Disable assignment operator. More...

	SLSQPMinimizer ()=delete
	Disable default constructor. More...

template<typename T >
	SLSQPMinimizer (const size_t nparams, const T &objfunc)
	Constructor. More...

template<typename T >
	SLSQPMinimizer (const size_t nparams, const T &objfunc, const DblMatrix &equality, const DblMatrix &inequality)
	Constructor with constraints. More...

	SLSQPMinimizer (const SLSQPMinimizer &)=delete
	Disable copy operator. More...

Private Member Functions
void	evaluateConstraints (std::vector< double > &constrValues, const std::vector< double > &x) const
	Compute values of constraints. More...

void	fprime (std::vector< double > &grad, const std::vector< double > &x) const
	Compute derivative numerically. More...

double	fvalue (const std::vector< double > &x) const
	Compute the value of the objective function. More...

void	initializeConstraints (const DblMatrix &equality, const DblMatrix &inequality)
	Create constraint array. More...

Private Attributes
std::vector< double >	m_constraintNorms
	Holder for constraint normals. More...

const size_t	m_neq
	Number of equality constraints. More...

const size_t	m_nineq
	Number of inequality constraints. More...

const size_t	m_nparams
	Number of parameters under minimization. More...

FunctionWrapper	m_objfunc
	User-defined function. More...

Detailed Description

Minimize an objective function using the SLSQP optimization subroutine originally implemented by Dieter Kraft and ported to Python by scipy.

This implementation is a port of the scipy variant using f2c to translate the Fortran code.

If the objective function is written as

\[ Cx = d \]

where \(x\) are the parameters, then the routine attempts to minimize

\[ \frac{1}{2}||Cx - d||^2 \]

where \( ||f|| \) denotes the 2nd-norm of \(f\). It possible to specify an optional set of constraints such that the function is minimized subject to

\[ Ax \geq 0 \]

and

\[ A_{eq} x = 0 \]

Definition at line 44 of file SLSQPMinimizer.h.

Constructor & Destructor Documentation

◆ SLSQPMinimizer() [1/4]

template<typename T >

Mantid::Kernel::Math::SLSQPMinimizer::SLSQPMinimizer	(	const size_t	nparams,
		const T &	objfunc
	)

inline

Constructor.

Parameters

nparams	The number of parameters in the problem
objfunc	An object whose type has a member named eval with the following signature "double eval(const std::vector<double> &) const" to return the value of the objective function at a given pt

Definition at line 56 of file SLSQPMinimizer.h.

◆ SLSQPMinimizer() [2/4]

template<typename T >

Mantid::Kernel::Math::SLSQPMinimizer::SLSQPMinimizer	(	const size_t	nparams,
		const T &	objfunc,
		const DblMatrix &	equality,
		const DblMatrix &	inequality
	)

inline

Constructor with constraints.

Parameters

nparams	The number of parameters in the problem
objfunc	An object whose type has a member named eval with the following signature "double eval(const std::vector<double> &)" to return the value of the objective function at a given pt
equality	A matrix of coefficients, \(A_{eq}\) such that in the final solution \(A_{eq} x = 0\)
inequality	A matrix of coefficients, \(A\) such that in the final solution \(A_{eq} x\geq 0\)

Definition at line 73 of file SLSQPMinimizer.h.

◆ SLSQPMinimizer() [3/4]

Mantid::Kernel::Math::SLSQPMinimizer::SLSQPMinimizer ( )

delete

Disable default constructor.

◆ SLSQPMinimizer() [4/4]

Mantid::Kernel::Math::SLSQPMinimizer::SLSQPMinimizer ( const SLSQPMinimizer & )

delete

Disable copy operator.

Member Function Documentation

◆ evaluateConstraints()

void Mantid::Kernel::Math::SLSQPMinimizer::evaluateConstraints	(	std::vector< double > &	constrValues,
		const std::vector< double > &	x
	)		const

private

Compute values of constraints.

Compute values of constraints at current x point.

Parameters

constrValues	Output array to store values
x	Values of the parameters

Definition at line 106 of file SLSQPMinimizer.cpp.

References m_constraintNorms, numEqualityConstraints(), numInequalityConstraints(), numParameters(), value, and Mantid::Geometry::x.

Referenced by minimize().

◆ fprime()

void Mantid::Kernel::Math::SLSQPMinimizer::fprime	(	std::vector< double > &	grad,
		const std::vector< double > &	x
	)		const

private

Compute derivative numerically.

Computes the gradient w.r.t to each paramter.

Parameters

grad	Output array to store gradient
x	Current x pt

Definition at line 85 of file SLSQPMinimizer.cpp.

References fvalue(), numParameters(), tmp, and Mantid::Geometry::x.

Referenced by minimize().

◆ fvalue()

double Mantid::Kernel::Math::SLSQPMinimizer::fvalue ( const std::vector< double > & x ) const

inlineprivate

Compute the value of the objective function.

Parameters

x	The current parameter pt

Returns: The value at the given pt

Definition at line 104 of file SLSQPMinimizer.h.

References Mantid::Geometry::x.

Referenced by fprime(), and minimize().

◆ initializeConstraints()

void Mantid::Kernel::Math::SLSQPMinimizer::initializeConstraints	(	const DblMatrix &	equality,
		const DblMatrix &	inequality
	)

private

Create constraint array.

Parameters

equality	A matrix of equality constraints \(A_{eq}\)(the number of columns must match number of parameters) where \(A_{eq} x = 0\)
inequality	A matrix of inequality constraints (the number of columns must match number of parameters where \(A_{eq} x \geq 0\)

Definition at line 129 of file SLSQPMinimizer.cpp.

References m_constraintNorms, ncols, Mantid::Kernel::Matrix< T >::numCols(), numEqualityConstraints(), numInequalityConstraints(), numParameters(), and Mantid::Kernel::Matrix< T >::numRows().

◆ minimize()

std::vector< double > Mantid::Kernel::Math::SLSQPMinimizer::minimize ( const std::vector< double > & x0 ) const

Perform the minimization.

Perform the minimization using the SLSQP routine.

Parameters

x0	The starting parameter values

Returns

Definition at line 23 of file SLSQPMinimizer.cpp.

References evaluateConstraints(), fprime(), fvalue(), Mantid::Geometry::m, m_constraintNorms, m_nparams, n, numEqualityConstraints(), numInequalityConstraints(), numParameters(), and Mantid::Geometry::x.

Referenced by Mantid::CurveFitting::Functions::ComptonScatteringCountRate::iterationStarting().

◆ numEqualityConstraints()

size_t Mantid::Kernel::Math::SLSQPMinimizer::numEqualityConstraints ( ) const

inline

Returns: The number of equality constraints

Definition at line 91 of file SLSQPMinimizer.h.

Referenced by evaluateConstraints(), initializeConstraints(), and minimize().

◆ numInequalityConstraints()

size_t Mantid::Kernel::Math::SLSQPMinimizer::numInequalityConstraints ( ) const

inline

Returns: The number of inequality constraints

Definition at line 93 of file SLSQPMinimizer.h.

Referenced by evaluateConstraints(), initializeConstraints(), and minimize().

◆ numParameters()

size_t Mantid::Kernel::Math::SLSQPMinimizer::numParameters ( ) const

inline

Returns: The number of parameters under minimization

Definition at line 89 of file SLSQPMinimizer.h.

Referenced by evaluateConstraints(), fprime(), initializeConstraints(), and minimize().

◆ operator=()

SLSQPMinimizer & Mantid::Kernel::Math::SLSQPMinimizer::operator= ( const SLSQPMinimizer & )

delete

Disable assignment operator.

Member Data Documentation

◆ m_constraintNorms

std::vector<double> Mantid::Kernel::Math::SLSQPMinimizer::m_constraintNorms

mutableprivate

Holder for constraint normals.

Definition at line 154 of file SLSQPMinimizer.h.

Referenced by evaluateConstraints(), initializeConstraints(), and minimize().

◆ m_neq

const size_t Mantid::Kernel::Math::SLSQPMinimizer::m_neq

private

Number of equality constraints.

Definition at line 147 of file SLSQPMinimizer.h.

◆ m_nineq

const size_t Mantid::Kernel::Math::SLSQPMinimizer::m_nineq

private

Number of inequality constraints.

Definition at line 149 of file SLSQPMinimizer.h.

◆ m_nparams

const size_t Mantid::Kernel::Math::SLSQPMinimizer::m_nparams

private

Number of parameters under minimization.

Definition at line 145 of file SLSQPMinimizer.h.

Referenced by minimize().

◆ m_objfunc

FunctionWrapper Mantid::Kernel::Math::SLSQPMinimizer::m_objfunc

private

User-defined function.

Definition at line 152 of file SLSQPMinimizer.h.

The documentation for this class was generated from the following files:

Framework/Kernel/inc/MantidKernel/Math/Optimization/SLSQPMinimizer.h
Framework/Kernel/src/Math/Optimization/SLSQPMinimizer.cpp

Classes

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ SLSQPMinimizer() [1/4]

◆ SLSQPMinimizer() [2/4]

◆ SLSQPMinimizer() [3/4]

◆ SLSQPMinimizer() [4/4]

Member Function Documentation

◆ evaluateConstraints()

◆ fprime()

◆ fvalue()

◆ initializeConstraints()

◆ minimize()

◆ numEqualityConstraints()

◆ numInequalityConstraints()

◆ numParameters()

◆ operator=()

Member Data Documentation

◆ m_constraintNorms

◆ m_neq

◆ m_nineq

◆ m_nparams

◆ m_objfunc