NLoptSolver.hxx

// Copyright (C) 2011 INRIA
// Author(s): Marc Fragu
//
// This file is part of the linear-algebra library Seldon,
// http://seldon.sourceforge.net/.
//
// Seldon is free software; you can redistribute it and/or modify it under the
// terms of the GNU Lesser General Public License as published by the Free
// Software Foundation; either version 2.1 of the License, or (at your option)
// any later version.
//
// Seldon is distributed in the hope that it will be useful, but WITHOUT ANY
// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for
// more details.
//
// You should have received a copy of the GNU Lesser General Public License
// along with Seldon. If not, see http://www.gnu.org/licenses/.
 
 
#ifndef SELDON_COMPUTATION_OPTIMIZATION_NLOPTSOLVER_HXX
#define SELDON_COMPUTATION_OPTIMIZATION_NLOPTSOLVER_HXX
 
 
#include "NLopt.hxx"
 
 
namespace Seldon
{
 
 
  // NLOPTSOLVER //
 
 
  class NLoptSolver
  {
 
  protected:
 
    typedef double (*cost_ptr)(const Vector<double>&,
                               Vector<double>&, void*);
 
    nlopt::SeldonOpt opt_;
    nlopt::algorithm algorithm_;
    double parameter_tolerance_;
    double cost_function_tolerance_;
    int Niteration_max_;
    Vector<double> parameter_;
    Vector<double> gradient_;
    double cost_;
 
  public:
    // Constructor and destructor.
    NLoptSolver();
    ~NLoptSolver();
 
    void Initialize(int Nparameter, string algorithm,
                    double parameter_tolerance = 1.e-6,
                    double cost_function_tolerance = 1.e-6,
                    int Niteration_max = -1);
    void SetLowerBound(const Vector<double>&);
    void SetUpperBound(const Vector<double>&);
    void SetParameterTolerance(double);
    void SetCostFunctionTolerance(double);
    void SetNiterationMax(int);
    void GetParameterTolerance(double&) const;
    void GetCostFunctionTolerance(double&) const;
    void GetNiterationMax(int&) const;
    void SetParameter(const Vector<double>& parameter);
    void GetParameter(Vector<double>& parameter) const;
    void Optimize(cost_ptr cost, void* argument);
    double GetCost() const;
 
  };
 
 
} // namespace Seldon.
 
 
#endif