/usr/include/openturns/algocobyla.h is in libopenturns-dev 1.2-2.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 | /* cobyla : contrained optimization by linear approximation */
/*
* Copyright (c) 1992, Michael J. D. Powell (M.J.D.Powell@damtp.cam.ac.uk)
* Copyright (c) 2004, Jean-Sebastien Roy (js@jeannot.org)
*
* Permission is hereby granted, free of charge, to any person obtaining a
* copy of this software and associated documentation files (the
* "Software"), to deal in the Software without restriction, including
* without limitation the rights to use, copy, modify, merge, publish,
* distribute, sublicense, and/or sell copies of the Software, and to
* permit persons to whom the Software is furnished to do so, subject to
* the following conditions:
*
* The above copyright notice and this permission notice shall be included
* in all copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS
* OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
* MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
* IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
* CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
* TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
* SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
/*
* This software is a C version of COBYLA2, a contrained optimization by linear
* approximation package developed by Michael J. D. Powell in Fortran.
*
* The original source code can be found at :
* http://plato.la.asu.edu/topics/problems/nlores.html
*/
/* $Jeannot: cobyla.h,v 1.10 2004/04/18 09:51:37 js Exp $ */
#ifndef _COBYLA_
#define _COBYLA_
#include <OTdebug.h>
BEGIN_C_DECLS
/*
* Verbosity level
*/
typedef enum {
COBYLA_MSG_NONE = 0, /* No messages */
COBYLA_MSG_EXIT = 1, /* Exit reasons */
COBYLA_MSG_ITER = 2, /* Rho and Sigma changes */
COBYLA_MSG_INFO = 3, /* Informational messages */
} cobyla_message;
/*
* Possible return values for cobyla
*/
typedef enum
{
COBYLA_MINRC = -2, /* Constant to add to get the rc_string */
COBYLA_EINVAL = -2, /* N<0 or M<0 */
COBYLA_ENOMEM = -1, /* Memory allocation failed */
COBYLA_NORMAL = 0, /* Normal return from cobyla */
COBYLA_MAXFUN = 1, /* Maximum number of function evaluations reach */
COBYLA_ROUNDING = 2, /* Rounding errors are becoming damaging */
COBYLA_USERABORT = 3 /* User requested end of minimization */
} cobyla_rc;
/*
* Return code strings
* use cobyla_rc_string[rc - COBYLA_MINRC] to get the message associated with
* return code rc.
*/
extern char *cobyla_rc_string[6];
/*
* A function as required by cobyla
* state is a void pointer provided to the function at each call
*
* n : the number of variables
* m : the number of constraints
* x : on input, then vector of variables (should not be modified)
* f : on output, the value of the function
* con : on output, the value of the constraints (vector of size m)
* state : on input, the value of the state variable as provided to cobyla
*
* COBYLA will try to make all the values of the constraints positive.
* So if you want to input a constraint j such as x[i] <= MAX, set:
* con[j] = MAX - x[i]
* The function must returns 0 if no error occurs or 1 to immediately end the
* minimization.
*
*/
typedef int cobyla_function(int n, int m, double *x, double *f, double *con,
void *state);
/*
* cobyla : minimize a function subject to constraints
*
* n : number of variables (>=0)
* m : number of constraints (>=0)
* x : on input, initial estimate ; on output, the solution
* rhobeg : a reasonable initial change to the variables
* rhoend : the required accuracy for the variables
* message : see the cobyla_message enum
* maxfun : on input, the maximum number of function evaluations
* on output, the number of function evaluations done
* calcfc : the function to minimize (see cobyla_function)
* state : used by function (see cobyla_function)
*
* The cobyla function returns a code defined in the cobyla_rc enum.
*
*/
extern int cobyla(int n, int m, double *x, double rhobeg, double rhoend,
int message, int *maxfun, cobyla_function *calcfc, void *state);
END_C_DECLS
#endif /* _COBYLA_ */
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