Optimizer.cpp

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#include "MUQ/Optimization/Optimizer.h"
#include "MUQ/Utilities/Exceptions.h"
 
#include "MUQ/Utilities/AnyHelpers.h"
 
namespace pt = boost::property_tree;
using namespace muq::Modeling;
using namespace muq::Optimization;
 
 
Optimizer::Optimizer(std::shared_ptr<ModPiece> const& cost,
                     pt::ptree                 const& pt) :
  WorkPiece(cost->InputTypes(),
            cost->numInputs,
            std::vector<std::string>({typeid(Eigen::VectorXd).name(), typeid(double).name()})),
  opt(ConvertModPiece(cost)),
  ftol_rel(pt.get("Ftol.RelativeTolerance", 1.0e-8)),
  ftol_abs(pt.get("Ftol.AbsoluteTolerance", 1.0e-8)),
  xtol_rel(pt.get("Xtol.RelativeTolerance", 1.0e-8)),
  xtol_abs(pt.get("Xtol.AbsoluteTolerance", 1.0e-8)),
  constraint_tol(pt.get("ConstraintTolerance", 1.0e-8)),
  maxEvals(pt.get("MaxEvaluations", 100)) {}
 
 
std::shared_ptr<CostFunction> Optimizer::ConvertModPiece(std::shared_ptr<muq::Modeling::ModPiece> const& modCost)
{
  // Check to see if the input is actually a CostFunction
  auto cast = std::dynamic_pointer_cast<CostFunction>(modCost);
  if(cast){
    return cast;
  }else{
    return std::make_shared<ModPieceCostFunction>(modCost);
  }
}
    
 
void Optimizer::EvaluateImpl(ref_vector<boost::any> const& inputs) {
 
  std::vector<Eigen::VectorXd> inVec(1);
  inVec.at(0) = muq::Utilities::AnyConstCast(inputs.at(0).get());
 
  outputs.resize(1);
  outputs.at(0) = Solve(inVec);
}
 
void Optimizer::AddInequalityConstraint(std::vector<std::shared_ptr<ModPiece>> const& ineq) {
  ineqConstraints.insert(ineqConstraints.end(), ineq.begin(), ineq.end());
}
 
void Optimizer::AddInequalityConstraint(std::shared_ptr<ModPiece> const& ineq) {
  ineqConstraints.push_back(ineq);
}
 
void Optimizer::ClearInequalityConstraint() {
  ineqConstraints.clear();
}
 
void Optimizer::AddEqualityConstraint(std::vector<std::shared_ptr<ModPiece>> const& eq) {
  eqConstraints.insert(eqConstraints.end(), eq.begin(), eq.end());
}
 
void Optimizer::AddEqualityConstraint(std::shared_ptr<ModPiece> const& eq) {
  eqConstraints.push_back(eq);
}
 
void Optimizer::ClearEqualityConstraint() {
  eqConstraints.clear();
}
 
 
void Optimizer::ListMethods(std::string prefix)
{
  auto map = GetOptimizerMap();
  for(auto pair : *map)
    std::cout << prefix << pair.first << std::endl;
}
 
std::shared_ptr<Optimizer> Optimizer::Construct(std::shared_ptr<ModPiece>   const& cost,
                                                boost::property_tree::ptree const& options) {
 
  std::string method = options.get<std::string>("Algorithm");
  Optimizer::OptimizerMap const& map = *GetOptimizerMap();
  auto iter = map.find(method);
  if(iter != map.end()) {
    return iter->second(cost,options);
  }else{
    std::stringstream msg;
    msg << "Invalid \"Algorithm\" passed to Optimizer::Construct.  A value of \"" << method << "\" was used, but valid options are:\n";
    for(auto& part : map)
      msg << "  " << part.first << "\n";
    throw std::invalid_argument(msg.str());
  }
}
 
std::shared_ptr<Optimizer::OptimizerMap> Optimizer::GetOptimizerMap()
{
  static std::shared_ptr<Optimizer::OptimizerMap> map;
 
  if( !map )
    map = std::make_shared<Optimizer::OptimizerMap>();
 
  return map;
}