cvanaret / uno Goto Github PK

A next-gen solver for optimization with nonconvex objective and constraints. Reimplements filterSQP and IPOPT (barrier) in a modern and generic way, and unlocks a variety of novel methods. Competitive against filterSQP, IPOPT, SNOPT, MINOS and CONOPT.

License: MIT License

CMake 0.99% C++ 97.92% Fortran 0.76% Shell 0.34%

optimization-algorithms optimization-methods optimization nonlinear-optimization nonlinear-programming nonlinear-programming-algorithms gradient-descent newton-method numerical-optimization interior-point-method

uno's Introduction

Hey, I'm Charlie

I am a researcher in mathematical optimization at Argonne National Laboratory/Zuse-Institut Berlin. I am interested in large-scale nonlinear optimization, reliable optimization based on interval analysis and I enjoy modern software development (mainly in C++, a bit of Julia as well). In particular, I am actively developing the Uno solver, a modular open-source C++ library that unifies nonlinearly constrained nonconvex optimization and offers dozens of strategy combinations. It is competitive against IPOPT and filterSQP, while being modern, lightweight and extensible. Check it out!

I got my PhD from Université de Toulouse (France) in January 2015. Then I was a postdoctoral researcher with IRT Saint Exupéry (France), Argonne National Laboratory (USA), Fraunhofer ITWM (Germany), Technische Universität Berlin (Germany) and Zuse-Institut Berlin (Germany).

When I am not scribbling math on a black board or feverishly writing code, I enjoy playing bass with the Toto tribute band The Cats of Oz, taking landscape photos and doing some sort of physical activity (such as bouldering or cross-country skiing).

uno's People

Contributors

Stargazers

Watchers

Forkers

traversaro mertsaner jgillis xieyanrobot alexandremoulti apozharski wyan86 worc4021 gerhobbelt david0oo qyshen815 bzhangcw victornemenike silky zhibindeng amontoison

uno's Issues

C++ API

Is there an C++ API available or there are Plans to provide a C++ API in the future?
To clearify what I mean is did you design Uno such that it could also be used without AMPL?

Citation

Hi Charlie,

Can you provide a bibtex? I wish to cite Uno in my paper.

Thanks,
CZ

Building without BQPD

Hello, I'm trying to build the AMPL driver for this interesting solver, but there is probably something I am missing; i'm trying to build without bqpd - as per instructions the library seems to be optional - but I get:

Preprocessing.cpp:(.text+0x1245): undefined reference to `BQPDSolver::BQPDSolver(unsigned long, unsigned long, unsigned long, BQPDProblemType, Options const&)'
/usr/bin/ld: Preprocessing.cpp:(.text+0x132e): undefined reference to `BQPDSolver::solve_QP(unsigned long, unsigned long, std::vector<Interval, std::allocator<Interval> > const&, std::vector<Interval, std::allocator<Interval> > const&, SparseVector<double> const&, std::vector<SparseVector<double>, std::allocator<SparseVector<double> > > const&, SymmetricMatrix<double> const&, std::vector<double, std::allocator<double> > const&, WarmstartInformation const&)'

Cleary if I then add BQPDSolver.cpp to the sources, I get:

/usr/bin/ld: BQPDSolver.cpp:(.text+0x1871): undefined reference to `bqpd_'

which is to be expected, as I don't link with bqpd.

Is there any way to use Uno without it? Thank you!

"The problem has inequality constraints. Create an instance of EqualityConstrainedModel" error when solving with ipopt preset in Debug mode

I am trying to solve the example .nl files provided in https://github.com/cvanaret/Uno/tree/main/examples with uno_ampl with the ipopt preset, and they are both failing with:

uno_ampl: /home/traversaro/unows/Uno/uno/ingredients/subproblem/interior_point_methods/PrimalDualInteriorPointSubproblem.cpp:46: virtual void PrimalDualInteriorPointSubproblem::generate_initial_iterate(const NonlinearProblem&, Iterate&): Assertion `problem.has_inequality_constraints() && "The problem has inequality constraints. Create an instance of EqualityConstrainedModel"' failed.

However, if I try to comment out the assert in

Uno/uno/ingredients/subproblem/interior_point_methods/PrimalDualInteriorPointSubproblem.cpp

Line 46 in e4a8fa7

 assert(problem.has_inequality_constraints() && "The problem has inequality constraints. Create an instance of EqualityConstrainedModel"); 

, then the problems both get solved, and the solution is quite similar to the one found by ipopt, see for example for polak5.nl:

# Uno
(/home/traversaro/unows/env) traversaro@IITICUBLAP257:~/unows/Uno/build$ ./uno_ampl -preset ipopt -print_solution yes ../examples/polak5.nl
<...>
Uno (LS feasibility_restoration waechter_filter_method primal_dual_interior_point)
Wed Jun 21 16:31:43 2023
────────────────────────────────────────
Status:                                 Converged with feasible KKT point
Objective value:                        50
┌ Optimality stationarity residual:     8.458521e-09
│ Feasibility stationarity residual:    1
│ Constraint violation:                 8.4585e-09
│ Optimality complementarity residual:  1e-09
└ Feasibility complementarity residual: 8.454271e-06
┌ Infeasibility measure:                1.610706e-08
│ Optimality measure:                   50
└ Auxiliary measure:                    4.01609e-08
Primal solution:                        1.036611e-09 0.005779715 50
Constraint multipliers:                 -0.5 -0.5
Lower bound multipliers:                0 0 0
Upper bound multipliers:                0 0 0
Objective multiplier:                   1
CPU time:                               0.144922s
Iterations:                             32
Objective evaluations:                  33
Constraints evaluations:                34
Objective gradient evaluations:         34
Jacobian evaluations:                   34
Hessian evaluations:                    32
Number of subproblems solved:           32
memory_allocation_amount = 0

# Ipopt

(/home/traversaro/unows/env) traversaro@IITICUBLAP257:~/unows/Uno/build$ ipopt ../examples/polak5.nl

<...>
                                   (scaled)                 (unscaled)
Objective...............:   4.9999999991818186e+01    4.9999999991818186e+01
Dual infeasibility......:   8.4449709447653731e-09    8.4449709447653731e-09
Constraint violation....:   6.6267923873419930e-09    6.6267923873419930e-09
Variable bound violation:   0.0000000000000000e+00    0.0000000000000000e+00
Complementarity.........:   9.0909090909090941e-10    9.0909090909090941e-10
Overall NLP error.......:   8.4449709447653731e-09    8.4449709447653731e-09


Number of objective function evaluations             = 33
Number of objective gradient evaluations             = 33
Number of equality constraint evaluations            = 0
Number of inequality constraint evaluations          = 33
Number of equality constraint Jacobian evaluations   = 0
Number of inequality constraint Jacobian evaluations = 33
Number of Lagrangian Hessian evaluations             = 32
Total seconds in IPOPT                               = 0.025

EXIT: Optimal Solution Found.

Ipopt 3.14.12: Optimal Solution Found

Problem compiling the library on Ubuntu 22.04

Thanks a lot for open sourcing this library @cvanaret !

I initially tried to compile it on Ubuntu 22.04, and I failed.

First of all, I installed AMPL/ASL and HSL/MA57 . I tried to install BQPD, but I could not find where to download it (I need to drop a mail as described in https://www.mcs.anl.gov/~leyffer/solvers.html or there is a more direct option?)

Configuration problems

Then, I tried to configure the project, and it was failing with error:

CMake Error at CMakeLists.txt:120 (message):
  Required library gomp was not found.  Use ccmake to configure its path.

this was fixed by passing the gomp location to cmake:

cmake -Dgomp=/usr/lib/x86_64-linux-gnu/libgomp.so.1 ..

Also for amplsolver and ma57 I specified the location manually.

Compilation Problems

After that, the configuration was successful and I could start the compilation.

`Infinity.hpp` error

The first compilation that I got is:

[ 21%] Building CXX object CMakeFiles/uno.dir/uno/ingredients/globalization_strategy/Filter.cpp.o
In file included from /home/straversaro/unoaptws/clean/uno/uno/ingredients/globalization_strategy/Filter.hpp:10,
                 from /home/straversaro/unoaptws/clean/uno/uno/ingredients/globalization_strategy/Filter.cpp:
:
/home/straversaro/unoaptws/clean/uno/uno/tools/Infinity.hpp:7:25: error: ‘numeric_limits’ is not a member of
std’
    7 | const double INF = std::numeric_limits<double>::infinity();
      |                         ^~~~~~~~~~~~~~
/home/straversaro/unoaptws/clean/uno/uno/tools/Infinity.hpp:7:40: error: expected primary-expression before ‘double’
    7 | const double INF = std::numeric_limits<double>::infinity();
      |                                        ^~~~~~
make[2]: *** [CMakeFiles/uno.dir/build.make:188: CMakeFiles/uno.dir/uno/ingredients/globalization_strategy/Filter.cpp.o] Error 1
make[1]: *** [CMakeFiles/Makefile2:85: CMakeFiles/uno.dir/all] Error 2
make: *** [Makefile:91: all] Error 2

that was fixed by modifying the uno/uno/tools/Infinity.hpp as in:

diff --git a/uno/tools/Infinity.hpp b/uno/tools/Infinity.hpp
index 1ada183..8ae84da 100644
--- a/uno/tools/Infinity.hpp
+++ b/uno/tools/Infinity.hpp
@@ -4,6 +4,9 @@
 #ifndef UNO_INFINITY_H
 #define UNO_INFINITY_H

+#include <cmath>
+#include <limits>
+
 const double INF = std::numeric_limits<double>::infinity();

 inline bool is_finite(double value) {

`Direction.hpp` Compilation Error

After that, I had:

[ 31%] Building CXX object CMakeFiles/uno.dir/uno/ingredients/subproblem/Direction.cpp.o
In file included from /home/straversaro/unoaptws/clean/uno/uno/ingredients/subproblem/Direction.cpp:4:
/home/straversaro/unoaptws/clean/uno/uno/ingredients/subproblem/Direction.hpp:57:16: error: ‘ostream’ in namespace ‘std’ does not name a type
   57 |    friend std::ostream& operator<<(std::ostream& stream, const Direction& step);
      |                ^~~~~~~
In file included from /home/straversaro/unoaptws/clean/uno/uno/ingredients/subproblem/Direction.cpp:4:
/home/straversaro/unoaptws/clean/uno/uno/ingredients/subproblem/Direction.hpp:11:1: note: ‘std::ostream’ is defined in header ‘<ostream>’; did you forget to ‘#include <ostream>’?
   10 | #include "tools/Infinity.hpp"
  +++ |+#include <ostream>
   11 |

that was fixed by:

diff --git a/uno/ingredients/subproblem/Direction.hpp b/uno/ingredients/subproblem/Direction.hpp
index 337e7ce..5c66cb3 100644
--- a/uno/ingredients/subproblem/Direction.hpp
+++ b/uno/ingredients/subproblem/Direction.hpp
@@ -8,6 +8,7 @@
 #include <optional>
 #include "optimization/Multipliers.hpp"
 #include "tools/Infinity.hpp"
+#include <ostream>

 enum class Status {
    OPTIMAL = 0,

`LPSolverFactory.hpp` Compilation Problem

The final error (that I was not able to solve is on LPSolverFactory.hpp ):

[ 26%] Building CXX object CMakeFiles/uno.dir/uno/ingredients/subproblem/HessianModel.cpp.o
In file included from /home/straversaro/unoaptws/clean/uno/uno/ingredients/subproblem/LPSubproblem.cpp:5:
/home/straversaro/unoaptws/clean/uno/uno/solvers/QP/LPSolverFactory.hpp:16:27: error: ‘BQPDSolver’ was not declared in this scope; did you mean ‘LPSolver’?
   16 |    static std::unique_ptr<BQPDSolver> create(size_t number_variables, size_t number_constraints, const std::string& LP_solver_name,
      |                           ^~~~~~~~~~
      |                           LPSolver
/home/straversaro/unoaptws/clean/uno/uno/solvers/QP/LPSolverFactory.hpp:16:37: error: template argument 1 is invalid
   16 |    static std::unique_ptr<BQPDSolver> create(size_t number_variables, size_t number_constraints, const std::string& LP_solver_name,
      |                                     ^
/home/straversaro/unoaptws/clean/uno/uno/solvers/QP/LPSolverFactory.hpp:16:37: error: template argument 2 is invalid
In file included from /home/straversaro/unoaptws/clean/uno/uno/ingredients/subproblem/LPSubproblem.cpp:5:
/home/straversaro/unoaptws/clean/uno/uno/solvers/QP/LPSolverFactory.hpp: In static member function ‘static int LPSolverFactory::create(size_t, size_t, const string&, const Options&)’:
/home/straversaro/unoaptws/clean/uno/uno/solvers/QP/LPSolverFactory.hpp:24:4: warning: no return statement in function returning non-void [-Wreturn-type]

At a first glance, it seems like BQPD is not an optional dependency, as suggested by the README?