Algencan 3.1.1 using Automatic Differenciation library ADOL-C 2.7.3

In this file we present the complete instalation of Algencan 3.1.1 and ADOL-C 2.7.3 and how to use those libraries together in Linux Ubuntu.

Algencan 3.1.1 is a nonlinear programming solver and ADOL-C 2.7.3 is used to evaluate sparses Hessians in Algencan methods.

Before installing ADOL-C, we first need to install two libraries: 1. Boost 1.75.0; 2. Colpack 1.0.10.

1 Download boost_1_75_0.tar.bz2 in (https://www.boost.org/users/download/)

2 Extract the file in the desired directory

tar --bzip2 -xf /path/to/boost_1_75_0.tar.bz2

3 Open boost directory

cd path/to/boost_1_75_0

4 Run bootstrap.sh

./bootstrap.sh --prefix=path/to/installation/prefix

5 Run b2 to generate external libraries in \lib\

./b2 install

Colpack is used by ADOL-C to treat sparse matrices.

1 Download Colpack in (https://github.com/CSCsw/ColPack/releases)

2 Extract the file

3 Run the following commands in Colpack directory:

> autoreconf -vif

> ./configure --prefix=/path/to/install/

> make

> make install

If Boost and Colpack are installed successfully, we may now install ADOL 2.7.3

1 Download ADOL-C in (https://github.com/coin-or/ADOL-C)

2 Extract the file

3 Run the following commands in ADOL-C directory:

> autoreconf -fi

> ./configure --enable-sparse --with-boost=PATHTOBOOST --with-colpack=PATHCOLPACK

> make

> make install

where PATHTOBOOST and PATHCOLPACK is the path to Boost and Colpack directories, respectively.

If the installation is successfull, ADOL-C external libraries are generated in /home/USER/adolc_base, where /home/USER is the user directory.

1 Download ALGENCAN 3.1.1 in (https://www.ime.usp.br/~egbirgin/tango/codes.php)

2 Extract the file

3 Run in ALGENCAN directory

make

If the installation is succeed, external library libalgencan.a is generated in PATHTOALGENCAN/lib/

To compile an ADOL-C code main.cpp use the following command:

g++ -w -I/home/USER/adolc_base/include -o main main.cpp -Wl,--rpath -Wl,/home/USER/adolc_base/lib64 -L/home/USER/adolc_base/lib64 -ladolc}

To compile an ALGENCAN-C code main.c use the following command:

gcc -O3 main.c -L$ALGENCAN/lib -lalgencan -lgfortran -lm -o algencan}

To compile an ALGENCAN-C code algencan.c together with ADOL-C code adolc.cpp use the following commands:

g++ -w -c -I/home/USER/adolc_base/include adolc.cpp \ -Wl,--rpath -Wl,/home/USER/adolc_base/lib64 \ -L/home/USER/adolc_base/lib64/ -ladolc

gcc -w -c algencan.c \ -L/$ALGENCAN/lib/ -lalgencan -lm \ -L/usr/lib/gcc/x86_64-linux-gnu/5/ -lstdc++ -lgfortran

g++ -O3 -Wall -I/home/USER/adolc_base/include -o main algencan.o adolc.o \ -Wl,--rpath -Wl,/home/USER/adolc_base/lib64 \ -L/home/USER/adolc_base/lib64/ -ladolc \ -L/$ALGENCAN/lib/ -lalgencan -lm \ -L/usr/lib/gcc/x86_64-linux-gnu/5/ -lstdc++ -lgfortran

Run the main program:

./main

1 Create C/C++ Console Application project.

2 In Build Options >> Linker Settings, add the following libraries:

adolc.so

libColPack.so

libalgencan.a

gfortran

3 In Build Options >> Search Directories, add paths:

/home/USER/adolc_base/include

/home/USER/adolc_base/lib64

in Compiler, Linker, and Resource compiler

4. Now we can run the project with files algencan.c and adolc.cpp

We present some results with tests in order to compare ALGENCAN performance with automatic differentiation with ADOL-C and with analytic differentiation with Example 1. We vary nite value from 50 to 500.

       nite	|      ADOL-C/C (s)	|       Analytic/Fortran (s)
--------------------------------------------------------------------------
	 50	|	  0.38		|		0.01
	100	|	  2.51		|		0.04
	150	|	 10.94		|		0.06
	200	|	 19.61		|		0.05
	250	|	 37.09		|		0.06
	300	|	 52.94		|		0.10
	350	|	116.70		|		0.15
	400	|	182.63		|		0.21
	450	|	261.79		|		0.28
	500	|	380.35		|		0.37

We show that analytic differentiation is faster than ADOL-C, although calculate the analytic differentiation can be a complicated task with complex functions.