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NLP prototype for IPOPT
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‎CMakeLists.txt‎

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@@ -7,6 +7,7 @@ set(CMAKE_CXX_STANDARD 20)
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set(CMAKE_POSITION_INDEPENDENT_CODE ON)
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add_subdirectory(thirdparty/fmt)
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add_subdirectory(thirdparty/cppad)
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set(POI_INSTALL_DIR pyoptinterface/_src)
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@@ -37,6 +38,13 @@ target_sources(core PRIVATE
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target_include_directories(core PUBLIC include thirdparty)
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target_link_libraries(core PUBLIC fmt)
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add_library(nlcore STATIC)
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target_sources(nlcore PRIVATE
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include/pyoptinterface/nlcore.hpp
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lib/nlcore.cpp
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)
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target_link_libraries(nlcore PUBLIC core cppad)
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# Build Python extensions
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find_package(Python ${PYTHON_VERSION}
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REQUIRED COMPONENTS Interpreter Development.Module
@@ -55,6 +63,16 @@ nanobind_add_module(
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target_link_libraries(core_ext PUBLIC core)
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install(TARGETS core_ext LIBRARY DESTINATION ${POI_INSTALL_DIR})
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nanobind_add_module(
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nlcore_ext
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STABLE_ABI NB_STATIC
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lib/nlcore_ext.cpp
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)
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target_link_libraries(nlcore_ext PUBLIC nlcore)
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install(TARGETS nlcore_ext LIBRARY DESTINATION ${POI_INSTALL_DIR})
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# Solvers
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# Gurobi
@@ -135,6 +153,24 @@ lib/highs_model_ext_constants.cpp
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target_link_libraries(highs_model_ext PUBLIC highs_model)
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install(TARGETS highs_model_ext LIBRARY DESTINATION ${POI_INSTALL_DIR})
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# IPOPT
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add_library(ipopt_model STATIC)
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target_sources(ipopt_model PRIVATE
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include/pyoptinterface/ipopt_model.hpp
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lib/ipopt_model.cpp
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)
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target_link_libraries(ipopt_model PUBLIC nlcore)
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nanobind_add_module(
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ipopt_model_ext
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STABLE_ABI NB_STATIC
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lib/ipopt_model_ext.cpp
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)
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target_link_libraries(ipopt_model_ext PUBLIC ipopt_model)
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install(TARGETS ipopt_model_ext LIBRARY DESTINATION ${POI_INSTALL_DIR})
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set(ENABLE_TEST_MAIN OFF CACHE BOOL "Enable test c++ function with a main.cpp")
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if(ENABLE_TEST_MAIN)
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add_executable(test_main lib/main.cpp)

‎include/pyoptinterface/core.hpp‎

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@@ -271,7 +271,8 @@ enum class ConstraintSense
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{
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LessEqual,
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GreaterEqual,
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Equal
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Equal,
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Within
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};
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struct ConstraintIndex

‎include/pyoptinterface/highs_model.hpp‎

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@@ -168,7 +168,7 @@ class POIHighsModel
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std::int64_t get_raw_info_int64(const char *info_name);
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double get_raw_info_double(const char *info_name);
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// Accessing information of problem
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// Accessing information of m_problem
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std::string get_variable_name(const VariableIndex &variable);
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void set_variable_name(const VariableIndex &variable, const char *name);
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VariableDomain get_variable_type(const VariableIndex &variable);

‎include/pyoptinterface/ipopt_model.hpp‎

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#pragma once
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#include "solvers/ipopt/IpStdCInterface.h"
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#include "pyoptinterface/nlcore.hpp"
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#define APILIST \
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B(CreateIpoptProblem); \
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B(FreeIpoptProblem); \
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B(AddIpoptStrOption); \
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B(AddIpoptNumOption); \
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B(AddIpoptIntOption); \
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B(OpenIpoptOutputFile); \
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B(SetIpoptProblemScaling); \
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B(SetIntermediateCallback); \
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B(IpoptSolve); \
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B(GetIpoptCurrentIterate); \
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B(GetIpoptCurrentViolations);
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namespace ipopt
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{
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#define B(f) extern decltype(&::f) f
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APILIST
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#undef B
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bool is_library_loaded();
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bool load_library(const std::string &path);
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} // namespace ipopt
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struct IpoptfreeproblemT
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{
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void operator()(IpoptProblemInfo *model) const
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{
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ipopt::FreeIpoptProblem(model);
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};
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};
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struct IpoptResult
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{
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// store results
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std::vector<double> x, g, mult_g, mult_x_L, mult_x_U;
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double obj_val;
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};
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struct IpoptModel
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{
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/* Methods */
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IpoptModel();
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VariableIndex add_variable(double lb = -INFINITY, double ub = INFINITY, double start = 0.0);
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void change_variable_lb(const VariableIndex &variable, double lb);
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void change_variable_ub(const VariableIndex &variable, double ub);
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void change_variable_bounds(const VariableIndex &variable, double lb, double ub);
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double get_variable_value(const VariableIndex &variable);
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ParameterIndex add_parameter(double value = 0.0);
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void set_parameter(const ParameterIndex &parameter, double value);
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ConstraintIndex add_linear_constraint(const ScalarAffineFunction &f, ConstraintSense sense,
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double rhs);
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ConstraintIndex add_linear_constraint(const ScalarAffineFunction &f, ConstraintSense sense,
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double lb, double ub);
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ConstraintIndex add_linear_constraint(const ExprBuilder &f, ConstraintSense sense, double rhs);
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ConstraintIndex add_linear_constraint(const ExprBuilder &f, ConstraintSense sense, double lb,
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double ub);
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ConstraintIndex add_linear_constraint(const VariableIndex &f, ConstraintSense sense,
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double rhs);
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ConstraintIndex add_linear_constraint(const VariableIndex &f, ConstraintSense sense, double lb,
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double ub);
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ConstraintIndex add_quadratic_constraint(const ScalarQuadraticFunction &f,
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ConstraintSense sense, double rhs);
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ConstraintIndex add_quadratic_constraint(const ScalarQuadraticFunction &f,
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ConstraintSense sense, double lb, double ub);
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ConstraintIndex add_quadratic_constraint(const ExprBuilder &f, ConstraintSense sense,
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double rhs);
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ConstraintIndex add_quadratic_constraint(const ExprBuilder &f, ConstraintSense sense, double lb,
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double ub);
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template <typename T>
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void add_objective(const T &expr)
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{
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m_lq_model.add_objective(expr);
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}
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FunctionIndex register_function(ADFunD &f, const std::string &name);
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NLConstraintIndex add_empty_nl_constraint(int dim, ConstraintSense sense,
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const std::vector<double> &rhss);
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NLConstraintIndex add_empty_nl_constraint(int dim, ConstraintSense sense,
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const std::vector<double> &lbs,
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const std::vector<double> &ubs);
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NLConstraintIndex add_nl_constraint(const FunctionIndex &k,
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const std::vector<VariableIndex> &xs,
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const std::vector<ParameterIndex> &ps,
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ConstraintSense sense, const std::vector<double> &rhss);
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NLConstraintIndex add_nl_constraint(const FunctionIndex &k,
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const std::vector<VariableIndex> &xs, ConstraintSense sense,
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const std::vector<double> &rhss);
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NLConstraintIndex add_nl_constraint(const FunctionIndex &k,
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const std::vector<VariableIndex> &xs,
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const std::vector<ParameterIndex> &ps,
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ConstraintSense sense, const std::vector<double> &lbs,
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const std::vector<double> &ubs);
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NLConstraintIndex add_nl_constraint(const FunctionIndex &k,
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const std::vector<VariableIndex> &xs, ConstraintSense sense,
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const std::vector<double> &lbs,
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const std::vector<double> &ubs);
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void add_nl_expression(const NLConstraintIndex &constraint, const FunctionIndex &k,
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const std::vector<VariableIndex> &xs,
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const std::vector<ParameterIndex> &ps);
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void add_nl_expression(const NLConstraintIndex &constraint,const FunctionIndex &k,
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const std::vector<VariableIndex> &xs);
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void add_nl_objective(const FunctionIndex &k, const std::vector<VariableIndex> &xs,
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const std::vector<ParameterIndex> &ps);
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void optimize();
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// set options
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void set_option_int(const std::string &name, int value);
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void set_option_num(const std::string &name, double value);
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void set_option_str(const std::string &name, const std::string &value);
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/* Members */
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size_t n_variables = 0;
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size_t n_constraints = 0;
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std::vector<double> m_var_lb, m_var_ub, m_var_init;
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std::vector<double> m_con_lb, m_con_ub;
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size_t m_jacobian_nnz = 0;
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std::vector<size_t> m_jacobian_rows, m_jacobian_cols;
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size_t m_hessian_nnz = 0;
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std::vector<size_t> m_hessian_rows, m_hessian_cols;
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Hashmap<VariablePair, size_t> m_hessian_index_map;
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NonlinearFunctionModel m_function_model;
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LinearQuadraticModel m_lq_model;
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// The options of the Ipopt solver, we cache them before constructing the m_problem
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Hashmap<std::string, int> m_options_int;
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Hashmap<std::string, double> m_options_num;
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Hashmap<std::string, std::string> m_options_str;
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IpoptResult m_result;
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enum ApplicationReturnStatus m_status;
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std::unique_ptr<IpoptProblemInfo, IpoptfreeproblemT> m_problem = nullptr;
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};

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