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stress.c
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stress.c
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// A stress test on excessively large problems
#include <math.h>
#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <time.h>
// Make PRIMA available
#include "prima/prima_internal.h"
// Thread-safe version of localtime
#ifdef _WIN32
#define localtime_safe(a, b) localtime_s(a, b)
#else
#define localtime_safe(a, b) localtime_r(b, a)
#endif
#define MIN(x, y) (((x) < (y)) ? (x) : (y))
#define N_MAX 2000
#define M_INEQ_MAX 1000
#define M_NLCON 200
int n = 0;
int m_ineq = 0;
const double alpha = 4.0;
int debug = 0;
static double random_gen(double a, double b)
{
return a + rand() * (b - a) / RAND_MAX;
}
// Objective function for unconstrained, bound constrained, and linearly-constrained problems
static void fun(const double x[], double *const f, const void *data)
{
// Objective: Rosenbrock function
*f = 0.0;
for (int i = 0; i < n-1; ++ i)
*f += (x[i] - 1.0) * (x[i] - 1.0) + alpha * (x[i+1] - x[i]*x[i]) * (x[i+1] - x[i]*x[i]);
static int nf = 0;
if (debug) {
++ nf;
printf("Number of function evaluations = %d\n", nf);
}
(void)data;
}
// Objective & constraint function for nonlinearly-constrained problems
static void fun_con(const double x[], double *const f, double constr[], const void *data)
{
// Objective: Rosenbrock function
*f = 0.0;
for (int i = 0; i < n-1; ++ i)
*f += (x[i] - 1.0) * (x[i] - 1.0) + alpha * (x[i+1] - x[i]*x[i]) * (x[i+1] - x[i]*x[i]);
// Constraint: x_{i+1} <= x_i^2
for (int i = 0; i < MIN(M_NLCON, n-1); ++ i)
constr[i] = x[i+1] - x[i] * x[i];
static int nf = 0;
if (debug) {
++ nf;
printf("Number of function evaluations = %d\n", nf);
}
(void)data;
}
// A function generating a seed that alters weekly
unsigned int get_random_seed(void) {
// Set the random seed to year/week
char buf[10] = {0};
time_t t = time(NULL);
struct tm timeinfo;
localtime_safe(&timeinfo, &t);
int rc = strftime(buf, 10, "%y%W", &timeinfo);
if (!rc)
return 42;
else
return atoi(buf);
}
// Main function
int main(int argc, char * argv[])
{
char *algo = "uobyqa";
prima_algorithm_t algorithm = PRIMA_UOBYQA;
if (argc > 1)
algo = argv[1];
printf("Algorithm = %s\n", algo);
if (argc > 2)
debug = (strcmp(argv[2], "debug") == 0);
printf("Debug = %d\n", debug);
unsigned int seed = get_random_seed();
printf("Random seed = %u\n", seed);
srand(seed);
// Set up the options
prima_options_t options;
prima_init_options(&options);
options.iprint = PRIMA_MSG_RHO;
options.maxfun = 500*N_MAX;
// Data for the problem
double x0[N_MAX];
double xl[N_MAX];
double xu[N_MAX];
for (int i = 0; i < N_MAX; ++ i) {
x0[i] = random_gen(-1.0, 1.0);
xl[i] = random_gen(-2.0, -1.0);
xu[i] = random_gen(1.0, 2.0);
}
double *Aineq = malloc(N_MAX*M_INEQ_MAX*sizeof(double));
for (int i = 0; i < N_MAX; ++ i) {
for (int j = 0; j < m_ineq; ++ j)
Aineq[j*N_MAX+i] = random_gen(-1.0, 1.0);
}
double bineq[M_INEQ_MAX];
for (int j = 0; j < M_INEQ_MAX; ++ j)
bineq[j] = random_gen(-1.0, 1.0);
// Define the algorithm and the problem according to `algo`
prima_problem_t problem;
prima_init_problem(&problem, N_MAX);
problem.x0 = x0;
if(strcmp(algo, "uobyqa") == 0) {
algorithm = PRIMA_UOBYQA;
problem.n = 100;
problem.calfun = &fun;
}
else if(strcmp(algo, "newuoa") == 0) {
algorithm = PRIMA_NEWUOA;
problem.n = 1600;
problem.calfun = &fun;
}
else if(strcmp(algo, "bobyqa") == 0) {
algorithm = PRIMA_BOBYQA;
problem.n = 1600;
problem.calfun = &fun;
problem.xl = xl;
problem.xu = xu;
}
else if(strcmp(algo, "lincoa") == 0) {
algorithm = PRIMA_LINCOA;
problem.n = 1000;
problem.m_ineq = 1000;
problem.calfun = &fun;
problem.xl = xl;
problem.xu = xu;
problem.Aineq = Aineq;
problem.bineq = bineq;
}
else if(strcmp(algo, "cobyla") == 0) {
algorithm = PRIMA_COBYLA;
problem.n = 800;
problem.m_nlcon = M_NLCON;
problem.m_ineq = 600;
problem.calcfc = &fun_con;
problem.xl = xl;
problem.xu = xu;
problem.Aineq = Aineq;
problem.bineq = bineq;
}
else {
printf("Invalid algorithm %s!\n", algo);
return 1;
}
// Call the solver
prima_result_t result;
const prima_rc_t rc = prima_minimize(algorithm, problem, options, &result);
// Print the result
printf("f* = %g, cstrv = %g, nlconstr = {%g}, rc = %d, msg = '%s', evals = %d\n", result.f, result.cstrv, result.nlconstr ? result.nlconstr[0] : 0.0, rc, result.message, result.nf);
// Free the result
prima_free_result(&result);
return 0;
}