add Nlopt version of sobol which allows higher dimensions

1 files changed, 148 insertions, 0 deletions

diff --git a/src/nlopt-util.h b/src/nlopt-util.h
new file mode 100644
index 0000000..2e77212
--- /dev/null
+++ b/src/nlopt-util.h
@@ -0,0 +1,148 @@
+/* Copyright (c) 2007-2014 Massachusetts Institute of Technology
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining
+ * a copy of this software and associated documentation files (the
+ * "Software"), to deal in the Software without restriction, including
+ * without limitation the rights to use, copy, modify, merge, publish,
+ * distribute, sublicense, and/or sell copies of the Software, and to
+ * permit persons to whom the Software is furnished to do so, subject to
+ * the following conditions:
+ * 
+ * The above copyright notice and this permission notice shall be
+ * included in all copies or substantial portions of the Software.
+ * 
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+ * EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+ * MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+ * NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+ * LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+ * OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+ * WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. 
+ */
+
+#ifndef NLOPT_UTIL_H
+#define NLOPT_UTIL_H
+
+#include <stdlib.h>
+#include <stdarg.h>
+#include <math.h>
+
+#include "nlopt.h"
+
+/* workaround for Solaris + gcc 3.4.x bug (see configure.ac) */
+#if defined(__GNUC__) && defined(REPLACEMENT_HUGE_VAL)
+#  undef HUGE_VAL
+#  define HUGE_VAL REPLACEMENT_HUGE_VAL
+#endif
+
+#ifndef HAVE_COPYSIGN
+   /* not quite right for y == -0, but good enough for us */
+#  define copysign(x, y) ((y) < 0 ? -fabs(x) : fabs(x))
+#endif
+
+#ifdef __cplusplus
+extern "C"
+{
+#endif /* __cplusplus */
+
+int nlopt_isinf(double x);
+int nlopt_isfinite(double x);
+int nlopt_istiny(double x);
+int nlopt_isnan(double x);
+
+/* re-entrant qsort */
+extern void nlopt_qsort_r(void *base_, size_t nmemb, size_t size, void *thunk,
+			  int (*compar)(void *, const void *, const void *));
+
+/* seconds timer */
+extern double nlopt_seconds(void);
+extern unsigned long nlopt_time_seed(void);
+
+/* pseudorandom number generation by Mersenne twister algorithm */
+extern void nlopt_init_genrand(unsigned long s);
+extern double nlopt_urand(double a, double b);
+extern int nlopt_iurand(int n);
+extern double nlopt_nrand(double mean, double stddev);
+
+/* Sobol' low-discrepancy-sequence generation */
+typedef struct nlopt_soboldata_s *nlopt_sobol;
+extern nlopt_sobol nlopt_sobol_create(unsigned sdim);
+extern void nlopt_sobol_destroy(nlopt_sobol s);
+extern void nlopt_sobol_next01(nlopt_sobol s, double *x);
+extern void nlopt_sobol_next(nlopt_sobol s, double *x,
+			    const double *lb, const double *ub);
+extern void nlopt_sobol_skip(nlopt_sobol s, unsigned n, double *x);
+
+/* stopping criteria */
+typedef struct {
+     unsigned n;
+     double minf_max;
+     double ftol_rel;
+     double ftol_abs;
+     double xtol_rel;
+     const double *xtol_abs;
+     int nevals, maxeval;
+     double maxtime, start;
+     int *force_stop;
+     char **stop_msg; /* pointer to msg string to update */
+} nlopt_stopping;
+extern int nlopt_stop_f(const nlopt_stopping *stop, double f, double oldf);
+extern int nlopt_stop_ftol(const nlopt_stopping *stop, double f, double oldf);
+extern int nlopt_stop_x(const nlopt_stopping *stop, 
+			const double *x, const double *oldx);
+extern int nlopt_stop_dx(const nlopt_stopping *stop, 
+			 const double *x, const double *dx);
+extern int nlopt_stop_xs(const nlopt_stopping *stop, 
+			 const double *xs, const double *oldxs,
+			 const double *scale_min, const double *scale_max);
+extern int nlopt_stop_evals(const nlopt_stopping *stop);
+extern int nlopt_stop_time_(double start, double maxtime);
+extern int nlopt_stop_time(const nlopt_stopping *stop);
+extern int nlopt_stop_evalstime(const nlopt_stopping *stop);
+extern int nlopt_stop_forced(const nlopt_stopping *stop);
+
+/* like vsprintf, but reallocs p to whatever size is needed */
+extern char *nlopt_vsprintf(char *p, const char *format, va_list ap);
+extern void nlopt_stop_msg(const nlopt_stopping *s, const char *format, ...)
+#ifdef __GNUC__
+__attribute__ ((format (printf, 2, 3)))
+#endif
+;
+
+/* for local optimizations, temporarily setting eval/time limits */
+extern nlopt_result nlopt_optimize_limited(nlopt_opt opt, 
+					   double *x, double *minf,
+					   int maxevals, double maxtime);
+
+/* data structure for nonlinear inequality or equality constraint
+   (f <= 0 or f = 0, respectively).  tol (>= 0) is a tolerance
+   that is used for stopping criteria -- the point is considered
+   "feasible" for purposes of stopping if the constraint is violated
+   by at most tol. */
+typedef struct {
+     unsigned m; /* dimensional of constraint: mf maps R^n -> R^m */
+     nlopt_func f; /* one-dimensional constraint, requires m == 1 */
+     nlopt_mfunc mf;
+     nlopt_precond pre; /* preconditioner for f (NULL if none or if mf) */
+     void *f_data;
+     double *tol;
+} nlopt_constraint;
+
+extern unsigned nlopt_count_constraints(unsigned p, const nlopt_constraint *c);
+extern unsigned nlopt_max_constraint_dim(unsigned p, const nlopt_constraint *c);
+extern void nlopt_eval_constraint(double *result, double *grad,
+				  const nlopt_constraint *c,
+				  unsigned n, const double *x);
+
+/* rescale.c: */
+double *nlopt_compute_rescaling(unsigned n, const double *dx);
+double *nlopt_new_rescaled(unsigned n, const double *s, const double *x);
+void nlopt_rescale(unsigned n, const double *s, const double *x, double *xs);
+void nlopt_unscale(unsigned n, const double *s, const double *x, double *xs);
+void nlopt_reorder_bounds(unsigned n, double *lb, double *ub);
+
+#ifdef __cplusplus
+}  /* extern "C" */
+#endif /* __cplusplus */
+
+#endif