1 /* DIRect-transp.f -- translated by f2c (version 20050501).
2
3 f2c output hand-cleaned by SGJ (August 2007).
4 */
5
6 #include <math.h>
7 #include "direct-internal.h"
8
9 /* Common Block Declarations */
10
11 /* Table of constant values */
12
13 /* +-----------------------------------------------------------------------+ */
14 /* | Program : Direct.f | */
15 /* | Last modified : 07-16-2001 | */
16 /* | Written by : Joerg Gablonsky (jmgablon@unity.ncsu.edu) | */
17 /* | North Carolina State University | */
18 /* | Dept. of Mathematics | */
19 /* | DIRECT is a method to solve problems of the form: | */
20 /* | min f: Q --> R, | */
21 /* | where f is the function to be minimized and Q is an n-dimensional | */
22 /* | hyperrectangle given by the the following equation: | */
23 /* | | */
24 /* | Q={ x : l(i) <= x(i) <= u(i), i = 1,...,n }. | */
25 /* | Note: This version of DIRECT can also handle hidden constraints. By | */
26 /* | this we mean that the function may not be defined over the whole| */
27 /* | hyperrectangle Q, but only over a subset, which is not given | */
28 /* | analytically. | */
29 /* | | */
30 /* | We now give a brief outline of the algorithm: | */
31 /* | | */
32 /* | The algorithm starts with mapping the hyperrectangle Q to the | */
33 /* | n-dimensional unit hypercube. DIRECT then samples the function at | */
34 /* | the center of this hypercube and at 2n more points, 2 in each | */
35 /* | coordinate direction. Uisng these function values, DIRECT then | */
36 /* | divides the domain into hyperrectangles, each having exactly one of | */
37 /* | the sampling points as its center. In each iteration, DIRECT chooses| */
38 /* | some of the existing hyperrectangles to be further divided. | */
39 /* | We provide two different strategies of how to decide which | */
40 /* | hyperrectangles DIRECT divides and several different convergence | */
41 /* | criteria. | */
42 /* | | */
43 /* | DIRECT was designed to solve problems where the function f is | */
44 /* | Lipschitz continues. However, DIRECT has proven to be effective on | */
45 /* | more complex problems than these. | */
46 /* +-----------------------------------------------------------------------+ */
direct_direct_(fp fcn,doublereal * x,integer * n,doublereal * eps,doublereal epsabs,integer * maxf,integer * maxt,double starttime,double maxtime,int * force_stop,doublereal * minf,doublereal * l,doublereal * u,integer * algmethod,integer * ierror,FILE * logfile,doublereal * fglobal,doublereal * fglper,doublereal * volper,doublereal * sigmaper,void * fcn_data)47 /* Subroutine */ void direct_direct_(fp fcn, doublereal *x, integer *n, doublereal *eps, doublereal epsabs, integer *maxf, integer *maxt, double starttime, double maxtime, int *force_stop, doublereal *minf, doublereal *l,
48 doublereal *u, integer *algmethod, integer *ierror, FILE *logfile,
49 doublereal *fglobal, doublereal *fglper, doublereal *volper,
50 doublereal *sigmaper, void *fcn_data)
51 {
52 /* System generated locals */
53 integer i__1, i__2;
54 doublereal d__1;
55
56 /* changed by SGJ to be dynamically allocated ... would be
57 even better to use realloc, below, to grow these as needed */
58 integer MAXFUNC = *maxf <= 0 ? 101000 : (*maxf + 1000 + *maxf / 2);
59 integer MAXDEEP = *maxt <= 0 ? MAXFUNC/5: *maxt + 1000;
60 const integer MAXDIV = 5000;
61
62 /* Local variables */
63 integer increase;
64 doublereal *c__ = 0 /* was [90000][64] */, *f = 0 /*
65 was [90000][2] */;
66 integer i__, j, *s = 0 /* was [3000][2] */, t;
67 doublereal *w = 0;
68 doublereal divfactor;
69 integer ifeasiblef, iepschange, actmaxdeep;
70 integer actdeep_div__, iinfesiblef;
71 integer pos1, newtosample;
72 integer ifree, help;
73 doublereal *oldl = 0, fmax;
74 integer maxi;
75 doublereal kmax, *oldu = 0;
76 integer oops, *list2 = 0 /* was [64][2] */, cheat;
77 doublereal delta;
78 integer mdeep, *point = 0, start;
79 integer *anchor = 0, *length = 0 /* was [90000][64] */, *arrayi = 0;
80 doublereal *levels = 0, *thirds = 0;
81 integer writed;
82 doublereal epsfix;
83 integer oldpos, minpos, maxpos, tstart, actdeep, ifreeold, oldmaxf;
84 integer numfunc, version;
85 integer jones;
86
87 /* FIXME: change sizes dynamically? */
88 #define MY_ALLOC(p, t, n) p = (t *) malloc(sizeof(t) * (n)); \
89 if (!(p)) { *ierror = -100; goto cleanup; }
90
91 /* Note that I've transposed c__, length, and f relative to the
92 original Fortran code. e.g. length was length(maxfunc,n)
93 in Fortran [ or actually length(maxfunc, maxdims), but by
94 using malloc I can just allocate n ], corresponding to
95 length[n][maxfunc] in C, but I've changed the code to access
96 it as length[maxfunc][n]. That is, the maxfunc direction
97 is the discontiguous one. This makes it easier to resize
98 dynamically (by adding contiguous rows) using realloc, without
99 having to move data around manually. */
100 MY_ALLOC(c__, doublereal, MAXFUNC * (*n));
101 MY_ALLOC(length, integer, MAXFUNC * (*n));
102 MY_ALLOC(f, doublereal, MAXFUNC * 2);
103 MY_ALLOC(point, integer, MAXFUNC);
104 if (*maxf <= 0) *maxf = MAXFUNC - 1000;
105
106 MY_ALLOC(s, integer, MAXDIV * 2);
107
108 MY_ALLOC(anchor, integer, MAXDEEP + 2);
109 MY_ALLOC(levels, doublereal, MAXDEEP + 1);
110 MY_ALLOC(thirds, doublereal, MAXDEEP + 1);
111 if (*maxt <= 0) *maxt = MAXDEEP;
112
113 MY_ALLOC(w, doublereal, (*n));
114 MY_ALLOC(oldl, doublereal, (*n));
115 MY_ALLOC(oldu, doublereal, (*n));
116 MY_ALLOC(list2, integer, (*n) * 2);
117 MY_ALLOC(arrayi, integer, (*n));
118
119 /* +-----------------------------------------------------------------------+ */
120 /* | SUBROUTINE Direct | */
121 /* | On entry | */
122 /* | fcn -- The argument containing the name of the user-supplied | */
123 /* | SUBROUTINE that returns values for the function to be | */
124 /* | minimized. | */
125 /* | n -- The dimension of the problem. | */
126 /* | eps -- Exceeding value. If eps > 0, we use the same epsilon for | */
127 /* | all iterations. If eps < 0, we use the update formula from | */
128 /* | Jones: | */
129 /* | eps = max(1.D-4*abs(minf),epsfix), | */
130 /* | where epsfix = abs(eps), the absolute value of eps which is| */
131 /* | passed to the function. | */
132 /* | maxf -- The maximum number of function evaluations. | */
133 /* | maxT -- The maximum number of iterations. | */
134 /* | Direct stops when either the maximum number of iterations | */
135 /* | is reached or more than maxf function-evalutions were made.| */
136 /* | l -- The lower bounds of the hyperbox. | */
137 /* | u -- The upper bounds of the hyperbox. | */
138 /* |algmethod-- Choose the method, that is either use the original method | */
139 /* | as described by Jones et.al. (0) or use our modification(1)| */
140 /* | logfile -- File-Handle for the logfile. DIRECT expects this file to be| */
141 /* | opened and closed by the user outside of DIRECT. We moved | */
142 /* | this to the outside so the user can add extra informations | */
143 /* | to this file before and after the call to DIRECT. | */
144 /* | fglobal -- Function value of the global optimum. If this value is not | */
145 /* | known (that is, we solve a real problem, not a testproblem)| */
146 /* | set this value to -1.D100 and fglper (see below) to 0.D0. | */
147 /* | fglper -- Terminate the optimization when the percent error | */
148 /* | 100(f_min - fglobal)/max(1,abs(fglobal)) < fglper. | */
149 /* | volper -- Terminate the optimization when the volume of the | */
150 /* | hyperrectangle S with f(c(S)) = minf is less then volper | */
151 /* | percent of the volume of the original hyperrectangle. | */
152 /* |sigmaper -- Terminate the optimization when the measure of the | */
153 /* | hyperrectangle S with f(c(S)) = minf is less then sigmaper.| */
154 /* | | */
155 /* | User data that is passed through without being changed: | */
156 /* | fcn_data - opaque pointer to any user data | */
157 /* | | */
158 /* | On return | */
159 /* | | */
160 /* | x -- The final point obtained in the optimization process. | */
161 /* | X should be a good approximation to the global minimum | */
162 /* | for the function within the hyper-box. | */
163 /* | | */
164 /* | minf -- The value of the function at x. | */
165 /* | Ierror -- Error flag. If Ierror is lower 0, an error has occured. The| */
166 /* | values of Ierror mean | */
167 /* | Fatal errors : | */
168 /* | -1 u(i) <= l(i) for some i. | */
169 /* | -2 maxf is too large. | */
170 /* | -3 Initialization in DIRpreprc failed. | */
171 /* | -4 Error in DIRSamplepoints, that is there was an error | */
172 /* | in the creation of the sample points. | */
173 /* | -5 Error in DIRSamplef, that is an error occured while | */
174 /* | the function was sampled. | */
175 /* | -6 Error in DIRDoubleInsert, that is an error occured | */
176 /* | DIRECT tried to add all hyperrectangles with the same| */
177 /* | size and function value at the center. Either | */
178 /* | increase maxdiv or use our modification (Jones = 1). | */
179 /* | Termination values : | */
180 /* | 1 Number of function evaluations done is larger then | */
181 /* | maxf. | */
182 /* | 2 Number of iterations is equal to maxT. | */
183 /* | 3 The best function value found is within fglper of | */
184 /* | the (known) global optimum, that is | */
185 /* | 100(minf - fglobal/max(1,|fglobal|)) < fglper. | */
186 /* | Note that this termination signal only occurs when | */
187 /* | the global optimal value is known, that is, a test | */
188 /* | function is optimized. | */
189 /* | 4 The volume of the hyperrectangle with minf at its | */
190 /* | center is less than volper percent of the volume of | */
191 /* | the original hyperrectangle. | */
192 /* | 5 The measure of the hyperrectangle with minf at its | */
193 /* | center is less than sigmaper. | */
194 /* | | */
195 /* | SUBROUTINEs used : | */
196 /* | | */
197 /* | DIRheader, DIRInitSpecific, DIRInitList, DIRpreprc, DIRInit, DIRChoose| */
198 /* | DIRDoubleInsert, DIRGet_I, DIRSamplepoints, DIRSamplef, DIRDivide | */
199 /* | DIRInsertList, DIRreplaceInf, DIRWritehistbox, DIRsummary, Findareas | */
200 /* | | */
201 /* | Functions used : | */
202 /* | | */
203 /* | DIRgetMaxdeep, DIRgetlevel | */
204 /* +-----------------------------------------------------------------------+ */
205 /* +-----------------------------------------------------------------------+ */
206 /* | Parameters | */
207 /* +-----------------------------------------------------------------------+ */
208 /* +-----------------------------------------------------------------------+ */
209 /* | The maximum of function evaluations allowed. | */
210 /* | The maximum dept of the algorithm. | */
211 /* | The maximum number of divisions allowed. | */
212 /* | The maximal dimension of the problem. | */
213 /* +-----------------------------------------------------------------------+ */
214 /* +-----------------------------------------------------------------------+ */
215 /* | Global Variables. | */
216 /* +-----------------------------------------------------------------------+ */
217 /* +-----------------------------------------------------------------------+ */
218 /* | EXTERNAL Variables. | */
219 /* +-----------------------------------------------------------------------+ */
220 /* +-----------------------------------------------------------------------+ */
221 /* | User Variables. | */
222 /* | These can be used to pass user defined data to the function to be | */
223 /* | optimized. | */
224 /* +-----------------------------------------------------------------------+ */
225 /* +-----------------------------------------------------------------------+ */
226 /* | Place to define, if needed, some application-specific variables. | */
227 /* | Note: You should try to use the arrays defined above for this. | */
228 /* +-----------------------------------------------------------------------+ */
229 /* +-----------------------------------------------------------------------+ */
230 /* | End of application - specific variables ! | */
231 /* +-----------------------------------------------------------------------+ */
232 /* +-----------------------------------------------------------------------+ */
233 /* | Internal variables : | */
234 /* | f -- values of functions. | */
235 /* |divfactor-- Factor used for termination with known global minimum. | */
236 /* | anchor -- anchors of lists with deepness i, -1 is anchor for list of | */
237 /* | NaN - values. | */
238 /* | S -- List of potentially optimal points. | */
239 /* | point -- lists | */
240 /* | ifree -- first free position | */
241 /* | c -- midpoints of arrays | */
242 /* | thirds -- Precalculated values of 1/3^i. | */
243 /* | levels -- Length of intervals. | */
244 /* | length -- Length of intervall (index) | */
245 /* | t -- actual iteration | */
246 /* | j -- loop-variable | */
247 /* | actdeep -- the actual minimal interval-length index | */
248 /* | Minpos -- position of the actual minimum | */
249 /* | file -- The filehandle for a datafile. | */
250 /* | maxpos -- The number of intervalls, which are truncated. | */
251 /* | help -- A help variable. | */
252 /* | numfunc -- The actual number of function evaluations. | */
253 /* | file2 -- The filehandle for an other datafile. | */
254 /* | ArrayI -- Array with the indexes of the sides with maximum length. | */
255 /* | maxi -- Number of directions with maximal side length. | */
256 /* | oops -- Flag which shows if anything went wrong in the | */
257 /* | initialisation. | */
258 /* | cheat -- Obsolete. If equal 1, we don't allow Ktilde > kmax. | */
259 /* | writed -- If writed=1, store final division to plot with Matlab. | */
260 /* | List2 -- List of indicies of intervalls, which are to be truncated. | */
261 /* | i -- Another loop-variable. | */
262 /* |actmaxdeep-- The actual maximum (minimum) of possible Interval length. | */
263 /* | oldpos -- The old index of the minimum. Used to print only, if there | */
264 /* | is a new minimum found. | */
265 /* | tstart -- The start of the outer loop. | */
266 /* | start -- The postion of the starting point in the inner loop. | */
267 /* | Newtosample -- The total number of points to sample in the inner loop.| */
268 /* | w -- Array used to divide the intervalls | */
269 /* | kmax -- Obsolete. If cheat = 1, Ktilde was not allowed to be larger| */
270 /* | than kmax. If Ktilde > kmax, we set ktilde = kmax. | */
271 /* | delta -- The distance to new points from center of old hyperrec. | */
272 /* | pos1 -- Help variable used as an index. | */
273 /* | version -- Store the version number of DIRECT. | */
274 /* | oldmaxf -- Store the original function budget. | */
275 /* |increase -- Flag used to keep track if function budget was increased | */
276 /* | because no feasible point was found. | */
277 /* | ifreeold -- Keep track which index was free before. Used with | */
278 /* | SUBROUTINE DIRReplaceInf. | */
279 /* |actdeep_div-- Keep track of the current depths for divisions. | */
280 /* | oldl -- Array used to store the original bounds of the domain. | */
281 /* | oldu -- Array used to store the original bounds of the domain. | */
282 /* | epsfix -- If eps < 0, we use Jones update formula. epsfix stores the | */
283 /* | absolute value of epsilon. | */
284 /* |iepschange-- flag iepschange to store if epsilon stays fixed or is | */
285 /* | changed. | */
286 /* |DIRgetMaxdeep-- Function to calculate the level of a hyperrectangle. | */
287 /* |DIRgetlevel-- Function to calculate the level and stage of a hyperrec. | */
288 /* | fmax -- Keep track of the maximum value of the function found. | */
289 /* |Ifeasiblef-- Keep track if a feasible point has been found so far. | */
290 /* | Ifeasiblef = 0 means a feasible point has been found, | */
291 /* | Ifeasiblef = 1 no feasible point has been found. | */
292 /* +-----------------------------------------------------------------------+ */
293 /* +-----------------------------------------------------------------------+ */
294 /* | JG 09/25/00 Version counter. | */
295 /* +-----------------------------------------------------------------------+ */
296 /* +-----------------------------------------------------------------------+ */
297 /* | JG 09/24/00 Add another actdeep to keep track of the current depths | */
298 /* | for divisions. | */
299 /* +-----------------------------------------------------------------------+ */
300 /* +-----------------------------------------------------------------------+ */
301 /* |JG 01/13/01 Added epsfix for epsilon update. If eps < 0, we use Jones | */
302 /* | update formula. epsfix stores the absolute value of epsilon| */
303 /* | then. Also added flag iepschange to store if epsilon stays | */
304 /* | fixed or is changed. | */
305 /* +-----------------------------------------------------------------------+ */
306 /* +-----------------------------------------------------------------------+ */
307 /* | JG 01/22/01 fmax is used to keep track of the maximum value found. | */
308 /* +-----------------------------------------------------------------------+ */
309 /* +-----------------------------------------------------------------------+ */
310 /* | JG 01/22/01 Ifeasiblef is used to keep track if a feasible point has | */
311 /* | been found so far. Ifeasiblef = 0 means a feasible point | */
312 /* | has been found, Ifeasiblef = 1 if not. | */
313 /* | JG 03/09/01 IInfeasible is used to keep track if an infeasible point | */
314 /* | has been found. IInfeasible > 0 means a infeasible point | */
315 /* | has been found, IInfeasible = 0 if not. | */
316 /* +-----------------------------------------------------------------------+ */
317 /* +-----------------------------------------------------------------------+ */
318 /* +-----------------------------------------------------------------------+ */
319 /* | Start of code. | */
320 /* +-----------------------------------------------------------------------+ */
321 /* +-----------------------------------------------------------------------+ */
322 /* Parameter adjustments */
323 --u;
324 --l;
325 --x;
326
327 /* Function Body */
328 writed = 0;
329 jones = *algmethod;
330 /* +-----------------------------------------------------------------------+ */
331 /* | Save the upper and lower bounds. | */
332 /* +-----------------------------------------------------------------------+ */
333 i__1 = *n;
334 for (i__ = 1; i__ <= i__1; ++i__) {
335 oldu[i__ - 1] = u[i__];
336 oldl[i__ - 1] = l[i__];
337 /* L150: */
338 }
339 /* +-----------------------------------------------------------------------+ */
340 /* | Set version. | */
341 /* +-----------------------------------------------------------------------+ */
342 version = 204;
343 /* +-----------------------------------------------------------------------+ */
344 /* | Set parameters. | */
345 /* | If cheat > 0, we do not allow \tilde{K} to be larger than kmax, and| */
346 /* | set \tilde{K} to set value if necessary. Not used anymore. | */
347 /* +-----------------------------------------------------------------------+ */
348 cheat = 0;
349 kmax = 1e10;
350 mdeep = MAXDEEP;
351 /* +-----------------------------------------------------------------------+ */
352 /* | Write the header of the logfile. | */
353 /* +-----------------------------------------------------------------------+ */
354 direct_dirheader_(logfile, &version, &x[1], n, eps, maxf, maxt, &l[1], &u[1],
355 algmethod, &MAXFUNC, &MAXDEEP, fglobal, fglper, ierror, &epsfix, &
356 iepschange, volper, sigmaper);
357 /* +-----------------------------------------------------------------------+ */
358 /* | If an error has occured while writing the header (we do some checking | */
359 /* | of variables there), return to the main program. | */
360 /* +-----------------------------------------------------------------------+ */
361 if (*ierror < 0) {
362 goto cleanup;
363 }
364 /* +-----------------------------------------------------------------------+ */
365 /* | If the known global minimum is equal 0, we cannot divide by it. | */
366 /* | Therefore we set it to 1. If not, we set the divisionfactor to the | */
367 /* | absolute value of the global minimum. | */
368 /* +-----------------------------------------------------------------------+ */
369 if (*fglobal == 0.) {
370 divfactor = 1.;
371 } else {
372 divfactor = fabs(*fglobal);
373 }
374 /* +-----------------------------------------------------------------------+ */
375 /* | Save the budget given by the user. The variable maxf will be changed | */
376 /* | if in the beginning no feasible points are found. | */
377 /* +-----------------------------------------------------------------------+ */
378 oldmaxf = *maxf;
379 increase = 0;
380 /* +-----------------------------------------------------------------------+ */
381 /* | Initialiase the lists. | */
382 /* +-----------------------------------------------------------------------+ */
383 direct_dirinitlist_(anchor, &ifree, point, f, &MAXFUNC, &MAXDEEP);
384 /* +-----------------------------------------------------------------------+ */
385 /* | Call the routine to initialise the mapping of x from the n-dimensional| */
386 /* | unit cube to the hypercube given by u and l. If an error occured, | */
387 /* | give out a error message and return to the main program with the error| */
388 /* | flag set. | */
389 /* | JG 07/16/01 Changed call to remove unused data. | */
390 /* +-----------------------------------------------------------------------+ */
391 direct_dirpreprc_(&u[1], &l[1], n, &l[1], &u[1], &oops);
392 if (oops > 0) {
393 if (logfile)
394 fprintf(logfile,"WARNING: Initialization in DIRpreprc failed.\n");
395 *ierror = -3;
396 goto cleanup;
397 }
398 tstart = 2;
399 /* +-----------------------------------------------------------------------+ */
400 /* | Initialise the algorithm DIRECT. | */
401 /* +-----------------------------------------------------------------------+ */
402 /* +-----------------------------------------------------------------------+ */
403 /* | Added variable to keep track of the maximum value found. | */
404 /* +-----------------------------------------------------------------------+ */
405 direct_dirinit_(f, fcn, c__, length, &actdeep, point, anchor, &ifree,
406 logfile, arrayi, &maxi, list2, w, &x[1], &l[1], &u[1],
407 minf, &minpos, thirds, levels, &MAXFUNC, &MAXDEEP, n, n, &
408 fmax, &ifeasiblef, &iinfesiblef, ierror, fcn_data, jones,
409 starttime, maxtime, force_stop);
410 /* +-----------------------------------------------------------------------+ */
411 /* | Added error checking. | */
412 /* +-----------------------------------------------------------------------+ */
413 if (*ierror < 0) {
414 if (*ierror == -4) {
415 if (logfile)
416 fprintf(logfile, "WARNING: Error occured in routine DIRsamplepoints.\n");
417 goto cleanup;
418 }
419 if (*ierror == -5) {
420 if (logfile)
421 fprintf(logfile, "WARNING: Error occured in routine DIRsamplef..\n");
422 goto cleanup;
423 }
424 if (*ierror == -102) goto L100;
425 }
426 else if (*ierror == DIRECT_MAXTIME_EXCEEDED) goto L100;
427 numfunc = maxi + 1 + maxi;
428 actmaxdeep = 1;
429 oldpos = 0;
430 tstart = 2;
431 /* +-----------------------------------------------------------------------+ */
432 /* | If no feasible point has been found, give out the iteration, the | */
433 /* | number of function evaluations and a warning. Otherwise, give out | */
434 /* | the iteration, the number of function evaluations done and minf. | */
435 /* +-----------------------------------------------------------------------+ */
436 if (ifeasiblef > 0) {
437 if (logfile)
438 fprintf(logfile, "No feasible point found in %d iterations "
439 "and %d function evaluations.\n", tstart-1, numfunc);
440 } else {
441 if (logfile)
442 fprintf(logfile, "%d, %d, %g, %g\n",
443 tstart-1, numfunc, *minf, fmax);
444 }
445 /* +-----------------------------------------------------------------------+ */
446 /* +-----------------------------------------------------------------------+ */
447 /* | Main loop! | */
448 /* +-----------------------------------------------------------------------+ */
449 /* +-----------------------------------------------------------------------+ */
450 i__1 = *maxt;
451 for (t = tstart; t <= i__1; ++t) {
452 /* +-----------------------------------------------------------------------+ */
453 /* | Choose the sample points. The indices of the sample points are stored | */
454 /* | in the list S. | */
455 /* +-----------------------------------------------------------------------+ */
456 actdeep = actmaxdeep;
457 direct_dirchoose_(anchor, s, &MAXDEEP, f, minf, *eps, epsabs, levels, &maxpos, length,
458 &MAXFUNC, &MAXDEEP, &MAXDIV, n, logfile, &cheat, &
459 kmax, &ifeasiblef, jones);
460 /* +-----------------------------------------------------------------------+ */
461 /* | Add other hyperrectangles to S, which have the same level and the same| */
462 /* | function value at the center as the ones found above (that are stored | */
463 /* | in S). This is only done if we use the original DIRECT algorithm. | */
464 /* | JG 07/16/01 Added Errorflag. | */
465 /* +-----------------------------------------------------------------------+ */
466 if (*algmethod == 0) {
467 direct_dirdoubleinsert_(anchor, s, &maxpos, point, f, &MAXDEEP, &MAXFUNC,
468 &MAXDIV, ierror);
469 if (*ierror == -6) {
470 if (logfile)
471 fprintf(logfile,
472 "WARNING: Capacity of array S in DIRDoubleInsert reached. Increase maxdiv.\n"
473 "This means that there are a lot of hyperrectangles with the same function\n"
474 "value at the center. We suggest to use our modification instead (Jones = 1)\n"
475 );
476 goto cleanup;
477 }
478 }
479 oldpos = minpos;
480 /* +-----------------------------------------------------------------------+ */
481 /* | Initialise the number of sample points in this outer loop. | */
482 /* +-----------------------------------------------------------------------+ */
483 newtosample = 0;
484 i__2 = maxpos;
485 for (j = 1; j <= i__2; ++j) {
486 actdeep = s[j + MAXDIV-1];
487 /* +-----------------------------------------------------------------------+ */
488 /* | If the actual index is a point to sample, do it. | */
489 /* +-----------------------------------------------------------------------+ */
490 if (s[j - 1] > 0) {
491 /* +-----------------------------------------------------------------------+ */
492 /* | JG 09/24/00 Calculate the value delta used for sampling points. | */
493 /* +-----------------------------------------------------------------------+ */
494 actdeep_div__ = direct_dirgetmaxdeep_(&s[j - 1], length, &MAXFUNC,
495 n);
496 delta = thirds[actdeep_div__ + 1];
497 actdeep = s[j + MAXDIV-1];
498 /* +-----------------------------------------------------------------------+ */
499 /* | If the current dept of division is only one under the maximal allowed | */
500 /* | dept, stop the computation. | */
501 /* +-----------------------------------------------------------------------+ */
502 if (actdeep + 1 >= mdeep) {
503 if (logfile)
504 fprintf(logfile, "WARNING: Maximum number of levels reached. Increase maxdeep.\n");
505 *ierror = -6;
506 goto L100;
507 }
508 actmaxdeep = MAX(actdeep,actmaxdeep);
509 help = s[j - 1];
510 if (! (anchor[actdeep + 1] == help)) {
511 pos1 = anchor[actdeep + 1];
512 while(! (point[pos1 - 1] == help)) {
513 pos1 = point[pos1 - 1];
514 }
515 point[pos1 - 1] = point[help - 1];
516 } else {
517 anchor[actdeep + 1] = point[help - 1];
518 }
519 if (actdeep < 0) {
520 actdeep = (integer) f[(help << 1) - 2];
521 }
522 /* +-----------------------------------------------------------------------+ */
523 /* | Get the Directions in which to decrease the intervall-length. | */
524 /* +-----------------------------------------------------------------------+ */
525 direct_dirget_i__(length, &help, arrayi, &maxi, n, &MAXFUNC);
526 /* +-----------------------------------------------------------------------+ */
527 /* | Sample the function. To do this, we first calculate the points where | */
528 /* | we need to sample the function. After checking for errors, we then do | */
529 /* | the actual evaluation of the function, again followed by checking for | */
530 /* | errors. | */
531 /* +-----------------------------------------------------------------------+ */
532 direct_dirsamplepoints_(c__, arrayi, &delta, &help, &start, length,
533 logfile, f, &ifree, &maxi, point, &x[
534 1], &l[1], minf, &minpos, &u[1], n, &MAXFUNC, &
535 MAXDEEP, &oops);
536 if (oops > 0) {
537 if (logfile)
538 fprintf(logfile, "WARNING: Error occured in routine DIRsamplepoints.\n");
539 *ierror = -4;
540 goto cleanup;
541 }
542 newtosample += maxi;
543 /* +-----------------------------------------------------------------------+ */
544 /* | JG 01/22/01 Added variable to keep track of the maximum value found. | */
545 /* +-----------------------------------------------------------------------+ */
546 direct_dirsamplef_(c__, arrayi, &delta, &help, &start, length,
547 logfile, f, &ifree, &maxi, point, fcn, &x[
548 1], &l[1], minf, &minpos, &u[1], n, &MAXFUNC, &
549 MAXDEEP, &oops, &fmax, &ifeasiblef, &iinfesiblef,
550 fcn_data, force_stop);
551 if (force_stop && *force_stop) {
552 *ierror = -102;
553 goto L100;
554 }
555 if (nlopt_stop_time_(starttime, maxtime)) {
556 *ierror = DIRECT_MAXTIME_EXCEEDED;
557 goto L100;
558 }
559 if (oops > 0) {
560 if (logfile)
561 fprintf(logfile, "WARNING: Error occured in routine DIRsamplef.\n");
562 *ierror = -5;
563 goto cleanup;
564 }
565 /* +-----------------------------------------------------------------------+ */
566 /* | Divide the intervalls. | */
567 /* +-----------------------------------------------------------------------+ */
568 direct_dirdivide_(&start, &actdeep_div__, length, point, arrayi, &
569 help, list2, w, &maxi, f, &MAXFUNC, &MAXDEEP, n);
570 /* +-----------------------------------------------------------------------+ */
571 /* | Insert the new intervalls into the list (sorted). | */
572 /* +-----------------------------------------------------------------------+ */
573 direct_dirinsertlist_(&start, anchor, point, f, &maxi, length, &
574 MAXFUNC, &MAXDEEP, n, &help, jones);
575 /* +-----------------------------------------------------------------------+ */
576 /* | Increase the number of function evaluations. | */
577 /* +-----------------------------------------------------------------------+ */
578 numfunc = numfunc + maxi + maxi;
579 }
580 /* +-----------------------------------------------------------------------+ */
581 /* | End of main loop. | */
582 /* +-----------------------------------------------------------------------+ */
583 /* L20: */
584 }
585 /* +-----------------------------------------------------------------------+ */
586 /* | If there is a new minimum, show the actual iteration, the number of | */
587 /* | function evaluations, the minimum value of f (so far) and the position| */
588 /* | in the array. | */
589 /* +-----------------------------------------------------------------------+ */
590 if (oldpos < minpos) {
591 if (logfile)
592 fprintf(logfile, "%d, %d, %g, %g\n",
593 t, numfunc, *minf, fmax);
594 }
595 /* +-----------------------------------------------------------------------+ */
596 /* | If no feasible point has been found, give out the iteration, the | */
597 /* | number of function evaluations and a warning. | */
598 /* +-----------------------------------------------------------------------+ */
599 if (ifeasiblef > 0) {
600 if (logfile)
601 fprintf(logfile, "No feasible point found in %d iterations "
602 "and %d function evaluations\n", t, numfunc);
603 }
604 /* +-----------------------------------------------------------------------+ */
605 /* +-----------------------------------------------------------------------+ */
606 /* | Termination Checks | */
607 /* +-----------------------------------------------------------------------+ */
608 /* +-----------------------------------------------------------------------+ */
609 /* | JG 01/22/01 Calculate the index for the hyperrectangle at which | */
610 /* | minf is assumed. We then calculate the volume of this | */
611 /* | hyperrectangle and store it in delta. This delta can be | */
612 /* | used to stop DIRECT once the volume is below a certain | */
613 /* | percentage of the original volume. Since the original | */
614 /* | is 1 (scaled), we can stop once delta is below a certain | */
615 /* | percentage, given by volper. | */
616 /* +-----------------------------------------------------------------------+ */
617 *ierror = jones;
618 jones = 0;
619 actdeep_div__ = direct_dirgetlevel_(&minpos, length, &MAXFUNC, n, jones);
620 jones = *ierror;
621 /* +-----------------------------------------------------------------------+ */
622 /* | JG 07/16/01 Use precalculated values to calculate volume. | */
623 /* +-----------------------------------------------------------------------+ */
624 delta = thirds[actdeep_div__] * 100;
625 if (delta <= *volper) {
626 *ierror = 4;
627 if (logfile)
628 fprintf(logfile, "DIRECT stopped: Volume of S_min is "
629 "%g%% < %g%% of the original volume.\n",
630 delta, *volper);
631 goto L100;
632 }
633 /* +-----------------------------------------------------------------------+ */
634 /* | JG 01/23/01 Calculate the measure for the hyperrectangle at which | */
635 /* | minf is assumed. If this measure is smaller then sigmaper,| */
636 /* | we stop DIRECT. | */
637 /* +-----------------------------------------------------------------------+ */
638 actdeep_div__ = direct_dirgetlevel_(&minpos, length, &MAXFUNC, n, jones);
639 delta = levels[actdeep_div__];
640 if (delta <= *sigmaper) {
641 *ierror = 5;
642 if (logfile)
643 fprintf(logfile, "DIRECT stopped: Measure of S_min "
644 "= %g < %g.\n", delta, *sigmaper);
645 goto L100;
646 }
647 /* +-----------------------------------------------------------------------+ */
648 /* | If the best found function value is within fglper of the (known) | */
649 /* | global minimum value, terminate. This only makes sense if this optimal| */
650 /* | value is known, that is, in test problems. | */
651 /* +-----------------------------------------------------------------------+ */
652 if ((*minf - *fglobal) * 100 / divfactor <= *fglper) {
653 *ierror = 3;
654 if (logfile)
655 fprintf(logfile, "DIRECT stopped: minf within fglper of global minimum.\n");
656 goto L100;
657 }
658 /* +-----------------------------------------------------------------------+ */
659 /* | Find out if there are infeasible points which are near feasible ones. | */
660 /* | If this is the case, replace the function value at the center of the | */
661 /* | hyper rectangle by the lowest function value of a nearby function. | */
662 /* | If no infeasible points exist (IInfesiblef = 0), skip this. | */
663 /* +-----------------------------------------------------------------------+ */
664 if (iinfesiblef > 0) {
665 direct_dirreplaceinf_(&ifree, &ifreeold, f, c__, thirds, length, anchor,
666 point, &u[1], &l[1], &MAXFUNC, &MAXDEEP, n, n,
667 logfile, &fmax, jones);
668 }
669 ifreeold = ifree;
670 /* +-----------------------------------------------------------------------+ */
671 /* | If iepschange = 1, we use the epsilon change formula from Jones. | */
672 /* +-----------------------------------------------------------------------+ */
673 if (iepschange == 1) {
674 /* Computing MAX */
675 d__1 = fabs(*minf) * 1e-4;
676 *eps = MAX(d__1,epsfix);
677 }
678 /* +-----------------------------------------------------------------------+ */
679 /* | If no feasible point has been found yet, set the maximum number of | */
680 /* | function evaluations to the number of evaluations already done plus | */
681 /* | the budget given by the user. | */
682 /* | If the budget has already be increased, increase it again. If a | */
683 /* | feasible point has been found, remark that and reset flag. No further | */
684 /* | increase is needed. | */
685 /* +-----------------------------------------------------------------------+ */
686 if (increase == 1) {
687 *maxf = numfunc + oldmaxf;
688 if (ifeasiblef == 0) {
689 if (logfile)
690 fprintf(logfile, "DIRECT found a feasible point. The "
691 "adjusted budget is now set to %d.\n", *maxf);
692 increase = 0;
693 }
694 }
695 /* +-----------------------------------------------------------------------+ */
696 /* | Check if the number of function evaluations done is larger than the | */
697 /* | allocated budget. If this is the case, check if a feasible point was | */
698 /* | found. If this is a case, terminate. If no feasible point was found, | */
699 /* | increase the budget and set flag increase. | */
700 /* +-----------------------------------------------------------------------+ */
701 if (numfunc > *maxf) {
702 if (ifeasiblef == 0) {
703 *ierror = 1;
704 if (logfile)
705 fprintf(logfile, "DIRECT stopped: numfunc >= maxf.\n");
706 goto L100;
707 } else {
708 increase = 1;
709 if (logfile)
710 fprintf(logfile,
711 "DIRECT could not find a feasible point after %d function evaluations.\n"
712 "DIRECT continues until a feasible point is found.\n", numfunc);
713 *maxf = numfunc + oldmaxf;
714 }
715 }
716 /* L10: */
717 }
718 /* +-----------------------------------------------------------------------+ */
719 /* +-----------------------------------------------------------------------+ */
720 /* | End of main loop. | */
721 /* +-----------------------------------------------------------------------+ */
722 /* +-----------------------------------------------------------------------+ */
723 /* +-----------------------------------------------------------------------+ */
724 /* | The algorithm stopped after maxT iterations. | */
725 /* +-----------------------------------------------------------------------+ */
726 *ierror = 2;
727 if (logfile)
728 fprintf(logfile, "DIRECT stopped: maxT iterations.\n");
729
730 L100:
731 /* +-----------------------------------------------------------------------+ */
732 /* | Store the position of the minimum in x. | */
733 /* +-----------------------------------------------------------------------+ */
734 i__1 = *n;
735 for (i__ = 1; i__ <= i__1; ++i__) {
736 x[i__] = c__[i__ + minpos * i__1 - i__1-1] * l[i__] + l[i__] * u[i__];
737 u[i__] = oldu[i__ - 1];
738 l[i__] = oldl[i__ - 1];
739 /* L50: */
740 }
741 /* +-----------------------------------------------------------------------+ */
742 /* | Store the number of function evaluations in maxf. | */
743 /* +-----------------------------------------------------------------------+ */
744 *maxf = numfunc;
745 /* +-----------------------------------------------------------------------+ */
746 /* | Give out a summary of the run. | */
747 /* +-----------------------------------------------------------------------+ */
748 direct_dirsummary_(logfile, &x[1], &l[1], &u[1], n, minf, fglobal, &numfunc,
749 ierror);
750 /* +-----------------------------------------------------------------------+ */
751 /* | Format statements. | */
752 /* +-----------------------------------------------------------------------+ */
753
754 cleanup:
755 #define MY_FREE(p) if (p) free(p)
756 MY_FREE(c__);
757 MY_FREE(f);
758 MY_FREE(s);
759 MY_FREE(w);
760 MY_FREE(oldl);
761 MY_FREE(oldu);
762 MY_FREE(list2);
763 MY_FREE(point);
764 MY_FREE(anchor);
765 MY_FREE(length);
766 MY_FREE(arrayi);
767 MY_FREE(levels);
768 MY_FREE(thirds);
769 } /* direct_ */
770
771