Module `Nlopt`

OCaml interface to the NLopt optimization library

type 'a algorithm: Represent an algorithm, the parameter giving some properties of the algorithm.

val direct : [ `Global ] algorithm
val direct_l : [ `Global | `Ineq ] algorithm
val direct_l_rand : [ `Global ] algorithm
val direct_noscal : [ `Global ] algorithm
val direct_l_noscal : [ `Global ] algorithm
val direct_l_rand_noscal : [ `Global ] algorithm
val orig_direct : [ `Global | `Ineq ] algorithm
val orig_direct_l : [ `Global ] algorithm
val stogo : [ `Global | `Grad ] algorithm
val stogo_rand : [ `Global | `Grad ] algorithm
val lbfgs_nocedal : [ `Local | `Grad ] algorithm
val lbfgs : [ `Local | `Grad ] algorithm
val praxis : [ `Local ] algorithm
val var1 : [ `Local | `Grad ] algorithm
val var2 : [ `Local | `Grad ] algorithm
val tnewton : [ `Local | `Grad ] algorithm
val tnewton_restart : [ `Local | `Grad ] algorithm
val tnewton_precond : [ `Local | `Grad ] algorithm
val tnewton_precond_restart : [ `Local | `Grad ] algorithm
val crs2_lm : [ `Global ] algorithm
val mma : [ `Local | `Grad | `Ineq ] algorithm
val cobyla : [ `Local | `Ineq | `Eq ] algorithm
val newuoa : [ `Local ] algorithm
val newuoa_bound : [ `Local ] algorithm
val neldermead : [ `Local ] algorithm
val sbplx : [ `Local ] algorithm
val bobyqa : [ `Local ] algorithm
val isres : [ `Global | `Ineq | `Eq ] algorithm
val auglag : [ `Subsidiary | `Ineq | `Eq ] algorithm
val auglag_eq : [ `Subsidiary | `Ineq | `Eq ] algorithm
val mlsl : [ `Subsidiary | `Global ] algorithm
val mlsl_lds : [ `Subsidiary | `Global ] algorithm
val slsqp : [ `Local | `Grad | `Ineq | `Eq ] algorithm

type 'a t: A value containing the information about the optimization problem.

exception Roundoff_limited
exception Forced_stop

val create : 'a algorithm -> int -> 'a t

val set_min_objective : 'a t -> (float array -> float array option -> float) -> unit

val set_max_objective : 'a t -> (float array -> float array option -> float) -> unit

optimize opt x performs the optimization using x as an initial guess (it must be of size get_dimension opt). Returns a triple (result, xopt, fopt) where xopt is the optimzed value and fopt is the function value at that optimum.

raises Invalid_argument: x does not match the dimension of opt or NLopt returned NLOPT_INVALID_ARGS

raises Out_of_memory: NLopt returned NLOPT_OUT_OF_MEMORY

raises Failure: NLopt returned NLOPT_FAILURE

raises Roundoff_limited: NLopt returned NLOPT_ROUNDOFF_LIMITED

val get_dimension : 'a t -> int

Bound constraints

val set_lower_bounds : 'a t -> float array -> unit
val get_lower_bounds : 'a t -> float array
val set_upper_bounds : 'a t -> float array -> unit
val get_upper_bounds : 'a t -> float array

Nonlinear constraints

val add_inequality_constraint : [> `Ineq ] t -> (float array -> float array option -> float) -> float -> unit
val add_equality_constraint : [> `Eq ] t -> (float array -> float array option -> float) -> float -> unit

Stopping criteria

val set_stopval : 'a t -> float -> unit
val get_stopval : 'a t -> float
val set_ftol_rel : 'a t -> float -> unit
val get_ftol_rel : 'a t -> float
val set_ftol_abs : 'a t -> float -> unit
val get_ftol_abs : 'a t -> float
val set_xtol_rel : 'a t -> float -> unit
val get_xtol_rel : 'a t -> float
val set_xtol_abs : 'a t -> float array -> unit
val get_xtol_abs : 'a t -> float array
val set_maxeval : 'a t -> int -> unit
val get_maxeval : 'a t -> int
val set_maxtime : 'a t -> float -> unit
val get_maxtime : 'a t -> float

Force stop

val force_stop : 'a t -> unit

Local/subsidiary optimization algorithm

val set_local_optimizer : [> `Subsidiary ] t -> 'a t -> unit

Initial step size

val set_initial_step : 'a t -> float array -> unit
val get_initial_step : 'a t -> float array -> float array

Stochastic population

val set_population : 'a t -> int -> unit

Vector storage for limited-memory quasi-Newton algorithms

val set_vector_storage : 'a t -> int -> unit
val get_vector_storage : 'a t -> int

Utility functions

val version : unit -> int * int * int
val string_of_result : [< `Success | `Stopval_reached | `Stopval_reached | `Ftol_reached | `Xtol_reached | `Maxeval_reached | `Maxtime_reached ] -> string