def evaluate_jacobian(self, out=None):
ret = BlockMatrix(len(self._nlps),1)
for i,nlp in enumerate(self._nlps):
ret.set_block(i, 0, nlp.evaluate_jacobian())
ret = ret.tocoo()
if out is not None:
assert np.array_equal(ret.row, out.row)
assert np.array_equal(ret.col, out.col)
np.copyto(out.data, ret.data)
return out
return ret
def _evaluate_hessian_if_necessary_and_cache(self):
if self._cached_hessian is None:
hess = BlockMatrix(2, 2)
hess.set_row_size(0, self._ex_model.n_inputs())
hess.set_row_size(1, self._ex_model.n_outputs())
hess.set_col_size(0, self._ex_model.n_inputs())
hess.set_col_size(1, self._ex_model.n_outputs())
# get the hessian w.r.t. the equality constraints
eq_hess = None
if self._ex_model.n_equality_constraints() > 0:
eq_hess = self._ex_model.evaluate_hessian_equality_constraints(
)
# let's check that it is lower triangular
if np.any(eq_hess.row < eq_hess.col):
raise ValueError('ExternalGreyBoxModel must return lower '
'triangular portion of the Hessian only')
eq_hess = make_lower_triangular_full(eq_hess)
output_hess = None
if self._ex_model.n_outputs() > 0:
output_hess = self._ex_model.evaluate_hessian_outputs()
# let's check that it is lower triangular
if np.any(output_hess.row < output_hess.col):
raise ValueError('ExternalGreyBoxModel must return lower '
'triangular portion of the Hessian only')
output_hess = make_lower_triangular_full(output_hess)
input_hess = None
if eq_hess is not None and output_hess is not None:
# we may want to make this more efficient
row = np.concatenate((eq_hess.row, output_hess.row))
col = np.concatenate((eq_hess.col, output_hess.col))
data = np.concatenate((eq_hess.data, output_hess.data))
assert eq_hess.shape == output_hess.shape
input_hess = coo_matrix((data, (row, col)),
shape=eq_hess.shape)
elif eq_hess is not None:
input_hess = eq_hess
elif output_hess is not None:
input_hess = output_hess
assert input_hess is not None # need equality or outputs or both
hess.set_block(0, 0, input_hess)
self._cached_hessian = hess.tocoo()
def _evaluate_jacobian_if_necessary_and_cache(self):
if self._cached_jacobian is None:
jac = BlockMatrix(2,2)
jac.set_row_size(0,self._ex_model.n_equality_constraints())
jac.set_row_size(1,self._ex_model.n_outputs())
jac.set_col_size(0,self._ex_model.n_inputs())
jac.set_col_size(1,self._ex_model.n_outputs())
if self._ex_model.n_equality_constraints() > 0:
jac.set_block(0,0,self._ex_model.evaluate_jacobian_equality_constraints())
if self._ex_model.n_outputs() > 0:
jac.set_block(1,0,self._ex_model.evaluate_jacobian_outputs())
jac.set_block(1,1,-1.0*identity(self._ex_model.n_outputs()))
self._cached_jacobian = jac.tocoo()