tests/banana.R

In jyypma/ipoptr: R interface to Ipopt

# Copyright (C) 2010 Jelmer Ypma. All Rights Reserved.
# This code is published under the Eclipse Public License.
#
# File:   banana.R
# Author: Jelmer Ypma
# Date:   18 April 2010
#
# Example showing how to solve the Rosenbrock Banana function.

library('ipoptr')

## Rosenbrock Banana function
eval_f <- function(x) {   
    return( 100 * (x[2] - x[1] * x[1])^2 + (1 - x[1])^2 )
}

## Gradient of Rosenbrock Banana function
eval_grad_f <- function(x) { 
    return( c( -400 * x[1] * (x[2] - x[1] * x[1]) - 2 * (1 - x[1]),
                200 * (x[2] - x[1] * x[1])) )
}

# The Hessian for this problem is actually dense, 
# This is a symmetric matrix, fill the lower left triangle only.
eval_h_structure <- list( c(1), c(1,2) )

eval_h <- function( x, obj_factor, hessian_lambda ) {
    return( obj_factor*c( 2 - 400*(x[2] - x[1]^2) + 800*x[1]^2,      # 1,1
                          -400*x[1],                                 # 2,1
                          200 ) )                                    # 2,2
}

# initial values
x0 <- c( -1.2, 1 )

opts <- list("print_level"=5,
             "file_print_level"=12,
             "output_file"="banana.out",
             "tol"=1.0e-8)
 
# solve Rosenbrock Banana function with analytic hessian 
print( ipoptr( x0=x0, 
               eval_f=eval_f, 
               eval_grad_f=eval_grad_f, 
               eval_h=eval_h,
               eval_h_structure=eval_h_structure,
               opts=opts) )

# solve Rosenbrock Banana function with approximated hessian			   
print( ipoptr( x0=x0, 
               eval_f=eval_f, 
               eval_grad_f=eval_grad_f, 
               opts=opts) )