# Nonlinear programming

## Types

`MathOptInterface.AbstractNLPEvaluator`

— Type`AbstractNLPEvaluator`

Abstract supertype for the callback object used in `NLPBlock`

.

`MathOptInterface.NLPBoundsPair`

— Type`NLPBoundsPair(lower,upper)`

A struct holding a pair of lower and upper bounds. `-Inf`

and `Inf`

can be used to indicate no lower or upper bound, respectively.

`MathOptInterface.NLPBlockData`

— Type```
struct NLPBlockData
constraint_bounds::Vector{NLPBoundsPair}
evaluator::AbstractNLPEvaluator
has_objective::Bool
end
```

A `struct`

encoding a set of nonlinear constraints of the form $lb \le g(x) \le ub$ and, if `has_objective == true`

, a nonlinear objective function $f(x)$. `constraint_bounds`

holds the pairs of $lb$ and $ub$ elements. Nonlinear objectives *override* any objective set by using the `ObjectiveFunction`

attribute. The `evaluator`

is a callback object that is used to query function values, derivatives, and expression graphs. If `has_objective == false`

, then it is an error to query properties of the objective function, and in Hessian-of-the-Lagrangian queries, `σ`

must be set to zero. Throughout the evaluator, all variables are ordered according to ListOfVariableIndices().

## Attributes

`MathOptInterface.NLPBlock`

— Type`NLPBlock()`

Holds the `NLPBlockData`

that represents a set of nonlinear constraints, and optionally a nonlinear objective.

`MathOptInterface.NLPBlockDual`

— Type```
NLPBlockDual(result_index::Int)
NLPBlockDual()
```

The Lagrange multipliers on the constraints from the `NLPBlock`

in result `result_index`

. If `result_index`

is omitted, it is 1 by default.

`MathOptInterface.NLPBlockDualStart`

— Type`NLPBlockDualStart()`

An initial assignment of the Lagrange multipliers on the constraints from the `NLPBlock`

that the solver may use to warm-start the solve.

## Functions

`MathOptInterface.initialize`

— Function`initialize(d::AbstractNLPEvaluator, requested_features::Vector{Symbol})`

Must be called before any other methods. The vector `requested_features`

lists features requested by the solver. These may include `:Grad`

for gradients of $f$, `:Jac`

for explicit Jacobians of $g$, `:JacVec`

for Jacobian-vector products, `:HessVec`

for Hessian-vector and Hessian-of-Lagrangian-vector products, `:Hess`

for explicit Hessians and Hessian-of-Lagrangians, and `:ExprGraph`

for expression graphs.

`MathOptInterface.features_available`

— Function`features_available(d::AbstractNLPEvaluator)`

Returns the subset of features available for this problem instance, as a list of symbols in the same format as in `initialize`

.

`MathOptInterface.eval_objective`

— Function`eval_objective(d::AbstractNLPEvaluator, x)`

Evaluate the objective $f(x)$, returning a scalar value.

`MathOptInterface.eval_constraint`

— Function`eval_constraint(d::AbstractNLPEvaluator, g, x)`

Evaluate the constraint function $g(x)$, storing the result in the vector `g`

which must be of the appropriate size.

`MathOptInterface.eval_objective_gradient`

— Function`eval_objective_gradient(d::AbstractNLPEvaluator, g, x)`

Evaluate $\nabla f(x)$ as a dense vector, storing the result in the vector `g`

which must be of the appropriate size.

`MathOptInterface.jacobian_structure`

— Function`jacobian_structure(d::AbstractNLPEvaluator)::Vector{Tuple{Int64,Int64}}`

Returns the sparsity structure of the Jacobian matrix $J_g(x) = \left[ \begin{array}{c} \nabla g_1(x) \\ \nabla g_2(x) \\ \vdots \\ \nabla g_m(x) \end{array}\right]$ where $g_i$ is the $i\text{th}$ component of $g$. The sparsity structure is assumed to be independent of the point $x$. Returns a vector of tuples, `(row, column)`

, where each indicates the position of a structurally nonzero element. These indices are not required to be sorted and can contain duplicates, in which case the solver should combine the corresponding elements by adding them together.

`MathOptInterface.hessian_lagrangian_structure`

— Function`hessian_lagrangian_structure(d::AbstractNLPEvaluator)::Vector{Tuple{Int64,Int64}}`

Returns the sparsity structure of the Hessian-of-the-Lagrangian matrix $\nabla^2 f + \sum_{i=1}^m \nabla^2 g_i$ as a vector of tuples, where each indicates the position of a structurally nonzero element. These indices are not required to be sorted and can contain duplicates, in which case the solver should combine the corresponding elements by adding them together. Any mix of lower and upper-triangular indices is valid. Elements `(i,j)`

and `(j,i)`

, if both present, should be treated as duplicates.

`MathOptInterface.eval_constraint_jacobian`

— Function`eval_constraint_jacobian(d::AbstractNLPEvaluator, J, x)`

Evaluates the sparse Jacobian matrix $J_g(x) = \left[ \begin{array}{c} \nabla g_1(x) \\ \nabla g_2(x) \\ \vdots \\ \nabla g_m(x) \end{array}\right]$. The result is stored in the vector `J`

in the same order as the indices returned by `jacobian_structure`

.

`MathOptInterface.eval_constraint_jacobian_product`

— Function`eval_constraint_jacobian_product(d::AbstractNLPEvaluator, y, x, w)`

Computes the Jacobian-vector product $J_g(x)w$, storing the result in the vector `y`

.

`MathOptInterface.eval_constraint_jacobian_transpose_product`

— Function`eval_constraint_jacobian_transpose_product(d::AbstractNLPEvaluator, y, x, w)`

Computes the Jacobian-transpose-vector product $J_g(x)^Tw$, storing the result in the vector `y`

.

`MathOptInterface.eval_hessian_lagrangian`

— Function`eval_hessian_lagrangian(d::AbstractNLPEvaluator, H, x, σ, μ)`

Given scalar weight `σ`

and vector of constraint weights `μ`

, computes the sparse Hessian-of-the-Lagrangian matrix $\sigma\nabla^2 f(x) + \sum_{i=1}^m \mu_i \nabla^2 g_i(x)$, storing the result in the vector `H`

in the same order as the indices returned by `hessian_lagrangian_structure`

.

`MathOptInterface.eval_hessian_lagrangian_product`

— Function`eval_hessian_lagrangian_product(d::AbstractNLPEvaluator, h, x, v, σ, μ)`

Given scalar weight `σ`

and vector of constraint weights `μ`

, computes the Hessian-of-the-Lagrangian-vector product $\left(\sigma\nabla^2 f(x) + \sum_{i=1}^m \mu_i \nabla^2 g_i(x)\right)v$, storing the result in the vector `h`

.

`MathOptInterface.objective_expr`

— Function`objective_expr(d::AbstractNLPEvaluator)`

Returns an expression graph for the objective function as a standard Julia `Expr`

object. All sums and products are flattened out as simple `Expr(:+,...)`

and `Expr(:*,...)`

objects. The symbol `x`

is used as a placeholder for the vector of decision variables. No other undefined symbols are permitted; coefficients are embedded as explicit values. For example, the expression $x_1+\sin(x_2/\exp(x_3))$ would be represented as the Julia object `:(x[1] + sin(x[2]/exp(x[3])))`

. Each integer index is wrapped in a `VariableIndex`

. See the Julia manual for more information on the structure of `Expr`

objects. There are currently no restrictions on recognized functions; typically these will be built-in Julia functions like `^`

, `exp`

, `log`

, `cos`

, `tan`

, `sqrt`

, etc., but modeling interfaces may choose to extend these basic functions.

`MathOptInterface.constraint_expr`

— Function`constraint_expr(d::AbstractNLPEvaluator, i)`

Returns an expression graph for the $i\text{th}$ constraint in the same format as described above, with an additional comparison operator indicating the sense of and bounds on the constraint. The right-hand side of the comparison must be a constant; that is, `:(x[1]^3 <= 1)`

is allowed, while `:(1 <= x[1]^3)`

is not valid. Double-sided constraints are allowed, in which case both the lower bound and upper bounds should be constants; for example, `:(-1 <= cos(x[1]) + sin(x[2]) <= 1)`

is valid.