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https://github.com/jacobwilliams/slsqp
Modern Fortran Edition of the SLSQP Optimizer
https://github.com/jacobwilliams/slsqp
constrained-optimization fortran fortran-package-manager nnls numerical-optimization optimization sqp
Last synced: about 1 month ago
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Modern Fortran Edition of the SLSQP Optimizer
- Host: GitHub
- URL: https://github.com/jacobwilliams/slsqp
- Owner: jacobwilliams
- License: other
- Created: 2016-01-05T02:42:41.000Z (almost 9 years ago)
- Default Branch: master
- Last Pushed: 2024-01-07T21:30:49.000Z (12 months ago)
- Last Synced: 2024-01-08T21:46:17.946Z (12 months ago)
- Topics: constrained-optimization, fortran, fortran-package-manager, nnls, numerical-optimization, optimization, sqp
- Language: Fortran
- Homepage:
- Size: 6.66 MB
- Stars: 79
- Watchers: 12
- Forks: 20
- Open Issues: 3
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
============
Modern Fortran Edition of the SLSQP Optimizer
### Status
[](https://github.com/topics/fortran)
[](https://github.com/jacobwilliams/slsqp/releases/latest)
[](https://github.com/jacobwilliams/slsqp/actions)
[](https://codecov.io/gh/jacobwilliams/slsqp)
[](https://github.com/jacobwilliams/slsqp/commits/master)
### Description
This is an updated version of the SLSQP nonlinear constrained optimization code. It can be used to solve nonlinear programming problems that seek to minimize a scalar performance index subject to nonlinear equality and inequality constraints as well as bounds on the variables.
Updates to the original code include:
* It has been translated into free-form source.
* It is now thread safe. The original version was not thread safe due to the use of saved variables in one of the subroutines.
* It no longer uses obsolescent and non-standard Fortran features. It should now be 100% standard compliant (Fortran 2008).
* It now has an easy-to-use object-oriented interface. The `slsqp_class` is used for all interactions with the solver. Methods include `initialize()`, `optimize()`, and `destroy()`.
* It includes updated versions of some of the third-party routines used in the original code (BLAS, LINPACK, and NNLS).
* Some new features were added to support printing error messages and reporting iterations to the user.
* The user can now specify the max and min `alpha` to use during the line search.
* The user can supply a routine to compute the gradients of the objective function and constraints, or allow the code to estimate them using finite differences (backward, forward, or central).
* The documentation strings in the code have been converted to [FORD](https://github.com/Fortran-FOSS-Programmers/ford) format, allowing for [nicely formatted documentation](https://jacobwilliams.github.io/slsqp/) to be auto-generated.
* A couple of bug fixes noted elsewhere have been applied.
### Building SLSQP
#### **Fortran Package Manager**
The library can be built with the [Fortran Package Manager](https://github.com/fortran-lang/fpm) using the provided `fpm.toml` file like so:
```bash
fpm build --release
```
By default, the library is built with double precision (`real64`) real values. Explicitly specifying the real kind can be done using the following processor flags:
Preprocessor flag | Kind | Number of bytes
----------------- | ----- | ---------------
`REAL32` | `real(kind=real32)` | 4
`REAL64` | `real(kind=real64)` | 8
`REAL128` | `real(kind=real128)` | 16
For example, to build a single precision version of the library, use:
```
fpm build --profile release --flag "-DREAL32"
```
To use SLSQP within your fpm project, add the following to your `fpm.toml` file:
```toml
[dependencies]
slsqp = { git="https://github.com/jacobwilliams/slsqp.git" }
```
or, to use a specific version:
```toml
[dependencies]
slsqp = { git="https://github.com/jacobwilliams/slsqp.git", tag = "1.3.0" }
```
## Dependencies
The library requires some [BLAS](https://netlib.org/blas/) routines, which are included. However, the user may also choose to link to an external BLAS library. This can be done by using the `HAS_BLAS` compiler directive. For example:
```
fpm build --compiler gfortran --flag "-DHAS_BLAS -lblas"
```
However, note that an external BLAS can only be used if the library is compiled with double precision (`real64`) reals.
### Documentation
The latest API documentation can be found [here](https://jacobwilliams.github.io/slsqp/). This was generated from the source code using [FORD](https://github.com/Fortran-FOSS-Programmers/ford).
### License
* The original sourcecode and the modifications are released under a [permissive BSD-style license](https://github.com/jacobwilliams/slsqp/blob/master/LICENSE).
### Development
* Development continues on [GitHub](https://github.com/jacobwilliams/slsqp).
### References
* [Original sourcecode at NETLIB](http://www.netlib.org/toms/733)
* D. Kraft, "[A software package for sequential quadratic programming](https://degenerateconic.com/uploads/2018/03/DFVLR_FB_88_28.pdf)",
Technical Report DFVLR-FB 88-28, Institut für Dynamik der Flugsysteme,
Oberpfaffenhofen, July 1988.
* D. Kraft, "[Algorithm 733: TOMP--Fortran modules for optimal control calculations](http://dl.acm.org/citation.cfm?id=192124),"
ACM Transactions on Mathematical Software, Vol. 20, No. 3, p. 262-281 (1994).
* C. L. Lawson, R. J. Hanson, "Solving Least Squares Problems", Prentice Hall, 1974. (Revised 1995 edition)