ExaModels

ExaModels

An algebraic modeling and automatic differentiation tool in Julia Language, specialized for SIMD abstraction of nonlinear programs.

For more information, please visit https://github.com/exanauts/ExaModels.jl

AdjointNode1{F, T, I}

A node with one child for first-order forward pass tree

Fields:

• x::T: function value
• y::T: first-order sensitivity
• inner::I: children

AdjointNode2{F, T, I1, I2}

A node with two children for first-order forward pass tree

Fields:

• x::T: function value
• y1::T: first-order sensitivity w.r.t. first argument
• y2::T: first-order sensitivity w.r.t. second argument
• inner1::I1: children #1
• inner2::I2: children #2

AdjointNodeSource{VT}

A source of AdjointNode. adjoint_node_source[i] returns an AdjointNodeVar at index i.

Fields:

• inner::VT: variable vector

AdjointNodeVar{I, T}

A variable node for first-order forward pass tree

Fields:

• i::I: index
• x::T: value

Null

A null node

Compressor{I}

Data structure for the sparse index

Fields:

• inner::I: stores the sparse index as a tuple form

ExaCore([array_eltype::Type; backend = backend, minimize = true])

Returns an intermediate data object ExaCore, which later can be used for creating ExaModel

Example

julia> using ExaModels

julia> c = ExaCore()
An ExaCore

  Float type: ...................... Float64
  Array type: ...................... Vector{Float64}
  Backend: ......................... Nothing

  number of objective patterns: .... 0
  number of constraint patterns: ... 0

julia> c = ExaCore(Float32)
An ExaCore

  Float type: ...................... Float32
  Array type: ...................... Vector{Float32}
  Backend: ......................... Nothing

  number of objective patterns: .... 0
  number of constraint patterns: ... 0

julia> using CUDA

julia> c = ExaCore(Float32; backend = CUDABackend())
An ExaCore

  Float type: ...................... Float32
  Array type: ...................... CUDA.CuArray{Float32, 1, CUDA.DeviceMemory}
  Backend: ......................... CUDA.CUDAKernels.CUDABackend

  number of objective patterns: .... 0
  number of constraint patterns: ... 0

ExaModel(core)

Returns an ExaModel object, which can be solved by nonlinear optimization solvers within JuliaSmoothOptimizer ecosystem, such as NLPModelsIpopt or MadNLP.

Example

julia> using ExaModels

julia> c = ExaCore();                      # create an ExaCore object

julia> x = variable(c, 1:10);              # create variables

julia> objective(c, x[i]^2 for i in 1:10); # set objective function

julia> m = ExaModel(c)                     # creat an ExaModel object
An ExaModel{Float64, Vector{Float64}, ...}

  Problem name: Generic
   All variables: ████████████████████ 10     All constraints: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
            free: ████████████████████ 10                free: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
           lower: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0                lower: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
           upper: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0                upper: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
         low/upp: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0              low/upp: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
           fixed: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0                fixed: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
          infeas: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0               infeas: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
            nnzh: ( 81.82% sparsity)   10              linear: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
                                                    nonlinear: ⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅⋅ 0
                                                         nnzj: (------% sparsity)

julia> using NLPModelsIpopt

julia> result = ipopt(m; print_level=0)    # solve the problem
"Execution stats: first-order stationary"

Node1{F, I}

A node with one child for symbolic expression tree

Fields:

• inner::I: children

Node2{F, I1, I2}

A node with two children for symbolic expression tree

Fields:

• inner1::I1: children #1
• inner2::I2: children #2

Null

A null node

ParIndexed{I, J}

A parameterized data node

Fields:

• inner::I: parameter for the data

ParSource

A source of parameterized data

SIMDFunction(gen::Base.Generator, o0 = 0, o1 = 0, o2 = 0)

Returns a SIMDFunction using the gen.

Arguments:

• gen: an iterable function specified in Base.Generator format
• o0: offset for the function evaluation
• o1: offset for the derivative evalution
• o2: offset for the second-order derivative evalution

SecondAdjointNode1{F, T, I}

A node with one child for second-order forward pass tree

Fields:

• x::T: function value
• y::T: first-order sensitivity
• h::T: second-order sensitivity
• inner::I: DESCRIPTION

SecondAdjointNode2{F, T, I1, I2}

A node with one child for second-order forward pass tree

Fields:

• x::T: function value
• y1::T: first-order sensitivity w.r.t. first argument
• y2::T: first-order sensitivity w.r.t. first argument
• h11::T: second-order sensitivity w.r.t. first argument
• h12::T: second-order sensitivity w.r.t. first and second argument
• h22::T: second-order sensitivity w.r.t. second argument
• inner1::I1: children #1
• inner2::I2: children #2

SecondAdjointNodeSource{VT}

A source of AdjointNode. adjoint_node_source[i] returns an AdjointNodeVar at index i.

Fields:

• inner::VT: variable vector

SecondAdjointNodeVar{I, T}

A variable node for first-order forward pass tree

Fields:

• i::I: index
• x::T: value

Null

A null node

Var{I}

A variable node for symbolic expression tree

Fields:

• i::I: (parameterized) index

VarSource

A source of variable nodes

WrapperNLPModel(VT, m)

Returns a WrapperModel{T,VT} wrapping m <: AbstractNLPModel{T}

WrapperNLPModel(m)

Returns a WrapperModel{Float64,Vector{64}} wrapping m

constraint!(c, c1, expr, pars)

Expands the existing constraint c1 in c by adding addtional constraints terms specified by expr and pars.

constraint!(c::C, c1, gen::Base.Generator) where {C<:ExaCore}

Expands the existing constraint c1 in c by adding additional constraint terms specified by a generator.

Arguments

• c::C: The model to which the constraints are added.
• c1: An initial constraint value or expression.
• gen::Base.Generator: A generator that produces the pair of constraint index and term to be added.

Example

julia> using ExaModels

julia> c = ExaCore();

julia> x = variable(c, 10);

julia> c1 = constraint(c, x[i] + x[i+1] for i=1:9; lcon = -1, ucon = (1+i for i=1:9));

julia> constraint!(c, c1, i => sin(x[i+1]) for i=4:6)
Constraint Augmentation

  s.t. (...)
       g♭ ≤ (...) + ∑_{p ∈ P} h(x,p) ≤ g♯

  where |P| = 3

constraint(core, n; start = 0, lcon = 0,  ucon = 0)

Adds empty constraints of dimension n, so that later the terms can be added with constraint!.

constraint(core, generator; start = 0, lcon = 0,  ucon = 0)

Adds constraints specified by a generator to core, and returns an Constraint object.

Keyword Arguments

• start: The initial guess of the solution. Can either be Number, AbstractArray, or Generator.
• lcon : The constraint lower bound. Can either be Number, AbstractArray, or Generator.
• ucon : The constraint upper bound. Can either be Number, AbstractArray, or Generator.

Example

julia> using ExaModels

julia> c = ExaCore();

julia> x = variable(c, 10);

julia> constraint(c, x[i] + x[i+1] for i=1:9; lcon = -1, ucon = (1+i for i=1:9))
Constraint

  s.t. (...)
       g♭ ≤ [g(x,p)]_{p ∈ P} ≤ g♯

  where |P| = 9

constraint(core, expr [, pars]; start = 0, lcon = 0,  ucon = 0)

Adds constraints specified by a expr and pars to core, and returns an Constraint object.

drpass(d::D, y, adj)

Performs dense gradient evaluation via the reverse pass on the computation (sub)graph formed by forward pass

Arguments:

• d: first-order computation (sub)graph
• y: result vector
• adj: adjoint propagated up to the current node

gradient!(y, f, x, adj)

Performs dense gradient evalution

Arguments:

• y: result vector
• f: the function to be differentiated in SIMDFunction format
• x: variable vector
• adj: initial adjoint

grpass(d::D, comp, y, o1, cnt, adj)

Performs dsparse gradient evaluation via the reverse pass on the computation (sub)graph formed by forward pass

Arguments:

• d: first-order computation (sub)graph
• comp: a Compressor, which helps map counter to sparse vector index
• y: result vector
• o1: index offset
• cnt: counter
• adj: adjoint propagated up to the current node

hdrpass(t1::T1, t2::T2, comp, y1, y2, o2, cnt, adj)

Performs sparse hessian evaluation ((df1/dx)(df2/dx)' portion) via the reverse pass on the computation (sub)graph formed by second-order forward pass

Arguments:

• t1: second-order computation (sub)graph regarding f1
• t2: second-order computation (sub)graph regarding f2
• comp: a Compressor, which helps map counter to sparse vector index
• y1: result vector #1
• y2: result vector #2 (only used when evaluating sparsity)
• o2: index offset
• cnt: counter
• adj: second adjoint propagated up to the current node

jrpass(d::D, comp, i, y1, y2, o1, cnt, adj)

Performs sparse jacobian evaluation via the reverse pass on the computation (sub)graph formed by forward pass

Arguments:

• d: first-order computation (sub)graph
• comp: a Compressor, which helps map counter to sparse vector index
• i: constraint index (this is i-th constraint)
• y1: result vector #1
• y2: result vector #2 (only used when evaluating sparsity)
• o1: index offset
• cnt: counter
• adj: adjoint propagated up to the current node

multipliers(result, y)

Returns the multipliers for constraints y associated with result, obtained by solving the model.

Example

julia> using ExaModels, NLPModelsIpopt

julia> c = ExaCore();

julia> x = variable(c, 1:10, lvar = -1, uvar = 1);

julia> objective(c, (x[i]-2)^2 for i in 1:10);

julia> y = constraint(c, x[i] + x[i+1] for i=1:9; lcon = -1, ucon = (1+i for i=1:9));

julia> m = ExaModel(c);

julia> result = ipopt(m; print_level=0);

julia> val = multipliers(result, y);


julia> val[1] ≈ 0.81933930
true

multipliers_L(result, x)

Returns the multipliers_L for variable x associated with result, obtained by solving the model.

Example

julia> using ExaModels, NLPModelsIpopt

julia> c = ExaCore();

julia> x = variable(c, 1:10, lvar = -1, uvar = 1);

julia> objective(c, (x[i]-2)^2 for i in 1:10);

julia> m = ExaModel(c);

julia> result = ipopt(m; print_level=0);

julia> val = multipliers_L(result, x);

julia> isapprox(val, fill(0, 10), atol=sqrt(eps(Float64)), rtol=Inf)
true

multipliers_U(result, x)

Returns the multipliers_U for variable x associated with result, obtained by solving the model.

Example

julia> using ExaModels, NLPModelsIpopt

julia> c = ExaCore();

julia> x = variable(c, 1:10, lvar = -1, uvar = 1);

julia> objective(c, (x[i]-2)^2 for i in 1:10);

julia> m = ExaModel(c);

julia> result = ipopt(m; print_level=0);

julia> val = multipliers_U(result, x);

julia> isapprox(val, fill(2, 10), atol=sqrt(eps(Float64)), rtol=Inf)
true

objective(core::ExaCore, generator)

Adds objective terms specified by a generator to core, and returns an Objective object. Note: it is assumed that the terms are summed.

Example

julia> using ExaModels

julia> c = ExaCore();

julia> x = variable(c, 10);

julia> objective(c, x[i]^2 for i=1:10)
Objective

  min (...) + ∑_{p ∈ P} f(x,p)

  where |P| = 10

objective(core::ExaCore, expr [, pars])

Adds objective terms specified by a expr and pars to core, and returns an Objective object.

sgradient!(y, f, x, adj)

Performs sparse gradient evalution

Arguments:

• y: result vector
• f: the function to be differentiated in SIMDFunction format
• x: variable vector
• adj: initial adjoint

shessian!(y1, y2, f, x, adj1, adj2)

Performs sparse jacobian evalution

Arguments:

• y1: result vector #1
• y2: result vector #2 (only used when evaluating sparsity)
• f: the function to be differentiated in SIMDFunction format
• x: variable vector
• adj1: initial first adjoint
• adj2: initial second adjoint

sjacobian!(y1, y2, f, x, adj)

Performs sparse jacobian evalution

Arguments:

• y1: result vector #1
• y2: result vector #2 (only used when evaluating sparsity)
• f: the function to be differentiated in SIMDFunction format
• x: variable vector
• adj: initial adjoint

solution(result, x)

Returns the solution for variable x associated with result, obtained by solving the model.

Example

julia> using ExaModels, NLPModelsIpopt

julia> c = ExaCore();

julia> x = variable(c, 1:10, lvar = -1, uvar = 1);

julia> objective(c, (x[i]-2)^2 for i in 1:10);

julia> m = ExaModel(c);

julia> result = ipopt(m; print_level=0);

julia> val = solution(result, x);

julia> isapprox(val, fill(1, 10), atol=sqrt(eps(Float64)), rtol=Inf)
true

variable(core, dims...; start = 0, lvar = -Inf, uvar = Inf)

Adds variables with dimensions specified by dims to core, and returns Variable object. dims can be either Integer or UnitRange.

Keyword Arguments

• start: The initial guess of the solution. Can either be Number, AbstractArray, or Generator.
• lvar : The variable lower bound. Can either be Number, AbstractArray, or Generator.
• uvar : The variable upper bound. Can either be Number, AbstractArray, or Generator.

Example

julia> using ExaModels

julia> c = ExaCore();

julia> x = variable(c, 10; start = (sin(i) for i=1:10))
Variable

  x ∈ R^{10}

julia> y = variable(c, 2:10, 3:5; lvar = zeros(9,3), uvar = ones(9,3))
Variable

  x ∈ R^{9 × 3}

register_bivariate(f, df1, df2, ddf11, ddf12, ddf22)

Register a bivariate function f to ExaModels, so that it can be used within objective and constraint expressions

Arguments:

• f: function
• df1: derivative function (w.r.t. first argument)
• df2: derivative function (w.r.t. second argument)
• ddf11: second-order derivative funciton (w.r.t. first argument)
• ddf12: second-order derivative funciton (w.r.t. first and second argument)
• ddf22: second-order derivative funciton (w.r.t. second argument)

Example

julia> using ExaModels

julia> relu23(x) = (x > 0 || y > 0) ? (x + y)^3 : zero(x)
relu23 (generic function with 1 method)

julia> drelu231(x) = (x > 0 || y > 0) ? 3 * (x + y)^2 : zero(x)
drelu231 (generic function with 1 method)

julia> drelu232(x) = (x > 0 || y > 0) ? 3 * (x + y)^2  : zero(x)
drelu232 (generic function with 1 method)

julia> ddrelu2311(x) = (x > 0 || y > 0) ? 6 * (x + y) : zero(x)
ddrelu2311 (generic function with 1 method)

julia> ddrelu2312(x) = (x > 0 || y > 0) ? 6 * (x + y) : zero(x)
ddrelu2312 (generic function with 1 method)

julia> ddrelu2322(x) = (x > 0 || y > 0) ? 6 * (x + y) : zero(x)
ddrelu2322 (generic function with 1 method)

julia> @register_bivariate(relu23, drelu231, drelu232, ddrelu2311, ddrelu2312, ddrelu2322)

@register_univariate(f, df, ddf)

Register a univariate function f to ExaModels, so that it can be used within objective and constraint expressions

Arguments:

• f: function
• df: derivative function
• ddf: second-order derivative funciton

Example

julia> using ExaModels

julia> relu3(x) = x > 0 ? x^3 : zero(x)
relu3 (generic function with 1 method)

julia> drelu3(x) = x > 0 ? 3*x^2 : zero(x)
drelu3 (generic function with 1 method)

julia> ddrelu3(x) = x > 0 ? 6*x : zero(x)
ddrelu3 (generic function with 1 method)

julia> @register_univariate(relu3, drelu3, ddrelu3)