6. High-level Interface¶

The FORCES Pro high-level interface gives optimization users a familiar easy-to-use way to define an optimization problem. The interface also gives the advanced user full flexibility when importing external C-coded functions to evaluate the quantities involved in the optimization problem.

Important

Starting with FORCES Pro 1.8.0, the solver generated from the high-level interface supports nonlinear and convex decision making problems with integer variables.

6.1. Supported problems¶

6.1.1. Canonical problem for discrete-time dynamics¶

The FORCES NLP solver solves (potentially) non-convex, finite-time nonlinear optimal control problems with horizon length $$N$$ of the form:

\begin{align*} \text{minimize} \quad & \sum_{k=1}^{N-1} f_k(z_k,{\color{red} p_{\color{red} k}}) && \quad \text{(separable objective)} \\ \text{subject to} \quad & z_1(\mathcal{I}) = {\color{red} z_{\mathrm{init}}} && \quad \text{(initial equality)} \\ & E_k z_{k+1} = c_k(z_k,{\color{red} p_{\color{red} k}}) && \quad \text{(inter-stage equality)} \\ & z_N(\mathcal{N}) = {\color{red} z_{\mathrm{final}}} && \quad \text{(final equality)} \\ & \underline{z}_k \leq z_k \leq \bar{z}_k && \quad \text{(upper-lower bounds)} \\ & F_kz_k \in \left[\underline{z}_k, \bar{z}_k\right]\cap\mathbb{Z} && \quad \text{(integer variables)} \\ & \underline{h}_k \leq h_k(z_k,{\color{red} p_{\color{red} k}}) \leq \bar{h}_k && \quad \text{(nonlinear constraints)} \end{align*}

for $$k = 1,\dots,N$$, where $$z_k \in \mathbb{R}^{n_k}$$ are the optimization variables, for example a collection of inputs, states or outputs in an MPC problem; $${\color{red} p_{\color{red} k}} \in \mathbb{R}^{l_k}$$ are real-time data, which are not necessarily present in all problems; the functions $$f_k : \mathbb{R}^{n_k} \times \mathbb{R}^{l_k} \rightarrow \mathbb{R}$$ are stage cost functions; the functions $$c_k : \mathbb{R}^{n_k} \times \mathbb{R}^{l_k} \rightarrow \mathbb{R}^{w_k}$$ represents (potentially nonlinear) equality constraints, such as a state transition function; the matrices $$E_k$$ are used to couple variables from the $$(k+1)$$-th stage to those of stage $$k$$ through the function $$c_k$$; and the functions $$h_k : \mathbb{R}^{n_k} \times \mathbb{R}^{l_k} \rightarrow \mathbb{R}^{m_k}$$ are used to express potentially nonlinear, non-convex inequality constraints. The index sets $$\mathcal{I}$$ and $$\mathcal{N}$$ are used to determine which variables are fixed to initial and final values, respectively. The initial and final values $$\color{red} z_{\mathrm{init}}$$ and $$\color{red} z_{\mathrm{final}}$$ can also be changed in real-time. At every stage $$k$$, the matrix $$F_k$$ is a selection matrix that picks some coordinates in vector $$z_k$$.

All real-time data is coloured in red. Additionally, when integer variables are modelled, they need to be declared as real-time parameters. See Section Mixed-integer nonlinear solver.

To obtain a solver for this optimization problem using the FORCES Pro client, you need to define all functions involved $$(f_k, c_k, h_k)$$ along with the corresponding dimensions.

6.1.2. Continuous-time dynamics¶

Instead of having discrete-time dynamics as can be seen in Section 6.1.1, we also support using continuous-time dynamics of the form:

$\dot{x} = f(x,u,{\color{red}p})$

and then discretizing this equation by one of the standard integration methods. See Section 6.2.3.2 for more details.

6.1.3. Other variants¶

Not all elements in Section 6.1.1 have to be necessarily present. Possible variants include problems:

• where all functions are fixed at code generation time and do not need extra real-time data $$\color{red} p$$;

• with no lower (upper) bounds for variable $$z_{k,i}$$, then $$\underline{z}_i \equiv -\infty (\bar{z}_i \equiv + \infty)$$;

• without nonlinear inequalities $$h$$;

• with $$N = 1$$ (single stage problem), then the inter-stage equality can be omitted;

• that optimize over the initial value $$\color{red} z_{\mathrm{init}}$$ and do not include the initial equality;

• that optimize over the final value $$\color{red} z_{\mathrm{final}}$$ final and do not include the final equality.

• mixed-integer nonlinear programs, where some variables are declared as integers. See Section Mixed-integer nonlinear solver for more information about the MINLP solver.

6.1.4. Function evaluations¶

The FORCES NLP solver requires external functions to evaluate:

• the cost function terms $$f_k(z_k)$$ and their gradients $$\nabla f_k(z_k)$$,

• the dynamics $$c_k(z_k)$$ and their Jacobians $$\nabla c_k (z_k)$$, and

• the inequality consraints $$h_k(z_k)$$ and their Jacobians $$\nabla h_k(z_k)$$.

The FORCES Pro code generator supports the following ways of supplying these functions:

1. Automatic C-code generation of these functions from MATLAB using the automatic differentiation (AD) tool CasADi. This happens automatically in the background, as long as CasADi is found on the system. This process is hidden from the user, only standard MATLAB commands are needed to define the necessary functions. This is the recommended way of getting started with FORCES NLP. See Section 6.2 to learn how to use this approach.

2. C-functions (source files). These can be hand-coded, or generated by any automatic differentiation tool. See Section 6.5 for details on how to provide own function evaluations and derivatives to FORCES Pro.

6.2. Expressing the optimization problem in MATLAB¶

When solving nonlinear programs of the type in Section 6.1.1, FORCES requires the functions $$f,c,h$$ and their derivatives (Jacobians) to be evaluated in each iteration. There are in principle two ways for accomplishing this: either implement all function evaluations in C by some other method (by hand or by another automatic differentiation tool), or use our integration of FORCES with CasADi, an open-source package for generating derivatives. This is the easiest option to quickly get started with solving NLPs, and it generates efficient code. However, if you prefer other AD tools, see Section 6.5 to learn how to provide your own derivatives to FORCES NLP solvers. This section will outline the MATLAB-CasADi approach in detail.

6.2.1. Dimensions¶

In order to define the dimensions of the stage variables $$z_i$$, the number of equality and inequality constraints and the number of real-time parameters use the following fields:

nlp.N = 50;   % length of multistage problem
nlp.nvar = 6; % number of stage variables
nlp.neq = 4;  % number of equality constraints
nlp.nh = 2;   % number of nonlinear inequality constraints
nlp.npar = 0; % number of runtime parameters


If the dimensions vary for different stages use arrays of length $$N$$. See Section 6.2.6.1 for an example.

6.2.2. Objective¶

The high-level interface allows you to define the objective function using a handle to a MATLAB function that evaluates the objective. FORCES Pro will process this information and generate the necessary C code to be included in the solver.

model.objective = @eval_obj; % handle to objective function


For instance, the MATLAB function could be:

function f = eval_obj ( z )
F = z(1);
s = z(2);
y = z(4);
f = -100*y + 0.1*F^2 + 0.01* s^2;
end


If the cost function varies for different stages use a cell array of function handles of length $$N$$. See Section 6.2.6.1 for an example.

In order to be able to change the terms in the cost function during runtime one can add a second argument to the MATLAB function, i.e. define the objective function in MATLAB as:

function f = eval_obj ( z, p )
F = z(1);
s = z(2);
y = z(4);
f = -100*y + p(1)*F^2 + p(2)* s^2;
end


6.2.3. Equalities¶

6.2.3.1. Discrete-time¶

For discrete-time dynamics, one can define a handle to a MATLAB function evaluating $$c$$ as shown below. The selection matrix $$E$$ that determines which variables are affected by the inter-stage equality must also be filled. For performance reasons, it is recommended to order variables such that the selection matrix has the following structure:

model.eq = @eval_dynamics;      % handle to inter-stage function
model.E = [zeros(4,2), eye(4)]; % selection matrix


If the equality constraint function varies for different stages use a cell array of function handles of length $$N-1$$, and similarly for $$E_k$$. See Section 6.2.6.1 for an example.

6.2.3.2. Continuous-time¶

For continuous-time dynamics, FORCES Pro requires you to describe the dynamics of the system in the following form:

$\dot{x} = f(x,u,{\color{red}p})$

where $$x$$ are the states of the system, $$u$$ are the inputs and $$\color{red} p$$ a vector of parameters, e.g. the mass or intertia. For example, let’s assume that the system to be controlled has the dynamics:

$\dot{x} = {\color{red} p_{\color{red} 1}} x_1 x_2 + {\color{red} p_{\color{red} 2}} u$

In order to descretize the system for use with FORCES Pro we have to:

1. Implement the continuous-time dynamics as a Matlab function:

function xdot = continous_dynamics(x, u, p)
xdot = p(1)*x(1)*x(2) + p(2)*u;
end


Note that in general the parameter vector p can be omitted if there are no parameters. You can also implement short functions as anonymous function handles:

continous_dynamics_anonymous = @(x,u,p) p(1)*x(1)*x(2) + p(2)*u;


2. Tell FORCES Pro that you are using continuous-time dynamics by setting the continuous_dynamics field of the model to a function handle to one of the functions above:

model.continuous_dynamics = @continuous_dynamics;


or, if you are using anonymous functions:

model.continuous_dynamics = @continuous_dynamics_anonymous;

1. Choose one of the integrator functions from the Integrators section (the default is ERK4):

codeoptions.nlp.integrator.type = 'ERK2';
codeoptions.nlp.integrator.Ts = 0.1;
codeoptions.nlp.integrator.nodes = 5;


where the integrator type is set using the type field of the options struct codeoptions.nlp.integrator. The field Ts determines the absolute time between two integration intervals, while nodes defines the number of intermediate integration nodes within that integration interval. In the example above, we use 5 steps to integrate for 0.1 seconds, i.e. each integration step covers an interval of 0.02 seconds.

6.2.4. Initial and final conditions¶

The indices affected by the initial and final conditions can be set as follows:

model.xinitidx = 3:6;   % indices affected by initial condition
model.xfinalidx = 5:6;  % indices affected by final condition


6.2.5. Inequalities¶

The MATLAB function evaluating the nonlinear inequalities can be provided in a similar way, for example:

function h = eval_const(z)
x = z(3);
y = z(4);
h = [x^2 + y^2;
(x+2)^2 + (y-2.5)^2 ];
end


The simple bounds and the nonlinear inequality bounds can have +inf and -inf elements, but must be the same length as the field nvar and nh, respectively:

model.ineq = @eval_const;             % handle to nonlinear constraints
model.hu = [9, +inf];                 % upper bound for nonlinear constraints
model.hl = [1, 0.95^2];               % lower bound for nonlinear constraints
model.ub = [+5, +1, 0, 3, 2, +pi];    % simple upper bounds
model.lb = [-5, -1, -3, -inf,  0, 0]; % simple lower bounds


If the constraints vary for different stages, use cell arrays of length $$N$$ for any of the quantities defined above. See Varying dimensions, parameters, constraints, or functions section for an example.

Bounds model.lb and model.ub can be made parametric by leaving said fields empty and using the model.lbidx and model.ubidx fields to indicate on which variables lower and upper bounds are present. The numerical values will then be expected at runtime. For example, to set parametric lower bounds on states 1 and 2, and parametric upper bounds on states 2 and 3, use:

% Lower bounds are parametric (indices not mentioned here are -inf)
model.lbidx = [1 2]';

% Upper bounds are parametric (indices not mentioned here are +inf)
model.ubidx = [2 3]';

% lb and ub have to be empty when using parametric bounds
model.lb = [];
model.ub = [];


and then specify the exact values at runtime through the fields lb01lbN and ub01ubN:

% Specify lower bounds
problem.lb01 = [0 0]';
problem.lb02 = [0 0]';
% ...

% Specify upper bounds
problem.ub01 = [3 2]';
problem.ub02 = [3 2]';
% ...


Tip

One could use problem.(sprintf('lb%02u',i)) in an i-indexed loop to set the parametric bounds more easily.

If the model.lbidx and model.ubidx fields vary for different stages use cell arrays of length $$N$$.

6.2.6. Variations¶

6.2.6.1. Varying dimensions, parameters, constraints, or functions¶

The example described above has the same dimensions, bounds and functions for the whole horizon. One can define varying dimensions using arrays and varying bounds and functions using MATLAB cell arrays. For instance, to remove the first and second variables from the last stage one could write the following:

for i = 1:nlp.N-1
model.nvar(i) = 6;
model.objective{i} = @(z) -100*z(4) + 0.1*z (1)^2 + 0.01*z(2)^2;
model.lb{i} = [-5, -1, -3, 0, 0, 0];
model.ub{i} = [+5 , +1, 0, 3, 2, +pi];
if i < model.N-1
model.E{i} = [zeros(4, 2), eye(4)];
else
model.E{i} = eye(4);
end
end
model.nvar(nlp.N) = 4;
model.objective{nlp.N} = @(z) -100*z(2);
model.lb{nlp.N} = [-3, 0, 0, 0];
model.ub{nlp.N} = [ 0, 3, 2, +pi];


It is also typical for model predictive control problems (MPC) that only the last stage differs from the others (excluding the initial condition, which is handled separately). Instead of defining cell arrays as above for all stages, FORCES Pro offers the following shorthand notations that alter the last stage:

• nvarN: number of variables in last stage

• nparN: number of parameters in last stage

• objectiveN: objective function for last stage

• EN: selection matrix $$E$$ for last stage update

• nhN: number of inequalities in last stage

• ineqN: inequalities for last stage

Add any of these fields to the model struct to override the default values, which is to make everything the same along the horizon. For example, to add a terminal cost that is a factor 10 higher than the stage cost:

model.objectiveN = @(z) 10*model.objective(z);


6.2.6.2. Providing analytic derivatives¶

The algorithms inside FORCES Pro need the derivatives of the functions describing the objective, equality and inequality constraints. The code generation engine uses algorithmic differentiation (AD) to compute these quantities. Instead, when analytic derivatives are available, the user can provide them using the fields model.dobjective, model.deq, and model.dineq.

Note that the user must be particularly careful to make sure that the provided functions and derivatives are consistent, for example:

model.objective = @(z) z(3)^2;
model.dobjective = @(z) 2*z(3);


The code generation system will not check the correctness of the provided derivatives.

6.3. Generating a solver¶

In addition to the definition of the NLP, solver generation requires an (optional) set of options for customization (see the Solver Options section for more information). Using the default solver options we generate a solver using:

% Get the default solver options
codeoptions = getOptions('FORCESNLPsolver');

% Generate solver
FORCES_NLP(model, codeoptions);


6.3.1. Declaring outputs¶

By default, the solver returns the solution vector for all stages as multiple outputs. Alternatively, the user can pass a third argument to the function FORCES_NLP with an array that specifies what the solver should output. For instance, to define an output, named u0, to be the first two elements of the solution vector at stage 1, use the following commands:

output1 = newOutput('u0', 1, 1:2);
FORCES_NLP(model, codeoptions, output1);


Important

When using the MINLP solver and defining outputs, all integer variables need to be specified as custom outputs.

6.4. Calling the solver¶

After code generation has been successful, one can obtain information about the real-time data needed to call the generated solver by typing:

help FORCESNLPsolver


6.4.1. Initial guess¶

The FORCES NLP solver solves NLPs to local optimality, hence the resulting optimal solution depends on the initialization of the solver. One can also choose another initialization point when a better guess is available. The following code sets the initial point to be in the middle of all bounds:

x0i = nlp.lb +(nlp.ub -nlp.lb)/2;
x0 = repmat(x0i', nlp.N, 1);
problem.x0 = x0;


6.4.2. Initial and final conditions¶

If there are initial and/or final conditions on the optimization variables, the solver will expect the corresponding runtime fields:

problem.xinit = model.xinit;
problem.xfinal = model.xfinal;


6.4.3. Real-time parameters¶

Whenever there are any runtime parameters defined in the problem, i.e. the field npar is not zero, the solver will expect the following field containing the parameters for all the $$N$$ stages stacked in a single vector:

problem.all_parameters = repmat(1.0, model.N, 1);


6.4.4. Tolerances as real-time parameters¶

From FORCES 2.0 onwards, the NLP solver tolerances can be made real-time parameters, meaning that they do not need to be set when generating the solver but can be changed at run-time when calling the generated solver. The code-snippet below shows how to make the tolerances on the gradient of the Lagrangian, the equalities, the inequalities and the complementarity condition parametric. Essentially, when the tolerances are declared nonpositive at code-generatioon, the corresponding run-time parameter is created in the solver.

% Tolerance on gradient of Lagrangian
codeoptions.nlp.TolStat = -1;
% Tolerance on equality constraints
codeoptions.nlp.TolEq = -1;
% Tolerance on inequality constraints
codeoptions.nlp.TolIneq = -1;
% Tolerance on complementarity
codeoptions.nlp.TolComp = -1;


Once the tolerance has been declared nonpositive and the solver has been generated, the corresponding parameter can be set at run-time as follows:

rtParams.ToleranceStationarity = 1e-1;
rtParams.ToleranceEqualities = 1e-1;
rtParams.ToleranceInequalities = 1e-1;
rtParams.ToleranceComplementarity = 1e-1;


Tip

We do not recommend changing the tolerance on the complementarity condition since it is used internally to update the barrier parameter. Hence loosening it may hamper the solver convergence.

6.4.5. Exitflags and quality of the result¶

Once all parameters have been populated, the MEX interface of the solver can be used to invoke it:

[output, exitflag, info] = FORCESNLPsolver(problem);


The possible exitflags are documented in Table 6.1. The exitflag should always be checked before continuing with program execution to avoid using spurious solutions later in the code. Check whether the solver has exited without an error before using the solution. For example, in MATLAB, we suggest to use an assert statement:

assert(exitflag == 1, 'Some problem in FORCES solver');

Table 6.1 Exitflag values

Exitflag

Description

1

Local optimal solution found (i.e. the point satisfies the KKT optimality conditions to the requested accuracy).

0

Maximum number of iterations reached. You can examine the value of optimality conditions returned by FORCES to decide whether the point returned is acceptable.

-4

Wrong number of inequalities input to solver.

-5

Error occured during matrix factorization.

-6

NaN or INF occured during functions evaluations.

-7

The solver could not proceed. Most likely cause is that the problem is infeasible.Try formulating a problem with slack variables (soft constraints) to avoid this error.

-10

NaN or INF occured during evaluation of functions and derivatives. If this occurs at iteration zero, try changing the initial point. For example, for a cost function $$1/\sqrt{x}$$ with an initialization $$x_0=0$$, this error would occur.

-11

Invalid values in problem parameters.

-100

License error. This typically happens if you are trying to execute code that has been generated with a Simulation license of FORCES Pro on another machine. Regenerate the solver using your machine.

6.5. External function evaluations in C¶

This approach allows the user to integrate existing efficient C implementations to evaluate the required functions and their derivatives with respect to the stage variable. This gives the user full flexibility in defining the optimization problem. In this case, the functions do not necessarily have to be differentiable, although the convergence of the algorithm is not guaranteed if they are not. When following this route the user does not have to provide MATLAB code to evaluate the objective or constraint functions. However, the user is responsible for making sure that the provided derivatives and function evaluations are coherent. The FORCES NLP code generator will not check this.

6.5.1. Interface¶

6.5.1.1. Array of parameters¶

The FORCES NLP solver will automatically call the following function, which is implemented by the user, to obtain the necessary information:

void myfunctions (
double *x, /* primal vars */
double *y, /* eq. constraint multiplers */
double *l, /* ineq . constraint multipliers */
double *p, /* runtime parameters */
double *f, /* objective function ( incremented in this function ) */
double *nabla_f , /* gradient of objective function */
double *c, /* dynamics */
double *nabla_c , /* Jacobian of the dynamics ( column major ) */
double *h, /* inequality constraints */
double *nabla_h , /* Jacobian of inequality constraints ( column major ) */
double *H, /* Hessian ( column major ) */
int stage, /* stage number (0 indexed ) */
int iteration /* Solver iteration count */
)


6.5.1.2. Custom data structures as parameters¶

If you have an advanced data structure that holds the user-defined run-time parameters, and you do not want to serialize it into an array of doubles to use the interface above, you can invoke the option:

codeoptions.customParams = 1;


This will change the interface of the expected external function to:

void myfunctions (
double *x, /* primal vars */
double *y, /* eq. constraint multiplers */
double *l, /* ineq . constraint multipliers */
void *p, /* runtime parameters */
double *f, /* objective function ( incremented in this function ) */
double *nabla_f , /* gradient of objective function */
double *c, /* dynamics */
double *nabla_c , /* Jacobian of the dynamics ( column major ) */
double *h, /* inequality constraints */
double *nabla_h , /* Jacobian of inequality constraints ( column major ) */
double *H, /* Hessian ( column major ) */
int stage, /* stage number (0 indexed ) */
int iteration /* Solver iteration count */
)


i.e. you can pass arbitrary data structures to your own function by setting the pointer in the params struct:

myData p;   /* define your own parameter structure */
/* ... */   /* fill it with data */

/* Set parameter pointer to your data structure */
mySolver_params params; /* Define solver parameters */
params.customParams = &p;

/* Call solver (assuming everything else is defined) */
mySolver_solv(&params, &output, &info, stdout, &external_func);


Note

Setting customParams to 1 will disable building high-level interfaces. Only C header- and source files will be generated.

6.5.2. Suppling function evaluation information¶

To let the code generator know about the path to the C files implementing the necessary function evaluations use:

nlp.extfuncs = 'C/myfunctions.c';


6.5.3. Rules for function evaluation code¶

The contents of the function have to follow certain rules. We will use the following example to illustrate them:

/* cost */
if (f)
{ /* notice the increment of f */
(*f) += -100*x[3] + 0.1* x[0]*x[0] + 0.01*x [1]*x [1];
}
/* gradient - only nonzero elements have to be filled in */
if ( nabla_f )
{
nabla_f [0] = 0.2*x[0];
nabla_f [1] = 0.02*x[1];
nabla_f [3] = -100;
}

/* eq constr */
if (c)
{
vehicle_dyanmics (x, c);
}
/* jacobian equalities ( column major ) */
if ( nabla_c )
{
vehicle_dyanmics_jacobian (x, nabla_c );
}

/* ineq constr */
if (h)
{
h[0] = x [2]*x[2] + x[3]*x [3];
h[1] = (x[2]+2)*(x[2]+2) + (x[3] -2.5)*(x[3] -2.5);
}
/* jacobian inequalities ( column major )
- only non - zero elements to be filled in */
if ( nabla_h )
{
/* column 3 */
nabla_h [4] = 2*x [2];
nabla_h [5] = 2*x[2] + 4;
/* column 4 */
nabla_h [6] = 2*x [3];
nabla_h [7] = 2*x[3] - 5;
}


Notice that every function evaluation is only carried out if the corresponding pointer is not null. This is used by the FORCES NLP solver to call the same interface with different pointers depending on the functions that it requires.

6.5.4. Matrix format¶

Matrices are assumed to be stored in dense column major format. However, only the non-zero components need to be populated, as FORCES NLP makes sure that the arrays are initialized to zero before calling this interface.

6.5.5. Multiple source files¶

The use of multiple C files is also supported. In the example above, the functions dynamics and dynamics_jacobian are defined in another file and included as external functions using:

extern void dynamics ( double *x, double *c);
extern void dynamics_jacobian ( double *x, double *J);


To let the code generator know about the location of these other files use a string with spaces separating the different files.

nlp.other_srcs = 'C/dynamics.c';


6.5.6. Stage-dependent functions¶

Whenever the cost function in one of the stages is different from the standard cost function $$f$$, one can make use of the argument stage to evaluate different functions depending on the stage number. The same applies to all other quantities.

6.6. Mixed-integer nonlinear solver¶

From FORCES Pro 1.8.0, mixed-integer nonlinear programs (MINLPs) are supported. This broad class of problems encompasses all nonlinear programs with some integer decision variables.

6.6.1. Writing a mixed-integer model¶

In order to use this feature, the user has to declare lower and upper bounds on all variables as parametric, as shown in the code below.

model.lb = [];
model.ub = [];


The user is then expected to provide lower and upper bounds as run-time parameters. Forces Pro switches to the MINLP solver as soon as some variables are declared as integers in any stage. This information can be provided to FORCES Pro via the intidx array at every stage. A MATLAB example is shown below.

%% Add integer variables to existing nonlinear model
for s = 1:5
model.intidx{s} = [4, 5, 6];
end


In the above code snippet, the user declares variables 4, 5 and 6 as integers from stage 1 to 5. The values that can be taken by an integer variable are derived from its lower and upper bounds. For instance, if the variable lies between -1 and 1, then it can take integer values -1, 0 or 1. If a variable has been declared as integer and does not have lower or upper bounds, FORCES Pro raises an exception during code generation. Stating that a variable has lower and upper bounds should be done via the arrays lbidx and ubidx. For instance, in the code below, variables 1 to 6 at stage 1 have lower and upper bounds, which are expected to be provided at run-time.

model.lbidx{1} = 1 : 6;
model.ubidx{1} = 1 : 6;


The FORCES Pro MINLP algorithm is based on the well-known branch-and-bound algorithm but comes with several customization features which generally help for improving performance on some models by enabling the user to provide application specific knowledge into the search process. At every node of the search tree, the FORCES Pro nonlinear solver is called in order to compute a solution of a relaxed problem. The generated MINLP solver code can be customized via the options described in Table 6.2, which can be changed before running the code generation.

One of the salient features of the MINLP solver is that the branch-and-bound search can be run in parallel on several threads. Therefore the search is split in two phases. It starts with a sequential branch-and-bound and switches to a parallelizable process when the number of nodes in the queue is sufficiently high. The node selection strategy can be customized in both phases, as described in Table 6.2.

Table 6.2 FORCES Pro MINLP solver options

Code generation setting

Values

Default

minlp.int_gap_tol

Any value $$\geq 0$$

0.001

minlp.max_num_nodes

Any value $$\geq 0$$

10000

minlp.seq_search_strat

'BEST_FIRST', 'BREADTH_FIRST 'DEPTH_FIRST'

'BEST_FIRST'

minlp.par_search_strat

'BEST_FIRST', 'BREADTH_FIRST', 'DEPTH_FIRST'

'BEST_FIRST'

minlp.max_num_threads

Any nonnegative value preferably smaller than 8

4

• The minlp.int_gap_tol setting corresponds to the final optimality tolerance below which the solver is claimed to have converged. It is the difference between the objective incumbent, which is the best integer feasible solution found so far and the lowest lower bound. As the node problems are generally not convex, it can be expected to become negative. FORCES Pro claims convergence to a local minimum only when the integrality gap is nonnegative and below the tolerance minlp.int_gap_tol.

• The minlp.max_num_nodes setting is the maximum number of nodes which can be explored during the search.

• The minlp.seq_search_strat setting is the search strategy which is used to select candidate nodes during the sequential search phase.

• The minlp.par_search_strat setting is the search strategy which is used to select candidate nodes during the parallelizable search phase.

• The minlp.max_num_threads settings is the maximum number of threads allowed for a parallel search. The actual number of threads on which the branch-and-bound algorithm can be run can be set as a run-time parameter, as described below.

Note

The MINLP solver is currently constrained to run on one thread on MacOS, meaning that minlp.max_num_threads is automatically set to 1 on MacOS.

Important

When generating a MINLP solver for MacOS the thread local feature (codeoptions.threadSafeStorage) is automatically set to 0 so if a dynamic library is used for a MINLP solver in a MacOS environment then one should not run at the same time more than one solvers linked to that library. A workaround for this would be to use the static library which is not bound by this restriction.

The FORCES Pro MINLP solver also features settings which can be set at run-time. These are the following:

• minlp.numThreadsBnB, the number of threads used to parallelize the search. Its default value is 1, if not provided by the user.

• minlp.timeOutBnB, the maximum amount of time allowed for completing the search. Its default value is 1.0 seconds, if not set by the user.

• minlp.parallelStrategy, the method used for parallelizing the mixed-integer search (from FORCES-PRO 1.9.0). Value 0 (default) corresponds to a single priority queue shared between threads. Value 1 corresponds to having each thread managing its own priority queue.

6.6.2. Mixed-integer solver customization via user callbacks¶

For advanced users, the mixed-integer branch-and-bound search can be customized after the rounding and the branching phases. In the rounding phase, an integer feasible solution is computed after each relaxed problem solve. The user is allowed to modify the rounded solution according to some modelling requirements and constraints. This can be accomplished via the postRoundCallback_template.c file provided in the FORCES Pro client. This callback is applied at every stage in a loop and updates the relaxed solution stage-wise. It needs to be provided before code generation, as shown in the following code snippet.

%% Add post-rounding callback to existing model
postRndCall = fileread('postRoundCallback_template.c'); % The file name can be changed by the user
model.minlpPostRounding = postRndCall;


The branching process can be customized in order to discard some nodes during the search. To do so, the user is expected to overwrite the file postBranchCallback_template.c and pass it to FORCES Pro before generating the MINLP solver code.

%% Add as post-branching callbacks as you want
postBranchCall_1 = fileread('postBranchCallback_template_1.c');
postBranchCall_2 = fileread('postBranchCallback_template_2.c');
postBranchCall_3 = fileread('postBranchCallback_template_3.c');
model.minlpPostBranching{1} = postBranchCall_1;
model.minlpPostBranching{2} = postBranchCall_2;
model.minlpPostBranching{3} = postBranchCall_3;


In each of those callbacks, the user is expected to update the lower and upper bounds of the sons computed during branching given the index of the stage in which the branched variables lies, the index of this variable inside the stage and the relaxed solution at the parent node.

Note

The MINLP feature is currently available through the MATLAB interface only.

6.6.3. Providing a guess for the incumbent¶

Internally, the mixed-integer branch-and-bound computes an integer feasible solution by rounding. Moreover, since version 1.9.0, users are allowed to provide an initial guess for the incumbent. At code-generation, the following options need to be set:

• minlp.int_guess, which tells whether an integer feasible guess is provided by the user (value 1). Its default value is 0.

• minlp.int_guess_stage_vars, which specifies the indices of the integer variables that are user-initialized within one stage (MATLAB based indexing). If minlp.int_guess = 1, a parameter int_guess needs to be set at every stage. An example can be found there Mixed-integer nonlinear solver: F8 Crusader aircraft.

Another important related option is minlp.round_root. If set to 1, the solution of the root relaxation is rounded and set as incumbent if feasible. Its default value is 1. The mixed-integer solver behaviour differs depending on the combinations of options. The different behaviours are listed below.

• If minlp.int_guess = 0 and minlp.round_root = 1, then the solution of the root relaxation is taken as incumbent (if feasible). This is the default behaviour.

• If minlp.int_guess = 1 and minlp.round_root = 0, then the incumbent guess provided by the user is tested after the root solve. If feasible, it is taken as incumbent. Note that the user is allowed to provide guesses for a few integers per stage only. In this case, the other integer variables are rounded to the closest integer.

• If minlp.int_guess = 1 and minlp.round_root = 1, then the rounded solution of the root relaxation and the user guess are compared. The best integer feasible solution in terms of primal objective is then taken as incumbent.

This feature is illustrated in Example Mixed-integer nonlinear solver: F8 Crusader aircraft. The ability of providing an integer guess for the incumbent is a key feature to run the mixed-integer solver in a receding horizon setting.