Skip to content

More compact M, N formation #313

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
blegat merged 1 commit into from
Sep 10, 2025
Merged

More compact M, N formation #313

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
45 changes: 15 additions & 30 deletions src/NonLinearProgram/nlp_utilities.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -359,38 +359,23 @@ function _build_sensitivity_matrices(
# Based on the implicit function diferentiation method used in sIpopt to derive sensitivities
# Ref: sIPOPT paper https://optimization-online.org/wp-content/uploads/2011/04/3008.pdf.
# M = [
# [W A' -I I];
# [A 0 0 0];
# [V_L 0 (X - X_L) 0]
# [V_U 0 0 0 (X_U - X)]
# [W A' -I I ];
# [A 0 0 0 ];
# [V_L 0 (X-X_L) 0 ]
# [V_U 0 0 (X_U - X)]
# ]
len_w = num_vars + num_ineq
M = spzeros(
len_w + num_cons + num_low + num_up,
len_w + num_cons + num_low + num_up,
)

M[1:len_w, 1:len_w] = W
M[1:len_w, (len_w+1):(len_w+num_cons)] = A'
M[(len_w+1):(len_w+num_cons), 1:len_w] = A
M[1:len_w, (len_w+num_cons+1):(len_w+num_cons+num_low)] = I_L
M[(len_w+num_cons+1):(len_w+num_cons+num_low), 1:len_w] = V_L
M[
(len_w+num_cons+1):(len_w+num_cons+num_low),
(len_w+num_cons+1):(len_w+num_cons+num_low),
] = X_lb
M[(len_w+num_cons+num_low+1):(len_w+num_cons+num_low+num_up), 1:len_w] = V_U
M[
(len_w+num_cons+num_low+1):(len_w+num_cons+num_low+num_up),
(len_w+num_cons+num_low+1):(len_w+num_cons+num_low+num_up),
] = X_ub
M[1:len_w, (len_w+num_cons+num_low+1):end] = I_U

M = [
W A' I_L I_U;
A spzeros(num_cons, num_cons) spzeros(num_cons, num_low) spzeros(num_cons, num_up);
V_L spzeros(num_low, num_cons) X_lb spzeros(num_low, num_up);
V_U spzeros(num_up, num_cons) spzeros(num_up, num_low) X_ub;
]
# N matrix
# N = [∇ₓₚL ; ∇ₚC; zeros(num_low + num_up, num_parms)]
N = spzeros(len_w + num_cons + num_low + num_up, num_parms)
N[1:len_w, :] = ∇ₓₚL
N[(len_w+1):(len_w+num_cons), :] = ∇ₚC
N = [
∇ₓₚL;
∇ₚC;
spzeros(num_low + num_up, num_parms);
]

return M, N
end
Expand Down
Loading