NLPDifferentiator

class NLPDifferentiator(nlp, nlp_bounds, **kwargs)

Bases: object

Base class for nonlinear program (NLP) differentiator. This class can be used independently from do-mpc to differentiate a given NLP.

Note

This is an experimental feature. The API might change in the future.

Example:

1. Consider an NLP created with CasADi, including

   • optimization variables x

   • optimization parameters p

   • objective function f

   • constraints g

import casadi as ca

x = ca.SX.sym('x', 2)
p = ca.SX.sym('p', 1)
f = (1-x[0])**2 + 0.2*(x[1]-x[0]**2)**2
cons_inner = (x[0] + 0.5)**2+x[1]**2

g = ca.vertcat(
    p**2/4 - cons_inner,
    cons_inner - p**2
)

ca_solver = ca.nlpsol('solver', 'ipopt', nlp)

2. Create dictionaries for the NLP and the NLP bounds:

nlp = {'x':x, 'p':p, 'f':cost, 'g':cons}
nlp_bounds = {
    'lbx': np.array([0, -ca.inf]).reshape(-1,1),
    'ubx': np.array([ca.inf, ca.inf]).reshape(-1,1),
    'lbg': np.array([-ca.inf, -ca.inf]).reshape(-1,1),
    'ubg': np.array([0, 0]).reshape(-1,1)
}

3. Initialize the NLP differentiator with the NLP and the NLP bounds.

nlp_diff = NLPDifferentiator(nlp, nlp_bounds)

4. Configure the differentiator settings with the settings attribute.

nlp_diff.settings.check_LICQ = False

5. Solve the parametric NLP for the parameters p0, e.g. with the CasADi solver ca_solver. Pass the same bounds that were used previously.

p0 = np.array([1.])
r = solver(p=p0, **nlp_bounds)

6. Calculate the parametric NLP sensitivity matrices with differentiate() considering the solution r and the corresponding parameters p0.

dxdp, dlamdp = nlp_diff.get_sensitivity_matrices(r, p0)

Parameters:

• nlp (Dict) – Dictionary with keys x, p, f, g.

• nlp_bounds (Dict) – Dictionary with keys lbx, ubx, lbg, ubg.

Methods

differentiate

differentiate(self, nlp_sol, p_num)

Main method of the class. Call this method to obtain the parametric sensitivities. The sensitivity matrix dx_dp is of shape (n_x, n_p).

Note

Please read the documentation of the class NLPDifferentiator for more information.

Parameters:

• nlp_sol (dict) – Dictionary containing the optimal solution of the NLP.

• p_num (DM) – Numerical value of the parameters of the NLP.

Returns:

Tuple[DM, DM] – Parametric sensitivities of the decision variables and lagrange multipliers.

Attributes

settings

NLPDifferentiator.settings

Settings of the NLP differentiator. This is an annotated dataclass that can also be printed for convenience. See do_mpc.differentiator.helper.NLPDifferentiatorSettings for more information.

Example:

nlp_diff = NLPDifferentiator(nlp, nlp_bounds)
nlp_diff.settings.check_licq = False

Note

Settings can also be passed as keyword arguments to the constructor of NLPDifferentiator.

status

NLPDifferentiator.status

Status of the NLP differentiator. This is an annotated dataclass that can also be printed for convenience. See do_mpc.differentiator.helper.NLPDifferentiatorStatus for more information.