NLopt - Same complex clalculations in objetive function and nonlinear constraints

General Usage Performance
4

I am not an expert but I think the way to go is caching the result of the last calculation in two variables, x_cached and y_cached. Then before performing the expensive computation, you check whether the vector x is the same as x_cached for which you have already computed Y and stored it into y_cached.

using NLopt

function SomeComplexCalculations(x)
    println("complex calculation with $x")
    return x.^2
end


function myoptim()
    function myfunc(x::Vector, grad::Vector)
        if length(grad) > 0
            grad[1] = 0
            grad[2] = 0.5/sqrt(x[2])
        end
        if x_cached != x
            println("objfunc: not cached      $x")
            x_cached[:] = x
            y_cached[:] = SomeComplexCalculations(x)
        else
            println("objfunc: using cached $x")
        end
        return sqrt(x[2])
    end

    function myconstraint(x::Vector, grad::Vector, a, b)
        if length(grad) > 0
            grad[1] = 3a * (a*x[1] + b)^2
            grad[2] = -1
        end
        if x_cached != x
            println("constraint: not cached $x")
            x_cached[:] = x
            y_cached[:] = SomeComplexCalculations(x)
        else
            println("constraint: using cached $x")
        end
        (a*x[1] + b)^3 - x[2]
    end

    opt = Opt(:LD_MMA, 2)
    x_cached = Vector{Float64}(undef, 2)
    y_cached = Vector{Float64}(undef, 2)

    opt.lower_bounds = [-Inf, 0.]
    opt.xtol_rel = 1e-4

    opt.min_objective = myfunc
    inequality_constraint!(opt, (x,g) -> myconstraint(x,g,2,0), 1e-8)
    inequality_constraint!(opt, (x,g) -> myconstraint(x,g,-1,1), 1e-8)

    (minf,minx,ret) = optimize(opt, [1.234, 5.678])
    numevals = opt.numevals # the number of function evaluations
    println("got $minf at $minx after $numevals iterations (returned $ret)")
end

I was surprised to see that the objective function is computed first and then the constraints, but this may have to do with the choice of the algorithm.

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