Merge pull request #73 from eminyouskn/cppad-obj-agg

[CppAD] Enable Multi-Output Objective Trace Functions

Author: metab0t

include/pyoptinterface/cppad_interface.hpp

@@ -33,7 +33,7 @@ ADFunDouble sparse_hessian(const ADFunDouble &f, const sparsity_pattern_t &patte
 
 // Transform ExpressionGraph to CppAD function
 ADFunDouble cppad_trace_graph_constraints(const ExpressionGraph &graph);
-ADFunDouble cppad_trace_graph_objective(const ExpressionGraph &graph);
+ADFunDouble cppad_trace_graph_objective(const ExpressionGraph &graph, bool aggregate = true);
 
 struct CppADAutodiffGraph
 {

lib/cppad_interface.cpp

@@ -469,7 +469,7 @@ ADFunDouble cppad_trace_graph_constraints(const ExpressionGraph &graph)
 	return f;
 }
 
-ADFunDouble cppad_trace_graph_objective(const ExpressionGraph &graph)
+ADFunDouble cppad_trace_graph_objective(const ExpressionGraph &graph, bool aggregate)
 {
 	ankerl::unordered_dense::map<ExpressionHandle, CppAD::AD<double>> seen_expressions;
 
@@ -503,15 +503,22 @@ ADFunDouble cppad_trace_graph_objective(const ExpressionGraph &graph)
 		y[i] = cppad_trace_expression(graph, output, x, p, seen_expressions);
 	}
 
-	CppAD::AD<double> y_sum = 0.0;
-	for (size_t i = 0; i < N_outputs; i++)
+	ADFunDouble f;
+
+	if (aggregate)
+	{
+		CppAD::AD<double> y_sum = 0.0;
+		for (size_t i = 0; i < N_outputs; i++)
+		{
+			y_sum += y[i];
+		}
+		f.Dependent(x, {y_sum});
+	}
+	else
 	{
-		y_sum += y[i];
+		f.Dependent(x, y);
 	}
 
-	ADFunDouble f;
-	f.Dependent(x, {y_sum});
-
 	return f;
 }
 

lib/cppad_interface_ext.cpp

@@ -183,6 +183,6 @@ NB_MODULE(cppad_interface_ext, m)
 	    .def_ro("hessian", &CppADAutodiffGraph::hessian_graph);
 
 	m.def("cppad_trace_graph_constraints", cppad_trace_graph_constraints);
-	m.def("cppad_trace_graph_objective", cppad_trace_graph_objective);
+	m.def("cppad_trace_graph_objective", cppad_trace_graph_objective, nb::arg("graph"), nb::arg("aggregate") = true);
 	m.def("cppad_autodiff", &cppad_autodiff);
 }

lib/knitro_model.cpp

@@ -806,7 +806,9 @@ void KNITROModel::_add_objective_callback(ExpressionGraph *graph, const Outputs
 		evaluator->eval_hess(req->x, req->sigma, res->hess, true);
 		return 0;
 	};
-	auto trace = cppad_trace_graph_objective;
+	auto trace = [](const ExpressionGraph &graph) {
+		return cppad_trace_graph_objective(graph, false);
+	};
 	_add_callback_impl(*graph, outputs.obj_idxs, {}, trace, f, g, h);
 }