initial commit using version 3.6.1

examples/basic/library/bi_obj/makefile

+EXE                 = basic_lib.exe
+EXE_MPI				= basic_lib_MPI.exe
+
+COMPILATOR          = g++
+COMPILATOR_MPI = mpic++
+SUNAME = $(shell uname)
+OSS=$(findstring MINGW32,$(SUNAME)) 
+ifneq "$(strip $(OSS))" ""
+COMPILATOR_MPI = g++
+endif
+
+COMPILATOR_OPTIONS  = -O2 -ansi 
+COMPILATOR_OPTIONS_MPI = $(COMPILATOR_OPTIONS) -DUSE_MPI
+L1                  = $(NOMAD_HOME)/lib/nomad.a
+L1_MPI				= $(NOMAD_HOME)/lib/nomad.MPI.a
+LIBS                = $(L1) -lm
+LIBS_MPI			= $(L1_MPI) -lm -lmpi
+INCLUDE             = -I$(NOMAD_HOME)/src -I.
+COMPILE             = $(COMPILATOR) $(COMPILATOR_OPTIONS) $(INCLUDE) -c
+COMPILE_MPI			= $(COMPILATOR_MPI) $(COMPILATOR_OPTIONS_MPI) $(INCLUDE) -c
+OBJS                = basic_lib.o
+OBJS_MPI            = basic_lib_MPI.o
+
+
+ifndef NOMAD_HOME
+define ECHO_NOMAD
+	@echo Please set NOMAD_HOME environment variable!
+	@false
+endef
+endif
+
+
+$(EXE): $(L1) $(OBJS)
+	$(ECHO_NOMAD)
+	@echo "   building the scalar version ..."
+	@echo "   exe file : "$(EXE)
+	@$(COMPILATOR) -o  $(EXE) $(OBJS) $(LIBS) $(COMPILATOR_OPTIONS)
+	@strip  $(EXE)
+
+$(EXE_MPI): $(L1_MPI) $(OBJS_MPI) 
+	$(ECHO_NOMAD)
+	@echo "   building the MPI version ..."
+	@echo "   exe file : "$(EXE_MPI)
+	@$(COMPILATOR_MPI) -o  $(EXE_MPI) $(OBJS_MPI) $(LIBS_MPI) $(COMPILATOR_OPTIONS_MPI)
+	@strip  $(EXE_MPI)
+
+basic_lib.o: basic_lib.cpp
+	$(ECHO_NOMAD)
+	@$(COMPILE) basic_lib.cpp
+
+basic_lib_MPI.o: basic_lib.cpp 
+	$(ECHO_NOMAD)
+	@$(COMPILE_MPI) basic_lib.cpp -o basic_lib_MPI.o
+
+$(L1) $(L1_MPI): ;
+	$(ECHO_NOMAD)
+
+mpi: $(EXE_MPI)
+
+all: $(EXE) $(EXE_MPI)
+
+clean: ;
+	@echo "   cleaning obj files"
+	@rm -f $(OBJS) $(OBJS_MPI)
+
+del: ;
+	@echo "   cleaning trash files"
+	@rm -f core *~
+	@echo "   cleaning obj files"
+	@rm -f $(OBJS) $(OBJS_MPI)
+	@echo "   cleaning exe file"
+	@rm -f $(EXE) $(EXE_MPI)
+
+

examples/basic/library/bi_obj/runExample.log

+
+multi-MADS run {
+
+	MADS run  1 ...... OK [bb eval= 46] [overall bb eval=   46] [# dominant pts=   3] [# new pts=   3] [f1=-6 f2=94.436255]
+	MADS run  2 ...... OK [bb eval= 23] [overall bb eval=   69] [# dominant pts=   3] [# new pts=   0] [f1=-4.5 f2=16.5199438]
+	MADS run  3 ...... OK [bb eval= 23] [overall bb eval=   92] [# dominant pts=   3] [# new pts=   0] [f1=-5.25 f2=15.24515131]
+	MADS run  4 ...... OK [bb eval=  8] [overall bb eval=  100] [# dominant pts=   3] [# new pts=   0] [f1=-5.25 f2=15.24515131]
+
+} end of run (max number of bb evaluations)
+
+
+blackbox evaluations                     : 100
+number of MADS runs                      : 4
+
+Pareto front {
+
+	-6.0000000000 25.1826513073 
+	-5.2500000000 15.2451513073 
+	0.7500000000 12.8461452933 
+} 
+
+number of Pareto points: 3

examples/basic/library/single_obj/basic_lib.cpp

+/*-----------------------------------------------------*/
+/*  how to use the NOMAD library with a user function  */
+/*-----------------------------------------------------*/
+#include "nomad.hpp"
+using namespace std;
+// using namespace NOMAD; avoids putting NOMAD:: everywhere
+
+/*----------------------------------------*/
+/*               The problem              */
+/*----------------------------------------*/
+class My_Evaluator : public NOMAD::Evaluator {
+public:
+  My_Evaluator  ( const NOMAD::Parameters & p ) :
+    NOMAD::Evaluator ( p ) {}
+
+  ~My_Evaluator ( void ) {}
+
+  bool eval_x ( NOMAD::Eval_Point   & x          ,
+		const NOMAD::Double & h_max      ,
+		bool                & count_eval   ) const
+	{
+
+    NOMAD::Double c1 = 0.0 , c2 = 0.0;
+    for ( int i = 0 ; i < 5 ; i++ ) 
+	{
+      c1 += (x[i]-1).pow2();
+      c2 += (x[i]+1).pow2();
+    }
+    x.set_bb_output  ( 0 , x[4]  ); // objective value
+    x.set_bb_output  ( 1 , c1-25 ); // constraint 1
+    x.set_bb_output  ( 2 , 25-c2 ); // constraint 2
+
+    count_eval = true; // count a black-box evaluation
+
+    return true;       // the evaluation succeeded
+	}
+	
+	
+};
+
+/*------------------------------------------*/
+/*            NOMAD main function           */
+/*------------------------------------------*/
+int main ( int argc , char ** argv ) {
+
+  // display:
+  NOMAD::Display out ( std::cout );
+  out.precision ( NOMAD::DISPLAY_PRECISION_STD );
+
+  try {
+
+    // NOMAD initializations:
+    NOMAD::begin ( argc , argv );
+
+    NOMAD::RNG::set_seed(12345);
+	  
+
+    // parameters creation:
+    NOMAD::Parameters p ( out );
+
+    p.set_DIMENSION (5);             // number of variables
+
+    vector<NOMAD::bb_output_type> bbot (3); // definition of
+    bbot[0] = NOMAD::OBJ;                   // output types
+    bbot[1] = NOMAD::PB;
+    bbot[2] = NOMAD::EB;
+    p.set_BB_OUTPUT_TYPE ( bbot );
+
+    //p.set_DISPLAY_ALL_EVAL(true);   // displays all evaluations.
+    p.set_DISPLAY_STATS ( "bbe ( sol ) obj" );
+
+    p.set_X0 ( NOMAD::Point(5,0.0) );  // starting point
+
+    p.set_LOWER_BOUND ( NOMAD::Point ( 5 , -6.0 ) ); // all var. >= -6
+    NOMAD::Point ub ( 5 );                    // x_4 and x_5 have no bounds
+    ub[0] = 5.0;                              // x_1 <= 5
+    ub[1] = 6.0;                              // x_2 <= 6
+    ub[2] = 7.0;                              // x_3 <= 7
+    p.set_UPPER_BOUND ( ub );
+
+    p.set_MAX_BB_EVAL (100);     // the algorithm terminates after
+                                 // 100 black-box evaluations
+	  
+    // p.set_TMP_DIR ("/tmp");   // directory for temporary files
+
+    // parameters validation:
+    p.check();
+
+    // custom evaluator creation:
+    My_Evaluator ev   ( p );
+
+    // algorithm creation and execution:
+    NOMAD::Mads mads ( p , &ev );
+    mads.run();
+  }
+  catch ( exception & e ) {
+    cerr << "\nNOMAD has been interrupted (" << e.what() << ")\n\n";
+  }
+
+  NOMAD::Slave::stop_slaves ( out );
+  NOMAD::end();
+
+  return EXIT_SUCCESS;
+}

examples/basic/library/single_obj/makefile

+EXE                 = basic_lib.exe
+EXE_MPI				= basic_lib_MPI.exe
+
+COMPILATOR          = g++
+COMPILATOR_MPI = mpic++
+SUNAME = $(shell uname)
+OSS=$(findstring MINGW32,$(SUNAME)) 
+ifneq "$(strip $(OSS))" ""
+COMPILATOR_MPI = g++
+endif
+
+COMPILATOR_OPTIONS  = -O2 -ansi 
+COMPILATOR_OPTIONS_MPI = $(COMPILATOR_OPTIONS) -DUSE_MPI
+L1                  = $(NOMAD_HOME)/lib/nomad.a
+L1_MPI				= $(NOMAD_HOME)/lib/nomad.MPI.a
+LIBS                = $(L1) -lm
+LIBS_MPI			= $(L1_MPI) -lm -lmpi
+INCLUDE             = -I$(NOMAD_HOME)/src -I.
+COMPILE             = $(COMPILATOR) $(COMPILATOR_OPTIONS) $(INCLUDE) -c
+COMPILE_MPI			= $(COMPILATOR_MPI) $(COMPILATOR_OPTIONS_MPI) $(INCLUDE) -c
+OBJS                = basic_lib.o
+OBJS_MPI            = basic_lib_MPI.o
+
+
+ifndef NOMAD_HOME
+define ECHO_NOMAD
+	@echo Please set NOMAD_HOME environment variable!
+	@false
+endef
+endif
+
+
+$(EXE): $(L1) $(OBJS)
+	$(ECHO_NOMAD)
+	@echo "   building the scalar version ..."
+	@echo "   exe file : "$(EXE)
+	@$(COMPILATOR) -o  $(EXE) $(OBJS) $(LIBS) $(COMPILATOR_OPTIONS)
+	@strip  $(EXE)
+
+$(EXE_MPI): $(L1_MPI) $(OBJS_MPI) 
+	$(ECHO_NOMAD)
+	@echo "   building the MPI version ..."
+	@echo "   exe file : "$(EXE_MPI)
+	@$(COMPILATOR_MPI) -o  $(EXE_MPI) $(OBJS_MPI) $(LIBS_MPI) $(COMPILATOR_OPTIONS_MPI)
+	@strip  $(EXE_MPI)
+
+basic_lib.o: basic_lib.cpp
+	$(ECHO_NOMAD)
+	@$(COMPILE) basic_lib.cpp
+
+basic_lib_MPI.o: basic_lib.cpp 
+	$(ECHO_NOMAD)
+	@$(COMPILE_MPI) basic_lib.cpp -o basic_lib_MPI.o
+
+$(L1) $(L1_MPI): ;
+	$(ECHO_NOMAD)
+
+mpi: $(EXE_MPI)
+
+all: $(EXE) $(EXE_MPI)
+
+clean: ;
+	@echo "   cleaning obj files"
+	@rm -f $(OBJS) $(OBJS_MPI)
+
+del: ;
+	@echo "   cleaning trash files"
+	@rm -f core *~
+	@echo "   cleaning obj files"
+	@rm -f $(OBJS) $(OBJS_MPI)
+	@echo "   cleaning exe file"
+	@rm -f $(EXE) $(EXE_MPI)
+
+

examples/basic/library/single_obj/runExample.log

+
+MADS run {
+
+	BBE	(	SOL	)	OBJ
+
+	  2	(	1.1000000000 0.0000000000 0.0000000000 0.0000000000 0.0000000000 )	275.2281000000 (PhaseOne)
+	  3	(	4.4000000000 0.0000000000 0.0000000000 0.0000000000 0.0000000000 )	0.0000000000 (PhaseOne)
+	  3	(	4.4000000000 0.0000000000 0.0000000000 0.0000000000 0.0000000000 )	0.0000000000
+	 11	(	4.6750000000 0.9000000000 0.9750000000 1.5000000000 -1.5000000000 )	-1.5000000000
+	 55	(	1.6500000000 1.8000000000 1.9500000000 -1.5000000000 -3.0000000000 )	-3.0000000000
+	100	(	1.6500000000 1.8000000000 1.9500000000 -1.5000000000 -3.0000000000 )	-3.0000000000
+
+} end of run (max number of blackbox evaluations)
+
+blackbox evaluations                     : 100
+best infeasible solution (min. violation): ( 0.55 1.8 2.6 -1.5 -3 ) h=0.6525 f=-3
+best feasible solution                   : ( 1.65 1.8 1.95 -1.5 -3 ) h=0 f=-3

examples/interfaces/AMPL/makefile

+LIBAMPL_DIR = $(LIBAMPLDIR)
+
+CXX = gcc -std=c99
+INCLUDE_DIRS = $(LIBAMPL_DIR)/Src/solvers
+CXX_OPTS = $(addprefix -I,$(INCLUDE_DIRS))
+LIBS = -L$(LIBAMPL_DIR)/Lib -lampl -lfuncadd0 -lm -ldl
+
+%.o: %.c
+	$(CXX) -c $(CXX_OPTS) $?
+
+bb.exe: bb.o
+	$(CXX) -o $@ $? $(LIBS)
+
+clean:
+	rm *.o miniampl

examples/interfaces/AMPL/model/optrisk.mod

+set A;   		# asset categories
+set T := {1973..1994}; 	# years
+
+param r_min default 1.10;	# i.e., at least 10 percent return
+
+param R {T,A};
+
+param mean {j in A}
+    := ( sum{i in T} R[i,j] )/card(T);
+
+param Rtilde {i in T, j in A}
+    := R[i,j] - mean[j];
+
+param Cov {j in A, k in A}
+    := sum {i in T} (Rtilde[i,j]*Rtilde[i,k]) / card(T);
+
+param Corr {j in A, k in A}
+    := Cov[j,k]/sqrt(Cov[j,j]*Cov[k,k]);
+
+var x{A} >=0; 
+
+minimize risk:
+    sum{i in T} (sum{j in A} Rtilde[i,j]*x[j])^2 / card{T} ;
+
+subject to reward_bound:
+    r_min <= sum{j in A} mean[j]*x[j];
+
+subject to tot_mass:
+    sum{j in A} x[j] = 1;
+
+data;
+
+set A := 
+    US_3-MONTH_T-BILLS US_GOVN_LONG_BONDS SP_500 WILSHIRE_5000 NASDAQ_COMPOSITE
+    LEHMAN_BROTHERS_CORPORATE_BONDS_INDEX EAFE GOLD;   
+
+param R:
+US_3-MONTH_T-BILLS US_GOVN_LONG_BONDS SP_500 WILSHIRE_5000 NASDAQ_COMPOSITE 
+LEHMAN_BROTHERS_CORPORATE_BONDS_INDEX EAFE GOLD :=
+1973   1.075   0.942   0.852   0.815   0.698   1.023   0.851   1.677  
+1974   1.084   1.020   0.735   0.716   0.662   1.002   0.768   1.722  
+1975   1.061   1.056   1.371   1.385   1.318   1.123   1.354   0.760  
+1976   1.052   1.175   1.236   1.266   1.280   1.156   1.025   0.960  
+1977   1.055   1.002   0.926   0.974   1.093   1.030   1.181   1.200  
+1978   1.077   0.982   1.064   1.093   1.146   1.012   1.326   1.295  
+1979   1.109   0.978   1.184   1.256   1.307   1.023   1.048   2.212  
+1980   1.127   0.947   1.323   1.337   1.367   1.031   1.226   1.296  
+1981   1.156   1.003   0.949   0.963   0.990   1.073   0.977   0.688  
+1982   1.117   1.465   1.215   1.187   1.213   1.311   0.981   1.084  
+1983   1.092   0.985   1.224   1.235   1.217   1.080   1.237   0.872  
+1984   1.103   1.159   1.061   1.030   0.903   1.150   1.074   0.825  
+1985   1.080   1.366   1.316   1.326   1.333   1.213   1.562   1.006  
+1986   1.063   1.309   1.186   1.161   1.086   1.156   1.694   1.216  
+1987   1.061   0.925   1.052   1.023   0.959   1.023   1.246   1.244  
+1988   1.071   1.086   1.165   1.179   1.165   1.076   1.283   0.861  
+1989   1.087   1.212   1.316   1.292   1.204   1.142   1.105   0.977  
+1990   1.080   1.054   0.968   0.938   0.830   1.083   0.766   0.922  
+1991   1.057   1.193   1.304   1.342   1.594   1.161   1.121   0.958  
+1992   1.036   1.079   1.076   1.090   1.174   1.076   0.878   0.926  
+1993   1.031   1.217   1.100   1.113   1.162   1.110   1.326   1.146  
+1994   1.045   0.889   1.012   0.999   0.968   0.965   1.078   0.990  
+;
+
+solve;
+
+display Corr;
+
+printf: "-------------------------------------------------------------------\n";
+printf: "                                      Asset       Mean    Variance \n";
+printf {j in A}: "%45s %10.7f %10.7f \n", 
+    j, mean[j], sum{i in T} Rtilde[i,j]^2 / card(T);
+
+printf: "\n";
+printf: "Optimal Portfolio:                    Asset       Fraction \n";
+printf {j in A: x[j] > 0.001}: "%45s %10.7f \n", j, x[j];
+
+printf: "Mean = %10.7f, Variance = %10.5f \n",
+    sum{j in A} mean[j]*x[j],
+    sum{i in T} (sum{j in A} Rtilde[i,j]*x[j])^2 / card(T);

examples/interfaces/AMPL/param.txt

+DIMENSION      8
+BB_EXE         bb.exe
+BB_OUTPUT_TYPE OBJ PB PB PB
+x0             points/x0.txt
+lower_bound    points/lb.txt
+upper_bound    points/ub.txt
+#tmp_dir        /tmp
+max_bb_eval    1000
+h_min          0.05
+#display_degree 2

examples/interfaces/AMPL/points/lb.txt

+0
+0
+0
+0
+0
+0
+0
+0

examples/interfaces/AMPL/points/ub.txt

+1
+1
+1
+1
+1
+1
+1
+1