/usr/include/trilinos/ROL_CompositeStep.hpp is in libtrilinos-rol-dev 12.10.1-3.
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// ************************************************************************
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// Rapid Optimization Library (ROL) Package
// Copyright (2014) Sandia Corporation
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#ifndef ROL_COMPOSITESTEP_H
#define ROL_COMPOSITESTEP_H
#include "ROL_Types.hpp"
#include "ROL_Step.hpp"
#include <sstream>
#include <iomanip>
#include "Teuchos_SerialDenseMatrix.hpp"
#include "Teuchos_LAPACK.hpp"
/** \class ROL::CompositeStep
\brief Implements the computation of optimization steps
with composite-step trust-region methods.
*/
namespace ROL {
template <class Real>
class CompositeStep : public Step<Real> {
private:
// Vectors used for cloning.
Teuchos::RCP<Vector<Real> > xvec_;
Teuchos::RCP<Vector<Real> > gvec_;
Teuchos::RCP<Vector<Real> > cvec_;
Teuchos::RCP<Vector<Real> > lvec_;
// Diagnostic return flags for subalgorithms.
int flagCG_;
int flagAC_;
int iterCG_;
// Stopping conditions.
int maxiterCG_;
int maxiterOSS_;
Real tolCG_;
Real tolOSS_;
bool tolOSSfixed_;
// Tolerances and stopping conditions for subalgorithms.
Real lmhtol_;
Real qntol_;
Real pgtol_;
Real projtol_;
Real tangtol_;
Real tntmax_;
// Trust-region parameters.
Real zeta_;
Real Delta_;
Real penalty_;
Real eta_;
Real ared_;
Real pred_;
Real snorm_;
Real nnorm_;
Real tnorm_;
// Output flags.
bool infoQN_;
bool infoLM_;
bool infoTS_;
bool infoAC_;
bool infoLS_;
bool infoALL_;
// Performance summary.
int totalIterCG_;
int totalProj_;
int totalNegCurv_;
int totalRef_;
int totalCallLS_;
int totalIterLS_;
template <typename T> int sgn(T val) {
return (T(0) < val) - (val < T(0));
}
void printInfoLS(const std::vector<Real> &res) const {
if (infoLS_) {
std::stringstream hist;
hist << std::scientific << std::setprecision(8);
hist << "\n Augmented System Solver:\n";
hist << " True Residual\n";
for (unsigned j=0; j<res.size(); j++) {
hist << " " << std::left << std::setw(14) << res[j] << "\n";
}
hist << "\n";
std::cout << hist.str();
}
}
Real setTolOSS(const Real intol) const {
return tolOSSfixed_ ? tolOSS_ : intol;
}
public:
using Step<Real>::initialize;
using Step<Real>::compute;
using Step<Real>::update;
virtual ~CompositeStep() {}
CompositeStep( Teuchos::ParameterList & parlist ) : Step<Real>() {
//Teuchos::RCP<StepState<Real> > step_state = Step<Real>::getState();
flagCG_ = 0;
flagAC_ = 0;
iterCG_ = 0;
Teuchos::ParameterList& steplist = parlist.sublist("Step").sublist("Composite Step");
//maxiterOSS_ = steplist.sublist("Optimality System Solver").get("Iteration Limit", 50);
tolOSS_ = steplist.sublist("Optimality System Solver").get("Nominal Relative Tolerance", 1e-8);
tolOSSfixed_ = steplist.sublist("Optimality System Solver").get("Fix Tolerance", true);
maxiterCG_ = steplist.sublist("Tangential Subproblem Solver").get("Iteration Limit", 20);
tolCG_ = steplist.sublist("Tangential Subproblem Solver").get("Relative Tolerance", 1e-2);
int outLvl = steplist.get("Output Level", 0);
lmhtol_ = tolOSS_;
qntol_ = tolOSS_;
pgtol_ = tolOSS_;
projtol_ = tolOSS_;
tangtol_ = tolOSS_;
tntmax_ = 2.0;
zeta_ = 0.8;
Delta_ = 1e2;
penalty_ = 1.0;
eta_ = 1e-8;
snorm_ = 0.0;
nnorm_ = 0.0;
tnorm_ = 0.0;
infoALL_ = false;
if (outLvl > 0) {
infoALL_ = true;
}
infoQN_ = false;
infoLM_ = false;
infoTS_ = false;
infoAC_ = false;
infoLS_ = false;
infoQN_ = infoQN_ || infoALL_;
infoLM_ = infoLM_ || infoALL_;
infoTS_ = infoTS_ || infoALL_;
infoAC_ = infoAC_ || infoALL_;
infoLS_ = infoLS_ || infoALL_;
totalIterCG_ = 0;
totalProj_ = 0;
totalNegCurv_ = 0;
totalRef_ = 0;
totalCallLS_ = 0;
totalIterLS_ = 0;
}
/** \brief Initialize step.
*/
void initialize( Vector<Real> &x, const Vector<Real> &g, Vector<Real> &l, const Vector<Real> &c,
Objective<Real> &obj, EqualityConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {
//Teuchos::RCP<StepState<Real> > step_state = Step<Real>::getState();
Teuchos::RCP<StepState<Real> > state = Step<Real>::getState();
state->descentVec = x.clone();
state->gradientVec = g.clone();
state->constraintVec = c.clone();
xvec_ = x.clone();
gvec_ = g.clone();
lvec_ = l.clone();
cvec_ = c.clone();
Teuchos::RCP<Vector<Real> > ajl = gvec_->clone();
Teuchos::RCP<Vector<Real> > gl = gvec_->clone();
algo_state.nfval = 0;
algo_state.ncval = 0;
algo_state.ngrad = 0;
Real zerotol = std::sqrt(ROL_EPSILON<Real>());
// Update objective and constraint.
obj.update(x,true,algo_state.iter);
algo_state.value = obj.value(x, zerotol);
algo_state.nfval++;
con.update(x,true,algo_state.iter);
con.value(*cvec_, x, zerotol);
algo_state.cnorm = cvec_->norm();
algo_state.ncval++;
obj.gradient(*gvec_, x, zerotol);
// Compute gradient of Lagrangian at new multiplier guess.
computeLagrangeMultiplier(l, x, *gvec_, con);
con.applyAdjointJacobian(*ajl, l, x, zerotol);
gl->set(*gvec_); gl->plus(*ajl);
algo_state.ngrad++;
algo_state.gnorm = gl->norm();
}
/** \brief Compute step.
*/
void compute( Vector<Real> &s, const Vector<Real> &x, const Vector<Real> &l,
Objective<Real> &obj, EqualityConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {
//Teuchos::RCP<StepState<Real> > step_state = Step<Real>::getState();
Real zerotol = std::sqrt(ROL_EPSILON<Real>());
Real f = 0.0;
Teuchos::RCP<Vector<Real> > n = xvec_->clone();
Teuchos::RCP<Vector<Real> > c = cvec_->clone();
Teuchos::RCP<Vector<Real> > t = xvec_->clone();
Teuchos::RCP<Vector<Real> > tCP = xvec_->clone();
Teuchos::RCP<Vector<Real> > g = gvec_->clone();
Teuchos::RCP<Vector<Real> > gf = gvec_->clone();
Teuchos::RCP<Vector<Real> > Wg = xvec_->clone();
Teuchos::RCP<Vector<Real> > ajl = gvec_->clone();
Real f_new = 0.0;
Teuchos::RCP<Vector<Real> > l_new = lvec_->clone();
Teuchos::RCP<Vector<Real> > c_new = cvec_->clone();
Teuchos::RCP<Vector<Real> > g_new = gvec_->clone();
Teuchos::RCP<Vector<Real> > gf_new = gvec_->clone();
// Evaluate objective ... should have been stored.
f = obj.value(x, zerotol);
algo_state.nfval++;
// Compute gradient of objective ... should have been stored.
obj.gradient(*gf, x, zerotol);
// Evaluate constraint ... should have been stored.
con.value(*c, x, zerotol);
// Compute quasi-normal step.
computeQuasinormalStep(*n, *c, x, zeta_*Delta_, con);
// Compute gradient of Lagrangian ... should have been stored.
con.applyAdjointJacobian(*ajl, l, x, zerotol);
g->set(*gf);
g->plus(*ajl);
algo_state.ngrad++;
// Solve tangential subproblem.
solveTangentialSubproblem(*t, *tCP, *Wg, x, *g, *n, l, Delta_, obj, con);
totalIterCG_ += iterCG_;
// Check acceptance of subproblem solutions, adjust merit function penalty parameter, ensure global convergence.
accept(s, *n, *t, f_new, *c_new, *gf_new, *l_new, *g_new, x, l, f, *gf, *c, *g, *tCP, *Wg, obj, con, algo_state);
}
/** \brief Update step, if successful.
*/
void update( Vector<Real> &x, Vector<Real> &l, const Vector<Real> &s,
Objective<Real> &obj, EqualityConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {
//Teuchos::RCP<StepState<Real> > state = Step<Real>::getState();
Real zero(0);
Real one(1);
Real two(2);
Real seven(7);
Real half(0.5);
Real zp9(0.9);
Real zp8(0.8);
Real em12(1e-12);
Real zerotol = std::sqrt(ROL_EPSILON<Real>());//zero;
Real ratio(zero);
Teuchos::RCP<Vector<Real> > g = gvec_->clone();
Teuchos::RCP<Vector<Real> > ajl = gvec_->clone();
Teuchos::RCP<Vector<Real> > gl = gvec_->clone();
Teuchos::RCP<Vector<Real> > c = cvec_->clone();
// Determine if the step gives sufficient reduction in the merit function,
// update the trust-region radius.
ratio = ared_/pred_;
if ((std::abs(ared_) < em12) && std::abs(pred_) < em12) {
ratio = one;
}
if (ratio >= eta_) {
x.plus(s);
if (ratio >= zp9) {
Delta_ = std::max(seven*snorm_, Delta_);
}
else if (ratio >= zp8) {
Delta_ = std::max(two*snorm_, Delta_);
}
obj.update(x,true,algo_state.iter);
con.update(x,true,algo_state.iter);
flagAC_ = 1;
}
else {
Delta_ = half*std::max(nnorm_, tnorm_);
obj.update(x,false,algo_state.iter);
con.update(x,false,algo_state.iter);
flagAC_ = 0;
} // if (ratio >= eta)
Real val = obj.value(x, zerotol);
algo_state.nfval++;
obj.gradient(*g, x, zerotol);
computeLagrangeMultiplier(l, x, *g, con);
con.applyAdjointJacobian(*ajl, l, x, zerotol);
gl->set(*g); gl->plus(*ajl);
algo_state.ngrad++;
con.value(*c, x, zerotol);
Teuchos::RCP<StepState<Real> > state = Step<Real>::getState();
state->gradientVec->set(*gl);
state->constraintVec->set(*c);
algo_state.value = val;
algo_state.gnorm = gl->norm();
algo_state.cnorm = c->norm();
algo_state.iter++;
algo_state.snorm = snorm_;
// Update algorithm state
//(algo_state.iterateVec)->set(x);
}
/** \brief Compute step for bound constraints; here only to satisfy the
interface requirements, does nothing, needs refactoring.
*/
void compute( Vector<Real> &s, const Vector<Real> &x, Objective<Real> &obj,
BoundConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {}
/** \brief Update step, for bound constraints; here only to satisfy the
interface requirements, does nothing, needs refactoring.
*/
void update( Vector<Real> &x, const Vector<Real> &s, Objective<Real> &obj,
BoundConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {}
/** \brief Print iterate header.
*/
std::string printHeader( void ) const {
std::stringstream hist;
hist << " ";
hist << std::setw(6) << std::left << "iter";
hist << std::setw(15) << std::left << "fval";
hist << std::setw(15) << std::left << "cnorm";
hist << std::setw(15) << std::left << "gLnorm";
hist << std::setw(15) << std::left << "snorm";
hist << std::setw(10) << std::left << "delta";
hist << std::setw(10) << std::left << "nnorm";
hist << std::setw(10) << std::left << "tnorm";
hist << std::setw(8) << std::left << "#fval";
hist << std::setw(8) << std::left << "#grad";
hist << std::setw(8) << std::left << "iterCG";
hist << std::setw(8) << std::left << "flagCG";
hist << std::setw(8) << std::left << "accept";
hist << std::setw(8) << std::left << "linsys";
hist << "\n";
return hist.str();
}
std::string printName( void ) const {
std::stringstream hist;
hist << "\n" << " Composite-step trust-region solver";
hist << "\n";
return hist.str();
}
/** \brief Print iterate status.
*/
std::string print( AlgorithmState<Real> & algo_state, bool pHeader = false ) const {
//const Teuchos::RCP<const StepState<Real> >& step_state = Step<Real>::getStepState();
std::stringstream hist;
hist << std::scientific << std::setprecision(6);
if ( algo_state.iter == 0 ) {
hist << printName();
}
if ( pHeader ) {
hist << printHeader();
}
if ( algo_state.iter == 0 ) {
hist << " ";
hist << std::setw(6) << std::left << algo_state.iter;
hist << std::setw(15) << std::left << algo_state.value;
hist << std::setw(15) << std::left << algo_state.cnorm;
hist << std::setw(15) << std::left << algo_state.gnorm;
hist << "\n";
}
else {
hist << " ";
hist << std::setw(6) << std::left << algo_state.iter;
hist << std::setw(15) << std::left << algo_state.value;
hist << std::setw(15) << std::left << algo_state.cnorm;
hist << std::setw(15) << std::left << algo_state.gnorm;
hist << std::setw(15) << std::left << algo_state.snorm;
hist << std::scientific << std::setprecision(2);
hist << std::setw(10) << std::left << Delta_;
hist << std::setw(10) << std::left << nnorm_;
hist << std::setw(10) << std::left << tnorm_;
hist << std::scientific << std::setprecision(6);
hist << std::setw(8) << std::left << algo_state.nfval;
hist << std::setw(8) << std::left << algo_state.ngrad;
hist << std::setw(8) << std::left << iterCG_;
hist << std::setw(8) << std::left << flagCG_;
hist << std::setw(8) << std::left << flagAC_;
hist << std::left << totalCallLS_ << "/" << totalIterLS_;
hist << "\n";
}
return hist.str();
}
/** \brief Compute Lagrange multipliers by solving the least-squares
problem minimizing the gradient of the Lagrangian, via the
augmented system formulation.
@param[out] l is the updated Lagrange multiplier; a dual constraint-space vector
@param[in] x is the current iterate; an optimization-space vector
@param[in] gf is the gradient of the objective function; a dual optimization-space vector
@param[in] con is the equality constraint object
On return ... fill the blanks.
*/
void computeLagrangeMultiplier(Vector<Real> &l, const Vector<Real> &x, const Vector<Real> &gf, EqualityConstraint<Real> &con) {
Real one(1);
Real zerotol = std::sqrt(ROL_EPSILON<Real>());
std::vector<Real> augiters;
if (infoLM_) {
std::stringstream hist;
hist << "\n Lagrange multiplier step\n";
std::cout << hist.str();
}
/* Apply adjoint of constraint Jacobian to current multiplier. */
Teuchos::RCP<Vector<Real> > ajl = gvec_->clone();
con.applyAdjointJacobian(*ajl, l, x, zerotol);
/* Form right-hand side of the augmented system. */
Teuchos::RCP<Vector<Real> > b1 = gvec_->clone();
Teuchos::RCP<Vector<Real> > b2 = cvec_->clone();
// b1 is the negative gradient of the Lagrangian
b1->set(gf); b1->plus(*ajl); b1->scale(-one);
// b2 is zero
b2->zero();
/* Declare left-hand side of augmented system. */
Teuchos::RCP<Vector<Real> > v1 = xvec_->clone();
Teuchos::RCP<Vector<Real> > v2 = lvec_->clone();
/* Compute linear solver tolerance. */
Real b1norm = b1->norm();
Real tol = setTolOSS(lmhtol_*b1norm);
/* Solve augmented system. */
augiters = con.solveAugmentedSystem(*v1, *v2, *b1, *b2, x, tol);
totalCallLS_++;
totalIterLS_ = totalIterLS_ + augiters.size();
printInfoLS(augiters);
/* Return updated Lagrange multiplier. */
// v2 is the multiplier update
l.plus(*v2);
} // computeLagrangeMultiplier
/** \brief Compute quasi-normal step by minimizing the norm of
the linearized constraint.
Compute an approximate solution of the problem
\f[
\begin{array}{rl}
\min_{n} & \|c'(x_k)n + c(x_k)\|^2_{\mathcal{X}} \\
\mbox{subject to} & \|n\|_{\mathcal{X}} \le \delta
\end{array}
\f]
The approximate solution is computed using Powell's dogleg
method. The dogleg path is computed using the Cauchy point and
a full Newton step. The path's intersection with the trust-region
constraint gives the quasi-normal step.
@param[out] n is the quasi-normal step; an optimization-space vector
@param[in] c is the value of equality constraints; a constraint-space vector
@param[in] x is the current iterate; an optimization-space vector
@param[in] delta is the trust-region radius for the quasi-normal step
@param[in] con is the equality constraint object
*/
void computeQuasinormalStep(Vector<Real> &n, const Vector<Real> &c, const Vector<Real> &x, Real delta, EqualityConstraint<Real> &con) {
if (infoQN_) {
std::stringstream hist;
hist << "\n Quasi-normal step\n";
std::cout << hist.str();
}
Real zero(0);
Real one(1);
Real zerotol = std::sqrt(ROL_EPSILON<Real>()); //zero;
std::vector<Real> augiters;
/* Compute Cauchy step nCP. */
Teuchos::RCP<Vector<Real> > nCP = xvec_->clone();
Teuchos::RCP<Vector<Real> > nCPdual = gvec_->clone();
Teuchos::RCP<Vector<Real> > nN = xvec_->clone();
Teuchos::RCP<Vector<Real> > ctemp = cvec_->clone();
Teuchos::RCP<Vector<Real> > dualc0 = lvec_->clone();
dualc0->set(c.dual());
con.applyAdjointJacobian(*nCPdual, *dualc0, x, zerotol);
nCP->set(nCPdual->dual());
con.applyJacobian(*ctemp, *nCP, x, zerotol);
Real normsquare_ctemp = ctemp->dot(*ctemp);
if (normsquare_ctemp != zero) {
nCP->scale( -(nCP->dot(*nCP))/normsquare_ctemp );
}
/* If the Cauchy step nCP is outside the trust region,
return the scaled Cauchy step. */
Real norm_nCP = nCP->norm();
if (norm_nCP >= delta) {
n.set(*nCP);
n.scale( delta/norm_nCP );
if (infoQN_) {
std::stringstream hist;
hist << " taking partial Cauchy step\n";
std::cout << hist.str();
}
return;
}
/* Compute 'Newton' step, for example, by solving a problem
related to finding the minimum norm solution of min || c(x_k)*s + c ||^2. */
// Compute tolerance for linear solver.
con.applyJacobian(*ctemp, *nCP, x, zerotol);
ctemp->plus(c);
Real tol = setTolOSS(qntol_*ctemp->norm());
// Form right-hand side.
ctemp->scale(-one);
nCPdual->set(nCP->dual());
nCPdual->scale(-one);
// Declare left-hand side of augmented system.
Teuchos::RCP<Vector<Real> > dn = xvec_->clone();
Teuchos::RCP<Vector<Real> > y = lvec_->clone();
// Solve augmented system.
augiters = con.solveAugmentedSystem(*dn, *y, *nCPdual, *ctemp, x, tol);
totalCallLS_++;
totalIterLS_ = totalIterLS_ + augiters.size();
printInfoLS(augiters);
nN->set(*dn);
nN->plus(*nCP);
/* Either take full or partial Newton step, depending on
the trust-region constraint. */
Real norm_nN = nN->norm();
if (norm_nN <= delta) {
// Take full feasibility step.
n.set(*nN);
if (infoQN_) {
std::stringstream hist;
hist << " taking full Newton step\n";
std::cout << hist.str();
}
}
else {
// Take convex combination n = nCP+tau*(nN-nCP),
// so that ||n|| = delta. In other words, solve
// scalar quadratic equation: ||nCP+tau*(nN-nCP)||^2 = delta^2.
Real aa = dn->dot(*dn);
Real bb = dn->dot(*nCP);
Real cc = norm_nCP*norm_nCP - delta*delta;
Real tau = (-bb+sqrt(bb*bb-aa*cc))/aa;
n.set(*nCP);
n.axpy(tau, *dn);
if (infoQN_) {
std::stringstream hist;
hist << " taking dogleg step\n";
std::cout << hist.str();
}
}
} // computeQuasinormalStep
/** \brief Solve tangential subproblem.
@param[out] t is the solution of the tangential subproblem; an optimization-space vector
@param[out] tCP is the Cauchy point for the tangential subproblem; an optimization-space vector
@param[out] Wg is the dual of the projected gradient of the Lagrangian; an optimization-space vector
@param[in] x is the current iterate; an optimization-space vector
@param[in] g is the gradient of the Lagrangian; a dual optimization-space vector
@param[in] n is the quasi-normal step; an optimization-space vector
@param[in] l is the Lagrange multiplier; a dual constraint-space vector
@param[in] delta is the trust-region radius for the tangential subproblem
@param[in] con is the equality constraint object
*/
void solveTangentialSubproblem(Vector<Real> &t, Vector<Real> &tCP, Vector<Real> &Wg,
const Vector<Real> &x, const Vector<Real> &g, const Vector<Real> &n, const Vector<Real> &l,
Real delta, Objective<Real> &obj, EqualityConstraint<Real> &con) {
/* Initialization of the CG step. */
bool orthocheck = true; // set to true if want to check orthogonality
// of Wr and r, otherwise set to false
Real tol_ortho = 0.5; // orthogonality measure; represets a bound on norm( \hat{S}, 2), where
// \hat{S} is defined in Heinkenschloss/Ridzal., "A Matrix-Free Trust-Region SQP Method"
Real S_max = 1.0; // another orthogonality measure; norm(S) needs to be bounded by
// a modest constant; norm(S) is small if the approximation of
// the null space projector is good
Real zero(0);
Real one(1);
Real zerotol = std::sqrt(ROL_EPSILON<Real>());
std::vector<Real> augiters;
iterCG_ = 1;
flagCG_ = 0;
t.zero();
tCP.zero();
Teuchos::RCP<Vector<Real> > r = gvec_->clone();
Teuchos::RCP<Vector<Real> > pdesc = xvec_->clone();
Teuchos::RCP<Vector<Real> > tprev = xvec_->clone();
Teuchos::RCP<Vector<Real> > Wr = xvec_->clone();
Teuchos::RCP<Vector<Real> > Hp = gvec_->clone();
Teuchos::RCP<Vector<Real> > xtemp = xvec_->clone();
Teuchos::RCP<Vector<Real> > gtemp = gvec_->clone();
Teuchos::RCP<Vector<Real> > ltemp = lvec_->clone();
Teuchos::RCP<Vector<Real> > czero = cvec_->clone();
czero->zero();
r->set(g);
obj.hessVec(*gtemp, n, x, zerotol);
r->plus(*gtemp);
con.applyAdjointHessian(*gtemp, l, n, x, zerotol);
r->plus(*gtemp);
Real normg = r->norm();
Real normWg = zero;
Real pHp = zero;
Real rp = zero;
Real alpha = zero;
Real normp = zero;
Real normr = zero;
Real normt = zero;
std::vector<Real> normWr(maxiterCG_+1, zero);
std::vector<Teuchos::RCP<Vector<Real > > > p; // stores search directions
std::vector<Teuchos::RCP<Vector<Real > > > Hps; // stores duals of hessvec's applied to p's
std::vector<Teuchos::RCP<Vector<Real > > > rs; // stores duals of residuals
std::vector<Teuchos::RCP<Vector<Real > > > Wrs; // stores duals of projected residuals
Real rptol(1e-12);
if (infoTS_) {
std::stringstream hist;
hist << "\n Tangential subproblem\n";
hist << std::setw(6) << std::right << "iter" << std::setw(18) << "||Wr||/||Wr0||" << std::setw(15) << "||s||";
hist << std::setw(15) << "delta" << std::setw(15) << "||c'(x)s||" << "\n";
std::cout << hist.str();
}
if (normg == 0) {
if (infoTS_) {
std::stringstream hist;
hist << " >>> Tangential subproblem: Initial gradient is zero! \n";
std::cout << hist.str();
}
iterCG_ = 0; Wg.zero(); flagCG_ = 0;
return;
}
/* Start CG loop. */
while (iterCG_ < maxiterCG_) {
// Store tangential Cauchy point (which is the current iterate in the second iteration).
if (iterCG_ == 2) {
tCP.set(t);
}
// Compute (inexact) projection W*r.
if (iterCG_ == 1) {
// Solve augmented system.
Real tol = setTolOSS(pgtol_);
augiters = con.solveAugmentedSystem(*Wr, *ltemp, *r, *czero, x, tol);
totalCallLS_++;
totalIterLS_ = totalIterLS_ + augiters.size();
printInfoLS(augiters);
Wg.set(*Wr);
normWg = Wg.norm();
if (orthocheck) {
Wrs.push_back(xvec_->clone());
(Wrs[iterCG_-1])->set(*Wr);
}
// Check if done (small initial projected residual).
if (normWg == zero) {
flagCG_ = 0;
iterCG_--;
if (infoTS_) {
std::stringstream hist;
hist << " Initial projected residual is close to zero! \n";
std::cout << hist.str();
}
return;
}
// Set first residual to projected gradient.
// change r->set(Wg);
r->set(Wg.dual());
if (orthocheck) {
rs.push_back(xvec_->clone());
// change (rs[0])->set(*r);
(rs[0])->set(r->dual());
}
}
else {
// Solve augmented system.
Real tol = setTolOSS(projtol_);
augiters = con.solveAugmentedSystem(*Wr, *ltemp, *r, *czero, x, tol);
totalCallLS_++;
totalIterLS_ = totalIterLS_ + augiters.size();
printInfoLS(augiters);
if (orthocheck) {
Wrs.push_back(xvec_->clone());
(Wrs[iterCG_-1])->set(*Wr);
}
}
normWr[iterCG_-1] = Wr->norm();
if (infoTS_) {
Teuchos::RCP<Vector<Real> > ct = cvec_->clone();
con.applyJacobian(*ct, t, x, zerotol);
Real linc = ct->norm();
std::stringstream hist;
hist << std::scientific << std::setprecision(6);
hist << std::setw(6) << std::right << iterCG_-1 << std::setw(18) << normWr[iterCG_-1]/normWg << std::setw(15) << t.norm();
hist << std::setw(15) << delta << std::setw(15) << linc << "\n";
std::cout << hist.str();
}
// Check if done (small relative residual).
if (normWr[iterCG_-1]/normWg < tolCG_) {
flagCG_ = 0;
iterCG_ = iterCG_-1;
if (infoTS_) {
std::stringstream hist;
hist << " || W(g + H*(n+s)) || <= cgtol*|| W(g + H*n)|| \n";
std::cout << hist.str();
}
return;
}
// Check nonorthogonality, one-norm of (WR*R/diag^2 - I)
if (orthocheck) {
Teuchos::SerialDenseMatrix<int,Real> Wrr(iterCG_,iterCG_); // holds matrix Wrs'*rs
Teuchos::SerialDenseMatrix<int,Real> T(iterCG_,iterCG_); // holds matrix T=(1/diag)*Wrs'*rs*(1/diag)
Teuchos::SerialDenseMatrix<int,Real> Tm1(iterCG_,iterCG_); // holds matrix Tm1=T-I
for (int i=0; i<iterCG_; i++) {
for (int j=0; j<iterCG_; j++) {
Wrr(i,j) = (Wrs[i])->dot(*rs[j]);
T(i,j) = Wrr(i,j)/(normWr[i]*normWr[j]);
Tm1(i,j) = T(i,j);
if (i==j) {
Tm1(i,j) = Tm1(i,j) - one;
}
}
}
if (Tm1.normOne() >= tol_ortho) {
Teuchos::LAPACK<int,Real> lapack;
std::vector<int> ipiv(iterCG_);
int info;
std::vector<Real> work(3*iterCG_);
// compute inverse of T
lapack.GETRF(iterCG_, iterCG_, T.values(), T.stride(), &ipiv[0], &info);
lapack.GETRI(iterCG_, T.values(), T.stride(), &ipiv[0], &work[0], 3*iterCG_, &info);
Tm1 = T;
for (int i=0; i<iterCG_; i++) {
Tm1(i,i) = Tm1(i,i) - one;
}
if (Tm1.normOne() > S_max) {
flagCG_ = 4;
if (infoTS_) {
std::stringstream hist;
hist << " large nonorthogonality in W(R)'*R detected \n";
std::cout << hist.str();
}
return;
}
}
}
// Full orthogonalization.
p.push_back(xvec_->clone());
(p[iterCG_-1])->set(*Wr);
(p[iterCG_-1])->scale(-one);
for (int j=1; j<iterCG_; j++) {
Real scal = (p[iterCG_-1])->dot(*(Hps[j-1])) / (p[j-1])->dot(*(Hps[j-1]));
Teuchos::RCP<Vector<Real> > pj = xvec_->clone();
pj->set(*p[j-1]);
pj->scale(-scal);
(p[iterCG_-1])->plus(*pj);
}
// change Hps.push_back(gvec_->clone());
Hps.push_back(xvec_->clone());
// change obj.hessVec(*(Hps[iterCG_-1]), *(p[iterCG_-1]), x, zerotol);
obj.hessVec(*Hp, *(p[iterCG_-1]), x, zerotol);
con.applyAdjointHessian(*gtemp, l, *(p[iterCG_-1]), x, zerotol);
// change (Hps[iterCG_-1])->plus(*gtemp);
Hp->plus(*gtemp);
// "Preconditioning" step.
(Hps[iterCG_-1])->set(Hp->dual());
pHp = (p[iterCG_-1])->dot(*(Hps[iterCG_-1]));
// change rp = (p[iterCG_-1])->dot(*r);
rp = (p[iterCG_-1])->dot(*(rs[iterCG_-1]));
normp = (p[iterCG_-1])->norm();
normr = r->norm();
// Negative curvature stopping condition.
if (pHp <= 0) {
pdesc->set(*(p[iterCG_-1])); // p is the descent direction
if ((std::abs(rp) >= rptol*normp*normr) && (sgn(rp) == 1)) {
pdesc->scale(-one); // -p is the descent direction
}
flagCG_ = 2;
Real a = pdesc->dot(*pdesc);
Real b = pdesc->dot(t);
Real c = t.dot(t) - delta*delta;
// Positive root of a*theta^2 + 2*b*theta + c = 0.
Real theta = (-b + std::sqrt(b*b - a*c)) / a;
xtemp->set(*(p[iterCG_-1]));
xtemp->scale(theta);
t.plus(*xtemp);
// Store as tangential Cauchy point if terminating in first iteration.
if (iterCG_ == 1) {
tCP.set(t);
}
if (infoTS_) {
std::stringstream hist;
hist << " negative curvature detected \n";
std::cout << hist.str();
}
return;
}
// Want to enforce nonzero alpha's.
if (std::abs(rp) < rptol*normp*normr) {
flagCG_ = 5;
if (infoTS_) {
std::stringstream hist;
hist << " Zero alpha due to inexactness. \n";
std::cout << hist.str();
}
return;
}
alpha = - rp/pHp;
// Iterate update.
tprev->set(t);
xtemp->set(*(p[iterCG_-1]));
xtemp->scale(alpha);
t.plus(*xtemp);
// Trust-region stopping condition.
normt = t.norm();
if (normt >= delta) {
pdesc->set(*(p[iterCG_-1])); // p is the descent direction
if (sgn(rp) == 1) {
pdesc->scale(-one); // -p is the descent direction
}
Real a = pdesc->dot(*pdesc);
Real b = pdesc->dot(*tprev);
Real c = tprev->dot(*tprev) - delta*delta;
// Positive root of a*theta^2 + 2*b*theta + c = 0.
Real theta = (-b + std::sqrt(b*b - a*c)) / a;
xtemp->set(*(p[iterCG_-1]));
xtemp->scale(theta);
t.set(*tprev);
t.plus(*xtemp);
// Store as tangential Cauchy point if terminating in first iteration.
if (iterCG_ == 1) {
tCP.set(t);
}
flagCG_ = 3;
if (infoTS_) {
std::stringstream hist;
hist << " trust-region condition active \n";
std::cout << hist.str();
}
return;
}
// Residual update.
xtemp->set(*(Hps[iterCG_-1]));
xtemp->scale(alpha);
// change r->plus(*gtemp);
r->plus(xtemp->dual());
if (orthocheck) {
// change rs.push_back(gvec_->clone());
rs.push_back(xvec_->clone());
// change (rs[iterCG_])->set(*r);
(rs[iterCG_])->set(r->dual());
}
iterCG_++;
} // while (iterCG_ < maxiterCG_)
flagCG_ = 1;
if (infoTS_) {
std::stringstream hist;
hist << " maximum number of iterations reached \n";
std::cout << hist.str();
}
} // solveTangentialSubproblem
/** \brief Check acceptance of subproblem solutions, adjust merit function penalty parameter, ensure global convergence.
*/
void accept(Vector<Real> &s, Vector<Real> &n, Vector<Real> &t, Real f_new, Vector<Real> &c_new,
Vector<Real> &gf_new, Vector<Real> &l_new, Vector<Real> &g_new,
const Vector<Real> &x, const Vector<Real> &l, Real f, const Vector<Real> &gf, const Vector<Real> &c,
const Vector<Real> &g, Vector<Real> &tCP, Vector<Real> &Wg,
Objective<Real> &obj, EqualityConstraint<Real> &con, AlgorithmState<Real> &algo_state) {
Real beta = 1e-8; // predicted reduction parameter
Real tol_red_tang = 1e-3; // internal reduction factor for tangtol
Real tol_red_all = 1e-1; // internal reduction factor for qntol, lmhtol, pgtol, projtol, tangtol
//bool glob_refine = true; // true - if subsolver tolerances are adjusted in this routine, keep adjusted values globally
// false - if subsolver tolerances are adjusted in this routine, discard adjusted values
Real tol_fdiff = 1e-12; // relative objective function difference for ared computation
int ct_max = 10; // maximum number of globalization tries
Real mintol = 1e-16; // smallest projection tolerance value
// Determines max value of |rpred|/pred.
Real rpred_over_pred = 0.5*(1-eta_);
if (infoAC_) {
std::stringstream hist;
hist << "\n Composite step acceptance\n";
std::cout << hist.str();
}
Real zero = 0.0;
Real one = 1.0;
Real two = 2.0;
Real half = one/two;
Real zerotol = std::sqrt(ROL_EPSILON<Real>());
std::vector<Real> augiters;
Real pred = zero;
Real ared = zero;
Real rpred = zero;
Real part_pred = zero;
Real linc_preproj = zero;
Real linc_postproj = zero;
Real tangtol_start = zero;
Real tangtol = tangtol_;
//Real projtol = projtol_;
bool flag = false;
int num_proj = 0;
bool try_tCP = false;
Real fdiff = zero;
Teuchos::RCP<Vector<Real> > xtrial = xvec_->clone();
Teuchos::RCP<Vector<Real> > Jl = gvec_->clone();
Teuchos::RCP<Vector<Real> > gfJl = gvec_->clone();
Teuchos::RCP<Vector<Real> > Jnc = cvec_->clone();
Teuchos::RCP<Vector<Real> > t_orig = xvec_->clone();
Teuchos::RCP<Vector<Real> > t_dual = gvec_->clone();
Teuchos::RCP<Vector<Real> > Jt_orig = cvec_->clone();
Teuchos::RCP<Vector<Real> > t_m_tCP = xvec_->clone();
Teuchos::RCP<Vector<Real> > ltemp = lvec_->clone();
Teuchos::RCP<Vector<Real> > xtemp = xvec_->clone();
Teuchos::RCP<Vector<Real> > rt = cvec_->clone();
Teuchos::RCP<Vector<Real> > Hn = gvec_->clone();
Teuchos::RCP<Vector<Real> > Hto = gvec_->clone();
Teuchos::RCP<Vector<Real> > cxxvec = gvec_->clone();
Teuchos::RCP<Vector<Real> > czero = cvec_->clone();
czero->zero();
Real Jnc_normsquared = zero;
Real c_normsquared = zero;
// Compute and store some quantities for later use. Necessary
// because of the function and constraint updates below.
con.applyAdjointJacobian(*Jl, l, x, zerotol);
con.applyJacobian(*Jnc, n, x, zerotol);
Jnc->plus(c);
Jnc_normsquared = Jnc->dot(*Jnc);
c_normsquared = c.dot(c);
for (int ct=0; ct<ct_max; ct++) {
try_tCP = true;
t_m_tCP->set(t);
t_m_tCP->scale(-one);
t_m_tCP->plus(tCP);
if (t_m_tCP->norm() == zero) {
try_tCP = false;
}
t_orig->set(t);
con.applyJacobian(*Jt_orig, *t_orig, x, zerotol);
linc_preproj = Jt_orig->norm();
pred = one;
rpred = two*rpred_over_pred*pred;
flag = false;
num_proj = 1;
tangtol_start = tangtol;
while (std::abs(rpred)/pred > rpred_over_pred) {
// Compute projected tangential step.
if (flag) {
tangtol = tol_red_tang*tangtol;
num_proj++;
if (tangtol < mintol) {
if (infoAC_) {
std::stringstream hist;
hist << "\n The projection of the tangential step cannot be done with sufficient precision.\n";
hist << " Is the quasi-normal step very small? Continuing with no global convergence guarantees.\n";
std::cout << hist.str();
}
break;
}
}
// Solve augmented system.
Real tol = setTolOSS(tangtol);
// change augiters = con.solveAugmentedSystem(t, *ltemp, *t_orig, *czero, x, tol);
t_dual->set(t_orig->dual());
augiters = con.solveAugmentedSystem(t, *ltemp, *t_dual, *czero, x, tol);
totalCallLS_++;
totalIterLS_ = totalIterLS_ + augiters.size();
printInfoLS(augiters);
totalProj_++;
con.applyJacobian(*rt, t, x, zerotol);
linc_postproj = rt->norm();
// Compute composite step.
s.set(t);
s.plus(n);
// Compute some quantities before updating the objective and the constraint.
obj.hessVec(*Hn, n, x, zerotol);
con.applyAdjointHessian(*cxxvec, l, n, x, zerotol);
Hn->plus(*cxxvec);
obj.hessVec(*Hto, *t_orig, x, zerotol);
con.applyAdjointHessian(*cxxvec, l, *t_orig, x, zerotol);
Hto->plus(*cxxvec);
// Compute objective, constraint, etc. values at the trial point.
xtrial->set(x);
xtrial->plus(s);
obj.update(*xtrial,false,algo_state.iter);
con.update(*xtrial,false,algo_state.iter);
f_new = obj.value(*xtrial, zerotol);
obj.gradient(gf_new, *xtrial, zerotol);
con.value(c_new, *xtrial, zerotol);
l_new.set(l);
computeLagrangeMultiplier(l_new, *xtrial, gf_new, con);
// Penalty parameter update.
part_pred = - Wg.dot(*t_orig);
gfJl->set(gf);
gfJl->plus(*Jl);
// change part_pred -= gfJl->dot(n);
part_pred -= n.dot(gfJl->dual());
// change part_pred -= half*Hn->dot(n);
part_pred -= half*n.dot(Hn->dual());
// change part_pred -= half*Hto->dot(*t_orig);
part_pred -= half*t_orig->dot(Hto->dual());
ltemp->set(l_new);
ltemp->axpy(-one, l);
// change part_pred -= Jnc->dot(*ltemp);
part_pred -= Jnc->dot(ltemp->dual());
if ( part_pred < -half*penalty_*(c_normsquared-Jnc_normsquared) ) {
penalty_ = ( -two * part_pred / (c_normsquared-Jnc_normsquared) ) + beta;
}
pred = part_pred + penalty_*(c_normsquared-Jnc_normsquared);
// Computation of rpred.
// change rpred = - ltemp->dot(*rt) - penalty_ * rt->dot(*rt) - two * penalty_ * rt->dot(*Jnc);
rpred = - rt->dot(ltemp->dual()) - penalty_ * rt->dot(*rt) - two * penalty_ * rt->dot(*Jnc);
// change Teuchos::RCP<Vector<Real> > lrt = lvec_->clone();
//lrt->set(*rt);
//rpred = - ltemp->dot(*rt) - penalty_ * std::pow(rt->norm(), 2) - two * penalty_ * lrt->dot(*Jnc);
flag = 1;
} // while (std::abs(rpred)/pred > rpred_over_pred)
tangtol = tangtol_start;
// Check if the solution of the tangential subproblem is
// disproportionally large compared to total trial step.
xtemp->set(n);
xtemp->plus(t);
if ( t_orig->norm()/xtemp->norm() < tntmax_ ) {
break;
}
else {
t_m_tCP->set(*t_orig);
t_m_tCP->scale(-one);
t_m_tCP->plus(tCP);
if ((t_m_tCP->norm() > 0) && try_tCP) {
if (infoAC_) {
std::stringstream hist;
hist << " ---> now trying tangential Cauchy point\n";
std::cout << hist.str();
}
t.set(tCP);
}
else {
if (infoAC_) {
std::stringstream hist;
hist << " ---> recomputing quasi-normal step and re-solving tangential subproblem\n";
std::cout << hist.str();
}
totalRef_++;
// Reset global quantities.
obj.update(x);
con.update(x);
/*lmhtol = tol_red_all*lmhtol;
qntol = tol_red_all*qntol;
pgtol = tol_red_all*pgtol;
projtol = tol_red_all*projtol;
tangtol = tol_red_all*tangtol;
if (glob_refine) {
lmhtol_ = lmhtol;
qntol_ = qntol;
pgtol_ = pgtol;
projtol_ = projtol;
tangtol_ = tangtol;
}*/
if (!tolOSSfixed_) {
lmhtol_ *= tol_red_all;
qntol_ *= tol_red_all;
pgtol_ *= tol_red_all;
projtol_ *= tol_red_all;
tangtol_ *= tol_red_all;
}
// Recompute the quasi-normal step.
computeQuasinormalStep(n, c, x, zeta_*Delta_, con);
// Solve tangential subproblem.
solveTangentialSubproblem(t, tCP, Wg, x, g, n, l, Delta_, obj, con);
totalIterCG_ += iterCG_;
if (flagCG_ == 1) {
totalNegCurv_++;
}
}
} // else w.r.t. ( t_orig->norm()/xtemp->norm() < tntmax )
} // for (int ct=0; ct<ct_max; ct++)
// Compute actual reduction;
fdiff = f - f_new;
// Heuristic 1: If fdiff is very small compared to f, set it to 0,
// in order to prevent machine precision issues.
Real em24(1e-24);
Real em14(1e-14);
if (std::abs(fdiff / (f+em24)) < tol_fdiff) {
fdiff = em14;
}
// change ared = fdiff + (l.dot(c) - l_new.dot(c_new)) + penalty_*(c.dot(c) - c_new.dot(c_new));
// change ared = fdiff + (l.dot(c) - l_new.dot(c_new)) + penalty_*(std::pow(c.norm(),2) - std::pow(c_new.norm(),2));
ared = fdiff + (c.dot(l.dual()) - c_new.dot(l_new.dual())) + penalty_*(c.dot(c) - c_new.dot(c_new));
// Store actual and predicted reduction.
ared_ = ared;
pred_ = pred;
// Store step and vector norms.
snorm_ = s.norm();
nnorm_ = n.norm();
tnorm_ = t.norm();
// Print diagnostics.
if (infoAC_) {
std::stringstream hist;
hist << "\n Trial step info ...\n";
hist << " n_norm = " << nnorm_ << "\n";
hist << " t_norm = " << tnorm_ << "\n";
hist << " s_norm = " << snorm_ << "\n";
hist << " xtrial_norm = " << xtrial->norm() << "\n";
hist << " f_old = " << f << "\n";
hist << " f_trial = " << f_new << "\n";
hist << " f_old-f_trial = " << f-f_new << "\n";
hist << " ||c_old|| = " << c.norm() << "\n";
hist << " ||c_trial|| = " << c_new.norm() << "\n";
hist << " ||Jac*t_preproj|| = " << linc_preproj << "\n";
hist << " ||Jac*t_postproj|| = " << linc_postproj << "\n";
hist << " ||t_tilde||/||t|| = " << t_orig->norm() / t.norm() << "\n";
hist << " ||t_tilde||/||n+t|| = " << t_orig->norm() / snorm_ << "\n";
hist << " # projections = " << num_proj << "\n";
hist << " penalty param = " << penalty_ << "\n";
hist << " ared = " << ared_ << "\n";
hist << " pred = " << pred_ << "\n";
hist << " ared/pred = " << ared_/pred_ << "\n";
std::cout << hist.str();
}
} // accept
}; // class CompositeStep
} // namespace ROL
#endif
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