/usr/include/trilinos/ROL_EqualityConstraint.hpp is in libtrilinos-rol-dev 12.12.1-5.
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// ************************************************************************
//
// Rapid Optimization Library (ROL) Package
// Copyright (2014) Sandia Corporation
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#ifndef ROL_EQUALITY_CONSTRAINT_H
#define ROL_EQUALITY_CONSTRAINT_H
#include "ROL_Vector.hpp"
#include "ROL_Types.hpp"
#include "Teuchos_SerialDenseMatrix.hpp"
#include "Teuchos_SerialDenseVector.hpp"
#include "Teuchos_LAPACK.hpp"
#include <iostream>
/** @ingroup func_group
\class ROL::EqualityConstraint
\brief Defines the equality constraint operator interface.
ROL's equality constraint interface is designed for Fréchet differentiable
operators \f$c:\mathcal{X} \rightarrow \mathcal{C}\f$, where \f$\mathcal{X}\f$
and \f$\mathcal{C}\f$ are Banach spaces. The constraints are of the form
\f[
c(x) = 0 \,.
\f]
The basic operator interface, to be
implemented by the user, requires:
\li #value -- constraint evaluation.
It is strongly recommended that the user additionally overload:
\li #applyJacobian -- action of the constraint Jacobian --the default is
a finite-difference approximation;
\li #applyAdjointJacobian -- action of the adjoint of the constraint Jacobian --the default is
a finite-difference approximation.
The user may also overload:
\li #applyAdjointHessian -- action of the adjoint of the constraint Hessian --the default
is a finite-difference approximation based on the adjoint Jacobian;
\li #solveAugmentedSystem -- solution of the augmented system --the default is an iterative
scheme based on the action of the Jacobian and its adjoint.
\li #applyPreconditioner -- action of a constraint preconditioner --the default is null-op.
---
*/
namespace ROL {
template <class Real>
class EqualityConstraint {
private:
bool activated_;
public:
virtual ~EqualityConstraint() {}
/** \brief Evaluate the constraint operator \f$c:\mathcal{X} \rightarrow \mathcal{C}\f$
at \f$x\f$.
@param[out] c is the result of evaluating the constraint operator at @b x; a constraint-space vector
@param[in] x is the constraint argument; an optimization-space vector
@param[in,out] tol is a tolerance for inexact evaluations; currently unused
On return, \f$\mathsf{c} = c(x)\f$,
where \f$\mathsf{c} \in \mathcal{C}\f$, \f$\mathsf{x} \in \mathcal{X}\f$.
---
*/
virtual void value(Vector<Real> &c,
const Vector<Real> &x,
Real &tol) = 0;
/** \brief Apply the constraint Jacobian at \f$x\f$, \f$c'(x) \in L(\mathcal{X}, \mathcal{C})\f$,
to vector \f$v\f$.
@param[out] jv is the result of applying the constraint Jacobian to @b v at @b x; a constraint-space vector
@param[in] v is an optimization-space vector
@param[in] x is the constraint argument; an optimization-space vector
@param[in,out] tol is a tolerance for inexact evaluations; currently unused
On return, \f$\mathsf{jv} = c'(x)v\f$, where
\f$v \in \mathcal{X}\f$, \f$\mathsf{jv} \in \mathcal{C}\f$. \n\n
The default implementation is a finite-difference approximation.
---
*/
virtual void applyJacobian(Vector<Real> &jv,
const Vector<Real> &v,
const Vector<Real> &x,
Real &tol);
/** \brief Apply the adjoint of the the constraint Jacobian at \f$x\f$, \f$c'(x)^* \in L(\mathcal{C}^*, \mathcal{X}^*)\f$,
to vector \f$v\f$.
@param[out] ajv is the result of applying the adjoint of the constraint Jacobian to @b v at @b x; a dual optimization-space vector
@param[in] v is a dual constraint-space vector
@param[in] x is the constraint argument; an optimization-space vector
@param[in,out] tol is a tolerance for inexact evaluations; currently unused
On return, \f$\mathsf{ajv} = c'(x)^*v\f$, where
\f$v \in \mathcal{C}^*\f$, \f$\mathsf{ajv} \in \mathcal{X}^*\f$. \n\n
The default implementation is a finite-difference approximation.
---
*/
virtual void applyAdjointJacobian(Vector<Real> &ajv,
const Vector<Real> &v,
const Vector<Real> &x,
Real &tol);
/** \brief Apply the adjoint of the the constraint Jacobian at \f$x\f$, \f$c'(x)^* \in L(\mathcal{C}^*, \mathcal{X}^*)\f$,
to vector \f$v\f$.
@param[out] ajv is the result of applying the adjoint of the constraint Jacobian to @b v at @b x; a dual optimization-space vector
@param[in] v is a dual constraint-space vector
@param[in] x is the constraint argument; an optimization-space vector
@param[in] dualv is a vector used for temporary variables; a constraint-space vector
@param[in,out] tol is a tolerance for inexact evaluations; currently unused
On return, \f$\mathsf{ajv} = c'(x)^*v\f$, where
\f$v \in \mathcal{C}^*\f$, \f$\mathsf{ajv} \in \mathcal{X}^*\f$. \n\n
The default implementation is a finite-difference approximation.
---
*/
virtual void applyAdjointJacobian(Vector<Real> &ajv,
const Vector<Real> &v,
const Vector<Real> &x,
const Vector<Real> &dualv,
Real &tol);
/** \brief Apply the derivative of the adjoint of the constraint Jacobian at \f$x\f$
to vector \f$u\f$ in direction \f$v\f$,
according to \f$ v \mapsto c''(x)(v,\cdot)^*u \f$.
@param[out] ahuv is the result of applying the derivative of the adjoint of the constraint Jacobian at @b x to vector @b u in direction @b v; a dual optimization-space vector
@param[in] u is the direction vector; a dual constraint-space vector
@param[in] v is an optimization-space vector
@param[in] x is the constraint argument; an optimization-space vector
@param[in,out] tol is a tolerance for inexact evaluations; currently unused
On return, \f$ \mathsf{ahuv} = c''(x)(v,\cdot)^*u \f$, where
\f$u \in \mathcal{C}^*\f$, \f$v \in \mathcal{X}\f$, and \f$\mathsf{ahuv} \in \mathcal{X}^*\f$. \n\n
The default implementation is a finite-difference approximation based on the adjoint Jacobian.
---
*/
virtual void applyAdjointHessian(Vector<Real> &ahuv,
const Vector<Real> &u,
const Vector<Real> &v,
const Vector<Real> &x,
Real &tol);
/** \brief Approximately solves the <em> augmented system </em>
\f[
\begin{pmatrix}
I & c'(x)^* \\
c'(x) & 0
\end{pmatrix}
\begin{pmatrix}
v_{1} \\
v_{2}
\end{pmatrix}
=
\begin{pmatrix}
b_{1} \\
b_{2}
\end{pmatrix}
\f]
where \f$v_{1} \in \mathcal{X}\f$, \f$v_{2} \in \mathcal{C}^*\f$,
\f$b_{1} \in \mathcal{X}^*\f$, \f$b_{2} \in \mathcal{C}\f$,
\f$I : \mathcal{X} \rightarrow \mathcal{X}^*\f$ is an identity or Riesz
operator, and \f$0 : \mathcal{C}^* \rightarrow \mathcal{C}\f$
is a zero operator.
@param[out] v1 is the optimization-space component of the result
@param[out] v2 is the dual constraint-space component of the result
@param[in] b1 is the dual optimization-space component of the right-hand side
@param[in] b2 is the constraint-space component of the right-hand side
@param[in] x is the constraint argument; an optimization-space vector
@param[in,out] tol is the nominal relative residual tolerance
On return, \f$ [\mathsf{v1} \,\, \mathsf{v2}] \f$ approximately
solves the augmented system, where the size of the residual is
governed by special stopping conditions. \n\n
The default implementation is the preconditioned generalized
minimal residual (GMRES) method, which enables the use of
nonsymmetric preconditioners.
---
*/
virtual std::vector<Real> solveAugmentedSystem(Vector<Real> &v1,
Vector<Real> &v2,
const Vector<Real> &b1,
const Vector<Real> &b2,
const Vector<Real> &x,
Real &tol);
/** \brief Apply a constraint preconditioner at \f$x\f$, \f$P(x) \in L(\mathcal{C}, \mathcal{C}^*)\f$,
to vector \f$v\f$. Ideally, this preconditioner satisfies the following relationship:
\f[
\left[c'(x) \circ R \circ c'(x)^* \circ P(x)\right] v = v \,,
\f]
where R is the appropriate Riesz map in \f$L(\mathcal{X}^*, \mathcal{X})\f$. It is used by the #solveAugmentedSystem method.
@param[out] pv is the result of applying the constraint preconditioner to @b v at @b x; a dual constraint-space vector
@param[in] v is a constraint-space vector
@param[in] x is the preconditioner argument; an optimization-space vector
@param[in] g is the preconditioner argument; a dual optimization-space vector, unused
@param[in,out] tol is a tolerance for inexact evaluations
On return, \f$\mathsf{pv} = P(x)v\f$, where
\f$v \in \mathcal{C}\f$, \f$\mathsf{pv} \in \mathcal{C}^*\f$. \n\n
The default implementation is the Riesz map in \f$L(\mathcal{C}, \mathcal{C}^*)\f$.
---
*/
virtual void applyPreconditioner(Vector<Real> &pv,
const Vector<Real> &v,
const Vector<Real> &x,
const Vector<Real> &g,
Real &tol) {
pv.set(v.dual());
}
EqualityConstraint(void) : activated_(true) {}
/** \brief Update constraint functions.
x is the optimization variable,
flag = true if optimization variable is changed,
iter is the outer algorithm iterations count.
*/
virtual void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {}
/** \brief Check if the vector, v, is feasible
*/
virtual bool isFeasible( const Vector<Real> &v ) { return true; }
/** \brief Turn on constraints
*/
void activate(void) { this->activated_ = true; }
/** \brief Turn off constraints
*/
void deactivate(void) { this->activated_ = false; }
/** \brief Check if constraints are on
*/
bool isActivated(void) { return this->activated_; }
/** \brief Finite-difference check for the constraint Jacobian application.
Details here.
*/
virtual std::vector<std::vector<Real> > checkApplyJacobian( const Vector<Real> &x,
const Vector<Real> &v,
const Vector<Real> &jv,
const std::vector<Real> &steps,
const bool printToStream = true,
std::ostream & outStream = std::cout,
const int order = 1 ) ;
/** \brief Finite-difference check for the constraint Jacobian application.
Details here.
*/
virtual std::vector<std::vector<Real> > checkApplyJacobian( const Vector<Real> &x,
const Vector<Real> &v,
const Vector<Real> &jv,
const bool printToStream = true,
std::ostream & outStream = std::cout,
const int numSteps = ROL_NUM_CHECKDERIV_STEPS,
const int order = 1 ) ;
/** \brief Finite-difference check for the application of the adjoint of constraint Jacobian.
Details here. (This function should be deprecated)
*/
virtual std::vector<std::vector<Real> > checkApplyAdjointJacobian(const Vector<Real> &x,
const Vector<Real> &v,
const Vector<Real> &c,
const Vector<Real> &ajv,
const bool printToStream = true,
std::ostream & outStream = std::cout,
const int numSteps = ROL_NUM_CHECKDERIV_STEPS ) ;
/* \brief Check the consistency of the Jacobian and its adjoint. Verify that the deviation
\f$|\langle w^\top,Jv\rangle-\langle adj(J)w,v|\f$ is sufficiently small.
@param[in] w is a dual constraint-space vector \f$w\in \mathcal{C}^\ast\f$
@param[in] v is an optimization space vector \f$v\in \mathcal{X}\f$
@param[in] x is the constraint argument \f$x\in\mathcal{X}\f$
@param[in] printToStream is is a flag that turns on/off output
@param[in] outStream is the output stream
Returns the deviation.
*/
virtual Real checkAdjointConsistencyJacobian(const Vector<Real> &w,
const Vector<Real> &v,
const Vector<Real> &x,
const bool printToStream = true,
std::ostream & outStream = std::cout) {
return checkAdjointConsistencyJacobian(w, v, x, w.dual(), v.dual(), printToStream, outStream);
}
virtual Real checkAdjointConsistencyJacobian(const Vector<Real> &w,
const Vector<Real> &v,
const Vector<Real> &x,
const Vector<Real> &dualw,
const Vector<Real> &dualv,
const bool printToStream = true,
std::ostream & outStream = std::cout);
/** \brief Finite-difference check for the application of the adjoint of constraint Hessian.
Details here.
*/
virtual std::vector<std::vector<Real> > checkApplyAdjointHessian(const Vector<Real> &x,
const Vector<Real> &u,
const Vector<Real> &v,
const Vector<Real> &hv,
const std::vector<Real> &step,
const bool printToScreen = true,
std::ostream & outStream = std::cout,
const int order = 1 ) ;
/** \brief Finite-difference check for the application of the adjoint of constraint Hessian.
Details here.
*/
virtual std::vector<std::vector<Real> > checkApplyAdjointHessian(const Vector<Real> &x,
const Vector<Real> &u,
const Vector<Real> &v,
const Vector<Real> &hv,
const bool printToScreen = true,
std::ostream & outStream = std::cout,
const int numSteps = ROL_NUM_CHECKDERIV_STEPS,
const int order = 1 ) ;
// Definitions for parametrized (stochastic) equality constraints
private:
std::vector<Real> param_;
protected:
const std::vector<Real> getParameter(void) const {
return param_;
}
public:
virtual void setParameter(const std::vector<Real> ¶m) {
param_.assign(param.begin(),param.end());
}
}; // class EqualityConstraint
} // namespace ROL
#include "ROL_EqualityConstraintDef.hpp"
#endif
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