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ConstrainedOptPack_MatrixSymPosDefLBFGS.hpp
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41 
42 #ifndef MATRIX_SYM_POS_DEF_LBFGS_H
43 #define MATRIX_SYM_POS_DEF_LBFGS_H
44 
45 #include <vector>
46 
54 
55 namespace ConstrainedOptPack {
56 
111  : public AbstractLinAlgPack::MatrixSymOpNonsing // doxygen needs full path
112  , public MatrixSymSecant
113 {
114 public:
115 
118 
121 
124  class PostMod {
125  public:
128  size_type m = 10
129  ,bool maintain_original = true
130  ,bool maintain_inverse = true
131  ,bool auto_rescaling = false
132  )
133  :m_(m)
136  ,auto_rescaling_(auto_rescaling)
137  {}
140  {
142  }
143  private:
148  }; // end PostMod
149 
151 
154 
157  size_type m = 10
158  ,bool maintain_original = true
159  ,bool maintain_inverse = true
160  ,bool auto_rescaling = false
161  );
162 
168  STANDARD_MEMBER_COMPOSITION_MEMBERS( bool, auto_rescaling );
169 
203  void initial_setup(
204  size_type m = 10
205  ,bool maintain_original = true
206  ,bool maintain_inverse = true
207  ,bool auto_rescaling = false
208  );
209 
210  // //////////////////////////////////
211  // Representation access
212 
214  size_type m() const;
216  size_type m_bar() const;
218  value_type gamma_k() const;
220  const multi_vec_ptr_t S() const;
222  const multi_vec_ptr_t Y() const;
224  bool maintain_original() const;
226  bool maintain_inverse() const;
231 
233 
236 
238  const VectorSpace& space_cols() const;
240  std::ostream& output(std::ostream& out) const;
242  MatrixOp& operator=(const MatrixOp& mwo);
244  void Vp_StMtV(
245  VectorMutable* v_lhs, value_type alpha, BLAS_Cpp::Transp trans_rhs1
246  , const Vector& v_rhs2, value_type beta ) const;
247 
249 
252 
254  void V_InvMtV(
255  VectorMutable* v_lhs, BLAS_Cpp::Transp trans_rhs1
256  , const Vector& v_rhs2 ) const;
257 
259 
262 
264  void init_identity( const VectorSpace& space_diag, value_type alpha );
271  void init_diagonal( const Vector& diag );
273  void secant_update(
274  VectorMutable *s
275  ,VectorMutable *y
276  ,VectorMutable *Bs
277  );
278 
280 
281 private:
282 
283  // //////////////////////////////////
284  // Private types
285 
286  typedef VectorSpace::multi_vec_mut_ptr_t multi_vec_mut_ptr_t;
287 
288  // //////////////////////////////////
289  // Private data members
290 
291  bool maintain_original_; // If true, qualities needed for Bk will be maintained
292  bool original_is_updated_;// If true, qualities needed for Bk are already updated
293  bool maintain_inverse_; // If true, quantities needed for Hk will be maintained
294  bool inverse_is_updated_; // If true, quantities needed for Hk are already updated
295 
296  VectorSpace::space_ptr_t
297  vec_spc_; // The vector space that everything is based on.
298 
299  size_type n_, // Size of the matrix. If 0 then is uninitialized
300  m_, // Maximum number of update vectors that can be stored.
301  m_bar_, // Current number of update vectors being stored.
302  // 0 <= m_bar <= m
303  num_secant_updates_; // Records the number of secant updates performed
304  value_type gamma_k_;// Scaling factor for Bo = (1/gamma_k) * I.
305 
307  S_, // (n x m) Matrix of stored update vectors = [ s1, ..., sm ]
308  // S(:,m_bar) is the most recently stored s update vector
309  Y_; // (n_max x m) Matrix of stored update vectors = [ y1, ..., ym ]
310  // Y(:,k_bar) is the most recently stored y update vector
311  DMatrix STY_, // (m x m) The matrix S'Y
312  STSYTY_;// ((m+1) x (m+1)) The strictly upper triangular part stores the
313  // upper triangular part Y'Y and the strictly lower triangular
314  // part stores the lower triangular part of S'S. The diagonal
315  // can be used for workspace.
316 
317  mutable bool Q_updated_; // True if Q has been updated for the most current update.
318  mutable DMatrix QJ_; // Used to store factorization of the schur complement of Q.
319 
320  // //////////////////////////////////
321  // Private member functions
322 
323  // Access to important matrices.
324 
326  const DMatrixSliceTri R() const;
328  const DMatrixSliceTri Lb() const;
330  DMatrixSlice STY();
332  const DMatrixSlice STY() const;
336  const DMatrixSliceSym STS() const;
340  const DMatrixSliceSym YTY() const;
342  void V_invQtV( DVectorSlice* y, const DVectorSlice& x ) const;
344  void Vp_DtV( DVectorSlice* y, const DVectorSlice& x ) const;
345 
346  // Updates
347 
349  void update_Q() const;
350 
352  void assert_initialized() const;
353 
354 }; // end class MatrixSymPosDefLBFGS
355 
356 // //////////////////////////////////////////////
357 // Inline member functions
358 
359 inline
361 {
362  return m_;
363 }
364 
365 inline
367 {
368  return m_bar_;
369 }
370 
371 inline
373 {
374  return gamma_k_;
375 }
376 
377 inline
380 {
381  return S_->mv_sub_view(1,n_,1,m_bar_);
382 }
383 
384 inline
387 {
388  return Y_->mv_sub_view(1,n_,1,m_bar_);
389 }
390 
391 inline
393 {
394  return maintain_original_;
395 }
396 
397 inline
399 {
400  return maintain_inverse_;
401 }
402 
403 inline
405 {
406  return num_secant_updates_;
407 }
408 
409 } // end namespace ConstrainedOptPack
410 
411 #endif // MATRIX_SYM_POS_DEF_LBFGS_H
void V_invQtV(DVectorSlice *y, const DVectorSlice &x) const
y = inv(Q) * x
const DMatrixSliceTri Lb() const
Strictly lower triangular part of L.
void init_identity(const VectorSpace &space_diag, value_type alpha)
AbstractLinAlgPack::size_type size_type
Abstract base class for all polymorphic symmetrix nonsingular matrices that can be used to compute ma...
void secant_update(VectorMutable *s, VectorMutable *y, VectorMutable *Bs)
void initial_setup(size_type m=10, bool maintain_original=true, bool maintain_inverse=true, bool auto_rescaling=false)
Initial setup for the matrix.
PostMod(size_type m=10, bool maintain_original=true, bool maintain_inverse=true, bool auto_rescaling=false)
void V_InvMtV(VectorMutable *v_lhs, BLAS_Cpp::Transp trans_rhs1, const Vector &v_rhs2) const
MatrixSymPosDefLBFGS(size_type m=10, bool maintain_original=true, bool maintain_inverse=true, bool auto_rescaling=false)
Calls this->initial_setup()
void init_diagonal(const Vector &diag)
Actually this calls init_identity( diag.space(), diag.norm_inf() ).
PostMod class to use with MemMngPack::AbstractFactorStd.
STANDARD_MEMBER_COMPOSITION_MEMBERS(bool, auto_rescaling)
Set whether automatic rescaling is used or not.
std::ostream * out
DenseLinAlgPack::VectorSliceTmpl< value_type > DVectorSlice
void Vp_StMtV(VectorMutable *v_lhs, value_type alpha, BLAS_Cpp::Transp trans_rhs1, const Vector &v_rhs2, value_type beta) const
Implementation of limited Memory BFGS matrix for arbitrary vector spaces.
AbstractLinAlgPack::value_type value_type
DenseLinAlgPack::DMatrixSliceTri DMatrixSliceTri
size_type num_secant_updates() const
Returns the total number of successful secant updates performed since this->init_identity() was calle...
DenseLinAlgPack::DMatrixSlice DMatrixSlice
DenseLinAlgPack::DMatrixSliceSym DMatrixSliceSym
Transp
TRANS.
void Vp_DtV(DVectorSlice *y, const DVectorSlice &x) const
y += D * x