ROL
ROL_BackTracking.hpp
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43 
44 #ifndef ROL_BACKTRACKING_H
45 #define ROL_BACKTRACKING_H
46 
51 namespace ROL {
52 
53 template<class Real>
54 class BackTracking : public LineSearch<Real> {
55 private:
56  Real rho_;
57  Teuchos::RCP<Vector<Real> > xnew_;
58 
59 public:
60 
61  virtual ~BackTracking() {}
62 
63  // Constructor
64  BackTracking( Teuchos::ParameterList &parlist ) : LineSearch<Real>(parlist) {
65  rho_ = parlist.get("Backtracking Rate",0.5);
66  }
67 
68  void initialize( const Vector<Real> &x, const Vector<Real> &s, const Vector<Real> &g,
70  LineSearch<Real>::initialize(x,s,g,obj,con);
71  xnew_ = x.clone();
72  }
73 
74  void run( Real &alpha, Real &fval, int &ls_neval, int &ls_ngrad,
75  const Real &gs, const Vector<Real> &s, const Vector<Real> &x,
77  Real tol = std::sqrt(ROL_EPSILON);
78  ls_neval = 0;
79  ls_ngrad = 0;
80  // Get initial line search parameter
81  alpha = LineSearch<Real>::getInitialAlpha(ls_neval,ls_ngrad,fval,gs,x,s,obj,con);
82  // Update iterate
83  LineSearch<Real>::updateIterate(*xnew_,x,s,alpha,con);
84  // Get objective value at xnew
85  Real fold = fval;
86  obj.update(*xnew_);
87  fval = obj.value(*xnew_,tol);
88  ls_neval++;
89  // Perform backtracking
90  while ( !LineSearch<Real>::status(LINESEARCH_BACKTRACKING,ls_neval,ls_ngrad,alpha,fold,gs,fval,*xnew_,s,obj,con) ) {
91  alpha *= rho_;
92  // Update iterate
93  LineSearch<Real>::updateIterate(*xnew_,x,s,alpha,con);
94  // Get objective value at xnew
95  obj.update(*xnew_);
96  fval = obj.value(*xnew_,tol);
97  ls_neval++;
98  }
99  }
100 };
101 
102 }
103 
104 #endif
Provides the interface to evaluate objective functions.
void run(Real &alpha, Real &fval, int &ls_neval, int &ls_ngrad, const Real &gs, const Vector< Real > &s, const Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &con)
void updateIterate(Vector< Real > &xnew, const Vector< Real > &x, const Vector< Real > &s, Real alpha, BoundConstraint< Real > &con)
void initialize(const Vector< Real > &x, const Vector< Real > &s, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &con)
virtual Real getInitialAlpha(int &ls_neval, int &ls_ngrad, const Real fval, const Real gs, const Vector< Real > &x, const Vector< Real > &s, Objective< Real > &obj, BoundConstraint< Real > &con)
virtual Real value(const Vector< Real > &x, Real &tol)=0
Compute value.
virtual Teuchos::RCP< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:72
Provides interface for and implements line searches.
BackTracking(Teuchos::ParameterList &parlist)
Implements a simple back tracking line search.
Provides the interface to apply upper and lower bound constraints.
virtual void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
Teuchos::RCP< Vector< Real > > xnew_
virtual void initialize(const Vector< Real > &x, const Vector< Real > &s, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &con)
static const double ROL_EPSILON
Platform-dependent machine epsilon.
Definition: ROL_Types.hpp:115