BelosLSQRIter.hpp

Go to the documentation of this file.

// @HEADER
// *****************************************************************************
//                 Belos: Block Linear Solvers Package
//
// Copyright 2004-2016 NTESS and the Belos contributors.
// SPDX-License-Identifier: BSD-3-Clause
// *****************************************************************************
// @HEADER

#ifndef BELOS_LSQR_ITER_HPP
#define BELOS_LSQR_ITER_HPP

#include "BelosConfigDefs.hpp"
#include "BelosTypes.hpp"
#include "BelosLSQRIteration.hpp"

#include "BelosLinearProblem.hpp"
#include "BelosOutputManager.hpp"
#include "BelosStatusTest.hpp"
#include "BelosOperatorTraits.hpp"
#include "BelosMultiVecTraits.hpp"

#include "Teuchos_SerialDenseMatrix.hpp"
#include "Teuchos_SerialDenseVector.hpp"
#include "Teuchos_ScalarTraits.hpp"
#include "Teuchos_ParameterList.hpp"
#include "Teuchos_TimeMonitor.hpp"

namespace Belos {

template<class ScalarType, class MV, class OP>
class LSQRIter : virtual public Belos::Iteration<ScalarType,MV,OP> {

  public:

  //
  // Convenience typedefs
  //
  typedef Belos::MultiVecTraits<ScalarType,MV> MVT;
  typedef Belos::OperatorTraits<ScalarType,MV,OP> OPT;
  typedef Teuchos::ScalarTraits<ScalarType> SCT;
  typedef typename SCT::magnitudeType MagnitudeType;



  LSQRIter( const Teuchos::RCP<Belos::LinearProblem<ScalarType,MV,OP> > &problem,
      const Teuchos::RCP<Belos::OutputManager<ScalarType> > &printer,
      const Teuchos::RCP<Belos::StatusTest<ScalarType,MV,OP> > &tester,
      Teuchos::ParameterList &params );

// If either blocks or reorthogonalization exist, then
//                  const Teuchos::RCP<MatOrthoManager<ScalarType,MV,OP> > &ortho,


  virtual ~LSQRIter() {};




  void iterate();

  void initializeLSQR(LSQRIterationState<ScalarType,MV>& newstate);

  void initialize()
  {
    LSQRIterationState<ScalarType,MV> empty;
    initializeLSQR(empty);
  }

  LSQRIterationState<ScalarType,MV> getState() const {
    LSQRIterationState<ScalarType,MV> state;
    state.U = U_;  // right Lanczos vector
    state.V = V_;  // left  Lanczos vector
    state.W = W_;  // OP * V
    state.lambda = lambda_;
    state.resid_norm = resid_norm_;
    state.frob_mat_norm = frob_mat_norm_;
    state.mat_cond_num = mat_cond_num_;
    state.mat_resid_norm = mat_resid_norm_;
    state.sol_norm = sol_norm_;
    state.bnorm = bnorm_;
    return state;
  }





  int getNumIters() const { return iter_; }

  void resetNumIters( int iter = 0 ) { iter_ = iter; }

  Teuchos::RCP<const MV> getNativeResiduals( std::vector<MagnitudeType> * /* norms */ ) const { return Teuchos::null; }


  Teuchos::RCP<MV> getCurrentUpdate() const { return Teuchos::null; }




  const Belos::LinearProblem<ScalarType,MV,OP>& getProblem() const { return *lp_; }

  int getBlockSize() const { return 1; }


  //This is unique to single vector methods.
  void setBlockSize(int blockSize) {
    TEUCHOS_TEST_FOR_EXCEPTION(blockSize!=1,std::invalid_argument,
           "LSQRIter::setBlockSize(): Cannot use a block size that is not one.");
  }

  bool isInitialized() { return initialized_; }


  private:

  //
  // Internal methods
  //
  void setStateSize();

  //
  // Classes inputed through constructor that define the linear problem to be solved.
  //
  const Teuchos::RCP<Belos::LinearProblem<ScalarType,MV,OP> >    lp_;
  const Teuchos::RCP<Belos::OutputManager<ScalarType> >          om_;
  const Teuchos::RCP<Belos::StatusTest<ScalarType,MV,OP> >       stest_;
//  const Teuchos::RCP<OrthoManager<ScalarType,MV> >        ortho_;

  //
  // Current solver state
  //
  // initialized_ specifies that the basis vectors have been initialized and the iterate()
  // routine is capable of running; _initialize is controlled  by the initialize() member
  // method.  For the implications of the state of initialized_, please see documentation
  // for initialize()
  bool initialized_;

  // stateStorageInitialized_ specifies that the state storage has been initialized.
  // This initialization may be postponed if the linear problem was generated without
  // the right-hand side or solution vectors.
  bool stateStorageInitialized_;

  // Current number of iterations performed.
  int iter_;

  //
  // State Storage
  //
  //
  // Bidiagonalization vector
  Teuchos::RCP<MV> U_;
  //
  // Bidiagonalization vector
  Teuchos::RCP<MV> V_;
  //
  // Direction vector
  Teuchos::RCP<MV> W_;
  //
  // Damping value
  MagnitudeType lambda_;
  //
  // Residual norm estimate
  ScalarType resid_norm_;
  //
  // Frobenius norm estimate
  ScalarType frob_mat_norm_;
  //
  // Condition number estimate
  ScalarType mat_cond_num_;
  //
  // A^T*resid norm estimate
  ScalarType mat_resid_norm_;
  //
  // Solution norm estimate
  ScalarType sol_norm_;
  //
  // RHS norm
  ScalarType bnorm_;

};

  // Constructor.

//                                     const Teuchos::RCP<MatOrthoManager<ScalarType,MV,OP> > &ortho,

  template<class ScalarType, class MV, class OP>
  LSQRIter<ScalarType,MV,OP>::LSQRIter(const Teuchos::RCP<Belos::LinearProblem<ScalarType,MV,OP> > &problem,
               const Teuchos::RCP<Belos::OutputManager<ScalarType> > &printer,
               const Teuchos::RCP<Belos::StatusTest<ScalarType,MV,OP> > &tester,
               Teuchos::ParameterList &params ):
    lp_(problem),
    om_(printer),
    stest_(tester),
    initialized_(false),
    stateStorageInitialized_(false),
    iter_(0),
    lambda_(params.get<MagnitudeType> ("Lambda")),
    resid_norm_(0.0),
    frob_mat_norm_(0.0),
    mat_cond_num_(0.0),
    mat_resid_norm_(0.0),
    sol_norm_(0.0),
    bnorm_(0.0)
  {
  }

  // Setup the state storage.
  template <class ScalarType, class MV, class OP>
  void LSQRIter<ScalarType,MV,OP>::setStateSize ()
  {
    if (!stateStorageInitialized_) {
      // Check if there is any multivector to clone from.
      Teuchos::RCP<const MV> rhsMV = lp_->getInitPrecResVec();
      Teuchos::RCP<const MV> lhsMV = lp_->getLHS();
      if (lhsMV == Teuchos::null || rhsMV == Teuchos::null) {
  stateStorageInitialized_ = false;
  return;
      }
      else {
  // Initialize the state storage
  // If the subspace has not been initialized before, generate it
        // using the LHS and RHS from lp_.
  if (U_ == Teuchos::null) {
    // Get the multivectors.
    TEUCHOS_TEST_FOR_EXCEPTION(rhsMV == Teuchos::null, std::invalid_argument, "LSQRIter::setStateSize(): linear problem does not specify right hand multivector to clone from.");
    TEUCHOS_TEST_FOR_EXCEPTION(lhsMV == Teuchos::null, std::invalid_argument, "LSQRIter::setStateSize(): linear problem does not specify left hand multivector to clone from.");

    U_ = MVT::Clone( *rhsMV, 1 ); // LeftPrecond * rhs
    V_ = MVT::Clone( *lhsMV, 1 ); // zero, overwrittein in
    W_ = MVT::Clone( *lhsMV, 1 ); // zero, initializeLSQR
  }

  // State storage has now been initialized.
  stateStorageInitialized_ = true;
      }
    }
  }


  // Initialize this iteration object
  template <class ScalarType, class MV, class OP>
  void LSQRIter<ScalarType,MV,OP>::initializeLSQR(LSQRIterationState<ScalarType,MV>& /* newstate */)
  {
    using Teuchos::RCP;

    // Initialize the state storage if it isn't already.
    if (!stateStorageInitialized_)
      setStateSize();

    TEUCHOS_TEST_FOR_EXCEPTION(!stateStorageInitialized_,std::invalid_argument,
           "LSQRIter::initialize(): Cannot initialize state storage!");

    std::string errstr("LSQRIter::initialize(): Specified multivectors must have a consistent length and width.");


    // Compute initial bidiagonalization vectors and search direction
    //
    RCP<const MV> lhsMV = lp_->getLHS(); // contains initial guess,

    const bool debugSerialLSQR = false;

    if( debugSerialLSQR )
      {
        std::vector<typename Teuchos::ScalarTraits<ScalarType>::magnitudeType> lhsNorm(1);
        MVT::MvNorm( *lhsMV, lhsNorm );
        std::cout << "initializeLSQR lhsNorm " << lhsNorm[0] << std::endl;
      }

    // LinearProlbem provides right-hand side vectors including RHS CurrRHSVec InitResVec.
    RCP<const MV> rhsMV = lp_->getInitPrecResVec();
    const ScalarType zero = Teuchos::ScalarTraits<ScalarType>::zero();
    const ScalarType one = Teuchos::ScalarTraits<ScalarType>::one();
    MVT::MvAddMv( one, *rhsMV, zero, *U_, *U_);

    RCP<const OP> M_left = lp_->getLeftPrec();
    RCP<const OP> A = lp_->getOperator();
    RCP<const OP> M_right = lp_->getRightPrec();

    if( debugSerialLSQR )
      {
        std::vector<typename Teuchos::ScalarTraits<ScalarType>::magnitudeType> rhsNorm(1);
        MVT::MvNorm( *U_, rhsNorm );
        std::cout << "initializeLSQR | U_ | : " << rhsNorm[0] << std::endl;
        //U_->Print(std::cout);
      }

    //MVT::MvScale( *V_, zero );

    // Apply the (conjugate) transpose of the preconditioned operator:
    //
    // V := (M_L A M_R)^* U, which means
    // V := M_R^* (A^* (M_L^* U)).
    //
    //OPT::Apply(*(lp_->getOperator()), *U_, *V_, CONJTRANS);
    if ( M_left.is_null())
      {
        OPT::Apply (*A, *U_, *V_, CONJTRANS); // V_ = A' U_
        //std::cout << "***************  V_ ****************" << std::endl;
        //V_->Print(std::cout);
      }
    else
      {
        RCP<MV> tempInRangeOfA = MVT::CloneCopy (*U_);
        OPT::Apply (*M_left, *U_, *tempInRangeOfA, CONJTRANS);
        OPT::Apply (*A, *tempInRangeOfA, *V_, CONJTRANS); // V_ = A' LeftPrec' U_
        //std::cout << "mLeft  V_ = " << *V_ << std::endl;
      }
    if (! M_right.is_null())
      {
        RCP<MV> tempInDomainOfA = MVT::CloneCopy (*V_);

        OPT::Apply (*M_right, *tempInDomainOfA, *V_, CONJTRANS); // V:= RtPrec' A' LeftPrec' U
        //std::cout << "mRight  V_ = " << *V_ << std::endl;
      }

    // W := V (copy the vector)
    MVT::MvAddMv( one, *V_, zero, *V_, *W_);

    frob_mat_norm_ = zero; // These are
    mat_cond_num_ = one;   // lower
    sol_norm_ = zero;      // bounds.

    // The solver is initialized.
    initialized_ = true;
  }


  // Iterate until the status test informs us we should stop.
  template <class ScalarType, class MV, class OP>
  void LSQRIter<ScalarType,MV,OP>::iterate()
  {
    //
    // Allocate/initialize data structures
    //
    if (initialized_ == false) {
      initialize();
    }

    // Create convenience variables for zero and one.
    const ScalarType one = Teuchos::ScalarTraits<ScalarType>::one();
    const MagnitudeType MTzero = Teuchos::ScalarTraits<MagnitudeType>::zero();
    const ScalarType zero = Teuchos::ScalarTraits<ScalarType>::zero();

    // Allocate memory for scalars.
    std::vector<typename Teuchos::ScalarTraits<ScalarType>::magnitudeType> alpha(1);
    std::vector<typename Teuchos::ScalarTraits<ScalarType>::magnitudeType> beta(1);
    std::vector<typename Teuchos::ScalarTraits<ScalarType>::magnitudeType> xi(1);
    // xi is a dumb scalar used for storing inner products.
    // Eventually SDM will replace the "vectors".
    std::vector<typename Teuchos::ScalarTraits<ScalarType>::magnitudeType> wnorm2(1);
    ScalarType rhobar, phibar, cs1, phi, rho, cs, sn, theta, xxnorm = MTzero, common;
    ScalarType zetabar, sn1, psi, res = zero, ddnorm = zero, gamma, tau;
    ScalarType anorm2 = zero;
    ScalarType cs2 = -one, sn2 = zero, gammabar, zeta = zero, delta;

    // The pair of work vectors AV and AtU are
    Teuchos::RCP<MV> AV; // used in applying A to V_ and
    AV = MVT::Clone( *U_, 1);
    Teuchos::RCP<MV> AtU; // used in applying A^TRANS to U_ respectively.
    AtU = MVT::Clone( *V_, 1);
    const bool debugSerialLSQR = false;

    // Get the current solution vector.
    Teuchos::RCP<MV> cur_soln_vec = lp_->getCurrLHSVec();


    // Check that the current solution vector only has one column.
    TEUCHOS_TEST_FOR_EXCEPTION( MVT::GetNumberVecs(*cur_soln_vec) != 1, LSQRIterateFailure,
                        "LSQRIter::iterate(): current linear system has more than one vector!" );

    // In initializeLSQR among other things V = A' U.
    // alpha and beta normalize these vectors.
    MVT::MvNorm( *U_, beta );
    if( SCT::real(beta[0]) >  zero  )
      {
        MVT::MvScale( *U_, one / beta[0] );

        //std::cout << "***************  U/beta ****************" << std::endl;
        //U_->Print(std::cout);

        MVT::MvScale( *V_, one / beta[0] );  // scale V = A'U to normalize U

        //std::cout << "***************  V/beta ****************" << std::endl;
        //V_->Print(std::cout);
      }
    MVT::MvNorm( *V_, alpha );
    if( debugSerialLSQR )
      {
         // used to compare with implementations
         // initializing mat_resid_norm to alpha/beta
         std::cout << iter_ << " First alpha " << alpha[0]   << " beta " << beta[0] << " lambda " << lambda_ << std::endl;
      }
    if( SCT::real(alpha[0]) >  zero  )
      {
        MVT::MvScale( *V_, one / alpha[0] ); // V alpha = A' U to normalize V
      }
    if( beta[0] * alpha[0] >  zero  )
      {
        MVT::MvScale( *W_, one / (beta[0] * alpha[0]) ); // W = V
      }
    else
      {
        MVT::MvScale( *W_, zero  );
      }

    using Teuchos::RCP;
    RCP<const OP> M_left = lp_->getLeftPrec();
    RCP<const OP> A = lp_->getOperator();
    RCP<const OP> M_right = lp_->getRightPrec();

    rhobar = alpha[0];
    phibar = beta[0];
    bnorm_ = beta[0];
    resid_norm_ = beta[0];
    mat_resid_norm_ = alpha[0] * beta[0];


    // Iterate until the status test tells us to stop.
    //
    while (stest_->checkStatus(this) != Belos::Passed) {
      // Increment the iteration
      iter_++;

      // Perform the next step of the bidiagonalization.
      // The next U_ and V_ vectors and scalars alpha and beta satisfy
      // U_ betaNew := AV - U_ alphaOld ...

      if ( M_right.is_null() )
        {
          OPT::Apply(*A, *V_, *AV); // AV := A * V_
        }
      else
        {
          RCP<MV> tempInDomainOfA = MVT::CloneCopy (*V_);
          OPT::Apply (*M_right, *V_, *tempInDomainOfA);
          OPT::Apply(*A, *tempInDomainOfA, *AV);
        }

      if (! M_left.is_null())
        {
          RCP<MV> tempInRangeOfA = MVT::CloneCopy (*AV);
          OPT::Apply (*M_left, *tempInRangeOfA, *AV); // AV may change
        }


      if ( !( M_left.is_null()  &&  M_right.is_null() )
           && debugSerialLSQR && iter_ == 1)
        {
          // In practice, LSQR may reveal bugs in transposed preconditioners.
          // This is the test that catches this type of bug.
          // 1. confirm that V alpha = A' U

          if (! M_left.is_null())
            {
              RCP<MV> tempInRangeOfA = MVT::CloneCopy (*U_);
              OPT::Apply (*M_left, *U_, *tempInRangeOfA, CONJTRANS);
              OPT::Apply (*A, *tempInRangeOfA, *AtU, CONJTRANS);   // AtU = B'L'U
            }
          else
            {
              OPT::Apply (*A, *U_, *AtU, CONJTRANS);   // AtU = B'U
            }
          if ( !( M_right.is_null() ) )
            {
              RCP<MV> tempInDomainOfA = MVT::CloneCopy (*AtU);
              OPT::Apply (*M_right, *tempInDomainOfA, *AtU, CONJTRANS); // AtU := R' AtU
            }

          MVT::MvAddMv( one, *AtU, -alpha[0], *V_, *AtU );
          MVT::MvNorm( *AtU, xi );
          std::cout << "| V alpha - A' u |= "  << xi[0] << std::endl;
          // 2. confirm that U is a unit vector
          Teuchos::SerialDenseMatrix<int,ScalarType> uotuo(1,1);
          MVT::MvTransMv( one, *U_, *U_, uotuo );
          std::cout << "<U, U> = " << printMat(uotuo) << std::endl;
          // 3. print alpha =  <V, A'U>
          std::cout << "alpha = "  << alpha[0] << std::endl;
          // 4. compute < AV, U> which ought to be alpha
          Teuchos::SerialDenseMatrix<int,ScalarType> utav(1,1);
          MVT::MvTransMv( one, *AV, *U_, utav );
          std::cout << "<AV, U> = alpha = " << printMat(utav) << std::endl;
        }

      MVT::MvAddMv( one, *AV, -alpha[0], *U_, *U_ ); // uNew := Av - uOld alphaOld
      MVT::MvNorm( *U_, beta);

      anorm2 += alpha[0]*alpha[0] + beta[0]*beta[0] + lambda_*lambda_;


      if ( SCT::real(beta[0]) > zero )
        {

          MVT::MvScale( *U_, one / beta[0] );

          if (M_left.is_null())
            { // ... and V_ alphaNew := AtU - V_ betaNew
              OPT::Apply(*A, *U_, *AtU, CONJTRANS);
            }
          else
            {
              RCP<MV> tempInRangeOfA = MVT::CloneCopy (*U_);
              OPT::Apply (*M_left, *U_, *tempInRangeOfA, CONJTRANS);
              OPT::Apply(*A, *tempInRangeOfA, *AtU, CONJTRANS);
            }
          if (! M_right.is_null())
            {
              RCP<MV> tempInDomainOfA = MVT::CloneCopy (*AtU);
              OPT::Apply (*M_right, *tempInDomainOfA, *AtU, CONJTRANS); // AtU may change
            }

          MVT::MvAddMv( one, *AtU, -beta[0], *V_, *V_ );
          MVT::MvNorm( *V_, alpha );
        }
      else  // beta = 0
        {
          alpha[0] = zero;
        }

      if ( SCT::real(alpha[0]) > zero )
        {
          MVT::MvScale( *V_, one / alpha[0] );
        }

      // Use a plane rotation to eliminate the damping parameter.
      // This alters the diagonal (rhobar) of the lower-bidiagonal matrix.
      common = Teuchos::ScalarTraits< ScalarType >::squareroot(rhobar*rhobar + lambda_*lambda_);
      cs1 = rhobar / common;
      sn1 = lambda_ / common;
      psi = sn1 * phibar;
      phibar = cs1 * phibar;

      // Use a plane rotation to eliminate the subdiagonal element (beta)
      // of the lower-bidiagonal matrix, giving an upper-bidiagonal matrix.
      rho = Teuchos::ScalarTraits< ScalarType >::squareroot(rhobar*rhobar + lambda_*lambda_ + beta[0]*beta[0]);
      cs = common / rho;
      sn = beta[0] / rho;
      theta = sn * alpha[0];
      rhobar = -cs * alpha[0];
      phi = cs * phibar;
      phibar = sn * phibar; // If beta vanishes, so do sn, theta, phibar and eventually resid_norm
      tau = sn * phi;

      delta = sn2 * rho;
      gammabar = -cs2 * rho;
      zetabar = (phi - delta*zeta) / gammabar;
      sol_norm_ = Teuchos::ScalarTraits< ScalarType >::squareroot(xxnorm + zetabar*zetabar);
      gamma = Teuchos::ScalarTraits< ScalarType >::squareroot(gammabar*gammabar + theta*theta);
      cs2 = gammabar / gamma;
      sn2 = theta / gamma;
      zeta = (phi - delta*zeta) / gamma;
      xxnorm += zeta*zeta;

      //The next task may be addressed by some form of lp_->updateSolution.
      if ( M_right.is_null())
        {
          MVT::MvAddMv( phi / rho, *W_, one, *cur_soln_vec, *cur_soln_vec);
        }
      else
        {
          RCP<MV> tempInDomainOfA = MVT::CloneCopy (*W_);
          OPT::Apply (*M_right, *W_, *tempInDomainOfA);
          MVT::MvAddMv( phi / rho, *tempInDomainOfA, one, *cur_soln_vec, *cur_soln_vec);
        }

      MVT::MvNorm( *W_, wnorm2 );
      ddnorm += (one / rho)*(one / rho) * wnorm2[0]*wnorm2[0];
      MVT::MvAddMv( one, *V_, -theta / rho, *W_, *W_ );

      frob_mat_norm_ = Teuchos::ScalarTraits< ScalarType >::squareroot(anorm2);
      mat_cond_num_ = frob_mat_norm_ * Teuchos::ScalarTraits< ScalarType >::squareroot(ddnorm);
      res+= psi*psi;
      resid_norm_ = Teuchos::ScalarTraits< ScalarType >::squareroot(phibar*phibar + res);
      mat_resid_norm_ = alpha[0] * Teuchos::ScalarTraits< ScalarType >::magnitude(tau);

    } // end while (sTest_->checkStatus(this) != Passed)
  } // iterate()

} // end Belos namespace

#endif /* BELOS_LSQR_ITER_HPP */