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MoochoPack_DampenCrossTermStd_Step.cpp
1 #if 0
2 
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43 
44 #include <ostream>
45 #include <sstream>
46 #include <limits>
47 
48 #include "MoochoPack_DampenCrossTermStd_Step.hpp"
49 #include "MoochoPack_moocho_algo_conversion.hpp"
50 #include "IterationPack_print_algorithm_step.hpp"
51 #include "ConstrainedOptPack/src/VectorWithNorms.h"
52 #include "AbstractLinAlgPack/src/MatrixWithOpFactorized.hpp"
53 #include "DenseLinAlgPack_LinAlgOpPack.hpp"
54 #include "DenseLinAlgPack_DVectorClass.hpp"
55 #include "DenseLinAlgPack_DVectorOut.hpp"
56 
58  : frac_descent_(frac_descent)
59 {}
60 
62  , poss_type step_poss, IterationPack::EDoStepType type, poss_type assoc_step_poss)
63 {
65  using DenseLinAlgPack::norm_inf;
67 
68  NLPAlgo &algo = rsqp_algo(_algo);
69  NLPAlgoState &s = algo.rsqp_state();
70 
71  EJournalOutputLevel olevel = algo.algo_cntr().journal_output_level();
72  std::ostream& out = algo.track().journal_out();
73 
74  // print step header.
75  if( static_cast<int>(olevel) >= static_cast<int>(PRINT_ALGORITHM_STEPS) ) {
76  using IterationPack::print_algorithm_step;
77  print_algorithm_step( _algo, step_poss, type, assoc_step_poss, out );
78  }
79 
80  if( s.w().updated_k(0) ) {
81 
82  // inv(rHL_k) * rGf_k
83  const DVectorSlice rGf_k = s.rGf().get_k(0)();
84  DVector Inv_rHL_rGf;
85  V_InvMtV( &Inv_rHL_rGf, dynamic_cast<MatrixWithOpFactorized&>(s.rHL().get_k(0))
86  , BLAS_Cpp::no_trans, rGf_k );
87 
88  const value_type
89  small_num = 1e-20,
90  rGfT_Inv_rHL_rGf = dot( Inv_rHL_rGf(), rGf_k ), // rGf_k'*inv(rHL_k)*rGf_k
91  rGfT_Inv_rHL_w = dot( Inv_rHL_rGf(), s.w().get_k(0)() ), // rGf_k'*inv(rHL_k)*w_k
92  term = -(1.0-frac_descent()) * (rGfT_Inv_rHL_rGf + 2*small_num)
93  / (rGfT_Inv_rHL_w + small_num);
94 
95  if( rGfT_Inv_rHL_w >= 0.0 ) {
96  // We know that the descent property will be satisfied for all zeta_k > 0
97  // so set zeta_k = 1
98  s.zeta().set_k(0) = 1.0;
99  }
100  else {
101  // For some zeta_k > 0 the descent property will be violated so we may have to
102  // cut zeta_k back from 1.
103  s.zeta().set_k(0) = std::_MIN( term, 1.0 );
104  }
105 
106  if( static_cast<int>(olevel) >= static_cast<int>(PRINT_ALGORITHM_STEPS) ) {
107  out << "\nterm1 = rGf_k'*inv(rHL_k)*rGf_k = " << rGfT_Inv_rHL_rGf;
108  out << "\nterm2 = rGf_k'*inv(rHL_k)*w_k = " << rGfT_Inv_rHL_w;
109  out << "\n(1-frac_descent)*(term1+2*small)/(term2+small) = " << term;
110  out << "\nzeta_k = " << s.zeta().get_k(0)
111  << std::endl;
112  }
113 
114  if( static_cast<int>(olevel) >= static_cast<int>(PRINT_VECTORS) ) {
115  out << "\ninv(rHL_k)*rGf_k = " << Inv_rHL_rGf();
116  }
117 
118  if( rGfT_Inv_rHL_rGf < 0.0 ) {
119  std::ostringstream omsg;
120  omsg
121  << "Error, rGf_k'*inv(rHL_k)*rGf_k = " << rGfT_Inv_rHL_rGf << " < 0.0 and therefore "
122  << "the reduced Hessian rHL_k can not be positive definite";
123  if( (int)(olevel) >= (int)(PRINT_ALGORITHM_STEPS) ) {
124  out << omsg.str();
125  }
126  throw std::runtime_error( std::string("DampenCrossTermStd_Step::do_step(...) : ")
127  + omsg.str() );
128  }
129  }
130 
131  return true;
132 }
133 
134 void MoochoPack::DampenCrossTermStd_Step::print_step( const Algorithm& algo
135  , poss_type step_poss, IterationPack::EDoStepType type, poss_type assoc_step_poss
136  , std::ostream& out, const std::string& L ) const
137 {
138  out
139  << L << "*** Compute the dampening parameter for the reduced QP cross term w_k\n"
140  << L << "default: frac_descent = " << frac_descent() << std::endl
141  << L << "if w_k is update then\n"
142  << L << " find zeta_k s.t.\n"
143  << L << " Gf_k'*Z_k*pz_k approx\n"
144  << L << " - zeta_k * rGf_k'*inv(rHL_k)*w_k - rGf_k'*inv(rHL_k)*rGf_k\n"
145  << L << " <= - frac_descent * rGf_k'*inv(rHL_k)*rGf_k\n"
146  << L << "end\n";
147 }
148 
149 #endif // 0
void print_step(const Algorithm &algo, poss_type step_poss, IterationPack::EDoStepType type, poss_type assoc_step_poss, std::ostream &out, const std::string &leading_str) const
void V_InvMtV(VectorMutable *v_lhs, const MatrixNonsing &M_rhs1, BLAS_Cpp::Transp trans_rhs1, const Vector &v_rhs2)
value_type dot(const Vector &v_rhs1, const Vector &v_rhs2)
DampenCrossTermStd_Step(const value_type &frac_descent=0.9)
bool do_step(Algorithm &algo, poss_type step_poss, IterationPack::EDoStepType type, poss_type assoc_step_poss)