ROL_DynamicConstraint.hpp

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// @HEADER
// *****************************************************************************
//               Rapid Optimization Library (ROL) Package
//
// Copyright 2014 NTESS and the ROL contributors.
// SPDX-License-Identifier: BSD-3-Clause
// *****************************************************************************
// @HEADER

#pragma once
#ifndef ROL_DYNAMICCONSTRAINT_HPP
#define ROL_DYNAMICCONSTRAINT_HPP


#include "ROL_Objective_FSsolver.hpp"
#include "ROL_Types.hpp"
#include "ROL_DynamicFunction.hpp"
#include "ROL_TypeU_TrustRegionAlgorithm.hpp"
#include "ROL_TypeE_AugmentedLagrangianAlgorithm.hpp"

namespace ROL {

template<typename Real>
class DynamicConstraint;

template<typename Real>
class Constraint_DynamicState;
}

#include "ROL_Constraint_DynamicState.hpp"
#include "ROL_NonlinearLeastSquaresObjective_Dynamic.hpp"

namespace ROL {

template<typename Real>
class DynamicConstraint : public DynamicFunction<Real> {
private:
  // Additional vector storage for solve
  Ptr<Vector<Real>> unew_;
  Ptr<Vector<Real>> jv_;

  // Default parameters for solve (backtracking Newton)
  const Real DEFAULT_atol_;
  const Real DEFAULT_rtol_;
  const Real DEFAULT_stol_;
  const Real DEFAULT_factor_;
  const Real DEFAULT_decr_;
  const int  DEFAULT_maxit_;
  const bool DEFAULT_print_;
  const bool DEFAULT_zero_;
  const int  DEFAULT_solverType_;

  // User-set parameters for solve (backtracking Newton)
  Real atol_;
  Real rtol_;
  Real stol_;
  Real factor_;
  Real decr_;
  int  maxit_;
  bool print_;
  bool zero_;
  int  solverType_;

  // Flag to initialize vector storage in solve
  bool firstSolve_;

public:

  using V  = Vector<Real>;
  using PV = PartitionedVector<Real>;
  using TS = TimeStamp<Real>;

  virtual ~DynamicConstraint() {}

  DynamicConstraint( std::initializer_list<std::string> zero_deriv_terms={} ):
      DynamicFunction<Real>(zero_deriv_terms),
      unew_               (                             nullPtr ),
      jv_                 (                             nullPtr ),
      DEFAULT_atol_       ( 1e-4*std::sqrt(ROL_EPSILON<Real>()) ),
      DEFAULT_rtol_       (                                 1e0 ),
      DEFAULT_stol_       (      std::sqrt(ROL_EPSILON<Real>()) ),
      DEFAULT_factor_     (                                 0.5 ),
      DEFAULT_decr_       (                                1e-4 ),
      DEFAULT_maxit_      (                                 500 ),
      DEFAULT_print_      (                               false ),
      DEFAULT_zero_       (                               false ),
      DEFAULT_solverType_ (                                   0 ),
      atol_               (                       DEFAULT_atol_ ),
      rtol_               (                       DEFAULT_rtol_ ),
      stol_               (                       DEFAULT_stol_ ),
      factor_             (                     DEFAULT_factor_ ),
      decr_               (                       DEFAULT_decr_ ),
      maxit_              (                      DEFAULT_maxit_ ),
      print_              (                      DEFAULT_print_ ),
      zero_               (                       DEFAULT_zero_ ),
      solverType_         (                 DEFAULT_solverType_ ),
      firstSolve_         (                                true ) {}



  virtual void update( const V& uo, const V& un, const V& z, const TS& ts ) {
    update_uo( uo, ts );
    update_un( un, ts );
    update_z( z, ts );
  }

  using DynamicFunction<Real>::update_uo;
  using DynamicFunction<Real>::update_un;
  using DynamicFunction<Real>::update_z;

  virtual void value( V& c, const V& uo, const V& un,
                      const V& z, const TS& ts ) const = 0;

  virtual void solve( V& c, const V& uo, V& un,
                      const V& z, const TS& ts ) {
    if ( zero_ ) un.zero();
    Ptr<std::ostream> stream = makeStreamPtr(std::cout, print_);
    update(uo,un,z,ts);
    value(c,uo,un,z,ts);
    Real cnorm = c.norm();
    const Real ctol = std::min(atol_, rtol_*cnorm);
    if (solverType_==0 || solverType_==3 || solverType_==4) {
      if ( firstSolve_ ) {
        unew_ = un.clone();
        jv_   = un.clone();
        firstSolve_ = false;
      }
      Real alpha(1), tmp(0);
      int cnt = 0;
      if ( print_ ) {
        *stream << "     Default DynamicConstraint::solve" << std::endl;
        *stream << "       ";
        *stream << std::setw(6)  << std::left << "iter";
        *stream << std::setw(15) << std::left << "rnorm";
        *stream << std::setw(15) << std::left << "alpha";
        *stream << std::endl;
      }
      for (cnt = 0; cnt < maxit_; ++cnt) {
        // Compute Newton step
        applyInverseJacobian_un(*jv_,c,uo,un,z,ts);
        unew_->set(un);
        unew_->axpy(-alpha, *jv_);
        //update_un(*unew_,ts);
        update(uo,*unew_,z,ts);
        value(c,uo,*unew_,z,ts);
        tmp = c.norm();
        // Perform backtracking line search
        while ( tmp > (1.0-decr_*alpha)*cnorm &&
                alpha > stol_ ) {
          alpha *= factor_;
          unew_->set(un);
          unew_->axpy(-alpha,*jv_);
          //update_un(*unew_,ts);
          update(uo,*unew_,z,ts);
          value(c,uo,*unew_,z,ts);
          tmp = c.norm();
        }
        if ( print_ ) {
          *stream << "       ";
          *stream << std::setw(6)  << std::left << cnt;
          *stream << std::scientific << std::setprecision(6);
          *stream << std::setw(15) << std::left << tmp;
          *stream << std::scientific << std::setprecision(6);
          *stream << std::setw(15) << std::left << alpha;
          *stream << std::endl;
        }
        // Update iterate
        cnorm = tmp;
        un.set(*unew_);
        if (cnorm <= ctol) { // = covers the case of identically zero residual
          break;
        }
        update(uo,un,z,ts);
        alpha = 1.0;
      }
    }
    if (solverType_==1 || (solverType_==3 && cnorm > ctol)) {
      Ptr<DynamicConstraint<Real>> con = makePtrFromRef(*this);
      Ptr<Objective<Real>>         obj
        = makePtr<NonlinearLeastSquaresObjective_Dynamic<Real>>(con,c,makePtrFromRef(uo),makePtrFromRef(z),makePtrFromRef(ts),true);
      ParameterList parlist;
      parlist.sublist("General").set("Output Level",1);
      parlist.sublist("General").sublist("Krylov").set("Iteration Limit",100);
      parlist.sublist("Step").sublist("Trust Region").set("Subproblem Solver","Truncated CG");
      parlist.sublist("Status Test").set("Gradient Tolerance",ctol);
      parlist.sublist("Status Test").set("Step Tolerance",stol_);
      parlist.sublist("Status Test").set("Iteration Limit",maxit_);
      Ptr<TypeU::Algorithm<Real>> algo = makePtr<TypeU::TrustRegionAlgorithm<Real>>(parlist);
      algo->run(un,*obj,*stream);
      value(c,uo,un,z,ts);
    }
    if (solverType_==2 || (solverType_==4 && cnorm > ctol)) {
      Ptr<Constraint<Real>> con
        = makePtr<Constraint_DynamicState<Real>>(makePtrFromRef(*this),makePtrFromRef(uo),makePtrFromRef(z),makePtrFromRef(ts));
      Ptr<Objective<Real>>  obj = makePtr<Objective_FSsolver<Real>>();
      Ptr<Vector<Real>>       l = c.dual().clone();
      ParameterList parlist;
      parlist.sublist("General").set("Output Level",1);
      parlist.sublist("Status Test").set("Constraint Tolerance",ctol);
      parlist.sublist("Status Test").set("Step Tolerance",stol_);
      parlist.sublist("Status Test").set("Iteration Limit",maxit_);
      Ptr<TypeE::Algorithm<Real>> algo = makePtr<TypeE::AugmentedLagrangianAlgorithm<Real>>(parlist);
      algo->run(un,*obj,*con,*l,*stream);
      value(c,uo,un,z,ts);
    }
    if (solverType_ > 4 || solverType_ < 0) {
      ROL_TEST_FOR_EXCEPTION(true, std::invalid_argument,
        ">>> ERROR (ROL:DynamicConstraint:solve): Invalid solver type!");
    }
  }

  virtual void setSolveParameters(ParameterList &parlist) {
    ParameterList & list = parlist.sublist("Dynamic Constraint").sublist("Solve");
    atol_       = list.get("Absolute Residual Tolerance",   DEFAULT_atol_);
    rtol_       = list.get("Relative Residual Tolerance",   DEFAULT_rtol_);
    maxit_      = list.get("Iteration Limit",               DEFAULT_maxit_);
    decr_       = list.get("Sufficient Decrease Tolerance", DEFAULT_decr_);
    stol_       = list.get("Step Tolerance",                DEFAULT_stol_);
    factor_     = list.get("Backtracking Factor",           DEFAULT_factor_);
    print_      = list.get("Output Iteration History",      DEFAULT_print_);
    zero_       = list.get("Zero Initial Guess",            DEFAULT_zero_);
    solverType_ = list.get("Solver Type",                   DEFAULT_solverType_);
  }

  //----------------------------------------------------------------------------
  // Partial Jacobians
  virtual void applyJacobian_uo( V& jv, const V& vo, const V& uo,
                                    const V& un, const V& z,
                                    const TS& ts ) const {}

  virtual void applyJacobian_un( V& jv, const V& vn, const V& uo,
                                    const V& un, const V& z,
                                    const TS& ts ) const {}

  virtual void applyJacobian_z( V& jv, const V& vz, const V& uo,
                                const V& un, const V& z,
                                const TS& ts ) const {}

  //----------------------------------------------------------------------------
  // Adjoint partial Jacobians
  virtual void applyAdjointJacobian_uo( V& ajv, const V& dualv, const V& uo,
                                           const V& un, const V& z,
                                           const TS& ts ) const {}

  virtual void applyAdjointJacobian_un( V& ajv, const V& dualv, const V& uo,
                                           const V& un, const V& z,
                                           const TS& ts ) const {}

  virtual void applyAdjointJacobian_z( V& ajv, const V& dualv, const V& uo,
                                       const V& un, const V& z,
                                       const TS& ts ) const {}

  //----------------------------------------------------------------------------
  // Inverses
  virtual void applyInverseJacobian_un( V& ijv, const V& vn, const V& uo,
                                           const V& un, const V& z,
                                           const TS& ts ) const {}

  virtual void applyInverseAdjointJacobian_un( V& iajv, const V& vn, const V& uo,
                                                  const V& un, const V& z,
                                                  const TS& ts ) const {}

  //----------------------------------------------------------------------------
  // Adjoint Hessian components
  virtual void applyAdjointHessian_un_un( V& ahwv, const V& wn, const V& vn,
                                          const V& uo, const V& un,
                                          const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_un_uo( V& ahwv, const V& w, const V& vn,
                                          const V& uo, const V& un,
                                          const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_un_z( V& ahwv, const V& w, const V& vn,
                                          const V& uo, const V& un,
                                          const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_uo_un( V& ahwv, const V& w, const V& vo,
                                          const V& uo, const V& un,
                                          const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_uo_uo( V& ahwv, const V& w, const V& v,
                                          const V& uo, const V& un,
                                          const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_uo_z( V& ahwv, const V& w, const V& vo,
                                         const V& uo, const V& un,
                                         const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_z_un( V& ahwv, const V& w, const V& vz,
                                         const V& uo, const V& un,
                                         const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_z_uo( V& ahwv, const V& w, const V& vz,
                                         const V& uo, const V& un,
                                         const V& z, const TS& ts ) const {
    ahwv.zero();
  }

  virtual void applyAdjointHessian_z_z( V& ahwv, const V& w, const V& vz,
                                        const V& uo, const V& un,
                                        const V& z, const TS& ts ) const {
    ahwv.zero();
  }

}; // DynamicConstraint


} // namespace ROL


#endif // ROL_DYNAMICCONSTRAINT_HPP