44 #ifndef ROL_TYPEB_LSECANTBALGORITHM_HPP
45 #define ROL_TYPEB_LSECANTBALGORITHM_HPP
60 template<
typename Real>
94 Ptr<ReducedLinearConstraint<Real>>
rcon_;
95 Ptr<NullSpaceOperator<Real>>
ns_;
109 std::ostream &outStream = std::cout)
override;
111 void writeHeader( std::ostream& os )
const override;
113 void writeName( std::ostream& os )
const override;
115 void writeOutput( std::ostream& os,
const bool write_header =
false )
const override;
122 std::ostream &outStream = std::cout);
132 std::ostream &outStream = std::cout)
const;
147 std::ostream &outStream = std::cout);
161 Vector<Real> &pwa, std::ostream &outStream = std::cout);
182 const Real tol,
const Real stol,
const int itermax,
185 std::ostream &outStream = std::cout)
const;
Provides the interface to evaluate objective functions.
Real qtol_
Relative tolerance for computed decrease in Cauchy point computation (default: 1-8) ...
Provides an interface to run the line-search algorithm of Byrd, Lu, Nocedal and Zhu (similar to L-BFG...
unsigned verbosity_
Output level (default: 0)
LSecantBAlgorithm(ParameterList &list, const Ptr< Secant< Real >> &secant=nullPtr)
bool writeHeader_
Flag to write header at every iteration.
int maxit_
Maximum number of CG iterations (default: 20)
Defines the linear algebra or vector space interface.
Real spexp_
Relative tolerance exponent for subproblem solve (default: 1, range: [1,2])
bool hasEcon_
Flag signifies if equality constraints exist.
ESecant esec_
Secant type (default: Limited-Memory BFGS)
Real dgpstep(Vector< Real > &s, const Vector< Real > &w, const Vector< Real > &x, const Real alpha, std::ostream &outStream=std::cout) const
int SPflag_
Subproblem solver termination flag.
Real tol2_
Relative tolerance for truncated CG (default: 1e-2)
int redlim_
Maximum number of Cauchy point reduction steps (default: 10)
Ptr< NullSpaceOperator< Real > > ns_
Null space projection onto reduced equality constraint Jacobian.
Real interpfPS_
Backtracking rate for projected search (default: 0.5)
Real interpf_
Backtracking rate for Cauchy point computation (default: 1e-1)
Real mu0_
Sufficient decrease parameter (default: 1e-2)
Real dpcg(Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, const Real tol, const Real stol, const int itermax, Vector< Real > &p, Vector< Real > &q, Vector< Real > &r, Vector< Real > &t, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout) const
Real dcauchy(Vector< Real > &s, Real &alpha, Real &q, const Vector< Real > &x, const Vector< Real > &g, Secant< Real > &secant, Vector< Real > &dwa, Vector< Real > &dwa1, std::ostream &outStream=std::cout)
Provides an interface to run bound constrained optimization algorithms.
ESecant
Enumeration of secant update algorithms.
Ptr< Secant< Real > > secant_
Secant object.
void writeName(std::ostream &os) const override
Print step name.
Provides interface for and implements limited-memory secant operators.
Real extrapf_
Extrapolation rate for Cauchy point computation (default: 1e1)
void run(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout) override
Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual...
Provides the interface to apply upper and lower bound constraints.
void writeOutput(std::ostream &os, const bool write_header=false) const override
Print iterate status.
void applyFreePrecond(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &dwa, Vector< Real > &pwa) const
Ptr< ReducedLinearConstraint< Real > > rcon_
Equality constraint restricted to current active variables.
int SPiter_
Subproblem solver iteration count.
int explim_
Maximum number of Cauchy point expansion steps (default: 10)
Real dsrch(Vector< Real > &x, Vector< Real > &s, Real &fnew, Real &beta, Real fold, Real gs, Objective< Real > &obj, Vector< Real > &pwa, std::ostream &outStream=std::cout)
bool normAlpha_
Normalize initial Cauchy point step length (default: false)
void writeHeader(std::ostream &os) const override
Print iterate header.
bool useSecantPrecond_
Flag to use secant as a preconditioner (default: false)
Real tol1_
Absolute tolerance for truncated CG (default: 1e-4)
Real alpha_
Initial Cauchy point step length (default: 1.0)
bool useSecantHessVec_
Flag to use secant as Hessian (default: false)
void initialize(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
void applyFreeHessian(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa) const