ROL_TypeB_NewtonKrylovAlgorithm.hpp

Go to the documentation of this file.

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

#ifndef ROL_TYPEB_NEWTONKRYLOVALGORITHM_HPP
#define ROL_TYPEB_NEWTONKRYLOVALGORITHM_HPP

#include "ROL_TypeB_Algorithm.hpp"
#include "ROL_KrylovFactory.hpp"
#include "ROL_SecantFactory.hpp"

namespace ROL {
namespace TypeB {

template<typename Real>
class NewtonKrylovAlgorithm : public TypeB::Algorithm<Real> {
private:
  Ptr<Secant<Real>> secant_; 
  ESecant esec_;             
  std::string secantName_;   

  Ptr<Krylov<Real>> krylov_; 
  EKrylov ekv_;              
  std::string krylovName_;   

  int iterKrylov_; 
  int flagKrylov_; 
 
  bool useSecantHessVec_; 
  bool useSecantPrecond_; 

  int maxit_;         
  Real alpha0_;       
  Real rhodec_;       
  Real c1_;           
  bool useralpha_;    
  bool usePrevAlpha_; 

  int ls_nfval_;
  int verbosity_;
  bool writeHeader_;

  class HessianPNK : public LinearOperator<Real> {
  private:
    const Ptr<Objective<Real>>       obj_;
    const Ptr<BoundConstraint<Real>> bnd_;
    const Ptr<const Vector<Real>>    x_;
    const Ptr<const Vector<Real>>    g_;
    const Real                       eps_;
    const Ptr<Secant<Real>>          secant_;
    const bool                       useSecant_;
    const Ptr<Vector<Real>>          v_;
  public:
    HessianPNK(const Ptr<Objective<Real>>       &obj,
               const Ptr<BoundConstraint<Real>> &bnd,
               const Ptr<const Vector<Real>>    &x,
               const Ptr<const Vector<Real>>    &g,
               Real                              eps,
               const Ptr<Secant<Real>>          &secant,
               bool                              useSecant,
               const Ptr<Vector<Real>>          &pwa)
      : obj_(obj), bnd_(bnd), x_(x), g_(g), eps_(eps),
        secant_(secant), useSecant_(useSecant), v_(pwa) {}
    void apply(Vector<Real> &Hv, const Vector<Real> &v, Real &tol) const {
      v_->set(v);
      bnd_->pruneActive(*v_,g_->dual(),*x_,eps_);
      if (!useSecant_) obj_->hessVec(Hv,*v_,*x_,tol);
      else             secant_->applyB(Hv,*v_);
      v_->set(Hv.dual());
      bnd_->pruneActive(*v_,g_->dual(),*x_,eps_);
      Hv.set(v_->dual());
      v_->set(v);
      bnd_->pruneInactive(*v_,g_->dual(),*x_,eps_);
      Hv.plus(v_->dual());
    }
  };

  class PrecondPNK : public LinearOperator<Real> {
  private:
    const Ptr<Objective<Real>>       obj_;
    const Ptr<BoundConstraint<Real>> bnd_;
    const Ptr<const Vector<Real>>    x_;
    const Ptr<const Vector<Real>>    g_;
    const Real                       eps_;
    const Ptr<Secant<Real>>          secant_;
    const bool                       useSecant_;
    const Ptr<Vector<Real>>          v_;
  public:
    PrecondPNK(const Ptr<Objective<Real>>       &obj,
               const Ptr<BoundConstraint<Real>> &bnd,
               const Ptr<const Vector<Real>>    &x,
               const Ptr<const Vector<Real>>    &g,
               Real                              eps,
               const Ptr<Secant<Real>>          &secant,
               bool                              useSecant,
               const Ptr<Vector<Real>>          &pwa)
      : obj_(obj), bnd_(bnd), x_(x), g_(g), eps_(eps),
        secant_(secant), useSecant_(useSecant), v_(pwa) {}
    void apply(Vector<Real> &Hv, const Vector<Real> &v, Real &tol) const {
      Hv.set(v.dual()); 
    }
    void applyInverse(Vector<Real> &Hv, const Vector<Real> &v, Real &tol) const {
      v_->set(v.dual());
      bnd_->pruneActive(*v_,g_->dual(),*x_,eps_);
      if ( useSecant_ ) secant_->applyH(Hv,v_->dual());
      else              obj_->precond(Hv,v_->dual(),*x_,tol);
      bnd_->pruneActive(Hv,g_->dual(),*x_,eps_);
      v_->set(v.dual());
      bnd_->pruneInactive(*v_,g_->dual(),*x_,eps_);
      Hv.plus(*v_);
    }
  };

  using TypeB::Algorithm<Real>::status_;
  using TypeB::Algorithm<Real>::state_;
  using TypeB::Algorithm<Real>::proj_;

  void initialize(Vector<Real>          &x,
                  const Vector<Real>    &g,
                  Objective<Real>       &obj,
                  BoundConstraint<Real> &bnd,
                  std::ostream &outStream = std::cout); 

  void parseParameterList(ParameterList &list);

public:

  NewtonKrylovAlgorithm(ParameterList &list, const Ptr<Secant<Real>> &secant = nullPtr);
  NewtonKrylovAlgorithm(ParameterList &list, const Ptr<Krylov<Real>> &krylov,
                        const Ptr<Secant<Real>> &secant = nullPtr);

  using TypeB::Algorithm<Real>::run;
  void run( Vector<Real>          &x,
            const Vector<Real>    &g, 
            Objective<Real>       &obj,
            BoundConstraint<Real> &bnd,
            std::ostream          &outStream = std::cout) override;

  void run( Problem<Real> &problem,
            std::ostream  &outStream = std::cout ) override;

  void run( Vector<Real>          &x,
            const Vector<Real>    &g,
            Objective<Real>       &obj,
            BoundConstraint<Real> &bnd,
            Constraint<Real>      &linear_econ,
            Vector<Real>          &linear_emul,
            const Vector<Real>    &linear_eres,
            std::ostream          &outStream = std::cout ) override;

  void writeHeader( std::ostream& os ) const override;

  void writeName( std::ostream& os ) const override;

  void writeOutput( std::ostream& os, const bool write_header = false ) const override;

}; // class ROL::TypeB::NewtonKrylovAlgorithm

} // namespace TypeB
} // namespace ROL

#include "ROL_TypeB_NewtonKrylovAlgorithm_Def.hpp"

#endif