44 #ifndef ROL_TYPEB_PRIMALDUALACTIVESETALGORITHM_HPP
45 #define ROL_TYPEB_PRIMALDUALACTIVESETALGORITHM_HPP
58 template<
typename Real>
95 const Ptr<Objective<Real>>
obj_;
96 const Ptr<BoundConstraint<Real>>
bnd_;
97 const Ptr<const Vector<Real>>
x_;
98 const Ptr<const Vector<Real>>
xlam_;
125 const Ptr<Objective<Real>>
obj_;
126 const Ptr<BoundConstraint<Real>>
bnd_;
127 const Ptr<const Vector<Real>>
x_;
128 const Ptr<const Vector<Real>>
xlam_;
161 const Ptr<Objective<Real>>
obj_;
162 const Ptr<BoundConstraint<Real>>
bnd_;
163 const Ptr<Constraint<Real>>
con_;
164 const Ptr<const Vector<Real>>
x_;
165 const Ptr<const Vector<Real>>
xlam_;
199 const Ptr<Objective<Real>>
obj_;
200 const Ptr<BoundConstraint<Real>>
bnd_;
201 const Ptr<const Vector<Real>>
x_;
202 const Ptr<const Vector<Real>>
xlam_;
231 Hvp.
get(0)->plus(
dwa_->dual());
232 Hvp.
get(1)->set(vp.
get(1)->dual());
244 std::ostream &outStream = std::cout);
255 std::ostream &outStream = std::cout)
override;
257 void writeHeader( std::ostream& os )
const override;
259 void writeName( std::ostream& os )
const override;
261 void writeOutput( std::ostream& os,
const bool write_header =
false )
const override;
void applyInverse(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply inverse of linear operator.
bool useSecantPrecond_
Whether or not to use a secant approximation to precondition inexact Newton.
Provides the interface to evaluate objective functions.
PrecondPDAS(const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Ptr< const Vector< Real >> &x, const Ptr< const Vector< Real >> &xlam, Real eps, const Ptr< Secant< Real >> &secant, bool useSecant, const Ptr< Vector< Real >> &dwa)
void initialize(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis...
HessianPDAS_Poly(const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Ptr< Constraint< Real >> &con, const Ptr< const Vector< Real >> &x, const Ptr< const Vector< Real >> &xlam, Real eps, const Ptr< Secant< Real >> &secant, bool useSecant, const Ptr< Vector< Real >> &pwa, const Ptr< Vector< Real >> &dwa)
Real stol_
PDAS minimum step size stopping tolerance (default: 1e-8)
const Ptr< const Vector< Real > > x_
void apply(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply linear operator.
const Ptr< Objective< Real > > obj_
ROL::Ptr< const Vector< Real > > get(size_type i) const
int flag_
PDAS termination flag.
virtual void plus(const Vector &x)=0
Compute , where .
Real gtol_
PDAS gradient stopping tolerance (default: 1e-6)
PrecondPDAS_Poly(const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Ptr< const Vector< Real >> &x, const Ptr< const Vector< Real >> &xlam, Real eps, const Ptr< Secant< Real >> &secant, bool useSecant, const Ptr< Vector< Real >> &dwa)
const Ptr< Objective< Real > > obj_
Defines the linear algebra of vector space on a generic partitioned vector.
const Ptr< Vector< Real > > dwa_
const Ptr< Vector< Real > > pwa_
Ptr< Secant< Real > > secant_
Secant object (used for quasi-Newton)
const Ptr< Objective< Real > > obj_
int iter_
PDAS iteration counter.
const Ptr< Constraint< Real > > con_
Defines the linear algebra or vector space interface.
const Ptr< BoundConstraint< Real > > bnd_
const Ptr< const Vector< Real > > xlam_
const Ptr< Secant< Real > > secant_
const Ptr< const Vector< Real > > xlam_
const Ptr< const Vector< Real > > xlam_
void apply(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply linear operator.
const Ptr< Secant< Real > > secant_
void apply(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply linear operator.
EKrylov
Enumeration of Krylov methods.
void applyInverse(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply inverse of linear operator.
Real rtolKrylov_
Relative tolerance for Krylov solve (default: 1e-2)
PrimalDualActiveSetAlgorithm(ParameterList &list, const Ptr< Secant< Real >> &secant=nullPtr)
const Ptr< Vector< Real > > pwa_
const Ptr< Objective< Real > > obj_
const Ptr< const Vector< Real > > x_
const Ptr< BoundConstraint< Real > > bnd_
Real scale_
Scale for dual variables in the active set, (default: 1)
Provides an interface to run bound constrained optimization algorithms.
std::string secantName_
Secant name.
ESecant
Enumeration of secant update algorithms.
ESecant esec_
Secant type.
std::string krylovName_
Krylov name.
const Ptr< Secant< Real > > secant_
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...
const Ptr< Vector< Real > > dwa_
bool feasible_
Flag whether the current iterate is feasible or not.
Provides interface for and implements limited-memory secant operators.
const Ptr< const Vector< Real > > x_
const Ptr< Secant< Real > > secant_
const Ptr< const Vector< Real > > x_
void writeOutput(std::ostream &os, const bool write_header=false) const override
Print iterate status.
int flagKrylov_
Termination flag for Krylov method (used for inexact Newton)
Provides the interface to apply a linear operator.
Provides the interface to apply upper and lower bound constraints.
int totalKrylov_
Total number of Krylov iterations per PDAS iteration.
int maxit_
Maximum number of PDAS steps (default: 10)
const Ptr< BoundConstraint< Real > > bnd_
bool useSecantHessVec_
Whether or not to use to a secant approximation as the Hessian.
void apply(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply linear operator.
HessianPDAS(const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Ptr< const Vector< Real >> &x, const Ptr< const Vector< Real >> &xlam, Real eps, const Ptr< Secant< Real >> &secant, bool useSecant, const Ptr< Vector< Real >> &pwa)
void writeHeader(std::ostream &os) const override
Print iterate header.
Real neps_
-active set parameter
const Ptr< Vector< Real > > dwa_
virtual void set(const Vector &x)
Set where .
int maxitKrylov_
Maximum number of Krylov iterations (default: 100)
Ptr< Krylov< Real > > krylov_
Krylov solver object (used for inexact Newton)
Provides an interface to run the projected secant algorithm.
void writeName(std::ostream &os) const override
Print step name.
const Ptr< BoundConstraint< Real > > bnd_
Defines the general constraint operator interface.
Real atolKrylov_
Absolute tolerance for Krylov solve (default: 1e-4)
int iterKrylov_
Number of Krylov iterations (used for inexact Newton)
const Ptr< const Vector< Real > > xlam_
Real itol_
Inexact Krylov tolerance.