ROL_TypeB_TrustRegionSPGAlgorithm.hpp

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#ifndef ROL_TYPEB_TRUSTREGIONSPGALGORITHM_HPP
#define ROL_TYPEB_TRUSTREGIONSPGALGORITHM_HPP

#include "ROL_TypeB_Algorithm.hpp"
#include "ROL_TrustRegionModel_U.hpp"
#include "ROL_TrustRegionUtilities.hpp"

namespace ROL {
namespace TypeB {

template<typename Real>
class TrustRegionSPGAlgorithm : public TypeB::Algorithm<Real> {
private:
  Ptr<TrustRegionModel_U<Real>> model_;  

  // TRUST REGION PARAMETERS
  Real delMax_; 
  Real eta0_;   
  Real eta1_;   
  Real eta2_;   
  Real gamma0_; 
  Real gamma1_; 
  Real gamma2_; 
  Real TRsafe_; 
  Real eps_;    
  bool interpRad_; 

  // ITERATION FLAGS/INFORMATION
  TRUtils::ETRFlag TRflag_; 
  int SPflag_;              
  int SPiter_;              

  // SECANT INFORMATION
  ESecant esec_;          
  bool useSecantPrecond_; 
  bool useSecantHessVec_; 

  // TRUNCATED CG INFORMATION
  Real tol1_; 
  Real tol2_; 
  int maxit_; 

  // ALGORITHM SPECIFIC PARAMETERS
  bool useNM_;
  int  storageNM_;
  Real mu0_;       
  Real spexp_;     
  int  redlim_;    
  int  explim_;    
  Real alpha_;     
  bool normAlpha_; 
  Real interpf_;   
  Real extrapf_;   
  Real qtol_;      
  Real lambdaMin_;
  Real lambdaMax_;
  Real gamma_;
  int maxSize_;
  bool useMin_;
  bool useNMSP_;
  bool useSimpleSPG_;

  // Inexactness Parameters
  std::vector<bool> useInexact_;
  Real scale0_;
  Real scale1_;
  Real scale_;
  Real omega_;
  Real force_;
  int updateIter_;
  Real forceFactor_;
  Real gtol_;

  mutable int nhess_;  
  unsigned verbosity_; 
  bool writeHeader_;   

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

public:
  TrustRegionSPGAlgorithm(ParameterList &list, 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 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;

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

  Real computeValue(Real inTol,
                    Real &outTol,
                    Real pRed,
                    Real &fold,
                    int iter,
                    const Vector<Real> &x,
                    const Vector<Real> &xold,
                    Objective<Real> &obj);

  void computeGradient(const Vector<Real> &x,
                       Vector<Real> &g,
                       Vector<Real> &pwa,
                       Real del,
                       Objective<Real> &obj,
                       bool accept,
                       Real &gtol,
                       Real &gnorm,
                       std::ostream &outStream = std::cout) const;

  // Compute the projected step s = P(x + alpha*w) - x
  // Returns the norm of the projected step s
  //    s     -- The projected step upon return
  //    w     -- The direction vector w (unchanged)
  //    x     -- The anchor vector x (unchanged)
  //    alpha -- The step size (unchanged)
  Real dgpstep(Vector<Real> &s, const Vector<Real> &w,
         const Vector<Real> &x, const Real alpha,
         std::ostream &outStream = std::cout) const;

  // Compute Cauchy point, i.e., the minimizer of q(P(x - alpha*g)-x)
  // subject to the trust region constraint ||P(x - alpha*g)-x|| <= del
  //   s     -- The Cauchy step upon return: Primal optimization space vector
  //   alpha -- The step length for the Cauchy point upon return
  //   x     -- The anchor vector x (unchanged): Primal optimization space vector
  //   g     -- The (dual) gradient vector g (unchanged): Primal optimization space vector
  //   del   -- The trust region radius (unchanged)
  //   model -- Trust region model
  //   dwa   -- Dual working array, stores Hessian applied to step
  //   dwa1  -- Dual working array
  Real dcauchy(Vector<Real> &s, Real &alpha, Real &q,
               const Vector<Real> &x, const Vector<Real> &g,
               const Real del, TrustRegionModel_U<Real> &model,
               Vector<Real> &dwa, Vector<Real> &dwa1,
               std::ostream &outStream = std::cout);

  void dpsg_simple(Vector<Real> &y, Real &q, Vector<Real> &gmod, const Vector<Real> &x,
                   Real del, TrustRegionModel_U<Real> &model, Vector<Real> &pwa,
                   Vector<Real> &pwa1, Vector<Real> &dwa, std::ostream &outStream = std::cout);

  void dpsg(Vector<Real> &y, Real &q, Vector<Real> &gmod, const Vector<Real> &x,
            Real del, TrustRegionModel_U<Real> &model, Vector<Real> &ymin,
            Vector<Real> &pwa, Vector<Real> &pwa1, Vector<Real> &pwa2,
            Vector<Real> &pwa3, Vector<Real> &pwa4, Vector<Real> &pwa5,
            Vector<Real> &dwa, std::ostream &outStream = std::cout);

  void dproj(Vector<Real> &x, const Vector<Real> &x0, Real del,
            Vector<Real> &y0, Vector<Real> &y1, Vector<Real> &yc,
            Vector<Real> &pwa, std::ostream &outStream = std::cout) const;

}; // class ROL::TypeB::TrustRegionSPGAlgorithm

} // namespace TypeB
} // namespace ROL

#include "ROL_TypeB_TrustRegionSPGAlgorithm_Def.hpp"

#endif