44 #ifndef ROL_TYPEE_FLETCHERALGORITHM_DEF_H
45 #define ROL_TYPEE_FLETCHERALGORITHM_DEF_H
52 template<
typename Real>
54 : TypeE::
Algorithm<Real>::
Algorithm(), secant_(secant), list_(list), subproblemIter_(0) {
59 ParameterList& sublist = list.sublist(
"Step").sublist(
"Fletcher");
60 sigma_ = sublist.get(
"Penalty Parameter", 1.0);
61 delta_ = sublist.get(
"Regularization Parameter", 0.0);
62 minDelta_ = sublist.get(
"Minimum Regularization Parameter", 1e-8);
63 deltaUpdate_ = sublist.get(
"Regularization Parameter Decrease Factor", 1e-1);
64 sigmaUpdate_ = sublist.get(
"Penalty Parameter Growth Factor", 2.0);
65 modifySigma_ = sublist.get(
"Modify Penalty Parameter",
false);
66 maxSigma_ = sublist.get(
"Maximum Penalty Parameter", 1e8);
67 minSigma_ = sublist.get(
"Minimum Penalty Parameter", 1e-6);
68 subStep_ = sublist.get(
"Subproblem Step Type",
"Trust Region");
69 int subiter = sublist.get(
"Subproblem Iteration Limit", 100);
71 verbosity_ = list.sublist(
"General").get(
"Output Level", 0);
75 list_.sublist(
"General").set(
"Output Level",(print ?
verbosity_-1 : 0));
77 list_.sublist(
"Status Test").set(
"Iteration Limit", subiter);
80 template<
typename Real>
87 std::ostream &outStream ) {
88 Real tol = std::sqrt(ROL_EPSILON<Real>());
97 fobj.
reset(sigma_,delta_);
99 merit_ = fobj.
value(x,tol);
101 fobj.
gradient(*state_->gradientVec,x,tol);
102 gpnorm_ = state_->gradientVec->norm();
104 state_->gnorm = state_->gradientVec->norm();
108 state_->cnorm = state_->constraintVec->norm();
116 template<
typename Real>
123 std::ostream &outStream ) {
126 Real tol(std::sqrt(ROL_EPSILON<Real>()));
127 Ptr<Vector<Real>> dwa_ = g.
clone();
129 initialize(x,g,emul,eres,fobj,econ,outStream);
130 Ptr<TypeU::Algorithm<Real>> algo;
132 if (verbosity_ > 0) writeOutput(outStream,
true);
134 while (status_->check(*state_)) {
136 algo = TypeU::AlgorithmFactory<Real>(list_,secant_);
137 algo->run(x,g,fobj,outStream);
138 subproblemIter_ = algo->getState()->iter;
141 state_->stepVec->set(x);
142 state_->stepVec->axpy(-one,*state_->iterateVec);
143 state_->snorm = state_->stepVec->norm();
147 state_->iterateVec->set(x);
150 state_->cnorm = state_->constraintVec->norm();
152 state_->gnorm = state_->gradientVec->norm();
154 emul.
set(*state_->lagmultVec);
155 merit_ = algo->getState()->value;
156 gpnorm_ = algo->getState()->gnorm;
164 bool too_infeasible = state_->cnorm >
static_cast<Real
>(100.)*gpnorm_;
165 bool too_feasible = state_->cnorm <
static_cast<Real
>(1e-2)*gpnorm_;
166 bool modified =
false;
167 if( too_infeasible && !modified && modifySigma_
169 sigma_ = std::min(sigma_*sigmaUpdate_, maxSigma_);
172 if( too_feasible && !modified && modifySigma_
174 sigma_ = std::max(sigma_/sigmaUpdate_, minSigma_);
177 if( delta_ > minDelta_ && !modified ) {
178 Real deltaNext = delta_ * deltaUpdate_;
179 if( gpnorm_ < deltaNext ) {
185 fobj.
reset(sigma_,delta_);
186 merit_ = fobj.
value(x,tol);
188 gpnorm_ = dwa_->norm();
196 if (verbosity_ > 0) writeOutput(outStream,printHeader_);
202 template<
typename Real>
204 std::ios_base::fmtflags osFlags(os.flags());
206 os << std::string(114,
'-') << std::endl;
207 os <<
"Fletcher exact penalty status output definitions" << std::endl << std::endl;
208 os <<
" iter - Number of iterates (steps taken)" << std::endl;
209 os <<
" fval - Objective function value" << std::endl;
210 os <<
" cnorm - Norm of the constraint violation" << std::endl;
211 os <<
" gLnorm - Norm of the gradient of the Lagrangian" << std::endl;
212 os <<
" snorm - Norm of the step" << std::endl;
213 os <<
" merit - Penalty function value" << std::endl;
214 os <<
" gpnorm - Norm of the gradient of the penalty" << std::endl;
215 os <<
" penalty - Penalty parameter" << std::endl;
216 os <<
" delta - Feasibility tolerance" << std::endl;
217 os <<
" #fval - Number of times the objective was computed" << std::endl;
218 os <<
" #grad - Number of times the gradient was computed" << std::endl;
219 os <<
" #cval - Number of times the constraint was computed" << std::endl;
220 os <<
" subIter - Number of iterations to solve subproblem" << std::endl;
221 os << std::string(114,
'-') << std::endl;
224 os << std::setw(6) << std::left <<
"iter";
225 os << std::setw(15) << std::left <<
"fval";
226 os << std::setw(15) << std::left <<
"cnorm";
227 os << std::setw(15) << std::left <<
"gLnorm";
228 os << std::setw(15) << std::left <<
"snorm";
229 os << std::setw(15) << std::left <<
"merit";
230 os << std::setw(15) << std::left <<
"gpnorm";
231 os << std::setw(10) << std::left <<
"penalty";
232 os << std::setw(10) << std::left <<
"delta";
233 os << std::setw(8) << std::left <<
"#fval";
234 os << std::setw(8) << std::left <<
"#grad";
235 os << std::setw(8) << std::left <<
"#cval";
236 os << std::setw(8) << std::left <<
"subIter";
241 template<
typename Real>
243 std::ios_base::fmtflags osFlags(os.flags());
244 os << std::endl <<
"Fletcher Exact Penalty Solver (Type E, Equality Constraints)";
246 os <<
"Subproblem Solver: " << subStep_ << std::endl;
250 template<
typename Real>
252 std::ios_base::fmtflags osFlags(os.flags());
253 os << std::scientific << std::setprecision(6);
254 if ( state_->iter == 0 ) writeName(os);
255 if ( print_header ) writeHeader(os);
256 if ( state_->iter == 0 ) {
258 os << std::setw(6) << std::left << state_->iter;
259 os << std::setw(15) << std::left << state_->value;
260 os << std::setw(15) << std::left << state_->cnorm;
261 os << std::setw(15) << std::left << state_->gnorm;
262 os << std::setw(15) << std::left <<
"---";
263 os << std::setw(15) << std::left << merit_;
264 os << std::setw(15) << std::left << gpnorm_;
265 os << std::scientific << std::setprecision(2);
266 os << std::setw(10) << std::left << sigma_;
267 os << std::setw(10) << std::left << delta_;
268 os << std::scientific << std::setprecision(6);
269 os << std::setw(8) << std::left << state_->nfval;
270 os << std::setw(8) << std::left << state_->ngrad;
271 os << std::setw(8) << std::left << state_->ncval;
272 os << std::setw(8) << std::left <<
"---";
277 os << std::setw(6) << std::left << state_->iter;
278 os << std::setw(15) << std::left << state_->value;
279 os << std::setw(15) << std::left << state_->cnorm;
280 os << std::setw(15) << std::left << state_->gnorm;
281 os << std::setw(15) << std::left << state_->snorm;
282 os << std::setw(15) << std::left << merit_;
283 os << std::setw(15) << std::left << gpnorm_;
284 os << std::scientific << std::setprecision(2);
285 os << std::setw(10) << std::left << sigma_;
286 os << std::setw(10) << std::left << delta_;
287 os << std::scientific << std::setprecision(6);
288 os << std::setw(8) << std::left << state_->nfval;
289 os << std::setw(8) << std::left << state_->ngrad;
290 os << std::setw(8) << std::left << state_->ncval;
291 os << std::setw(8) << std::left << subproblemIter_;
Provides the interface to evaluate objective functions.
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol) override
Compute gradient.
Ptr< const Vector< Real > > getMultiplierVec(const Vector< Real > &x)
virtual void writeName(std::ostream &os) const override
Print step name.
Defines the linear algebra or vector space interface.
virtual void writeOutput(std::ostream &os, const bool print_header=false) const override
Print iterate status.
virtual void run(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, Constraint< Real > &econ, Vector< Real > &emul, const Vector< Real > &eres, std::ostream &outStream=std::cout) override
Run algorithm on equality constrained problems (Type-E). This general interface supports the use of d...
Provides an interface to check status of optimization algorithms for problems with equality constrain...
void initialize(Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &l, const Vector< Real > &c, FletcherObjectiveE< Real > &fobj, Constraint< Real > &con, std::ostream &outStream)
FletcherAlgorithm(ParameterList &list, const Ptr< Secant< Real >> &secant=nullPtr)
int getNumberFunctionEvaluations() const
Real getObjectiveValue(const Vector< Real > &x)
Provides interface for and implements limited-memory secant operators.
virtual void writeHeader(std::ostream &os) const override
Print iterate header.
const Ptr< CombinedStatusTest< Real > > status_
int getNumberGradientEvaluations() const
virtual void writeExitStatus(std::ostream &os) const
Real value(const Vector< Real > &x, Real &tol) override
Compute value.
void initialize(const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &mul, const Vector< Real > &c)
Ptr< const Vector< Real > > getConstraintVec(const Vector< Real > &x)
virtual void set(const Vector &x)
Set where .
virtual void update(const Vector< Real > &x, UpdateType type, int iter=-1) override
Update objective function.
Ptr< const Vector< Real > > getLagrangianGradient(const Vector< Real > &x)
Defines the general constraint operator interface.
void reset(Real sigma, Real delta)
int getNumberConstraintEvaluations() const