44 #ifndef ROL_TYPEG_INTERIORPOINTALGORITHM_DEF_H
45 #define ROL_TYPEG_INTERIORPOINTALGORITHM_DEF_H
52 template<
typename Real>
55 list_(list), subproblemIter_(0), print_(false) {
61 ParameterList& steplist = list.sublist(
"Step").sublist(
"Interior Point");
62 state_->searchSize = steplist.get(
"Initial Barrier Parameter", 1.0);
63 mumin_ = steplist.get(
"Minimum Barrier Parameter", 1e-4);
64 mumax_ = steplist.get(
"Maximum Barrier Parameter", 1e8);
65 rho_ = steplist.get(
"Barrier Penalty Reduction Factor", 0.5);
67 kappaD_ = steplist.get(
"Linear Damping Coefficient", 1.e-4);
68 print_ = steplist.sublist(
"Subproblem").get(
"Print History",
false);
70 gtol_ = steplist.sublist(
"Subproblem").get(
"Initial Optimality Tolerance", 1e-2);
71 ctol_ = steplist.sublist(
"Subproblem").get(
"Initial Feasibility Tolerance", 1e-2);
73 int maxit = steplist.sublist(
"Subproblem").get(
"Iteration Limit", 1000);
74 list_.sublist(
"Status Test").set(
"Iteration Limit", maxit);
76 gtolrate_ = steplist.sublist(
"Subproblem").get(
"Optimality Tolerance Reduction Factor", 0.1);
77 ctolrate_ = steplist.sublist(
"Subproblem").get(
"Feasibility Tolerance Reduction Factor", 0.1);
78 mingtol_ =
static_cast<Real
>(1e-2)*list.sublist(
"Status Test").get(
"Gradient Tolerance", 1e-8);
79 minctol_ =
static_cast<Real
>(1e-2)*list.sublist(
"Status Test").get(
"Constraint Tolerance", 1e-8);
81 stepname_ = steplist.sublist(
"Subproblem").get(
"Step Type",
"Augmented Lagrangian");
84 verbosity_ = list.sublist(
"General").get(
"Output Level", 0);
90 template<
typename Real>
100 std::ostream &outStream) {
102 if (proj_ == nullPtr) {
103 proj_ = makePtr<PolyhedralProjection<Real>>(makePtrFromRef(bnd));
104 hasPolyProj_ =
false;
106 proj_->project(x,outStream);
114 updateState(x,l,ipobj,bnd,con,pwa,dwa,outStream);
118 template<
typename Real>
126 std::ostream &outStream) {
128 Real zerotol = std::sqrt(ROL_EPSILON<Real>());
130 if (state_->iter == 0) {
141 ipobj.
gradient(*state_->gradientVec, x, zerotol);
143 state_->gradientVec->plus(dwa);
146 pwa.
axpy(-one,state_->gradientVec->dual());
147 proj_->project(pwa,outStream);
149 state_->gnorm = pwa.
norm();
151 con.
value(*state_->constraintVec, x, zerotol);
152 state_->cnorm = state_->constraintVec->norm();
159 template<
typename Real>
167 std::ostream &outStream ) {
169 Ptr<Vector<Real>> pwa = x.
clone(), dwa = g.
clone();
172 x,g,useLinearDamping_,kappaD_,
174 initialize(x,g,emul,eres,ipobj,bnd,econ,*pwa,*dwa,outStream);
175 Ptr<TypeE::Algorithm<Real>> algo;
178 if (verbosity_ > 0) writeOutput(outStream,
true);
180 while (status_->check(*state_)) {
182 list_.sublist(
"Status Test").set(
"Gradient Tolerance", gtol_);
183 list_.sublist(
"Status Test").set(
"Constraint Tolerance", ctol_);
184 list_.sublist(
"Status Test").set(
"Step Tolerance", stol_);
185 algo = TypeE::AlgorithmFactory<Real>(list_,secant_);
186 if (hasPolyProj_) algo->run(x,g,ipobj,econ,emul,eres,
187 *proj_->getLinearConstraint(),
188 *proj_->getMultiplier(),
189 *proj_->getResidual(),outStream);
190 else algo->run(x,g,ipobj,econ,emul,eres,outStream);
191 subproblemIter_ = algo->getState()->iter;
192 state_->nfval += algo->getState()->nfval;
193 state_->ngrad += algo->getState()->ngrad;
194 state_->ncval += algo->getState()->ncval;
197 state_->stepVec->set(x);
198 state_->stepVec->axpy(-one,*state_->iterateVec);
199 state_->lagmultVec->axpy(-one,emul);
200 state_->snorm = state_->stepVec->norm();
201 state_->snorm += state_->lagmultVec->norm();
204 state_->iterateVec->set(x);
205 state_->lagmultVec->set(emul);
212 if( (rho_< one && state_->searchSize > mumin_) || (rho_ > one && state_->searchSize < mumax_) ) {
213 state_->searchSize *= rho_;
216 gtol_ *= gtolrate_; gtol_ = std::max(gtol_,mingtol_);
217 ctol_ *= ctolrate_; ctol_ = std::max(ctol_,minctol_);
218 stol_ =
static_cast<Real
>(1e-6)*std::min(gtol_,ctol_);
222 updateState(x,emul,ipobj,bnd,econ,*pwa,*dwa);
225 if (verbosity_ > 0) writeOutput(outStream,printHeader_);
230 template<
typename Real>
232 std::ios_base::fmtflags osFlags(os.flags());
233 if (verbosity_ > 1) {
234 os << std::string(109,
'-') << std::endl;
235 os <<
"Interior Point Solver";
236 os <<
" status output definitions" << std::endl << std::endl;
237 os <<
" iter - Number of iterates (steps taken)" << std::endl;
238 os <<
" fval - Objective function value" << std::endl;
239 os <<
" cnorm - Norm of the constraint" << std::endl;
240 os <<
" gLnorm - Norm of the gradient of the Lagrangian" << std::endl;
241 os <<
" snorm - Norm of the step (update to optimization vector)" << std::endl;
242 os <<
" penalty - Penalty parameter for bound constraints" << std::endl;
243 os <<
" #fval - Cumulative number of times the objective function was evaluated" << std::endl;
244 os <<
" #grad - Cumulative number of times the gradient was computed" << std::endl;
245 os <<
" #cval - Cumulative number of times the constraint was evaluated" << std::endl;
246 os <<
" optTol - Subproblem optimality tolerance" << std::endl;
247 os <<
" feasTol - Subproblem feasibility tolerance" << std::endl;
248 os <<
" subiter - Number of subproblem iterations" << std::endl;
249 os << std::string(109,
'-') << std::endl;
253 os << std::setw(6) << std::left <<
"iter";
254 os << std::setw(15) << std::left <<
"fval";
255 os << std::setw(15) << std::left <<
"cnorm";
256 os << std::setw(15) << std::left <<
"gLnorm";
257 os << std::setw(15) << std::left <<
"snorm";
258 os << std::setw(10) << std::left <<
"penalty";
259 os << std::setw(8) << std::left <<
"#fval";
260 os << std::setw(8) << std::left <<
"#grad";
261 os << std::setw(8) << std::left <<
"#cval";
262 os << std::setw(10) << std::left <<
"optTol";
263 os << std::setw(10) << std::left <<
"feasTol";
264 os << std::setw(8) << std::left <<
"subIter";
269 template<
typename Real>
271 std::ios_base::fmtflags osFlags(os.flags());
272 os << std::endl <<
"Interior Point Solver (Type G, General Constraints)";
274 os <<
"Subproblem Solver: " << stepname_ << std::endl;
278 template<
typename Real>
280 std::ios_base::fmtflags osFlags(os.flags());
281 os << std::scientific << std::setprecision(6);
282 if ( state_->iter == 0 ) writeName(os);
283 if ( print_header ) writeHeader(os);
284 if ( state_->iter == 0 ) {
286 os << std::setw(6) << std::left << state_->iter;
287 os << std::setw(15) << std::left << state_->value;
288 os << std::setw(15) << std::left << state_->cnorm;
289 os << std::setw(15) << std::left << state_->gnorm;
290 os << std::setw(15) << std::left <<
"---";
291 os << std::scientific << std::setprecision(2);
292 os << std::setw(10) << std::left << state_->searchSize;
293 os << std::setw(8) << std::left << state_->nfval;
294 os << std::setw(8) << std::left << state_->ngrad;
295 os << std::setw(8) << std::left << state_->ncval;
296 os << std::setw(10) << std::left <<
"---";
297 os << std::setw(10) << std::left <<
"---";
298 os << std::setw(8) << std::left <<
"---";
303 os << std::setw(6) << std::left << state_->iter;
304 os << std::setw(15) << std::left << state_->value;
305 os << std::setw(15) << std::left << state_->cnorm;
306 os << std::setw(15) << std::left << state_->gnorm;
307 os << std::setw(15) << std::left << state_->snorm;
308 os << std::scientific << std::setprecision(2);
309 os << std::setw(10) << std::left << state_->searchSize;
310 os << std::scientific << std::setprecision(6);
311 os << std::setw(8) << std::left << state_->nfval;
312 os << std::setw(8) << std::left << state_->ngrad;
313 os << std::setw(8) << std::left << state_->ncval;
314 os << std::scientific << std::setprecision(2);
315 os << std::setw(10) << std::left << gtol_;
316 os << std::setw(10) << std::left << ctol_;
317 os << std::scientific << std::setprecision(6);
318 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.
InteriorPointAlgorithm(ParameterList &list, const Ptr< Secant< Real >> &secant_=nullPtr)
virtual void projectInterior(Vector< Real > &x)
Project optimization variables into the interior of the feasible set.
virtual void update(const Vector< Real > &x, UpdateType type, int iter=-1)
Update constraint function.
virtual void axpy(const Real alpha, const Vector &x)
Compute where .
virtual void writeExitStatus(std::ostream &os) const
Defines the linear algebra or vector space interface.
virtual void value(Vector< Real > &c, const Vector< Real > &x, Real &tol)=0
Evaluate the constraint operator at .
void initialize(Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &l, const Vector< Real > &c, InteriorPointObjective< Real > &ipobj, BoundConstraint< Real > &bnd, Constraint< Real > &con, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout)
void run(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &econ, Vector< Real > &emul, const Vector< Real > &eres, std::ostream &outStream=std::cout) override
Run algorithm on general constrained problems (Type-G). This is the primary Type-G interface...
void updatePenalty(const Real mu)
void writeName(std::ostream &os) const override
Print step name.
Provides an interface to check status of optimization algorithms for problems with equality constrain...
Provides an interface to run general constrained optimization algorithms.
const Ptr< AlgorithmState< Real > > state_
void writeOutput(std::ostream &os, const bool print_header=false) const override
Print iterate status.
Provides interface for and implements limited-memory secant operators.
void update(const Vector< Real > &x, UpdateType type, int iter=-1)
Update objective function.
Provides the interface to apply upper and lower bound constraints.
virtual void applyAdjointJacobian(Vector< Real > &ajv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply the adjoint of the the constraint Jacobian at , , to vector .
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
void updateState(const Vector< Real > &x, const Vector< Real > &l, InteriorPointObjective< Real > &ipobj, BoundConstraint< Real > &bnd, Constraint< Real > &con, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout)
virtual void set(const Vector &x)
Set where .
virtual Real norm() const =0
Returns where .
const Ptr< CombinedStatusTest< Real > > status_
void initialize(const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &mul, const Vector< Real > &c)
void writeHeader(std::ostream &os) const override
Print iterate header.
Defines the general constraint operator interface.
Real getObjectiveValue(const Vector< Real > &x, Real &tol)