44 #ifndef ROL_TYPEP_TRUSTREGIONALGORITHM_HPP
45 #define ROL_TYPEP_TRUSTREGIONALGORITHM_HPP
67 std::string retString;
73 default: retString =
"INVALID ETrustRegionP";
116 template<
typename Real>
200 std::ostream &outStream = std::cout);
210 std::ostream &outStream = std::cout)
override;
212 void writeHeader( std::ostream& os )
const override;
214 void writeName( std::ostream& os )
const override;
216 void writeOutput( std::ostream& os,
bool write_header =
false )
const override;
240 std::ostream &outStream = std::cout)
const;
274 std::ostream &outStream = std::cout);
289 std::ostream &outStream = std::cout);
307 std::ostream &outStream = std::cout);
324 std::ostream &outStream = std::cout);
336 std::ostream &outStream = std::cout)
const;
338 void dbls(Real &alpha, Real &nval, Real &pred,
341 Real lambda, Real tmax,
Real alpha_
Initial Cauchy point step length (default: 1.0)
Provides the interface to evaluate objective functions.
void dspg2(Vector< Real > &y, Real &sval, Real &nval, Real &pRed, Vector< Real > &gmod, const Vector< Real > &x, Real del, TrustRegionModel_U< Real > &model, Objective< Real > &nobj, Vector< Real > &pwa, Vector< Real > &pwa1, Vector< Real > &pwa2, Vector< Real > &dwa, 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)
Real eps_
Safeguard for numerically evaluating ratio.
void dspg(Vector< Real > &y, Real &sval, Real &nval, Vector< Real > &gmod, const Vector< Real > &x, Real del, TrustRegionModel_U< Real > &model, Objective< Real > &nobj, 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)
Real mu0_
Sufficient decrease parameter (default: 1e-2)
TrustRegionAlgorithm(ParameterList &list, const Ptr< Secant< Real >> &secant=nullPtr)
Real tol2_
Relative tolerance for truncated CG (default: 1e-2)
int explim_
Maximum number of Cauchy point expansion steps (default: 10)
bool useSecantPrecond_
Flag to use secant as a preconditioner (default: false)
void initialize(Vector< Real > &x, const Vector< Real > &g, Real ftol, Objective< Real > &sobj, Objective< Real > &nobj, Vector< Real > &px, Vector< Real > &dg, std::ostream &outStream=std::cout)
Real eta2_
Radius increase threshold (default: 0.9)
int SPiter_
Subproblem solver iteration count.
EAlgorithmP & operator--(EAlgorithmP &type)
Real eta0_
Step acceptance threshold (default: 0.05)
Contains definitions of custom data types in ROL.
std::string removeStringFormat(std::string s)
Ptr< TrustRegionModel_U< Real > > model_
Container for trust-region model.
std::string ETrustRegionPToString(ETrustRegionP alg)
bool writeHeader_
Flag to write header at every iteration.
Defines the linear algebra or vector space interface.
int redlim_
Maximum number of Cauchy point reduction steps (default: 10)
Real dcauchy(Vector< Real > &s, Real &alpha, Real &sval, Real &nval, const Vector< Real > &x, const Vector< Real > &g, Real del, TrustRegionModel_U< Real > &model, Objective< Real > &nobj, Vector< Real > &px, Vector< Real > &dwa, Vector< Real > &dwa1, std::ostream &outStream=std::cout)
Real eta1_
Radius decrease threshold (default: 0.05)
std::vector< bool > useInexact_
void dbls(Real &alpha, Real &nval, Real &pred, const Vector< Real > &y, const Vector< Real > &s, Real lambda, Real tmax, Real kappa, Real gs, Objective< Real > &nobj, Vector< Real > &pwa)
ETRFlag
Enumation of flags used by trust-region solvers.
bool useSecantHessVec_
Flag to use secant as Hessian (default: false)
ETrustRegionP StringToETrustRegionP(std::string s)
Real TRsafe_
Safeguard size for numerically evaluating ratio (default: 1e2)
Provides the interface to evaluate trust-region model functions.
ESecant
Enumeration of secant update algorithms.
Real tol1_
Absolute tolerance for truncated CG (default: 1e-4)
void run(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &sobj, Objective< Real > &nobj, std::ostream &outStream=std::cout) override
Run algorithm on unconstrained problems (Type-U). This general interface supports the use of dual opt...
Real extrapf_
Extrapolation rate for Cauchy point computation (default: 1e1)
Provides interface for and implements limited-memory secant operators.
Real gamma1_
Radius decrease rate (positive rho) (default: 0.25)
Real spexp_
Relative tolerance exponent for subproblem solve (default: 1, range: [1,2])
int SPflag_
Subproblem solver termination flag.
int isValidTrustRegionP(ETrustRegionP alg)
int nhess_
Number of Hessian applications.
ESecant esec_
Secant type (default: Limited-Memory BFGS)
void writeOutput(std::ostream &os, bool write_header=false) const override
Print iterate status.
unsigned verbosity_
Output level (default: 0)
void dprox(Vector< Real > &x, const Vector< Real > &x0, Real t, Real del, Objective< Real > &nobj, Vector< Real > &y0, Vector< Real > &y1, Vector< Real > &yc, Vector< Real > &pwa, std::ostream &outStream=std::cout) const
TRUtils::ETRFlag TRflag_
Trust-region exit flag.
Real gamma0_
Radius decrease rate (negative rho) (default: 0.0625)
Real interpf_
Backtracking rate for Cauchy point computation (default: 1e-1)
Provides an interface to run the trust-region algorithm.
bool interpRad_
Interpolate the trust-region radius if ratio is negative (default: false)
Real delMax_
Maximum trust-region radius (default: ROL_INF)
void dncg(Vector< Real > &y, Real &sval, Real &nval, Vector< Real > &gmod, const Vector< Real > &x, Real del, TrustRegionModel_U< Real > &model, Objective< Real > &nobj, Vector< Real > &s, Vector< Real > &pwa1, Vector< Real > &pwa2, Vector< Real > &pwa3, Vector< Real > &pwa4, Vector< Real > &pwa5, Vector< Real > &dwa, std::ostream &outStream=std::cout)
Real qtol_
Relative tolerance for computed decrease in Cauchy point computation (default: 1-8) ...
Real gamma2_
Radius increase rate (default: 2.5)
Provides an interface to run optimization algorithms to minimize composite optimization problems f+ph...
void writeName(std::ostream &os) const override
Print step name.
void computeGradient(const Vector< Real > &x, Vector< Real > &g, Vector< Real > &px, Vector< Real > &dg, Vector< Real > &pwa, Real del, Objective< Real > &sobj, Objective< Real > &nobj, bool accept, Real >ol, Real &gnorm, std::ostream &outStream=std::cout) const
void writeHeader(std::ostream &os) const override
Print iterate header.
int maxit_
Maximum number of CG iterations (default: 25)
EAlgorithmP & operator++(EAlgorithmP &type)
bool normAlpha_
Normalize initial Cauchy point step length (default: false)