Provides the interface to evaluate projected trust-region model functions from the Kelley-Sachs bound constrained trust-region algorithm. More...

#include <ROL_KelleySachsModel.hpp>

Inheritance diagram for ROL::KelleySachsModel< Real >:

Classes
class	LowerBinding

class	PruneBinding

class	PruneNonbinding

class	UpperBinding

Public Member Functions
	KelleySachsModel (Objective< Real > &obj, BoundConstraint< Real > &bnd, const Vector< Real > &x, const Vector< Real > &g, const Ptr< Secant< Real >> &secant=nullPtr, const bool useSecantPrecond=false, const bool useSecantHessVec=false)

void	setEpsilon (const Real eps)

Real	value (const Vector< Real > &s, Real &tol)
	Compute value. More...

void	gradient (Vector< Real > &g, const Vector< Real > &s, Real &tol)
	Compute gradient. More...

void	hessVec (Vector< Real > &Hv, const Vector< Real > &v, const Vector< Real > &s, Real &tol)
	Apply Hessian approximation to vector. More...

void	invHessVec (Vector< Real > &Hv, const Vector< Real > &v, const Vector< Real > &s, Real &tol)
	Apply inverse Hessian approximation to vector. More...

void	precond (Vector< Real > &Mv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector. More...

void	dualTransform (Vector< Real > &tv, const Vector< Real > &v)

void	primalTransform (Vector< Real > &tv, const Vector< Real > &v)

Public Member Functions inherited from ROL::TrustRegionModel< Real >
virtual	~TrustRegionModel ()

	TrustRegionModel (Objective< Real > &obj, BoundConstraint< Real > &bnd, const Vector< Real > &x, const Vector< Real > &g, const Ptr< Secant< Real >> &secant=nullPtr, const bool useSecantPrecond=false, const bool useSecantHessVec=false)

virtual void	update (Objective< Real > &obj, BoundConstraint< Real > &bnd, const Vector< Real > &x, const Vector< Real > &g, const Ptr< Secant< Real >> &secant=nullPtr)

virtual const Ptr< const Vector< Real > >	getGradient (void) const

virtual const Ptr< const Vector< Real > >	getIterate (void) const

virtual const Ptr< Objective < Real > >	getObjective (void) const

virtual const Ptr < BoundConstraint< Real > >	getBoundConstraint (void) const

virtual void	updatePredictedReduction (Real &pred, const Vector< Real > &s)

virtual void	updateActualReduction (Real &ared, const Vector< Real > &s)

Public Member Functions inherited from ROL::Objective< Real >
virtual	~Objective ()

	Objective ()

virtual void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
	Update objective function. More...

virtual void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update objective function. More...

virtual Real	dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
	Compute directional derivative. More...

virtual void	prox (Vector< Real > &Pv, const Vector< Real > &v, Real t, Real &tol)

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check. More...

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check. More...

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes. More...

virtual std::vector < std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes. More...

virtual std::vector < std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes. More...

virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check. More...

virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check. More...

virtual void	setParameter (const std::vector< Real > &param)

Private Member Functions
void	pruneBindingConstraints (Vector< Real > &v)

void	pruneNonbindingConstraints (Vector< Real > &v)

Private Attributes
Ptr< Vector< Real > >	dual_

Ptr< Vector< Real > >	prim_

Ptr< Vector< Real > >	prim2_

Real	eps_

ROL::KelleySachsModel::PruneBinding	binding_

ROL::KelleySachsModel::PruneNonbinding	nonbinding_

Additional Inherited Members
Protected Member Functions inherited from ROL::TrustRegionModel< Real >
void	applyHessian (Vector< Real > &hv, const Vector< Real > &v, Real &tol)

void	applyInvHessian (Vector< Real > &hv, const Vector< Real > &v, Real &tol)

void	applyPrecond (Vector< Real > &Pv, const Vector< Real > &v, Real &tol)

Protected Member Functions inherited from ROL::Objective< Real >
const std::vector< Real >	getParameter (void) const

Detailed Description

template<class Real>
class ROL::KelleySachsModel< Real >

Provides the interface to evaluate projected trust-region model functions from the Kelley-Sachs bound constrained trust-region algorithm.

Definition at line 27 of file ROL_KelleySachsModel.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::KelleySachsModel< Real >::KelleySachsModel	(	Objective< Real > &	obj,
		BoundConstraint< Real > &	bnd,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		const Ptr< Secant< Real >> &	secant = `nullPtr`,
		const bool	useSecantPrecond = `false`,
		const bool	useSecantHessVec = `false`
	)

inline

Definition at line 114 of file ROL_KelleySachsModel.hpp.

References ROL::Vector< Real >::clone(), ROL::KelleySachsModel< Real >::dual_, ROL::KelleySachsModel< Real >::prim2_, and ROL::KelleySachsModel< Real >::prim_.

Member Function Documentation

template<class Real >

void ROL::KelleySachsModel< Real >::pruneBindingConstraints ( Vector< Real > & v )

inlineprivate

Definition at line 70 of file ROL_KelleySachsModel.hpp.

References ROL::KelleySachsModel< Real >::eps_, ROL::TrustRegionModel< Real >::getBoundConstraint(), ROL::TrustRegionModel< Real >::getGradient(), and ROL::TrustRegionModel< Real >::getIterate().

Referenced by ROL::KelleySachsModel< Real >::dualTransform(), ROL::KelleySachsModel< Real >::gradient(), ROL::KelleySachsModel< Real >::hessVec(), ROL::KelleySachsModel< Real >::invHessVec(), ROL::KelleySachsModel< Real >::precond(), and ROL::KelleySachsModel< Real >::value().

template<class Real >

void ROL::KelleySachsModel< Real >::pruneNonbindingConstraints ( Vector< Real > & v )

inlineprivate

Definition at line 91 of file ROL_KelleySachsModel.hpp.

References ROL::KelleySachsModel< Real >::eps_, ROL::TrustRegionModel< Real >::getBoundConstraint(), ROL::TrustRegionModel< Real >::getGradient(), and ROL::TrustRegionModel< Real >::getIterate().

Referenced by ROL::KelleySachsModel< Real >::hessVec(), ROL::KelleySachsModel< Real >::invHessVec(), and ROL::KelleySachsModel< Real >::precond().

template<class Real >

void ROL::KelleySachsModel< Real >::setEpsilon ( const Real eps )

inline

Definition at line 125 of file ROL_KelleySachsModel.hpp.

References ROL::KelleySachsModel< Real >::eps_.

template<class Real >

Real ROL::KelleySachsModel< Real >::value	(	const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute value.

This function returns the objective function value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Reimplemented from ROL::TrustRegionModel< Real >.

Definition at line 132 of file ROL_KelleySachsModel.hpp.

References ROL::Vector< Real >::dual(), ROL::KelleySachsModel< Real >::dual_, ROL::KelleySachsModel< Real >::hessVec(), ROL::KelleySachsModel< Real >::prim_, and ROL::KelleySachsModel< Real >::pruneBindingConstraints().

template<class Real >

void ROL::KelleySachsModel< Real >::gradient	(	Vector< Real > &	g,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::TrustRegionModel< Real >.

Definition at line 143 of file ROL_KelleySachsModel.hpp.

References ROL::KelleySachsModel< Real >::hessVec(), ROL::Vector< Real >::plus(), ROL::KelleySachsModel< Real >::prim_, and ROL::KelleySachsModel< Real >::pruneBindingConstraints().

template<class Real >

void ROL::KelleySachsModel< Real >::hessVec	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters

[out]	hv	is the the action of the Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Reimplemented from ROL::TrustRegionModel< Real >.

Definition at line 153 of file ROL_KelleySachsModel.hpp.

References ROL::TrustRegionModel< Real >::applyHessian(), ROL::KelleySachsModel< Real >::dual_, ROL::Vector< Real >::plus(), ROL::KelleySachsModel< Real >::prim_, ROL::KelleySachsModel< Real >::pruneBindingConstraints(), and ROL::KelleySachsModel< Real >::pruneNonbindingConstraints().

Referenced by ROL::KelleySachsModel< Real >::gradient(), and ROL::KelleySachsModel< Real >::value().

template<class Real >

void ROL::KelleySachsModel< Real >::invHessVec	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Apply inverse Hessian approximation to vector.

This function applies the inverse Hessian of the objective function to the vector \(v\).

Parameters

[out]	hv	is the action of the inverse Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Reimplemented from ROL::TrustRegionModel< Real >.

Definition at line 172 of file ROL_KelleySachsModel.hpp.

References ROL::TrustRegionModel< Real >::applyInvHessian(), ROL::KelleySachsModel< Real >::dual_, ROL::Vector< Real >::plus(), ROL::KelleySachsModel< Real >::prim_, ROL::KelleySachsModel< Real >::pruneBindingConstraints(), and ROL::KelleySachsModel< Real >::pruneNonbindingConstraints().

template<class Real >

void ROL::KelleySachsModel< Real >::precond	(	Vector< Real > &	Pv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Apply preconditioner to vector.

This function applies a preconditioner for the Hessian of the objective function to the vector \(v\).

Parameters

[out]	Pv	is the action of the Hessian preconditioner on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.