Provides the interface to evaluate the Moreau-Yosida penalty function. More...

#include <ROL_MoreauYosidaObjective.hpp>

Inheritance diagram for ROL::MoreauYosidaObjective< Real >:

Public Member Functions
	MoreauYosidaObjective (const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Vector< Real > &x, const Vector< Real > &g, const Real mu=1e1, const bool updateMultiplier=true, const bool updatePenalty=true)

	MoreauYosidaObjective (const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &lam, const Real mu=1e1, const bool updateMultiplier=true, const bool updatePenalty=true)

	MoreauYosidaObjective (const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Vector< Real > &x, const Vector< Real > &g, ParameterList &parlist)

	MoreauYosidaObjective (const Ptr< Objective< Real >> &obj, const Ptr< BoundConstraint< Real >> &bnd, const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &lam, ParameterList &parlist)

void	updateMultipliers (Real mu, const Vector< Real > &x)

void	reset (const Real mu)

Real	testComplementarity (const Vector< Real > &x)

Real	getObjectiveValue (const Vector< Real > &x, Real &tol)

void	getObjectiveGradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)

int	getNumberFunctionEvaluations (void)

int	getNumberGradientEvaluations (void)

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

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

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

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

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

	Objective ()

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

virtual void	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector. 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	computePenalty (const Vector< Real > &x)

void	initialize (const Vector< Real > &x, const Vector< Real > &g)

Private Attributes
const Ptr< Objective< Real > >	obj_

const Ptr< BoundConstraint < Real > >	bnd_

Ptr< Vector< Real > >	l_

Ptr< Vector< Real > >	u_

Ptr< Vector< Real > >	l1_

Ptr< Vector< Real > >	u1_

Ptr< Vector< Real > >	dl1_

Ptr< Vector< Real > >	du1_

Ptr< Vector< Real > >	xlam_

Ptr< Vector< Real > >	v_

Ptr< Vector< Real > >	dv_

Ptr< Vector< Real > >	dv2_

Ptr< Vector< Real > >	lam_

Ptr< Vector< Real > >	tmp_

Ptr< ScalarController< Real, int > >	fval_

Ptr< VectorController< Real, int > >	gradient_

Real	mu_

bool	isPenEvaluated_

int	nfval_

int	ngrad_

bool	updateMultiplier_

bool	updatePenalty_

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

Detailed Description

template<class Real>
class ROL::MoreauYosidaObjective< Real >

Provides the interface to evaluate the Moreau-Yosida penalty function.

Definition at line 33 of file ROL_MoreauYosidaObjective.hpp.

Constructor & Destructor Documentation

template<class Real>

ROL::MoreauYosidaObjective< Real >::MoreauYosidaObjective	(	const Ptr< Objective< Real >> &	obj,
		const Ptr< BoundConstraint< Real >> &	bnd,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		const Real	mu = `1e1`,
		const bool	updateMultiplier = `true`,
		const bool	updatePenalty = `true`
	)

inline

Definition at line 129 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::initialize().

template<class Real>

ROL::MoreauYosidaObjective< Real >::MoreauYosidaObjective	(	const Ptr< Objective< Real >> &	obj,
		const Ptr< BoundConstraint< Real >> &	bnd,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		const Vector< Real > &	lam,
		const Real	mu = `1e1`,
		const bool	updateMultiplier = `true`,
		const bool	updatePenalty = `true`
	)

inline

Definition at line 142 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::lam_.

template<class Real>

ROL::MoreauYosidaObjective< Real >::MoreauYosidaObjective	(	const Ptr< Objective< Real >> &	obj,
		const Ptr< BoundConstraint< Real >> &	bnd,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		ParameterList &	parlist
	)

inline

Definition at line 154 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::initialize(), ROL::MoreauYosidaObjective< Real >::mu_, ROL::MoreauYosidaObjective< Real >::updateMultiplier_, and ROL::MoreauYosidaObjective< Real >::updatePenalty_.

template<class Real>

ROL::MoreauYosidaObjective< Real >::MoreauYosidaObjective	(	const Ptr< Objective< Real >> &	obj,
		const Ptr< BoundConstraint< Real >> &	bnd,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		const Vector< Real > &	lam,
		ParameterList &	parlist
	)

inline

Definition at line 168 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::lam_.

Member Function Documentation

template<class Real>

void ROL::MoreauYosidaObjective< Real >::computePenalty ( const Vector< Real > & x )

inlineprivate

Definition at line 61 of file ROL_MoreauYosidaObjective.hpp.

Referenced by ROL::MoreauYosidaObjective< Real >::gradient(), ROL::MoreauYosidaObjective< Real >::hessVec(), ROL::MoreauYosidaObjective< Real >::testComplementarity(), ROL::MoreauYosidaObjective< Real >::updateMultipliers(), and ROL::MoreauYosidaObjective< Real >::value().

template<class Real>

void ROL::MoreauYosidaObjective< Real >::initialize	(	const Vector< Real > &	x,
		const Vector< Real > &	g
	)

inlineprivate

Definition at line 101 of file ROL_MoreauYosidaObjective.hpp.

Referenced by ROL::MoreauYosidaObjective< Real >::MoreauYosidaObjective().

template<class Real>

void ROL::MoreauYosidaObjective< Real >::updateMultipliers	(	Real	mu,
		const Vector< Real > &	x
	)

inline

Definition at line 178 of file ROL_MoreauYosidaObjective.hpp.

Referenced by ROL::TypeB::MoreauYosidaAlgorithm< Real >::run(), and ROL::TypeG::MoreauYosidaAlgorithm< Real >::run().

template<class Real>

void ROL::MoreauYosidaObjective< Real >::reset ( const Real mu )

inline

Definition at line 195 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::isPenEvaluated_, ROL::MoreauYosidaObjective< Real >::lam_, ROL::MoreauYosidaObjective< Real >::mu_, ROL::MoreauYosidaObjective< Real >::nfval_, and ROL::MoreauYosidaObjective< Real >::ngrad_.

template<class Real>

Real ROL::MoreauYosidaObjective< Real >::testComplementarity ( const Vector< Real > & x )

inline

Definition at line 202 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::bnd_, ROL::MoreauYosidaObjective< Real >::computePenalty(), ROL::MoreauYosidaObjective< Real >::l1_, ROL::MoreauYosidaObjective< Real >::l_, ROL::MoreauYosidaObjective< Real >::mu_, ROL::MoreauYosidaObjective< Real >::tmp_, ROL::MoreauYosidaObjective< Real >::u1_, and ROL::MoreauYosidaObjective< Real >::u_.

Referenced by ROL::TypeB::MoreauYosidaAlgorithm< Real >::updateState(), and ROL::TypeG::MoreauYosidaAlgorithm< Real >::updateState().

template<class Real>

Real ROL::MoreauYosidaObjective< Real >::getObjectiveValue	(	const Vector< Real > &	x,
		Real &	tol
	)

inline

Definition at line 225 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::fval_, ROL::MoreauYosidaObjective< Real >::nfval_, and ROL::MoreauYosidaObjective< Real >::obj_.

Referenced by ROL::TypeB::MoreauYosidaAlgorithm< Real >::updateState(), ROL::TypeG::MoreauYosidaAlgorithm< Real >::updateState(), and ROL::MoreauYosidaObjective< Real >::value().

template<class Real>

void ROL::MoreauYosidaObjective< Real >::getObjectiveGradient	(	Vector< Real > &	g,
		const Vector< Real > &	x,
		Real &	tol
	)

inline

Definition at line 236 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::gradient_, ROL::MoreauYosidaObjective< Real >::ngrad_, and ROL::MoreauYosidaObjective< Real >::obj_.

Referenced by ROL::MoreauYosidaObjective< Real >::gradient(), ROL::TypeB::MoreauYosidaAlgorithm< Real >::updateState(), and ROL::TypeG::MoreauYosidaAlgorithm< Real >::updateState().

template<class Real>

int ROL::MoreauYosidaObjective< Real >::getNumberFunctionEvaluations ( void )

inline

Definition at line 245 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::nfval_.

Referenced by ROL::TypeB::MoreauYosidaAlgorithm< Real >::run().

template<class Real>

int ROL::MoreauYosidaObjective< Real >::getNumberGradientEvaluations ( void )

inline

Definition at line 249 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::ngrad_.

Referenced by ROL::TypeB::MoreauYosidaAlgorithm< Real >::run().

template<class Real>

void ROL::MoreauYosidaObjective< Real >::update	(	const Vector< Real > &	x,
		UpdateType	type,
		int	iter = `-1`
	)

inlinevirtual

Update Moreau-Yosida penalty function.

This function updates the Moreau-Yosida penalty function at new iterations.

Parameters

[in]	x	is the new iterate.
[in]	flag	is true if the iterate has changed.
[in]	iter	is the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 260 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::fval_, ROL::MoreauYosidaObjective< Real >::gradient_, ROL::MoreauYosidaObjective< Real >::isPenEvaluated_, and ROL::MoreauYosidaObjective< Real >::obj_.

Referenced by ROL::TypeB::MoreauYosidaAlgorithm< Real >::updateState(), and ROL::TypeG::MoreauYosidaAlgorithm< Real >::updateState().

template<class Real>

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

inlinevirtual

Compute value.

This function returns the Moreau-Yosida penalty value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.

Implements ROL::Objective< Real >.

Definition at line 274 of file ROL_MoreauYosidaObjective.hpp.

References ROL::MoreauYosidaObjective< Real >::bnd_, ROL::MoreauYosidaObjective< Real >::computePenalty(), ROL::MoreauYosidaObjective< Real >::getObjectiveValue(), ROL::MoreauYosidaObjective< Real >::l1_, ROL::MoreauYosidaObjective< Real >::mu_, and ROL::MoreauYosidaObjective< Real >::u1_.

template<class Real>

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

inlinevirtual

Compute gradient.

This function returns the Moreau-Yosida penalty gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 293 of file ROL_MoreauYosidaObjective.hpp.

References ROL::Vector< Real >::axpy(), ROL::MoreauYosidaObjective< Real >::bnd_, ROL::MoreauYosidaObjective< Real >::computePenalty(), ROL::MoreauYosidaObjective< Real >::dl1_, ROL::MoreauYosidaObjective< Real >::du1_, ROL::MoreauYosidaObjective< Real >::getObjectiveGradient(), and ROL::MoreauYosidaObjective< Real >::mu_.

template<class Real>

void ROL::MoreauYosidaObjective< 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 Moreau-Yosida penalty 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 Moreau-Yosida penalty computation.