Provides the interface to to Method of Moving Asymptotes Objective function. More...

#include <ROL_ObjectiveMMA.hpp>

Inheritance diagram for ROL::ObjectiveMMA< Real >:

Public Member Functions
	ObjectiveMMA (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &bnd, const Vector< Real > &x, Real tol=std::sqrt(ROL_EPSILON< Real >()))

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

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

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

virtual void	proxJacVec (Vector< Real > &Jv, const Vector< Real > &v, const Vector< Real > &x, Real t, Real &tol)
	Apply the Jacobian of the proximity operator. More...

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 std::vector < std::vector< Real > >	checkProxJacVec (const Vector< Real > &x, const Vector< Real > &v, Real t=Real(1), bool printToStream=true, std::ostream &outStream=std::cout, int numSteps=ROL_NUM_CHECKDERIV_STEPS)
	Finite-difference proximity operator Jacobian-applied-to-vector check. More...

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

Private Types
typedef Objective< Real >	OBJ

typedef BoundConstraint< Real >	BND

Private Attributes
const ROL::Ptr< OBJ >	obj_

const ROL::Ptr< BND >	bnd_

ROL::Ptr< V >	l_

ROL::Ptr< V >	u_

ROL::Ptr< V >	p_

ROL::Ptr< V >	q_

ROL::Ptr< V >	d_

Real	fval_

Real	tol_

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::ObjectiveMMA< Real >

Provides the interface to to Method of Moving Asymptotes Objective function.

Definition at line 28 of file ROL_ObjectiveMMA.hpp.

Member Typedef Documentation

template<class Real >

typedef Objective<Real> ROL::ObjectiveMMA< Real >::OBJ

private

Definition at line 32 of file ROL_ObjectiveMMA.hpp.

template<class Real >

typedef BoundConstraint<Real> ROL::ObjectiveMMA< Real >::BND

private

Definition at line 33 of file ROL_ObjectiveMMA.hpp.

Constructor & Destructor Documentation

template<class Real >

ROL::ObjectiveMMA< Real >::ObjectiveMMA	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	bnd,
		const Vector< Real > &	x,
		Real	tol = `std::sqrt(ROL_EPSILON<Real>())`
	)

inline

Definition at line 55 of file ROL_ObjectiveMMA.hpp.

References ROL::ObjectiveMMA< Real >::bnd_, ROL::Vector< Real >::clone(), ROL::ObjectiveMMA< Real >::d_, ROL::ObjectiveMMA< Real >::l_, ROL::ObjectiveMMA< Real >::p_, ROL::ObjectiveMMA< Real >::q_, and ROL::ObjectiveMMA< Real >::u_.

Member Function Documentation

template<class Real >

void ROL::ObjectiveMMA< Real >::update	(	const Vector< Real > &	x,
		bool	flag = `true`,
		int	iter = `-1`
	)

inlinevirtual

Update objective function.

This function updates the objective 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 70 of file ROL_ObjectiveMMA.hpp.

References ROL::ObjectiveMMA< Real >::d_, ROL::ObjectiveMMA< Real >::fval_, ROL::ObjectiveMMA< Real >::l_, ROL::ObjectiveMMA< Real >::obj_, ROL::ObjectiveMMA< Real >::p_, ROL::ObjectiveMMA< Real >::q_, and ROL::ObjectiveMMA< Real >::u_.

template<class Real >

Real ROL::ObjectiveMMA< 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.

Implements ROL::Objective< Real >.

Definition at line 100 of file ROL_ObjectiveMMA.hpp.

References ROL::ObjectiveMMA< Real >::d_, ROL::ObjectiveMMA< Real >::fval_, ROL::ObjectiveMMA< Real >::l_, ROL::ObjectiveMMA< Real >::p_, ROL::ObjectiveMMA< Real >::q_, and ROL::ObjectiveMMA< Real >::u_.

template<class Real >

void ROL::ObjectiveMMA< 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::Objective< Real >.

Definition at line 125 of file ROL_ObjectiveMMA.hpp.

References ROL::ObjectiveMMA< Real >::d_, ROL::ObjectiveMMA< Real >::l_, ROL::ObjectiveMMA< Real >::p_, ROL::Vector< Real >::plus(), ROL::ObjectiveMMA< Real >::q_, ROL::Vector< Real >::set(), and ROL::ObjectiveMMA< Real >::u_.

template<class Real >

void ROL::ObjectiveMMA< 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::Objective< Real >.

Definition at line 146 of file ROL_ObjectiveMMA.hpp.

References ROL::Vector< Real >::applyBinary(), ROL::ObjectiveMMA< Real >::d_, ROL::ObjectiveMMA< Real >::l_, ROL::ObjectiveMMA< Real >::p_, ROL::Vector< Real >::plus(), ROL::ObjectiveMMA< Real >::q_, ROL::Vector< Real >::set(), and ROL::ObjectiveMMA< Real >::u_.

template<class Real >

void ROL::ObjectiveMMA< 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.