ROL
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Provides the interface to evaluate the quadratic constraint penalty. More...
#include <ROL_QuadraticPenalty.hpp>
Public Member Functions | |
QuadraticPenalty (const ROL::Ptr< Constraint< Real > > &con, const Vector< Real > &multiplier, const Real penaltyParameter, const Vector< Real > &optVec, const Vector< Real > &conVec, const bool useScaling=false, const int HessianApprox=0) | |
void | setScaling (const Real cscale=1) |
virtual void | update (const Vector< Real > &x, bool flag=true, int iter=-1) |
Update objective function. More... | |
virtual Real | value (const Vector< Real > &x, Real &tol) |
Compute value. More... | |
virtual void | gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol) |
Compute gradient. More... | |
virtual void | hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
Apply Hessian approximation to vector. More... | |
virtual void | getConstraintVec (Vector< Real > &c, const Vector< Real > &x) |
virtual int | getNumberConstraintEvaluations (void) const |
virtual void | reset (const Vector< Real > &multiplier, const Real penaltyParameter) |
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 | 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 > ¶m) |
Private Member Functions | |
void | evaluateConstraint (const Vector< Real > &x, Real &tol) |
Private Attributes | |
const ROL::Ptr< Constraint < Real > > | con_ |
ROL::Ptr< Vector< Real > > | multiplier_ |
Real | penaltyParameter_ |
ROL::Ptr< Vector< Real > > | primalMultiplierVector_ |
ROL::Ptr< Vector< Real > > | dualOptVector_ |
ROL::Ptr< Vector< Real > > | primalConVector_ |
ROL::Ptr< Vector< Real > > | conValue_ |
Real | cscale_ |
int | ncval_ |
const bool | useScaling_ |
const int | HessianApprox_ |
bool | isConstraintComputed_ |
Additional Inherited Members | |
Protected Member Functions inherited from ROL::Objective< Real > | |
const std::vector< Real > | getParameter (void) const |
Provides the interface to evaluate the quadratic constraint penalty.
This class implements the quadratic constraint penalty functional. Given an equality constraint \(c:\mathcal{X}\to\mathcal{C}\), the quadratic penalty functional is
\[ Q(x,\lambda,\mu) = \langle \lambda, c(x)\rangle_{\mathcal{C}^*,\mathcal{C}} + \frac{\mu}{2} \langle \mathfrak{R}c(x),c(x)\rangle_{\mathcal{C}^*,\mathcal{C}} \]
where \(\lambda\in\mathcal{C}^*\) denotes a multiplier, \(\mu > 0\) is the penalty parameter and \(\mathfrak{R}\in\mathcal{L}(\mathcal{C},\mathcal{C}^*)\) is the Riesz operator on the constraint space.
This implementation permits the scaling of \(Q\) by \(\mu^{-1}\) and also permits the Hessian approximation
\[ \nabla^2_x Q(x,\lambda,\mu)v \approx \mu c'(x)^*\mathfrak{R} c'(x)v. \]
Definition at line 50 of file ROL_QuadraticPenalty.hpp.
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Definition at line 85 of file ROL_QuadraticPenalty.hpp.
References ROL::Vector< Real >::clone(), ROL::QuadraticPenalty< Real >::conValue_, ROL::Vector< Real >::dual(), ROL::QuadraticPenalty< Real >::dualOptVector_, ROL::QuadraticPenalty< Real >::multiplier_, ROL::QuadraticPenalty< Real >::primalConVector_, and ROL::QuadraticPenalty< Real >::primalMultiplierVector_.
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Definition at line 76 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::con_, ROL::QuadraticPenalty< Real >::conValue_, ROL::QuadraticPenalty< Real >::isConstraintComputed_, and ROL::QuadraticPenalty< Real >::ncval_.
Referenced by ROL::QuadraticPenalty< Real >::getConstraintVec(), ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), and ROL::QuadraticPenalty< Real >::value().
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Definition at line 102 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::cscale_.
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Update objective function.
This function updates the objective function at new iterations.
[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 106 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::con_, and ROL::QuadraticPenalty< Real >::isConstraintComputed_.
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Compute value.
This function returns the objective function value.
[in] | x | is the current iterate. |
[in] | tol | is a tolerance for inexact objective function computation. |
Implements ROL::Objective< Real >.
Definition at line 111 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::conValue_, ROL::QuadraticPenalty< Real >::cscale_, ROL::QuadraticPenalty< Real >::evaluateConstraint(), ROL::QuadraticPenalty< Real >::multiplier_, ROL::QuadraticPenalty< Real >::penaltyParameter_, and ROL::QuadraticPenalty< Real >::useScaling_.
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Compute gradient.
This function returns the objective function gradient.
[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 130 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::con_, ROL::QuadraticPenalty< Real >::conValue_, ROL::QuadraticPenalty< Real >::cscale_, ROL::QuadraticPenalty< Real >::evaluateConstraint(), ROL::QuadraticPenalty< Real >::multiplier_, ROL::QuadraticPenalty< Real >::penaltyParameter_, ROL::QuadraticPenalty< Real >::primalMultiplierVector_, and ROL::QuadraticPenalty< Real >::useScaling_.
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Apply Hessian approximation to vector.
This function applies the Hessian of the objective function to the vector \(v\).
[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_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::con_, ROL::QuadraticPenalty< Real >::conValue_, ROL::QuadraticPenalty< Real >::cscale_, ROL::QuadraticPenalty< Real >::dualOptVector_, ROL::QuadraticPenalty< Real >::evaluateConstraint(), ROL::QuadraticPenalty< Real >::HessianApprox_, ROL::QuadraticPenalty< Real >::multiplier_, ROL::QuadraticPenalty< Real >::penaltyParameter_, ROL::Vector< Real >::plus(), ROL::QuadraticPenalty< Real >::primalConVector_, ROL::QuadraticPenalty< Real >::primalMultiplierVector_, ROL::Vector< Real >::scale(), ROL::QuadraticPenalty< Real >::useScaling_, and ROL::Vector< Real >::zero().
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Definition at line 195 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::conValue_, ROL::QuadraticPenalty< Real >::evaluateConstraint(), and ROL::Vector< Real >::set().
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Definition at line 203 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::ncval_.
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Definition at line 208 of file ROL_QuadraticPenalty.hpp.
References ROL::QuadraticPenalty< Real >::multiplier_, ROL::QuadraticPenalty< Real >::ncval_, and ROL::QuadraticPenalty< Real >::penaltyParameter_.
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Definition at line 53 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::evaluateConstraint(), ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), and ROL::QuadraticPenalty< Real >::update().
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Definition at line 55 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), ROL::QuadraticPenalty< Real >::reset(), and ROL::QuadraticPenalty< Real >::value().
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Definition at line 58 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), and ROL::QuadraticPenalty< Real >::QuadraticPenalty().
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Definition at line 59 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::hessVec(), and ROL::QuadraticPenalty< Real >::QuadraticPenalty().
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Definition at line 60 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::hessVec(), and ROL::QuadraticPenalty< Real >::QuadraticPenalty().
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Definition at line 63 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::evaluateConstraint(), ROL::QuadraticPenalty< Real >::getConstraintVec(), ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), ROL::QuadraticPenalty< Real >::QuadraticPenalty(), and ROL::QuadraticPenalty< Real >::value().
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Definition at line 64 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), ROL::QuadraticPenalty< Real >::setScaling(), and ROL::QuadraticPenalty< Real >::value().
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Definition at line 67 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::evaluateConstraint(), ROL::QuadraticPenalty< Real >::getNumberConstraintEvaluations(), and ROL::QuadraticPenalty< Real >::reset().
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Definition at line 70 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::gradient(), ROL::QuadraticPenalty< Real >::hessVec(), and ROL::QuadraticPenalty< Real >::value().
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Definition at line 71 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::hessVec().
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Definition at line 74 of file ROL_QuadraticPenalty.hpp.
Referenced by ROL::QuadraticPenalty< Real >::evaluateConstraint(), and ROL::QuadraticPenalty< Real >::update().