ROL
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Provides the interface to evaluate the reduced SimOpt augmented Lagrangian. More...
#include <ROL_Reduced_AugmentedLagrangian_SimOpt.hpp>
Public Member Functions | |
Reduced_AugmentedLagrangian_SimOpt (const ROL::Ptr< Objective_SimOpt< Real > > &obj, const ROL::Ptr< Constraint_SimOpt< Real > > &redCon, const ROL::Ptr< Constraint_SimOpt< Real > > &augCon, const ROL::Ptr< Vector< Real > > &state, const ROL::Ptr< Vector< Real > > &control, const ROL::Ptr< Vector< Real > > &adjoint, const ROL::Ptr< Vector< Real > > &augConVec, const ROL::Ptr< Vector< Real > > &multiplier, const Real penaltyParameter, ROL::ParameterList &parlist) | |
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... | |
Real | getObjectiveValue (const Vector< Real > &x) |
void | getConstraintVec (Vector< Real > &c, const Vector< Real > &x) |
int | getNumberConstraintEvaluations (void) const |
int | getNumberFunctionEvaluations (void) const |
int | getNumberGradientEvaluations (void) const |
void | reset (const Vector< Real > &multiplier, const Real penaltyParameter) |
void | setParameter (const std::vector< Real > ¶m) |
Public Member Functions inherited from ROL::AugmentedLagrangian< Real > | |
AugmentedLagrangian (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< Constraint< Real > > &con, const Vector< Real > &multiplier, const Real penaltyParameter, const Vector< Real > &optVec, const Vector< Real > &conVec, ROL::ParameterList &parlist) | |
Constructor. More... | |
AugmentedLagrangian (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< Constraint< Real > > &con, const Vector< Real > &multiplier, const Real penaltyParameter, const Vector< Real > &optVec, const Vector< Real > &conVec, const bool scaleLagrangian, const int HessianApprox) | |
Constructor. More... | |
AugmentedLagrangian () | |
Null constructor. More... | |
void | setScaling (const Real fscale, const Real cscale=1.0) |
const Ptr< const Vector< Real > > | getObjectiveGradient (const Vector< Real > &x) |
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... | |
Private Attributes | |
ROL::Ptr < AugmentedLagrangian_SimOpt < Real > > | augLagSimOpt_ |
ROL::Ptr < Reduced_Objective_SimOpt < Real > > | rAugLagSimOpt_ |
ROL::Ptr< Vector< Real > > | state_ |
int | ngval_ |
Additional Inherited Members | |
Protected Member Functions inherited from ROL::Objective< Real > | |
const std::vector< Real > | getParameter (void) const |
Provides the interface to evaluate the reduced SimOpt augmented Lagrangian.
This class implements the reduced SimOpt augmented Lagrangian functional for use with ROL::AugmentedLagrangianStep. Given a function \(f:\mathcal{U}\times\mathcal{Z}\to\mathbb{R}\), a reducible equality constaint \(c_r:\mathcal{U}\times\mathcal{Z}\to\mathcal{C}_r\) and another equality constraint \(c_a:\mathcal{U}\times\mathcal{Z}\to\mathcal{C}_a\), the (partially) augmented Lagrangian functional is
\[ L_A(u,z,\lambda,\mu) = f(u,z) + \langle \lambda, c_a(u,z)\rangle_{\mathcal{C}_a^*,\mathcal{C}_a} + \frac{\mu}{2} \langle \mathfrak{R}c_a(u,z),c_a(u,z)\rangle_{\mathcal{C}_a^*,\mathcal{C}_a} \]
where \(\lambda\in\mathcal{C}_a^*\) denotes the Lagrange multiplier estimate, \(\mu > 0\) is the penalty parameter and \(\mathfrak{R}\in\mathcal{L}(\mathcal{C}_a,\mathcal{C}_a^*)\) is the Riesz operator on the constraint space \(\mathcal{C}_a\). Since \(c_r\) is reducible, there exists a solution operator \(S:\mathcal{Z}\to\mathcal{U}\) such that
\[ c_r(S(z),z) = 0 \quad\forall\, z\in\mathcal{Z}. \]
Substituting \(S(z)\) into \(L_A\) yields the reduced augmented Lagrangian \(\bar{L}_A(z,\lambda,\mu) = L_A(S(z),z,\lambda,\mu)\).
This implementation permits the scaling of \(L_A\) by \(\mu^{-1}\) and also permits the Hessian approximation
\[ \nabla^2_z \bar{L}_A(z,\lambda,\mu)v \approx \nabla^2 \bar{f}(z) v + \mu \bar{c}_a'(z)^*\mathfrak{R} \bar{c}_a'(z)v \]
where \(\bar{f}(z) = f(S(z),z)\) and \(\bar{c}_a(z) = c_a(S(z),z)\).
Definition at line 64 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
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Definition at line 74 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_, and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_.
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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::AugmentedLagrangian< Real >.
Definition at line 100 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_.
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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. |
Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 104 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_.
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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::AugmentedLagrangian< Real >.
Definition at line 108 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::ngval_, and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_.
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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::AugmentedLagrangian< Real >.
Definition at line 113 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_.
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Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 118 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_, and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::state_.
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Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 123 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_, and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::state_.
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Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 128 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_.
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Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 133 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_.
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Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 138 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::ngval_.
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Reimplemented from ROL::AugmentedLagrangian< Real >.
Definition at line 144 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_, and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::ngval_.
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Reimplemented from ROL::Objective< Real >.
Definition at line 151 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
References ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_, and ROL::Objective< Real >::setParameter().
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Definition at line 66 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
Referenced by ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getConstraintVec(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getNumberConstraintEvaluations(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getNumberFunctionEvaluations(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getObjectiveValue(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::Reduced_AugmentedLagrangian_SimOpt(), and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::reset().
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Definition at line 67 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
Referenced by ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::gradient(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::hessVec(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::Reduced_AugmentedLagrangian_SimOpt(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::setParameter(), ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::update(), and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::value().
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Definition at line 68 of file ROL_Reduced_AugmentedLagrangian_SimOpt.hpp.
Referenced by ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getConstraintVec(), and ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getObjectiveValue().
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