ROL
Public Member Functions | Private Attributes | List of all members
ROL::Reduced_AugmentedLagrangian_SimOpt< Real > Class Template Reference

Provides the interface to evaluate the reduced SimOpt augmented Lagrangian. More...

#include <ROL_Reduced_AugmentedLagrangian_SimOpt.hpp>

+ Inheritance diagram for ROL::Reduced_AugmentedLagrangian_SimOpt< Real >:

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 > &param)
 
- 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
 

Detailed Description

template<class Real>
class ROL::Reduced_AugmentedLagrangian_SimOpt< Real >

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.

Constructor & Destructor Documentation

template<class Real >
ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::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 
)
inline

Member Function Documentation

template<class Real >
void ROL::Reduced_AugmentedLagrangian_SimOpt< 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]xis the new iterate.
[in]flagis true if the iterate has changed.
[in]iteris 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_.

template<class Real >
Real ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::value ( const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute value.

This function returns the objective function value.

Parameters
[in]xis the current iterate.
[in]tolis 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_.

template<class Real >
void ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::gradient ( Vector< Real > &  g,
const Vector< Real > &  x,
Real &  tol 
)
inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters
[out]gis the gradient.
[in]xis the current iterate.
[in]tolis 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_.

template<class Real >
void ROL::Reduced_AugmentedLagrangian_SimOpt< 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]hvis the the action of the Hessian on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis 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_.

template<class Real >
Real ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getObjectiveValue ( const Vector< Real > &  x)
inlinevirtual
template<class Real >
void ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getConstraintVec ( Vector< Real > &  c,
const Vector< Real > &  x 
)
inlinevirtual
template<class Real >
int ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getNumberConstraintEvaluations ( void  ) const
inlinevirtual
template<class Real >
int ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getNumberFunctionEvaluations ( void  ) const
inlinevirtual
template<class Real >
int ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::getNumberGradientEvaluations ( void  ) const
inlinevirtual
template<class Real >
void ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::reset ( const Vector< Real > &  multiplier,
const Real  penaltyParameter 
)
inlinevirtual
template<class Real >
void ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::setParameter ( const std::vector< Real > &  param)
inlinevirtual

Member Data Documentation

template<class Real >
ROL::Ptr<AugmentedLagrangian_SimOpt<Real> > ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::augLagSimOpt_
private
template<class Real >
ROL::Ptr<Reduced_Objective_SimOpt<Real> > ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::rAugLagSimOpt_
private
template<class Real >
ROL::Ptr<Vector<Real> > ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::state_
private
template<class Real >
int ROL::Reduced_AugmentedLagrangian_SimOpt< Real >::ngval_
private

The documentation for this class was generated from the following file: