Provides an interface to run the trust-region algorithm of Kelley and Sachs. More...

#include <ROL_TypeB_KelleySachsAlgorithm.hpp>

Inheritance diagram for ROL::TypeB::KelleySachsAlgorithm< Real >:

Public Member Functions
	KelleySachsAlgorithm (ParameterList &list, const Ptr< Secant< Real >> &secant=nullPtr)

void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout) override
	Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method. More...

void	run (Problem< Real > &problem, std::ostream &outStream=std::cout) override
	Run algorithm on bound constrained problems (Type-B). This is the primary Type-B interface. More...

void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, const Vector< Real > &linear_eres, std::ostream &outStream=std::cout) override
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method. More...

void	writeHeader (std::ostream &os) const override
	Print iterate header. More...

void	writeName (std::ostream &os) const override
	Print step name. More...

void	writeOutput (std::ostream &os, const bool write_header=false) const override
	Print iterate status. More...

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

	Algorithm ()
	Constructor, given a step and a status test. More...

void	setStatusTest (const Ptr< StatusTest< Real >> &status, const bool combineStatus=false)

virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems (Type-B). This is the primary Type-B interface. More...

virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This is the primary Type-B with explicit linear constraints interface. More...

virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This is the primary Type-B with explicit linear constraints interface. More...

virtual void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, const Vector< Real > &linear_ires, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method. More...

virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This is the primary Type-B with explicit linear constraints interface. More...

virtual void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, const Vector< Real > &linear_eres, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, const Vector< Real > &linear_ires, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method. More...

virtual void	writeExitStatus (std::ostream &os) const

Ptr< const AlgorithmState< Real > >	getState () const

void	reset ()

Private Member Functions
void	initialize (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)

Real	trqsol (const Real xtx, const Real ptp, const Real ptx, const Real del) const

Real	trpcg (Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, const Vector< Real > &g0, const Real del, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real eps, const Real tol, const int itermax, Vector< Real > &p, Vector< Real > &q, Vector< Real > &r, Vector< Real > &t, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout) const

void	applyFreeHessian (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, Real eps, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa, Vector< Real > &dwa) const

void	applyFreePrecond (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, Real eps, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa, Vector< Real > &dwa) const

Private Attributes
Ptr< TrustRegionModel_U< Real > >	model_
	Container for trust-region model. More...

Real	delMax_
	Maximum trust-region radius (default: ROL_INF) More...

Real	eta0_
	Step acceptance threshold (default: 0.05) More...

Real	eta1_
	Radius decrease threshold (default: 0.05) More...

Real	eta2_
	Radius increase threshold (default: 0.9) More...

Real	gamma0_
	Radius decrease rate (negative rho) (default: 0.0625) More...

Real	gamma1_
	Radius decrease rate (positive rho) (default: 0.25) More...

Real	gamma2_
	Radius increase rate (default: 2.5) More...

Real	TRsafe_
	Safeguard size for numerically evaluating ratio (default: 1e2) More...

Real	eps_
	Safeguard for numerically evaluating ratio. More...

TRUtils::ETRFlag	TRflag_
	Trust-region exit flag. More...

int	SPflag_
	Subproblem solver termination flag. More...

int	SPiter_
	Subproblem solver iteration count. More...

ESecant	esec_
	Secant type (default: Limited-Memory BFGS) More...

bool	useSecantPrecond_
	Flag to use secant as a preconditioner (default: false) More...

bool	useSecantHessVec_
	Flag to use secant as Hessian (default: false) More...

int	maxit_
	Maximum number of CG iterations (default: 20) More...

Real	tol1_
	Absolute tolerance for truncated CG (default: 1e-4) More...

Real	tol2_
	Relative tolerance for truncated CG (default: 1e-2) More...

int	minit_
	Maximum number of minor (subproblem solve) iterations (default: 10) More...

Real	mu0_
	Sufficient decrease parameter (default: 1e-2) More...

Real	mu1_
	Sufficient decrease parameter postsmoothing (default: 0.9999) More...

Real	eps0_
	Epsilon binding set tolerance (default: 1e-3) More...

Real	beta_
	Projected search backtracking rate (default: 1e-2) More...

Real	alpha0_
	Initial step size for projected search (default: 1) More...

int	nhess_
	Number of Hessian applications. More...

unsigned	verbosity_
	Output level (default: 0) More...

bool	writeHeader_
	Flag to write header at every iteration. More...

Additional Inherited Members
Protected Member Functions inherited from ROL::TypeB::Algorithm< Real >
void	initialize (const Vector< Real > &x, const Vector< Real > &g)

Real	optimalityCriterion (const Vector< Real > &x, const Vector< Real > &g, Vector< Real > &primal, std::ostream &outStream=std::cout) const

Protected Attributes inherited from ROL::TypeB::Algorithm< Real >
const Ptr< CombinedStatusTest < Real > >	status_

const Ptr< AlgorithmState< Real > >	state_

Ptr< PolyhedralProjection< Real > >	proj_

Detailed Description

template<typename Real>
class ROL::TypeB::KelleySachsAlgorithm< Real >

Provides an interface to run the trust-region algorithm of Kelley and Sachs.

Definition at line 61 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

Constructor & Destructor Documentation

template<typename Real >

ROL::TypeB::KelleySachsAlgorithm< Real >::KelleySachsAlgorithm	(	ParameterList &	list,
		const Ptr< Secant< Real >> &	secant = `nullPtr`
	)

Definition at line 51 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::StringToESecant().

Member Function Documentation

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::run	(	Vector< Real > &	x,
		const Vector< Real > &	g,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	bnd,
		std::ostream &	outStream = `std::cout`
	)

overridevirtual

Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.

Implements ROL::TypeB::Algorithm< Real >.

Definition at line 127 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::Accept, ROL::Vector< Real >::clone(), ROL::Objective< Real >::gradient(), ROL::TRUtils::NPOSPREDNEG, ROL::Vector< Real >::plus(), ROL::TRUtils::POSPREDNEG, ROL::BoundConstraint< Real >::project(), ROL::BoundConstraint< Real >::pruneActive(), ROL::TRUtils::QMINSUFDEC, ROL::Revert, ROL::Vector< Real >::set(), ROL::TRUtils::SUCCESS, ROL::Trial, ROL::TRUtils::TRNAN, ROL::Objective< Real >::update(), ROL::Objective< Real >::value(), and ROL::TypeB::Algorithm< Real >::writeExitStatus().

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::run	(	Problem< Real > &	problem,
		std::ostream &	outStream = `std::cout`
	)

overridevirtual

Run algorithm on bound constrained problems (Type-B). This is the primary Type-B interface.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 291 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::Problem< Real >::getPolyhedralProjection(), and ROL::TypeB::Algorithm< Real >::run().

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::run	(	Vector< Real > &	x,
		const Vector< Real > &	g,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	bnd,
		Constraint< Real > &	linear_econ,
		Vector< Real > &	linear_emul,
		const Vector< Real > &	linear_eres,
		std::ostream &	outStream = `std::cout`
	)

overridevirtual

Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 302 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::writeHeader ( std::ostream & os ) const

overridevirtual

Print iterate header.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 488 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::CG_FLAG_SUCCESS, ROL::CG_FLAG_UNDEFINED, ROL::ECGFlagToString(), ROL::TRUtils::ETRFlagToString(), ROL::NumberToString(), ROL::TRUtils::SUCCESS, and ROL::TRUtils::UNDEFINED.

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::writeName ( std::ostream & os ) const

overridevirtual

Print step name.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 533 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::writeOutput	(	std::ostream &	os,
		const bool	write_header = `false`
	)		const

overridevirtual

Print iterate status.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 540 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::initialize	(	Vector< Real > &	x,
		const Vector< Real > &	g,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	bnd,
		std::ostream &	outStream = `std::cout`
	)

private

Definition at line 96 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::Objective< Real >::gradient(), ROL::Initial, ROL::TypeB::Algorithm< Real >::initialize(), ROL::BoundConstraint< Real >::project(), ROL::Objective< Real >::update(), and ROL::Objective< Real >::value().

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::trqsol	(	const Real	xtx,
		const Real	ptp,
		const Real	ptx,
		const Real	del
	)		const

private

Definition at line 314 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References zero.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::trpcg	(	Vector< Real > &	w,
		int &	iflag,
		int &	iter,
		const Vector< Real > &	g,
		const Vector< Real > &	x,
		const Vector< Real > &	g0,
		const Real	del,
		TrustRegionModel_U< Real > &	model,
		BoundConstraint< Real > &	bnd,
		Real	eps,
		const Real	tol,
		const int	itermax,
		Vector< Real > &	p,
		Vector< Real > &	q,
		Vector< Real > &	r,
		Vector< Real > &	t,
		Vector< Real > &	pwa,
		Vector< Real > &	dwa,
		std::ostream &	outStream = `std::cout`
	)		const

private

Definition at line 336 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::Vector< Real >::apply(), ROL::Vector< Real >::axpy(), ROL::Vector< Real >::norm(), ROL::Vector< Real >::plus(), ROL::Vector< Real >::scale(), ROL::Vector< Real >::set(), zero, and ROL::Vector< Real >::zero().

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::applyFreeHessian	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		Real	eps,
		TrustRegionModel_U< Real > &	model,
		BoundConstraint< Real > &	bnd,
		Real &	tol,
		Vector< Real > &	pwa,
		Vector< Real > &	dwa
	)		const

private

Definition at line 425 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::Vector< Real >::dual(), ROL::TrustRegionModel_U< Real >::hessVec(), ROL::Vector< Real >::plus(), ROL::BoundConstraint< Real >::pruneActive(), ROL::BoundConstraint< Real >::pruneInactive(), and ROL::Vector< Real >::set().

template<typename Real >

void ROL::TypeB::KelleySachsAlgorithm< Real >::applyFreePrecond	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		Real	eps,
		TrustRegionModel_U< Real > &	model,
		BoundConstraint< Real > &	bnd,
		Real &	tol,
		Vector< Real > &	pwa,
		Vector< Real > &	dwa
	)		const

private

Definition at line 457 of file ROL_TypeB_KelleySachsAlgorithm_Def.hpp.

References ROL::Vector< Real >::dual(), ROL::Vector< Real >::plus(), ROL::TrustRegionModel_U< Real >::precond(), ROL::BoundConstraint< Real >::pruneActive(), ROL::BoundConstraint< Real >::pruneInactive(), and ROL::Vector< Real >::set().

Member Data Documentation

template<typename Real >

Ptr<TrustRegionModel_U<Real> > ROL::TypeB::KelleySachsAlgorithm< Real >::model_

private

Container for trust-region model.

Definition at line 63 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::delMax_

private

Maximum trust-region radius (default: ROL_INF)

Definition at line 66 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::eta0_

private

Step acceptance threshold (default: 0.05)

Definition at line 67 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::eta1_

private

Radius decrease threshold (default: 0.05)

Definition at line 68 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::eta2_

private

Radius increase threshold (default: 0.9)

Definition at line 69 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::gamma0_

private

Radius decrease rate (negative rho) (default: 0.0625)

Definition at line 70 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::gamma1_

private

Radius decrease rate (positive rho) (default: 0.25)

Definition at line 71 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::gamma2_

private

Radius increase rate (default: 2.5)

Definition at line 72 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::TRsafe_

private

Safeguard size for numerically evaluating ratio (default: 1e2)

Definition at line 73 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::eps_

private

Safeguard for numerically evaluating ratio.

Definition at line 74 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

TRUtils::ETRFlag ROL::TypeB::KelleySachsAlgorithm< Real >::TRflag_

private

Trust-region exit flag.

Definition at line 77 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

int ROL::TypeB::KelleySachsAlgorithm< Real >::SPflag_

private

Subproblem solver termination flag.

Definition at line 78 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

int ROL::TypeB::KelleySachsAlgorithm< Real >::SPiter_

private

Subproblem solver iteration count.

Definition at line 79 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

ESecant ROL::TypeB::KelleySachsAlgorithm< Real >::esec_

private

Secant type (default: Limited-Memory BFGS)

Definition at line 82 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

bool ROL::TypeB::KelleySachsAlgorithm< Real >::useSecantPrecond_

private

Flag to use secant as a preconditioner (default: false)

Definition at line 83 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

bool ROL::TypeB::KelleySachsAlgorithm< Real >::useSecantHessVec_

private

Flag to use secant as Hessian (default: false)

Definition at line 84 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

int ROL::TypeB::KelleySachsAlgorithm< Real >::maxit_

private

Maximum number of CG iterations (default: 20)

Definition at line 87 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::tol1_

private

Absolute tolerance for truncated CG (default: 1e-4)

Definition at line 88 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::tol2_

private

Relative tolerance for truncated CG (default: 1e-2)

Definition at line 89 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

int ROL::TypeB::KelleySachsAlgorithm< Real >::minit_

private

Maximum number of minor (subproblem solve) iterations (default: 10)

Definition at line 92 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::mu0_

private

Sufficient decrease parameter (default: 1e-2)

Definition at line 93 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::mu1_

private

Sufficient decrease parameter postsmoothing (default: 0.9999)

Definition at line 94 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::eps0_

private

Epsilon binding set tolerance (default: 1e-3)

Definition at line 95 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::beta_

private

Projected search backtracking rate (default: 1e-2)

Definition at line 96 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

Real ROL::TypeB::KelleySachsAlgorithm< Real >::alpha0_

private

Initial step size for projected search (default: 1)

Definition at line 97 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

int ROL::TypeB::KelleySachsAlgorithm< Real >::nhess_

mutableprivate

Number of Hessian applications.

Definition at line 99 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

unsigned ROL::TypeB::KelleySachsAlgorithm< Real >::verbosity_

private

Output level (default: 0)

Definition at line 100 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

template<typename Real >

bool ROL::TypeB::KelleySachsAlgorithm< Real >::writeHeader_

private

Flag to write header at every iteration.

Definition at line 101 of file ROL_TypeB_KelleySachsAlgorithm.hpp.

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

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

template<typename Real> class ROL::TypeB::KelleySachsAlgorithm< Real >

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation

template<typename Real>
class ROL::TypeB::KelleySachsAlgorithm< Real >