Provides an interface to run the line-search algorithm of Byrd, Lu, Nocedal and Zhu (similar to L-BFGS-B). More...

#include <ROL_TypeB_LSecantBAlgorithm.hpp>

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

Public Member Functions
	LSecantBAlgorithm (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	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 (Problem< Real > &problem, 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, 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, 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)
	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_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	dgpstep (Vector< Real > &s, const Vector< Real > &w, const Vector< Real > &x, const Real alpha, std::ostream &outStream=std::cout) const

Real	dcauchy (Vector< Real > &s, Real &alpha, Real &q, const Vector< Real > &x, const Vector< Real > &g, Secant< Real > &secant, Vector< Real > &dwa, Vector< Real > &dwa1, std::ostream &outStream=std::cout)

Real	dsrch (Vector< Real > &x, Vector< Real > &s, Real &fnew, Real &beta, Real fold, Real gs, Objective< Real > &obj, Vector< Real > &pwa, std::ostream &outStream=std::cout)

Real	dpcg (Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, const Real tol, const Real stol, 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, Secant< Real > &secant, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa) const

void	applyFreePrecond (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &dwa, Vector< Real > &pwa) const

Private Attributes
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...

Ptr< Secant< Real > >	secant_
	Secant object. More...

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

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

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

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

Real	spexp_
	Relative tolerance exponent for subproblem solve (default: 1, range: [1,2]) More...

int	redlim_
	Maximum number of Cauchy point reduction steps (default: 10) More...

int	explim_
	Maximum number of Cauchy point expansion steps (default: 10) More...

Real	alpha_
	Initial Cauchy point step length (default: 1.0) More...

bool	normAlpha_
	Normalize initial Cauchy point step length (default: false) More...

Real	interpf_
	Backtracking rate for Cauchy point computation (default: 1e-1) More...

Real	extrapf_
	Extrapolation rate for Cauchy point computation (default: 1e1) More...

Real	qtol_
	Relative tolerance for computed decrease in Cauchy point computation (default: 1-8) More...

Real	interpfPS_
	Backtracking rate for projected search (default: 0.5) More...

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

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

bool	hasEcon_
	Flag signifies if equality constraints exist. More...

Ptr< ReducedLinearConstraint < Real > >	rcon_
	Equality constraint restricted to current active variables. More...

Ptr< NullSpaceOperator< Real > >	ns_
	Null space projection onto reduced equality constraint Jacobian. 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::LSecantBAlgorithm< Real >

Provides an interface to run the line-search algorithm of Byrd, Lu, Nocedal and Zhu (similar to L-BFGS-B).

Definition at line 61 of file ROL_TypeB_LSecantBAlgorithm.hpp.

Constructor & Destructor Documentation

template<typename Real >

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

Definition at line 51 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::SECANTMODE_BOTH, and ROL::StringToESecant().

Member Function Documentation

template<typename Real >

void ROL::TypeB::LSecantBAlgorithm< 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 131 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Accept, ROL::Vector< Real >::clone(), ROL::Vector< Real >::dual(), ROL::Objective< Real >::gradient(), ROL::TypeB::Algorithm< Real >::optimalityCriterion(), ROL::Vector< Real >::plus(), ROL::BoundConstraint< Real >::pruneActive(), ROL::Vector< Real >::set(), ROL::Objective< Real >::update(), ROL::TypeB::Algorithm< Real >::writeExitStatus(), and zero.

template<typename Real >

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

overridevirtual

Print iterate header.

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

Definition at line 483 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

template<typename Real >

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

overridevirtual

Print step name.

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

Definition at line 519 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

template<typename Real >

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

overridevirtual

Print iterate status.

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

Definition at line 526 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

template<typename Real >

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

private

Definition at line 90 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

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

template<typename Real >

Real ROL::TypeB::LSecantBAlgorithm< Real >::dgpstep	(	Vector< Real > &	s,
		const Vector< Real > &	w,
		const Vector< Real > &	x,
		const Real	alpha,
		std::ostream &	outStream = `std::cout`
	)		const

private

Definition at line 233 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::axpy(), ROL::Vector< Real >::norm(), and ROL::Vector< Real >::set().

template<typename Real >

Real ROL::TypeB::LSecantBAlgorithm< Real >::dcauchy	(	Vector< Real > &	s,
		Real &	alpha,
		Real &	q,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		Secant< Real > &	secant,
		Vector< Real > &	dwa,
		Vector< Real > &	dwa1,
		std::ostream &	outStream = `std::cout`
	)

private

Definition at line 244 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::apply(), ROL::Secant< Real >::applyB(), ROL::Vector< Real >::dot(), and ROL::Vector< Real >::set().

template<typename Real >

Real ROL::TypeB::LSecantBAlgorithm< Real >::dsrch	(	Vector< Real > &	x,
		Vector< Real > &	s,
		Real &	fnew,
		Real &	beta,
		Real	fold,
		Real	gs,
		Objective< Real > &	obj,
		Vector< Real > &	pwa,
		std::ostream &	outStream = `std::cout`
	)

private

Definition at line 320 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::axpy(), ROL::Vector< Real >::norm(), ROL::Vector< Real >::plus(), ROL::Vector< Real >::scale(), ROL::Vector< Real >::set(), ROL::Trial, ROL::Objective< Real >::update(), and ROL::Objective< Real >::value().

template<typename Real >

Real ROL::TypeB::LSecantBAlgorithm< Real >::dpcg	(	Vector< Real > &	w,
		int &	iflag,
		int &	iter,
		const Vector< Real > &	g,
		const Vector< Real > &	x,
		Secant< Real > &	secant,
		BoundConstraint< Real > &	bnd,
		const Real	tol,
		const Real	stol,
		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 355 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::apply(), ROL::Vector< Real >::axpy(), ROL::Vector< Real >::dot(), ROL::BoundConstraint< Real >::isFeasible(), 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::LSecantBAlgorithm< Real >::applyFreeHessian	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Secant< Real > &	secant,
		BoundConstraint< Real > &	bnd,
		Real &	tol,
		Vector< Real > &	pwa
	)		const

private

Definition at line 440 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Secant< Real >::applyB(), ROL::Vector< Real >::dual(), ROL::BoundConstraint< Real >::pruneActive(), ROL::Vector< Real >::set(), and zero.

template<typename Real >

void ROL::TypeB::LSecantBAlgorithm< Real >::applyFreePrecond	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Secant< Real > &	secant,
		BoundConstraint< Real > &	bnd,
		Real &	tol,
		Vector< Real > &	dwa,
		Vector< Real > &	pwa
	)		const