ROL_AugmentedLagrangian_SimOpt.hpp

Go to the documentation of this file.

// @HEADER
// ************************************************************************
//
//               Rapid Optimization Library (ROL) Package
//                 Copyright (2014) Sandia Corporation
//
// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
// license for use of this work by or on behalf of the U.S. Government.
//
// Redistribution and use in source and binary forms, with or without
// modification, are permitted provided that the following conditions are
// met:
//
// 1. Redistributions of source code must retain the above copyright
// notice, this list of conditions and the following disclaimer.
//
// 2. Redistributions in binary form must reproduce the above copyright
// notice, this list of conditions and the following disclaimer in the
// documentation and/or other materials provided with the distribution.
//
// 3. Neither the name of the Corporation nor the names of the
// contributors may be used to endorse or promote products derived from
// this software without specific prior written permission.
//
// THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
// EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
// PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
//
// Questions? Contact lead developers:
//              Drew Kouri   (dpkouri@sandia.gov) and
//              Denis Ridzal (dridzal@sandia.gov)
//
// ************************************************************************
// @HEADER

#ifndef ROL_AUGMENTEDLAGRANGIAN_SIMOPT_H
#define ROL_AUGMENTEDLAGRANGIAN_SIMOPT_H

#include "ROL_Objective_SimOpt.hpp"
#include "ROL_Constraint_SimOpt.hpp"
#include "ROL_QuadraticPenalty_SimOpt.hpp"
#include "ROL_Vector.hpp"
#include "ROL_Types.hpp"
#include "ROL_Ptr.hpp"
#include <iostream>

namespace ROL {

template <class Real>
class AugmentedLagrangian_SimOpt : public Objective_SimOpt<Real> {
private:
  // Required for Augmented Lagrangian definition
  const ROL::Ptr<Objective_SimOpt<Real> > obj_;
  ROL::Ptr<QuadraticPenalty_SimOpt<Real> > pen_;
  Real penaltyParameter_;

  // Auxiliary storage
  ROL::Ptr<Vector<Real> > dualSimVector_;
  ROL::Ptr<Vector<Real> > dualOptVector_;

  // Objective and constraint evaluations
  Real fval_;
  ROL::Ptr<Vector<Real> > gradient1_;
  ROL::Ptr<Vector<Real> > gradient2_;

  // Evaluation counters
  int nfval_;
  int ngval_;

  // User defined options
  bool scaleLagrangian_;

  // Flags to recompute quantities
  bool isValueComputed_;
  bool isGradient1Computed_;
  bool isGradient2Computed_;

public:
  AugmentedLagrangian_SimOpt(const ROL::Ptr<Objective_SimOpt<Real> > &obj,
                             const ROL::Ptr<Constraint_SimOpt<Real> > &con,
                             const Vector<Real> &multiplier,
                             const Real penaltyParameter,
                             const Vector<Real> &simVec,
                             const Vector<Real> &optVec,
                             const Vector<Real> &conVec,
                             ROL::ParameterList &parlist)
    : obj_(obj), penaltyParameter_(penaltyParameter),
      fval_(0), nfval_(0), ngval_(0), isValueComputed_(false),
      isGradient1Computed_(false), isGradient2Computed_(false) {

    gradient1_      = simVec.dual().clone();
    gradient2_      = optVec.dual().clone();
    dualSimVector_  = simVec.dual().clone();
    dualOptVector_  = optVec.dual().clone();

    ROL::ParameterList& sublist = parlist.sublist("Step").sublist("Augmented Lagrangian");
    scaleLagrangian_  = sublist.get("Use Scaled Augmented Lagrangian", false);
    int HessianApprox = sublist.get("Level of Hessian Approximation",  0);

    pen_ = ROL::makePtr<QuadraticPenalty_SimOpt<Real>>(con,multiplier,penaltyParameter,simVec,optVec,conVec,scaleLagrangian_,HessianApprox);
  }

  virtual void update( const Vector<Real> &u, const Vector<Real> &z, bool flag = true, int iter = -1 ) {
    obj_->update(u,z,flag,iter);
    pen_->update(u,z,flag,iter);
    isValueComputed_ = (flag ? false : isValueComputed_);
    isGradient1Computed_ = (flag ? false : isGradient1Computed_);
    isGradient2Computed_ = (flag ? false : isGradient2Computed_);
  }

  virtual Real value( const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
    // Compute objective function value
    if ( !isValueComputed_ ) {
      fval_ = obj_->value(u,z,tol); nfval_++;
      isValueComputed_ = true;
    }
    // Compute penalty term
    Real pval = pen_->value(u,z,tol);
    // Compute augmented Lagrangian
    Real val = fval_;
    if (scaleLagrangian_) {
      val /= penaltyParameter_;
    }
    return val + pval;
  }

  virtual void gradient_1( Vector<Real> &g, const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
    // Compute objective function gradient
    if ( !isGradient1Computed_ ) {
      obj_->gradient_1(*gradient1_,u,z,tol); ngval_++;
      isGradient1Computed_ = true;
    }
    g.set(*gradient1_);
    // Compute gradient of penalty
    pen_->gradient_1(*dualSimVector_,u,z,tol);
    // Compute gradient of Augmented Lagrangian
    if ( scaleLagrangian_ ) {
      g.scale(static_cast<Real>(1)/penaltyParameter_);
    }
    g.plus(*dualSimVector_);
  }

  virtual void gradient_2( Vector<Real> &g, const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
    // Compute objective function gradient
    if ( !isGradient2Computed_ ) {
      obj_->gradient_2(*gradient2_,u,z,tol); ngval_++;
      isGradient2Computed_ = true;
    }
    g.set(*gradient2_);
    // Compute gradient of penalty
    pen_->gradient_2(*dualOptVector_,u,z,tol);
    // Compute gradient of Augmented Lagrangian
    if ( scaleLagrangian_ ) {
      g.scale(static_cast<Real>(1)/penaltyParameter_);
    }
    g.plus(*dualOptVector_);
  }

  virtual void hessVec_11( Vector<Real> &hv, const Vector<Real> &v,
                     const Vector<Real> &u,  const Vector<Real> &z, Real &tol ) {
    // Apply objective Hessian to a vector
    obj_->hessVec_11(hv,v,u,z,tol);
    // Apply penalty Hessian to a vector
    pen_->hessVec_11(*dualSimVector_,v,u,z,tol);
    // Build hessVec of Augmented Lagrangian
    if ( scaleLagrangian_ ) {
      hv.scale(static_cast<Real>(1)/penaltyParameter_);
    }
    hv.plus(*dualSimVector_);
  }

  virtual void hessVec_12( Vector<Real> &hv, const Vector<Real> &v,
                     const Vector<Real> &u,  const Vector<Real> &z, Real &tol ) {
    // Apply objective Hessian to a vector
    obj_->hessVec_12(hv,v,u,z,tol);
    // Apply penalty Hessian to a vector
    pen_->hessVec_12(*dualSimVector_,v,u,z,tol);
    // Build hessVec of Augmented Lagrangian
    if ( scaleLagrangian_ ) {
      hv.scale(static_cast<Real>(1)/penaltyParameter_);
    }
    hv.plus(*dualSimVector_);
  }

  virtual void hessVec_21( Vector<Real> &hv, const Vector<Real> &v,
                     const Vector<Real> &u,  const Vector<Real> &z, Real &tol ) {
    // Apply objective Hessian to a vector
    obj_->hessVec_21(hv,v,u,z,tol);
    // Apply penalty Hessian to a vector
    pen_->hessVec_21(*dualOptVector_,v,u,z,tol);
    // Build hessVec of Augmented Lagrangian
    if ( scaleLagrangian_ ) {
      hv.scale(static_cast<Real>(1)/penaltyParameter_);
    }
    hv.plus(*dualOptVector_);
  }

  virtual void hessVec_22( Vector<Real> &hv, const Vector<Real> &v,
                     const Vector<Real> &u,  const Vector<Real> &z, Real &tol ) {
    // Apply objective Hessian to a vector
    obj_->hessVec_22(hv,v,u,z,tol);
    // Apply penalty Hessian to a vector
    pen_->hessVec_22(*dualOptVector_,v,u,z,tol);
    // Build hessVec of Augmented Lagrangian
    if ( scaleLagrangian_ ) {
      hv.scale(static_cast<Real>(1)/penaltyParameter_);
    }
    hv.plus(*dualOptVector_);
  }

  // Return objective function value
  virtual Real getObjectiveValue(const Vector<Real> &u, const Vector<Real> &z) {
    Real tol = std::sqrt(ROL_EPSILON<Real>());
    // Evaluate objective function value
    if ( !isValueComputed_ ) {
      fval_ = obj_->value(u,z,tol); nfval_++;
      isValueComputed_ = true;
    }
    return fval_;
  }

  // Return constraint value
  virtual void getConstraintVec(Vector<Real> &c, const Vector<Real> &u, const Vector<Real> &z) {
    pen_->getConstraintVec(c,u,z);
  }

  // Return total number of constraint evaluations
  virtual int getNumberConstraintEvaluations(void) const {
    return pen_->getNumberConstraintEvaluations();
  }

  // Return total number of objective evaluations
  virtual int getNumberFunctionEvaluations(void) const {
    return nfval_;
  }

  // Return total number of gradient evaluations
  virtual int getNumberGradientEvaluations(void) const {
    return ngval_;
  }

  // Reset with upated penalty parameter
  virtual void reset(const Vector<Real> &multiplier, const Real penaltyParameter) {
    nfval_ = 0; ngval_ = 0;
    pen_->reset(multiplier,penaltyParameter);
  }
}; // class AugmentedLagrangian

} // namespace ROL

#endif