ROL_Reduced_Objective_SimOpt.hpp

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#ifndef ROL_REDUCED_OBJECTIVE_SIMOPT_H
#define ROL_REDUCED_OBJECTIVE_SIMOPT_H

#include "ROL_Objective_SimOpt.hpp"
#include "ROL_Constraint_SimOpt.hpp"
#include "ROL_SimController.hpp"

namespace ROL {

template <class Real>
class Reduced_Objective_SimOpt : public Objective<Real> {
private:
  const ROL::Ptr<Objective_SimOpt<Real> > obj_;          
  const ROL::Ptr<Constraint_SimOpt<Real> > con_; 
  ROL::Ptr<SimController<Real> > stateStore_;
  ROL::Ptr<SimController<Real> > adjointStore_;

  // Primal vectors
  ROL::Ptr<Vector<Real> > state_;                              
  ROL::Ptr<Vector<Real> > adjoint_;                            
  ROL::Ptr<Vector<Real> > state_sens_;                              
  ROL::Ptr<Vector<Real> > adjoint_sens_;                            

  // Dual vectors
  ROL::Ptr<Vector<Real> > dualstate_;
  ROL::Ptr<Vector<Real> > dualstate1_;
  ROL::Ptr<Vector<Real> > dualadjoint_;
  ROL::Ptr<Vector<Real> > dualcontrol_;

  const bool storage_;             
  const bool useFDhessVec_;
  
  bool updateFlag_;
  int  updateIter_;

  void solve_state_equation(const Vector<Real> &z, Real &tol) { 
    // Check if state has been computed.
    bool isComputed = false;
    if (storage_) {
      isComputed = stateStore_->get(*state_,Objective<Real>::getParameter());
    }
    // Solve state equation if not done already.
    if (!isComputed || !storage_) {
      // Update equality constraint with new Opt variable.
      con_->update_2(z,updateFlag_,updateIter_);
      // Solve state equation.
      con_->solve(*dualadjoint_,*state_,z,tol);
      // Update equality constraint with new Sim variable.
      con_->update_1(*state_,updateFlag_,updateIter_);
      // Update full objective function.
      obj_->update(*state_,z,updateFlag_,updateIter_);
      // Store state.
      if (storage_) {
        stateStore_->set(*state_,Objective<Real>::getParameter());
      }
    }
  }

  void solve_adjoint_equation(const Vector<Real> &z, Real &tol) { 
    // Check if adjoint has been computed.
    bool isComputed = false;
    if (storage_) {
      isComputed = adjointStore_->get(*adjoint_,Objective<Real>::getParameter());
    }
    // Solve adjoint equation if not done already.
    if (!isComputed || !storage_) {
      // Evaluate the full gradient wrt u
      obj_->gradient_1(*dualstate_,*state_,z,tol);
      // Solve adjoint equation
      con_->applyInverseAdjointJacobian_1(*adjoint_,*dualstate_,*state_,z,tol);
      adjoint_->scale(static_cast<Real>(-1));
      // Store adjoint
      if (storage_) {
        adjointStore_->set(*adjoint_,Objective<Real>::getParameter());
      }
    }
  }

  void solve_state_sensitivity(const Vector<Real> &v, const Vector<Real> &z, Real &tol) {
    // Solve state sensitivity equation
    con_->applyJacobian_2(*dualadjoint_,v,*state_,z,tol);
    dualadjoint_->scale(static_cast<Real>(-1));
    con_->applyInverseJacobian_1(*state_sens_,*dualadjoint_,*state_,z,tol);
  }

  void solve_adjoint_sensitivity(const Vector<Real> &v, const Vector<Real> &z, Real &tol) {
    // Evaluate full hessVec in the direction (s,v)
    obj_->hessVec_11(*dualstate_,*state_sens_,*state_,z,tol);
    obj_->hessVec_12(*dualstate1_,v,*state_,z,tol);
    dualstate_->plus(*dualstate1_);
    // Apply adjoint Hessian of constraint
    con_->applyAdjointHessian_11(*dualstate1_,*adjoint_,*state_sens_,*state_,z,tol);
    dualstate_->plus(*dualstate1_);
    con_->applyAdjointHessian_21(*dualstate1_,*adjoint_,v,*state_,z,tol);
    dualstate_->plus(*dualstate1_);
    // Solve adjoint sensitivity equation
    dualstate_->scale(static_cast<Real>(-1));
    con_->applyInverseAdjointJacobian_1(*adjoint_sens_,*dualstate_,*state_,z,tol);
  }

public:
  Reduced_Objective_SimOpt(
      const ROL::Ptr<Objective_SimOpt<Real> > &obj, 
      const ROL::Ptr<Constraint_SimOpt<Real> > &con, 
      const ROL::Ptr<Vector<Real> > &state, 
      const ROL::Ptr<Vector<Real> > &control, 
      const ROL::Ptr<Vector<Real> > &adjoint,
      const bool storage = true,
      const bool useFDhessVec = false) 
    : obj_(obj), con_(con),
      storage_(storage), useFDhessVec_(useFDhessVec),
      updateFlag_(true), updateIter_(0) {
    stateStore_   = ROL::makePtr<SimController<Real>>();
    adjointStore_ = ROL::makePtr<SimController<Real>>();
    state_        = state->clone();
    adjoint_      = adjoint->clone();
    state_sens_   = state->clone();
    adjoint_sens_ = adjoint->clone();
    dualstate_    = state->dual().clone();
    dualstate1_   = state->dual().clone();
    dualadjoint_  = adjoint->dual().clone();
    dualcontrol_  = control->dual().clone();
  }

  Reduced_Objective_SimOpt(
      const ROL::Ptr<Objective_SimOpt<Real> > &obj,
      const ROL::Ptr<Constraint_SimOpt<Real> > &con,
      const ROL::Ptr<Vector<Real> > &state,
      const ROL::Ptr<Vector<Real> > &control, 
      const ROL::Ptr<Vector<Real> > &adjoint,
      const ROL::Ptr<Vector<Real> > &dualstate,
      const ROL::Ptr<Vector<Real> > &dualcontrol, 
      const ROL::Ptr<Vector<Real> > &dualadjoint,
      const bool storage = true,
      const bool useFDhessVec = false)
    : obj_(obj), con_(con),
      storage_(storage), useFDhessVec_(useFDhessVec),
      updateFlag_(true), updateIter_(0) {
    stateStore_   = ROL::makePtr<SimController<Real>>();
    adjointStore_ = ROL::makePtr<SimController<Real>>();
    state_        = state->clone();
    adjoint_      = adjoint->clone();
    state_sens_   = state->clone();
    adjoint_sens_ = adjoint->clone();
    dualstate_    = dualstate->clone();
    dualstate1_   = dualstate->clone();
    dualadjoint_  = dualadjoint->clone();
    dualcontrol_  = dualcontrol->clone();
  }

  Reduced_Objective_SimOpt(
      const ROL::Ptr<Objective_SimOpt<Real> > &obj, 
      const ROL::Ptr<Constraint_SimOpt<Real> > &con, 
      const ROL::Ptr<SimController<Real> > &stateStore, 
      const ROL::Ptr<Vector<Real> > &state, 
      const ROL::Ptr<Vector<Real> > &control, 
      const ROL::Ptr<Vector<Real> > &adjoint,
      const bool storage = true,
      const bool useFDhessVec = false) 
    : obj_(obj), con_(con), stateStore_(stateStore),
      storage_(storage), useFDhessVec_(useFDhessVec),
      updateFlag_(true), updateIter_(0) {
    adjointStore_ = ROL::makePtr<SimController<Real>>();
    state_        = state->clone();
    adjoint_      = adjoint->clone();
    state_sens_   = state->clone();
    adjoint_sens_ = adjoint->clone();
    dualstate_    = state->dual().clone();
    dualstate1_   = state->dual().clone();
    dualadjoint_  = adjoint->dual().clone();
    dualcontrol_  = control->dual().clone();
  }

  Reduced_Objective_SimOpt(
      const ROL::Ptr<Objective_SimOpt<Real> > &obj,
      const ROL::Ptr<Constraint_SimOpt<Real> > &con,
      const ROL::Ptr<SimController<Real> > &stateStore, 
      const ROL::Ptr<Vector<Real> > &state,
      const ROL::Ptr<Vector<Real> > &control, 
      const ROL::Ptr<Vector<Real> > &adjoint,
      const ROL::Ptr<Vector<Real> > &dualstate,
      const ROL::Ptr<Vector<Real> > &dualcontrol, 
      const ROL::Ptr<Vector<Real> > &dualadjoint,
      const bool storage = true,
      const bool useFDhessVec = false)
    : obj_(obj), con_(con), stateStore_(stateStore),
      storage_(storage), useFDhessVec_(useFDhessVec),
      updateFlag_(true), updateIter_(0) {
    adjointStore_ = ROL::makePtr<SimController<Real>>();
    state_        = state->clone();
    adjoint_      = adjoint->clone();
    state_sens_   = state->clone();
    adjoint_sens_ = adjoint->clone();
    dualstate_    = dualstate->clone();
    dualstate1_   = dualstate->clone();
    dualadjoint_  = dualadjoint->clone();
    dualcontrol_  = dualcontrol->clone();
  }

  void update( const Vector<Real> &z, bool flag = true, int iter = -1 ) {
    updateFlag_ = flag;
    updateIter_ = iter;
    stateStore_->objectiveUpdate(true);
    adjointStore_->objectiveUpdate(flag);
  }

  Real value( const Vector<Real> &z, Real &tol ) {
    // Solve state equation
    solve_state_equation(z,tol);
    // Get objective function value
    return obj_->value(*state_,z,tol);
  }

  void gradient( Vector<Real> &g, const Vector<Real> &z, Real &tol ) {
    // Solve state equation
    solve_state_equation(z,tol);
    // Solve adjoint equation
    solve_adjoint_equation(z,tol);
    // Evaluate the full gradient wrt z
    obj_->gradient_2(*dualcontrol_,*state_,z,tol);
    // Build gradient
    con_->applyAdjointJacobian_2(g,*adjoint_,*state_,z,tol);
    g.plus(*dualcontrol_);
  }

  void hessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &z, Real &tol ) {
    if ( useFDhessVec_ ) {
      Objective<Real>::hessVec(hv,v,z,tol);
    }
    else {
      // Solve state equation
      solve_state_equation(z,tol);
      // Solve adjoint equation
      solve_adjoint_equation(z,tol);
      // Solve state sensitivity equation
      solve_state_sensitivity(v,z,tol);
      // Solve adjoint sensitivity equation
      solve_adjoint_sensitivity(v,z,tol);
      // Build hessVec
      con_->applyAdjointJacobian_2(hv,*adjoint_sens_,*state_,z,tol);
      obj_->hessVec_21(*dualcontrol_,*state_sens_,*state_,z,tol);
      hv.plus(*dualcontrol_);
      obj_->hessVec_22(*dualcontrol_,v,*state_,z,tol);
      hv.plus(*dualcontrol_);
      con_->applyAdjointHessian_12(*dualcontrol_,*adjoint_,*state_sens_,*state_,z,tol);
      hv.plus(*dualcontrol_);
      con_->applyAdjointHessian_22(*dualcontrol_,*adjoint_,v,*state_,z,tol);
      hv.plus(*dualcontrol_);
    }
  }

  virtual void precond( Vector<Real> &Pv, const Vector<Real> &v, const Vector<Real> &z, Real &tol ) {
    Pv.set(v.dual());
  }

// For parametrized (stochastic) objective functions and constraints
public:
  void setParameter(const std::vector<Real> &param) {
    Objective<Real>::setParameter(param);
    con_->setParameter(param);
    obj_->setParameter(param);
  }
}; // class Reduced_Objective_SimOpt

} // namespace ROL

#endif