Provides the interface to evaluate the Moreau-Yosida penalty function. More...

#include <ROL_MoreauYosidaPenalty.hpp>

Inheritance diagram for ROL::MoreauYosidaPenalty< Real >:

Public Member Functions
	~MoreauYosidaPenalty ()

	MoreauYosidaPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &con, const ROL::Vector< Real > &x, const Real mu=1e1)

	MoreauYosidaPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &con, const ROL::Vector< Real > &x, ROL::ParameterList &parlist)

	MoreauYosidaPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &con, const ROL::Vector< Real > &x, const ROL::Vector< Real > &lam, ROL::ParameterList &parlist)

void	updateMultipliers (Real mu, const ROL::Vector< Real > &x)

void	reset (const Real mu)

Real	testComplementarity (const ROL::Vector< Real > &x)

Real	getObjectiveValue (void) const

ROL::Ptr< Vector< Real > >	getGradient (void) const

int	getNumberFunctionEvaluations (void)

int	getNumberGradientEvaluations (void)

void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update Moreau-Yosida penalty 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...

void	setParameter (const std::vector< Real > &param)

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

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 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 Member Functions
void	computePenalty (const Vector< Real > &x)

void	initialize (const ROL::Vector< Real > &x, const ROL::Ptr< ROL::BoundConstraint< Real > > &con)

Private Attributes
const ROL::Ptr< Objective< Real > >	obj_

const ROL::Ptr < BoundConstraint< Real > >	con_

ROL::Ptr< Vector< Real > >	g_

ROL::Ptr< Vector< Real > >	l_

ROL::Ptr< Vector< Real > >	u_

ROL::Ptr< Vector< Real > >	l1_

ROL::Ptr< Vector< Real > >	u1_

ROL::Ptr< Vector< Real > >	dl1_

ROL::Ptr< Vector< Real > >	du1_

ROL::Ptr< Vector< Real > >	xlam_

ROL::Ptr< Vector< Real > >	v_

ROL::Ptr< Vector< Real > >	dv_

ROL::Ptr< Vector< Real > >	dv2_

ROL::Ptr< Vector< Real > >	lam_

ROL::Ptr< Vector< Real > >	tmp_

Real	mu_

Real	fval_

bool	isConEvaluated_

int	nfval_

int	ngval_

bool	updateMultiplier_

bool	updatePenalty_

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::MoreauYosidaPenalty< Real >

Provides the interface to evaluate the Moreau-Yosida penalty function.

Definition at line 65 of file ROL_MoreauYosidaPenalty.hpp.

Constructor & Destructor Documentation

template<class Real>

ROL::MoreauYosidaPenalty< Real >::~MoreauYosidaPenalty ( )

inline

Definition at line 158 of file ROL_MoreauYosidaPenalty.hpp.

template<class Real>

ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	con,
		const ROL::Vector< Real > &	x,
		const Real	mu = `1e1`
	)

inline

Definition at line 160 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::initialize().

template<class Real>

ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	con,
		const ROL::Vector< Real > &	x,
		ROL::ParameterList &	parlist
	)

inline

Definition at line 170 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::initialize(), ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::updateMultiplier_, and ROL::MoreauYosidaPenalty< Real >::updatePenalty_.

template<class Real>

ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	con,
		const ROL::Vector< Real > &	x,
		const ROL::Vector< Real > &	lam,
		ROL::ParameterList &	parlist
	)

inline

Definition at line 183 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::initialize(), ROL::MoreauYosidaPenalty< Real >::lam_, ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::updateMultiplier_, and ROL::MoreauYosidaPenalty< Real >::updatePenalty_.

Member Function Documentation

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::computePenalty ( const Vector< Real > & x )

inlineprivate

Definition at line 92 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::con_, ROL::MoreauYosidaPenalty< Real >::dl1_, ROL::MoreauYosidaPenalty< Real >::du1_, ROL::MoreauYosidaPenalty< Real >::isConEvaluated_, ROL::MoreauYosidaPenalty< Real >::l1_, ROL::MoreauYosidaPenalty< Real >::l_, ROL::MoreauYosidaPenalty< Real >::lam_, ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::tmp_, ROL::MoreauYosidaPenalty< Real >::u1_, ROL::MoreauYosidaPenalty< Real >::u_, and ROL::MoreauYosidaPenalty< Real >::xlam_.

Referenced by ROL::MoreauYosidaPenalty< Real >::gradient(), ROL::MoreauYosidaPenalty< Real >::hessVec(), ROL::MoreauYosidaPenalty< Real >::testComplementarity(), ROL::MoreauYosidaPenalty< Real >::updateMultipliers(), and ROL::MoreauYosidaPenalty< Real >::value().

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::initialize	(	const ROL::Vector< Real > &	x,
		const ROL::Ptr< ROL::BoundConstraint< Real > > &	con
	)

inlineprivate

Definition at line 132 of file ROL_MoreauYosidaPenalty.hpp.

Referenced by ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty().

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::updateMultipliers	(	Real	mu,
		const ROL::Vector< Real > &	x
	)

inline

Definition at line 198 of file ROL_MoreauYosidaPenalty.hpp.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update().

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::reset ( const Real mu )

inline

Definition at line 215 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::isConEvaluated_, ROL::MoreauYosidaPenalty< Real >::lam_, ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::nfval_, and ROL::MoreauYosidaPenalty< Real >::ngval_.

template<class Real>

Real ROL::MoreauYosidaPenalty< Real >::testComplementarity ( const ROL::Vector< Real > & x )

inline

Definition at line 222 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::computePenalty(), ROL::MoreauYosidaPenalty< Real >::con_, ROL::MoreauYosidaPenalty< Real >::l1_, ROL::MoreauYosidaPenalty< Real >::l_, ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::tmp_, ROL::MoreauYosidaPenalty< Real >::u1_, and ROL::MoreauYosidaPenalty< Real >::u_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::updateState().

template<class Real>

Real ROL::MoreauYosidaPenalty< Real >::getObjectiveValue ( void ) const

inline

Definition at line 245 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::fval_.

template<class Real>

ROL::Ptr<Vector<Real> > ROL::MoreauYosidaPenalty< Real >::getGradient ( void ) const

inline

Definition at line 249 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::g_.

template<class Real>

int ROL::MoreauYosidaPenalty< Real >::getNumberFunctionEvaluations ( void )

inline

Definition at line 253 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::nfval_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update().

template<class Real>

int ROL::MoreauYosidaPenalty< Real >::getNumberGradientEvaluations ( void )

inline

Definition at line 257 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::ngval_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update().

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::update	(	const Vector< Real > &	x,
		bool	flag = `true`,
		int	iter = `-1`
	)

inlinevirtual

Update Moreau-Yosida penalty function.

This function updates the Moreau-Yosida penalty function at new iterations.

Parameters

[in]	x	is the new iterate.
[in]	flag	is true if the iterate has changed.
[in]	iter	is the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 268 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::con_, ROL::MoreauYosidaPenalty< Real >::isConEvaluated_, and ROL::MoreauYosidaPenalty< Real >::obj_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update(), and ROL::MoreauYosidaPenaltyStep< Real >::updateState().

template<class Real>

Real ROL::MoreauYosidaPenalty< Real >::value	(	const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute value.

This function returns the Moreau-Yosida penalty value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.

Implements ROL::Objective< Real >.

Definition at line 280 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::MoreauYosidaPenalty< Real >::computePenalty(), ROL::MoreauYosidaPenalty< Real >::con_, ROL::MoreauYosidaPenalty< Real >::fval_, ROL::MoreauYosidaPenalty< Real >::l1_, ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::nfval_, ROL::MoreauYosidaPenalty< Real >::obj_, and ROL::MoreauYosidaPenalty< Real >::u1_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::updateState().

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::gradient	(	Vector< Real > &	g,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute gradient.

This function returns the Moreau-Yosida penalty gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 301 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::Vector< Real >::axpy(), ROL::MoreauYosidaPenalty< Real >::computePenalty(), ROL::MoreauYosidaPenalty< Real >::con_, ROL::MoreauYosidaPenalty< Real >::dl1_, ROL::MoreauYosidaPenalty< Real >::du1_, ROL::MoreauYosidaPenalty< Real >::g_, ROL::MoreauYosidaPenalty< Real >::mu_, ROL::MoreauYosidaPenalty< Real >::ngval_, ROL::MoreauYosidaPenalty< Real >::obj_, and ROL::Vector< Real >::set().

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::updateState().

template<class Real>

void ROL::MoreauYosidaPenalty< 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 Moreau-Yosida penalty to the vector \(v\).

Parameters

[out]	hv	is the the action of the Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.