Implements the computation of optimization steps with composite-step trust-region methods. More...

#include <ROL_CompositeStep.hpp>

Inheritance diagram for ROL::CompositeStep< Real >:

Public Member Functions
virtual	~CompositeStep ()

	CompositeStep (ROL::ParameterList &parlist)

void	initialize (Vector< Real > &x, const Vector< Real > &g, Vector< Real > &l, const Vector< Real > &c, Objective< Real > &obj, Constraint< Real > &con, AlgorithmState< Real > &algo_state)
	Initialize step. More...

void	compute (Vector< Real > &s, const Vector< Real > &x, const Vector< Real > &l, Objective< Real > &obj, Constraint< Real > &con, AlgorithmState< Real > &algo_state)
	Compute step. More...

void	update (Vector< Real > &x, Vector< Real > &l, const Vector< Real > &s, Objective< Real > &obj, Constraint< Real > &con, AlgorithmState< Real > &algo_state)
	Update step, if successful. More...

void	compute (Vector< Real > &s, const Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &con, AlgorithmState< Real > &algo_state)
	Compute step for bound constraints; here only to satisfy the interface requirements, does nothing, needs refactoring. More...

void	update (Vector< Real > &x, const Vector< Real > &s, Objective< Real > &obj, BoundConstraint< Real > &con, AlgorithmState< Real > &algo_state)
	Update step, for bound constraints; here only to satisfy the interface requirements, does nothing, needs refactoring. More...

std::string	printHeader (void) const
	Print iterate header. More...

std::string	printName (void) const
	Print step name. More...

std::string	print (AlgorithmState< Real > &algo_state, bool pHeader=false) const
	Print iterate status. More...

void	computeLagrangeMultiplier (Vector< Real > &l, const Vector< Real > &x, const Vector< Real > &gf, Constraint< Real > &con)
	Compute Lagrange multipliers by solving the least-squares problem minimizing the gradient of the Lagrangian, via the augmented system formulation. More...

void	computeQuasinormalStep (Vector< Real > &n, const Vector< Real > &c, const Vector< Real > &x, Real delta, Constraint< Real > &con)
	Compute quasi-normal step by minimizing the norm of the linearized constraint. More...

void	solveTangentialSubproblem (Vector< Real > &t, Vector< Real > &tCP, Vector< Real > &Wg, const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &n, const Vector< Real > &l, Real delta, Objective< Real > &obj, Constraint< Real > &con)
	Solve tangential subproblem. More...

void	accept (Vector< Real > &s, Vector< Real > &n, Vector< Real > &t, Real f_new, Vector< Real > &c_new, Vector< Real > &gf_new, Vector< Real > &l_new, Vector< Real > &g_new, const Vector< Real > &x, const Vector< Real > &l, Real f, const Vector< Real > &gf, const Vector< Real > &c, const Vector< Real > &g, Vector< Real > &tCP, Vector< Real > &Wg, Objective< Real > &obj, Constraint< Real > &con, AlgorithmState< Real > &algo_state)
	Check acceptance of subproblem solutions, adjust merit function penalty parameter, ensure global convergence. More...

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

	Step (void)

virtual void	initialize (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &con, AlgorithmState< Real > &algo_state)
	Initialize step with bound constraint. More...

virtual void	initialize (Vector< Real > &x, const Vector< Real > &s, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &con, AlgorithmState< Real > &algo_state)
	Initialize step with bound constraint. More...

virtual void	initialize (Vector< Real > &x, const Vector< Real > &g, Vector< Real > &l, const Vector< Real > &c, Objective< Real > &obj, Constraint< Real > &con, BoundConstraint< Real > &bnd, AlgorithmState< Real > &algo_state)
	Initialize step with equality constraint. More...

virtual void	compute (Vector< Real > &s, const Vector< Real > &x, const Vector< Real > &l, Objective< Real > &obj, Constraint< Real > &con, BoundConstraint< Real > &bnd, AlgorithmState< Real > &algo_state)
	Compute step (equality constraints). More...

virtual void	update (Vector< Real > &x, Vector< Real > &l, const Vector< Real > &s, Objective< Real > &obj, Constraint< Real > &con, BoundConstraint< Real > &bnd, AlgorithmState< Real > &algo_state)
	Update step, if successful (equality constraints). More...

void	initialize (OptimizationProblem< Real > &opt, AlgorithmState< Real > &algo_state)

void	compute (Vector< Real > &s, OptimizationProblem< Real > &opt, AlgorithmState< Real > &algo_state)

void	update (OptimizationProblem< Real > &opt, const Vector< Real > &s, AlgorithmState< Real > &algo_state)

const ROL::Ptr< const StepState< Real > >	getStepState (void) const
	Get state for step object. More...

void	reset (const Real searchSize=1.0)
	Get state for step object. More...

Private Member Functions
template<typename T >
int	sgn (T val)

void	printInfoLS (const std::vector< Real > &res) const

Real	setTolOSS (const Real intol) const

Private Attributes
ROL::Ptr< Vector< Real > >	xvec_

ROL::Ptr< Vector< Real > >	gvec_

ROL::Ptr< Vector< Real > >	cvec_

ROL::Ptr< Vector< Real > >	lvec_

int	flagCG_

int	flagAC_

int	iterCG_

int	maxiterCG_

int	maxiterOSS_

Real	tolCG_

Real	tolOSS_

bool	tolOSSfixed_

Real	lmhtol_

Real	qntol_

Real	pgtol_

Real	projtol_

Real	tangtol_

Real	tntmax_

Real	zeta_

Real	Delta_

Real	penalty_

Real	eta_

bool	useConHess_

Real	ared_

Real	pred_

Real	snorm_

Real	nnorm_

Real	tnorm_

bool	infoQN_

bool	infoLM_

bool	infoTS_

bool	infoAC_

bool	infoLS_

bool	infoALL_

int	totalIterCG_

int	totalProj_

int	totalNegCurv_

int	totalRef_

int	totalCallLS_

int	totalIterLS_

Additional Inherited Members
Protected Member Functions inherited from ROL::Step< Real >
ROL::Ptr< StepState< Real > >	getState (void)

Detailed Description

template<class Real>
class ROL::CompositeStep< Real >

Implements the computation of optimization steps with composite-step trust-region methods.

Definition at line 63 of file ROL_CompositeStep.hpp.

Constructor & Destructor Documentation

template<class Real >

virtual ROL::CompositeStep< Real >::~CompositeStep ( )

inlinevirtual

Definition at line 148 of file ROL_CompositeStep.hpp.

template<class Real >

ROL::CompositeStep< Real >::CompositeStep ( ROL::ParameterList & parlist )

inline

Definition at line 150 of file ROL_CompositeStep.hpp.

Member Function Documentation

template<class Real >

template<typename T >

int ROL::CompositeStep< Real >::sgn ( T val )

inlineprivate

Definition at line 121 of file ROL_CompositeStep.hpp.

Referenced by ROL::CompositeStep< Real >::solveTangentialSubproblem().

template<class Real >

void ROL::CompositeStep< Real >::printInfoLS ( const std::vector< Real > & res ) const

inlineprivate

Definition at line 125 of file ROL_CompositeStep.hpp.

References ROL::CompositeStep< Real >::infoLS_.

Referenced by ROL::CompositeStep< Real >::accept(), ROL::CompositeStep< Real >::computeLagrangeMultiplier(), ROL::CompositeStep< Real >::computeQuasinormalStep(), and ROL::CompositeStep< Real >::solveTangentialSubproblem().

template<class Real >

Real ROL::CompositeStep< Real >::setTolOSS ( const Real intol ) const

inlineprivate

Definition at line 139 of file ROL_CompositeStep.hpp.

References ROL::CompositeStep< Real >::tolOSS_, and ROL::CompositeStep< Real >::tolOSSfixed_.

Referenced by ROL::CompositeStep< Real >::accept(), ROL::CompositeStep< Real >::computeLagrangeMultiplier(), ROL::CompositeStep< Real >::computeQuasinormalStep(), and ROL::CompositeStep< Real >::solveTangentialSubproblem().

template<class Real >

void ROL::CompositeStep< Real >::initialize	(	Vector< Real > &	x,
		const Vector< Real > &	g,
		Vector< Real > &	l,
		const Vector< Real > &	c,
		Objective< Real > &	obj,
		Constraint< Real > &	con,
		AlgorithmState< Real > &	algo_state
	)

inlinevirtual

Initialize step.

Reimplemented from ROL::Step< Real >.

Definition at line 209 of file ROL_CompositeStep.hpp.

References ROL::Constraint< Real >::applyAdjointJacobian(), ROL::Vector< Real >::clone(), ROL::AlgorithmState< Real >::cnorm, ROL::CompositeStep< Real >::computeLagrangeMultiplier(), ROL::CompositeStep< Real >::cvec_, ROL::Step< Real >::getState(), ROL::AlgorithmState< Real >::gnorm, ROL::Objective< Real >::gradient(), ROL::CompositeStep< Real >::gvec_, ROL::AlgorithmState< Real >::iter, ROL::CompositeStep< Real >::lvec_, ROL::AlgorithmState< Real >::ncval, ROL::AlgorithmState< Real >::nfval, ROL::AlgorithmState< Real >::ngrad, ROL::Objective< Real >::update(), ROL::Constraint< Real >::update(), ROL::Objective< Real >::value(), ROL::Constraint< Real >::value(), ROL::AlgorithmState< Real >::value, and ROL::CompositeStep< Real >::xvec_.

template<class Real >

void ROL::CompositeStep< Real >::compute	(	Vector< Real > &	s,
		const Vector< Real > &	x,
		const Vector< Real > &	l,
		Objective< Real > &	obj,
		Constraint< Real > &	con,
		AlgorithmState< Real > &	algo_state
	)

inlinevirtual

template<class Real >

void ROL::CompositeStep< Real >::update	(	Vector< Real > &	x,
		Vector< Real > &	l,
		const Vector< Real > &	s,
		Objective< Real > &	obj,
		Constraint< Real > &	con,
		AlgorithmState< Real > &	algo_state
	)

inlinevirtual

Update step, if successful.

Reimplemented from ROL::Step< Real >.

Definition at line 300 of file ROL_CompositeStep.hpp.

template<class Real >

void ROL::CompositeStep< Real >::compute	(	Vector< Real > &	s,
		const Vector< Real > &	x,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	con,
		AlgorithmState< Real > &	algo_state
	)

inlinevirtual

Compute step for bound constraints; here only to satisfy the interface requirements, does nothing, needs refactoring.

Reimplemented from ROL::Step< Real >.

Definition at line 372 of file ROL_CompositeStep.hpp.

template<class Real >

void ROL::CompositeStep< Real >::update	(	Vector< Real > &	x,
		const Vector< Real > &	s,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	con,
		AlgorithmState< Real > &	algo_state
	)

inlinevirtual

Update step, for bound constraints; here only to satisfy the interface requirements, does nothing, needs refactoring.

Reimplemented from ROL::Step< Real >.

Definition at line 379 of file ROL_CompositeStep.hpp.

template<class Real >

std::string ROL::CompositeStep< Real >::printHeader ( void ) const

inlinevirtual

Print iterate header.

Reimplemented from ROL::Step< Real >.

Definition at line 385 of file ROL_CompositeStep.hpp.

Referenced by ROL::CompositeStep< Real >::print().

template<class Real >

std::string ROL::CompositeStep< Real >::printName ( void ) const

inlinevirtual

Print step name.

Reimplemented from ROL::Step< Real >.

Definition at line 406 of file ROL_CompositeStep.hpp.

Referenced by ROL::CompositeStep< Real >::print().

template<class Real >

std::string ROL::CompositeStep< Real >::print	(	AlgorithmState< Real > &	algo_state,
		bool	pHeader = `false`
	)		const

inlinevirtual

template<class Real >

void ROL::CompositeStep< Real >::computeLagrangeMultiplier	(	Vector< Real > &	l,
		const Vector< Real > &	x,
		const Vector< Real > &	gf,
		Constraint< Real > &	con
	)

inline

Compute Lagrange multipliers by solving the least-squares problem minimizing the gradient of the Lagrangian, via the augmented system formulation.

Parameters

[out]	l	is the updated Lagrange multiplier; a dual constraint-space vector
[in]	x	is the current iterate; an optimization-space vector
[in]	gf	is the gradient of the objective function; a dual optimization-space vector
[in]	con	is the equality constraint object

On return ... fill the blanks.

Definition at line 468 of file ROL_CompositeStep.hpp.

Referenced by ROL::CompositeStep< Real >::accept(), ROL::CompositeStep< Real >::initialize(), and ROL::CompositeStep< Real >::update().

template<class Real >

void ROL::CompositeStep< Real >::computeQuasinormalStep	(	Vector< Real > &	n,
		const Vector< Real > &	c,
		const Vector< Real > &	x,
		Real	delta,
		Constraint< Real > &	con
	)

inline

Compute quasi-normal step by minimizing the norm of the linearized constraint.

  Compute an approximate solution of the problem

\[ \begin{array}{rl} \min_{n} & \|c'(x_k)n + c(x_k)\|^2_{\mathcal{X}} \\ \mbox{subject to} & \|n\|_{\mathcal{X}} \le \delta \end{array} \]

The approximate solution is computed using Powell's dogleg method. The dogleg path is computed using the Cauchy point and a full Newton step. The path's intersection with the trust-region constraint gives the quasi-normal step.

Parameters

[out]	n	is the quasi-normal step; an optimization-space vector
[in]	c	is the value of equality constraints; a constraint-space vector
[in]	x	is the current iterate; an optimization-space vector
[in]	delta	is the trust-region radius for the quasi-normal step
[in]	con	is the equality constraint object

Definition at line 535 of file ROL_CompositeStep.hpp.

References ROL::Constraint< Real >::applyAdjointJacobian(), ROL::Constraint< Real >::applyJacobian(), ROL::Vector< Real >::axpy(), ROL::CompositeStep< Real >::cvec_, ROL::Vector< Real >::dual(), ROL::CompositeStep< Real >::gvec_, ROL::CompositeStep< Real >::infoQN_, ROL::CompositeStep< Real >::lvec_, ROL::CompositeStep< Real >::printInfoLS(), ROL::CompositeStep< Real >::qntol_, ROL::Vector< Real >::scale(), ROL::Vector< Real >::set(), ROL::CompositeStep< Real >::setTolOSS(), ROL::Constraint< Real >::solveAugmentedSystem(), ROL::CompositeStep< Real >::totalCallLS_, ROL::CompositeStep< Real >::totalIterLS_, ROL::CompositeStep< Real >::xvec_, and zero.

Referenced by ROL::CompositeStep< Real >::accept(), and ROL::CompositeStep< Real >::compute().

template<class Real >

void ROL::CompositeStep< Real >::solveTangentialSubproblem	(	Vector< Real > &	t,
		Vector< Real > &	tCP,
		Vector< Real > &	Wg,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		const Vector< Real > &	n,
		const Vector< Real > &	l,
		Real	delta,
		Objective< Real > &	obj,
		Constraint< Real > &	con
	)

inline

Solve tangential subproblem.

Parameters

[out]	t	is the solution of the tangential subproblem; an optimization-space vector
[out]	tCP	is the Cauchy point for the tangential subproblem; an optimization-space vector
[out]	Wg	is the dual of the projected gradient of the Lagrangian; an optimization-space vector
[in]	x	is the current iterate; an optimization-space vector
[in]	g	is the gradient of the Lagrangian; a dual optimization-space vector
[in]	n	is the quasi-normal step; an optimization-space vector
[in]	l	is the Lagrange multiplier; a dual constraint-space vector
[in]	delta	is the trust-region radius for the tangential subproblem
[in]	con	is the equality constraint object

Definition at line 645 of file ROL_CompositeStep.hpp.

Referenced by ROL::CompositeStep< Real >::accept(), and ROL::CompositeStep< Real >::compute().

template<class Real >

void ROL::CompositeStep< Real >::accept	(	Vector< Real > &	s,
		Vector< Real > &	n,
		Vector< Real > &	t,
		Real	f_new,
		Vector< Real > &	c_new,
		Vector< Real > &	gf_new,
		Vector< Real > &	l_new,
		Vector< Real > &	g_new,
		const Vector< Real > &	x,
		const Vector< Real > &	l,
		Real	f,
		const Vector< Real > &	gf,
		const Vector< Real > &	c,
		const Vector< Real > &	g,
		Vector< Real > &	tCP,
		Vector< Real > &	Wg,
		Objective< Real > &	obj,
		Constraint< Real > &	con,
		AlgorithmState< Real > &	algo_state
	)