ROL_PrimalDualActiveSetStep.hpp

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#ifndef ROL_PRIMALDUALACTIVESETSTEP_H
#define ROL_PRIMALDUALACTIVESETSTEP_H

#include "ROL_Step.hpp"
#include "ROL_Vector.hpp"
#include "ROL_KrylovFactory.hpp"
#include "ROL_Objective.hpp"
#include "ROL_BoundConstraint.hpp"
#include "ROL_Types.hpp"
#include "ROL_Secant.hpp"
#include "ROL_ParameterList.hpp"

namespace ROL {

template <class Real>
class PrimalDualActiveSetStep : public Step<Real> {
private:

  ROL::Ptr<Krylov<Real> > krylov_;

  // Krylov Parameters
  int iterCR_;  
  int flagCR_;  
  Real itol_;   

  // PDAS Parameters
  int maxit_;      
  int iter_;       
  int flag_;       
  Real stol_;      
  Real gtol_;      
  Real scale_;     
  Real neps_;      
  bool feasible_;  

  // Dual Variable
  ROL::Ptr<Vector<Real> > lambda_; 
  ROL::Ptr<Vector<Real> > xlam_;   
  ROL::Ptr<Vector<Real> > x0_;     
  ROL::Ptr<Vector<Real> > xbnd_;   
  ROL::Ptr<Vector<Real> > As_;     
  ROL::Ptr<Vector<Real> > xtmp_;   
  ROL::Ptr<Vector<Real> > res_;    
  ROL::Ptr<Vector<Real> > Ag_;     
  ROL::Ptr<Vector<Real> > rtmp_;   
  ROL::Ptr<Vector<Real> > gtmp_;   
 
  // Secant Information
  ESecant esec_;                       
  ROL::Ptr<Secant<Real> > secant_; 
  bool useSecantPrecond_; 
  bool useSecantHessVec_;

  class HessianPD : public LinearOperator<Real> {
  private:
    const ROL::Ptr<Objective<Real> > obj_;
    const ROL::Ptr<BoundConstraint<Real> > bnd_;
    const ROL::Ptr<Vector<Real> > x_;
    const ROL::Ptr<Vector<Real> > xlam_;
    ROL::Ptr<Vector<Real> > v_;
    Real eps_;
    const ROL::Ptr<Secant<Real> > secant_;
    bool useSecant_;
  public:
    HessianPD(const ROL::Ptr<Objective<Real> > &obj,
              const ROL::Ptr<BoundConstraint<Real> > &bnd,
              const ROL::Ptr<Vector<Real> > &x,
              const ROL::Ptr<Vector<Real> > &xlam,
              const Real eps = 0,
              const ROL::Ptr<Secant<Real> > &secant = ROL::nullPtr,
              const bool useSecant = false )
      : obj_(obj), bnd_(bnd), x_(x), xlam_(xlam),
        eps_(eps), secant_(secant), useSecant_(useSecant) {
      v_ = x_->clone();
      if ( !useSecant || secant == ROL::nullPtr ) {
        useSecant_ = false;
      }
    }
    void apply( Vector<Real> &Hv, const Vector<Real> &v, Real &tol ) const {
      v_->set(v);
      bnd_->pruneActive(*v_,*xlam_,eps_);
      if ( useSecant_ ) {
        secant_->applyB(Hv,*v_);
      }
      else {
        obj_->hessVec(Hv,*v_,*x_,tol);
      }
      bnd_->pruneActive(Hv,*xlam_,eps_);
    }
  };

  class PrecondPD : public LinearOperator<Real> {
  private:
    const ROL::Ptr<Objective<Real> > obj_;
    const ROL::Ptr<BoundConstraint<Real> > bnd_;
    const ROL::Ptr<Vector<Real> > x_;
    const ROL::Ptr<Vector<Real> > xlam_;
    ROL::Ptr<Vector<Real> > v_;
    Real eps_;
    const ROL::Ptr<Secant<Real> > secant_;
    bool useSecant_;
  public:
    PrecondPD(const ROL::Ptr<Objective<Real> > &obj,
              const ROL::Ptr<BoundConstraint<Real> > &bnd,
              const ROL::Ptr<Vector<Real> > &x,
              const ROL::Ptr<Vector<Real> > &xlam,
              const Real eps = 0,
              const ROL::Ptr<Secant<Real> > &secant = ROL::nullPtr,
              const bool useSecant = false )
      : obj_(obj), bnd_(bnd), x_(x), xlam_(xlam),
        eps_(eps), secant_(secant), useSecant_(useSecant) {
      v_ = x_->dual().clone();
      if ( !useSecant || secant == ROL::nullPtr ) {
        useSecant_ = false;
      }
    }
    void apply( Vector<Real> &Hv, const Vector<Real> &v, Real &tol ) const {
      Hv.set(v.dual());
    }
    void applyInverse( Vector<Real> &Hv, const Vector<Real> &v, Real &tol ) const {
      v_->set(v);
      bnd_->pruneActive(*v_,*xlam_,eps_);
      if ( useSecant_ ) {
        secant_->applyH(Hv,*v_);
      }
      else {
        obj_->precond(Hv,*v_,*x_,tol);
      }
      bnd_->pruneActive(Hv,*xlam_,eps_);
    }
  };

  Real computeCriticalityMeasure(Vector<Real> &x, Objective<Real> &obj, BoundConstraint<Real> &con, Real tol) {
    Real one(1);
    ROL::Ptr<StepState<Real> > step_state = Step<Real>::getState();
    obj.gradient(*(step_state->gradientVec),x,tol);
    xtmp_->set(x);
    xtmp_->axpy(-one,(step_state->gradientVec)->dual());
    con.project(*xtmp_);
    xtmp_->axpy(-one,x);
    return xtmp_->norm();
  }

public:
  PrimalDualActiveSetStep( ROL::ParameterList &parlist ) 
    : Step<Real>::Step(), krylov_(ROL::nullPtr),
      iterCR_(0), flagCR_(0), itol_(0),
      maxit_(0), iter_(0), flag_(0), stol_(0), gtol_(0), scale_(0),
      neps_(-ROL_EPSILON<Real>()), feasible_(false),
      lambda_(ROL::nullPtr), xlam_(ROL::nullPtr), x0_(ROL::nullPtr),
      xbnd_(ROL::nullPtr), As_(ROL::nullPtr), xtmp_(ROL::nullPtr),
      res_(ROL::nullPtr), Ag_(ROL::nullPtr), rtmp_(ROL::nullPtr),
      gtmp_(ROL::nullPtr),
      esec_(SECANT_LBFGS), secant_(ROL::nullPtr), useSecantPrecond_(false),
      useSecantHessVec_(false) {
    Real one(1), oem6(1.e-6), oem8(1.e-8);
    // Algorithmic parameters
    maxit_ = parlist.sublist("Step").sublist("Primal Dual Active Set").get("Iteration Limit",10);
    stol_ = parlist.sublist("Step").sublist("Primal Dual Active Set").get("Relative Step Tolerance",oem8);
    gtol_ = parlist.sublist("Step").sublist("Primal Dual Active Set").get("Relative Gradient Tolerance",oem6);
    scale_ = parlist.sublist("Step").sublist("Primal Dual Active Set").get("Dual Scaling", one);
    // Build secant object
    esec_ = StringToESecant(parlist.sublist("General").sublist("Secant").get("Type","Limited-Memory BFGS"));
    useSecantHessVec_ = parlist.sublist("General").sublist("Secant").get("Use as Hessian", false); 
    useSecantPrecond_ = parlist.sublist("General").sublist("Secant").get("Use as Preconditioner", false);
    if ( useSecantHessVec_ || useSecantPrecond_ ) {
      secant_ = SecantFactory<Real>(parlist);
    }
    // Build Krylov object
    krylov_ = KrylovFactory<Real>(parlist);
  }

  void initialize( Vector<Real> &x, const Vector<Real> &s, const Vector<Real> &g, 
                   Objective<Real> &obj, BoundConstraint<Real> &con, 
                   AlgorithmState<Real> &algo_state ) {
    ROL::Ptr<StepState<Real> > step_state = Step<Real>::getState();
    Real zero(0), one(1);
    // Initialize state descent direction and gradient storage
    step_state->descentVec  = s.clone();
    step_state->gradientVec = g.clone();
    step_state->searchSize  = zero;
    // Initialize additional storage
    xlam_ = x.clone(); 
    x0_   = x.clone();
    xbnd_ = x.clone();
    As_   = s.clone(); 
    xtmp_ = x.clone(); 
    res_  = g.clone();
    Ag_   = g.clone(); 
    rtmp_ = g.clone(); 
    gtmp_ = g.clone(); 
    // Project x onto constraint set
    con.project(x);
    // Update objective function, get value, and get gradient
    Real tol = std::sqrt(ROL_EPSILON<Real>());
    obj.update(x,true,algo_state.iter);
    algo_state.value = obj.value(x,tol);
    algo_state.nfval++;
    algo_state.gnorm = computeCriticalityMeasure(x,obj,con,tol);
    algo_state.ngrad++;
    // Initialize dual variable
    lambda_ = s.clone(); 
    lambda_->set((step_state->gradientVec)->dual());
    lambda_->scale(-one);
  }

  void compute( Vector<Real> &s, const Vector<Real> &x, Objective<Real> &obj, BoundConstraint<Real> &con, 
                AlgorithmState<Real> &algo_state ) {
    ROL::Ptr<StepState<Real> > step_state = Step<Real>::getState();
    Real zero(0), one(1);
    s.zero();
    x0_->set(x);
    res_->set(*(step_state->gradientVec));
    for ( iter_ = 0; iter_ < maxit_; iter_++ ) {
      /********************************************************************/
      // MODIFY ITERATE VECTOR TO CHECK ACTIVE SET
      /********************************************************************/
      xlam_->set(*x0_);                          // xlam = x0
      xlam_->axpy(scale_,*(lambda_));            // xlam = x0 + c*lambda
      /********************************************************************/
      // PROJECT x ONTO PRIMAL DUAL FEASIBLE SET
      /********************************************************************/
      As_->zero();                               // As   = 0
   
      xbnd_->set(*con.getUpperBound());          // xbnd = u
      xbnd_->axpy(-one,x);                       // xbnd = u - x
      xtmp_->set(*xbnd_);                        // tmp  = u - x
      con.pruneUpperActive(*xtmp_,*xlam_,neps_); // tmp  = I(u - x)
      xbnd_->axpy(-one,*xtmp_);                  // xbnd = A(u - x)
      As_->plus(*xbnd_);                         // As  += A(u - x)

      xbnd_->set(*con.getLowerBound());          // xbnd = l
      xbnd_->axpy(-one,x);                       // xbnd = l - x
      xtmp_->set(*xbnd_);                        // tmp  = l - x
      con.pruneLowerActive(*xtmp_,*xlam_,neps_); // tmp  = I(l - x)
      xbnd_->axpy(-one,*xtmp_);                  // xbnd = A(l - x)
      As_->plus(*xbnd_);                         // As  += A(l - x)
      /********************************************************************/
      // APPLY HESSIAN TO ACTIVE COMPONENTS OF s AND REMOVE INACTIVE
      /********************************************************************/
      itol_ = std::sqrt(ROL_EPSILON<Real>());
      if ( useSecantHessVec_ && secant_ != ROL::nullPtr ) {        // IHAs = H*As
        secant_->applyB(*gtmp_,*As_);
      }
      else {
        obj.hessVec(*gtmp_,*As_,x,itol_);
      }
      con.pruneActive(*gtmp_,*xlam_,neps_);     // IHAs = I(H*As)
      /********************************************************************/
      // SEPARATE ACTIVE AND INACTIVE COMPONENTS OF THE GRADIENT
      /********************************************************************/
      rtmp_->set(*(step_state->gradientVec));    // Inactive components
      con.pruneActive(*rtmp_,*xlam_,neps_);

      Ag_->set(*(step_state->gradientVec));     // Active components
      Ag_->axpy(-one,*rtmp_);
      /********************************************************************/
      // SOLVE REDUCED NEWTON SYSTEM 
      /********************************************************************/
      rtmp_->plus(*gtmp_);
      rtmp_->scale(-one);                        // rhs = -Ig - I(H*As)
      s.zero();
      if ( rtmp_->norm() > zero ) {             
        // Initialize Hessian and preconditioner
        ROL::Ptr<Objective<Real> > obj_ptr = ROL::makePtrFromRef(obj);
        ROL::Ptr<BoundConstraint<Real> > con_ptr = ROL::makePtrFromRef(con);
        ROL::Ptr<LinearOperator<Real> > hessian
          = ROL::makePtr<HessianPD>(obj_ptr,con_ptr,
              algo_state.iterateVec,xlam_,neps_,secant_,useSecantHessVec_);
        ROL::Ptr<LinearOperator<Real> > precond
          = ROL::makePtr<PrecondPD>(obj_ptr,con_ptr,
              algo_state.iterateVec,xlam_,neps_,secant_,useSecantPrecond_);
        //solve(s,*rtmp_,*xlam_,x,obj,con);   // Call conjugate residuals
        krylov_->run(s,*hessian,*rtmp_,*precond,iterCR_,flagCR_);
        con.pruneActive(s,*xlam_,neps_);        // s <- Is
      }
      s.plus(*As_);                             // s = Is + As
      /********************************************************************/
      // UPDATE MULTIPLIER 
      /********************************************************************/
      if ( useSecantHessVec_ && secant_ != ROL::nullPtr ) {
        secant_->applyB(*rtmp_,s);
      }
      else {
        obj.hessVec(*rtmp_,s,x,itol_);
      }
      gtmp_->set(*rtmp_);
      con.pruneActive(*gtmp_,*xlam_,neps_);
      lambda_->set(*rtmp_);
      lambda_->axpy(-one,*gtmp_);
      lambda_->plus(*Ag_);
      lambda_->scale(-one);
      /********************************************************************/
      // UPDATE STEP 
      /********************************************************************/
      x0_->set(x);
      x0_->plus(s);
      res_->set(*(step_state->gradientVec));
      res_->plus(*rtmp_);
      // Compute criticality measure  
      xtmp_->set(*x0_);
      xtmp_->axpy(-one,res_->dual());
      con.project(*xtmp_);
      xtmp_->axpy(-one,*x0_);
//      std::cout << s.norm()               << "  " 
//                << tmp->norm()            << "  " 
//                << res_->norm()           << "  " 
//                << lambda_->norm()  << "  " 
//                << flagCR_          << "  " 
//                << iterCR_          << "\n";
      if ( xtmp_->norm() < gtol_*algo_state.gnorm ) {
        flag_ = 0;
        break;
      }
      if ( s.norm() < stol_*x.norm() ) {
        flag_ = 2;
        break;
      } 
    }
    if ( iter_ == maxit_ ) {
      flag_ = 1;
    }
    else {
      iter_++;
    }
  }

  void update( Vector<Real> &x, const Vector<Real> &s, Objective<Real> &obj, BoundConstraint<Real> &con,
               AlgorithmState<Real> &algo_state ) {
    ROL::Ptr<StepState<Real> > step_state = Step<Real>::getState();
    step_state->SPiter = (maxit_ > 1) ? iter_ : iterCR_;
    step_state->SPflag = (maxit_ > 1) ? flag_ : flagCR_;

    x.plus(s);
    feasible_ = con.isFeasible(x);
    algo_state.snorm = s.norm();
    algo_state.iter++;
    Real tol = std::sqrt(ROL_EPSILON<Real>());
    obj.update(x,true,algo_state.iter);
    algo_state.value = obj.value(x,tol);
    algo_state.nfval++;
    
    if ( secant_ != ROL::nullPtr ) {
      gtmp_->set(*(step_state->gradientVec));
    }
    algo_state.gnorm = computeCriticalityMeasure(x,obj,con,tol);
    algo_state.ngrad++;

    if ( secant_ != ROL::nullPtr ) {
      secant_->updateStorage(x,*(step_state->gradientVec),*gtmp_,s,algo_state.snorm,algo_state.iter+1);
    }
    (algo_state.iterateVec)->set(x);
  }

  std::string printHeader( void ) const {
    std::stringstream hist;
    hist << "  ";
    hist << std::setw(6) << std::left << "iter";
    hist << std::setw(15) << std::left << "value";
    hist << std::setw(15) << std::left << "gnorm";
    hist << std::setw(15) << std::left << "snorm";
    hist << std::setw(10) << std::left << "#fval";
    hist << std::setw(10) << std::left << "#grad";
    if ( maxit_ > 1 ) {
      hist << std::setw(10) << std::left << "iterPDAS";
      hist << std::setw(10) << std::left << "flagPDAS";
    }
    else {
      hist << std::setw(10) << std::left << "iterCR";
      hist << std::setw(10) << std::left << "flagCR";
    }
    hist << std::setw(10) << std::left << "feasible";
    hist << "\n";
    return hist.str();
  }

  std::string printName( void ) const {
    std::stringstream hist;
    hist << "\nPrimal Dual Active Set Newton's Method\n";
    return hist.str();
  }

  virtual std::string print( AlgorithmState<Real> &algo_state, bool print_header = false ) const {
    std::stringstream hist;
    hist << std::scientific << std::setprecision(6);
    if ( algo_state.iter == 0 ) {
      hist << printName();
    }
    if ( print_header ) {
      hist << printHeader();
    }
    if ( algo_state.iter == 0 ) {
      hist << "  ";
      hist << std::setw(6) << std::left << algo_state.iter;
      hist << std::setw(15) << std::left << algo_state.value;
      hist << std::setw(15) << std::left << algo_state.gnorm;
      hist << "\n";
    }
    else {
      hist << "  ";
      hist << std::setw(6) << std::left << algo_state.iter;
      hist << std::setw(15) << std::left << algo_state.value;
      hist << std::setw(15) << std::left << algo_state.gnorm;
      hist << std::setw(15) << std::left << algo_state.snorm;
      hist << std::setw(10) << std::left << algo_state.nfval;
      hist << std::setw(10) << std::left << algo_state.ngrad;
      if ( maxit_ > 1 ) {
        hist << std::setw(10) << std::left << iter_;
        hist << std::setw(10) << std::left << flag_;
      }
      else {
        hist << std::setw(10) << std::left << iterCR_;
        hist << std::setw(10) << std::left << flagCR_;
      }
      if ( feasible_ ) {
        hist << std::setw(10) << std::left << "YES";
      }
      else {
        hist << std::setw(10) << std::left << "NO";
      }
      hist << "\n";
    }
    return hist.str();
  }

}; // class PrimalDualActiveSetStep

} // namespace ROL

#endif

//  void solve(Vector<Real> &sol, const Vector<Real> &rhs, const Vector<Real> &xlam, const Vector<Real> &x, 
//             Objective<Real> &obj, BoundConstraint<Real> &con) {
//    Real rnorm  = rhs.norm(); 
//    Real rtol   = std::min(tol1_,tol2_*rnorm);
//    itol_ = std::sqrt(ROL_EPSILON<Real>());
//    sol.zero();
//
//    ROL::Ptr<Vector<Real> > res = rhs.clone();
//    res->set(rhs);
//
//    ROL::Ptr<Vector<Real> > v = x.clone();
//    con.pruneActive(*res,xlam,neps_);
//    obj.precond(*v,*res,x,itol_);
//    con.pruneActive(*v,xlam,neps_);
//
//    ROL::Ptr<Vector<Real> > p = x.clone();
//    p->set(*v);
//
//    ROL::Ptr<Vector<Real> > Hp = x.clone();
//
//    iterCR_ = 0;
//    flagCR_ = 0;
//
//    Real kappa = 0.0, beta  = 0.0, alpha = 0.0, tmp = 0.0, rv = v->dot(*res);
//
//    for (iterCR_ = 0; iterCR_ < maxitCR_; iterCR_++) {
//      if ( false ) {
//        itol_ = rtol/(maxitCR_*rnorm);
//      }
//      con.pruneActive(*p,xlam,neps_);
//      if ( secant_ == ROL::nullPtr ) {
//        obj.hessVec(*Hp, *p, x, itol_);
//      }
//      else {
//        secant_->applyB( *Hp, *p, x );
//      }
//      con.pruneActive(*Hp,xlam,neps_);
//
//      kappa = p->dot(*Hp);
//      if ( kappa <= 0.0 ) { flagCR_ = 2; break; }
//      alpha = rv/kappa;
//      sol.axpy(alpha,*p);
//
//      res->axpy(-alpha,*Hp);
//      rnorm = res->norm();
//      if ( rnorm < rtol ) { break; }
//
//      con.pruneActive(*res,xlam,neps_);
//      obj.precond(*v,*res,x,itol_);
//      con.pruneActive(*v,xlam,neps_);
//      tmp  = rv;
//      rv   = v->dot(*res);
//      beta = rv/tmp;
//
//      p->scale(beta);
//      p->axpy(1.0,*v);
//    }
//    if ( iterCR_ == maxitCR_ ) {
//      flagCR_ = 1;
//    }
//    else {
//      iterCR_++;
//    }
//  }


//  /** \brief Apply the inactive components of the Hessian operator.
// 
//             I.e., the components corresponding to \f$\mathcal{I}_k\f$.
//
//             @param[out]       hv     is the result of applying the Hessian at @b x to 
//                                      @b v
//             @param[in]        v      is the direction in which we apply the Hessian
//             @param[in]        x      is the current iteration vector \f$x_k\f$
//             @param[in]        xlam   is the vector \f$x_k + c\lambda_k\f$
//             @param[in]        obj    is the objective function
//             @param[in]        con    are the bound constraints
//  */
//  void applyInactiveHessian(Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, 
//                      const Vector<Real> &xlam, Objective<Real> &obj, BoundConstraint<Real> &con) {
//    ROL::Ptr<Vector<Real> > tmp = v.clone();
//    tmp->set(v);
//    con.pruneActive(*tmp,xlam,neps_);
//    if ( secant_ == ROL::nullPtr ) {
//      obj.hessVec(hv,*tmp,x,itol_);
//    }
//    else {
//      secant_->applyB(hv,*tmp,x);
//    }
//    con.pruneActive(hv,xlam,neps_);
//  }
//
//  /** \brief Apply the inactive components of the preconditioner operator.
//
//             I.e., the components corresponding to \f$\mathcal{I}_k\f$.
//
//             @param[out]       hv     is the result of applying the preconditioner at @b x to 
//                                      @b v
//             @param[in]        v      is the direction in which we apply the preconditioner
//             @param[in]        x      is the current iteration vector \f$x_k\f$
//             @param[in]        xlam   is the vector \f$x_k + c\lambda_k\f$
//             @param[in]        obj    is the objective function
//             @param[in]        con    are the bound constraints
//  */
//  void applyInactivePrecond(Vector<Real> &pv, const Vector<Real> &v, const Vector<Real> &x,
//                      const Vector<Real> &xlam, Objective<Real> &obj, BoundConstraint<Real> &con) {
//    ROL::Ptr<Vector<Real> > tmp = v.clone();
//    tmp->set(v);
//    con.pruneActive(*tmp,xlam,neps_);
//    obj.precond(pv,*tmp,x,itol_);
//    con.pruneActive(pv,xlam,neps_);
//  }
//
//  /** \brief Solve the inactive part of the PDAS optimality system.  
//
//             The inactive PDAS optimality system is 
//             \f[
//                 \nabla^2 f(x_k)_{\mathcal{I}_k,\mathcal{I}_k}s  = 
//                     -\nabla f(x_k)_{\mathcal{I}_k}
//                     -\nabla^2 f(x_k)_{\mathcal{I}_k,\mathcal{A}_k} (s_k)_{\mathcal{A}_k}.
//             \f]
//             Since the inactive part of the Hessian may not be positive definite, we solve 
//             using CR.
//   
//             @param[out]       sol    is the vector containing the solution
//             @param[in]        rhs    is the right-hand side vector
//             @param[in]        xlam   is the vector \f$x_k + c\lambda_k\f$
//             @param[in]        x      is the current iteration vector \f$x_k\f$
//             @param[in]        obj    is the objective function
//             @param[in]        con    are the bound constraints
//  */
//  // Solve the inactive part of the optimality system using conjugate residuals
//  void solve(Vector<Real> &sol, const Vector<Real> &rhs, const Vector<Real> &xlam, const Vector<Real> &x, 
//             Objective<Real> &obj, BoundConstraint<Real> &con) {
//    // Initialize Residual
//    ROL::Ptr<Vector<Real> > res = rhs.clone();
//    res->set(rhs);
//    Real rnorm  = res->norm(); 
//    Real rtol   = std::min(tol1_,tol2_*rnorm);
//    if ( false ) { itol_ = rtol/(maxitCR_*rnorm); }
//    sol.zero();
//
//    // Apply preconditioner to residual r = Mres
//    ROL::Ptr<Vector<Real> > r = x.clone();
//    applyInactivePrecond(*r,*res,x,xlam,obj,con);
//
//    // Initialize direction p = v
//    ROL::Ptr<Vector<Real> > p = x.clone();
//    p->set(*r);
//
//    // Apply Hessian to v
//    ROL::Ptr<Vector<Real> > Hr = x.clone();
//    applyInactiveHessian(*Hr,*r,x,xlam,obj,con);
//
//    // Apply Hessian to p
//    ROL::Ptr<Vector<Real> > Hp  = x.clone();
//    ROL::Ptr<Vector<Real> > MHp = x.clone();
//    Hp->set(*Hr);
//
//    iterCR_ = 0;
//    flagCR_ = 0;
//
//    Real kappa = 0.0, beta  = 0.0, alpha = 0.0, tmp = 0.0, rHr = Hr->dot(*r);
//
//    for (iterCR_ = 0; iterCR_ < maxitCR_; iterCR_++) {
//      // Precondition Hp
//      applyInactivePrecond(*MHp,*Hp,x,xlam,obj,con);
//
//      kappa = Hp->dot(*MHp);  // p' H M H p
//      alpha = rHr/kappa;      // r' M H M r
//      sol.axpy(alpha,*p);     // update step
//      res->axpy(-alpha,*Hp);  // residual
//      r->axpy(-alpha,*MHp);   // preconditioned residual
//      
//      // recompute rnorm and decide whether or not to exit
//      rnorm = res->norm();
//      if ( rnorm < rtol ) { break; }
//
//      // Apply Hessian to v
//      itol_ = rtol/(maxitCR_*rnorm);
//      applyInactiveHessian(*Hr,*r,x,xlam,obj,con);
//
//      tmp  = rHr;
//      rHr  = Hr->dot(*r);
//      beta = rHr/tmp;
//      p->scale(beta);
//      p->axpy(1.0,*r);
//      Hp->scale(beta);
//      Hp->axpy(1.0,*Hr);
//    }
//    if ( iterCR_ == maxitCR_ ) {
//      flagCR_ = 1;
//    }
//    else {
//      iterCR_++;
//    }
//  }