void updateIterate(Vector<Real> &xnew, const Vector<Real> &x, const Vector<Real> &s, Real alpha,
BoundConstraint<Real> &con ) {
xnew.set(x);
xnew.axpy(alpha,s);
if ( con.isActivated() ) {
con.project(xnew);
}
}
void initialize( Vector<Real> &x, const Vector<Real> &s, const Vector<Real> &g,
Objective<Real> &obj, BoundConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {
Step<Real>::initialize(x,s,g,obj,con,algo_state);
Teuchos::RCP<StepState<Real> > step_state = Step<Real>::getState();
lineSearch_->initialize(x, s, *(step_state->gradientVec),obj,con);
if ( edesc_ == DESCENT_NEWTONKRYLOV || edesc_ == DESCENT_NEWTON || edesc_ == DESCENT_SECANT ) {
Teuchos::RCP<Objective<Real> > obj_ptr = Teuchos::rcp(&obj, false);
Teuchos::RCP<BoundConstraint<Real> > con_ptr = Teuchos::rcp(&con, false);
hessian_ = Teuchos::rcp(
new ProjectedHessian<Real>(secant_,obj_ptr,con_ptr,algo_state.iterateVec,step_state->gradientVec,
useSecantHessVec_));
precond_ = Teuchos::rcp(
new ProjectedPreconditioner<Real>(secant_,obj_ptr,con_ptr,algo_state.iterateVec,
step_state->gradientVec,useSecantPrecond_));
}
if ( con.isActivated() ) {
d_ = s.clone();
}
if ( con.isActivated() || edesc_ == DESCENT_SECANT
|| (edesc_ == DESCENT_NEWTONKRYLOV && useSecantPrecond_) ) {
gp_ = g.clone();
}
}
/** \brief Update step, if successful.
Given a trial step, \f$s_k\f$, this function updates \f$x_{k+1}=x_k+s_k\f$.
This function also updates the secant approximation.
@param[in,out] x is the updated iterate
@param[in] s is the computed trial step
@param[in] obj is the objective function
@param[in] con are the bound constraints
@param[in] algo_state contains the current state of the algorithm
*/
void update( Vector<Real> &x, const Vector<Real> &s, Objective<Real> &obj, BoundConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {
Real tol = std::sqrt(ROL_EPSILON);
Teuchos::RCP<StepState<Real> > step_state = Step<Real>::getState();
// Update iterate
algo_state.iter++;
x.axpy(1.0, s);
// Compute new gradient
if ( edesc_ == DESCENT_SECANT ||
(edesc_ == DESCENT_NEWTONKRYLOV && useSecantPrecond_) ) {
gp_->set(*(step_state->gradientVec));
}
obj.gradient(*(step_state->gradientVec),x,tol);
algo_state.ngrad++;
// Update Secant Information
if ( edesc_ == DESCENT_SECANT ||
(edesc_ == DESCENT_NEWTONKRYLOV && useSecantPrecond_) ) {
secant_->update(*(step_state->gradientVec),*gp_,s,algo_state.snorm,algo_state.iter+1);
}
// Update algorithm state
(algo_state.iterateVec)->set(x);
if ( con.isActivated() ) {
if ( useProjectedGrad_ ) {
gp_->set(*(step_state->gradientVec));
con.computeProjectedGradient( *gp_, x );
algo_state.gnorm = gp_->norm();
}
else {
d_->set(x);
d_->axpy(-1.0,(step_state->gradientVec)->dual());
con.project(*d_);
d_->axpy(-1.0,x);
algo_state.gnorm = d_->norm();
}
}
else {
algo_state.gnorm = (step_state->gradientVec)->norm();
}
}
Real GradDotStep(const Vector<Real> &g, const Vector<Real> &s,
const Vector<Real> &x,
BoundConstraint<Real> &bnd, Real eps = 0) {
Real gs(0), one(1);
if (!bnd.isActivated()) {
gs = s.dot(g.dual());
}
else {
d_->set(s);
bnd.pruneActive(*d_,g,x,eps);
gs = d_->dot(g.dual());
d_->set(x);
d_->axpy(-one,g.dual());
bnd.project(*d_);
d_->scale(-one);
d_->plus(x);
bnd.pruneInactive(*d_,g,x,eps);
gs -= d_->dot(g.dual());
}
return gs;
}
/** \brief Compute step.
Computes a trial step, \f$s_k\f$ as defined by the enum EDescent. Once the
trial step is determined, this function determines an approximate minimizer
of the 1D function \f$\phi_k(t) = f(x_k+ts_k)\f$. This approximate
minimizer must satisfy sufficient decrease and curvature conditions.
@param[out] s is the computed trial step
@param[in] x is the current iterate
@param[in] obj is the objective function
@param[in] con are the bound constraints
@param[in] algo_state contains the current state of the algorithm
*/
void compute( Vector<Real> &s, const Vector<Real> &x, Objective<Real> &obj, BoundConstraint<Real> &con,
AlgorithmState<Real> &algo_state ) {
Teuchos::RCP<StepState<Real> > step_state = Step<Real>::getState();
Real tol = std::sqrt(ROL_EPSILON);
// Set active set parameter
Real eps = 0.0;
if ( con.isActivated() ) {
eps = algo_state.gnorm;
}
lineSearch_->setData(eps);
if ( hessian_ != Teuchos::null ) {
hessian_->setData(eps);
}
if ( precond_ != Teuchos::null ) {
precond_->setData(eps);
}
// Compute step s
switch(edesc_) {
case DESCENT_NEWTONKRYLOV:
flagKrylov_ = 0;
krylov_->run(s,*hessian_,*(step_state->gradientVec),*precond_,iterKrylov_,flagKrylov_);
break;
case DESCENT_NEWTON:
case DESCENT_SECANT:
hessian_->applyInverse(s,*(step_state->gradientVec),tol);
break;
case DESCENT_NONLINEARCG:
nlcg_->run(s,*(step_state->gradientVec),x,obj);
break;
case DESCENT_STEEPEST:
s.set(step_state->gradientVec->dual());
break;
default: break;
}
// Compute g.dot(s)
Real gs = 0.0;
if ( !con.isActivated() ) {
gs = -s.dot((step_state->gradientVec)->dual());
}
else {
if ( edesc_ == DESCENT_STEEPEST ) {
d_->set(x);
d_->axpy(-1.0,s);
con.project(*d_);
d_->scale(-1.0);
d_->plus(x);
//d->set(s);
//con.pruneActive(*d,s,x,eps);
//con.pruneActive(*d,*(step_state->gradientVec),x,eps);
gs = -d_->dot((step_state->gradientVec)->dual());
}
else {
d_->set(s);
con.pruneActive(*d_,*(step_state->gradientVec),x,eps);
gs = -d_->dot((step_state->gradientVec)->dual());
d_->set(x);
d_->axpy(-1.0,(step_state->gradientVec)->dual());
con.project(*d_);
d_->scale(-1.0);
d_->plus(x);
con.pruneInactive(*d_,*(step_state->gradientVec),x,eps);
gs -= d_->dot((step_state->gradientVec)->dual());
}
}
// Check if s is a descent direction i.e., g.dot(s) < 0
if ( gs >= 0.0 || (flagKrylov_ == 2 && iterKrylov_ <= 1) ) {
s.set((step_state->gradientVec)->dual());
if ( con.isActivated() ) {
d_->set(s);
con.pruneActive(*d_,s,x);
gs = -d_->dot((step_state->gradientVec)->dual());
}
else {
gs = -s.dot((step_state->gradientVec)->dual());
}
}
s.scale(-1.0);
// Perform line search
Real fnew = algo_state.value;
ls_nfval_ = 0;
ls_ngrad_ = 0;
lineSearch_->run(step_state->searchSize,fnew,ls_nfval_,ls_ngrad_,gs,s,x,obj,con);
// Make correction if maximum function evaluations reached
if(!acceptLastAlpha_)
{
lineSearch_->setMaxitUpdate(step_state->searchSize,fnew,algo_state.value);
}
algo_state.nfval += ls_nfval_;
algo_state.ngrad += ls_ngrad_;
// Compute get scaled descent direction
s.scale(step_state->searchSize);
if ( con.isActivated() ) {
s.plus(x);
con.project(s);
s.axpy(-1.0,x);
}
// Update step state information
(step_state->descentVec)->set(s);
// Update algorithm state information
algo_state.snorm = s.norm();
algo_state.value = fnew;
}
virtual bool status( const ELineSearch type, int &ls_neval, int &ls_ngrad, const Real alpha,
const Real fold, const Real sgold, const Real fnew,
const Vector<Real> &x, const Vector<Real> &s,
Objective<Real> &obj, BoundConstraint<Real> &con ) {
Real tol = std::sqrt(ROL_EPSILON);
// Check Armijo Condition
bool armijo = false;
if ( con.isActivated() ) {
Real gs = 0.0;
if ( edesc_ == DESCENT_STEEPEST ) {
updateIterate(*d_,x,s,alpha,con);
d_->scale(-1.0);
d_->plus(x);
gs = -s.dot(*d_);
}
else {
d_->set(s);
d_->scale(-1.0);
con.pruneActive(*d_,*(grad_),x,eps_);
gs = alpha*(grad_)->dot(*d_);
d_->zero();
updateIterate(*d_,x,s,alpha,con);
d_->scale(-1.0);
d_->plus(x);
con.pruneInactive(*d_,*(grad_),x,eps_);
gs += d_->dot(grad_->dual());
}
if ( fnew <= fold - c1_*gs ) {
armijo = true;
}
}
else {
if ( fnew <= fold + c1_*alpha*sgold ) {
armijo = true;
}
}
// Check Maximum Iteration
bool itcond = false;
if ( ls_neval >= maxit_ ) {
itcond = true;
}
// Check Curvature Condition
bool curvcond = false;
if ( armijo && ((type != LINESEARCH_BACKTRACKING && type != LINESEARCH_CUBICINTERP) ||
(edesc_ == DESCENT_NONLINEARCG)) ) {
if (econd_ == CURVATURECONDITION_GOLDSTEIN) {
if (fnew >= fold + (1.0-c1_)*alpha*sgold) {
curvcond = true;
}
}
else if (econd_ == CURVATURECONDITION_NULL) {
curvcond = true;
}
else {
updateIterate(*xtst_,x,s,alpha,con);
obj.update(*xtst_);
obj.gradient(*g_,*xtst_,tol);
Real sgnew = 0.0;
if ( con.isActivated() ) {
d_->set(s);
d_->scale(-alpha);
con.pruneActive(*d_,s,x);
sgnew = -d_->dot(g_->dual());
}
else {
sgnew = s.dot(g_->dual());
}
ls_ngrad++;
if ( ((econd_ == CURVATURECONDITION_WOLFE)
&& (sgnew >= c2_*sgold))
|| ((econd_ == CURVATURECONDITION_STRONGWOLFE)
&& (std::abs(sgnew) <= c2_*std::abs(sgold)))
|| ((econd_ == CURVATURECONDITION_GENERALIZEDWOLFE)
&& (c2_*sgold <= sgnew && sgnew <= -c3_*sgold))
|| ((econd_ == CURVATURECONDITION_APPROXIMATEWOLFE)
&& (c2_*sgold <= sgnew && sgnew <= (2.0*c1_ - 1.0)*sgold)) ) {
curvcond = true;
}
}
}
if (type == LINESEARCH_BACKTRACKING || type == LINESEARCH_CUBICINTERP) {
if (edesc_ == DESCENT_NONLINEARCG) {
return ((armijo && curvcond) || itcond);
}
else {
return (armijo || itcond);
}
}
else {
return ((armijo && curvcond) || itcond);
}
}
void initialize( Vector<Real> &x, const Vector<Real> &s, const Vector<Real> &g,
Objective<Real> &obj, BoundConstraint<Real> &bnd,
AlgorithmState<Real> &algo_state ) {
d_ = x.clone();
// Initialize unglobalized step
Teuchos::ParameterList& list
= parlist_.sublist("Step").sublist("Line Search").sublist("Descent Method");
EDescent edesc = StringToEDescent(list.get("Type","Quasi-Newton Method") );
if (bnd.isActivated()) {
switch(edesc) {
case DESCENT_STEEPEST: {
desc_ = Teuchos::rcp(new GradientStep<Real>(parlist_,computeObj_));
break;
}
case DESCENT_NONLINEARCG: {
desc_ = Teuchos::rcp(new NonlinearCGStep<Real>(parlist_,nlcg_,computeObj_));
break;
}
case DESCENT_SECANT: {
desc_ = Teuchos::rcp(new ProjectedSecantStep<Real>(parlist_,secant_,computeObj_));
break;
}
case DESCENT_NEWTON: {
desc_ = Teuchos::rcp(new ProjectedNewtonStep<Real>(parlist_,computeObj_));
break;
}
case DESCENT_NEWTONKRYLOV: {
desc_ = Teuchos::rcp(new ProjectedNewtonKrylovStep<Real>(parlist_,krylov_,secant_,computeObj_));
break;
}
default:
TEUCHOS_TEST_FOR_EXCEPTION(true,std::invalid_argument,
">>> (LineSearchStep::Initialize): Undefined descent type!");
}
}
else {
switch(edesc) {
case DESCENT_STEEPEST: {
desc_ = Teuchos::rcp(new GradientStep<Real>(parlist_,computeObj_));
break;
}
case DESCENT_NONLINEARCG: {
desc_ = Teuchos::rcp(new NonlinearCGStep<Real>(parlist_,nlcg_,computeObj_));
break;
}
case DESCENT_SECANT: {
desc_ = Teuchos::rcp(new SecantStep<Real>(parlist_,secant_,computeObj_));
break;
}
case DESCENT_NEWTON: {
desc_ = Teuchos::rcp(new NewtonStep<Real>(parlist_,computeObj_));
break;
}
case DESCENT_NEWTONKRYLOV: {
desc_ = Teuchos::rcp(new NewtonKrylovStep<Real>(parlist_,krylov_,secant_,computeObj_));
break;
}
default:
TEUCHOS_TEST_FOR_EXCEPTION(true,std::invalid_argument,
">>> (LineSearchStep::Initialize): Undefined descent type!");
}
}
desc_->initialize(x,s,g,obj,bnd,algo_state);
// Initialize line search
lineSearch_->initialize(x,s,g,obj,bnd);
//Teuchos::RCP<const StepState<Real> > desc_state = desc_->getStepState();
//lineSearch_->initialize(x,s,*(desc_state->gradientVec),obj,bnd);
}
