int TaoLinearSolverPetsc::SetTrustRadius(double rad)
{
const KSPType ktype;
int info;
PetscTruth flg;
PetscFunctionBegin;
info = KSPGetType(ksp, &ktype); CHKERRQ(info);
info = PetscStrcmp((char *)ktype, KSPNASH, &flg); CHKERRQ(info);
if (flg == PETSC_TRUE) {
info = KSPNASHSetRadius(ksp, rad); CHKERRQ(info);
}
info = PetscStrcmp((char *)ktype, KSPSTCG, &flg); CHKERRQ(info);
if (flg == PETSC_TRUE) {
info = KSPSTCGSetRadius(ksp, rad); CHKERRQ(info);
}
info = PetscStrcmp((char *)ktype, KSPGLTR, &flg); CHKERRQ(info);
if (flg == PETSC_TRUE) {
info = KSPGLTRSetRadius(ksp, rad); CHKERRQ(info);
}
PetscFunctionReturn(0);
}
void PETSC_STDCALL kspgltrsetradius_(KSP ksp,PetscReal *radius, int *__ierr ){
*__ierr = KSPGLTRSetRadius(
(KSP)PetscToPointer((ksp) ),*radius);
}
static PetscErrorCode TaoSolve_NTR(Tao tao)
{
TAO_NTR *tr = (TAO_NTR *)tao->data;
PC pc;
KSPConvergedReason ksp_reason;
TaoConvergedReason reason;
PetscReal fmin, ftrial, prered, actred, kappa, sigma, beta;
PetscReal tau, tau_1, tau_2, tau_max, tau_min, max_radius;
PetscReal f, gnorm;
PetscReal delta;
PetscReal norm_d;
PetscErrorCode ierr;
PetscInt iter = 0;
PetscInt bfgsUpdates = 0;
PetscInt needH;
PetscInt i_max = 5;
PetscInt j_max = 1;
PetscInt i, j, N, n, its;
PetscFunctionBegin;
if (tao->XL || tao->XU || tao->ops->computebounds) {
ierr = PetscPrintf(((PetscObject)tao)->comm,"WARNING: Variable bounds have been set but will be ignored by ntr algorithm\n");CHKERRQ(ierr);
}
tao->trust = tao->trust0;
/* Modify the radius if it is too large or small */
tao->trust = PetscMax(tao->trust, tr->min_radius);
tao->trust = PetscMin(tao->trust, tr->max_radius);
if (NTR_PC_BFGS == tr->pc_type && !tr->M) {
ierr = VecGetLocalSize(tao->solution,&n);CHKERRQ(ierr);
ierr = VecGetSize(tao->solution,&N);CHKERRQ(ierr);
ierr = MatCreateLMVM(((PetscObject)tao)->comm,n,N,&tr->M);CHKERRQ(ierr);
ierr = MatLMVMAllocateVectors(tr->M,tao->solution);CHKERRQ(ierr);
}
/* Check convergence criteria */
ierr = TaoComputeObjectiveAndGradient(tao, tao->solution, &f, tao->gradient);CHKERRQ(ierr);
ierr = VecNorm(tao->gradient,NORM_2,&gnorm);CHKERRQ(ierr);
if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf or NaN");
needH = 1;
ierr = TaoMonitor(tao, iter, f, gnorm, 0.0, 1.0, &reason);CHKERRQ(ierr);
if (reason != TAO_CONTINUE_ITERATING) PetscFunctionReturn(0);
/* Create vectors for the limited memory preconditioner */
if ((NTR_PC_BFGS == tr->pc_type) &&
(BFGS_SCALE_BFGS != tr->bfgs_scale_type)) {
if (!tr->Diag) {
ierr = VecDuplicate(tao->solution, &tr->Diag);CHKERRQ(ierr);
}
}
switch(tr->ksp_type) {
case NTR_KSP_NASH:
ierr = KSPSetType(tao->ksp, KSPNASH);CHKERRQ(ierr);
if (tao->ksp->ops->setfromoptions) {
(*tao->ksp->ops->setfromoptions)(tao->ksp);
}
break;
case NTR_KSP_STCG:
ierr = KSPSetType(tao->ksp, KSPSTCG);CHKERRQ(ierr);
if (tao->ksp->ops->setfromoptions) {
(*tao->ksp->ops->setfromoptions)(tao->ksp);
}
break;
default:
ierr = KSPSetType(tao->ksp, KSPGLTR);CHKERRQ(ierr);
if (tao->ksp->ops->setfromoptions) {
(*tao->ksp->ops->setfromoptions)(tao->ksp);
}
break;
}
/* Modify the preconditioner to use the bfgs approximation */
ierr = KSPGetPC(tao->ksp, &pc);CHKERRQ(ierr);
switch(tr->pc_type) {
case NTR_PC_NONE:
ierr = PCSetType(pc, PCNONE);CHKERRQ(ierr);
if (pc->ops->setfromoptions) {
(*pc->ops->setfromoptions)(pc);
}
break;
case NTR_PC_AHESS:
ierr = PCSetType(pc, PCJACOBI);CHKERRQ(ierr);
if (pc->ops->setfromoptions) {
(*pc->ops->setfromoptions)(pc);
}
ierr = PCJacobiSetUseAbs(pc);CHKERRQ(ierr);
break;
case NTR_PC_BFGS:
ierr = PCSetType(pc, PCSHELL);CHKERRQ(ierr);
if (pc->ops->setfromoptions) {
(*pc->ops->setfromoptions)(pc);
}
ierr = PCShellSetName(pc, "bfgs");CHKERRQ(ierr);
ierr = PCShellSetContext(pc, tr->M);CHKERRQ(ierr);
ierr = PCShellSetApply(pc, MatLMVMSolveShell);CHKERRQ(ierr);
break;
default:
/* Use the pc method set by pc_type */
break;
}
/* Initialize trust-region radius */
switch(tr->init_type) {
case NTR_INIT_CONSTANT:
/* Use the initial radius specified */
break;
case NTR_INIT_INTERPOLATION:
/* Use the initial radius specified */
max_radius = 0.0;
for (j = 0; j < j_max; ++j) {
fmin = f;
sigma = 0.0;
if (needH) {
ierr = TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre);CHKERRQ(ierr);
needH = 0;
}
for (i = 0; i < i_max; ++i) {
ierr = VecCopy(tao->solution, tr->W);CHKERRQ(ierr);
ierr = VecAXPY(tr->W, -tao->trust/gnorm, tao->gradient);CHKERRQ(ierr);
ierr = TaoComputeObjective(tao, tr->W, &ftrial);CHKERRQ(ierr);
if (PetscIsInfOrNanReal(ftrial)) {
tau = tr->gamma1_i;
}
else {
if (ftrial < fmin) {
fmin = ftrial;
sigma = -tao->trust / gnorm;
}
ierr = MatMult(tao->hessian, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = VecDot(tao->gradient, tao->stepdirection, &prered);CHKERRQ(ierr);
prered = tao->trust * (gnorm - 0.5 * tao->trust * prered / (gnorm * gnorm));
actred = f - ftrial;
if ((PetscAbsScalar(actred) <= tr->epsilon) &&
(PetscAbsScalar(prered) <= tr->epsilon)) {
kappa = 1.0;
}
else {
kappa = actred / prered;
}
tau_1 = tr->theta_i * gnorm * tao->trust / (tr->theta_i * gnorm * tao->trust + (1.0 - tr->theta_i) * prered - actred);
tau_2 = tr->theta_i * gnorm * tao->trust / (tr->theta_i * gnorm * tao->trust - (1.0 + tr->theta_i) * prered + actred);
tau_min = PetscMin(tau_1, tau_2);
tau_max = PetscMax(tau_1, tau_2);
if (PetscAbsScalar(kappa - 1.0) <= tr->mu1_i) {
/* Great agreement */
max_radius = PetscMax(max_radius, tao->trust);
if (tau_max < 1.0) {
tau = tr->gamma3_i;
}
else if (tau_max > tr->gamma4_i) {
tau = tr->gamma4_i;
}
else {
tau = tau_max;
}
}
else if (PetscAbsScalar(kappa - 1.0) <= tr->mu2_i) {
/* Good agreement */
max_radius = PetscMax(max_radius, tao->trust);
if (tau_max < tr->gamma2_i) {
tau = tr->gamma2_i;
}
else if (tau_max > tr->gamma3_i) {
tau = tr->gamma3_i;
}
else {
tau = tau_max;
}
}
else {
/* Not good agreement */
if (tau_min > 1.0) {
tau = tr->gamma2_i;
}
else if (tau_max < tr->gamma1_i) {
tau = tr->gamma1_i;
}
else if ((tau_min < tr->gamma1_i) && (tau_max >= 1.0)) {
tau = tr->gamma1_i;
}
else if ((tau_1 >= tr->gamma1_i) && (tau_1 < 1.0) &&
((tau_2 < tr->gamma1_i) || (tau_2 >= 1.0))) {
tau = tau_1;
}
else if ((tau_2 >= tr->gamma1_i) && (tau_2 < 1.0) &&
((tau_1 < tr->gamma1_i) || (tau_2 >= 1.0))) {
tau = tau_2;
}
else {
tau = tau_max;
}
}
}
tao->trust = tau * tao->trust;
}
if (fmin < f) {
f = fmin;
ierr = VecAXPY(tao->solution, sigma, tao->gradient);CHKERRQ(ierr);
ierr = TaoComputeGradient(tao,tao->solution, tao->gradient);CHKERRQ(ierr);
ierr = VecNorm(tao->gradient, NORM_2, &gnorm);CHKERRQ(ierr);
if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf or NaN");
needH = 1;
ierr = TaoMonitor(tao, iter, f, gnorm, 0.0, 1.0, &reason);CHKERRQ(ierr);
if (reason != TAO_CONTINUE_ITERATING) {
PetscFunctionReturn(0);
}
}
}
tao->trust = PetscMax(tao->trust, max_radius);
/* Modify the radius if it is too large or small */
tao->trust = PetscMax(tao->trust, tr->min_radius);
tao->trust = PetscMin(tao->trust, tr->max_radius);
break;
default:
/* Norm of the first direction will initialize radius */
tao->trust = 0.0;
break;
}
/* Set initial scaling for the BFGS preconditioner
This step is done after computing the initial trust-region radius
since the function value may have decreased */
if (NTR_PC_BFGS == tr->pc_type) {
if (f != 0.0) {
delta = 2.0 * PetscAbsScalar(f) / (gnorm*gnorm);
}
else {
delta = 2.0 / (gnorm*gnorm);
}
ierr = MatLMVMSetDelta(tr->M,delta);CHKERRQ(ierr);
}
/* Have not converged; continue with Newton method */
while (reason == TAO_CONTINUE_ITERATING) {
++iter;
tao->ksp_its=0;
/* Compute the Hessian */
if (needH) {
ierr = TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre);CHKERRQ(ierr);
needH = 0;
}
if (NTR_PC_BFGS == tr->pc_type) {
if (BFGS_SCALE_AHESS == tr->bfgs_scale_type) {
/* Obtain diagonal for the bfgs preconditioner */
ierr = MatGetDiagonal(tao->hessian, tr->Diag);CHKERRQ(ierr);
ierr = VecAbs(tr->Diag);CHKERRQ(ierr);
ierr = VecReciprocal(tr->Diag);CHKERRQ(ierr);
ierr = MatLMVMSetScale(tr->M,tr->Diag);CHKERRQ(ierr);
}
/* Update the limited memory preconditioner */
ierr = MatLMVMUpdate(tr->M, tao->solution, tao->gradient);CHKERRQ(ierr);
++bfgsUpdates;
}
while (reason == TAO_CONTINUE_ITERATING) {
ierr = KSPSetOperators(tao->ksp, tao->hessian, tao->hessian_pre);CHKERRQ(ierr);
/* Solve the trust region subproblem */
if (NTR_KSP_NASH == tr->ksp_type) {
ierr = KSPNASHSetRadius(tao->ksp,tao->trust);CHKERRQ(ierr);
ierr = KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr);
tao->ksp_its+=its;
tao->ksp_tot_its+=its;
ierr = KSPNASHGetNormD(tao->ksp, &norm_d);CHKERRQ(ierr);
} else if (NTR_KSP_STCG == tr->ksp_type) {
ierr = KSPSTCGSetRadius(tao->ksp,tao->trust);CHKERRQ(ierr);
ierr = KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr);
tao->ksp_its+=its;
tao->ksp_tot_its+=its;
ierr = KSPSTCGGetNormD(tao->ksp, &norm_d);CHKERRQ(ierr);
} else { /* NTR_KSP_GLTR */
ierr = KSPGLTRSetRadius(tao->ksp,tao->trust);CHKERRQ(ierr);
ierr = KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr);
tao->ksp_its+=its;
tao->ksp_tot_its+=its;
ierr = KSPGLTRGetNormD(tao->ksp, &norm_d);CHKERRQ(ierr);
}
if (0.0 == tao->trust) {
/* Radius was uninitialized; use the norm of the direction */
if (norm_d > 0.0) {
tao->trust = norm_d;
/* Modify the radius if it is too large or small */
tao->trust = PetscMax(tao->trust, tr->min_radius);
tao->trust = PetscMin(tao->trust, tr->max_radius);
}
else {
/* The direction was bad; set radius to default value and re-solve
the trust-region subproblem to get a direction */
tao->trust = tao->trust0;
/* Modify the radius if it is too large or small */
tao->trust = PetscMax(tao->trust, tr->min_radius);
tao->trust = PetscMin(tao->trust, tr->max_radius);
if (NTR_KSP_NASH == tr->ksp_type) {
ierr = KSPNASHSetRadius(tao->ksp,tao->trust);CHKERRQ(ierr);
ierr = KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr);
tao->ksp_its+=its;
tao->ksp_tot_its+=its;
ierr = KSPNASHGetNormD(tao->ksp, &norm_d);CHKERRQ(ierr);
} else if (NTR_KSP_STCG == tr->ksp_type) {
ierr = KSPSTCGSetRadius(tao->ksp,tao->trust);CHKERRQ(ierr);
ierr = KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr);
tao->ksp_its+=its;
tao->ksp_tot_its+=its;
ierr = KSPSTCGGetNormD(tao->ksp, &norm_d);CHKERRQ(ierr);
} else { /* NTR_KSP_GLTR */
ierr = KSPGLTRSetRadius(tao->ksp,tao->trust);CHKERRQ(ierr);
ierr = KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);CHKERRQ(ierr);
ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr);
tao->ksp_its+=its;
tao->ksp_tot_its+=its;
ierr = KSPGLTRGetNormD(tao->ksp, &norm_d);CHKERRQ(ierr);
}
if (norm_d == 0.0) SETERRQ(PETSC_COMM_SELF,1, "Initial direction zero");
}
}
ierr = VecScale(tao->stepdirection, -1.0);CHKERRQ(ierr);
ierr = KSPGetConvergedReason(tao->ksp, &ksp_reason);CHKERRQ(ierr);
if ((KSP_DIVERGED_INDEFINITE_PC == ksp_reason) &&
(NTR_PC_BFGS == tr->pc_type) && (bfgsUpdates > 1)) {
/* Preconditioner is numerically indefinite; reset the
approximate if using BFGS preconditioning. */
if (f != 0.0) {
delta = 2.0 * PetscAbsScalar(f) / (gnorm*gnorm);
}
else {
delta = 2.0 / (gnorm*gnorm);
}
ierr = MatLMVMSetDelta(tr->M, delta);CHKERRQ(ierr);
ierr = MatLMVMReset(tr->M);CHKERRQ(ierr);
ierr = MatLMVMUpdate(tr->M, tao->solution, tao->gradient);CHKERRQ(ierr);
bfgsUpdates = 1;
}
if (NTR_UPDATE_REDUCTION == tr->update_type) {
/* Get predicted reduction */
if (NTR_KSP_NASH == tr->ksp_type) {
ierr = KSPNASHGetObjFcn(tao->ksp,&prered);CHKERRQ(ierr);
} else if (NTR_KSP_STCG == tr->ksp_type) {
ierr = KSPSTCGGetObjFcn(tao->ksp,&prered);CHKERRQ(ierr);
} else { /* gltr */
ierr = KSPGLTRGetObjFcn(tao->ksp,&prered);CHKERRQ(ierr);
}
if (prered >= 0.0) {
/* The predicted reduction has the wrong sign. This cannot
happen in infinite precision arithmetic. Step should
be rejected! */
tao->trust = tr->alpha1 * PetscMin(tao->trust, norm_d);
}
else {
/* Compute trial step and function value */
ierr = VecCopy(tao->solution,tr->W);CHKERRQ(ierr);
ierr = VecAXPY(tr->W, 1.0, tao->stepdirection);CHKERRQ(ierr);
ierr = TaoComputeObjective(tao, tr->W, &ftrial);CHKERRQ(ierr);
if (PetscIsInfOrNanReal(ftrial)) {
tao->trust = tr->alpha1 * PetscMin(tao->trust, norm_d);
} else {
/* Compute and actual reduction */
actred = f - ftrial;
prered = -prered;
if ((PetscAbsScalar(actred) <= tr->epsilon) &&
(PetscAbsScalar(prered) <= tr->epsilon)) {
kappa = 1.0;
}
else {
kappa = actred / prered;
}
/* Accept or reject the step and update radius */
if (kappa < tr->eta1) {
/* Reject the step */
tao->trust = tr->alpha1 * PetscMin(tao->trust, norm_d);
}
else {
/* Accept the step */
if (kappa < tr->eta2) {
/* Marginal bad step */
tao->trust = tr->alpha2 * PetscMin(tao->trust, norm_d);
}
else if (kappa < tr->eta3) {
/* Reasonable step */
tao->trust = tr->alpha3 * tao->trust;
}
else if (kappa < tr->eta4) {
/* Good step */
tao->trust = PetscMax(tr->alpha4 * norm_d, tao->trust);
}
else {
/* Very good step */
tao->trust = PetscMax(tr->alpha5 * norm_d, tao->trust);
}
break;
}
}
}
}
else {
/* Get predicted reduction */
if (NTR_KSP_NASH == tr->ksp_type) {
ierr = KSPNASHGetObjFcn(tao->ksp,&prered);CHKERRQ(ierr);
} else if (NTR_KSP_STCG == tr->ksp_type) {
ierr = KSPSTCGGetObjFcn(tao->ksp,&prered);CHKERRQ(ierr);
} else { /* gltr */
ierr = KSPGLTRGetObjFcn(tao->ksp,&prered);CHKERRQ(ierr);
}
if (prered >= 0.0) {
/* The predicted reduction has the wrong sign. This cannot
happen in infinite precision arithmetic. Step should
be rejected! */
tao->trust = tr->gamma1 * PetscMin(tao->trust, norm_d);
}
else {
ierr = VecCopy(tao->solution, tr->W);CHKERRQ(ierr);
ierr = VecAXPY(tr->W, 1.0, tao->stepdirection);CHKERRQ(ierr);
ierr = TaoComputeObjective(tao, tr->W, &ftrial);CHKERRQ(ierr);
if (PetscIsInfOrNanReal(ftrial)) {
tao->trust = tr->gamma1 * PetscMin(tao->trust, norm_d);
}
else {
ierr = VecDot(tao->gradient, tao->stepdirection, &beta);CHKERRQ(ierr);
actred = f - ftrial;
prered = -prered;
if ((PetscAbsScalar(actred) <= tr->epsilon) &&
(PetscAbsScalar(prered) <= tr->epsilon)) {
kappa = 1.0;
}
else {
kappa = actred / prered;
}
tau_1 = tr->theta * beta / (tr->theta * beta - (1.0 - tr->theta) * prered + actred);
tau_2 = tr->theta * beta / (tr->theta * beta + (1.0 + tr->theta) * prered - actred);
tau_min = PetscMin(tau_1, tau_2);
tau_max = PetscMax(tau_1, tau_2);
if (kappa >= 1.0 - tr->mu1) {
/* Great agreement; accept step and update radius */
if (tau_max < 1.0) {
tao->trust = PetscMax(tao->trust, tr->gamma3 * norm_d);
}
else if (tau_max > tr->gamma4) {
tao->trust = PetscMax(tao->trust, tr->gamma4 * norm_d);
}
else {
tao->trust = PetscMax(tao->trust, tau_max * norm_d);
}
break;
}
else if (kappa >= 1.0 - tr->mu2) {
/* Good agreement */
if (tau_max < tr->gamma2) {
tao->trust = tr->gamma2 * PetscMin(tao->trust, norm_d);
}
else if (tau_max > tr->gamma3) {
tao->trust = PetscMax(tao->trust, tr->gamma3 * norm_d);
}
else if (tau_max < 1.0) {
tao->trust = tau_max * PetscMin(tao->trust, norm_d);
}
else {
tao->trust = PetscMax(tao->trust, tau_max * norm_d);
}
break;
}
else {
/* Not good agreement */
if (tau_min > 1.0) {
tao->trust = tr->gamma2 * PetscMin(tao->trust, norm_d);
}
else if (tau_max < tr->gamma1) {
tao->trust = tr->gamma1 * PetscMin(tao->trust, norm_d);
}
else if ((tau_min < tr->gamma1) && (tau_max >= 1.0)) {
tao->trust = tr->gamma1 * PetscMin(tao->trust, norm_d);
}
else if ((tau_1 >= tr->gamma1) && (tau_1 < 1.0) &&
((tau_2 < tr->gamma1) || (tau_2 >= 1.0))) {
tao->trust = tau_1 * PetscMin(tao->trust, norm_d);
}
else if ((tau_2 >= tr->gamma1) && (tau_2 < 1.0) &&
((tau_1 < tr->gamma1) || (tau_2 >= 1.0))) {
tao->trust = tau_2 * PetscMin(tao->trust, norm_d);
}
else {
tao->trust = tau_max * PetscMin(tao->trust, norm_d);
}
}
}
}
}
/* The step computed was not good and the radius was decreased.
Monitor the radius to terminate. */
ierr = TaoMonitor(tao, iter, f, gnorm, 0.0, tao->trust, &reason);CHKERRQ(ierr);
}
/* The radius may have been increased; modify if it is too large */
tao->trust = PetscMin(tao->trust, tr->max_radius);
if (reason == TAO_CONTINUE_ITERATING) {
ierr = VecCopy(tr->W, tao->solution);CHKERRQ(ierr);
f = ftrial;
ierr = TaoComputeGradient(tao, tao->solution, tao->gradient);
ierr = VecNorm(tao->gradient, NORM_2, &gnorm);CHKERRQ(ierr);
if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf or NaN");
needH = 1;
ierr = TaoMonitor(tao, iter, f, gnorm, 0.0, tao->trust, &reason);CHKERRQ(ierr);
}
}
PetscFunctionReturn(0);
}