Provides the interface to evaluate the Interior Pointy log barrier penalty function with upper and lower bounds on some elements. More...

#include <ROL_InteriorPointPenalty.hpp>

Inheritance diagram for ROL::InteriorPointPenalty< Real >:

Classes
class	ModifiedLogarithm
class	ModifiedReciprocal
class	ModifiedDivide
class	Mask

Public Member Functions
	~InteriorPointPenalty ()
	InteriorPointPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &con, ROL::ParameterList &parlist)
Real	getObjectiveValue (void) const
ROL::Ptr< Vector< Real > >	getGradient (void) const
int	getNumberFunctionEvaluations (void) const
int	getNumberGradientEvaluations (void) const
ROL::Ptr< const Vector< Real > >	getLowerMask (void) const
ROL::Ptr< const Vector< Real > >	getUpperMask (void) const
void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update the interior point penalized objective.
Real	value (const Vector< Real > &x, Real &tol)
	Compute value.
void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
	Compute gradient.
void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Compute action of Hessian on vector.
const ROL::Ptr< OBJ >	getObjective (void)
const ROL::Ptr< BND >	getBoundConstraint (void)
Public Member Functions inherited from ROL::ROL::Objective< Real >
virtual	~Objective ()
	Objective ()
virtual void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
	Update objective function.
virtual void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update objective function.
virtual Real	value (const Vector< Real > &x, Real &tol)=0
	Compute value.
virtual void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
	Compute gradient.
virtual Real	dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
	Compute directional derivative.
virtual void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply Hessian approximation to vector.
virtual void	invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply inverse Hessian approximation to vector.
virtual void	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector.
virtual void	prox (Vector< Real > &Pv, const Vector< Real > &v, Real t, Real &tol)
	Compute the proximity operator.
virtual void	proxJacVec (Vector< Real > &Jv, const Vector< Real > &v, const Vector< Real > &x, Real t, Real &tol)
	Apply the Jacobian of the proximity operator.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
virtual std::vector< std::vector< Real > >	checkProxJacVec (const Vector< Real > &x, const Vector< Real > &v, Real t=Real(1), bool printToStream=true, std::ostream &outStream=std::cout, int numSteps=ROL_NUM_CHECKDERIV_STEPS)
	Finite-difference proximity operator Jacobian-applied-to-vector check.
virtual void	setParameter (const std::vector< Real > &param)

Private Types
typedef Vector< Real >	V
typedef Objective< Real >	OBJ
typedef BoundConstraint< Real >	BND
typedef Elementwise::ValueSet< Real >	ValueSet

Private Attributes
const ROL::Ptr< OBJ >	obj_
const ROL::Ptr< BND >	bnd_
const ROL::Ptr< const V >	lo_
const ROL::Ptr< const V >	up_
ROL::Ptr< V >	g_
ROL::Ptr< V >	maskL_
ROL::Ptr< V >	maskU_
ROL::Ptr< V >	a_
ROL::Ptr< V >	b_
ROL::Ptr< V >	c_
bool	useLinearDamping_
Real	mu_
Real	kappaD_
Real	fval_
int	nfval_
int	ngval_

Additional Inherited Members
Protected Member Functions inherited from ROL::ROL::Objective< Real >
const std::vector< Real >	getParameter (void) const

Detailed Description

template<class Real>
class ROL::InteriorPointPenalty< Real >

Provides the interface to evaluate the Interior Pointy log barrier penalty function with upper and lower bounds on some elements.

Definition at line 29 of file ROL_InteriorPointPenalty.hpp.

Member Typedef Documentation

◆ V

template<class Real>

typedef Vector<Real> ROL::InteriorPointPenalty< Real >::V

private

Definition at line 31 of file ROL_InteriorPointPenalty.hpp.

◆ OBJ

template<class Real>

typedef Objective<Real> ROL::InteriorPointPenalty< Real >::OBJ

private

Definition at line 32 of file ROL_InteriorPointPenalty.hpp.

◆ BND

template<class Real>

typedef BoundConstraint<Real> ROL::InteriorPointPenalty< Real >::BND

private

Definition at line 33 of file ROL_InteriorPointPenalty.hpp.

◆ ValueSet

template<class Real>

typedef Elementwise::ValueSet<Real> ROL::InteriorPointPenalty< Real >::ValueSet

private

Definition at line 35 of file ROL_InteriorPointPenalty.hpp.

Constructor & Destructor Documentation

◆ ~InteriorPointPenalty()

template<class Real>

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

inline

Definition at line 111 of file ROL_InteriorPointPenalty.hpp.

◆ InteriorPointPenalty()

template<class Real>

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

inline

Definition at line 113 of file ROL_InteriorPointPenalty.hpp.

References a_, b_, bnd_, c_, g_, kappaD_, lo_, maskL_, maskU_, mu_, obj_, ROL::ROL::Objective< Real >::Objective(), ROL::ROL_INF(), ROL::ROL_NINF(), up_, useLinearDamping_, and zero.

Member Function Documentation

◆ getObjectiveValue()

template<class Real>

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

inline

Definition at line 148 of file ROL_InteriorPointPenalty.hpp.

References fval_.

◆ getGradient()

template<class Real>

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

inline

Definition at line 152 of file ROL_InteriorPointPenalty.hpp.

References g_.

◆ getNumberFunctionEvaluations()

template<class Real>

int ROL::InteriorPointPenalty< Real >::getNumberFunctionEvaluations ( void ) const

inline

Definition at line 156 of file ROL_InteriorPointPenalty.hpp.

References nfval_.

◆ getNumberGradientEvaluations()

template<class Real>

int ROL::InteriorPointPenalty< Real >::getNumberGradientEvaluations ( void ) const

inline

Definition at line 160 of file ROL_InteriorPointPenalty.hpp.

References ngval_.

◆ getLowerMask()

template<class Real>

ROL::Ptr< const Vector< Real > > ROL::InteriorPointPenalty< Real >::getLowerMask ( void ) const

inline

Definition at line 164 of file ROL_InteriorPointPenalty.hpp.

References maskL_.

◆ getUpperMask()

template<class Real>

ROL::Ptr< const Vector< Real > > ROL::InteriorPointPenalty< Real >::getUpperMask ( void ) const

inline

Definition at line 168 of file ROL_InteriorPointPenalty.hpp.

References maskU_.

◆ update()

template<class Real>

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

inline

Update the interior point penalized objective.

This function updates the log barrier penalized 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.

Definition at line 179 of file ROL_InteriorPointPenalty.hpp.

References obj_.

◆ value()

template<class Real>

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

inline

Compute value.

This function returns the log barrier penalized objective value.

\[ \varphi_\mu(x) = f(x) - \mu \sum\limits_{i\int I_L} \ln(x_i-l_i) - \mu \sum\limits_{i\in I_Y} \ln(u_i-x_i) \]

Where \( I_L=\{i:l_i>-\infty\} \) and \( I_U = \{i:u_i<\infty\}\)

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for interior point penalty computation.

Definition at line 194 of file ROL_InteriorPointPenalty.hpp.

References a_, b_, c_, fval_, kappaD_, lo_, maskL_, maskU_, mu_, nfval_, obj_, up_, and useLinearDamping_.

◆ gradient()

template<class Real>

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

inline

Compute gradient.

This function returns the log barrier penalized gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact log barrier penalty computation.

Definition at line 263 of file ROL_InteriorPointPenalty.hpp.

References a_, ROL::Vector< Real >::axpy(), b_, g_, kappaD_, lo_, maskL_, maskU_, mu_, ngval_, obj_, ROL::Vector< Real >::set(), up_, and useLinearDamping_.

◆ hessVec()

template<class Real>

void ROL::InteriorPointPenalty< Real >::hessVec	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol )

inline

Compute action of Hessian on vector.

This function returns the log barrier penalized Hessian acting on a given vector.

Parameters

[out]	hv	is the Hessian-vector product.
[in]	v	is the given vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact log barrier penalty computation.