Express the Primal-Dual Interior Point gradient as an equality constraint. More...

#include <ROL_InteriorPointPrimalDualResidual.hpp>

Inheritance diagram for ROL::InteriorPoint::PrimalDualResidual< Real >:

Public Member Functions
	PrimalDualResidual (const ROL::Ptr< OBJ > &obj, const ROL::Ptr< CON > &eqcon, const ROL::Ptr< CON > &incon, const V &x)
void	value (V &c, const V &x, Real &tol)
void	applyJacobian (V &jv, const V &v, const V &x, Real &tol)
void	updatePenalty (Real mu)
	PrimalDualResidual (const ROL::Ptr< OBJ > &obj, const ROL::Ptr< CON > &eqcon, const ROL::Ptr< CON > &incon, const V &x)
void	value (V &c, const V &x, Real &tol)
void	applyJacobian (V &jv, const V &v, const V &x, Real &tol)
void	updatePenalty (Real mu)
Public Member Functions inherited from ROL::ROL::Constraint< Real >
virtual	~Constraint (void)
	Constraint (void)
virtual void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
	Update constraint function.
virtual void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update constraint functions. x is the optimization variable, flag = true if optimization variable is changed, iter is the outer algorithm iterations count.
virtual void	value (Vector< Real > &c, const Vector< Real > &x, Real &tol)=0
	Evaluate the constraint operator \(c:\mathcal{X} \rightarrow \mathcal{C}\) at \(x\).
virtual void	applyJacobian (Vector< Real > &jv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply the constraint Jacobian at \(x\), \(c'(x) \in L(\mathcal{X}, \mathcal{C})\), to vector \(v\).
virtual void	applyAdjointJacobian (Vector< Real > &ajv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply the adjoint of the the constraint Jacobian at \(x\), \(c'(x)^* \in L(\mathcal{C}^, \mathcal{X}^)\), to vector \(v\).
virtual void	applyAdjointJacobian (Vector< Real > &ajv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &dualv, Real &tol)
	Apply the adjoint of the the constraint Jacobian at \(x\), \(c'(x)^* \in L(\mathcal{C}^, \mathcal{X}^)\), to vector \(v\).
virtual void	applyAdjointHessian (Vector< Real > &ahuv, const Vector< Real > &u, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply the derivative of the adjoint of the constraint Jacobian at \(x\) to vector \(u\) in direction \(v\), according to \( v \mapsto c''(x)(v,\cdot)^*u \).
virtual std::vector< Real >	solveAugmentedSystem (Vector< Real > &v1, Vector< Real > &v2, const Vector< Real > &b1, const Vector< Real > &b2, const Vector< Real > &x, Real &tol)
	Approximately solves the augmented system .
virtual void	applyPreconditioner (Vector< Real > &pv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, Real &tol)
	Apply a constraint preconditioner at \(x\), \(P(x) \in L(\mathcal{C}, \mathcal{C}^*)\), to vector \(v\). Ideally, this preconditioner satisfies the following relationship:
void	activate (void)
	Turn on constraints.
void	deactivate (void)
	Turn off constraints.
bool	isActivated (void)
	Check if constraints are on.
virtual std::vector< std::vector< Real > >	checkApplyJacobian (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &jv, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference check for the constraint Jacobian application.
virtual std::vector< std::vector< Real > >	checkApplyJacobian (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &jv, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference check for the constraint Jacobian application.
virtual std::vector< std::vector< Real > >	checkApplyAdjointJacobian (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &c, const Vector< Real > &ajv, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS)
	Finite-difference check for the application of the adjoint of constraint Jacobian.
virtual Real	checkAdjointConsistencyJacobian (const Vector< Real > &w, const Vector< Real > &v, const Vector< Real > &x, const bool printToStream=true, std::ostream &outStream=std::cout)
virtual Real	checkAdjointConsistencyJacobian (const Vector< Real > &w, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &dualw, const Vector< Real > &dualv, const bool printToStream=true, std::ostream &outStream=std::cout)
virtual std::vector< std::vector< Real > >	checkApplyAdjointHessian (const Vector< Real > &x, const Vector< Real > &u, const Vector< Real > &v, const Vector< Real > &hv, const std::vector< Real > &step, const bool printToScreen=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference check for the application of the adjoint of constraint Hessian.
virtual std::vector< std::vector< Real > >	checkApplyAdjointHessian (const Vector< Real > &x, const Vector< Real > &u, const Vector< Real > &v, const Vector< Real > &hv, const bool printToScreen=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference check for the application of the adjoint of constraint Hessian.
virtual void	setParameter (const std::vector< Real > &param)

Private Types
typedef Vector< Real >	V
typedef PartitionedVector< Real >	PV
typedef Objective< Real >	OBJ
typedef Constraint< Real >	CON
typedef PV::size_type	size_type
typedef Vector< Real >	V
typedef PartitionedVector< Real >	PV
typedef Objective< Real >	OBJ
typedef Constraint< Real >	CON
typedef PV::size_type	size_type

Private Attributes
ROL::Ptr< OBJ >	obj_
ROL::Ptr< CON >	eqcon_
ROL::Ptr< CON >	incon_
ROL::Ptr< V >	qo_
ROL::Ptr< V >	qs_
ROL::Ptr< V >	qe_
ROL::Ptr< V >	qi_
Real	mu_
ROL::Ptr< LinearOperator< Real > >	sym_

Static Private Attributes
static const size_type	OPT = 0
static const size_type	SLACK = 1
static const size_type	EQUAL = 2
static const size_type	INEQ = 3

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

Detailed Description

template<class Real>
class ROL::InteriorPoint::PrimalDualResidual< Real >

Express the Primal-Dual Interior Point gradient as an equality constraint.

See Nocedal & Wright second edition equation (19.6) In that book the convention for naming components

x - optimization variable (here subscript o) s - slack variable (here subscript s) y - Lagrange multiplier for the equality constraint (here subscript e)

z - Lagrange multiplier for the inequality constraint (here subscript i)

See Nocedal & Wright second edition equation (19.6) In that book the convention for naming components

x - optimization variable (here subscript o) s - slack variable (here subscript s) y - Lagrange multiplier for the equality constraint (here subscript e)

z - Lagrange multiplier for the inequality constraint (here subscript i)

Definition at line 42 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

Member Typedef Documentation

◆ V [1/2]

template<class Real>

typedef Vector<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::V

private

Definition at line 45 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

◆ PV [1/2]

template<class Real>

typedef PartitionedVector<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::PV

private

Definition at line 46 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

◆ OBJ [1/2]

template<class Real>

typedef Objective<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::OBJ

private

Definition at line 47 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

◆ CON [1/2]

template<class Real>

typedef Constraint<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::CON

private

Definition at line 48 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

◆ size_type [1/2]

template<class Real>

typedef PV::size_type ROL::InteriorPoint::PrimalDualResidual< Real >::size_type

private

Definition at line 51 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

◆ V [2/2]

template<class Real>

typedef Vector<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::V

private

Definition at line 45 of file ROL_InteriorPointPrimalDualResidual.hpp.

◆ PV [2/2]

template<class Real>

typedef PartitionedVector<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::PV

private

Definition at line 46 of file ROL_InteriorPointPrimalDualResidual.hpp.

◆ OBJ [2/2]

template<class Real>

typedef Objective<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::OBJ

private

Definition at line 47 of file ROL_InteriorPointPrimalDualResidual.hpp.

◆ CON [2/2]

template<class Real>

typedef Constraint<Real> ROL::InteriorPoint::PrimalDualResidual< Real >::CON

private

Definition at line 48 of file ROL_InteriorPointPrimalDualResidual.hpp.

◆ size_type [2/2]

template<class Real>

typedef PV::size_type ROL::InteriorPoint::PrimalDualResidual< Real >::size_type

private

Definition at line 51 of file ROL_InteriorPointPrimalDualResidual.hpp.

Constructor & Destructor Documentation

◆ PrimalDualResidual() [1/2]

template<class Real>

ROL::InteriorPoint::PrimalDualResidual< Real >::PrimalDualResidual	(	const ROL::Ptr< OBJ > &	obj,
		const ROL::Ptr< CON > &	eqcon,
		const ROL::Ptr< CON > &	incon,
		const V &	x )

inline

Definition at line 75 of file interiorpoint/ROL_InteriorPointPrimalDualResidual.hpp.

References eqcon_, EQUAL, ROL::PartitionedVector< Real >::get(), incon_, INEQ, mu_, obj_, OPT, qe_, qi_, qo_, qs_, SLACK, and sym_.

◆ PrimalDualResidual() [2/2]

template<class Real>

ROL::InteriorPoint::PrimalDualResidual< Real >::PrimalDualResidual	(	const ROL::Ptr< OBJ > &	obj,
		const ROL::Ptr< CON > &	eqcon,
		const ROL::Ptr< CON > &	incon,
		const V &	x )