Provides the interface to evaluate the Moreau-Yosida penalty function. More...

#include <ROL_MoreauYosidaPenalty.hpp>

Inheritance diagram for ROL::MoreauYosidaPenalty< Real >:

Public Member Functions
	~MoreauYosidaPenalty ()
	MoreauYosidaPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &bnd, const ROL::Vector< Real > &x, const Real mu=1e1, const bool updateMultiplier=true, const bool updatePenalty=true)
	MoreauYosidaPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &bnd, const ROL::Vector< Real > &x, ROL::ParameterList &parlist)
	MoreauYosidaPenalty (const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &bnd, const ROL::Vector< Real > &x, const ROL::Vector< Real > &lam, ROL::ParameterList &parlist)
void	updateMultipliers (Real mu, const ROL::Vector< Real > &x)
void	reset (const Real mu)
Real	testComplementarity (const ROL::Vector< Real > &x)
Real	getObjectiveValue (void) const
ROL::Ptr< Vector< Real > >	getGradient (void) const
int	getNumberFunctionEvaluations (void)
int	getNumberGradientEvaluations (void)
void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update Moreau-Yosida penalty function.
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)
	Apply Hessian approximation to vector.
void	setParameter (const std::vector< Real > &param)
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.

Private Member Functions
void	computePenalty (const Vector< Real > &x)
void	initialize (const ROL::Vector< Real > &x, const ROL::Ptr< ROL::BoundConstraint< Real > > &bnd)

Private Attributes
const ROL::Ptr< Objective< Real > >	obj_
const ROL::Ptr< BoundConstraint< Real > >	bnd_
ROL::Ptr< Vector< Real > >	g_
ROL::Ptr< Vector< Real > >	l_
ROL::Ptr< Vector< Real > >	u_
ROL::Ptr< Vector< Real > >	l1_
ROL::Ptr< Vector< Real > >	u1_
ROL::Ptr< Vector< Real > >	dl1_
ROL::Ptr< Vector< Real > >	du1_
ROL::Ptr< Vector< Real > >	xlam_
ROL::Ptr< Vector< Real > >	v_
ROL::Ptr< Vector< Real > >	dv_
ROL::Ptr< Vector< Real > >	dv2_
ROL::Ptr< Vector< Real > >	lam_
ROL::Ptr< Vector< Real > >	tmp_
Real	mu_
Real	fval_
bool	isConEvaluated_
int	nfval_
int	ngval_
bool	updateMultiplier_
bool	updatePenalty_

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::MoreauYosidaPenalty< Real >

Provides the interface to evaluate the Moreau-Yosida penalty function.

Definition at line 31 of file ROL_MoreauYosidaPenalty.hpp.

Constructor & Destructor Documentation

◆ ~MoreauYosidaPenalty()

template<class Real>

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

inline

Definition at line 124 of file ROL_MoreauYosidaPenalty.hpp.

◆ MoreauYosidaPenalty() [1/3]

template<class Real>

ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	bnd,
		const ROL::Vector< Real > &	x,
		const Real	mu = 1e1,
		const bool	updateMultiplier = true,
		const bool	updatePenalty = true )

inline

Definition at line 126 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, fval_, initialize(), isConEvaluated_, mu_, nfval_, ngval_, obj_, ROL::ROL::Objective< Real >::Objective(), updateMultiplier_, and updatePenalty_.

◆ MoreauYosidaPenalty() [2/3]

template<class Real>

ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	bnd,
		const ROL::Vector< Real > &	x,
		ROL::ParameterList &	parlist )

inline

Definition at line 138 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, fval_, initialize(), isConEvaluated_, mu_, nfval_, ngval_, obj_, ROL::ROL::Objective< Real >::Objective(), updateMultiplier_, and updatePenalty_.

◆ MoreauYosidaPenalty() [3/3]

template<class Real>

ROL::MoreauYosidaPenalty< Real >::MoreauYosidaPenalty	(	const ROL::Ptr< Objective< Real > > &	obj,
		const ROL::Ptr< BoundConstraint< Real > > &	bnd,
		const ROL::Vector< Real > &	x,
		const ROL::Vector< Real > &	lam,
		ROL::ParameterList &	parlist )

inline

Definition at line 151 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, fval_, initialize(), isConEvaluated_, lam_, mu_, nfval_, ngval_, obj_, ROL::ROL::Objective< Real >::Objective(), updateMultiplier_, and updatePenalty_.

Member Function Documentation

◆ computePenalty()

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::computePenalty ( const Vector< Real > & x )

inlineprivate

Definition at line 58 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, dl1_, du1_, isConEvaluated_, l1_, l_, lam_, mu_, tmp_, u1_, u_, and xlam_.

Referenced by gradient(), hessVec(), testComplementarity(), updateMultipliers(), and value().

◆ initialize()

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::initialize	(	const ROL::Vector< Real > &	x,
		const ROL::Ptr< ROL::BoundConstraint< Real > > &	bnd )

inlineprivate

Definition at line 98 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, ROL::ROL::Vector< Real >::clone(), dl1_, du1_, ROL::ROL::Vector< Real >::dual(), dv2_, dv_, g_, l1_, l_, lam_, tmp_, u1_, u_, v_, and xlam_.

Referenced by MoreauYosidaPenalty(), MoreauYosidaPenalty(), and MoreauYosidaPenalty().

◆ updateMultipliers()

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::updateMultipliers	(	Real	mu,
		const ROL::Vector< Real > &	x )

inline

Definition at line 166 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, computePenalty(), isConEvaluated_, l1_, lam_, mu_, nfval_, ngval_, u1_, updateMultiplier_, and updatePenalty_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update(), and ROL::MoreauYosidaPenaltyStep< Real >::update().

◆ reset()

template<class Real>

void ROL::MoreauYosidaPenalty< Real >::reset ( const Real mu )

inline

Definition at line 183 of file ROL_MoreauYosidaPenalty.hpp.

References isConEvaluated_, lam_, mu_, nfval_, and ngval_.

◆ testComplementarity()

template<class Real>

Real ROL::MoreauYosidaPenalty< Real >::testComplementarity ( const ROL::Vector< Real > & x )

inline

Definition at line 190 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, computePenalty(), l1_, l_, mu_, tmp_, u1_, and u_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::updateState(), and ROL::MoreauYosidaPenaltyStep< Real >::updateState().

◆ getObjectiveValue()

template<class Real>

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

inline

Definition at line 213 of file ROL_MoreauYosidaPenalty.hpp.

References fval_.

◆ getGradient()

template<class Real>

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

inline

Definition at line 217 of file ROL_MoreauYosidaPenalty.hpp.

References g_.

◆ getNumberFunctionEvaluations()

template<class Real>

int ROL::MoreauYosidaPenalty< Real >::getNumberFunctionEvaluations ( void )

inline

Definition at line 221 of file ROL_MoreauYosidaPenalty.hpp.

References nfval_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update(), and ROL::MoreauYosidaPenaltyStep< Real >::update().

◆ getNumberGradientEvaluations()

template<class Real>

int ROL::MoreauYosidaPenalty< Real >::getNumberGradientEvaluations ( void )

inline

Definition at line 225 of file ROL_MoreauYosidaPenalty.hpp.

References ngval_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update(), and ROL::MoreauYosidaPenaltyStep< Real >::update().

◆ update()

template<class Real>

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

inline

Update Moreau-Yosida penalty function.

This function updates the Moreau-Yosida penalty 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 236 of file ROL_MoreauYosidaPenalty.hpp.

References isConEvaluated_, and obj_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::update(), ROL::MoreauYosidaPenaltyStep< Real >::update(), ROL::MoreauYosidaPenaltyStep< Real >::updateState(), and ROL::MoreauYosidaPenaltyStep< Real >::updateState().

◆ value()

template<class Real>

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

inline

Compute value.

This function returns the Moreau-Yosida penalty value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.

Definition at line 247 of file ROL_MoreauYosidaPenalty.hpp.

References bnd_, computePenalty(), fval_, l1_, mu_, nfval_, obj_, and u1_.

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::updateState(), and ROL::MoreauYosidaPenaltyStep< Real >::updateState().

◆ gradient()

template<class Real>

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

inline

Compute gradient.

This function returns the Moreau-Yosida penalty gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.

Definition at line 268 of file ROL_MoreauYosidaPenalty.hpp.

References ROL::Vector< Real >::axpy(), bnd_, computePenalty(), dl1_, du1_, g_, mu_, ngval_, obj_, and ROL::Vector< Real >::set().

Referenced by ROL::MoreauYosidaPenaltyStep< Real >::updateState(), and ROL::MoreauYosidaPenaltyStep< Real >::updateState().

◆ hessVec()

template<class Real>

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

inline

Apply Hessian approximation to vector.

This function applies the Hessian of the Moreau-Yosida penalty to the vector \(v\).

Parameters

[out]	hv	is the the action of the Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact Moreau-Yosida penalty computation.