Provides an interface to run the line-search algorithm of Byrd, Lu, Nocedal and Zhu (similar to L-BFGS-B). More...

#include <ROL_TypeB_LSecantBAlgorithm.hpp>

Inheritance diagram for ROL::TypeB::LSecantBAlgorithm< Real >:

Public Member Functions
	LSecantBAlgorithm (ParameterList &list, const Ptr< Secant< Real > > &secant=nullPtr)
void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout) override
	Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.
void	writeHeader (std::ostream &os) const override
	Print iterate header.
void	writeName (std::ostream &os) const override
	Print step name.
void	writeOutput (std::ostream &os, const bool write_header=false) const override
	Print iterate status.
Public Member Functions inherited from ROL::TypeB::Algorithm< Real >
virtual	~Algorithm ()
	Algorithm ()
	Constructor, given a step and a status test.
void	setStatusTest (const Ptr< StatusTest< Real > > &status, const bool combineStatus=false)
virtual void	run (Problem< Real > &problem, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems (Type-B). This is the primary Type-B interface.
virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems (Type-B). This is the primary Type-B interface.
virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This is the primary Type-B with explicit linear constraints interface.
virtual void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, const Vector< Real > &linear_eres, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.
virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This is the primary Type-B with explicit linear constraints interface.
virtual void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, const Vector< Real > &linear_ires, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.
virtual void	run (Vector< Real > &x, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This is the primary Type-B with explicit linear constraints interface.
virtual void	run (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, Constraint< Real > &linear_econ, Vector< Real > &linear_emul, const Vector< Real > &linear_eres, Constraint< Real > &linear_icon, Vector< Real > &linear_imul, BoundConstraint< Real > &linear_ibnd, const Vector< Real > &linear_ires, std::ostream &outStream=std::cout)
	Run algorithm on bound constrained problems with explicit linear constraints (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.
virtual void	writeExitStatus (std::ostream &os) const
Ptr< const AlgorithmState< Real > >	getState () const
void	reset ()

Private Member Functions
void	initialize (Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
Real	dgpstep (Vector< Real > &s, const Vector< Real > &w, const Vector< Real > &x, const Real alpha, std::ostream &outStream=std::cout) const
Real	dcauchy (Vector< Real > &s, Real &alpha, Real &q, const Vector< Real > &x, const Vector< Real > &g, Secant< Real > &secant, Vector< Real > &dwa, Vector< Real > &dwa1, std::ostream &outStream=std::cout)
Real	dsrch (Vector< Real > &x, Vector< Real > &s, Real &fnew, Real &beta, Real fold, Real gs, Objective< Real > &obj, Vector< Real > &pwa, std::ostream &outStream=std::cout)
Real	dpcg (Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, const Real tol, const Real stol, const int itermax, Vector< Real > &p, Vector< Real > &q, Vector< Real > &r, Vector< Real > &t, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout) const
void	applyFreeHessian (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa) const
void	applyFreePrecond (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Secant< Real > &secant, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &dwa, Vector< Real > &pwa) const

Private Attributes
int	SPflag_
	Subproblem solver termination flag.
int	SPiter_
	Subproblem solver iteration count.
ESecant	esec_
	Secant type (default: Limited-Memory BFGS).
bool	useSecantPrecond_
	Flag to use secant as a preconditioner (default: false).
bool	useSecantHessVec_
	Flag to use secant as Hessian (default: false).
Ptr< Secant< Real > >	secant_
	Secant object.
Real	tol1_
	Absolute tolerance for truncated CG (default: 1e-4).
Real	tol2_
	Relative tolerance for truncated CG (default: 1e-2).
int	maxit_
	Maximum number of CG iterations (default: 20).
Real	mu0_
	Sufficient decrease parameter (default: 1e-2).
Real	spexp_
	Relative tolerance exponent for subproblem solve (default: 1, range: [1,2]).
int	redlim_
	Maximum number of Cauchy point reduction steps (default: 10).
int	explim_
	Maximum number of Cauchy point expansion steps (default: 10).
Real	alpha_
	Initial Cauchy point step length (default: 1.0).
bool	normAlpha_
	Normalize initial Cauchy point step length (default: false).
Real	interpf_
	Backtracking rate for Cauchy point computation (default: 1e-1).
Real	extrapf_
	Extrapolation rate for Cauchy point computation (default: 1e1).
Real	qtol_
	Relative tolerance for computed decrease in Cauchy point computation (default: 1-8).
Real	interpfPS_
	Backtracking rate for projected search (default: 0.5).
unsigned	verbosity_
	Output level (default: 0).
bool	writeHeader_
	Flag to write header at every iteration.
bool	hasEcon_
	Flag signifies if equality constraints exist.
Ptr< ReducedLinearConstraint< Real > >	rcon_
	Equality constraint restricted to current active variables.
Ptr< NullSpaceOperator< Real > >	ns_
	Null space projection onto reduced equality constraint Jacobian.

Additional Inherited Members
Protected Member Functions inherited from ROL::TypeB::Algorithm< Real >
void	initialize (const Vector< Real > &x, const Vector< Real > &g)
Real	optimalityCriterion (const Vector< Real > &x, const Vector< Real > &g, Vector< Real > &primal, std::ostream &outStream=std::cout) const
Protected Attributes inherited from ROL::TypeB::Algorithm< Real >
const Ptr< CombinedStatusTest< Real > >	status_
const Ptr< AlgorithmState< Real > >	state_
Ptr< PolyhedralProjection< Real > >	proj_

Detailed Description

template<typename Real>
class ROL::TypeB::LSecantBAlgorithm< Real >

Provides an interface to run the line-search algorithm of Byrd, Lu, Nocedal and Zhu (similar to L-BFGS-B).

Definition at line 27 of file ROL_TypeB_LSecantBAlgorithm.hpp.

Constructor & Destructor Documentation

◆ LSecantBAlgorithm()

template<typename Real>

ROL::TypeB::LSecantBAlgorithm< Real >::LSecantBAlgorithm	(	ParameterList &	list,
		const Ptr< Secant< Real > > &	secant = nullPtr )

Definition at line 17 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References alpha_, esec_, explim_, extrapf_, interpf_, interpfPS_, maxit_, mu0_, normAlpha_, qtol_, redlim_, secant_, ROL::SecantFactory(), ROL::SECANTMODE_BOTH, spexp_, ROL::TypeB::Algorithm< Real >::state_, ROL::TypeB::Algorithm< Real >::status_, ROL::StringToESecant(), tol1_, tol2_, useSecantHessVec_, useSecantPrecond_, verbosity_, and writeHeader_.

Member Function Documentation

◆ run()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::run	(	Vector< Real > &	x,
		const Vector< Real > &	g,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	bnd,
		std::ostream &	outStream = std::cout )

overridevirtual

Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual optimization vector spaces, where the user does not define the dual() method.

Implements ROL::TypeB::Algorithm< Real >.

Definition at line 98 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Accept, alpha_, applyFreePrecond(), ROL::Vector< Real >::clone(), dcauchy(), dpcg(), dsrch(), ROL::Objective< Real >::gradient(), hasEcon_, initialize(), maxit_, ROL::TypeB::Algorithm< Real >::optimalityCriterion(), ROL::Vector< Real >::plus(), ROL::TypeB::Algorithm< Real >::proj_, ROL::BoundConstraint< Real >::pruneActive(), ROL::ROL_EPSILON(), secant_, ROL::Vector< Real >::set(), spexp_, SPflag_, SPiter_, ROL::TypeB::Algorithm< Real >::state_, ROL::TypeB::Algorithm< Real >::status_, tol1_, tol2_, ROL::Objective< Real >::update(), verbosity_, ROL::TypeB::Algorithm< Real >::writeExitStatus(), writeHeader_, writeOutput(), and zero.

◆ writeHeader()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::writeHeader ( std::ostream & os ) const

overridevirtual

Print iterate header.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 453 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References verbosity_.

Referenced by writeOutput().

◆ writeName()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::writeName ( std::ostream & os ) const

overridevirtual

Print step name.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 489 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

Referenced by writeOutput().

◆ writeOutput()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::writeOutput	(	std::ostream &	os,
		const bool	write_header = false ) const

overridevirtual

Print iterate status.

Reimplemented from ROL::TypeB::Algorithm< Real >.

Definition at line 496 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References SPflag_, SPiter_, ROL::TypeB::Algorithm< Real >::state_, writeHeader(), and writeName().

Referenced by run().

◆ initialize()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::initialize	(	Vector< Real > &	x,
		const Vector< Real > &	g,
		Objective< Real > &	obj,
		BoundConstraint< Real > &	bnd,
		std::ostream &	outStream = std::cout )

private

Definition at line 57 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References alpha_, ROL::Objective< Real >::gradient(), hasEcon_, ROL::Initial, ROL::TypeB::Algorithm< Real >::initialize(), normAlpha_, ns_, ROL::TypeB::Algorithm< Real >::proj_, rcon_, ROL::ROL_INF(), ROL::ROL_OVERFLOW(), ROL::TypeB::Algorithm< Real >::state_, ROL::Objective< Real >::update(), and ROL::Objective< Real >::value().

◆ dgpstep()

template<typename Real>

Real ROL::TypeB::LSecantBAlgorithm< Real >::dgpstep	(	Vector< Real > &	s,
		const Vector< Real > &	w,
		const Vector< Real > &	x,
		const Real	alpha,
		std::ostream &	outStream = std::cout ) const

private

Definition at line 203 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::axpy(), ROL::Vector< Real >::norm(), ROL::TypeB::Algorithm< Real >::proj_, ROL::Vector< Real >::set(), and ROL::TypeB::Algorithm< Real >::state_.

Referenced by dcauchy().

◆ dcauchy()

template<typename Real>

Real ROL::TypeB::LSecantBAlgorithm< Real >::dcauchy	(	Vector< Real > &	s,
		Real &	alpha,
		Real &	q,
		const Vector< Real > &	x,
		const Vector< Real > &	g,
		Secant< Real > &	secant,
		Vector< Real > &	dwa,
		Vector< Real > &	dwa1,
		std::ostream &	outStream = std::cout )

private

Definition at line 214 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::apply(), ROL::Secant< Real >::applyB(), dgpstep(), ROL::Vector< Real >::dot(), explim_, extrapf_, interpf_, mu0_, qtol_, redlim_, ROL::Vector< Real >::set(), and verbosity_.

Referenced by run().

◆ dsrch()

template<typename Real>

Real ROL::TypeB::LSecantBAlgorithm< Real >::dsrch	(	Vector< Real > &	x,
		Vector< Real > &	s,
		Real &	fnew,
		Real &	beta,
		Real	fold,
		Real	gs,
		Objective< Real > &	obj,
		Vector< Real > &	pwa,
		std::ostream &	outStream = std::cout )

private

Definition at line 290 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::axpy(), interpfPS_, mu0_, ROL::Vector< Real >::norm(), ROL::Vector< Real >::plus(), ROL::ROL_EPSILON(), ROL::Vector< Real >::scale(), ROL::Vector< Real >::set(), ROL::TypeB::Algorithm< Real >::state_, ROL::Trial, ROL::Objective< Real >::update(), ROL::Objective< Real >::value(), and verbosity_.

Referenced by run().

◆ dpcg()

template<typename Real>

Real ROL::TypeB::LSecantBAlgorithm< Real >::dpcg	(	Vector< Real > &	w,
		int &	iflag,
		int &	iter,
		const Vector< Real > &	g,
		const Vector< Real > &	x,
		Secant< Real > &	secant,
		BoundConstraint< Real > &	bnd,
		const Real	tol,
		const Real	stol,
		const int	itermax,
		Vector< Real > &	p,
		Vector< Real > &	q,
		Vector< Real > &	r,
		Vector< Real > &	t,
		Vector< Real > &	pwa,
		Vector< Real > &	dwa,
		std::ostream &	outStream = std::cout ) const

private

Definition at line 325 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Vector< Real >::apply(), applyFreeHessian(), applyFreePrecond(), ROL::Vector< Real >::axpy(), ROL::Vector< Real >::dot(), hasEcon_, ROL::BoundConstraint< Real >::isFeasible(), ROL::Vector< Real >::norm(), ROL::Vector< Real >::plus(), ROL::ROL_EPSILON(), ROL::Vector< Real >::scale(), ROL::Vector< Real >::set(), ROL::Vector< Real >::zero(), and zero.

Referenced by run().

◆ applyFreeHessian()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::applyFreeHessian	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Secant< Real > &	secant,
		BoundConstraint< Real > &	bnd,
		Real &	tol,
		Vector< Real > &	pwa ) const

private

Definition at line 410 of file ROL_TypeB_LSecantBAlgorithm_Def.hpp.

References ROL::Secant< Real >::applyB(), ROL::Vector< Real >::dual(), ROL::BoundConstraint< Real >::pruneActive(), ROL::Vector< Real >::set(), and zero.

Referenced by dpcg().

◆ applyFreePrecond()

template<typename Real>

void ROL::TypeB::LSecantBAlgorithm< Real >::applyFreePrecond	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Secant< Real > &	secant,
		BoundConstraint< Real > &	bnd,
		Real &	tol,
		Vector< Real > &	dwa,
		Vector< Real > &	pwa ) const