ROL
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ROL::TypeB::ColemanLiAlgorithm< Real > Class Template Reference

Provides an interface to run the affine-scaling trust-region algorithm of Coleman and Li. More...

#include <ROL_TypeB_ColemanLiAlgorithm.hpp>

+ Inheritance diagram for ROL::TypeB::ColemanLiAlgorithm< Real >:

Public Member Functions

 ColemanLiAlgorithm (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, 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 dtrqsol (const Real xtx, const Real ptp, const Real ptx, const Real del) const
 
Real dtrpcg (Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, const Vector< Real > &gdual, const Real del, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, const Real tol, const Real stol, Vector< Real > &p, Vector< Real > &q, Vector< Real > &r, Vector< Real > &t, Vector< Real > &pwa1, Vector< Real > &pwa2, Vector< Real > &dwa, std::ostream &outStream=std::cout) const
 
void applyC (Vector< Real > &Cv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, BoundConstraint< Real > &bnd, Vector< Real > &pwa) const
 
void applyHessian (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa1, Vector< Real > &pwa2) const
 
void applyPrecond (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &dwa, Vector< Real > &pwa) const
 

Private Attributes

Ptr< TrustRegionModel_U< Real > > model_
 Container for trust-region model.
 
Real delMax_
 Maximum trust-region radius (default: ROL_INF)
 
Real eta0_
 Step acceptance threshold (default: 0.05)
 
Real eta1_
 Radius decrease threshold (default: 0.05)
 
Real eta2_
 Radius increase threshold (default: 0.9)
 
Real gamma0_
 Radius decrease rate (negative rho) (default: 0.0625)
 
Real gamma1_
 Radius decrease rate (positive rho) (default: 0.25)
 
Real gamma2_
 Radius increase rate (default: 2.5)
 
Real TRsafe_
 Safeguard size for numerically evaluating ratio (default: 1e2)
 
Real eps_
 Safeguard for numerically evaluating ratio.
 
bool interpRad_
 Interpolate the trust-region radius if ratio is negative (default: false)
 
bool useNM_
 
int storageNM_
 
TRUtils::ETRFlag TRflag_
 Trust-region exit flag.
 
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)
 
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])
 
Real alphaMax_
 Maximum value of relaxation parameter (default: 0.999)
 
int nhess_
 Number of Hessian applications.
 
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::ColemanLiAlgorithm< Real >

Provides an interface to run the affine-scaling trust-region algorithm of Coleman and Li.

Definition at line 61 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

Constructor & Destructor Documentation

◆ ColemanLiAlgorithm()

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

Member Function Documentation

◆ run()

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

◆ writeHeader()

template<typename Real >
void ROL::TypeB::ColemanLiAlgorithm< Real >::writeHeader ( std::ostream & os) const
overridevirtual

◆ writeName()

template<typename Real >
void ROL::TypeB::ColemanLiAlgorithm< Real >::writeName ( std::ostream & os) const
overridevirtual

Print step name.

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

Definition at line 468 of file ROL_TypeB_ColemanLiAlgorithm_Def.hpp.

◆ writeOutput()

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

Print iterate status.

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

Definition at line 475 of file ROL_TypeB_ColemanLiAlgorithm_Def.hpp.

◆ initialize()

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

◆ dgpstep()

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

◆ dtrqsol()

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::dtrqsol ( const Real xtx,
const Real ptp,
const Real ptx,
const Real del ) const
private

Definition at line 278 of file ROL_TypeB_ColemanLiAlgorithm_Def.hpp.

References zero.

◆ dtrpcg()

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::dtrpcg ( Vector< Real > & w,
int & iflag,
int & iter,
const Vector< Real > & g,
const Vector< Real > & x,
const Vector< Real > & gdual,
const Real del,
TrustRegionModel_U< Real > & model,
BoundConstraint< Real > & bnd,
const Real tol,
const Real stol,
Vector< Real > & p,
Vector< Real > & q,
Vector< Real > & r,
Vector< Real > & t,
Vector< Real > & pwa1,
Vector< Real > & pwa2,
Vector< Real > & dwa,
std::ostream & outStream = std::cout ) const
private

◆ applyC()

template<typename Real >
void ROL::TypeB::ColemanLiAlgorithm< Real >::applyC ( Vector< Real > & Cv,
const Vector< Real > & v,
const Vector< Real > & x,
const Vector< Real > & g,
BoundConstraint< Real > & bnd,
Vector< Real > & pwa ) const
private

◆ applyHessian()

template<typename Real >
void ROL::TypeB::ColemanLiAlgorithm< Real >::applyHessian ( Vector< Real > & hv,
const Vector< Real > & v,
const Vector< Real > & x,
const Vector< Real > & g,
TrustRegionModel_U< Real > & model,
BoundConstraint< Real > & bnd,
Real & tol,
Vector< Real > & pwa1,
Vector< Real > & pwa2 ) const
private

◆ applyPrecond()

template<typename Real >
void ROL::TypeB::ColemanLiAlgorithm< Real >::applyPrecond ( Vector< Real > & hv,
const Vector< Real > & v,
const Vector< Real > & x,
const Vector< Real > & g,
TrustRegionModel_U< Real > & model,
BoundConstraint< Real > & bnd,
Real & tol,
Vector< Real > & dwa,
Vector< Real > & pwa ) const
private

Member Data Documentation

◆ model_

template<typename Real >
Ptr<TrustRegionModel_U<Real> > ROL::TypeB::ColemanLiAlgorithm< Real >::model_
private

Container for trust-region model.

Definition at line 63 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ delMax_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::delMax_
private

Maximum trust-region radius (default: ROL_INF)

Definition at line 66 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ eta0_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::eta0_
private

Step acceptance threshold (default: 0.05)

Definition at line 67 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ eta1_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::eta1_
private

Radius decrease threshold (default: 0.05)

Definition at line 68 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ eta2_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::eta2_
private

Radius increase threshold (default: 0.9)

Definition at line 69 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ gamma0_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::gamma0_
private

Radius decrease rate (negative rho) (default: 0.0625)

Definition at line 70 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ gamma1_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::gamma1_
private

Radius decrease rate (positive rho) (default: 0.25)

Definition at line 71 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ gamma2_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::gamma2_
private

Radius increase rate (default: 2.5)

Definition at line 72 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ TRsafe_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::TRsafe_
private

Safeguard size for numerically evaluating ratio (default: 1e2)

Definition at line 73 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ eps_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::eps_
private

Safeguard for numerically evaluating ratio.

Definition at line 74 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ interpRad_

template<typename Real >
bool ROL::TypeB::ColemanLiAlgorithm< Real >::interpRad_
private

Interpolate the trust-region radius if ratio is negative (default: false)

Definition at line 75 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ useNM_

template<typename Real >
bool ROL::TypeB::ColemanLiAlgorithm< Real >::useNM_
private

Definition at line 78 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ storageNM_

template<typename Real >
int ROL::TypeB::ColemanLiAlgorithm< Real >::storageNM_
private

Definition at line 79 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ TRflag_

template<typename Real >
TRUtils::ETRFlag ROL::TypeB::ColemanLiAlgorithm< Real >::TRflag_
private

Trust-region exit flag.

Definition at line 82 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ SPflag_

template<typename Real >
int ROL::TypeB::ColemanLiAlgorithm< Real >::SPflag_
private

Subproblem solver termination flag.

Definition at line 83 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ SPiter_

template<typename Real >
int ROL::TypeB::ColemanLiAlgorithm< Real >::SPiter_
private

Subproblem solver iteration count.

Definition at line 84 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ esec_

template<typename Real >
ESecant ROL::TypeB::ColemanLiAlgorithm< Real >::esec_
private

Secant type (default: Limited-Memory BFGS)

Definition at line 87 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ useSecantPrecond_

template<typename Real >
bool ROL::TypeB::ColemanLiAlgorithm< Real >::useSecantPrecond_
private

Flag to use secant as a preconditioner (default: false)

Definition at line 88 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ useSecantHessVec_

template<typename Real >
bool ROL::TypeB::ColemanLiAlgorithm< Real >::useSecantHessVec_
private

Flag to use secant as Hessian (default: false)

Definition at line 89 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ tol1_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::tol1_
private

Absolute tolerance for truncated CG (default: 1e-4)

Definition at line 92 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ tol2_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::tol2_
private

Relative tolerance for truncated CG (default: 1e-2)

Definition at line 93 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ maxit_

template<typename Real >
int ROL::TypeB::ColemanLiAlgorithm< Real >::maxit_
private

Maximum number of CG iterations (default: 20)

Definition at line 94 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ mu0_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::mu0_
private

Sufficient decrease parameter (default: 1e-2)

Definition at line 97 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ spexp_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::spexp_
private

Relative tolerance exponent for subproblem solve (default: 1, range: [1,2])

Definition at line 98 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ alphaMax_

template<typename Real >
Real ROL::TypeB::ColemanLiAlgorithm< Real >::alphaMax_
private

Maximum value of relaxation parameter (default: 0.999)

Definition at line 99 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ nhess_

template<typename Real >
int ROL::TypeB::ColemanLiAlgorithm< Real >::nhess_
mutableprivate

Number of Hessian applications.

Definition at line 101 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ verbosity_

template<typename Real >
unsigned ROL::TypeB::ColemanLiAlgorithm< Real >::verbosity_
private

Output level (default: 0)

Definition at line 102 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ writeHeader_

template<typename Real >
bool ROL::TypeB::ColemanLiAlgorithm< Real >::writeHeader_
private

Flag to write header at every iteration.

Definition at line 103 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ hasEcon_

template<typename Real >
bool ROL::TypeB::ColemanLiAlgorithm< Real >::hasEcon_
private

Flag signifies if equality constraints exist.

Definition at line 105 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ rcon_

template<typename Real >
Ptr<ReducedLinearConstraint<Real> > ROL::TypeB::ColemanLiAlgorithm< Real >::rcon_
private

Equality constraint restricted to current active variables.

Definition at line 106 of file ROL_TypeB_ColemanLiAlgorithm.hpp.

◆ ns_

template<typename Real >
Ptr<NullSpaceOperator<Real> > ROL::TypeB::ColemanLiAlgorithm< Real >::ns_
private

Null space projection onto reduced equality constraint Jacobian.

Definition at line 107 of file ROL_TypeB_ColemanLiAlgorithm.hpp.


The documentation for this class was generated from the following files: