ROL_ChainRuleObjective.hpp

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// @HEADER
// *****************************************************************************
//               Rapid Optimization Library (ROL) Package
//
// Copyright 2014 NTESS and the ROL contributors.
// SPDX-License-Identifier: BSD-3-Clause
// *****************************************************************************
// @HEADER
 
#ifndef ROL_CHAIN_RULE_OBJECTIVE_HPP
#define ROL_CHAIN_RULE_OBJECTIVE_HPP
 
#include "ROL_Objective.hpp"
#include "ROL_Constraint.hpp"
 
namespace ROL {
 
template<typename Real>
class ChainRuleObjective : public ROL::Objective<Real> {
public:
 
  ChainRuleObjective( const Ptr<Objective<Real>>&  obj,
                      const Ptr<Constraint<Real>>& con,
                      const Vector<Real>& x,
                      const Vector<Real>& l ) 
  : obj_(obj), con_(con), g_(l.clone()), y_(l.dual().clone()), Jv_(l.dual().clone()), 
    HJv_(l.clone()), JtHJv_(x.dual().clone()), tol_(0) {}
 
  virtual ~ChainRuleObjective() = default;
 
  virtual void update( const Vector<Real> &x, UpdateType type, int iter = -1 ) {
    con_->update(x,type,iter);
    con_->value(*y_,x,tol_);
    obj_->update(*y_,type,iter);
  }
 
  virtual void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
    con_->update(x,flag,iter);
    con_->value(*y_,x,tol_);
    obj_->update(*y_,flag,iter);
  }
 
  virtual Real value( const Vector<Real> &x, Real &tol ) {
    con_->value(*y_,x,tol);
    return obj_->value(*y_,tol);
  }
 
  virtual void gradient( Vector<Real> &g, const Vector<Real> &x, Real &tol ) {
    con_->value(*y_,x,tol); 
    obj_->gradient(*g_,*y_,tol);
    con_->applyAdjointJacobian(g,*g_,x,tol);
  }
 
  virtual void hessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol ) {
    con_->value(*y_,x,tol);
    obj_->gradient(*g_,*y_,tol);
    con_->applyJacobian(*Jv_,v,x,tol);
    obj_->hessVec(*HJv_,*Jv_,*y_,tol);
    con_->applyAdjointJacobian(*JtHJv_,*HJv_,x,tol);
    con_->applyAdjointHessian(hv,*g_,v,x,tol);
    hv.plus(*JtHJv_);
  }
 
private:
 
  const Ptr<Objective<Real>>  obj_;
  const Ptr<Constraint<Real>> con_;
  Ptr<Vector<Real>>           g_, y_, Jv_, HJv_, JtHJv_;    
  Real                        tol_;
 
}; // class ChainRuleObjective
 
} // namespace ROL
 
#endif // ROL_CHAIN_RULE_OBJECTIVE_HPP