ROL_InteriorPointStep.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_INTERIORPOINTSTEP_H
#define ROL_INTERIORPOINTSTEP_H
 
#include "ROL_CompositeStep.hpp"
#include "ROL_AugmentedLagrangianStep.hpp"
#include "ROL_FletcherStep.hpp"
#include "ROL_BundleStep.hpp"
#include "ROL_TrustRegionStep.hpp"
#include "ROL_LineSearchStep.hpp"
#include "ROL_ConstraintStatusTest.hpp"
#include "ROL_BundleStatusTest.hpp"
#include "ROL_InteriorPoint.hpp"
#include "ROL_ObjectiveFromBoundConstraint.hpp"
#include "ROL_Types.hpp"
#include "ROL_Constraint_Partitioned.hpp"
 
 
namespace ROL {
 
template<class Real>
class AugmentedLagrangianStep;
 
template <class Real>
class InteriorPointStep : public Step<Real> {
 
typedef InteriorPoint::PenalizedObjective<Real> IPOBJ;
typedef Constraint_Partitioned<Real>            IPCON;
 
private:
 
  ROL::Ptr<StatusTest<Real> >       status_;
  ROL::Ptr<Step<Real> >             step_;  
  ROL::Ptr<Algorithm<Real> >        algo_;
  ROL::Ptr<BoundConstraint<Real> >  bnd_;
  ROL::ParameterList                parlist_;
 
  // Storage
  ROL::Ptr<Vector<Real> > x_;
  ROL::Ptr<Vector<Real> > g_;
  ROL::Ptr<Vector<Real> > l_;
  ROL::Ptr<Vector<Real> > c_;
 
  Real mu_;      // Barrier parameter
  Real mumin_;   // Minimal value of barrier parameter
  Real mumax_;   // Maximal value of barrier parameter 
  Real rho_;     // Barrier parameter reduction factor
 
  // For the subproblem
  int subproblemIter_;  // Status test maximum number of iterations
 
  int verbosity_;       // Adjust level of detail in printing step information
  bool print_;
 
  bool hasEquality_;
 
  EStep stepType_;
  std::string stepname_;
 
public:
 
  using Step<Real>::initialize;
  using Step<Real>::compute;
  using Step<Real>::update;
 
  ~InteriorPointStep() {}
 
  InteriorPointStep(ROL::ParameterList &parlist) :
    Step<Real>(), 
    status_(ROL::nullPtr), 
    step_(ROL::nullPtr),
    algo_(ROL::nullPtr), 
    parlist_(parlist),
    x_(ROL::nullPtr),
    g_(ROL::nullPtr),
    l_(ROL::nullPtr),
    c_(ROL::nullPtr),
    hasEquality_(false),
    stepType_(STEP_COMPOSITESTEP),
    stepname_("Composite Step") {
 
    using ROL::ParameterList;
    
    verbosity_ = parlist.sublist("General").get("Print Verbosity",0);
 
    // List of general Interior Point parameters
    ParameterList& iplist = parlist.sublist("Step").sublist("Interior Point");
    mu_             = iplist.get("Initial Barrier Penalty",1.0);
    mumin_          = iplist.get("Minimum Barrier Penalty",1.e-4);
    mumax_          = iplist.get("Maximum Barrier Penalty",1e8);
    rho_            = iplist.get("Barrier Penalty Reduction Factor",0.5);
 
    // Subproblem step information
    print_ = iplist.sublist("Subproblem").get("Print History",false);
    Real gtol = iplist.sublist("Subproblem").get("Optimality Tolerance",1e-8);
    Real ctol = iplist.sublist("Subproblem").get("Feasibility Tolerance",1e-8);
    Real stol = static_cast<Real>(1e-6)*std::min(gtol,ctol);
    int maxit = iplist.sublist("Subproblem").get("Iteration Limit",1000);
    parlist_.sublist("Status Test").set("Gradient Tolerance",   gtol);
    parlist_.sublist("Status Test").set("Constraint Tolerance", ctol);
    parlist_.sublist("Status Test").set("Step Tolerance",       stol);
    parlist_.sublist("Status Test").set("Iteration Limit",      maxit);
    // Get step name from parameterlist
    stepname_ = iplist.sublist("Subproblem").get("Step Type","Composite Step");
    stepType_ = StringToEStep(stepname_);
  }
 
  void initialize( Vector<Real> &x, const Vector<Real> &g, 
                   Vector<Real> &l, const Vector<Real> &c,
                   Objective<Real> &obj, Constraint<Real> &con, 
                   AlgorithmState<Real> &algo_state ) {
    hasEquality_ = true;
 
    ROL::Ptr<StepState<Real> > state = Step<Real>::getState();
    state->descentVec    = x.clone();
    state->gradientVec   = g.clone();
    state->constraintVec = c.clone();
 
    // Initialize storage
    x_ = x.clone();
    g_ = g.clone();
    l_ = l.clone();
    c_ = c.clone();
 
    x_->set(x);
 
    auto& ipobj = dynamic_cast<IPOBJ&>(obj);
    auto& ipcon = dynamic_cast<IPCON&>(con);
 
    // Set initial penalty
    ipobj.updatePenalty(mu_);
 
    algo_state.nfval = 0;
    algo_state.ncval = 0;
    algo_state.ngrad = 0;
 
    Real zerotol = 0.0;
    obj.update(x,true,algo_state.iter);
    algo_state.value = obj.value(x,zerotol);
 
    obj.gradient(*g_,x,zerotol);
    algo_state.gnorm = g_->norm();
 
    con.value(*c_,x,zerotol);
    algo_state.cnorm = c_->norm();
 
    algo_state.nfval += ipobj.getNumberFunctionEvaluations();
    algo_state.ngrad += ipobj.getNumberGradientEvaluations();
    algo_state.ncval += ipcon.getNumberConstraintEvaluations(); 
 
  }
 
 
  
  void initialize( Vector<Real> &x, const Vector<Real> &g, Vector<Real> &l, const Vector<Real> &c,
                   Objective<Real> &obj, Constraint<Real> &con, BoundConstraint<Real> &bnd, 
                   AlgorithmState<Real> &algo_state ) {
    bnd.projectInterior(x);
    initialize(x,g,l,c,obj,con,algo_state);
  }
 
 
  void initialize( Vector<Real> &x, const Vector<Real> &g, 
                   Objective<Real> &obj, BoundConstraint<Real> &bnd,
                   AlgorithmState<Real> &algo_state ) {
    bnd.projectInterior(x);
 
    ROL::Ptr<StepState<Real> > state = Step<Real>::getState();
    state->descentVec    = x.clone();
    state->gradientVec   = g.clone();
 
    // Initialize storage
    x_ = x.clone(); x_->set(x);
    g_ = g.clone();
 
    // Set initial penalty
    auto& ipobj = dynamic_cast<IPOBJ&>(obj);
    ipobj.updatePenalty(mu_);
 
    algo_state.nfval = 0;
    algo_state.ncval = 0;
    algo_state.ngrad = 0;
 
    Real zerotol = std::sqrt(ROL_EPSILON<Real>());
    obj.update(x,true,algo_state.iter);
    algo_state.value = obj.value(x,zerotol);
 
    obj.gradient(*g_,x,zerotol);
    algo_state.gnorm = g_->norm();
 
    algo_state.cnorm = static_cast<Real>(0);
 
    algo_state.nfval += ipobj.getNumberFunctionEvaluations();
    algo_state.ngrad += ipobj.getNumberGradientEvaluations();
 
    bnd_ = ROL::makePtr<BoundConstraint<Real>>();
    bnd_->deactivate();
  }
 
 
 
  void compute( Vector<Real>         &s,
                const Vector<Real>   &x,
                const Vector<Real>   &l,
                Objective<Real>      &obj,
                Constraint<Real>     &con, 
                AlgorithmState<Real> &algo_state ) {
    // Grab interior point objective and constraint
    //auto& ipobj = dynamic_cast<IPOBJ&>(obj);
    //auto& ipcon = dynamic_cast<IPCON&>(con);
 
    Real one(1);
    // Create the algorithm 
    Ptr<Objective<Real>> penObj;
    if (stepType_ == STEP_AUGMENTEDLAGRANGIAN) {
      Ptr<Objective<Real>>  raw_obj = makePtrFromRef(obj);
      Ptr<Constraint<Real>> raw_con = makePtrFromRef(con);
      Ptr<StepState<Real>>  state   = Step<Real>::getState();
      penObj = makePtr<AugmentedLagrangian<Real>>(raw_obj,raw_con,l,one,x,*(state->constraintVec),parlist_);
      step_  = makePtr<AugmentedLagrangianStep<Real>>(parlist_);
    }
    else if (stepType_ == STEP_FLETCHER) {
      Ptr<Objective<Real>>  raw_obj = makePtrFromRef(obj);
      Ptr<Constraint<Real>> raw_con = makePtrFromRef(con);
      Ptr<StepState<Real>>  state   = Step<Real>::getState();
      penObj = makePtr<Fletcher<Real>>(raw_obj,raw_con,x,*(state->constraintVec),parlist_);
      step_  = makePtr<FletcherStep<Real>>(parlist_);
    }
    else {
      penObj = makePtrFromRef(obj);
      stepname_ = "Composite Step";
      stepType_ = STEP_COMPOSITESTEP;
      step_     = makePtr<CompositeStep<Real>>(parlist_);
    }
    status_ = makePtr<ConstraintStatusTest<Real>>(parlist_);
    algo_ = ROL::makePtr<Algorithm<Real>>(step_,status_,false);
 
    //  Run the algorithm
    x_->set(x); l_->set(l);
    algo_->run(*x_,*g_,*l_,*c_,*penObj,con,print_);
    s.set(*x_); s.axpy(-one,x);
 
    // Get number of iterations from the subproblem solve
    subproblemIter_ = (algo_->getState())->iter;
  }
 
  void compute( Vector<Real>          &s,
                const Vector<Real>    &x,
                const Vector<Real>    &l,
                Objective<Real>       &obj,
                Constraint<Real>      &con, 
                BoundConstraint<Real> &bnd,
                AlgorithmState<Real>  &algo_state ) {
    compute(s,x,l,obj,con,algo_state); 
  }
 
  // Bound constrained
  void compute( Vector<Real>          &s,
                const Vector<Real>    &x,
                Objective<Real>       &obj,
                BoundConstraint<Real> &bnd,
                AlgorithmState<Real>  &algo_state ) {
    // Grab interior point objective and constraint
    auto& ipobj = dynamic_cast<IPOBJ&>(obj);
 
    // Create the algorithm 
    if (stepType_ == STEP_BUNDLE) {
      status_ = makePtr<BundleStatusTest<Real>>(parlist_);
      step_   = makePtr<BundleStep<Real>>(parlist_);
    }
    else if (stepType_ == STEP_LINESEARCH) {
      status_ = makePtr<StatusTest<Real>>(parlist_);
      step_   = makePtr<LineSearchStep<Real>>(parlist_);
    }
    else {
      status_ = makePtr<StatusTest<Real>>(parlist_);
      step_   = makePtr<TrustRegionStep<Real>>(parlist_);
    }
    algo_ = ROL::makePtr<Algorithm<Real>>(step_,status_,false);
 
    //  Run the algorithm
    x_->set(x);
    algo_->run(*x_,*g_,ipobj,*bnd_,print_);
    s.set(*x_); s.axpy(static_cast<Real>(-1),x);
 
    // Get number of iterations from the subproblem solve
    subproblemIter_ = (algo_->getState())->iter;
  }
 
 
 
  void update( Vector<Real>         &x,
               Vector<Real>         &l,
               const Vector<Real>   &s,
               Objective<Real>      &obj, 
               Constraint<Real>     &con,
               AlgorithmState<Real> &algo_state ) {
    // Grab interior point objective and constraint
    auto& ipobj = dynamic_cast<IPOBJ&>(obj);
    auto& ipcon = dynamic_cast<IPCON&>(con);
 
    // If we can change the barrier parameter, do so
    if( (rho_< 1.0 && mu_ > mumin_) || (rho_ > 1.0 && mu_ < mumax_) ) {
      mu_ *= rho_;
      ipobj.updatePenalty(mu_);
    }
 
    ROL::Ptr<StepState<Real> > state = Step<Real>::getState();
    state->SPiter = subproblemIter_;
 
    // Update optimization vector
    x.plus(s);
 
    algo_state.iterateVec->set(x);
    state->descentVec->set(s);
    algo_state.snorm = s.norm();
    algo_state.iter++;
 
    Real zerotol = 0.0;
 
    algo_state.value = ipobj.value(x,zerotol);
    algo_state.value = ipobj.getObjectiveValue();
 
    ipcon.value(*c_,x,zerotol);
    state->constraintVec->set(*c_);
 
    ipobj.gradient(*g_,x,zerotol);
    state->gradientVec->set(*g_);
 
    ipcon.applyAdjointJacobian(*g_,*l_,x,zerotol);
    state->gradientVec->plus(*g_);    
 
    algo_state.gnorm = g_->norm();
    algo_state.cnorm = state->constraintVec->norm();
    algo_state.snorm = s.norm();
 
    algo_state.nfval += ipobj.getNumberFunctionEvaluations();
    algo_state.ngrad += ipobj.getNumberGradientEvaluations();
    algo_state.ncval += ipcon.getNumberConstraintEvaluations();
    
  }
 
  void update( Vector<Real>          &x,
               Vector<Real>          &l,
               const Vector<Real>    &s,
               Objective<Real>       &obj,
               Constraint<Real>      &con,
               BoundConstraint<Real> &bnd,
               AlgorithmState<Real>  &algo_state ) {
    update(x,l,s,obj,con,algo_state); 
 
    ROL::Ptr<StepState<Real> > state = Step<Real>::getState();
    x_->set(x);
    x_->axpy(static_cast<Real>(-1),state->gradientVec->dual());
    bnd.project(*x_);
    x_->axpy(static_cast<Real>(-1),x);
    algo_state.gnorm = x_->norm();
  }
 
  void update( Vector<Real>          &x,
               const Vector<Real>    &s,
               Objective<Real>       &obj, 
               BoundConstraint<Real> &bnd,
               AlgorithmState<Real>  &algo_state ) {
    // Grab interior point objective
    auto& ipobj = dynamic_cast<IPOBJ&>(obj);
 
    // If we can change the barrier parameter, do so
    if( (rho_< 1.0 && mu_ > mumin_) || (rho_ > 1.0 && mu_ < mumax_) ) {
      mu_ *= rho_;
      ipobj.updatePenalty(mu_);
    }
 
    ROL::Ptr<StepState<Real> > state = Step<Real>::getState();
 
    // Update optimization vector
    x.plus(s);
 
    algo_state.iterateVec->set(x);
    state->descentVec->set(s);
    algo_state.snorm = s.norm();
    algo_state.iter++;
 
    Real zerotol = std::sqrt(ROL_EPSILON<Real>());
 
    algo_state.value = ipobj.value(x,zerotol);
    algo_state.value = ipobj.getObjectiveValue();
 
    ipobj.gradient(*g_,x,zerotol);
    state->gradientVec->set(*g_);
 
    x_->set(x);
    x_->axpy(static_cast<Real>(-1),state->gradientVec->dual());
    bnd.project(*x_);
    x_->axpy(static_cast<Real>(-1),x);
 
    algo_state.gnorm = x_->norm();
    algo_state.snorm = s.norm();
 
    algo_state.nfval += ipobj.getNumberFunctionEvaluations();
    algo_state.ngrad += ipobj.getNumberGradientEvaluations();
  }
 
  std::string printHeader( void ) const {
    std::stringstream hist;
 
    if( verbosity_ > 0 ) {
 
      hist << std::string(116,'-') << "\n";
      hist << "Interior Point status output definitions\n\n";
   
      hist << "  IPiter  - Number of interior point steps taken\n";
      hist << "  SPiter  - Number of subproblem solver iterations\n";
      hist << "  penalty - Penalty parameter multiplying the barrier objective\n";
      hist << "  fval    - Number of objective evaluations\n";
      if (hasEquality_) {
        hist << "  cnorm   - Norm of the composite constraint\n";
        hist << "  gLnorm  - Norm of the Lagrangian's gradient\n";
      }
      else {
        hist << "  gnorm   - Norm of the projected norm of the objective gradient\n";
      }
      hist << "  snorm   - Norm of step (update to optimzation and slack vector)\n";
      hist << "  #fval   - Number of objective function evaluations\n";
      hist << "  #grad   - Number of gradient evaluations\n";
      if (hasEquality_) {
        hist << "  #cval   - Number of composite constraint evaluations\n"; 
      }
      hist << std::string(116,'-') << "\n";
    }
 
    hist << "  ";
    hist << std::setw(9)  << std::left  << "IPiter";
    hist << std::setw(9)  << std::left  << "SPiter";
    hist << std::setw(15) << std::left  << "penalty";
    hist << std::setw(15) << std::left  << "fval";
    if (hasEquality_) {
      hist << std::setw(15) << std::left  << "cnorm";
      hist << std::setw(15) << std::left  << "gLnorm";
    }
    else {
      hist << std::setw(15) << std::left  << "gnorm";
    }
    hist << std::setw(15) << std::left  << "snorm";
    hist << std::setw(8)  << std::left  << "#fval";
    hist << std::setw(8)  << std::left  << "#grad";
    if (hasEquality_) {
      hist << std::setw(8)  << std::left  << "#cval";
    }
 
    hist << "\n";
    return hist.str();
  }
 
  std::string printName( void ) const {
    std::stringstream hist;
    hist << "\n" << "Primal Interior Point Solver\n";
    return hist.str();
  }
 
  std::string print( AlgorithmState<Real> &algo_state, bool pHeader = false ) const {
    std::stringstream hist;
    hist << std::scientific << std::setprecision(6);
    if ( algo_state.iter == 0 ) {
      hist << printName();
    }
    if ( pHeader ) {
      hist << printHeader();
    }
    if ( algo_state.iter == 0 ) {
      hist << "  ";
      hist << std::setw(9)  << std::left << algo_state.iter;
      hist << std::setw(9)  << std::left << subproblemIter_;
      hist << std::setw(15) << std::left << mu_;
      hist << std::setw(15) << std::left << algo_state.value;
      if (hasEquality_) {
        hist << std::setw(15) << std::left << algo_state.cnorm;
      }
      hist << std::setw(15) << std::left << algo_state.gnorm;
      hist << "\n";
    }
    else {
      hist << "  ";
      hist << std::setw(9)  << std::left << algo_state.iter;
      hist << std::setw(9)  << std::left << subproblemIter_;
      hist << std::setw(15) << std::left << mu_;
      hist << std::setw(15) << std::left << algo_state.value;
      if (hasEquality_) {
        hist << std::setw(15) << std::left << algo_state.cnorm;
      }
      hist << std::setw(15) << std::left << algo_state.gnorm;
      hist << std::setw(15) << std::left << algo_state.snorm;
//      hist << std::scientific << std::setprecision(6);
      hist << std::setw(8) << std::left << algo_state.nfval;
      hist << std::setw(8) << std::left << algo_state.ngrad;
      if (hasEquality_) {
        hist << std::setw(8) << std::left << algo_state.ncval;
      }
      hist << "\n";
    }
    return hist.str(); 
  }
 
}; // class InteriorPointStep
 
} // namespace ROL
 
#endif // ROL_INTERIORPOINTSTEP_H