ROL_TypeP_TrustRegionAlgorithm.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_TYPEP_TRUSTREGIONALGORITHM_HPP
#define ROL_TYPEP_TRUSTREGIONALGORITHM_HPP
 
#include "ROL_TypeP_Algorithm.hpp"
#include "ROL_TrustRegionModel_U.hpp"
#include "ROL_TrustRegionUtilities.hpp"
#include "ROL_Types.hpp"
 
namespace ROL {
namespace TypeP {
 
enum ETrustRegionP{
  TRUSTREGION_P_SPG = 0,
  TRUSTREGION_P_SPG2,
  TRUSTREGION_P_NCG,
  TRUSTREGION_P_LAST
};
 
inline std::string ETrustRegionPToString(ETrustRegionP alg) {
  std::string retString;
  switch(alg) {
    case TRUSTREGION_P_SPG:          retString = "SPG";               break;
    case TRUSTREGION_P_SPG2:         retString = "Simplified SPG";    break;
    case TRUSTREGION_P_NCG:          retString = "NCG";               break;
    case TRUSTREGION_P_LAST:         retString = "Last Type (Dummy)"; break;
    default:                         retString = "INVALID ETrustRegionP";
  }
  return retString;
}
 
inline int isValidTrustRegionP(ETrustRegionP alg){
  return( (alg == TRUSTREGION_P_SPG)  ||
          (alg == TRUSTREGION_P_SPG2) ||
          (alg == TRUSTREGION_P_NCG)  ||
          (alg == TRUSTREGION_P_LAST)
        );
}
 
inline ETrustRegionP & operator++(ETrustRegionP &type) {
  return type = static_cast<ETrustRegionP>(type+1);
}
 
inline ETrustRegionP operator++(ETrustRegionP &type, int) {
  ETrustRegionP oldval = type;
  ++type;
  return oldval;
}
 
inline ETrustRegionP & operator--(ETrustRegionP &type) {
  return type = static_cast<ETrustRegionP>(type-1);
}
 
inline ETrustRegionP operator--(ETrustRegionP &type, int) {
  ETrustRegionP oldval = type;
  --type;
  return oldval;
}
 
inline ETrustRegionP StringToETrustRegionP(std::string s) {
  s = removeStringFormat(s);
  for ( ETrustRegionP alg = TRUSTREGION_P_SPG; alg < TRUSTREGION_P_LAST; alg++ ) {
    if ( !s.compare(removeStringFormat(ETrustRegionPToString(alg))) ) {
      return alg;
    }
  }
  return TRUSTREGION_P_SPG;
}
 
template<typename Real>
class TrustRegionAlgorithm : public TypeP::Algorithm<Real> {
private:
  Ptr<TrustRegionModel_U<Real>> model_;  
 
  // TRUST REGION PARAMETERS
  Real delMax_; 
  Real eta0_;   
  Real eta1_;   
  Real eta2_;   
  Real gamma0_; 
  Real gamma1_; 
  Real gamma2_; 
  Real TRsafe_; 
  Real eps_;    
  bool interpRad_; 
 
  // ITERATION FLAGS/INFORMATION
  TRUtils::ETRFlag TRflag_; 
  int SPflag_;              
  int SPiter_;              
 
  // SECANT INFORMATION
  ESecant esec_;          
  bool useSecantPrecond_; 
  bool useSecantHessVec_; 
 
  // TRUNCATED CG INFORMATION
  Real tol1_; 
  Real tol2_; 
  int maxit_; 
 
  // ALGORITHM SPECIFIC PARAMETERS
  bool useNM_;
  int  storageNM_;
  Real mu0_;       
  Real spexp_;     
  int  redlim_;    
  int  explim_;    
  Real alpha_;     
  bool normAlpha_; 
  Real interpf_;   
  Real extrapf_;   
  Real qtol_;      
  Real lambdaMin_;
  Real lambdaMax_;
  Real gamma_;
  int maxSize_;
  bool useMin_;
  bool useNMSP_;
  ETrustRegionP algSelect_;
  int ncgType_; 
  Real etaNCG_; 
  Real desPar_;
 
  // Inexactness Parameters
  std::vector<bool> useInexact_;
  Real scale0_;
  Real scale1_;
  Real scale_;
  Real omega_;
  Real force_;
  int updateIter_;
  Real forceFactor_;
  Real gtol_;
 
  bool initProx_;
  Real t0_; 
  
  mutable int nhess_;  
  unsigned verbosity_; 
  bool writeHeader_;   
 
  using TypeP::Algorithm<Real>::state_;
  using TypeP::Algorithm<Real>::status_;
  using TypeP::Algorithm<Real>::pgstep;
 
  void initialize(Vector<Real>        &x,
                  const Vector<Real>  &g,
                  Real                 ftol,
                  Objective<Real>     &sobj,
                  Objective<Real>     &nobj,
                  Vector<Real>        &px, 
                  Vector<Real>        &dg,
                  std::ostream        &outStream = std::cout); 
 
public:
  TrustRegionAlgorithm(ParameterList &list, const Ptr<Secant<Real>> &secant = nullPtr);
 
  using TypeP::Algorithm<Real>::run;
  void run( Vector<Real>          &x,
            const Vector<Real>    &g, 
            Objective<Real>       &sobj,
                                                Objective<Real>       &nobj,
            std::ostream          &outStream = std::cout) override;
 
  void writeHeader( std::ostream& os ) const override;
 
  void writeName( std::ostream& os ) const override;
 
  void writeOutput( std::ostream& os, bool write_header = false ) const override;
 
private:
 
  Real computeValue(Real inTol,
                    Real &outTol,
                    Real pRed,
                    Real &fold,
                    int iter,
                    const Vector<Real> &x,
                    const Vector<Real> &xold,
                    Objective<Real> &obj);
 
  void computeGradient(const Vector<Real> &x,
                       Vector<Real> &g,
                       Vector<Real> &px,
                       Vector<Real> &dg,
                       Vector<Real> &pwa,
                       Real del,
                       Objective<Real> &sobj,
                       Objective<Real> &nobj,
                       bool accept,
                       Real &gtol,
                       Real &gnorm,
                       std::ostream &outStream = std::cout) const;
 
  // Compute the projected step s = P(x + alpha*w) - x
  // Returns the norm of the projected step s
  //    s     -- The projected step upon return
  //    w     -- The direction vector w (unchanged)
  //    x     -- The anchor vector x (unchanged)
  //    alpha -- The step size (unchanged)
  // Real dgpstep(Vector<Real> &s, const Vector<Real> &w,
  //       const Vector<Real> &x, const Real alpha,
  //       std::ostream &outStream = std::cout) const;
 
  // Compute Cauchy point, i.e., the minimizer of q(P(x - alpha*g)-x)
  // subject to the trust region constraint ||P(x - alpha*g)-x|| <= del
  //   s     -- The Cauchy step upon return: Primal optimization space vector
  //   alpha -- The step length for the Cauchy point upon return
  //   x     -- The anchor vector x (unchanged): Primal optimization space vector
  //   g     -- The (dual) gradient vector g (unchanged): Primal optimization space vector
  //   del   -- The trust region radius (unchanged)
  //   model -- Trust region model
  //   dwa   -- Dual working array, stores Hessian applied to step
  //   dwa1  -- Dual working array
  Real dcauchy(Vector<Real>             &s, 
               Real                     &alpha, 
               Real                     &sval,
               Real                     &nval,
               const Vector<Real>       &x, 
               const Vector<Real>       &g,
               Real                      del, 
               TrustRegionModel_U<Real> &model,
               Objective<Real>          &nobj,
               Vector<Real>             &px,
               Vector<Real>             &dwa, 
               Vector<Real>             &dwa1,
               std::ostream             &outStream = std::cout);
 
  void dspg2(Vector<Real> &y, 
             Real &sval,
             Real &nval,
             Real &pRed,
             Vector<Real> &gmod, 
             const Vector<Real> &x,
             Real del, 
             TrustRegionModel_U<Real> &model, 
             Objective<Real> &nobj,
             Vector<Real> &pwa,
             Vector<Real> &pwa1, 
             Vector<Real> &pwa2, 
             Vector<Real> &dwa, 
             std::ostream &outStream = std::cout);
 
  void dspg(Vector<Real> &y, 
            Real &sval,
            Real &nval, 
            Vector<Real> &gmod,
            const Vector<Real> &x,
            Real del, 
            TrustRegionModel_U<Real> &model, 
            Objective<Real> &nobj,
            Vector<Real> &ymin,
            Vector<Real> &pwa, 
            Vector<Real> &pwa1, 
            Vector<Real> &pwa2,
            Vector<Real> &pwa3, 
            Vector<Real> &pwa4, 
            Vector<Real> &pwa5,
            Vector<Real> &dwa, 
            std::ostream &outStream = std::cout);
   
        void dncg(Vector<Real> &y, 
            Real &sval,
            Real &nval, 
            Vector<Real> &gmod,
            const Vector<Real> &x,
            Real del, 
            TrustRegionModel_U<Real> &model, 
            Objective<Real> &nobj,
            Vector<Real> &s, 
            Vector<Real> &pwa1, 
            Vector<Real> &pwa2,
            Vector<Real> &pwa3, 
            Vector<Real> &pwa4, 
            Vector<Real> &pwa5, 
            Vector<Real> &dwa, 
            std::ostream &outStream = std::cout);
 
 
  void dprox(Vector<Real> &x, 
             const Vector<Real> &x0, 
             Real t,
             Real del,
             Objective<Real> &nobj,
             Vector<Real> &y0, 
             Vector<Real> &y1, 
             Vector<Real> &yc,
             Vector<Real> &pwa, 
             std::ostream &outStream = std::cout) const;
 
  void dbls(Real &alpha, Real &nval, Real &pred,
            const Vector<Real> &y,
            const Vector<Real> &s,
            Real lambda, Real tmax,
            Real kappa, Real gs,
            Objective<Real> &nobj,
            Vector<Real> &pwa);
  
}; // class ROL::TypeP::TrustRegionAlgorithm
 
} // namespace TypeP
} // namespace ROL
 
#include "ROL_TypeP_TrustRegionAlgorithm_Def.hpp"
 
#endif