#include <ROL_AugmentedLagrangianPenalty.hpp>

Inheritance diagram for ROL::AugmentedLagrangianPenalty< Real >:

Public Member Functions
	AugmentedLagrangianPenalty (const Ptr< Constraint< Real > > &con, const Ptr< Projection< Real > > &proj, const Real penaltyParameter, const Vector< Real > &dualOptVec, const Vector< Real > &primConVec, const Vector< Real > &dualConVec, ParameterList &parlist)

	AugmentedLagrangianPenalty (const Ptr< Constraint< Real > > &con, const Ptr< Projection< Real > > &proj, const Real penaltyParameter, const Vector< Real > &dualOptVec, const Vector< Real > &primConVec, const Vector< Real > &dualConVec, const int hessianApprox)

virtual void	update (const Vector< Real > &x, UpdateType type, int iter=-1)
	Update objective function.

void	setScaling (const Real cscale=1.0)

Real	getScaling ()

virtual Real	value (const Vector< Real > &x, Real &tol)
	Compute value.

virtual void	gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
	Compute gradient.

virtual void	hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply Hessian approximation to vector.

Real	dualNorm (const Vector< Real > &x, Real &tol)

Real	dualResidual (const Vector< Real > &x, Real &tol)

Real	feasibility (const Vector< Real > &x, Real &tol)

void	setPenaltyParameter (const Real penaltyParameter)

Real	getPenaltyParameter ()

void	setMultiplier (const Vector< Real > &multiplier)

void	updateMultiplier (const Vector< Real > &x, Real &tol)

const Ptr< const Vector< Real > >	getConstraintVec (const Vector< Real > &x, Real &tol)

const Ptr< const Vector< Real > >	getDualVec (const Vector< Real > &x, Real &tol)

int	getNumberConstraintEvaluations (void) const

void	reset (void)

Public Member Functions inherited from ROL::Objective< Real >
virtual	~Objective ()

	Objective ()

virtual void	update (const Vector< Real > &x, bool flag=true, int iter=-1)
	Update objective function.

virtual Real	dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
	Compute directional derivative.

virtual void	invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply inverse Hessian approximation to vector.

virtual void	precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
	Apply preconditioner to vector.

virtual void	prox (Vector< Real > &Pv, const Vector< Real > &v, Real t, Real &tol)
	Compute the proximity operator.

virtual void	proxJacVec (Vector< Real > &Jv, const Vector< Real > &v, const Vector< Real > &x, Real t, Real &tol)
	Apply the Jacobian of the proximity operator.

virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check.

virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference gradient check.

virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes.

virtual std::vector< std::vector< Real > >	checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference gradient check with specified step sizes.

virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check.

virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
	Finite-difference Hessian-applied-to-vector check.

virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes.

virtual std::vector< std::vector< Real > >	checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
	Finite-difference Hessian-applied-to-vector check with specified step sizes.

virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check.

virtual std::vector< Real >	checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
	Hessian symmetry check.

virtual std::vector< std::vector< Real > >	checkProxJacVec (const Vector< Real > &x, const Vector< Real > &v, Real t=Real(1), bool printToStream=true, std::ostream &outStream=std::cout, int numSteps=ROL_NUM_CHECKDERIV_STEPS)
	Finite-difference proximity operator Jacobian-applied-to-vector check.

virtual void	setParameter (const std::vector< Real > &param)

Private Attributes
const Ptr< Constraint< Real > >	con_

const Ptr< Projection< Real > >	proj_

nullstream	bhs_

Real	penaltyParameter_

Ptr< Vector< Real > >	multiplier_

Ptr< Vector< Real > >	dualOptVector_

Ptr< Vector< Real > >	dualConVector_

Ptr< Vector< Real > >	primConVector1_

Ptr< Vector< Real > >	primConVector2_

Ptr< VectorController< Real, int > >	conValue_

Ptr< VectorController< Real, int > >	dualValue_

Real	cscale_

int	ncval_

int	hessianApprox_

Additional Inherited Members
Protected Member Functions inherited from ROL::Objective< Real >
const std::vector< Real >	getParameter (void) const

Detailed Description

template<class Real>
class ROL::AugmentedLagrangianPenalty< Real >

Definition at line 22 of file ROL_AugmentedLagrangianPenalty.hpp.

Constructor & Destructor Documentation

◆ AugmentedLagrangianPenalty() [1/2]

template<class Real >

ROL::AugmentedLagrangianPenalty< Real >::AugmentedLagrangianPenalty	(	const Ptr< Constraint< Real > > &	con,
		const Ptr< Projection< Real > > &	proj,
		const Real	penaltyParameter,
		const Vector< Real > &	dualOptVec,
		const Vector< Real > &	primConVec,
		const Vector< Real > &	dualConVec,
		ParameterList &	parlist
	)

inline

Definition at line 53 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::Vector< Real >::clone(), ROL::AugmentedLagrangianPenalty< Real >::conValue_, ROL::AugmentedLagrangianPenalty< Real >::dualConVector_, ROL::AugmentedLagrangianPenalty< Real >::dualOptVector_, ROL::AugmentedLagrangianPenalty< Real >::dualValue_, ROL::AugmentedLagrangianPenalty< Real >::hessianApprox_, ROL::AugmentedLagrangianPenalty< Real >::multiplier_, ROL::AugmentedLagrangianPenalty< Real >::primConVector1_, and ROL::AugmentedLagrangianPenalty< Real >::primConVector2_.

◆ AugmentedLagrangianPenalty() [2/2]

template<class Real >

ROL::AugmentedLagrangianPenalty< Real >::AugmentedLagrangianPenalty	(	const Ptr< Constraint< Real > > &	con,
		const Ptr< Projection< Real > > &	proj,
		const Real	penaltyParameter,
		const Vector< Real > &	dualOptVec,
		const Vector< Real > &	primConVec,
		const Vector< Real > &	dualConVec,
		const int	hessianApprox
	)

inline

Definition at line 77 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::Vector< Real >::clone(), ROL::AugmentedLagrangianPenalty< Real >::conValue_, ROL::AugmentedLagrangianPenalty< Real >::dualConVector_, ROL::AugmentedLagrangianPenalty< Real >::dualOptVector_, ROL::AugmentedLagrangianPenalty< Real >::dualValue_, ROL::AugmentedLagrangianPenalty< Real >::multiplier_, ROL::AugmentedLagrangianPenalty< Real >::primConVector1_, and ROL::AugmentedLagrangianPenalty< Real >::primConVector2_.

Member Function Documentation

◆ update()

template<class Real >

virtual void ROL::AugmentedLagrangianPenalty< Real >::update	(	const Vector< Real > &	x,
		UpdateType	type,
		int	iter = `-1`
	)

inlinevirtual

Update objective function.

This function updates the objective function at new iterations.

Parameters

[in]	x	is the new iterate.
[in]	type	is the type of update requested.
[in]	iter	is the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 98 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::AugmentedLagrangianPenalty< Real >::con_, ROL::AugmentedLagrangianPenalty< Real >::conValue_, and ROL::AugmentedLagrangianPenalty< Real >::dualValue_.

◆ setScaling()

template<class Real >

void ROL::AugmentedLagrangianPenalty< Real >::setScaling ( const Real cscale = 1.0 )

inline

Definition at line 104 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::AugmentedLagrangianPenalty< Real >::cscale_.

◆ getScaling()

template<class Real >

Real ROL::AugmentedLagrangianPenalty< Real >::getScaling ( )

inline

Definition at line 108 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::AugmentedLagrangianPenalty< Real >::cscale_.

◆ value()

template<class Real >

virtual Real ROL::AugmentedLagrangianPenalty< Real >::value	(	const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute value.

This function returns the objective function value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 112 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::AugmentedLagrangianPenalty< Real >::cscale_, ROL::AugmentedLagrangianPenalty< Real >::getDualVec(), and ROL::AugmentedLagrangianPenalty< Real >::penaltyParameter_.

◆ gradient()

template<class Real >

virtual void ROL::AugmentedLagrangianPenalty< Real >::gradient	(	Vector< Real > &	g,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters

[out]	g	is the gradient.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::Objective< Real >.

Definition at line 120 of file ROL_AugmentedLagrangianPenalty.hpp.

References ROL::AugmentedLagrangianPenalty< Real >::con_, ROL::AugmentedLagrangianPenalty< Real >::cscale_, ROL::AugmentedLagrangianPenalty< Real >::getDualVec(), and ROL::Vector< Real >::scale().

◆ hessVec()

template<class Real >

virtual void ROL::AugmentedLagrangianPenalty< Real >::hessVec	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters

[out]	hv	is the the action of the Hessian on \(v\).
[in]	v	is the direction vector.
[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact objective function computation.