#include #include <../src/tao/bound/impls/bncg/bncg.h> #define CG_FletcherReeves 0 #define CG_PolakRibiere 1 #define CG_PolakRibierePlus 2 #define CG_HestenesStiefel 3 #define CG_DaiYuan 4 #define CG_Types 5 static const char *CG_Table[64] = {"fr", "pr", "prp", "hs", "dy"}; PetscErrorCode TaoBNCGResetStepForNewInactives(Tao tao, Vec step) { TAO_BNCG *cg = (TAO_BNCG*)tao->data; PetscErrorCode ierr; const PetscScalar *xl, *xo, *xn, *xu, *gn, *go; PetscInt size, i; PetscScalar *s; PetscFunctionBegin; ierr = VecGetLocalSize(tao->solution, &size);CHKERRQ(ierr); ierr = VecGetArrayRead(cg->unprojected_gradient_old, &go);CHKERRQ(ierr); ierr = VecGetArrayRead(cg->unprojected_gradient, &gn);CHKERRQ(ierr); ierr = VecGetArrayRead(cg->X_old, &xo);CHKERRQ(ierr); ierr = VecGetArrayRead(tao->solution, &xn);CHKERRQ(ierr); ierr = VecGetArrayRead(tao->XL, &xl);CHKERRQ(ierr); ierr = VecGetArrayRead(tao->XU, &xu);CHKERRQ(ierr); ierr = VecGetArray(step, &s);CHKERRQ(ierr); for (i=0; i PETSC_NINFINITY) { if ((xn[i] == xl[i] && gn[i] < 0.0) && (xo[i] == xl[i] && go[i] >= 0.0)) { s[i] = -gn[i]; } } if (xu[i] < PETSC_NINFINITY) { if ((xn[i] == xu[i] && gn[i] > 0.0) && (xo[i] == xu[i] && go[i] <= 0.0)) { s[i] = -gn[i]; } } } } ierr = VecRestoreArrayRead(cg->unprojected_gradient_old, &go);CHKERRQ(ierr); ierr = VecRestoreArrayRead(cg->unprojected_gradient, &gn);CHKERRQ(ierr); ierr = VecRestoreArrayRead(cg->X_old, &xo);CHKERRQ(ierr); ierr = VecRestoreArrayRead(tao->solution, &xn);CHKERRQ(ierr); ierr = VecRestoreArrayRead(tao->XL, &xl);CHKERRQ(ierr); ierr = VecRestoreArrayRead(tao->XU, &xu);CHKERRQ(ierr); ierr = VecRestoreArray(step, &s);CHKERRQ(ierr); PetscFunctionReturn(0); } static PetscErrorCode TaoSolve_BNCG(Tao tao) { TAO_BNCG *cg = (TAO_BNCG*)tao->data; PetscErrorCode ierr; TaoLineSearchConvergedReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING; PetscReal step=1.0,f,gnorm,gnorm2,delta,gd,ginner,beta,dnorm; PetscReal gd_old,gnorm2_old,f_old; PetscBool cg_restart; PetscFunctionBegin; /* Project the current point onto the feasible set */ ierr = TaoComputeVariableBounds(tao);CHKERRQ(ierr); ierr = TaoLineSearchSetVariableBounds(tao->linesearch,tao->XL,tao->XU);CHKERRQ(ierr); /* Project the initial point onto the feasible region */ ierr = VecMedian(tao->XL,tao->solution,tao->XU,tao->solution);CHKERRQ(ierr); /* Compute the objective function and criteria */ ierr = TaoComputeObjectiveAndGradient(tao, tao->solution, &f, cg->unprojected_gradient);CHKERRQ(ierr); ierr = VecNorm(cg->unprojected_gradient,NORM_2,&gnorm);CHKERRQ(ierr); if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf or NaN"); /* Project the gradient and calculate the norm */ ierr = VecBoundGradientProjection(cg->unprojected_gradient,tao->solution,tao->XL,tao->XU,tao->gradient);CHKERRQ(ierr); ierr = VecNorm(tao->gradient,NORM_2,&gnorm);CHKERRQ(ierr); gnorm2 = gnorm*gnorm; /* Convergence check */ tao->reason = TAO_CONTINUE_ITERATING; ierr = TaoLogConvergenceHistory(tao, f, gnorm, 0.0, tao->ksp_its);CHKERRQ(ierr); ierr = TaoMonitor(tao, tao->niter, f, gnorm, 0.0, step);CHKERRQ(ierr); ierr = (*tao->ops->convergencetest)(tao,tao->cnvP);CHKERRQ(ierr); if (tao->reason != TAO_CONTINUE_ITERATING) PetscFunctionReturn(0); /* Start optimization iterations */ f_old = f; gnorm2_old = gnorm2; ierr = VecCopy(tao->solution, cg->X_old);CHKERRQ(ierr); ierr = VecCopy(tao->gradient, cg->G_old);CHKERRQ(ierr); ierr = VecCopy(cg->unprojected_gradient, cg->unprojected_gradient_old);CHKERRQ(ierr); tao->niter = cg->ls_fails = cg->broken_ortho = cg->descent_error = 0; cg->resets = -1; while (tao->reason == TAO_CONTINUE_ITERATING) { /* Check restart conditions for using steepest descent */ cg_restart = PETSC_FALSE; ierr = VecDot(tao->gradient, cg->G_old, &ginner);CHKERRQ(ierr); if (tao->niter == 0) { /* 1) First iteration */ cg_restart = PETSC_TRUE; } else if (PetscAbsScalar(ginner) >= cg->eta * gnorm2) { /* 2) Gradients are far from orthogonal */ cg_restart = PETSC_TRUE; cg->broken_ortho++; } /* Compute CG step */ if (cg_restart) { beta = 0.0; cg->resets++; } else { switch (cg->cg_type) { case CG_FletcherReeves: beta = gnorm2 / gnorm2_old; break; case CG_PolakRibiere: beta = (gnorm2 - ginner) / gnorm2_old; break; case CG_PolakRibierePlus: beta = PetscMax((gnorm2-ginner)/gnorm2_old, 0.0); break; case CG_HestenesStiefel: ierr = VecDot(tao->gradient, tao->stepdirection, &gd);CHKERRQ(ierr); ierr = VecDot(cg->G_old, tao->stepdirection, &gd_old);CHKERRQ(ierr); beta = (gnorm2 - ginner) / (gd - gd_old); break; case CG_DaiYuan: ierr = VecDot(tao->gradient, tao->stepdirection, &gd);CHKERRQ(ierr); ierr = VecDot(cg->G_old, tao->stepdirection, &gd_old);CHKERRQ(ierr); beta = gnorm2 / (gd - gd_old); break; default: beta = 0.0; break; } } /* Compute the direction d=-g + beta*d */ ierr = VecAXPBY(tao->stepdirection, -1.0, beta, tao->gradient);CHKERRQ(ierr); ierr = TaoBNCGResetStepForNewInactives(tao, tao->stepdirection);CHKERRQ(ierr); /* Verify that this is a descent direction */ ierr = VecDot(tao->gradient, tao->stepdirection, &gd);CHKERRQ(ierr); ierr = VecNorm(tao->stepdirection, NORM_2, &dnorm); if (gd > -cg->rho*PetscPowReal(dnorm, cg->pow)) { /* Not a descent direction, so we reset back to projected gradient descent */ ierr = VecAXPBY(tao->stepdirection, -1.0, 0.0, tao->gradient);CHKERRQ(ierr); cg->resets++; cg->descent_error++; } /* update initial steplength choice */ delta = 1.0; delta = PetscMax(delta, cg->delta_min); delta = PetscMin(delta, cg->delta_max); /* Store solution and gradient info before it changes */ ierr = VecCopy(tao->solution, cg->X_old);CHKERRQ(ierr); ierr = VecCopy(tao->gradient, cg->G_old);CHKERRQ(ierr); ierr = VecCopy(cg->unprojected_gradient, cg->unprojected_gradient_old);CHKERRQ(ierr); gnorm2_old = gnorm2; f_old = f; /* Perform bounded line search */ ierr = TaoLineSearchSetInitialStepLength(tao->linesearch,delta);CHKERRQ(ierr); ierr = TaoLineSearchApply(tao->linesearch, tao->solution, &f, cg->unprojected_gradient, tao->stepdirection, &step, &ls_status);CHKERRQ(ierr); ierr = TaoAddLineSearchCounts(tao);CHKERRQ(ierr); /* Check linesearch failure */ if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { cg->ls_fails++; /* Restore previous point */ gnorm2 = gnorm2_old; f = f_old; ierr = VecCopy(cg->X_old, tao->solution);CHKERRQ(ierr); ierr = VecCopy(cg->G_old, tao->gradient);CHKERRQ(ierr); ierr = VecCopy(cg->unprojected_gradient_old, cg->unprojected_gradient);CHKERRQ(ierr); /* Fall back on the unscaled gradient step */ delta = 1.0; ierr = VecCopy(tao->solution, tao->stepdirection);CHKERRQ(ierr); ierr = VecScale(tao->stepdirection, -1.0);CHKERRQ(ierr); ierr = TaoLineSearchSetInitialStepLength(tao->linesearch,delta);CHKERRQ(ierr); ierr = TaoLineSearchApply(tao->linesearch, tao->solution, &f, cg->unprojected_gradient, tao->stepdirection, &step, &ls_status);CHKERRQ(ierr); ierr = TaoAddLineSearchCounts(tao);CHKERRQ(ierr); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER){ cg->ls_fails++; /* Restore previous point */ gnorm2 = gnorm2_old; f = f_old; ierr = VecCopy(cg->X_old, tao->solution);CHKERRQ(ierr); ierr = VecCopy(cg->G_old, tao->gradient);CHKERRQ(ierr); ierr = VecCopy(cg->unprojected_gradient_old, cg->unprojected_gradient);CHKERRQ(ierr); /* Nothing left to do but fail out of the optimization */ step = 0.0; tao->reason = TAO_DIVERGED_LS_FAILURE; } } /* Compute the projected gradient and its norm */ ierr = VecBoundGradientProjection(cg->unprojected_gradient,tao->solution,tao->XL,tao->XU,tao->gradient);CHKERRQ(ierr); ierr = VecNorm(tao->gradient,NORM_2,&gnorm);CHKERRQ(ierr); gnorm2 = gnorm*gnorm; /* Convergence test */ tao->niter++; ierr = TaoLogConvergenceHistory(tao, f, gnorm, 0.0, tao->ksp_its);CHKERRQ(ierr); ierr = TaoMonitor(tao, tao->niter, f, gnorm, 0.0, step);CHKERRQ(ierr); ierr = (*tao->ops->convergencetest)(tao,tao->cnvP);CHKERRQ(ierr); } PetscFunctionReturn(0); } static PetscErrorCode TaoSetUp_BNCG(Tao tao) { TAO_BNCG *cg = (TAO_BNCG*)tao->data; PetscErrorCode ierr; PetscFunctionBegin; if (!tao->gradient) {ierr = VecDuplicate(tao->solution,&tao->gradient);CHKERRQ(ierr);} if (!tao->stepdirection) {ierr = VecDuplicate(tao->solution,&tao->stepdirection);CHKERRQ(ierr); } if (!cg->X_old) {ierr = VecDuplicate(tao->solution,&cg->X_old);CHKERRQ(ierr);} if (!cg->G_old) {ierr = VecDuplicate(tao->gradient,&cg->G_old);CHKERRQ(ierr); } if (!cg->unprojected_gradient) {ierr = VecDuplicate(tao->gradient,&cg->unprojected_gradient);CHKERRQ(ierr);} if (!cg->unprojected_gradient_old) {ierr = VecDuplicate(tao->gradient,&cg->unprojected_gradient_old);CHKERRQ(ierr);} PetscFunctionReturn(0); } static PetscErrorCode TaoDestroy_BNCG(Tao tao) { TAO_BNCG *cg = (TAO_BNCG*) tao->data; PetscErrorCode ierr; PetscFunctionBegin; if (tao->setupcalled) { ierr = VecDestroy(&cg->X_old);CHKERRQ(ierr); ierr = VecDestroy(&cg->G_old);CHKERRQ(ierr); ierr = VecDestroy(&cg->unprojected_gradient);CHKERRQ(ierr); ierr = VecDestroy(&cg->unprojected_gradient_old);CHKERRQ(ierr); } ierr = TaoLineSearchDestroy(&tao->linesearch);CHKERRQ(ierr); ierr = PetscFree(tao->data);CHKERRQ(ierr); PetscFunctionReturn(0); } static PetscErrorCode TaoSetFromOptions_BNCG(PetscOptionItems *PetscOptionsObject,Tao tao) { TAO_BNCG *cg = (TAO_BNCG*)tao->data; PetscErrorCode ierr; PetscFunctionBegin; ierr = TaoLineSearchSetFromOptions(tao->linesearch);CHKERRQ(ierr); ierr = PetscOptionsHead(PetscOptionsObject,"Nonlinear Conjugate Gradient method for unconstrained optimization");CHKERRQ(ierr); ierr = PetscOptionsReal("-tao_BNCG_eta","restart tolerance", "", cg->eta,&cg->eta,NULL);CHKERRQ(ierr); ierr = PetscOptionsReal("-tao_BNCG_rho","descent direction tolerance", "", cg->rho,&cg->rho,NULL);CHKERRQ(ierr); ierr = PetscOptionsReal("-tao_BNCG_pow","descent direction exponent", "", cg->pow,&cg->pow,NULL);CHKERRQ(ierr); ierr = PetscOptionsEList("-tao_BNCG_type","cg formula", "", CG_Table, CG_Types, CG_Table[cg->cg_type], &cg->cg_type,NULL);CHKERRQ(ierr); ierr = PetscOptionsReal("-tao_BNCG_delta_min","minimum delta value", "", cg->delta_min,&cg->delta_min,NULL);CHKERRQ(ierr); ierr = PetscOptionsReal("-tao_BNCG_delta_max","maximum delta value", "", cg->delta_max,&cg->delta_max,NULL);CHKERRQ(ierr); ierr = PetscOptionsTail();CHKERRQ(ierr); PetscFunctionReturn(0); } static PetscErrorCode TaoView_BNCG(Tao tao, PetscViewer viewer) { PetscBool isascii; TAO_BNCG *cg = (TAO_BNCG*)tao->data; PetscErrorCode ierr; PetscFunctionBegin; ierr = PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii);CHKERRQ(ierr); if (isascii) { ierr = PetscViewerASCIIPushTab(viewer);CHKERRQ(ierr); ierr = PetscViewerASCIIPrintf(viewer, "CG Type: %s\n", CG_Table[cg->cg_type]);CHKERRQ(ierr); ierr = PetscViewerASCIIPrintf(viewer, "Resets: %i\n", cg->resets);CHKERRQ(ierr); ierr = PetscViewerASCIIPrintf(viewer, " Broken ortho: %i\n", cg->broken_ortho);CHKERRQ(ierr); ierr = PetscViewerASCIIPrintf(viewer, " Not a descent dir.: %i\n", cg->descent_error);CHKERRQ(ierr); ierr = PetscViewerASCIIPrintf(viewer, "Line search fails: %i\n", cg->ls_fails);CHKERRQ(ierr); ierr = PetscViewerASCIIPopTab(viewer);CHKERRQ(ierr); } PetscFunctionReturn(0); } /*MC TAOBNCG - Bound-constrained Nonlinear Conjugate Gradient method. Options Database Keys: + -tao_BNCG_eta - restart tolerance . -tao_BNCG_type - cg formula . -tao_BNCG_delta_min - minimum delta value - -tao_BNCG_delta_max - maximum delta value Notes: CG formulas are: "fr" - Fletcher-Reeves "pr" - Polak-Ribiere "prp" - Polak-Ribiere-Plus "hs" - Hestenes-Steifel "dy" - Dai-Yuan Level: beginner M*/ PETSC_EXTERN PetscErrorCode TaoCreate_BNCG(Tao tao) { TAO_BNCG *cg; const char *morethuente_type = TAOLINESEARCHMT; PetscErrorCode ierr; PetscFunctionBegin; tao->ops->setup = TaoSetUp_BNCG; tao->ops->solve = TaoSolve_BNCG; tao->ops->view = TaoView_BNCG; tao->ops->setfromoptions = TaoSetFromOptions_BNCG; tao->ops->destroy = TaoDestroy_BNCG; /* Override default settings (unless already changed) */ if (!tao->max_it_changed) tao->max_it = 2000; if (!tao->max_funcs_changed) tao->max_funcs = 4000; /* Note: nondefault values should be used for nonlinear conjugate gradient */ /* method. In particular, gtol should be less that 0.5; the value used in */ /* Nocedal and Wright is 0.10. We use the default values for the */ /* linesearch because it seems to work better. */ ierr = TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch);CHKERRQ(ierr); ierr = PetscObjectIncrementTabLevel((PetscObject)tao->linesearch, (PetscObject)tao, 1);CHKERRQ(ierr); ierr = TaoLineSearchSetType(tao->linesearch, morethuente_type);CHKERRQ(ierr); ierr = TaoLineSearchUseTaoRoutines(tao->linesearch, tao);CHKERRQ(ierr); ierr = TaoLineSearchSetOptionsPrefix(tao->linesearch,tao->hdr.prefix);CHKERRQ(ierr); ierr = PetscNewLog(tao,&cg);CHKERRQ(ierr); tao->data = (void*)cg; cg->rho = 1e-4; cg->pow = 2.1; cg->eta = 0.5; cg->delta_min = 1e-7; cg->delta_max = 100; cg->cg_type = CG_DaiYuan; PetscFunctionReturn(0); }