#include #include <../src/tao/quadratic/impls/gpcg/gpcg.h> /*I "gpcg.h" I*/ static PetscErrorCode GPCGGradProjections(Tao tao); static PetscErrorCode GPCGObjectiveAndGradient(TaoLineSearch,Vec,PetscReal*,Vec,void*); /*------------------------------------------------------------*/ static PetscErrorCode TaoDestroy_GPCG(Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscErrorCode ierr; /* Free allocated memory in GPCG structure */ PetscFunctionBegin; ierr = VecDestroy(&gpcg->B);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->Work);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->X_New);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->G_New);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->DXFree);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->R);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->PG);CHKERRQ(ierr); ierr = MatDestroy(&gpcg->Hsub);CHKERRQ(ierr); ierr = MatDestroy(&gpcg->Hsub_pre);CHKERRQ(ierr); ierr = ISDestroy(&gpcg->Free_Local);CHKERRQ(ierr); ierr = PetscFree(tao->data);CHKERRQ(ierr); PetscFunctionReturn(0); } /*------------------------------------------------------------*/ static PetscErrorCode TaoSetFromOptions_GPCG(PetscOptionItems *PetscOptionsObject,Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscErrorCode ierr; PetscBool flg; PetscFunctionBegin; ierr = PetscOptionsHead(PetscOptionsObject,"Gradient Projection, Conjugate Gradient method for bound constrained optimization");CHKERRQ(ierr); ierr = PetscOptionsInt("-tao_gpcg_maxpgits","maximum number of gradient projections per GPCG iterate",NULL,gpcg->maxgpits,&gpcg->maxgpits,&flg);CHKERRQ(ierr); ierr = PetscOptionsTail();CHKERRQ(ierr); ierr = KSPSetFromOptions(tao->ksp);CHKERRQ(ierr); ierr = TaoLineSearchSetFromOptions(tao->linesearch);CHKERRQ(ierr); PetscFunctionReturn(0); } /*------------------------------------------------------------*/ static PetscErrorCode TaoView_GPCG(Tao tao, PetscViewer viewer) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscBool isascii; PetscErrorCode ierr; PetscFunctionBegin; ierr = PetscObjectTypeCompare((PetscObject)viewer,PETSCVIEWERASCII,&isascii);CHKERRQ(ierr); if (isascii) { ierr = PetscViewerASCIIPrintf(viewer,"Total PG its: %D,",gpcg->total_gp_its);CHKERRQ(ierr); ierr = PetscViewerASCIIPrintf(viewer,"PG tolerance: %g \n",(double)gpcg->pg_ftol);CHKERRQ(ierr); } ierr = TaoLineSearchView(tao->linesearch,viewer);CHKERRQ(ierr); PetscFunctionReturn(0); } /* GPCGObjectiveAndGradient() Compute f=0.5 * x'Hx + b'x + c g=Hx + b */ static PetscErrorCode GPCGObjectiveAndGradient(TaoLineSearch ls, Vec X, PetscReal *f, Vec G, void*tptr) { Tao tao = (Tao)tptr; TAO_GPCG *gpcg = (TAO_GPCG*)tao->data; PetscErrorCode ierr; PetscReal f1,f2; PetscFunctionBegin; ierr = MatMult(tao->hessian,X,G);CHKERRQ(ierr); ierr = VecDot(G,X,&f1);CHKERRQ(ierr); ierr = VecDot(gpcg->B,X,&f2);CHKERRQ(ierr); ierr = VecAXPY(G,1.0,gpcg->B);CHKERRQ(ierr); *f=f1/2.0 + f2 + gpcg->c; PetscFunctionReturn(0); } /* ---------------------------------------------------------- */ static PetscErrorCode TaoSetup_GPCG(Tao tao) { PetscErrorCode ierr; TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscFunctionBegin; /* Allocate some arrays */ if (!tao->gradient) { ierr = VecDuplicate(tao->solution, &tao->gradient);CHKERRQ(ierr); } if (!tao->stepdirection) { ierr = VecDuplicate(tao->solution, &tao->stepdirection);CHKERRQ(ierr); } if (!tao->XL) { ierr = VecDuplicate(tao->solution,&tao->XL);CHKERRQ(ierr); ierr = VecSet(tao->XL,PETSC_NINFINITY);CHKERRQ(ierr); } if (!tao->XU) { ierr = VecDuplicate(tao->solution,&tao->XU);CHKERRQ(ierr); ierr = VecSet(tao->XU,PETSC_INFINITY);CHKERRQ(ierr); } ierr = VecDuplicate(tao->solution,&gpcg->B);CHKERRQ(ierr); ierr = VecDuplicate(tao->solution,&gpcg->Work);CHKERRQ(ierr); ierr = VecDuplicate(tao->solution,&gpcg->X_New);CHKERRQ(ierr); ierr = VecDuplicate(tao->solution,&gpcg->G_New);CHKERRQ(ierr); ierr = VecDuplicate(tao->solution,&gpcg->DXFree);CHKERRQ(ierr); ierr = VecDuplicate(tao->solution,&gpcg->R);CHKERRQ(ierr); ierr = VecDuplicate(tao->solution,&gpcg->PG);CHKERRQ(ierr); /* if (gpcg->ksp_type == GPCG_KSP_NASH) { ierr = KSPSetType(tao->ksp,KSPNASH);CHKERRQ(ierr); } else if (gpcg->ksp_type == GPCG_KSP_STCG) { ierr = KSPSetType(tao->ksp,KSPSTCG);CHKERRQ(ierr); } else { ierr = KSPSetType(tao->ksp,KSPGLTR);CHKERRQ(ierr); } if (tao->ksp->ops->setfromoptions) { (*tao->ksp->ops->setfromoptions)(tao->ksp); } } */ PetscFunctionReturn(0); } static PetscErrorCode TaoSolve_GPCG(Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscErrorCode ierr; PetscInt its; PetscReal actred,f,f_new,gnorm,gdx,stepsize,xtb; PetscReal xtHx; TaoLineSearchConvergedReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING; PetscFunctionBegin; ierr = TaoComputeVariableBounds(tao);CHKERRQ(ierr); ierr = VecMedian(tao->XL,tao->solution,tao->XU,tao->solution);CHKERRQ(ierr); ierr = TaoLineSearchSetVariableBounds(tao->linesearch,tao->XL,tao->XU);CHKERRQ(ierr); /* Using f = .5*x'Hx + x'b + c and g=Hx + b, compute b,c */ ierr = TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre);CHKERRQ(ierr); ierr = TaoComputeObjectiveAndGradient(tao,tao->solution,&f,tao->gradient);CHKERRQ(ierr); ierr = VecCopy(tao->gradient, gpcg->B);CHKERRQ(ierr); ierr = MatMult(tao->hessian,tao->solution,gpcg->Work);CHKERRQ(ierr); ierr = VecDot(gpcg->Work, tao->solution, &xtHx);CHKERRQ(ierr); ierr = VecAXPY(gpcg->B,-1.0,gpcg->Work);CHKERRQ(ierr); ierr = VecDot(gpcg->B,tao->solution,&xtb);CHKERRQ(ierr); gpcg->c=f-xtHx/2.0-xtb; if (gpcg->Free_Local) { ierr = ISDestroy(&gpcg->Free_Local);CHKERRQ(ierr); } ierr = VecWhichInactive(tao->XL,tao->solution,tao->gradient,tao->XU,PETSC_TRUE,&gpcg->Free_Local);CHKERRQ(ierr); /* Project the gradient and calculate the norm */ ierr = VecCopy(tao->gradient,gpcg->G_New);CHKERRQ(ierr); ierr = VecBoundGradientProjection(tao->gradient,tao->solution,tao->XL,tao->XU,gpcg->PG);CHKERRQ(ierr); ierr = VecNorm(gpcg->PG,NORM_2,&gpcg->gnorm);CHKERRQ(ierr); tao->step=1.0; gpcg->f = f; /* Check Stopping Condition */ tao->reason = TAO_CONTINUE_ITERATING; ierr = TaoLogConvergenceHistory(tao,f,gpcg->gnorm,0.0,tao->ksp_its);CHKERRQ(ierr); ierr = TaoMonitor(tao,tao->niter,f,gpcg->gnorm,0.0,tao->step);CHKERRQ(ierr); ierr = (*tao->ops->convergencetest)(tao,tao->cnvP);CHKERRQ(ierr); while (tao->reason == TAO_CONTINUE_ITERATING) { /* Call general purpose update function */ if (tao->ops->update) { ierr = (*tao->ops->update)(tao, tao->niter, tao->user_update);CHKERRQ(ierr); } tao->ksp_its=0; ierr = GPCGGradProjections(tao);CHKERRQ(ierr); ierr = ISGetSize(gpcg->Free_Local,&gpcg->n_free);CHKERRQ(ierr); f=gpcg->f; gnorm=gpcg->gnorm; ierr = KSPReset(tao->ksp);CHKERRQ(ierr); if (gpcg->n_free > 0) { /* Create a reduced linear system */ ierr = VecDestroy(&gpcg->R);CHKERRQ(ierr); ierr = VecDestroy(&gpcg->DXFree);CHKERRQ(ierr); ierr = TaoVecGetSubVec(tao->gradient,gpcg->Free_Local, tao->subset_type, 0.0, &gpcg->R);CHKERRQ(ierr); ierr = VecScale(gpcg->R, -1.0);CHKERRQ(ierr); ierr = TaoVecGetSubVec(tao->stepdirection,gpcg->Free_Local,tao->subset_type, 0.0, &gpcg->DXFree);CHKERRQ(ierr); ierr = VecSet(gpcg->DXFree,0.0);CHKERRQ(ierr); ierr = TaoMatGetSubMat(tao->hessian, gpcg->Free_Local, gpcg->Work, tao->subset_type, &gpcg->Hsub);CHKERRQ(ierr); if (tao->hessian_pre == tao->hessian) { ierr = MatDestroy(&gpcg->Hsub_pre);CHKERRQ(ierr); ierr = PetscObjectReference((PetscObject)gpcg->Hsub);CHKERRQ(ierr); gpcg->Hsub_pre = gpcg->Hsub; } else { ierr = TaoMatGetSubMat(tao->hessian, gpcg->Free_Local, gpcg->Work, tao->subset_type, &gpcg->Hsub_pre);CHKERRQ(ierr); } ierr = KSPReset(tao->ksp);CHKERRQ(ierr); ierr = KSPSetOperators(tao->ksp,gpcg->Hsub,gpcg->Hsub_pre);CHKERRQ(ierr); ierr = KSPSolve(tao->ksp,gpcg->R,gpcg->DXFree);CHKERRQ(ierr); ierr = KSPGetIterationNumber(tao->ksp,&its);CHKERRQ(ierr); tao->ksp_its+=its; tao->ksp_tot_its+=its; ierr = VecSet(tao->stepdirection,0.0);CHKERRQ(ierr); ierr = VecISAXPY(tao->stepdirection,gpcg->Free_Local,1.0,gpcg->DXFree);CHKERRQ(ierr); ierr = VecDot(tao->stepdirection,tao->gradient,&gdx);CHKERRQ(ierr); ierr = TaoLineSearchSetInitialStepLength(tao->linesearch,1.0);CHKERRQ(ierr); f_new=f; ierr = TaoLineSearchApply(tao->linesearch,tao->solution,&f_new,tao->gradient,tao->stepdirection,&stepsize,&ls_status);CHKERRQ(ierr); actred = f_new - f; /* Evaluate the function and gradient at the new point */ ierr = VecBoundGradientProjection(tao->gradient,tao->solution,tao->XL,tao->XU, gpcg->PG);CHKERRQ(ierr); ierr = VecNorm(gpcg->PG, NORM_2, &gnorm);CHKERRQ(ierr); f=f_new; ierr = ISDestroy(&gpcg->Free_Local);CHKERRQ(ierr); ierr = VecWhichInactive(tao->XL,tao->solution,tao->gradient,tao->XU,PETSC_TRUE,&gpcg->Free_Local);CHKERRQ(ierr); } else { actred = 0; gpcg->step=1.0; /* if there were no free variables, no cg method */ } tao->niter++; gpcg->f=f;gpcg->gnorm=gnorm; gpcg->actred=actred; ierr = TaoLogConvergenceHistory(tao,f,gpcg->gnorm,0.0,tao->ksp_its);CHKERRQ(ierr); ierr = TaoMonitor(tao,tao->niter,f,gpcg->gnorm,0.0,tao->step);CHKERRQ(ierr); ierr = (*tao->ops->convergencetest)(tao,tao->cnvP);CHKERRQ(ierr); if (tao->reason != TAO_CONTINUE_ITERATING) break; } /* END MAIN LOOP */ PetscFunctionReturn(0); } static PetscErrorCode GPCGGradProjections(Tao tao) { PetscErrorCode ierr; TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscInt i; PetscReal actred=-1.0,actred_max=0.0, gAg,gtg=gpcg->gnorm,alpha; PetscReal f_new,gdx,stepsize; Vec DX=tao->stepdirection,XL=tao->XL,XU=tao->XU,Work=gpcg->Work; Vec X=tao->solution,G=tao->gradient; TaoLineSearchConvergedReason lsflag=TAOLINESEARCH_CONTINUE_ITERATING; /* The free, active, and binding variables should be already identified */ PetscFunctionBegin; for (i=0;imaxgpits;i++) { if (-actred <= (gpcg->pg_ftol)*actred_max) break; ierr = VecBoundGradientProjection(G,X,XL,XU,DX);CHKERRQ(ierr); ierr = VecScale(DX,-1.0);CHKERRQ(ierr); ierr = VecDot(DX,G,&gdx);CHKERRQ(ierr); ierr = MatMult(tao->hessian,DX,Work);CHKERRQ(ierr); ierr = VecDot(DX,Work,&gAg);CHKERRQ(ierr); gpcg->gp_iterates++; gpcg->total_gp_its++; gtg=-gdx; if (PetscAbsReal(gAg) == 0.0) { alpha = 1.0; } else { alpha = PetscAbsReal(gtg/gAg); } ierr = TaoLineSearchSetInitialStepLength(tao->linesearch,alpha);CHKERRQ(ierr); f_new=gpcg->f; ierr = TaoLineSearchApply(tao->linesearch,X,&f_new,G,DX,&stepsize,&lsflag);CHKERRQ(ierr); /* Update the iterate */ actred = f_new - gpcg->f; actred_max = PetscMax(actred_max,-(f_new - gpcg->f)); gpcg->f = f_new; ierr = ISDestroy(&gpcg->Free_Local);CHKERRQ(ierr); ierr = VecWhichInactive(XL,X,tao->gradient,XU,PETSC_TRUE,&gpcg->Free_Local);CHKERRQ(ierr); } gpcg->gnorm=gtg; PetscFunctionReturn(0); } /* End gradient projections */ static PetscErrorCode TaoComputeDual_GPCG(Tao tao, Vec DXL, Vec DXU) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscErrorCode ierr; PetscFunctionBegin; ierr = VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, gpcg->Work);CHKERRQ(ierr); ierr = VecCopy(gpcg->Work, DXL);CHKERRQ(ierr); ierr = VecAXPY(DXL,-1.0,tao->gradient);CHKERRQ(ierr); ierr = VecSet(DXU,0.0);CHKERRQ(ierr); ierr = VecPointwiseMax(DXL,DXL,DXU);CHKERRQ(ierr); ierr = VecCopy(tao->gradient,DXU);CHKERRQ(ierr); ierr = VecAXPY(DXU,-1.0,gpcg->Work);CHKERRQ(ierr); ierr = VecSet(gpcg->Work,0.0);CHKERRQ(ierr); ierr = VecPointwiseMin(DXU,gpcg->Work,DXU);CHKERRQ(ierr); PetscFunctionReturn(0); } /*------------------------------------------------------------*/ /*MC TAOGPCG - gradient projected conjugate gradient algorithm is an active-set conjugate-gradient based method for bound-constrained minimization Options Database Keys: + -tao_gpcg_maxpgits - maximum number of gradient projections for GPCG iterate - -tao_subset_type - "subvec","mask","matrix-free", strategies for handling active-sets Level: beginner M*/ PETSC_EXTERN PetscErrorCode TaoCreate_GPCG(Tao tao) { TAO_GPCG *gpcg; PetscErrorCode ierr; PetscFunctionBegin; tao->ops->setup = TaoSetup_GPCG; tao->ops->solve = TaoSolve_GPCG; tao->ops->view = TaoView_GPCG; tao->ops->setfromoptions = TaoSetFromOptions_GPCG; tao->ops->destroy = TaoDestroy_GPCG; tao->ops->computedual = TaoComputeDual_GPCG; ierr = PetscNewLog(tao,&gpcg);CHKERRQ(ierr); tao->data = (void*)gpcg; /* Override default settings (unless already changed) */ if (!tao->max_it_changed) tao->max_it=500; if (!tao->max_funcs_changed) tao->max_funcs = 100000; #if defined(PETSC_USE_REAL_SINGLE) if (!tao->gatol_changed) tao->gatol=1e-6; if (!tao->grtol_changed) tao->grtol=1e-6; #else if (!tao->gatol_changed) tao->gatol=1e-12; if (!tao->grtol_changed) tao->grtol=1e-12; #endif /* Initialize pointers and variables */ gpcg->n=0; gpcg->maxgpits = 8; gpcg->pg_ftol = 0.1; gpcg->gp_iterates=0; /* Cumulative number */ gpcg->total_gp_its = 0; /* Initialize pointers and variables */ gpcg->n_bind=0; gpcg->n_free = 0; gpcg->n_upper=0; gpcg->n_lower=0; gpcg->subset_type = TAO_SUBSET_MASK; gpcg->Hsub=NULL; gpcg->Hsub_pre=NULL; ierr = KSPCreate(((PetscObject)tao)->comm, &tao->ksp);CHKERRQ(ierr); ierr = PetscObjectIncrementTabLevel((PetscObject)tao->ksp, (PetscObject)tao, 1);CHKERRQ(ierr); ierr = KSPSetOptionsPrefix(tao->ksp, tao->hdr.prefix);CHKERRQ(ierr); ierr = KSPSetType(tao->ksp,KSPNASH);CHKERRQ(ierr); ierr = TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch);CHKERRQ(ierr); ierr = PetscObjectIncrementTabLevel((PetscObject)tao->linesearch, (PetscObject)tao, 1);CHKERRQ(ierr); ierr = TaoLineSearchSetType(tao->linesearch, TAOLINESEARCHGPCG);CHKERRQ(ierr); ierr = TaoLineSearchSetObjectiveAndGradientRoutine(tao->linesearch, GPCGObjectiveAndGradient, tao);CHKERRQ(ierr); ierr = TaoLineSearchSetOptionsPrefix(tao->linesearch,tao->hdr.prefix);CHKERRQ(ierr); PetscFunctionReturn(0); }