xref: /petsc/src/snes/impls/qn/qn.c (revision f3aaf7366bbc7a33966ee24f401bc15bc56f5905)

#include <private/snesimpl.h>

typedef enum {SNES_QN_SEQUENTIAL, SNES_QN_COMPOSED} SNESQNCompositionType;

typedef struct {
  Vec         *dX;              /* The change in X */
  Vec         *dF;              /* The change in F */
  PetscInt    m;                /* the number of kept previous steps */
  PetscScalar *alpha;
  PetscScalar *beta;
  PetscScalar *rho;
  PetscViewer monitor;
  PetscReal   powell_gamma;     /* Powell angle restart condition */
  PetscReal   powell_downhill;  /* Powell descent restart condition */
  PetscReal   scaling;          /* scaling of H0 */

  SNESQNCompositionType compositiontype; /* determine if the composition is done sequentially or as a composition */

} SNES_QN;

#undef __FUNCT__
#define __FUNCT__ "LBGFSApplyJinv_Private"
PetscErrorCode LBGFSApplyJinv_Private(SNES snes, PetscInt it, Vec D, Vec Y) {

  PetscErrorCode ierr;

  SNES_QN *qn = (SNES_QN*)snes->data;

  Vec *dX = qn->dX;
  Vec *dF = qn->dF;

  PetscScalar *alpha = qn->alpha;
  PetscScalar *beta = qn->beta;
  PetscScalar *rho = qn->rho;

  PetscInt k, i;
  PetscInt m = qn->m;
  PetscScalar t;
  PetscInt l = m;

  PetscFunctionBegin;

  ierr = VecCopy(D, Y);CHKERRQ(ierr);

  if (it < m) l = it;

  /* outward recursion starting at iteration k's update and working back */
  for (i = 0; i < l; i++) {
    k = (it - i - 1) % l;
    ierr = VecDot(dX[k], Y, &t);CHKERRQ(ierr);
    alpha[k] = t*rho[k];
    if (qn->monitor) {
      ierr = PetscViewerASCIIAddTab(qn->monitor,((PetscObject)snes)->tablevel+2);CHKERRQ(ierr);
      ierr = PetscViewerASCIIPrintf(qn->monitor, "it: %d k: %d alpha:        %14.12e\n", it, k, PetscRealPart(alpha[k]));CHKERRQ(ierr);
      ierr = PetscViewerASCIISubtractTab(qn->monitor,((PetscObject)snes)->tablevel+2);CHKERRQ(ierr);
    }
    ierr = VecAXPY(Y, -alpha[k], dF[k]);CHKERRQ(ierr);
  }

  ierr = VecScale(Y, qn->scaling);CHKERRQ(ierr);

  /* inward recursion starting at the first update and working forward */
  for (i = 0; i < l; i++) {
    k = (it + i - l) % l;
    ierr = VecDot(dF[k], Y, &t);CHKERRQ(ierr);
    beta[k] = rho[k]*t;
    ierr = VecAXPY(Y, (alpha[k] - beta[k]), dX[k]);
    if (qn->monitor) {
      ierr = PetscViewerASCIIAddTab(qn->monitor,((PetscObject)snes)->tablevel+2);CHKERRQ(ierr);
      ierr = PetscViewerASCIIPrintf(qn->monitor, "it: %d k: %d alpha - beta: %14.12e\n", it, k, PetscRealPart(alpha[k] - beta[k]));CHKERRQ(ierr);
      ierr = PetscViewerASCIISubtractTab(qn->monitor,((PetscObject)snes)->tablevel+2);CHKERRQ(ierr);
    }
  }
  PetscFunctionReturn(0);
}

#undef __FUNCT__
#define __FUNCT__ "SNESSolve_QN"
static PetscErrorCode SNESSolve_QN(SNES snes)
{

  PetscErrorCode ierr;
  SNES_QN *qn = (SNES_QN*) snes->data;

  Vec X, Xold;
  Vec F, G, B;
  Vec W, Y, FPC, D, Dold;
  SNESConvergedReason reason;
  PetscInt i, i_r, k;

  PetscReal fnorm, xnorm = 0, ynorm, gnorm;
  PetscInt m = qn->m;
  PetscBool lssucceed, changed;

  PetscScalar rhosc;

  Vec *dX = qn->dX;
  Vec *dF = qn->dF;
  PetscScalar *rho = qn->rho;
  PetscScalar DolddotD, DolddotDold, DdotD, YdotD, a;

  /* basically just a regular newton's method except for the application of the jacobian */
  PetscFunctionBegin;

  X             = snes->vec_sol;        /* solution vector */
  F             = snes->vec_func;       /* residual vector */
  Y             = snes->vec_sol_update; /* search direction generated by J^-1D*/
  B             = snes->vec_rhs;
  G             = snes->work[0];
  W             = snes->work[1];
  Xold          = snes->work[2];

  /* directions generated by the preconditioned problem with F_pre = F or x - M(x, b) */
  D             = snes->work[3];
  Dold          = snes->work[4];

  snes->reason = SNES_CONVERGED_ITERATING;

  ierr = PetscObjectTakeAccess(snes);CHKERRQ(ierr);
  snes->iter = 0;
  snes->norm = 0.;
  ierr = PetscObjectGrantAccess(snes);CHKERRQ(ierr);
  ierr = SNESComputeFunction(snes,X,F);CHKERRQ(ierr);
  if (snes->domainerror) {
    snes->reason = SNES_DIVERGED_FUNCTION_DOMAIN;
    PetscFunctionReturn(0);
  }
  ierr = VecNorm(F, NORM_2, &fnorm);CHKERRQ(ierr); /* fnorm <- ||F||  */
  if (PetscIsInfOrNanReal(fnorm)) SETERRQ(PETSC_COMM_SELF,PETSC_ERR_FP,"Infinite or not-a-number generated in norm");
  ierr = PetscObjectTakeAccess(snes);CHKERRQ(ierr);
  snes->norm = fnorm;
  ierr = PetscObjectGrantAccess(snes);CHKERRQ(ierr);
  SNESLogConvHistory(snes,fnorm,0);
  ierr = SNESMonitor(snes,0,fnorm);CHKERRQ(ierr);

  /* set parameter for default relative tolerance convergence test */
   snes->ttol = fnorm*snes->rtol;
  /* test convergence */
  ierr = (*snes->ops->converged)(snes,0,0.0,0.0,fnorm,&snes->reason,snes->cnvP);CHKERRQ(ierr);
  if (snes->reason) PetscFunctionReturn(0);

  /* composed solve -- either sequential or composed */
  if (snes->pc) {
    if (qn->compositiontype == SNES_QN_SEQUENTIAL) {
      ierr = SNESSolve(snes->pc, B, X);CHKERRQ(ierr);
      ierr = SNESGetConvergedReason(snes->pc,&reason);CHKERRQ(ierr);
      if (reason < 0 && (reason != SNES_DIVERGED_MAX_IT)) {
        snes->reason = SNES_DIVERGED_INNER;
        PetscFunctionReturn(0);
      }
      ierr = SNESGetFunction(snes->pc, &FPC, PETSC_NULL, PETSC_NULL);CHKERRQ(ierr);
      ierr = VecCopy(FPC, F);CHKERRQ(ierr);
      ierr = SNESGetFunctionNorm(snes->pc, &fnorm);CHKERRQ(ierr);
      ierr = VecCopy(F, Y);CHKERRQ(ierr);
    } else {
      ierr = VecCopy(X, Y);CHKERRQ(ierr);
      ierr = SNESSolve(snes->pc, B, Y);CHKERRQ(ierr);
      ierr = SNESGetConvergedReason(snes->pc,&reason);CHKERRQ(ierr);
      if (reason < 0 && (reason != SNES_DIVERGED_MAX_IT)) {
        snes->reason = SNES_DIVERGED_INNER;
        PetscFunctionReturn(0);
      }
      ierr = VecAYPX(Y,-1.0,X);CHKERRQ(ierr);
    }
  } else {
    ierr = VecCopy(F, Y);CHKERRQ(ierr);
  }
  ierr = VecCopy(Y, D);CHKERRQ(ierr);

  for(i = 0, i_r = 0; i < snes->max_its; i++, i_r++) {
    /* line search for lambda */
    ynorm = 1; gnorm = fnorm;
    ierr = VecCopy(D, Dold);CHKERRQ(ierr);
    ierr = VecCopy(X, Xold);CHKERRQ(ierr);
    ierr = SNESLineSearchPreCheckApply(snes,X,Y,&changed);CHKERRQ(ierr);
    ierr = SNESLineSearchApply(snes,X,F,Y,fnorm,xnorm,W,G,&ynorm,&gnorm,&lssucceed);CHKERRQ(ierr);
    if (snes->reason == SNES_DIVERGED_FUNCTION_COUNT) break;
    if (snes->domainerror) {
      snes->reason = SNES_DIVERGED_FUNCTION_DOMAIN;
      PetscFunctionReturn(0);
      }
    if (!lssucceed) {
      if (++snes->numFailures >= snes->maxFailures) {
        snes->reason = SNES_DIVERGED_LINE_SEARCH;
        break;
      }
    }

    /* Update function and solution vectors */
    fnorm = gnorm;
    ierr = VecCopy(G,F);CHKERRQ(ierr);
    ierr = VecCopy(W,X);CHKERRQ(ierr);

    /* convergence monitoring */
    ierr = PetscInfo4(snes,"fnorm=%18.16e, gnorm=%18.16e, ynorm=%18.16e, lssucceed=%d\n",(double)fnorm,(double)gnorm,(double)ynorm,(int)lssucceed);CHKERRQ(ierr);

    ierr = SNESSetIterationNumber(snes, i+1);CHKERRQ(ierr);
    ierr = SNESSetFunctionNorm(snes, fnorm);CHKERRQ(ierr);

    SNESLogConvHistory(snes,snes->norm,snes->iter);
    ierr = SNESMonitor(snes,snes->iter,snes->norm);CHKERRQ(ierr);
    /* set parameter for default relative tolerance convergence test */
    ierr = (*snes->ops->converged)(snes,snes->iter,0.0,0.0,fnorm,&snes->reason,snes->cnvP);CHKERRQ(ierr);
    if (snes->reason) PetscFunctionReturn(0);


    if (snes->pc) {
      if (qn->compositiontype == SNES_QN_SEQUENTIAL) {
        ierr = SNESSolve(snes->pc, B, X);CHKERRQ(ierr);
        ierr = SNESGetConvergedReason(snes->pc,&reason);CHKERRQ(ierr);
        if (reason < 0 && (reason != SNES_DIVERGED_MAX_IT)) {
          snes->reason = SNES_DIVERGED_INNER;
          PetscFunctionReturn(0);
        }
        ierr = SNESGetFunction(snes->pc, &FPC, PETSC_NULL, PETSC_NULL);CHKERRQ(ierr);
        ierr = VecCopy(FPC, F);CHKERRQ(ierr);
        ierr = SNESGetFunctionNorm(snes->pc, &fnorm);CHKERRQ(ierr);
        ierr = VecCopy(F, D);CHKERRQ(ierr);
      } else {
        ierr = VecCopy(X, D);CHKERRQ(ierr);
        ierr = SNESSolve(snes->pc, B, D);CHKERRQ(ierr);
        ierr = SNESGetConvergedReason(snes->pc,&reason);CHKERRQ(ierr);
        if (reason < 0 && (reason != SNES_DIVERGED_MAX_IT)) {
          snes->reason = SNES_DIVERGED_INNER;
          PetscFunctionReturn(0);
        }
        ierr = VecAYPX(D,-1.0,X);CHKERRQ(ierr);
      }
    } else {
      ierr = VecCopy(F, D);CHKERRQ(ierr);
    }

    /* check restart by Powell's Criterion: |F^T H_0 Fold| > 0.2 * |Fold^T H_0 Fold| */
    ierr = VecDot(Dold, Dold, &DolddotDold);CHKERRQ(ierr);
    ierr = VecDot(Dold, D, &DolddotD);CHKERRQ(ierr);
    ierr = VecDot(D, D, &DdotD);CHKERRQ(ierr);
    ierr = VecDot(Y, D, &YdotD);CHKERRQ(ierr);
    if (PetscAbs(PetscRealPart(DolddotD)) > qn->powell_gamma*PetscAbs(PetscRealPart(DolddotDold))) {
      if (qn->monitor) {
        ierr = PetscViewerASCIIAddTab(qn->monitor,((PetscObject)snes)->tablevel+2);CHKERRQ(ierr);
        ierr = PetscViewerASCIIPrintf(qn->monitor, "restart! |%14.12e| > %4.2f*|%14.12e|\n", k, PetscRealPart(DolddotD), qn->powell_gamma, PetscRealPart(DolddotDold));CHKERRQ(ierr);
        ierr = PetscViewerASCIISubtractTab(qn->monitor,((PetscObject)snes)->tablevel+2);CHKERRQ(ierr);
      }
      i_r = -1;
      /* general purpose update */
      if (snes->ops->update) {
        ierr = (*snes->ops->update)(snes, snes->iter);CHKERRQ(ierr);
      }
      ierr = VecCopy(D, Y);CHKERRQ(ierr);
    } else {
      /* set the differences */
      k = i_r % m;
      ierr = VecCopy(D, dF[k]);CHKERRQ(ierr);
      ierr = VecAXPY(dF[k], -1.0, Dold);CHKERRQ(ierr);
      ierr = VecCopy(X, dX[k]);CHKERRQ(ierr);
      ierr = VecAXPY(dX[k], -1.0, Xold);CHKERRQ(ierr);
      ierr = VecDot(dX[k], dF[k], &rhosc);CHKERRQ(ierr);

      /* set scaling to be shanno scaling */
      rho[k] = 1. / rhosc;
      ierr = VecDot(dF[k], dF[k], &a);CHKERRQ(ierr);
      qn->scaling = PetscRealPart(rhosc) / PetscRealPart(a);

      /* general purpose update */
      if (snes->ops->update) {
        ierr = (*snes->ops->update)(snes, snes->iter);CHKERRQ(ierr);
      }
      /* apply the current iteration of the approximate jacobian in order to get the next search direction*/
      ierr = LBGFSApplyJinv_Private(snes, i_r+1, D, Y);CHKERRQ(ierr);
    }
}
  if (i == snes->max_its) {
    ierr = PetscInfo1(snes, "Maximum number of iterations has been reached: %D\n", snes->max_its);CHKERRQ(ierr);
    if (!snes->reason) snes->reason = SNES_DIVERGED_MAX_IT;
  }
  PetscFunctionReturn(0);
}


#undef __FUNCT__
#define __FUNCT__ "SNESSetUp_QN"
static PetscErrorCode SNESSetUp_QN(SNES snes)
{
  SNES_QN *qn = (SNES_QN*)snes->data;
  PetscErrorCode ierr;
  PetscFunctionBegin;
  ierr = VecDuplicateVecs(snes->vec_sol, qn->m, &qn->dX);CHKERRQ(ierr);
  ierr = VecDuplicateVecs(snes->vec_sol, qn->m, &qn->dF);CHKERRQ(ierr);
  ierr = PetscMalloc3(qn->m, PetscScalar, &qn->alpha, qn->m, PetscScalar, &qn->beta, qn->m, PetscScalar, &qn->rho);CHKERRQ(ierr);
  ierr = SNESDefaultGetWork(snes,5);CHKERRQ(ierr);
  PetscFunctionReturn(0);
}

#undef __FUNCT__
#define __FUNCT__ "SNESReset_QN"
static PetscErrorCode SNESReset_QN(SNES snes)
{
  PetscErrorCode ierr;
  SNES_QN *qn;
  PetscFunctionBegin;
  if (snes->data) {
    qn = (SNES_QN*)snes->data;
    if (qn->dX) {
      ierr = VecDestroyVecs(qn->m, &qn->dX);CHKERRQ(ierr);
    }
    if (qn->dF) {
      ierr = VecDestroyVecs(qn->m, &qn->dF);CHKERRQ(ierr);
    }
    ierr = PetscFree3(qn->alpha, qn->beta, qn->rho);CHKERRQ(ierr);
  }
  PetscFunctionReturn(0);
}

#undef __FUNCT__
#define __FUNCT__ "SNESDestroy_QN"
static PetscErrorCode SNESDestroy_QN(SNES snes)
{
  PetscErrorCode ierr;
  PetscFunctionBegin;
  ierr = SNESReset_QN(snes);CHKERRQ(ierr);
  ierr = PetscFree(snes->data);CHKERRQ(ierr);
  ierr = PetscObjectComposeFunctionDynamic((PetscObject)snes,"","",PETSC_NULL);CHKERRQ(ierr);
  PetscFunctionReturn(0);
}

#undef __FUNCT__
#define __FUNCT__ "SNESSetFromOptions_QN"
static PetscErrorCode SNESSetFromOptions_QN(SNES snes)
{

  PetscErrorCode ierr;
  SNES_QN    *qn;
  const char *compositions[] = {"sequential", "composed"};
  PetscInt   indx = 0;
  PetscBool  flg;
  PetscBool  monflg = PETSC_FALSE;
  PetscFunctionBegin;

  qn = (SNES_QN*)snes->data;

  ierr = PetscOptionsHead("SNES QN options");CHKERRQ(ierr);
  ierr = PetscOptionsInt("-snes_qn_m",                "Number of past states saved for L-BFGS methods", "SNESQN", qn->m, &qn->m, PETSC_NULL);CHKERRQ(ierr);
  ierr = PetscOptionsReal("-snes_qn_powell_gamma",    "Powell angle tolerance",          "SNESQN", qn->powell_gamma, &qn->powell_gamma, PETSC_NULL);CHKERRQ(ierr);
  ierr = PetscOptionsReal("-snes_qn_powell_downhill", "Powell descent tolerance",        "SNESQN", qn->powell_downhill, &qn->powell_downhill, PETSC_NULL);CHKERRQ(ierr);
  ierr = PetscOptionsBool("-snes_qn_monitor",         "Monitor for the QN methods",      "SNESQN", monflg, &monflg, PETSC_NULL);CHKERRQ(ierr);
  ierr = PetscOptionsEList("-snes_qn_composition",    "Composition type",                "SNESQN",compositions,2,"sequential",&indx,&flg);CHKERRQ(ierr);
  if (flg) {
    switch (indx) {
    case 0: qn->compositiontype = SNES_QN_SEQUENTIAL;
      break;
    case 1: qn->compositiontype = SNES_QN_COMPOSED;
      break;
    }
  }
  ierr = PetscOptionsTail();CHKERRQ(ierr);
  if (monflg) {
    qn->monitor = PETSC_VIEWER_STDOUT_(((PetscObject)snes)->comm);CHKERRQ(ierr);
  }
  PetscFunctionReturn(0);
}

EXTERN_C_BEGIN
#undef __FUNCT__
#define __FUNCT__ "SNESLineSearchSetType_QN"
PetscErrorCode  SNESLineSearchSetType_QN(SNES snes, SNESLineSearchType type)
{
  PetscErrorCode ierr;
  PetscFunctionBegin;

  switch (type) {
  case SNES_LS_BASIC:
    ierr = SNESLineSearchSet(snes,SNESLineSearchNo,PETSC_NULL);CHKERRQ(ierr);
    break;
  case SNES_LS_BASIC_NONORMS:
    ierr = SNESLineSearchSet(snes,SNESLineSearchNoNorms,PETSC_NULL);CHKERRQ(ierr);
    break;
  case SNES_LS_QUADRATIC:
    ierr = SNESLineSearchSet(snes,SNESLineSearchQuadraticSecant,PETSC_NULL);CHKERRQ(ierr);
    break;
  case SNES_LS_CRITICAL:
    ierr = SNESLineSearchSet(snes,SNESLineSearchCriticalSecant,PETSC_NULL);CHKERRQ(ierr);
    break;
  default:
    SETERRQ(PETSC_COMM_SELF, PETSC_ERR_SUP,"Unknown line search type");
    break;
  }
  snes->ls_type = type;
  PetscFunctionReturn(0);
}
EXTERN_C_END


/* -------------------------------------------------------------------------- */
/*MC
      SNESQN - Limited-Memory Quasi-Newton methods for the solution of nonlinear systems.

      Options Database:

+     -snes_qn_m - Number of past states saved for the L-Broyden methods.
.     -snes_qn_powell_angle - Angle condition for restart.
.     -snes_qn_powell_descent - Descent condition for restart.
.     -snes_qn_composition <sequential, composed>- Type of composition.
.     -snes_ls <basic, basicnonorms, quadratic, critical> - Type of line search.
-     -snes_qn_monitor - Monitors the quasi-newton jacobian.

      Notes: This implements the L-BFGS algorithm for the solution of F(x) = b using previous change in F(x) and x to
      form the approximate inverse Jacobian using a series of multiplicative rank-one updates.  This will eventually be
      generalized to implement several limited-memory Broyden methods.

      When using a nonlinear preconditioner, one has two options as to how the preconditioner is applied.  The first of
      these options, sequential, uses the preconditioner to generate a new solution and function and uses those at this
      iteration as the current iteration's values when constructing the approximate jacobian.  The second, composed,
      perturbs the problem the jacobian represents to be P(x, b) - x = 0, where P(x, b) is the preconditioner.

      References:

      L-Broyden Methods: a generalization of the L-BFGS method to the limited memory Broyden family, M. B. Reed,
      International Journal of Computer Mathematics, vol. 86, 2009.


      Level: beginner

.seealso:  SNESCreate(), SNES, SNESSetType(), SNESLS, SNESTR

M*/
EXTERN_C_BEGIN
#undef __FUNCT__
#define __FUNCT__ "SNESCreate_QN"
PetscErrorCode  SNESCreate_QN(SNES snes)
{

  PetscErrorCode ierr;
  SNES_QN *qn;

  PetscFunctionBegin;
  snes->ops->setup           = SNESSetUp_QN;
  snes->ops->solve           = SNESSolve_QN;
  snes->ops->destroy         = SNESDestroy_QN;
  snes->ops->setfromoptions  = SNESSetFromOptions_QN;
  snes->ops->view            = 0;
  snes->ops->reset           = SNESReset_QN;

  snes->usespc          = PETSC_TRUE;
  snes->usesksp         = PETSC_FALSE;

  snes->max_funcs = 30000;
  snes->max_its   = 10000;

  ierr = PetscNewLog(snes,SNES_QN,&qn);CHKERRQ(ierr);
  snes->data = (void *) qn;
  qn->m               = 30;
  qn->scaling         = 1.0;
  qn->dX              = PETSC_NULL;
  qn->dF              = PETSC_NULL;
  qn->monitor         = PETSC_NULL;
  qn->powell_gamma    = 0.9;
  qn->powell_downhill = 0.2;
  qn->compositiontype = SNES_QN_SEQUENTIAL;

  ierr = PetscObjectComposeFunctionDynamic((PetscObject)snes,"SNESLineSearchSetType_C","SNESLineSearchSetType_QN",SNESLineSearchSetType_QN);CHKERRQ(ierr);
  ierr = SNESLineSearchSetType(snes, SNES_LS_CRITICAL);CHKERRQ(ierr);

  PetscFunctionReturn(0);
}
EXTERN_C_END