xref: /petsc/src/tao/bound/impls/blmvm/blmvm.c (revision 3c9e27cfca911a7d7e3219758be42726e83c4ab2)

#include "taolinesearch.h"
#include "../src/tao/matrix/lmvmmat.h"
#include "blmvm.h"

/*------------------------------------------------------------*/
#undef __FUNCT__
#define __FUNCT__ "TaoSolve_BLMVM"
static PetscErrorCode TaoSolve_BLMVM(TaoSolver tao)
{
  PetscErrorCode ierr;
  TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data;

  TaoSolverTerminationReason reason = TAO_CONTINUE_ITERATING;
  TaoLineSearchTerminationReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING;

  PetscReal f, fold, gdx, gnorm;
  PetscReal stepsize = 1.0,delta;

  PetscInt iter = 0;


  PetscFunctionBegin;

  /*  Project initial point onto bounds */
  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);

  /* Check convergence criteria */
  ierr = TaoComputeObjectiveAndGradient(tao, tao->solution,&f,blmP->unprojected_gradient); CHKERRQ(ierr);
  ierr = VecBoundGradientProjection(blmP->unprojected_gradient,tao->solution, tao->XL,tao->XU,tao->gradient); CHKERRQ(ierr);


  ierr = VecNorm(tao->gradient,NORM_2,&gnorm); CHKERRQ(ierr);
  if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) {
    SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf pr NaN");
  }

  ierr = TaoMonitor(tao, iter, f, gnorm, 0.0, stepsize, &reason); CHKERRQ(ierr);
  if (reason != TAO_CONTINUE_ITERATING) {
    PetscFunctionReturn(0);
  }

  /* Set initial scaling for the function */
  if (f != 0.0) {
    delta = 2.0*PetscAbsScalar(f) / (gnorm*gnorm);
  }
  else {
    delta = 2.0 / (gnorm*gnorm);
  }
  ierr = MatLMVMSetDelta(blmP->M,delta); CHKERRQ(ierr);

  /* Set counter for gradient/reset steps */
  blmP->grad = 0;
  blmP->reset = 0;

  /* Have not converged; continue with Newton method */
  while (reason == TAO_CONTINUE_ITERATING) {

    /* Compute direction */
    ierr = MatLMVMUpdate(blmP->M, tao->solution, tao->gradient); CHKERRQ(ierr);
    ierr = MatLMVMSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection); CHKERRQ(ierr);
    ierr = VecBoundGradientProjection(tao->stepdirection,tao->solution,tao->XL,tao->XU,tao->gradient); CHKERRQ(ierr);

    /* Check for success (descent direction) */
    ierr = VecDot(blmP->unprojected_gradient, tao->gradient, &gdx); CHKERRQ(ierr);
    if (gdx <= 0) {
      /* Step is not descent or solve was not successful
	 Use steepest descent direction (scaled) */
      ++blmP->grad;

      if (f != 0.0) {
	delta = 2.0*PetscAbsScalar(f) / (gnorm*gnorm);
      }
      else {
	delta = 2.0 / (gnorm*gnorm);
      }
      ierr = MatLMVMSetDelta(blmP->M,delta); CHKERRQ(ierr);
      ierr = MatLMVMReset(blmP->M); CHKERRQ(ierr);
      ierr = MatLMVMUpdate(blmP->M, tao->solution, blmP->unprojected_gradient); CHKERRQ(ierr);
      ierr = MatLMVMSolve(blmP->M,blmP->unprojected_gradient, tao->stepdirection); CHKERRQ(ierr);
    }
    ierr = VecScale(tao->stepdirection,-1.0); CHKERRQ(ierr);

    /* Perform the linesearch */
    fold = f;
    ierr = VecCopy(tao->solution, blmP->Xold); CHKERRQ(ierr);
    ierr = VecCopy(blmP->unprojected_gradient, blmP->Gold); CHKERRQ(ierr);
    ierr = TaoLineSearchSetInitialStepLength(tao->linesearch,1.0); CHKERRQ(ierr);
    ierr = TaoLineSearchApply(tao->linesearch, tao->solution, &f, blmP->unprojected_gradient, tao->stepdirection, &stepsize, &ls_status); CHKERRQ(ierr);
    ierr = TaoAddLineSearchCounts(tao); CHKERRQ(ierr);

    if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) {
      /* Linesearch failed
	 Reset factors and use scaled (projected) gradient step */
      ++blmP->reset;

      f = fold;
      ierr = VecCopy(blmP->Xold, tao->solution); CHKERRQ(ierr);
      ierr = VecCopy(blmP->Gold, blmP->unprojected_gradient); CHKERRQ(ierr);

      if (f != 0.0) {
	delta = 2.0* PetscAbsScalar(f) / (gnorm*gnorm);
      }
      else {
	delta = 2.0/ (gnorm*gnorm);
      }
      ierr = MatLMVMSetDelta(blmP->M,delta); CHKERRQ(ierr);
      ierr = MatLMVMReset(blmP->M); CHKERRQ(ierr);
      ierr = MatLMVMUpdate(blmP->M, tao->solution, blmP->unprojected_gradient); CHKERRQ(ierr);
      ierr = MatLMVMSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection); CHKERRQ(ierr);
      ierr = VecScale(tao->stepdirection, -1.0); CHKERRQ(ierr);

      /* This may be incorrect; linesearch has values fo stepmax and stepmin
	 that should be reset. */
      ierr = TaoLineSearchSetInitialStepLength(tao->linesearch,1.0);
      ierr = TaoLineSearchApply(tao->linesearch,tao->solution,&f, blmP->unprojected_gradient, tao->stepdirection,  &stepsize, &ls_status); CHKERRQ(ierr);
      ierr = TaoAddLineSearchCounts(tao); CHKERRQ(ierr);

      if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) {
	tao->reason = TAO_DIVERGED_LS_FAILURE;
	break;
      }
    }

    /* Check for termination */
    ierr = VecBoundGradientProjection(blmP->unprojected_gradient, tao->solution, tao->XL, tao->XU, tao->gradient); CHKERRQ(ierr);
    ierr = VecNorm(tao->gradient, NORM_2, &gnorm); CHKERRQ(ierr);


    if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) {
      SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Not-a-Number");
    }
    iter++;
    ierr = TaoMonitor(tao, iter, f, gnorm, 0.0, stepsize, &reason); CHKERRQ(ierr);
  }



  PetscFunctionReturn(0);
}

#undef __FUNCT__
#define __FUNCT__ "TaoSetup_BLMVM"
static PetscErrorCode TaoSetup_BLMVM(TaoSolver tao)
{
  TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data;
  PetscInt n,N;
  PetscErrorCode ierr;

  PetscFunctionBegin;
  /* Existence of tao->solution checked in TaoSetup() */

  ierr = VecDuplicate(tao->solution,&blmP->Xold); CHKERRQ(ierr);
  ierr = VecDuplicate(tao->solution,&blmP->Gold); CHKERRQ(ierr);
  ierr = VecDuplicate(tao->solution, &blmP->unprojected_gradient);

  if (!tao->stepdirection) {
      ierr = VecDuplicate(tao->solution, &tao->stepdirection);
      CHKERRQ(ierr);
  }
  if (!tao->gradient) {
      ierr = VecDuplicate(tao->solution,&tao->gradient); CHKERRQ(ierr);
  }
  if (!tao->XL) {
      ierr = VecDuplicate(tao->solution,&tao->XL); CHKERRQ(ierr);
      ierr = VecSet(tao->XL,TAO_NINFINITY); CHKERRQ(ierr);
  }
  if (!tao->XU) {
      ierr = VecDuplicate(tao->solution,&tao->XU); CHKERRQ(ierr);
      ierr = VecSet(tao->XU,TAO_INFINITY); CHKERRQ(ierr);
  }
  /* Create matrix for the limited memory approximation */
  ierr = VecGetLocalSize(tao->solution,&n); CHKERRQ(ierr);
  ierr = VecGetSize(tao->solution,&N); CHKERRQ(ierr);
  ierr = MatCreateLMVM(((PetscObject)tao)->comm,n,N,&blmP->M); CHKERRQ(ierr);
  ierr = MatLMVMAllocateVectors(blmP->M,tao->solution); CHKERRQ(ierr);

   PetscFunctionReturn(0);
}

/* ---------------------------------------------------------- */
#undef __FUNCT__
#define __FUNCT__ "TaoDestroy_BLMVM"
static PetscErrorCode TaoDestroy_BLMVM(TaoSolver tao)
{
  TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data;
  PetscErrorCode ierr;

  PetscFunctionBegin;
  if (tao->setupcalled) {
    ierr = MatDestroy(&blmP->M); CHKERRQ(ierr);
    ierr = VecDestroy(&blmP->unprojected_gradient); CHKERRQ(ierr);
    ierr = VecDestroy(&blmP->Xold); CHKERRQ(ierr);
    ierr = VecDestroy(&blmP->Gold); CHKERRQ(ierr);
  }
  ierr = PetscFree(tao->data); CHKERRQ(ierr);
  tao->data = PETSC_NULL;

  PetscFunctionReturn(0);
}

/*------------------------------------------------------------*/
#undef __FUNCT__
#define __FUNCT__ "TaoSetFromOptions_BLMVM"
static PetscErrorCode TaoSetFromOptions_BLMVM(TaoSolver tao)
{

  PetscErrorCode ierr;

  PetscFunctionBegin;
  ierr = PetscOptionsHead("Limited-memory variable-metric method for bound constrained optimization"); CHKERRQ(ierr);
  ierr = TaoLineSearchSetFromOptions(tao->linesearch);CHKERRQ(ierr);
  ierr = PetscOptionsTail();CHKERRQ(ierr);
  PetscFunctionReturn(0);
}


/*------------------------------------------------------------*/
#undef __FUNCT__
#define __FUNCT__ "TaoView_BLMVM"
static int TaoView_BLMVM(TaoSolver tao, PetscViewer viewer)
{


    TAO_BLMVM *lmP = (TAO_BLMVM *)tao->data;
    PetscBool isascii;
    PetscErrorCode ierr;


    PetscFunctionBegin;
    ierr = PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii); CHKERRQ(ierr);
    if (isascii) {
      ierr = PetscViewerASCIIPushTab(viewer); CHKERRQ(ierr);
      ierr = PetscViewerASCIIPrintf(viewer, "Gradient steps: %D\n", lmP->grad); CHKERRQ(ierr);
      ierr = PetscViewerASCIIPopTab(viewer); CHKERRQ(ierr);
    } else {
      SETERRQ1(((PetscObject)tao)->comm,PETSC_ERR_SUP,"Viewer type %s not supported for TAO BLMVM",((PetscObject)viewer)->type_name);
    }
    PetscFunctionReturn(0);
}

#undef __FUNCT__
#define __FUNCT__ "TaoComputeDual_BLMVM"
static PetscErrorCode TaoComputeDual_BLMVM(TaoSolver tao, Vec DXL, Vec DXU)
{
  TAO_BLMVM *blm = (TAO_BLMVM *) tao->data;
  PetscErrorCode ierr;

  PetscFunctionBegin;
  PetscValidHeaderSpecific(tao,TAOSOLVER_CLASSID,1);
  PetscValidHeaderSpecific(DXL,VEC_CLASSID,2);
  PetscValidHeaderSpecific(DXU,VEC_CLASSID,3);

  if (!tao->gradient || !blm->unprojected_gradient) {
      SETERRQ(PETSC_COMM_SELF,PETSC_ERR_ORDER,"Dual variables don't exist yet or no longer exist.\n");
  }

  ierr = VecCopy(tao->gradient,DXL); CHKERRQ(ierr);
  ierr = VecAXPY(DXL,-1.0,blm->unprojected_gradient); CHKERRQ(ierr);
  ierr = VecSet(DXU,0.0); CHKERRQ(ierr);
  ierr = VecPointwiseMax(DXL,DXL,DXU); CHKERRQ(ierr);

  ierr = VecCopy(blm->unprojected_gradient,DXU); CHKERRQ(ierr);
  ierr = VecAXPY(DXU,-1.0,tao->gradient); CHKERRQ(ierr);
  ierr = VecAXPY(DXU,1.0,DXL); CHKERRQ(ierr);

  PetscFunctionReturn(0);
}

/* ---------------------------------------------------------- */
EXTERN_C_BEGIN
#undef __FUNCT__
#define __FUNCT__ "TaoCreate_BLMVM"
PetscErrorCode TaoCreate_BLMVM(TaoSolver tao)
{
  TAO_BLMVM *blmP;
  const char *morethuente_type = TAOLINESEARCH_MT;
  PetscErrorCode ierr;

  PetscFunctionBegin;
  tao->ops->setup = TaoSetup_BLMVM;
  tao->ops->solve = TaoSolve_BLMVM;
  tao->ops->view = TaoView_BLMVM;
  tao->ops->setfromoptions = TaoSetFromOptions_BLMVM;
  tao->ops->destroy = TaoDestroy_BLMVM;
  tao->ops->computedual = TaoComputeDual_BLMVM;

  ierr = PetscNewLog(tao,&blmP); CHKERRQ(ierr);
  tao->data = (void*)blmP;
  tao->max_it = 2000;
  tao->max_funcs = 4000;
  tao->fatol = 1e-4;
  tao->frtol = 1e-4;

  ierr = TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch); CHKERRQ(ierr);
  ierr = TaoLineSearchSetType(tao->linesearch, morethuente_type); CHKERRQ(ierr);
  ierr = TaoLineSearchUseTaoSolverRoutines(tao->linesearch,tao); CHKERRQ(ierr);
  PetscFunctionReturn(0);

}
EXTERN_C_END