1ac9112b8SAlp Dener #include <petsctaolinesearch.h> 2ac9112b8SAlp Dener #include <../src/tao/bound/impls/bncg/bncg.h> 3ac9112b8SAlp Dener 4ac9112b8SAlp Dener #define CG_FletcherReeves 0 5ac9112b8SAlp Dener #define CG_PolakRibiere 1 6ac9112b8SAlp Dener #define CG_PolakRibierePlus 2 7ac9112b8SAlp Dener #define CG_HestenesStiefel 3 8ac9112b8SAlp Dener #define CG_DaiYuan 4 9*560169d0SAlp Dener #define CG_GradientDescent 5 10*560169d0SAlp Dener #define CG_Types 6 11ac9112b8SAlp Dener 12*560169d0SAlp Dener static const char *CG_Table[64] = {"fr", "pr", "prp", "hs", "dy", "gd"}; 13ac9112b8SAlp Dener 1461be54a6SAlp Dener #define CG_AS_NONE 0 1561be54a6SAlp Dener #define CG_AS_BERTSEKAS 1 1661be54a6SAlp Dener #define CG_AS_SIZE 2 17ac9112b8SAlp Dener 1861be54a6SAlp Dener static const char *CG_AS_TYPE[64] = {"none", "bertsekas"}; 19ac9112b8SAlp Dener 20c0f10754SAlp Dener PetscErrorCode TaoBNCGSetRecycleFlag(Tao tao, PetscBool recycle) 21c0f10754SAlp Dener { 22c0f10754SAlp Dener TAO_BNCG *cg = (TAO_BNCG*)tao->data; 23c0f10754SAlp Dener 24c0f10754SAlp Dener PetscFunctionBegin; 25c0f10754SAlp Dener cg->recycle = recycle; 26c0f10754SAlp Dener PetscFunctionReturn(0); 27c0f10754SAlp Dener } 28c0f10754SAlp Dener 2961be54a6SAlp Dener PetscErrorCode TaoBNCGEstimateActiveSet(Tao tao, PetscInt asType) 3061be54a6SAlp Dener { 3161be54a6SAlp Dener PetscErrorCode ierr; 3261be54a6SAlp Dener TAO_BNCG *cg = (TAO_BNCG *)tao->data; 3361be54a6SAlp Dener 3461be54a6SAlp Dener PetscFunctionBegin; 3561be54a6SAlp Dener ierr = ISDestroy(&cg->inactive_old);CHKERRQ(ierr); 3661be54a6SAlp Dener if (cg->inactive_idx) { 3761be54a6SAlp Dener ierr = ISDuplicate(cg->inactive_idx, &cg->inactive_old);CHKERRQ(ierr); 3861be54a6SAlp Dener ierr = ISCopy(cg->inactive_idx, cg->inactive_old);CHKERRQ(ierr); 3961be54a6SAlp Dener } 4061be54a6SAlp Dener switch (asType) { 4161be54a6SAlp Dener case CG_AS_NONE: 4261be54a6SAlp Dener ierr = ISDestroy(&cg->inactive_idx);CHKERRQ(ierr); 4361be54a6SAlp Dener ierr = VecWhichInactive(tao->XL, tao->solution, cg->unprojected_gradient, tao->XU, PETSC_TRUE, &cg->inactive_idx);CHKERRQ(ierr); 4461be54a6SAlp Dener ierr = ISDestroy(&cg->active_idx);CHKERRQ(ierr); 4561be54a6SAlp Dener ierr = ISComplementVec(cg->inactive_idx, tao->solution, &cg->active_idx);CHKERRQ(ierr); 4661be54a6SAlp Dener break; 4761be54a6SAlp Dener 4861be54a6SAlp Dener case CG_AS_BERTSEKAS: 4961be54a6SAlp Dener /* Use gradient descent to estimate the active set */ 5061be54a6SAlp Dener ierr = VecCopy(cg->unprojected_gradient, cg->W);CHKERRQ(ierr); 5161be54a6SAlp Dener ierr = VecScale(cg->W, -1.0);CHKERRQ(ierr); 5289da521bSAlp Dener ierr = TaoEstimateActiveBounds(tao->solution, tao->XL, tao->XU, cg->unprojected_gradient, cg->W, cg->work, cg->as_step, &cg->as_tol, 5389da521bSAlp Dener &cg->active_lower, &cg->active_upper, &cg->active_fixed, &cg->active_idx, &cg->inactive_idx);CHKERRQ(ierr); 54c4b75bccSAlp Dener break; 5561be54a6SAlp Dener 5661be54a6SAlp Dener default: 5761be54a6SAlp Dener break; 5861be54a6SAlp Dener } 5961be54a6SAlp Dener PetscFunctionReturn(0); 6061be54a6SAlp Dener } 6161be54a6SAlp Dener 62a1318120SAlp Dener PetscErrorCode TaoBNCGBoundStep(Tao tao, PetscInt asType, Vec step) 6361be54a6SAlp Dener { 6461be54a6SAlp Dener PetscErrorCode ierr; 6561be54a6SAlp Dener TAO_BNCG *cg = (TAO_BNCG *)tao->data; 6661be54a6SAlp Dener 6761be54a6SAlp Dener PetscFunctionBegin; 68a1318120SAlp Dener switch (asType) { 6961be54a6SAlp Dener case CG_AS_NONE: 70c4b75bccSAlp Dener ierr = VecISSet(step, cg->active_idx, 0.0);CHKERRQ(ierr); 7161be54a6SAlp Dener break; 7261be54a6SAlp Dener 7361be54a6SAlp Dener case CG_AS_BERTSEKAS: 74c4b75bccSAlp Dener ierr = TaoBoundStep(tao->solution, tao->XL, tao->XU, cg->active_lower, cg->active_upper, cg->active_fixed, 1.0, step);CHKERRQ(ierr); 7561be54a6SAlp Dener break; 7661be54a6SAlp Dener 7761be54a6SAlp Dener default: 7861be54a6SAlp Dener break; 7961be54a6SAlp Dener } 8061be54a6SAlp Dener PetscFunctionReturn(0); 8161be54a6SAlp Dener } 8261be54a6SAlp Dener 83ac9112b8SAlp Dener static PetscErrorCode TaoSolve_BNCG(Tao tao) 84ac9112b8SAlp Dener { 85ac9112b8SAlp Dener TAO_BNCG *cg = (TAO_BNCG*)tao->data; 86ac9112b8SAlp Dener PetscErrorCode ierr; 87ac9112b8SAlp Dener TaoLineSearchConvergedReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING; 8889da521bSAlp Dener PetscReal step=1.0,gnorm,gnorm2,gd,ginner,beta,dnorm; 8989da521bSAlp Dener PetscReal gd_old,gnorm2_old,f_old,resnorm; 90*560169d0SAlp Dener PetscBool cg_restart, gd_fallback = PETSC_FALSE; 91c4b75bccSAlp Dener PetscInt nDiff; 92ac9112b8SAlp Dener 93ac9112b8SAlp Dener PetscFunctionBegin; 94ac9112b8SAlp Dener /* Project the current point onto the feasible set */ 95ac9112b8SAlp Dener ierr = TaoComputeVariableBounds(tao);CHKERRQ(ierr); 96ac9112b8SAlp Dener ierr = TaoLineSearchSetVariableBounds(tao->linesearch,tao->XL,tao->XU);CHKERRQ(ierr); 97ac9112b8SAlp Dener 98ac9112b8SAlp Dener /* Project the initial point onto the feasible region */ 993b063059SAlp Dener ierr = TaoBoundSolution(tao->solution, tao->XL,tao->XU, 0.0, &nDiff, tao->solution);CHKERRQ(ierr); 100ac9112b8SAlp Dener 101e046c495SAlp Dener if (nDiff > 0 || !cg->recycle) { 10211eb65dcSAlp Dener /* Solver is not being recycled so just compute the objective function and criteria */ 103c0f10754SAlp Dener ierr = TaoComputeObjectiveAndGradient(tao, tao->solution, &cg->f, cg->unprojected_gradient);CHKERRQ(ierr); 10411eb65dcSAlp Dener } else { 10511eb65dcSAlp Dener /* We are recycling, so we have to compute ||g_old||^2 for use in the CG step calculation */ 10611eb65dcSAlp Dener ierr = VecDot(cg->G_old, cg->G_old, &gnorm2_old);CHKERRQ(ierr); 107c0f10754SAlp Dener } 108ac9112b8SAlp Dener ierr = VecNorm(cg->unprojected_gradient,NORM_2,&gnorm);CHKERRQ(ierr); 109c0f10754SAlp Dener if (PetscIsInfOrNanReal(cg->f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf or NaN"); 110ac9112b8SAlp Dener 11161be54a6SAlp Dener /* Estimate the active set and compute the projected gradient */ 11261be54a6SAlp Dener ierr = TaoBNCGEstimateActiveSet(tao, cg->as_type);CHKERRQ(ierr); 11361be54a6SAlp Dener 114ac9112b8SAlp Dener /* Project the gradient and calculate the norm */ 11561be54a6SAlp Dener ierr = VecCopy(cg->unprojected_gradient, tao->gradient);CHKERRQ(ierr); 11661be54a6SAlp Dener ierr = VecISSet(tao->gradient, cg->active_idx, 0.0);CHKERRQ(ierr); 117ac9112b8SAlp Dener ierr = VecNorm(tao->gradient,NORM_2,&gnorm);CHKERRQ(ierr); 118ac9112b8SAlp Dener gnorm2 = gnorm*gnorm; 119ac9112b8SAlp Dener 120ac9112b8SAlp Dener /* Convergence check */ 121e031d6f5SAlp Dener tao->niter = 0; 122ac9112b8SAlp Dener tao->reason = TAO_CONTINUE_ITERATING; 12389da521bSAlp Dener ierr = TaoLogConvergenceHistory(tao, cg->f, gnorm, 0.0, tao->ksp_its);CHKERRQ(ierr); 12489da521bSAlp Dener ierr = TaoMonitor(tao, tao->niter, cg->f, gnorm, 0.0, step);CHKERRQ(ierr); 125ac9112b8SAlp Dener ierr = (*tao->ops->convergencetest)(tao,tao->cnvP);CHKERRQ(ierr); 126ac9112b8SAlp Dener if (tao->reason != TAO_CONTINUE_ITERATING) PetscFunctionReturn(0); 127ac9112b8SAlp Dener 128ac9112b8SAlp Dener /* Start optimization iterations */ 129e031d6f5SAlp Dener cg->ls_fails = cg->broken_ortho = cg->descent_error = 0; 130ac9112b8SAlp Dener cg->resets = -1; 131ac9112b8SAlp Dener while (tao->reason == TAO_CONTINUE_ITERATING) { 132c4b75bccSAlp Dener ++tao->niter; 13389da521bSAlp Dener 13489da521bSAlp Dener /* Check restart conditions for using steepest descent */ 135ac9112b8SAlp Dener cg_restart = PETSC_FALSE; 136ac9112b8SAlp Dener ierr = VecDot(tao->gradient, cg->G_old, &ginner);CHKERRQ(ierr); 137937a31a1SAlp Dener ierr = VecNorm(tao->stepdirection, NORM_2, &dnorm);CHKERRQ(ierr); 138c4b75bccSAlp Dener if (tao->niter == 1 && !cg->recycle && dnorm != 0.0) { 139937a31a1SAlp Dener /* 1) First iteration, with recycle disabled, and a non-zero previous step */ 140ac9112b8SAlp Dener cg_restart = PETSC_TRUE; 141ac9112b8SAlp Dener } else if (PetscAbsScalar(ginner) >= cg->eta * gnorm2) { 142ac9112b8SAlp Dener /* 2) Gradients are far from orthogonal */ 143ac9112b8SAlp Dener cg_restart = PETSC_TRUE; 144c4b75bccSAlp Dener ++cg->broken_ortho; 145ac9112b8SAlp Dener } 146ac9112b8SAlp Dener 147ac9112b8SAlp Dener /* Compute CG step */ 148ac9112b8SAlp Dener if (cg_restart) { 149ac9112b8SAlp Dener beta = 0.0; 150c4b75bccSAlp Dener ++cg->resets; 151ac9112b8SAlp Dener } else { 152ac9112b8SAlp Dener switch (cg->cg_type) { 153ac9112b8SAlp Dener case CG_FletcherReeves: 154ac9112b8SAlp Dener beta = gnorm2 / gnorm2_old; 155ac9112b8SAlp Dener break; 156ac9112b8SAlp Dener 157ac9112b8SAlp Dener case CG_PolakRibiere: 158ac9112b8SAlp Dener beta = (gnorm2 - ginner) / gnorm2_old; 159ac9112b8SAlp Dener break; 160ac9112b8SAlp Dener 161ac9112b8SAlp Dener case CG_PolakRibierePlus: 162ac9112b8SAlp Dener beta = PetscMax((gnorm2-ginner)/gnorm2_old, 0.0); 163ac9112b8SAlp Dener break; 164ac9112b8SAlp Dener 165ac9112b8SAlp Dener case CG_HestenesStiefel: 166ac9112b8SAlp Dener ierr = VecDot(tao->gradient, tao->stepdirection, &gd);CHKERRQ(ierr); 167ac9112b8SAlp Dener ierr = VecDot(cg->G_old, tao->stepdirection, &gd_old);CHKERRQ(ierr); 168ac9112b8SAlp Dener beta = (gnorm2 - ginner) / (gd - gd_old); 169ac9112b8SAlp Dener break; 170ac9112b8SAlp Dener 171ac9112b8SAlp Dener case CG_DaiYuan: 172ac9112b8SAlp Dener ierr = VecDot(tao->gradient, tao->stepdirection, &gd);CHKERRQ(ierr); 173ac9112b8SAlp Dener ierr = VecDot(cg->G_old, tao->stepdirection, &gd_old);CHKERRQ(ierr); 174ac9112b8SAlp Dener beta = gnorm2 / (gd - gd_old); 175ac9112b8SAlp Dener break; 176ac9112b8SAlp Dener 177*560169d0SAlp Dener case CG_GradientDescent: 178*560169d0SAlp Dener beta = 0.0; 179*560169d0SAlp Dener break; 180*560169d0SAlp Dener 181ac9112b8SAlp Dener default: 182ac9112b8SAlp Dener beta = 0.0; 183ac9112b8SAlp Dener break; 184ac9112b8SAlp Dener } 185ac9112b8SAlp Dener } 186ac9112b8SAlp Dener 187ac9112b8SAlp Dener /* Compute the direction d=-g + beta*d */ 188ac9112b8SAlp Dener ierr = VecAXPBY(tao->stepdirection, -1.0, beta, tao->gradient);CHKERRQ(ierr); 189a1318120SAlp Dener ierr = TaoBNCGBoundStep(tao, cg->as_type, tao->stepdirection);CHKERRQ(ierr); 19089da521bSAlp Dener 191*560169d0SAlp Dener if (cg->cg_type != CG_GradientDescent) { 19289da521bSAlp Dener /* Figure out which previously active variables became inactive this iteration */ 19361be54a6SAlp Dener ierr = ISDestroy(&cg->new_inactives);CHKERRQ(ierr); 19489da521bSAlp Dener if (cg->inactive_idx && cg->inactive_old) { 1950b7db9bbSAlp Dener ierr = ISDifference(cg->inactive_idx, cg->inactive_old, &cg->new_inactives);CHKERRQ(ierr); 19689da521bSAlp Dener } 19789da521bSAlp Dener 19889da521bSAlp Dener /* Selectively reset the CG step those freshly inactive variables */ 1997529f6b4SAlp Dener if (cg->new_inactives) { 20061be54a6SAlp Dener ierr = VecGetSubVector(tao->stepdirection, cg->new_inactives, &cg->inactive_step);CHKERRQ(ierr); 20189da521bSAlp Dener ierr = VecGetSubVector(cg->unprojected_gradient, cg->new_inactives, &cg->inactive_grad);CHKERRQ(ierr); 20261be54a6SAlp Dener ierr = VecCopy(cg->inactive_grad, cg->inactive_step);CHKERRQ(ierr); 20361be54a6SAlp Dener ierr = VecScale(cg->inactive_step, -1.0);CHKERRQ(ierr); 20461be54a6SAlp Dener ierr = VecRestoreSubVector(tao->stepdirection, cg->new_inactives, &cg->inactive_step);CHKERRQ(ierr); 20589da521bSAlp Dener ierr = VecRestoreSubVector(cg->unprojected_gradient, cg->new_inactives, &cg->inactive_grad);CHKERRQ(ierr); 2067529f6b4SAlp Dener } 207ac9112b8SAlp Dener 208ac9112b8SAlp Dener /* Verify that this is a descent direction */ 209ac9112b8SAlp Dener ierr = VecDot(tao->gradient, tao->stepdirection, &gd);CHKERRQ(ierr); 210*560169d0SAlp Dener ierr = VecNorm(tao->stepdirection, NORM_2, &dnorm); 211ac9112b8SAlp Dener if (gd > -cg->rho*PetscPowReal(dnorm, cg->pow)) { 212ac9112b8SAlp Dener /* Not a descent direction, so we reset back to projected gradient descent */ 213ac9112b8SAlp Dener ierr = VecAXPBY(tao->stepdirection, -1.0, 0.0, tao->gradient);CHKERRQ(ierr); 214*560169d0SAlp Dener ierr = TaoBNCGBoundStep(tao, cg->as_type, tao->stepdirection);CHKERRQ(ierr); 215c4b75bccSAlp Dener ++cg->resets; 216c4b75bccSAlp Dener ++cg->descent_error; 217*560169d0SAlp Dener gd_fallback = PETSC_TRUE; 218*560169d0SAlp Dener } else { 219*560169d0SAlp Dener gd_fallback = PETSC_FALSE; 220*560169d0SAlp Dener } 221ac9112b8SAlp Dener } 222ac9112b8SAlp Dener 223ac9112b8SAlp Dener /* Store solution and gradient info before it changes */ 224ac9112b8SAlp Dener ierr = VecCopy(tao->solution, cg->X_old);CHKERRQ(ierr); 225ac9112b8SAlp Dener ierr = VecCopy(tao->gradient, cg->G_old);CHKERRQ(ierr); 226ac9112b8SAlp Dener ierr = VecCopy(cg->unprojected_gradient, cg->unprojected_gradient_old);CHKERRQ(ierr); 227ac9112b8SAlp Dener gnorm2_old = gnorm2; 228c0f10754SAlp Dener f_old = cg->f; 229ac9112b8SAlp Dener 230ac9112b8SAlp Dener /* Perform bounded line search */ 231c0f10754SAlp Dener ierr = TaoLineSearchApply(tao->linesearch, tao->solution, &cg->f, cg->unprojected_gradient, tao->stepdirection, &step, &ls_status);CHKERRQ(ierr); 232ac9112b8SAlp Dener ierr = TaoAddLineSearchCounts(tao);CHKERRQ(ierr); 233ac9112b8SAlp Dener 234ac9112b8SAlp Dener /* Check linesearch failure */ 235ac9112b8SAlp Dener if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { 236c4b75bccSAlp Dener ++cg->ls_fails; 237ac9112b8SAlp Dener /* Restore previous point */ 238ac9112b8SAlp Dener gnorm2 = gnorm2_old; 239c0f10754SAlp Dener cg->f = f_old; 240ac9112b8SAlp Dener ierr = VecCopy(cg->X_old, tao->solution);CHKERRQ(ierr); 241ac9112b8SAlp Dener ierr = VecCopy(cg->G_old, tao->gradient);CHKERRQ(ierr); 242ac9112b8SAlp Dener ierr = VecCopy(cg->unprojected_gradient_old, cg->unprojected_gradient);CHKERRQ(ierr); 243ac9112b8SAlp Dener 244*560169d0SAlp Dener if (cg->cg_type == CG_GradientDescent || gd_fallback){ 245*560169d0SAlp Dener /* Nothing left to do but fail out of the optimization */ 246*560169d0SAlp Dener step = 0.0; 247*560169d0SAlp Dener tao->reason = TAO_DIVERGED_LS_FAILURE; 248*560169d0SAlp Dener } else { 249*560169d0SAlp Dener /* Fall back on the unscaled gradient step */ 25061be54a6SAlp Dener ierr = VecCopy(tao->gradient, tao->stepdirection);CHKERRQ(ierr); 251ac9112b8SAlp Dener ierr = VecScale(tao->stepdirection, -1.0);CHKERRQ(ierr); 252a1318120SAlp Dener ierr = TaoBNCGBoundStep(tao, cg->as_type, tao->stepdirection);CHKERRQ(ierr); 253*560169d0SAlp Dener 254*560169d0SAlp Dener ierr = TaoLineSearchSetInitialStepLength(tao->linesearch, 1.0);CHKERRQ(ierr); 255c0f10754SAlp Dener ierr = TaoLineSearchApply(tao->linesearch, tao->solution, &cg->f, cg->unprojected_gradient, tao->stepdirection, &step, &ls_status);CHKERRQ(ierr); 256ac9112b8SAlp Dener ierr = TaoAddLineSearchCounts(tao);CHKERRQ(ierr); 257ac9112b8SAlp Dener 258ac9112b8SAlp Dener if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER){ 259*560169d0SAlp Dener cg->ls_fails++; 260ac9112b8SAlp Dener /* Restore previous point */ 261ac9112b8SAlp Dener gnorm2 = gnorm2_old; 262c0f10754SAlp Dener cg->f = f_old; 263ac9112b8SAlp Dener ierr = VecCopy(cg->X_old, tao->solution);CHKERRQ(ierr); 264ac9112b8SAlp Dener ierr = VecCopy(cg->G_old, tao->gradient);CHKERRQ(ierr); 265ac9112b8SAlp Dener ierr = VecCopy(cg->unprojected_gradient_old, cg->unprojected_gradient);CHKERRQ(ierr); 266ac9112b8SAlp Dener 267ac9112b8SAlp Dener /* Nothing left to do but fail out of the optimization */ 268ac9112b8SAlp Dener step = 0.0; 269ac9112b8SAlp Dener tao->reason = TAO_DIVERGED_LS_FAILURE; 270ac9112b8SAlp Dener } 271ac9112b8SAlp Dener } 272*560169d0SAlp Dener } 273ac9112b8SAlp Dener 274c4b75bccSAlp Dener if (tao->reason != TAO_DIVERGED_LS_FAILURE) { 27561be54a6SAlp Dener /* Estimate the active set at the new solution */ 27661be54a6SAlp Dener ierr = TaoBNCGEstimateActiveSet(tao, cg->as_type);CHKERRQ(ierr); 27761be54a6SAlp Dener 278ac9112b8SAlp Dener /* Compute the projected gradient and its norm */ 27961be54a6SAlp Dener ierr = VecCopy(cg->unprojected_gradient, tao->gradient);CHKERRQ(ierr); 28061be54a6SAlp Dener ierr = VecISSet(tao->gradient, cg->active_idx, 0.0);CHKERRQ(ierr); 281ac9112b8SAlp Dener ierr = VecNorm(tao->gradient,NORM_2,&gnorm);CHKERRQ(ierr); 282ac9112b8SAlp Dener gnorm2 = gnorm*gnorm; 283c4b75bccSAlp Dener } 284ac9112b8SAlp Dener 285ac9112b8SAlp Dener /* Convergence test */ 28661be54a6SAlp Dener ierr = VecFischer(tao->solution, cg->unprojected_gradient, tao->XL, tao->XU, cg->W);CHKERRQ(ierr); 28761be54a6SAlp Dener ierr = VecNorm(cg->W, NORM_2, &resnorm);CHKERRQ(ierr); 288b4a30f08SAlp Dener if (PetscIsInfOrNanReal(resnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf or NaN"); 28961be54a6SAlp Dener ierr = TaoLogConvergenceHistory(tao, cg->f, resnorm, 0.0, tao->ksp_its);CHKERRQ(ierr); 29061be54a6SAlp Dener ierr = TaoMonitor(tao, tao->niter, cg->f, resnorm, 0.0, step);CHKERRQ(ierr); 291ac9112b8SAlp Dener ierr = (*tao->ops->convergencetest)(tao,tao->cnvP);CHKERRQ(ierr); 292ac9112b8SAlp Dener } 293ac9112b8SAlp Dener PetscFunctionReturn(0); 294ac9112b8SAlp Dener } 295ac9112b8SAlp Dener 296ac9112b8SAlp Dener static PetscErrorCode TaoSetUp_BNCG(Tao tao) 297ac9112b8SAlp Dener { 298ac9112b8SAlp Dener TAO_BNCG *cg = (TAO_BNCG*)tao->data; 299ac9112b8SAlp Dener PetscErrorCode ierr; 300ac9112b8SAlp Dener 301ac9112b8SAlp Dener PetscFunctionBegin; 302c4b75bccSAlp Dener if (!tao->gradient) { 303c4b75bccSAlp Dener ierr = VecDuplicate(tao->solution,&tao->gradient);CHKERRQ(ierr); 304c4b75bccSAlp Dener } 305c4b75bccSAlp Dener if (!tao->stepdirection) { 306c4b75bccSAlp Dener ierr = VecDuplicate(tao->solution,&tao->stepdirection);CHKERRQ(ierr); 307c4b75bccSAlp Dener } 308c4b75bccSAlp Dener if (!cg->W) { 309c4b75bccSAlp Dener ierr = VecDuplicate(tao->solution,&cg->W);CHKERRQ(ierr); 310c4b75bccSAlp Dener } 311c4b75bccSAlp Dener if (!cg->work) { 312c4b75bccSAlp Dener ierr = VecDuplicate(tao->solution,&cg->work);CHKERRQ(ierr); 313c4b75bccSAlp Dener } 314c4b75bccSAlp Dener if (!cg->X_old) { 315c4b75bccSAlp Dener ierr = VecDuplicate(tao->solution,&cg->X_old);CHKERRQ(ierr); 316c4b75bccSAlp Dener } 317c4b75bccSAlp Dener if (!cg->G_old) { 318c4b75bccSAlp Dener ierr = VecDuplicate(tao->gradient,&cg->G_old);CHKERRQ(ierr); 319c4b75bccSAlp Dener } 320c4b75bccSAlp Dener if (!cg->unprojected_gradient) { 321c4b75bccSAlp Dener ierr = VecDuplicate(tao->gradient,&cg->unprojected_gradient);CHKERRQ(ierr); 322c4b75bccSAlp Dener } 323c4b75bccSAlp Dener if (!cg->unprojected_gradient_old) { 324c4b75bccSAlp Dener ierr = VecDuplicate(tao->gradient,&cg->unprojected_gradient_old);CHKERRQ(ierr); 325c4b75bccSAlp Dener } 326ac9112b8SAlp Dener PetscFunctionReturn(0); 327ac9112b8SAlp Dener } 328ac9112b8SAlp Dener 329ac9112b8SAlp Dener static PetscErrorCode TaoDestroy_BNCG(Tao tao) 330ac9112b8SAlp Dener { 331ac9112b8SAlp Dener TAO_BNCG *cg = (TAO_BNCG*) tao->data; 332ac9112b8SAlp Dener PetscErrorCode ierr; 333ac9112b8SAlp Dener 334ac9112b8SAlp Dener PetscFunctionBegin; 335ac9112b8SAlp Dener if (tao->setupcalled) { 33661be54a6SAlp Dener ierr = VecDestroy(&cg->W);CHKERRQ(ierr); 337c4b75bccSAlp Dener ierr = VecDestroy(&cg->work);CHKERRQ(ierr); 338ac9112b8SAlp Dener ierr = VecDestroy(&cg->X_old);CHKERRQ(ierr); 339ac9112b8SAlp Dener ierr = VecDestroy(&cg->G_old);CHKERRQ(ierr); 340ac9112b8SAlp Dener ierr = VecDestroy(&cg->unprojected_gradient);CHKERRQ(ierr); 341ac9112b8SAlp Dener ierr = VecDestroy(&cg->unprojected_gradient_old);CHKERRQ(ierr); 342ac9112b8SAlp Dener } 343ca964c49SAlp Dener ierr = ISDestroy(&cg->active_lower);CHKERRQ(ierr); 344ca964c49SAlp Dener ierr = ISDestroy(&cg->active_upper);CHKERRQ(ierr); 345ca964c49SAlp Dener ierr = ISDestroy(&cg->active_fixed);CHKERRQ(ierr); 346ca964c49SAlp Dener ierr = ISDestroy(&cg->active_idx);CHKERRQ(ierr); 347ca964c49SAlp Dener ierr = ISDestroy(&cg->inactive_idx);CHKERRQ(ierr); 348ca964c49SAlp Dener ierr = ISDestroy(&cg->inactive_old);CHKERRQ(ierr); 349ca964c49SAlp Dener ierr = ISDestroy(&cg->new_inactives);CHKERRQ(ierr); 350ac9112b8SAlp Dener ierr = PetscFree(tao->data);CHKERRQ(ierr); 351ac9112b8SAlp Dener PetscFunctionReturn(0); 352ac9112b8SAlp Dener } 353ac9112b8SAlp Dener 354ac9112b8SAlp Dener static PetscErrorCode TaoSetFromOptions_BNCG(PetscOptionItems *PetscOptionsObject,Tao tao) 355ac9112b8SAlp Dener { 356ac9112b8SAlp Dener TAO_BNCG *cg = (TAO_BNCG*)tao->data; 357ac9112b8SAlp Dener PetscErrorCode ierr; 358ac9112b8SAlp Dener 359ac9112b8SAlp Dener PetscFunctionBegin; 360ac9112b8SAlp Dener ierr = TaoLineSearchSetFromOptions(tao->linesearch);CHKERRQ(ierr); 361ac9112b8SAlp Dener ierr = PetscOptionsHead(PetscOptionsObject,"Nonlinear Conjugate Gradient method for unconstrained optimization");CHKERRQ(ierr); 36261be54a6SAlp Dener ierr = PetscOptionsReal("-tao_bncg_eta","restart tolerance", "", cg->eta,&cg->eta,NULL);CHKERRQ(ierr); 36361be54a6SAlp Dener ierr = PetscOptionsReal("-tao_bncg_rho","descent direction tolerance", "", cg->rho,&cg->rho,NULL);CHKERRQ(ierr); 36461be54a6SAlp Dener ierr = PetscOptionsReal("-tao_bncg_pow","descent direction exponent", "", cg->pow,&cg->pow,NULL);CHKERRQ(ierr); 36561be54a6SAlp Dener ierr = PetscOptionsEList("-tao_bncg_type","cg formula", "", CG_Table, CG_Types, CG_Table[cg->cg_type], &cg->cg_type,NULL);CHKERRQ(ierr); 36661be54a6SAlp Dener ierr = PetscOptionsEList("-tao_bncg_as_type","active set estimation method", "", CG_AS_TYPE, CG_AS_SIZE, CG_AS_TYPE[cg->cg_type], &cg->cg_type,NULL);CHKERRQ(ierr); 36761be54a6SAlp Dener ierr = PetscOptionsBool("-tao_bncg_recycle","enable recycling the existing solution and gradient at the start of a new solve","",cg->recycle,&cg->recycle,NULL);CHKERRQ(ierr); 36861be54a6SAlp Dener ierr = PetscOptionsReal("-tao_bncg_as_tol", "initial tolerance used when estimating actively bounded variables","",cg->as_tol,&cg->as_tol,NULL);CHKERRQ(ierr); 36961be54a6SAlp Dener ierr = PetscOptionsReal("-tao_bncg_as_step", "step length used when estimating actively bounded variables","",cg->as_step,&cg->as_step,NULL);CHKERRQ(ierr); 370ac9112b8SAlp Dener ierr = PetscOptionsTail();CHKERRQ(ierr); 371ac9112b8SAlp Dener PetscFunctionReturn(0); 372ac9112b8SAlp Dener } 373ac9112b8SAlp Dener 374ac9112b8SAlp Dener static PetscErrorCode TaoView_BNCG(Tao tao, PetscViewer viewer) 375ac9112b8SAlp Dener { 376ac9112b8SAlp Dener PetscBool isascii; 377ac9112b8SAlp Dener TAO_BNCG *cg = (TAO_BNCG*)tao->data; 378ac9112b8SAlp Dener PetscErrorCode ierr; 379ac9112b8SAlp Dener 380ac9112b8SAlp Dener PetscFunctionBegin; 381ac9112b8SAlp Dener ierr = PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii);CHKERRQ(ierr); 382ac9112b8SAlp Dener if (isascii) { 383ac9112b8SAlp Dener ierr = PetscViewerASCIIPushTab(viewer);CHKERRQ(ierr); 384ac9112b8SAlp Dener ierr = PetscViewerASCIIPrintf(viewer, "CG Type: %s\n", CG_Table[cg->cg_type]);CHKERRQ(ierr); 385ac9112b8SAlp Dener ierr = PetscViewerASCIIPrintf(viewer, "Resets: %i\n", cg->resets);CHKERRQ(ierr); 386ac9112b8SAlp Dener ierr = PetscViewerASCIIPrintf(viewer, " Broken ortho: %i\n", cg->broken_ortho);CHKERRQ(ierr); 387ac9112b8SAlp Dener ierr = PetscViewerASCIIPrintf(viewer, " Not a descent dir.: %i\n", cg->descent_error);CHKERRQ(ierr); 388ac9112b8SAlp Dener ierr = PetscViewerASCIIPrintf(viewer, "Line search fails: %i\n", cg->ls_fails);CHKERRQ(ierr); 389ac9112b8SAlp Dener ierr = PetscViewerASCIIPopTab(viewer);CHKERRQ(ierr); 390ac9112b8SAlp Dener } 391ac9112b8SAlp Dener PetscFunctionReturn(0); 392ac9112b8SAlp Dener } 393ac9112b8SAlp Dener 394ac9112b8SAlp Dener /*MC 395ac9112b8SAlp Dener TAOBNCG - Bound-constrained Nonlinear Conjugate Gradient method. 396ac9112b8SAlp Dener 397ac9112b8SAlp Dener Options Database Keys: 398c4b75bccSAlp Dener + -tao_bncg_recycle - enable recycling the latest calculated gradient vector in subsequent TaoSolve() calls 399c4b75bccSAlp Dener . -tao_bncg_eta <r> - restart tolerance 40061be54a6SAlp Dener . -tao_bncg_type <taocg_type> - cg formula 401c4b75bccSAlp Dener . -tao_bncg_as_type <none,bertsekas> - active set estimation method 402c4b75bccSAlp Dener . -tao_bncg_as_tol <r> - tolerance used in Bertsekas active-set estimation 403c4b75bccSAlp Dener . -tao_bncg_as_step <r> - trial step length used in Bertsekas active-set estimation 404ac9112b8SAlp Dener 405ac9112b8SAlp Dener Notes: 406ac9112b8SAlp Dener CG formulas are: 407ac9112b8SAlp Dener "fr" - Fletcher-Reeves 408ac9112b8SAlp Dener "pr" - Polak-Ribiere 409ac9112b8SAlp Dener "prp" - Polak-Ribiere-Plus 410ac9112b8SAlp Dener "hs" - Hestenes-Steifel 411ac9112b8SAlp Dener "dy" - Dai-Yuan 412*560169d0SAlp Dener "gd" - Gradient Descent 413ac9112b8SAlp Dener Level: beginner 414ac9112b8SAlp Dener M*/ 415ac9112b8SAlp Dener 416ac9112b8SAlp Dener 417ac9112b8SAlp Dener PETSC_EXTERN PetscErrorCode TaoCreate_BNCG(Tao tao) 418ac9112b8SAlp Dener { 419ac9112b8SAlp Dener TAO_BNCG *cg; 420ac9112b8SAlp Dener const char *morethuente_type = TAOLINESEARCHMT; 421ac9112b8SAlp Dener PetscErrorCode ierr; 422ac9112b8SAlp Dener 423ac9112b8SAlp Dener PetscFunctionBegin; 424ac9112b8SAlp Dener tao->ops->setup = TaoSetUp_BNCG; 425ac9112b8SAlp Dener tao->ops->solve = TaoSolve_BNCG; 426ac9112b8SAlp Dener tao->ops->view = TaoView_BNCG; 427ac9112b8SAlp Dener tao->ops->setfromoptions = TaoSetFromOptions_BNCG; 428ac9112b8SAlp Dener tao->ops->destroy = TaoDestroy_BNCG; 429ac9112b8SAlp Dener 430ac9112b8SAlp Dener /* Override default settings (unless already changed) */ 431ac9112b8SAlp Dener if (!tao->max_it_changed) tao->max_it = 2000; 432ac9112b8SAlp Dener if (!tao->max_funcs_changed) tao->max_funcs = 4000; 433ac9112b8SAlp Dener 434ac9112b8SAlp Dener /* Note: nondefault values should be used for nonlinear conjugate gradient */ 435ac9112b8SAlp Dener /* method. In particular, gtol should be less that 0.5; the value used in */ 436ac9112b8SAlp Dener /* Nocedal and Wright is 0.10. We use the default values for the */ 437ac9112b8SAlp Dener /* linesearch because it seems to work better. */ 438ac9112b8SAlp Dener ierr = TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch);CHKERRQ(ierr); 439ac9112b8SAlp Dener ierr = PetscObjectIncrementTabLevel((PetscObject)tao->linesearch, (PetscObject)tao, 1);CHKERRQ(ierr); 440ac9112b8SAlp Dener ierr = TaoLineSearchSetType(tao->linesearch, morethuente_type);CHKERRQ(ierr); 441ac9112b8SAlp Dener ierr = TaoLineSearchUseTaoRoutines(tao->linesearch, tao);CHKERRQ(ierr); 442ac9112b8SAlp Dener ierr = TaoLineSearchSetOptionsPrefix(tao->linesearch,tao->hdr.prefix);CHKERRQ(ierr); 443ac9112b8SAlp Dener 444ac9112b8SAlp Dener ierr = PetscNewLog(tao,&cg);CHKERRQ(ierr); 445ac9112b8SAlp Dener tao->data = (void*)cg; 446ac9112b8SAlp Dener cg->rho = 1e-4; 447ac9112b8SAlp Dener cg->pow = 2.1; 448ac9112b8SAlp Dener cg->eta = 0.5; 44961be54a6SAlp Dener cg->as_step = 0.001; 45061be54a6SAlp Dener cg->as_tol = 0.001; 45161be54a6SAlp Dener cg->as_type = CG_AS_BERTSEKAS; 452ac9112b8SAlp Dener cg->cg_type = CG_DaiYuan; 453c0f10754SAlp Dener cg->recycle = PETSC_FALSE; 454ac9112b8SAlp Dener PetscFunctionReturn(0); 455ac9112b8SAlp Dener } 456