xref: /petsc/src/tao/linesearch/impls/morethuente/morethuente.c (revision 2a0dac0797dfdf4a2942fb34b57c2a93ae7a8c7a)
1af0996ceSBarry Smith #include <petsc/private/taolinesearchimpl.h>
2aaa7dc30SBarry Smith #include <../src/tao/linesearch/impls/morethuente/morethuente.h>
3a7e14dcfSSatish Balay 
4a7e14dcfSSatish Balay /*
5a7e14dcfSSatish Balay    This algorithm is taken from More' and Thuente, "Line search algorithms
6a7e14dcfSSatish Balay    with guaranteed sufficient decrease", Argonne National Laboratory,
7a7e14dcfSSatish Balay    Technical Report MCS-P330-1092.
8a7e14dcfSSatish Balay */
9a7e14dcfSSatish Balay 
1053506e15SBarry Smith static PetscErrorCode Tao_mcstep(TaoLineSearch ls,PetscReal *stx,PetscReal *fx,PetscReal *dx,PetscReal *sty,PetscReal *fy,PetscReal *dy,PetscReal *stp,PetscReal *fp,PetscReal *dp);
11a7e14dcfSSatish Balay 
12a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchDestroy_MT(TaoLineSearch ls)
13a7e14dcfSSatish Balay {
14a7e14dcfSSatish Balay   PetscErrorCode   ierr;
158caf6e8cSBarry Smith   TaoLineSearch_MT *mt;
1653506e15SBarry Smith 
17a7e14dcfSSatish Balay   PetscFunctionBegin;
18a7e14dcfSSatish Balay   PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1);
198caf6e8cSBarry Smith   mt = (TaoLineSearch_MT*)(ls->data);
20a7e14dcfSSatish Balay   if (mt->x) {
21a7e14dcfSSatish Balay     ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr);
22a7e14dcfSSatish Balay   }
23a7e14dcfSSatish Balay   ierr = VecDestroy(&mt->work);CHKERRQ(ierr);
24302440fdSBarry Smith   ierr = PetscFree(ls->data);CHKERRQ(ierr);
25a7e14dcfSSatish Balay   PetscFunctionReturn(0);
26a7e14dcfSSatish Balay }
27a7e14dcfSSatish Balay 
284416b707SBarry Smith static PetscErrorCode TaoLineSearchSetFromOptions_MT(PetscOptionItems *PetscOptionsObject,TaoLineSearch ls)
29a7e14dcfSSatish Balay {
30a7e14dcfSSatish Balay   PetscFunctionBegin;
31a7e14dcfSSatish Balay   PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1);
32a7e14dcfSSatish Balay   PetscFunctionReturn(0);
33a7e14dcfSSatish Balay }
34a7e14dcfSSatish Balay 
35*2a0dac07SAlp Dener static PetscErrorCode TaoLineSearchMonitor_MT(TaoLineSearch ls)
36*2a0dac07SAlp Dener {
37*2a0dac07SAlp Dener   TaoLineSearch_MT *mt = (TaoLineSearch_MT*)ls->data;
38*2a0dac07SAlp Dener   PetscErrorCode   ierr;
39*2a0dac07SAlp Dener 
40*2a0dac07SAlp Dener   PetscFunctionBegin;
41*2a0dac07SAlp Dener   ierr = PetscViewerASCIIPrintf(ls->viewer, "stx: %g, fx: %g, dgx: %g\n", (double)mt->stx, (double)mt->fx, (double)mt->dgx);CHKERRQ(ierr);
42*2a0dac07SAlp Dener   ierr = PetscViewerASCIIPrintf(ls->viewer, "sty: %g, fy: %g, dgy: %g\n", (double)mt->sty, (double)mt->fy, (double)mt->dgy);CHKERRQ(ierr);
43*2a0dac07SAlp Dener   PetscFunctionReturn(0);
44*2a0dac07SAlp Dener }
45a7e14dcfSSatish Balay 
46a7e14dcfSSatish Balay /* @ TaoApply_LineSearch - This routine takes step length of 1.0.
47a7e14dcfSSatish Balay 
48a7e14dcfSSatish Balay    Input Parameters:
49441846f8SBarry Smith +  tao - Tao context
50a7e14dcfSSatish Balay .  X - current iterate (on output X contains new iterate, X + step*S)
51a7e14dcfSSatish Balay .  f - objective function evaluated at X
52a7e14dcfSSatish Balay .  G - gradient evaluated at X
53a7e14dcfSSatish Balay -  D - search direction
54a7e14dcfSSatish Balay 
55a7e14dcfSSatish Balay 
56a7e14dcfSSatish Balay    Info is set to 0.
57a7e14dcfSSatish Balay 
58a7e14dcfSSatish Balay @ */
59a7e14dcfSSatish Balay 
60a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchApply_MT(TaoLineSearch ls, Vec x, PetscReal *f, Vec g, Vec s)
61a7e14dcfSSatish Balay {
62a7e14dcfSSatish Balay   PetscErrorCode   ierr;
638caf6e8cSBarry Smith   TaoLineSearch_MT *mt;
64a7e14dcfSSatish Balay 
65a7e14dcfSSatish Balay   PetscReal        xtrapf = 4.0;
66a7e14dcfSSatish Balay   PetscReal        finit, width, width1, dginit, fm, fxm, fym, dgm, dgxm, dgym;
67a7e14dcfSSatish Balay   PetscReal        dgx, dgy, dg, dg2, fx, fy, stx, sty, dgtest;
68a7e14dcfSSatish Balay   PetscReal        ftest1=0.0, ftest2=0.0;
69a7e14dcfSSatish Balay   PetscInt         i, stage1,n1,n2,nn1,nn2;
70a7e14dcfSSatish Balay   PetscReal        bstepmin1, bstepmin2, bstepmax;
7153506e15SBarry Smith   PetscBool        g_computed=PETSC_FALSE; /* to prevent extra gradient computation */
72a7e14dcfSSatish Balay 
73a7e14dcfSSatish Balay   PetscFunctionBegin;
74a7e14dcfSSatish Balay   PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1);
75a7e14dcfSSatish Balay   PetscValidHeaderSpecific(x,VEC_CLASSID,2);
76a7e14dcfSSatish Balay   PetscValidScalarPointer(f,3);
77a7e14dcfSSatish Balay   PetscValidHeaderSpecific(g,VEC_CLASSID,4);
78a7e14dcfSSatish Balay   PetscValidHeaderSpecific(s,VEC_CLASSID,5);
79a7e14dcfSSatish Balay 
80*2a0dac07SAlp Dener   ierr = TaoLineSearchMonitor(ls, 0, *f, 0.0);CHKERRQ(ierr);
81*2a0dac07SAlp Dener 
82a7e14dcfSSatish Balay   /* comm,type,size checks are done in interface TaoLineSearchApply */
838caf6e8cSBarry Smith   mt = (TaoLineSearch_MT*)(ls->data);
84a7e14dcfSSatish Balay   ls->reason = TAOLINESEARCH_CONTINUE_ITERATING;
85a7e14dcfSSatish Balay 
86a7e14dcfSSatish Balay   /* Check work vector */
87a7e14dcfSSatish Balay   if (!mt->work) {
88a7e14dcfSSatish Balay     ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr);
89a7e14dcfSSatish Balay     mt->x = x;
90a7e14dcfSSatish Balay     ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr);
9153506e15SBarry Smith   } else if (x != mt->x) {
92a7e14dcfSSatish Balay     ierr = VecDestroy(&mt->work);CHKERRQ(ierr);
93a7e14dcfSSatish Balay     ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr);
94a7e14dcfSSatish Balay     ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr);
95a7e14dcfSSatish Balay     mt->x = x;
96a7e14dcfSSatish Balay     ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr);
97a7e14dcfSSatish Balay   }
98a7e14dcfSSatish Balay 
99a7e14dcfSSatish Balay   if (ls->bounded) {
100a7e14dcfSSatish Balay     /* Compute step length needed to make all variables equal a bound */
101a7e14dcfSSatish Balay     /* Compute the smallest steplength that will make one nonbinding variable
102a7e14dcfSSatish Balay      equal the bound */
103a7e14dcfSSatish Balay     ierr = VecGetLocalSize(ls->upper,&n1);CHKERRQ(ierr);
104a7e14dcfSSatish Balay     ierr = VecGetLocalSize(mt->x, &n2);CHKERRQ(ierr);
105a7e14dcfSSatish Balay     ierr = VecGetSize(ls->upper,&nn1);CHKERRQ(ierr);
106a7e14dcfSSatish Balay     ierr = VecGetSize(mt->x,&nn2);CHKERRQ(ierr);
10753506e15SBarry Smith     if (n1 != n2 || nn1 != nn2) SETERRQ(PETSC_COMM_SELF,PETSC_ERR_ARG_SIZ,"Variable vector not compatible with bounds vector");
108a7e14dcfSSatish Balay     ierr = VecScale(s,-1.0);CHKERRQ(ierr);
109a7e14dcfSSatish Balay     ierr = VecBoundGradientProjection(s,x,ls->lower,ls->upper,s);CHKERRQ(ierr);
110a7e14dcfSSatish Balay     ierr = VecScale(s,-1.0);CHKERRQ(ierr);
111e270355aSBarry Smith     ierr = VecStepBoundInfo(x,s,ls->lower,ls->upper,&bstepmin1,&bstepmin2,&bstepmax);CHKERRQ(ierr);
112a7e14dcfSSatish Balay     ls->stepmax = PetscMin(bstepmax,1.0e15);
113a7e14dcfSSatish Balay   }
114a7e14dcfSSatish Balay 
115302440fdSBarry Smith   ierr = VecDot(g,s,&dginit);CHKERRQ(ierr);
116a7e14dcfSSatish Balay   if (PetscIsInfOrNanReal(dginit)) {
117f06e3bfaSBarry Smith     ierr = PetscInfo1(ls,"Initial Line Search step * g is Inf or Nan (%g)\n",(double)dginit);CHKERRQ(ierr);
118a7e14dcfSSatish Balay     ls->reason=TAOLINESEARCH_FAILED_INFORNAN;
119a7e14dcfSSatish Balay     PetscFunctionReturn(0);
120a7e14dcfSSatish Balay   }
121a7e14dcfSSatish Balay   if (dginit >= 0.0) {
122f06e3bfaSBarry Smith     ierr = PetscInfo1(ls,"Initial Line Search step * g is not descent direction (%g)\n",(double)dginit);CHKERRQ(ierr);
123a7e14dcfSSatish Balay     ls->reason = TAOLINESEARCH_FAILED_ASCENT;
124a7e14dcfSSatish Balay     PetscFunctionReturn(0);
125a7e14dcfSSatish Balay   }
126a7e14dcfSSatish Balay 
127a7e14dcfSSatish Balay   /* Initialization */
128a7e14dcfSSatish Balay   mt->bracket = 0;
129a7e14dcfSSatish Balay   stage1 = 1;
130a7e14dcfSSatish Balay   finit = *f;
131a7e14dcfSSatish Balay   dgtest = ls->ftol * dginit;
132a7e14dcfSSatish Balay   width = ls->stepmax - ls->stepmin;
133a7e14dcfSSatish Balay   width1 = width * 2.0;
134a7e14dcfSSatish Balay   ierr = VecCopy(x,mt->work);CHKERRQ(ierr);
135a7e14dcfSSatish Balay   /* Variable dictionary:
136a7e14dcfSSatish Balay    stx, fx, dgx - the step, function, and derivative at the best step
137a7e14dcfSSatish Balay    sty, fy, dgy - the step, function, and derivative at the other endpoint
138a7e14dcfSSatish Balay    of the interval of uncertainty
139a7e14dcfSSatish Balay    step, f, dg - the step, function, and derivative at the current step */
140a7e14dcfSSatish Balay 
141a7e14dcfSSatish Balay   stx = 0.0;
142a7e14dcfSSatish Balay   fx  = finit;
143a7e14dcfSSatish Balay   dgx = dginit;
144a7e14dcfSSatish Balay   sty = 0.0;
145a7e14dcfSSatish Balay   fy  = finit;
146a7e14dcfSSatish Balay   dgy = dginit;
147a7e14dcfSSatish Balay 
148a7e14dcfSSatish Balay   ls->step=ls->initstep;
149a7e14dcfSSatish Balay   for (i=0; i< ls->max_funcs; i++) {
150a7e14dcfSSatish Balay     /* Set min and max steps to correspond to the interval of uncertainty */
151a7e14dcfSSatish Balay     if (mt->bracket) {
152a7e14dcfSSatish Balay       ls->stepmin = PetscMin(stx,sty);
153a7e14dcfSSatish Balay       ls->stepmax = PetscMax(stx,sty);
15453506e15SBarry Smith     } else {
155a7e14dcfSSatish Balay       ls->stepmin = stx;
156a7e14dcfSSatish Balay       ls->stepmax = ls->step + xtrapf * (ls->step - stx);
157a7e14dcfSSatish Balay     }
158a7e14dcfSSatish Balay 
159a7e14dcfSSatish Balay     /* Force the step to be within the bounds */
160a7e14dcfSSatish Balay     ls->step = PetscMax(ls->step,ls->stepmin);
161a7e14dcfSSatish Balay     ls->step = PetscMin(ls->step,ls->stepmax);
162a7e14dcfSSatish Balay 
163a7e14dcfSSatish Balay     /* If an unusual termination is to occur, then let step be the lowest
164a7e14dcfSSatish Balay      point obtained thus far */
16553506e15SBarry Smith     if ((stx!=0) && (((mt->bracket) && (ls->step <= ls->stepmin || ls->step >= ls->stepmax)) || ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol * ls->stepmax)) ||
166a7e14dcfSSatish Balay                      ((ls->nfeval+ls->nfgeval) >= ls->max_funcs - 1) || (mt->infoc == 0))) {
167a7e14dcfSSatish Balay       ls->step = stx;
168a7e14dcfSSatish Balay     }
169a7e14dcfSSatish Balay 
170a7e14dcfSSatish Balay     ierr = VecCopy(x,mt->work);CHKERRQ(ierr);
171a7e14dcfSSatish Balay     ierr = VecAXPY(mt->work,ls->step,s);CHKERRQ(ierr);   /* W = X + step*S */
172a7e14dcfSSatish Balay 
173a7e14dcfSSatish Balay     if (ls->bounded) {
174a7e14dcfSSatish Balay       ierr = VecMedian(ls->lower, mt->work, ls->upper, mt->work);CHKERRQ(ierr);
175a7e14dcfSSatish Balay     }
176a7e14dcfSSatish Balay     if (ls->usegts) {
177a7e14dcfSSatish Balay       ierr = TaoLineSearchComputeObjectiveAndGTS(ls,mt->work,f,&dg);CHKERRQ(ierr);
178a7e14dcfSSatish Balay       g_computed=PETSC_FALSE;
179a7e14dcfSSatish Balay     } else {
180a7e14dcfSSatish Balay       ierr = TaoLineSearchComputeObjectiveAndGradient(ls,mt->work,f,g);CHKERRQ(ierr);
181a7e14dcfSSatish Balay       g_computed=PETSC_TRUE;
182a7e14dcfSSatish Balay       if (ls->bounded) {
183a7e14dcfSSatish Balay         ierr = VecDot(g,x,&dg);CHKERRQ(ierr);
184a7e14dcfSSatish Balay         ierr = VecDot(g,mt->work,&dg2);CHKERRQ(ierr);
185a7e14dcfSSatish Balay         dg = (dg2 - dg)/ls->step;
186a7e14dcfSSatish Balay       } else {
187a7e14dcfSSatish Balay         ierr = VecDot(g,s,&dg);CHKERRQ(ierr);
188a7e14dcfSSatish Balay       }
189a7e14dcfSSatish Balay     }
190a7e14dcfSSatish Balay 
191*2a0dac07SAlp Dener     /* Call the monitor */
192*2a0dac07SAlp Dener     mt->stx = stx;
193*2a0dac07SAlp Dener     mt->fx = fx;
194*2a0dac07SAlp Dener     mt->dgx = dgx;
195*2a0dac07SAlp Dener     mt->sty = sty;
196*2a0dac07SAlp Dener     mt->fy = fy;
197*2a0dac07SAlp Dener     mt->dgy = dgy;
198*2a0dac07SAlp Dener     ierr = TaoLineSearchMonitor(ls, i+1, *f, ls->step);CHKERRQ(ierr);
199*2a0dac07SAlp Dener 
200a7e14dcfSSatish Balay     if (0 == i) {
201a7e14dcfSSatish Balay       ls->f_fullstep=*f;
202a7e14dcfSSatish Balay     }
203a7e14dcfSSatish Balay 
204a7e14dcfSSatish Balay     if (PetscIsInfOrNanReal(*f) || PetscIsInfOrNanReal(dg)) {
205a7e14dcfSSatish Balay       /* User provided compute function generated Not-a-Number, assume
206a7e14dcfSSatish Balay        domain violation and set function value and directional
207a7e14dcfSSatish Balay        derivative to infinity. */
208e270355aSBarry Smith       *f = PETSC_INFINITY;
209e270355aSBarry Smith       dg = PETSC_INFINITY;
210a7e14dcfSSatish Balay     }
211a7e14dcfSSatish Balay 
212a7e14dcfSSatish Balay     ftest1 = finit + ls->step * dgtest;
213a7e14dcfSSatish Balay     if (ls->bounded) {
214a7e14dcfSSatish Balay       ftest2 = finit + ls->step * dgtest * ls->ftol;
215a7e14dcfSSatish Balay     }
216a7e14dcfSSatish Balay     /* Convergence testing */
21753506e15SBarry Smith     if (((*f - ftest1 <= 1.0e-10 * PetscAbsReal(finit)) &&  (PetscAbsReal(dg) + ls->gtol*dginit <= 0.0))) {
218a7e14dcfSSatish Balay       ierr = PetscInfo(ls, "Line search success: Sufficient decrease and directional deriv conditions hold\n");CHKERRQ(ierr);
219a7e14dcfSSatish Balay       ls->reason = TAOLINESEARCH_SUCCESS;
220a7e14dcfSSatish Balay       break;
221a7e14dcfSSatish Balay     }
222a7e14dcfSSatish Balay 
223a7e14dcfSSatish Balay     /* Check Armijo if beyond the first breakpoint */
224a7e14dcfSSatish Balay     if (ls->bounded && (*f <= ftest2) && (ls->step >= bstepmin2)) {
225a7e14dcfSSatish Balay       ierr = PetscInfo(ls,"Line search success: Sufficient decrease.\n");CHKERRQ(ierr);
2264e6ef68fSJason Sarich       ls->reason = TAOLINESEARCH_SUCCESS;
227a7e14dcfSSatish Balay       break;
228a7e14dcfSSatish Balay     }
229a7e14dcfSSatish Balay 
230a7e14dcfSSatish Balay     /* Checks for bad cases */
231a7e14dcfSSatish Balay     if (((mt->bracket) && (ls->step <= ls->stepmin||ls->step >= ls->stepmax)) || (!mt->infoc)) {
232a7e14dcfSSatish Balay       ierr = PetscInfo(ls,"Rounding errors may prevent further progress.  May not be a step satisfying\n");CHKERRQ(ierr);
233a7e14dcfSSatish Balay       ierr = PetscInfo(ls,"sufficient decrease and curvature conditions. Tolerances may be too small.\n");CHKERRQ(ierr);
234a7e14dcfSSatish Balay       ls->reason = TAOLINESEARCH_HALTED_OTHER;
235a7e14dcfSSatish Balay       break;
236a7e14dcfSSatish Balay     }
237a7e14dcfSSatish Balay     if ((ls->step == ls->stepmax) && (*f <= ftest1) && (dg <= dgtest)) {
238f06e3bfaSBarry Smith       ierr = PetscInfo1(ls,"Step is at the upper bound, stepmax (%g)\n",(double)ls->stepmax);CHKERRQ(ierr);
239a7e14dcfSSatish Balay       ls->reason = TAOLINESEARCH_HALTED_UPPERBOUND;
240a7e14dcfSSatish Balay       break;
241a7e14dcfSSatish Balay     }
242a7e14dcfSSatish Balay     if ((ls->step == ls->stepmin) && (*f >= ftest1) && (dg >= dgtest)) {
243f06e3bfaSBarry Smith       ierr = PetscInfo1(ls,"Step is at the lower bound, stepmin (%g)\n",(double)ls->stepmin);CHKERRQ(ierr);
244a7e14dcfSSatish Balay       ls->reason = TAOLINESEARCH_HALTED_LOWERBOUND;
245a7e14dcfSSatish Balay       break;
246a7e14dcfSSatish Balay     }
247a7e14dcfSSatish Balay     if ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol*ls->stepmax)){
248f06e3bfaSBarry Smith       ierr = PetscInfo1(ls,"Relative width of interval of uncertainty is at most rtol (%g)\n",(double)ls->rtol);CHKERRQ(ierr);
249a7e14dcfSSatish Balay       ls->reason = TAOLINESEARCH_HALTED_RTOL;
250a7e14dcfSSatish Balay       break;
251a7e14dcfSSatish Balay     }
252a7e14dcfSSatish Balay 
253a7e14dcfSSatish Balay     /* In the first stage, we seek a step for which the modified function
254a7e14dcfSSatish Balay      has a nonpositive value and nonnegative derivative */
255a7e14dcfSSatish Balay     if ((stage1) && (*f <= ftest1) && (dg >= dginit * PetscMin(ls->ftol, ls->gtol))) {
256a7e14dcfSSatish Balay       stage1 = 0;
257a7e14dcfSSatish Balay     }
258a7e14dcfSSatish Balay 
259a7e14dcfSSatish Balay     /* A modified function is used to predict the step only if we
260a7e14dcfSSatish Balay      have not obtained a step for which the modified function has a
261a7e14dcfSSatish Balay      nonpositive function value and nonnegative derivative, and if a
262a7e14dcfSSatish Balay      lower function value has been obtained but the decrease is not
263a7e14dcfSSatish Balay      sufficient */
264a7e14dcfSSatish Balay 
265a7e14dcfSSatish Balay     if ((stage1) && (*f <= fx) && (*f > ftest1)) {
266a7e14dcfSSatish Balay       fm   = *f - ls->step * dgtest;    /* Define modified function */
267a7e14dcfSSatish Balay       fxm  = fx - stx * dgtest;         /* and derivatives */
268a7e14dcfSSatish Balay       fym  = fy - sty * dgtest;
269a7e14dcfSSatish Balay       dgm  = dg - dgtest;
270a7e14dcfSSatish Balay       dgxm = dgx - dgtest;
271a7e14dcfSSatish Balay       dgym = dgy - dgtest;
272a7e14dcfSSatish Balay 
273a7e14dcfSSatish Balay       /* if (dgxm * (ls->step - stx) >= 0.0) */
274a7e14dcfSSatish Balay       /* Update the interval of uncertainty and compute the new step */
275a7e14dcfSSatish Balay       ierr = Tao_mcstep(ls,&stx,&fxm,&dgxm,&sty,&fym,&dgym,&ls->step,&fm,&dgm);CHKERRQ(ierr);
276a7e14dcfSSatish Balay 
277a7e14dcfSSatish Balay       fx  = fxm + stx * dgtest; /* Reset the function and */
278a7e14dcfSSatish Balay       fy  = fym + sty * dgtest; /* gradient values */
279a7e14dcfSSatish Balay       dgx = dgxm + dgtest;
280a7e14dcfSSatish Balay       dgy = dgym + dgtest;
28153506e15SBarry Smith     } else {
282a7e14dcfSSatish Balay       /* Update the interval of uncertainty and compute the new step */
283a7e14dcfSSatish Balay       ierr = Tao_mcstep(ls,&stx,&fx,&dgx,&sty,&fy,&dgy,&ls->step,f,&dg);CHKERRQ(ierr);
284a7e14dcfSSatish Balay     }
285a7e14dcfSSatish Balay 
286a7e14dcfSSatish Balay     /* Force a sufficient decrease in the interval of uncertainty */
287a7e14dcfSSatish Balay     if (mt->bracket) {
288a7e14dcfSSatish Balay       if (PetscAbsReal(sty - stx) >= 0.66 * width1) ls->step = stx + 0.5*(sty - stx);
289a7e14dcfSSatish Balay       width1 = width;
290a7e14dcfSSatish Balay       width = PetscAbsReal(sty - stx);
291a7e14dcfSSatish Balay     }
292a7e14dcfSSatish Balay   }
293a7e14dcfSSatish Balay   if ((ls->nfeval+ls->nfgeval) > ls->max_funcs) {
294a7e14dcfSSatish Balay     ierr = PetscInfo2(ls,"Number of line search function evals (%D) > maximum (%D)\n",(ls->nfeval+ls->nfgeval),ls->max_funcs);CHKERRQ(ierr);
295a7e14dcfSSatish Balay     ls->reason = TAOLINESEARCH_HALTED_MAXFCN;
296a7e14dcfSSatish Balay   }
297a7e14dcfSSatish Balay 
298a7e14dcfSSatish Balay   /* Finish computations */
299f06e3bfaSBarry Smith   ierr = PetscInfo2(ls,"%D function evals in line search, step = %g\n",(ls->nfeval+ls->nfgeval),(double)ls->step);CHKERRQ(ierr);
300a7e14dcfSSatish Balay 
301a7e14dcfSSatish Balay   /* Set new solution vector and compute gradient if needed */
302a7e14dcfSSatish Balay   ierr = VecCopy(mt->work,x);CHKERRQ(ierr);
303a7e14dcfSSatish Balay   if (!g_computed) {
304a7e14dcfSSatish Balay     ierr = TaoLineSearchComputeGradient(ls,mt->work,g);CHKERRQ(ierr);
305a7e14dcfSSatish Balay   }
306a7e14dcfSSatish Balay   PetscFunctionReturn(0);
307a7e14dcfSSatish Balay }
308a7e14dcfSSatish Balay 
309728e0ed0SBarry Smith PETSC_EXTERN PetscErrorCode TaoLineSearchCreate_MT(TaoLineSearch ls)
310a7e14dcfSSatish Balay {
311a7e14dcfSSatish Balay   PetscErrorCode   ierr;
3128caf6e8cSBarry Smith   TaoLineSearch_MT *ctx;
31353506e15SBarry Smith 
314a7e14dcfSSatish Balay   PetscFunctionBegin;
315a7e14dcfSSatish Balay   PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1);
3163c9e27cfSGeoffrey Irving   ierr = PetscNewLog(ls,&ctx);CHKERRQ(ierr);
317a7e14dcfSSatish Balay   ctx->bracket=0;
318a7e14dcfSSatish Balay   ctx->infoc=1;
319a7e14dcfSSatish Balay   ls->data = (void*)ctx;
320a7e14dcfSSatish Balay   ls->initstep = 1.0;
321a7e14dcfSSatish Balay   ls->ops->setup=0;
32224517cd3SJason Sarich   ls->ops->reset=0;
323a7e14dcfSSatish Balay   ls->ops->apply=TaoLineSearchApply_MT;
324a7e14dcfSSatish Balay   ls->ops->destroy=TaoLineSearchDestroy_MT;
325a7e14dcfSSatish Balay   ls->ops->setfromoptions=TaoLineSearchSetFromOptions_MT;
326*2a0dac07SAlp Dener   ls->ops->monitor=TaoLineSearchMonitor_MT;
327a7e14dcfSSatish Balay   PetscFunctionReturn(0);
328a7e14dcfSSatish Balay }
329a7e14dcfSSatish Balay 
330a7e14dcfSSatish Balay /*
331a7e14dcfSSatish Balay      The subroutine mcstep is taken from the work of Jorge Nocedal.
332a7e14dcfSSatish Balay      this is a variant of More' and Thuente's routine.
333a7e14dcfSSatish Balay 
334a7e14dcfSSatish Balay      subroutine mcstep
335a7e14dcfSSatish Balay 
336a7e14dcfSSatish Balay      the purpose of mcstep is to compute a safeguarded step for
337a7e14dcfSSatish Balay      a linesearch and to update an interval of uncertainty for
338a7e14dcfSSatish Balay      a minimizer of the function.
339a7e14dcfSSatish Balay 
340a7e14dcfSSatish Balay      the parameter stx contains the step with the least function
341a7e14dcfSSatish Balay      value. the parameter stp contains the current step. it is
342a7e14dcfSSatish Balay      assumed that the derivative at stx is negative in the
343a7e14dcfSSatish Balay      direction of the step. if bracket is set true then a
344a7e14dcfSSatish Balay      minimizer has been bracketed in an interval of uncertainty
345a7e14dcfSSatish Balay      with endpoints stx and sty.
346a7e14dcfSSatish Balay 
347a7e14dcfSSatish Balay      the subroutine statement is
348a7e14dcfSSatish Balay 
349a7e14dcfSSatish Balay      subroutine mcstep(stx,fx,dx,sty,fy,dy,stp,fp,dp,bracket,
350a7e14dcfSSatish Balay                        stpmin,stpmax,info)
351a7e14dcfSSatish Balay 
352a7e14dcfSSatish Balay      where
353a7e14dcfSSatish Balay 
354a7e14dcfSSatish Balay        stx, fx, and dx are variables which specify the step,
355a7e14dcfSSatish Balay          the function, and the derivative at the best step obtained
356a7e14dcfSSatish Balay          so far. The derivative must be negative in the direction
357a7e14dcfSSatish Balay          of the step, that is, dx and stp-stx must have opposite
358a7e14dcfSSatish Balay          signs. On output these parameters are updated appropriately.
359a7e14dcfSSatish Balay 
360a7e14dcfSSatish Balay        sty, fy, and dy are variables which specify the step,
361a7e14dcfSSatish Balay          the function, and the derivative at the other endpoint of
362a7e14dcfSSatish Balay          the interval of uncertainty. On output these parameters are
363a7e14dcfSSatish Balay          updated appropriately.
364a7e14dcfSSatish Balay 
365a7e14dcfSSatish Balay        stp, fp, and dp are variables which specify the step,
366a7e14dcfSSatish Balay          the function, and the derivative at the current step.
367a7e14dcfSSatish Balay          If bracket is set true then on input stp must be
368a7e14dcfSSatish Balay          between stx and sty. On output stp is set to the new step.
369a7e14dcfSSatish Balay 
370a7e14dcfSSatish Balay        bracket is a logical variable which specifies if a minimizer
371a7e14dcfSSatish Balay          has been bracketed.  If the minimizer has not been bracketed
372a7e14dcfSSatish Balay          then on input bracket must be set false.  If the minimizer
373a7e14dcfSSatish Balay          is bracketed then on output bracket is set true.
374a7e14dcfSSatish Balay 
375a7e14dcfSSatish Balay        stpmin and stpmax are input variables which specify lower
376a7e14dcfSSatish Balay          and upper bounds for the step.
377a7e14dcfSSatish Balay 
378a7e14dcfSSatish Balay        info is an integer output variable set as follows:
379a7e14dcfSSatish Balay          if info = 1,2,3,4,5, then the step has been computed
380a7e14dcfSSatish Balay          according to one of the five cases below. otherwise
381a7e14dcfSSatish Balay          info = 0, and this indicates improper input parameters.
382a7e14dcfSSatish Balay 
383a7e14dcfSSatish Balay      subprograms called
384a7e14dcfSSatish Balay 
385a7e14dcfSSatish Balay        fortran-supplied ... abs,max,min,sqrt
386a7e14dcfSSatish Balay 
387a7e14dcfSSatish Balay      argonne national laboratory. minpack project. june 1983
388a7e14dcfSSatish Balay      jorge j. more', david j. thuente
389a7e14dcfSSatish Balay 
390a7e14dcfSSatish Balay */
391a7e14dcfSSatish Balay 
39253506e15SBarry Smith static PetscErrorCode Tao_mcstep(TaoLineSearch ls,PetscReal *stx,PetscReal *fx,PetscReal *dx,PetscReal *sty,PetscReal *fy,PetscReal *dy,PetscReal *stp,PetscReal *fp,PetscReal *dp)
393a7e14dcfSSatish Balay {
3948caf6e8cSBarry Smith   TaoLineSearch_MT *mtP = (TaoLineSearch_MT *) ls->data;
395a7e14dcfSSatish Balay   PetscReal        gamma1, p, q, r, s, sgnd, stpc, stpf, stpq, theta;
396a7e14dcfSSatish Balay   PetscInt         bound;
397a7e14dcfSSatish Balay 
398a7e14dcfSSatish Balay   PetscFunctionBegin;
399a7e14dcfSSatish Balay   /* Check the input parameters for errors */
400a7e14dcfSSatish Balay   mtP->infoc = 0;
401a7e14dcfSSatish Balay   if (mtP->bracket && (*stp <= PetscMin(*stx,*sty) || (*stp >= PetscMax(*stx,*sty)))) SETERRQ(PETSC_COMM_SELF,1,"bad stp in bracket");
402a7e14dcfSSatish Balay   if (*dx * (*stp-*stx) >= 0.0) SETERRQ(PETSC_COMM_SELF,1,"dx * (stp-stx) >= 0.0");
403a7e14dcfSSatish Balay   if (ls->stepmax < ls->stepmin) SETERRQ(PETSC_COMM_SELF,1,"stepmax > stepmin");
404a7e14dcfSSatish Balay 
405a7e14dcfSSatish Balay   /* Determine if the derivatives have opposite sign */
406a7e14dcfSSatish Balay   sgnd = *dp * (*dx / PetscAbsReal(*dx));
407a7e14dcfSSatish Balay 
408a7e14dcfSSatish Balay   if (*fp > *fx) {
409a7e14dcfSSatish Balay     /* Case 1: a higher function value.
410a7e14dcfSSatish Balay      The minimum is bracketed. If the cubic step is closer
411a7e14dcfSSatish Balay      to stx than the quadratic step, the cubic step is taken,
412a7e14dcfSSatish Balay      else the average of the cubic and quadratic steps is taken. */
413a7e14dcfSSatish Balay 
414a7e14dcfSSatish Balay     mtP->infoc = 1;
415a7e14dcfSSatish Balay     bound = 1;
416a7e14dcfSSatish Balay     theta = 3 * (*fx - *fp) / (*stp - *stx) + *dx + *dp;
417a7e14dcfSSatish Balay     s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx));
418a7e14dcfSSatish Balay     s = PetscMax(s,PetscAbsReal(*dp));
419a7e14dcfSSatish Balay     gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s));
420a7e14dcfSSatish Balay     if (*stp < *stx) gamma1 = -gamma1;
421a7e14dcfSSatish Balay     /* Can p be 0?  Check */
422a7e14dcfSSatish Balay     p = (gamma1 - *dx) + theta;
423a7e14dcfSSatish Balay     q = ((gamma1 - *dx) + gamma1) + *dp;
424a7e14dcfSSatish Balay     r = p/q;
425a7e14dcfSSatish Balay     stpc = *stx + r*(*stp - *stx);
426a7e14dcfSSatish Balay     stpq = *stx + ((*dx/((*fx-*fp)/(*stp-*stx)+*dx))*0.5) * (*stp - *stx);
427a7e14dcfSSatish Balay 
428a7e14dcfSSatish Balay     if (PetscAbsReal(stpc-*stx) < PetscAbsReal(stpq-*stx)) {
429a7e14dcfSSatish Balay       stpf = stpc;
43053506e15SBarry Smith     } else {
431a7e14dcfSSatish Balay       stpf = stpc + 0.5*(stpq - stpc);
432a7e14dcfSSatish Balay     }
433a7e14dcfSSatish Balay     mtP->bracket = 1;
43453506e15SBarry Smith   } else if (sgnd < 0.0) {
435a7e14dcfSSatish Balay     /* Case 2: A lower function value and derivatives of
436a7e14dcfSSatish Balay      opposite sign. The minimum is bracketed. If the cubic
437a7e14dcfSSatish Balay      step is closer to stx than the quadratic (secant) step,
438a7e14dcfSSatish Balay      the cubic step is taken, else the quadratic step is taken. */
439a7e14dcfSSatish Balay 
440a7e14dcfSSatish Balay     mtP->infoc = 2;
441a7e14dcfSSatish Balay     bound = 0;
442a7e14dcfSSatish Balay     theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp;
443a7e14dcfSSatish Balay     s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx));
444a7e14dcfSSatish Balay     s = PetscMax(s,PetscAbsReal(*dp));
445a7e14dcfSSatish Balay     gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s));
446a7e14dcfSSatish Balay     if (*stp > *stx) gamma1 = -gamma1;
447a7e14dcfSSatish Balay     p = (gamma1 - *dp) + theta;
448a7e14dcfSSatish Balay     q = ((gamma1 - *dp) + gamma1) + *dx;
449a7e14dcfSSatish Balay     r = p/q;
450a7e14dcfSSatish Balay     stpc = *stp + r*(*stx - *stp);
451a7e14dcfSSatish Balay     stpq = *stp + (*dp/(*dp-*dx))*(*stx - *stp);
452a7e14dcfSSatish Balay 
453a7e14dcfSSatish Balay     if (PetscAbsReal(stpc-*stp) > PetscAbsReal(stpq-*stp)) {
454a7e14dcfSSatish Balay       stpf = stpc;
45553506e15SBarry Smith     } else {
456a7e14dcfSSatish Balay       stpf = stpq;
457a7e14dcfSSatish Balay     }
458a7e14dcfSSatish Balay     mtP->bracket = 1;
45953506e15SBarry Smith   } else if (PetscAbsReal(*dp) < PetscAbsReal(*dx)) {
460a7e14dcfSSatish Balay     /* Case 3: A lower function value, derivatives of the
461a7e14dcfSSatish Balay      same sign, and the magnitude of the derivative decreases.
462a7e14dcfSSatish Balay      The cubic step is only used if the cubic tends to infinity
463a7e14dcfSSatish Balay      in the direction of the step or if the minimum of the cubic
464a7e14dcfSSatish Balay      is beyond stp. Otherwise the cubic step is defined to be
465a7e14dcfSSatish Balay      either stepmin or stepmax. The quadratic (secant) step is also
466df3898eeSBarry Smith      computed and if the minimum is bracketed then the step
467a7e14dcfSSatish Balay      closest to stx is taken, else the step farthest away is taken. */
468a7e14dcfSSatish Balay 
469a7e14dcfSSatish Balay     mtP->infoc = 3;
470a7e14dcfSSatish Balay     bound = 1;
471a7e14dcfSSatish Balay     theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp;
472a7e14dcfSSatish Balay     s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx));
473a7e14dcfSSatish Balay     s = PetscMax(s,PetscAbsReal(*dp));
474a7e14dcfSSatish Balay 
475a7e14dcfSSatish Balay     /* The case gamma1 = 0 only arises if the cubic does not tend
476a7e14dcfSSatish Balay        to infinity in the direction of the step. */
477a7e14dcfSSatish Balay     gamma1 = s*PetscSqrtScalar(PetscMax(0.0,PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)));
478a7e14dcfSSatish Balay     if (*stp > *stx) gamma1 = -gamma1;
479a7e14dcfSSatish Balay     p = (gamma1 - *dp) + theta;
480a7e14dcfSSatish Balay     q = (gamma1 + (*dx - *dp)) + gamma1;
481a7e14dcfSSatish Balay     r = p/q;
482a7e14dcfSSatish Balay     if (r < 0.0 && gamma1 != 0.0) stpc = *stp + r*(*stx - *stp);
483a7e14dcfSSatish Balay     else if (*stp > *stx)        stpc = ls->stepmax;
484a7e14dcfSSatish Balay     else                         stpc = ls->stepmin;
485a7e14dcfSSatish Balay     stpq = *stp + (*dp/(*dp-*dx)) * (*stx - *stp);
486a7e14dcfSSatish Balay 
487a7e14dcfSSatish Balay     if (mtP->bracket) {
488a7e14dcfSSatish Balay       if (PetscAbsReal(*stp-stpc) < PetscAbsReal(*stp-stpq)) {
489a7e14dcfSSatish Balay         stpf = stpc;
49053506e15SBarry Smith       } else {
491a7e14dcfSSatish Balay         stpf = stpq;
492a7e14dcfSSatish Balay       }
49353506e15SBarry Smith     } else {
494a7e14dcfSSatish Balay       if (PetscAbsReal(*stp-stpc) > PetscAbsReal(*stp-stpq)) {
495a7e14dcfSSatish Balay         stpf = stpc;
49653506e15SBarry Smith       } else {
497a7e14dcfSSatish Balay         stpf = stpq;
498a7e14dcfSSatish Balay       }
499a7e14dcfSSatish Balay     }
50053506e15SBarry Smith   } else {
501a7e14dcfSSatish Balay     /* Case 4: A lower function value, derivatives of the
502a7e14dcfSSatish Balay        same sign, and the magnitude of the derivative does
503a7e14dcfSSatish Balay        not decrease. If the minimum is not bracketed, the step
504a7e14dcfSSatish Balay        is either stpmin or stpmax, else the cubic step is taken. */
505a7e14dcfSSatish Balay 
506a7e14dcfSSatish Balay     mtP->infoc = 4;
507a7e14dcfSSatish Balay     bound = 0;
508a7e14dcfSSatish Balay     if (mtP->bracket) {
509a7e14dcfSSatish Balay       theta = 3*(*fp - *fy)/(*sty - *stp) + *dy + *dp;
510a7e14dcfSSatish Balay       s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dy));
511a7e14dcfSSatish Balay       s = PetscMax(s,PetscAbsReal(*dp));
512a7e14dcfSSatish Balay       gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dy/s)*(*dp/s));
513a7e14dcfSSatish Balay       if (*stp > *sty) gamma1 = -gamma1;
514a7e14dcfSSatish Balay       p = (gamma1 - *dp) + theta;
515a7e14dcfSSatish Balay       q = ((gamma1 - *dp) + gamma1) + *dy;
516a7e14dcfSSatish Balay       r = p/q;
517a7e14dcfSSatish Balay       stpc = *stp + r*(*sty - *stp);
518a7e14dcfSSatish Balay       stpf = stpc;
51953506e15SBarry Smith     } else if (*stp > *stx) {
520a7e14dcfSSatish Balay       stpf = ls->stepmax;
52153506e15SBarry Smith     } else {
522a7e14dcfSSatish Balay       stpf = ls->stepmin;
523a7e14dcfSSatish Balay     }
524a7e14dcfSSatish Balay   }
525a7e14dcfSSatish Balay 
526a7e14dcfSSatish Balay   /* Update the interval of uncertainty.  This update does not
527a7e14dcfSSatish Balay      depend on the new step or the case analysis above. */
528a7e14dcfSSatish Balay 
529a7e14dcfSSatish Balay   if (*fp > *fx) {
530a7e14dcfSSatish Balay     *sty = *stp;
531a7e14dcfSSatish Balay     *fy = *fp;
532a7e14dcfSSatish Balay     *dy = *dp;
53353506e15SBarry Smith   } else {
534a7e14dcfSSatish Balay     if (sgnd < 0.0) {
535a7e14dcfSSatish Balay       *sty = *stx;
536a7e14dcfSSatish Balay       *fy = *fx;
537a7e14dcfSSatish Balay       *dy = *dx;
538a7e14dcfSSatish Balay     }
539a7e14dcfSSatish Balay     *stx = *stp;
540a7e14dcfSSatish Balay     *fx = *fp;
541a7e14dcfSSatish Balay     *dx = *dp;
542a7e14dcfSSatish Balay   }
543a7e14dcfSSatish Balay 
544a7e14dcfSSatish Balay   /* Compute the new step and safeguard it. */
545a7e14dcfSSatish Balay   stpf = PetscMin(ls->stepmax,stpf);
546a7e14dcfSSatish Balay   stpf = PetscMax(ls->stepmin,stpf);
547a7e14dcfSSatish Balay   *stp = stpf;
548a7e14dcfSSatish Balay   if (mtP->bracket && bound) {
549a7e14dcfSSatish Balay     if (*sty > *stx) {
550a7e14dcfSSatish Balay       *stp = PetscMin(*stx+0.66*(*sty-*stx),*stp);
55153506e15SBarry Smith     } else {
552a7e14dcfSSatish Balay       *stp = PetscMax(*stx+0.66*(*sty-*stx),*stp);
553a7e14dcfSSatish Balay     }
554a7e14dcfSSatish Balay   }
555a7e14dcfSSatish Balay   PetscFunctionReturn(0);
556a7e14dcfSSatish Balay }
557