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; 1597ab8e72SStefano Zampini TaoLineSearch_MT *mt = (TaoLineSearch_MT*)(ls->data); 1653506e15SBarry Smith 17a7e14dcfSSatish Balay PetscFunctionBegin; 18a7e14dcfSSatish Balay ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr); 19a7e14dcfSSatish Balay ierr = VecDestroy(&mt->work);CHKERRQ(ierr); 20302440fdSBarry Smith ierr = PetscFree(ls->data);CHKERRQ(ierr); 21a7e14dcfSSatish Balay PetscFunctionReturn(0); 22a7e14dcfSSatish Balay } 23a7e14dcfSSatish Balay 244416b707SBarry Smith static PetscErrorCode TaoLineSearchSetFromOptions_MT(PetscOptionItems *PetscOptionsObject,TaoLineSearch ls) 25a7e14dcfSSatish Balay { 26a7e14dcfSSatish Balay PetscFunctionBegin; 27a7e14dcfSSatish Balay PetscFunctionReturn(0); 28a7e14dcfSSatish Balay } 29a7e14dcfSSatish Balay 302a0dac07SAlp Dener static PetscErrorCode TaoLineSearchMonitor_MT(TaoLineSearch ls) 312a0dac07SAlp Dener { 322a0dac07SAlp Dener TaoLineSearch_MT *mt = (TaoLineSearch_MT*)ls->data; 332a0dac07SAlp Dener PetscErrorCode ierr; 342a0dac07SAlp Dener 352a0dac07SAlp Dener PetscFunctionBegin; 362a0dac07SAlp Dener ierr = PetscViewerASCIIPrintf(ls->viewer, "stx: %g, fx: %g, dgx: %g\n", (double)mt->stx, (double)mt->fx, (double)mt->dgx);CHKERRQ(ierr); 372a0dac07SAlp Dener ierr = PetscViewerASCIIPrintf(ls->viewer, "sty: %g, fy: %g, dgy: %g\n", (double)mt->sty, (double)mt->fy, (double)mt->dgy);CHKERRQ(ierr); 382a0dac07SAlp Dener PetscFunctionReturn(0); 392a0dac07SAlp Dener } 40a7e14dcfSSatish Balay 41a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchApply_MT(TaoLineSearch ls, Vec x, PetscReal *f, Vec g, Vec s) 42a7e14dcfSSatish Balay { 43a7e14dcfSSatish Balay PetscErrorCode ierr; 4497ab8e72SStefano Zampini TaoLineSearch_MT *mt = (TaoLineSearch_MT*)(ls->data); 45a7e14dcfSSatish Balay PetscReal xtrapf = 4.0; 46a7e14dcfSSatish Balay PetscReal finit, width, width1, dginit, fm, fxm, fym, dgm, dgxm, dgym; 47a7e14dcfSSatish Balay PetscReal dgx, dgy, dg, dg2, fx, fy, stx, sty, dgtest; 48a7e14dcfSSatish Balay PetscReal ftest1=0.0, ftest2=0.0; 49a7e14dcfSSatish Balay PetscInt i, stage1,n1,n2,nn1,nn2; 50a7e14dcfSSatish Balay PetscReal bstepmin1, bstepmin2, bstepmax; 5153506e15SBarry Smith PetscBool g_computed = PETSC_FALSE; /* to prevent extra gradient computation */ 52a7e14dcfSSatish Balay 53a7e14dcfSSatish Balay PetscFunctionBegin; 54a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_CONTINUE_ITERATING; 5597ab8e72SStefano Zampini ierr = TaoLineSearchMonitor(ls, 0, *f, 0.0);CHKERRQ(ierr); 56a7e14dcfSSatish Balay /* Check work vector */ 57a7e14dcfSSatish Balay if (!mt->work) { 58a7e14dcfSSatish Balay ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr); 59a7e14dcfSSatish Balay mt->x = x; 60a7e14dcfSSatish Balay ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr); 6153506e15SBarry Smith } else if (x != mt->x) { 62a7e14dcfSSatish Balay ierr = VecDestroy(&mt->work);CHKERRQ(ierr); 63a7e14dcfSSatish Balay ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr); 64a7e14dcfSSatish Balay ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr); 65a7e14dcfSSatish Balay mt->x = x; 66a7e14dcfSSatish Balay ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr); 67a7e14dcfSSatish Balay } 68a7e14dcfSSatish Balay 69a7e14dcfSSatish Balay if (ls->bounded) { 70a7e14dcfSSatish Balay /* Compute step length needed to make all variables equal a bound */ 71a7e14dcfSSatish Balay /* Compute the smallest steplength that will make one nonbinding variable 72a7e14dcfSSatish Balay equal the bound */ 73a7e14dcfSSatish Balay ierr = VecGetLocalSize(ls->upper,&n1);CHKERRQ(ierr); 74a7e14dcfSSatish Balay ierr = VecGetLocalSize(mt->x, &n2);CHKERRQ(ierr); 75a7e14dcfSSatish Balay ierr = VecGetSize(ls->upper,&nn1);CHKERRQ(ierr); 76a7e14dcfSSatish Balay ierr = VecGetSize(mt->x,&nn2);CHKERRQ(ierr); 77*3c859ba3SBarry Smith PetscCheck(n1 == n2 && nn1 == nn2,PETSC_COMM_SELF,PETSC_ERR_ARG_SIZ,"Variable vector not compatible with bounds vector"); 78a7e14dcfSSatish Balay ierr = VecScale(s,-1.0);CHKERRQ(ierr); 79a7e14dcfSSatish Balay ierr = VecBoundGradientProjection(s,x,ls->lower,ls->upper,s);CHKERRQ(ierr); 80a7e14dcfSSatish Balay ierr = VecScale(s,-1.0);CHKERRQ(ierr); 81e270355aSBarry Smith ierr = VecStepBoundInfo(x,s,ls->lower,ls->upper,&bstepmin1,&bstepmin2,&bstepmax);CHKERRQ(ierr); 82a7e14dcfSSatish Balay ls->stepmax = PetscMin(bstepmax,1.0e15); 83a7e14dcfSSatish Balay } 84a7e14dcfSSatish Balay 85302440fdSBarry Smith ierr = VecDot(g,s,&dginit);CHKERRQ(ierr); 86a7e14dcfSSatish Balay if (PetscIsInfOrNanReal(dginit)) { 877d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"Initial Line Search step * g is Inf or Nan (%g)\n",(double)dginit);CHKERRQ(ierr); 88a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_FAILED_INFORNAN; 89a7e14dcfSSatish Balay PetscFunctionReturn(0); 90a7e14dcfSSatish Balay } 91a7e14dcfSSatish Balay if (dginit >= 0.0) { 927d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"Initial Line Search step * g is not descent direction (%g)\n",(double)dginit);CHKERRQ(ierr); 93a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_FAILED_ASCENT; 94a7e14dcfSSatish Balay PetscFunctionReturn(0); 95a7e14dcfSSatish Balay } 96a7e14dcfSSatish Balay 97a7e14dcfSSatish Balay /* Initialization */ 98a7e14dcfSSatish Balay mt->bracket = 0; 99a7e14dcfSSatish Balay stage1 = 1; 100a7e14dcfSSatish Balay finit = *f; 101a7e14dcfSSatish Balay dgtest = ls->ftol * dginit; 102a7e14dcfSSatish Balay width = ls->stepmax - ls->stepmin; 103a7e14dcfSSatish Balay width1 = width * 2.0; 104a7e14dcfSSatish Balay ierr = VecCopy(x,mt->work);CHKERRQ(ierr); 105a7e14dcfSSatish Balay /* Variable dictionary: 106a7e14dcfSSatish Balay stx, fx, dgx - the step, function, and derivative at the best step 107a7e14dcfSSatish Balay sty, fy, dgy - the step, function, and derivative at the other endpoint 108a7e14dcfSSatish Balay of the interval of uncertainty 109a7e14dcfSSatish Balay step, f, dg - the step, function, and derivative at the current step */ 110a7e14dcfSSatish Balay 111a7e14dcfSSatish Balay stx = 0.0; 112a7e14dcfSSatish Balay fx = finit; 113a7e14dcfSSatish Balay dgx = dginit; 114a7e14dcfSSatish Balay sty = 0.0; 115a7e14dcfSSatish Balay fy = finit; 116a7e14dcfSSatish Balay dgy = dginit; 117a7e14dcfSSatish Balay 118a7e14dcfSSatish Balay ls->step = ls->initstep; 119a7e14dcfSSatish Balay for (i=0; i< ls->max_funcs; i++) { 120a7e14dcfSSatish Balay /* Set min and max steps to correspond to the interval of uncertainty */ 121a7e14dcfSSatish Balay if (mt->bracket) { 122a7e14dcfSSatish Balay ls->stepmin = PetscMin(stx,sty); 123a7e14dcfSSatish Balay ls->stepmax = PetscMax(stx,sty); 12453506e15SBarry Smith } else { 125a7e14dcfSSatish Balay ls->stepmin = stx; 126a7e14dcfSSatish Balay ls->stepmax = ls->step + xtrapf * (ls->step - stx); 127a7e14dcfSSatish Balay } 128a7e14dcfSSatish Balay 129a7e14dcfSSatish Balay /* Force the step to be within the bounds */ 130a7e14dcfSSatish Balay ls->step = PetscMax(ls->step,ls->stepmin); 131a7e14dcfSSatish Balay ls->step = PetscMin(ls->step,ls->stepmax); 132a7e14dcfSSatish Balay 133a7e14dcfSSatish Balay /* If an unusual termination is to occur, then let step be the lowest 134a7e14dcfSSatish Balay point obtained thus far */ 13553506e15SBarry Smith if ((stx!=0) && (((mt->bracket) && (ls->step <= ls->stepmin || ls->step >= ls->stepmax)) || ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol * ls->stepmax)) || 136a7e14dcfSSatish Balay ((ls->nfeval+ls->nfgeval) >= ls->max_funcs - 1) || (mt->infoc == 0))) { 137a7e14dcfSSatish Balay ls->step = stx; 138a7e14dcfSSatish Balay } 139a7e14dcfSSatish Balay 140a7e14dcfSSatish Balay ierr = VecCopy(x,mt->work);CHKERRQ(ierr); 141a7e14dcfSSatish Balay ierr = VecAXPY(mt->work,ls->step,s);CHKERRQ(ierr); /* W = X + step*S */ 142a7e14dcfSSatish Balay 143a7e14dcfSSatish Balay if (ls->bounded) { 144a7e14dcfSSatish Balay ierr = VecMedian(ls->lower, mt->work, ls->upper, mt->work);CHKERRQ(ierr); 145a7e14dcfSSatish Balay } 146a7e14dcfSSatish Balay if (ls->usegts) { 147a7e14dcfSSatish Balay ierr = TaoLineSearchComputeObjectiveAndGTS(ls,mt->work,f,&dg);CHKERRQ(ierr); 148a7e14dcfSSatish Balay g_computed = PETSC_FALSE; 149a7e14dcfSSatish Balay } else { 150a7e14dcfSSatish Balay ierr = TaoLineSearchComputeObjectiveAndGradient(ls,mt->work,f,g);CHKERRQ(ierr); 151a7e14dcfSSatish Balay g_computed = PETSC_TRUE; 152a7e14dcfSSatish Balay if (ls->bounded) { 153a7e14dcfSSatish Balay ierr = VecDot(g,x,&dg);CHKERRQ(ierr); 154a7e14dcfSSatish Balay ierr = VecDot(g,mt->work,&dg2);CHKERRQ(ierr); 155a7e14dcfSSatish Balay dg = (dg2 - dg)/ls->step; 156a7e14dcfSSatish Balay } else { 157a7e14dcfSSatish Balay ierr = VecDot(g,s,&dg);CHKERRQ(ierr); 158a7e14dcfSSatish Balay } 159a7e14dcfSSatish Balay } 160a7e14dcfSSatish Balay 161e7709889SAlp Dener /* update bracketing parameters in the MT context for printouts in monitor */ 1622a0dac07SAlp Dener mt->stx = stx; 1632a0dac07SAlp Dener mt->fx = fx; 1642a0dac07SAlp Dener mt->dgx = dgx; 1652a0dac07SAlp Dener mt->sty = sty; 1662a0dac07SAlp Dener mt->fy = fy; 1672a0dac07SAlp Dener mt->dgy = dgy; 1682a0dac07SAlp Dener ierr = TaoLineSearchMonitor(ls, i+1, *f, ls->step);CHKERRQ(ierr); 1692a0dac07SAlp Dener 17097ab8e72SStefano Zampini if (i == 0) ls->f_fullstep=*f; 171a7e14dcfSSatish Balay 172a7e14dcfSSatish Balay if (PetscIsInfOrNanReal(*f) || PetscIsInfOrNanReal(dg)) { 173a7e14dcfSSatish Balay /* User provided compute function generated Not-a-Number, assume 174a7e14dcfSSatish Balay domain violation and set function value and directional 175a7e14dcfSSatish Balay derivative to infinity. */ 176e270355aSBarry Smith *f = PETSC_INFINITY; 177e270355aSBarry Smith dg = PETSC_INFINITY; 178a7e14dcfSSatish Balay } 179a7e14dcfSSatish Balay 180a7e14dcfSSatish Balay ftest1 = finit + ls->step * dgtest; 18197ab8e72SStefano Zampini if (ls->bounded) ftest2 = finit + ls->step * dgtest * ls->ftol; 18297ab8e72SStefano Zampini 183a7e14dcfSSatish Balay /* Convergence testing */ 18453506e15SBarry Smith if (((*f - ftest1 <= 1.0e-10 * PetscAbsReal(finit)) && (PetscAbsReal(dg) + ls->gtol*dginit <= 0.0))) { 185a7e14dcfSSatish Balay ierr = PetscInfo(ls, "Line search success: Sufficient decrease and directional deriv conditions hold\n");CHKERRQ(ierr); 186a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_SUCCESS; 187a7e14dcfSSatish Balay break; 188a7e14dcfSSatish Balay } 189a7e14dcfSSatish Balay 190a7e14dcfSSatish Balay /* Check Armijo if beyond the first breakpoint */ 191a7e14dcfSSatish Balay if (ls->bounded && (*f <= ftest2) && (ls->step >= bstepmin2)) { 192a7e14dcfSSatish Balay ierr = PetscInfo(ls,"Line search success: Sufficient decrease.\n");CHKERRQ(ierr); 1934e6ef68fSJason Sarich ls->reason = TAOLINESEARCH_SUCCESS; 194a7e14dcfSSatish Balay break; 195a7e14dcfSSatish Balay } 196a7e14dcfSSatish Balay 197a7e14dcfSSatish Balay /* Checks for bad cases */ 198a7e14dcfSSatish Balay if (((mt->bracket) && (ls->step <= ls->stepmin||ls->step >= ls->stepmax)) || (!mt->infoc)) { 199a7e14dcfSSatish Balay ierr = PetscInfo(ls,"Rounding errors may prevent further progress. May not be a step satisfying\n");CHKERRQ(ierr); 200a7e14dcfSSatish Balay ierr = PetscInfo(ls,"sufficient decrease and curvature conditions. Tolerances may be too small.\n");CHKERRQ(ierr); 201a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_OTHER; 202a7e14dcfSSatish Balay break; 203a7e14dcfSSatish Balay } 204a7e14dcfSSatish Balay if ((ls->step == ls->stepmax) && (*f <= ftest1) && (dg <= dgtest)) { 2057d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"Step is at the upper bound, stepmax (%g)\n",(double)ls->stepmax);CHKERRQ(ierr); 206a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_UPPERBOUND; 207a7e14dcfSSatish Balay break; 208a7e14dcfSSatish Balay } 209a7e14dcfSSatish Balay if ((ls->step == ls->stepmin) && (*f >= ftest1) && (dg >= dgtest)) { 2107d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"Step is at the lower bound, stepmin (%g)\n",(double)ls->stepmin);CHKERRQ(ierr); 211a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_LOWERBOUND; 212a7e14dcfSSatish Balay break; 213a7e14dcfSSatish Balay } 214a7e14dcfSSatish Balay if ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol*ls->stepmax)) { 2157d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"Relative width of interval of uncertainty is at most rtol (%g)\n",(double)ls->rtol);CHKERRQ(ierr); 216a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_RTOL; 217a7e14dcfSSatish Balay break; 218a7e14dcfSSatish Balay } 219a7e14dcfSSatish Balay 220a7e14dcfSSatish Balay /* In the first stage, we seek a step for which the modified function 221a7e14dcfSSatish Balay has a nonpositive value and nonnegative derivative */ 22297ab8e72SStefano Zampini if ((stage1) && (*f <= ftest1) && (dg >= dginit * PetscMin(ls->ftol, ls->gtol))) stage1 = 0; 223a7e14dcfSSatish Balay 224a7e14dcfSSatish Balay /* A modified function is used to predict the step only if we 225a7e14dcfSSatish Balay have not obtained a step for which the modified function has a 226a7e14dcfSSatish Balay nonpositive function value and nonnegative derivative, and if a 227a7e14dcfSSatish Balay lower function value has been obtained but the decrease is not 228a7e14dcfSSatish Balay sufficient */ 229a7e14dcfSSatish Balay 230a7e14dcfSSatish Balay if ((stage1) && (*f <= fx) && (*f > ftest1)) { 231a7e14dcfSSatish Balay fm = *f - ls->step * dgtest; /* Define modified function */ 232a7e14dcfSSatish Balay fxm = fx - stx * dgtest; /* and derivatives */ 233a7e14dcfSSatish Balay fym = fy - sty * dgtest; 234a7e14dcfSSatish Balay dgm = dg - dgtest; 235a7e14dcfSSatish Balay dgxm = dgx - dgtest; 236a7e14dcfSSatish Balay dgym = dgy - dgtest; 237a7e14dcfSSatish Balay 238a7e14dcfSSatish Balay /* if (dgxm * (ls->step - stx) >= 0.0) */ 239a7e14dcfSSatish Balay /* Update the interval of uncertainty and compute the new step */ 240a7e14dcfSSatish Balay ierr = Tao_mcstep(ls,&stx,&fxm,&dgxm,&sty,&fym,&dgym,&ls->step,&fm,&dgm);CHKERRQ(ierr); 241a7e14dcfSSatish Balay 242a7e14dcfSSatish Balay fx = fxm + stx * dgtest; /* Reset the function and */ 243a7e14dcfSSatish Balay fy = fym + sty * dgtest; /* gradient values */ 244a7e14dcfSSatish Balay dgx = dgxm + dgtest; 245a7e14dcfSSatish Balay dgy = dgym + dgtest; 24653506e15SBarry Smith } else { 247a7e14dcfSSatish Balay /* Update the interval of uncertainty and compute the new step */ 248a7e14dcfSSatish Balay ierr = Tao_mcstep(ls,&stx,&fx,&dgx,&sty,&fy,&dgy,&ls->step,f,&dg);CHKERRQ(ierr); 249a7e14dcfSSatish Balay } 250a7e14dcfSSatish Balay 251a7e14dcfSSatish Balay /* Force a sufficient decrease in the interval of uncertainty */ 252a7e14dcfSSatish Balay if (mt->bracket) { 253a7e14dcfSSatish Balay if (PetscAbsReal(sty - stx) >= 0.66 * width1) ls->step = stx + 0.5*(sty - stx); 254a7e14dcfSSatish Balay width1 = width; 255a7e14dcfSSatish Balay width = PetscAbsReal(sty - stx); 256a7e14dcfSSatish Balay } 257a7e14dcfSSatish Balay } 258a7e14dcfSSatish Balay if ((ls->nfeval+ls->nfgeval) > ls->max_funcs) { 2597d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"Number of line search function evals (%D) > maximum (%D)\n",(ls->nfeval+ls->nfgeval),ls->max_funcs);CHKERRQ(ierr); 260a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_MAXFCN; 261a7e14dcfSSatish Balay } 262a7e14dcfSSatish Balay 263a7e14dcfSSatish Balay /* Finish computations */ 2647d3de750SJacob Faibussowitsch ierr = PetscInfo(ls,"%D function evals in line search, step = %g\n",(ls->nfeval+ls->nfgeval),(double)ls->step);CHKERRQ(ierr); 265a7e14dcfSSatish Balay 266a7e14dcfSSatish Balay /* Set new solution vector and compute gradient if needed */ 267a7e14dcfSSatish Balay ierr = VecCopy(mt->work,x);CHKERRQ(ierr); 268a7e14dcfSSatish Balay if (!g_computed) { 269a7e14dcfSSatish Balay ierr = TaoLineSearchComputeGradient(ls,mt->work,g);CHKERRQ(ierr); 270a7e14dcfSSatish Balay } 271a7e14dcfSSatish Balay PetscFunctionReturn(0); 272a7e14dcfSSatish Balay } 273a7e14dcfSSatish Balay 27490b6438dSAlp Dener /*MC 27590b6438dSAlp Dener TAOLINESEARCHMT - Line-search type with cubic interpolation that satisfies both the sufficient decrease and 2764c991b12SBarryFSmith curvature conditions. This method can take step lengths greater than 1. 27790b6438dSAlp Dener 27890b6438dSAlp Dener More-Thuente line-search can be selected with "-tao_ls_type more-thuente". 27990b6438dSAlp Dener 28090b6438dSAlp Dener References: 281606c0280SSatish Balay . * - JORGE J. MORE AND DAVID J. THUENTE, LINE SEARCH ALGORITHMS WITH GUARANTEED SUFFICIENT DECREASE. 28290b6438dSAlp Dener ACM Trans. Math. Software 20, no. 3 (1994): 286-307. 28390b6438dSAlp Dener 28490b6438dSAlp Dener Level: developer 28590b6438dSAlp Dener 28690b6438dSAlp Dener .seealso: TaoLineSearchCreate(), TaoLineSearchSetType(), TaoLineSearchApply() 28790b6438dSAlp Dener 28890b6438dSAlp Dener .keywords: Tao, linesearch 28990b6438dSAlp Dener M*/ 290728e0ed0SBarry Smith PETSC_EXTERN PetscErrorCode TaoLineSearchCreate_MT(TaoLineSearch ls) 291a7e14dcfSSatish Balay { 292a7e14dcfSSatish Balay PetscErrorCode ierr; 2938caf6e8cSBarry Smith TaoLineSearch_MT *ctx; 29453506e15SBarry Smith 295a7e14dcfSSatish Balay PetscFunctionBegin; 296a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 2973c9e27cfSGeoffrey Irving ierr = PetscNewLog(ls,&ctx);CHKERRQ(ierr); 298a7e14dcfSSatish Balay ctx->bracket = 0; 299a7e14dcfSSatish Balay ctx->infoc = 1; 300a7e14dcfSSatish Balay ls->data = (void*)ctx; 301a7e14dcfSSatish Balay ls->initstep = 1.0; 30283c8fe1dSLisandro Dalcin ls->ops->setup = NULL; 30383c8fe1dSLisandro Dalcin ls->ops->reset = NULL; 304a7e14dcfSSatish Balay ls->ops->apply = TaoLineSearchApply_MT; 305a7e14dcfSSatish Balay ls->ops->destroy = TaoLineSearchDestroy_MT; 306a7e14dcfSSatish Balay ls->ops->setfromoptions = TaoLineSearchSetFromOptions_MT; 3072a0dac07SAlp Dener ls->ops->monitor = TaoLineSearchMonitor_MT; 308a7e14dcfSSatish Balay PetscFunctionReturn(0); 309a7e14dcfSSatish Balay } 310a7e14dcfSSatish Balay 311a7e14dcfSSatish Balay /* 312a7e14dcfSSatish Balay The subroutine mcstep is taken from the work of Jorge Nocedal. 313a7e14dcfSSatish Balay this is a variant of More' and Thuente's routine. 314a7e14dcfSSatish Balay 315a7e14dcfSSatish Balay subroutine mcstep 316a7e14dcfSSatish Balay 317a7e14dcfSSatish Balay the purpose of mcstep is to compute a safeguarded step for 318a7e14dcfSSatish Balay a linesearch and to update an interval of uncertainty for 319a7e14dcfSSatish Balay a minimizer of the function. 320a7e14dcfSSatish Balay 321a7e14dcfSSatish Balay the parameter stx contains the step with the least function 322a7e14dcfSSatish Balay value. the parameter stp contains the current step. it is 323a7e14dcfSSatish Balay assumed that the derivative at stx is negative in the 324a7e14dcfSSatish Balay direction of the step. if bracket is set true then a 325a7e14dcfSSatish Balay minimizer has been bracketed in an interval of uncertainty 326a7e14dcfSSatish Balay with endpoints stx and sty. 327a7e14dcfSSatish Balay 328a7e14dcfSSatish Balay the subroutine statement is 329a7e14dcfSSatish Balay 330a7e14dcfSSatish Balay subroutine mcstep(stx,fx,dx,sty,fy,dy,stp,fp,dp,bracket, 331a7e14dcfSSatish Balay stpmin,stpmax,info) 332a7e14dcfSSatish Balay 333a7e14dcfSSatish Balay where 334a7e14dcfSSatish Balay 335a7e14dcfSSatish Balay stx, fx, and dx are variables which specify the step, 336a7e14dcfSSatish Balay the function, and the derivative at the best step obtained 337a7e14dcfSSatish Balay so far. The derivative must be negative in the direction 338a7e14dcfSSatish Balay of the step, that is, dx and stp-stx must have opposite 339a7e14dcfSSatish Balay signs. On output these parameters are updated appropriately. 340a7e14dcfSSatish Balay 341a7e14dcfSSatish Balay sty, fy, and dy are variables which specify the step, 342a7e14dcfSSatish Balay the function, and the derivative at the other endpoint of 343a7e14dcfSSatish Balay the interval of uncertainty. On output these parameters are 344a7e14dcfSSatish Balay updated appropriately. 345a7e14dcfSSatish Balay 346a7e14dcfSSatish Balay stp, fp, and dp are variables which specify the step, 347a7e14dcfSSatish Balay the function, and the derivative at the current step. 348a7e14dcfSSatish Balay If bracket is set true then on input stp must be 349a7e14dcfSSatish Balay between stx and sty. On output stp is set to the new step. 350a7e14dcfSSatish Balay 351a7e14dcfSSatish Balay bracket is a logical variable which specifies if a minimizer 352a7e14dcfSSatish Balay has been bracketed. If the minimizer has not been bracketed 353a7e14dcfSSatish Balay then on input bracket must be set false. If the minimizer 354a7e14dcfSSatish Balay is bracketed then on output bracket is set true. 355a7e14dcfSSatish Balay 356a7e14dcfSSatish Balay stpmin and stpmax are input variables which specify lower 357a7e14dcfSSatish Balay and upper bounds for the step. 358a7e14dcfSSatish Balay 359a7e14dcfSSatish Balay info is an integer output variable set as follows: 360a7e14dcfSSatish Balay if info = 1,2,3,4,5, then the step has been computed 361a7e14dcfSSatish Balay according to one of the five cases below. otherwise 362a7e14dcfSSatish Balay info = 0, and this indicates improper input parameters. 363a7e14dcfSSatish Balay 364a7e14dcfSSatish Balay subprograms called 365a7e14dcfSSatish Balay 366a7e14dcfSSatish Balay fortran-supplied ... abs,max,min,sqrt 367a7e14dcfSSatish Balay 368a7e14dcfSSatish Balay argonne national laboratory. minpack project. june 1983 369a7e14dcfSSatish Balay jorge j. more', david j. thuente 370a7e14dcfSSatish Balay 371a7e14dcfSSatish Balay */ 372a7e14dcfSSatish Balay 37353506e15SBarry 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) 374a7e14dcfSSatish Balay { 3758caf6e8cSBarry Smith TaoLineSearch_MT *mtP = (TaoLineSearch_MT *) ls->data; 376a7e14dcfSSatish Balay PetscReal gamma1, p, q, r, s, sgnd, stpc, stpf, stpq, theta; 377a7e14dcfSSatish Balay PetscInt bound; 378a7e14dcfSSatish Balay 379a7e14dcfSSatish Balay PetscFunctionBegin; 380a7e14dcfSSatish Balay /* Check the input parameters for errors */ 381a7e14dcfSSatish Balay mtP->infoc = 0; 382*3c859ba3SBarry Smith PetscCheck(!mtP->bracket || (*stp > PetscMin(*stx,*sty) && (*stp < PetscMax(*stx,*sty))),PETSC_COMM_SELF,PETSC_ERR_ARG_OUTOFRANGE,"bad stp in bracket"); 383*3c859ba3SBarry Smith PetscCheck(*dx * (*stp-*stx) < 0.0,PETSC_COMM_SELF,PETSC_ERR_ARG_OUTOFRANGE,"dx * (stp-stx) >= 0.0"); 384*3c859ba3SBarry Smith PetscCheck(ls->stepmax >= ls->stepmin,PETSC_COMM_SELF,PETSC_ERR_ARG_OUTOFRANGE,"stepmax > stepmin"); 385a7e14dcfSSatish Balay 386a7e14dcfSSatish Balay /* Determine if the derivatives have opposite sign */ 387a7e14dcfSSatish Balay sgnd = *dp * (*dx / PetscAbsReal(*dx)); 388a7e14dcfSSatish Balay 389a7e14dcfSSatish Balay if (*fp > *fx) { 390a7e14dcfSSatish Balay /* Case 1: a higher function value. 391a7e14dcfSSatish Balay The minimum is bracketed. If the cubic step is closer 392a7e14dcfSSatish Balay to stx than the quadratic step, the cubic step is taken, 393a7e14dcfSSatish Balay else the average of the cubic and quadratic steps is taken. */ 394a7e14dcfSSatish Balay 395a7e14dcfSSatish Balay mtP->infoc = 1; 396a7e14dcfSSatish Balay bound = 1; 397a7e14dcfSSatish Balay theta = 3 * (*fx - *fp) / (*stp - *stx) + *dx + *dp; 398a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 399a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 400a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)); 401a7e14dcfSSatish Balay if (*stp < *stx) gamma1 = -gamma1; 402a7e14dcfSSatish Balay /* Can p be 0? Check */ 403a7e14dcfSSatish Balay p = (gamma1 - *dx) + theta; 404a7e14dcfSSatish Balay q = ((gamma1 - *dx) + gamma1) + *dp; 405a7e14dcfSSatish Balay r = p/q; 406a7e14dcfSSatish Balay stpc = *stx + r*(*stp - *stx); 407a7e14dcfSSatish Balay stpq = *stx + ((*dx/((*fx-*fp)/(*stp-*stx)+*dx))*0.5) * (*stp - *stx); 408a7e14dcfSSatish Balay 409a7e14dcfSSatish Balay if (PetscAbsReal(stpc-*stx) < PetscAbsReal(stpq-*stx)) { 410a7e14dcfSSatish Balay stpf = stpc; 41153506e15SBarry Smith } else { 412a7e14dcfSSatish Balay stpf = stpc + 0.5*(stpq - stpc); 413a7e14dcfSSatish Balay } 414a7e14dcfSSatish Balay mtP->bracket = 1; 41553506e15SBarry Smith } else if (sgnd < 0.0) { 416a7e14dcfSSatish Balay /* Case 2: A lower function value and derivatives of 417a7e14dcfSSatish Balay opposite sign. The minimum is bracketed. If the cubic 418a7e14dcfSSatish Balay step is closer to stx than the quadratic (secant) step, 419a7e14dcfSSatish Balay the cubic step is taken, else the quadratic step is taken. */ 420a7e14dcfSSatish Balay 421a7e14dcfSSatish Balay mtP->infoc = 2; 422a7e14dcfSSatish Balay bound = 0; 423a7e14dcfSSatish Balay theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp; 424a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 425a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 426a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)); 427a7e14dcfSSatish Balay if (*stp > *stx) gamma1 = -gamma1; 428a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 429a7e14dcfSSatish Balay q = ((gamma1 - *dp) + gamma1) + *dx; 430a7e14dcfSSatish Balay r = p/q; 431a7e14dcfSSatish Balay stpc = *stp + r*(*stx - *stp); 432a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx))*(*stx - *stp); 433a7e14dcfSSatish Balay 434a7e14dcfSSatish Balay if (PetscAbsReal(stpc-*stp) > PetscAbsReal(stpq-*stp)) { 435a7e14dcfSSatish Balay stpf = stpc; 43653506e15SBarry Smith } else { 437a7e14dcfSSatish Balay stpf = stpq; 438a7e14dcfSSatish Balay } 439a7e14dcfSSatish Balay mtP->bracket = 1; 44053506e15SBarry Smith } else if (PetscAbsReal(*dp) < PetscAbsReal(*dx)) { 441a7e14dcfSSatish Balay /* Case 3: A lower function value, derivatives of the 442a7e14dcfSSatish Balay same sign, and the magnitude of the derivative decreases. 443a7e14dcfSSatish Balay The cubic step is only used if the cubic tends to infinity 444a7e14dcfSSatish Balay in the direction of the step or if the minimum of the cubic 445a7e14dcfSSatish Balay is beyond stp. Otherwise the cubic step is defined to be 446a7e14dcfSSatish Balay either stepmin or stepmax. The quadratic (secant) step is also 447df3898eeSBarry Smith computed and if the minimum is bracketed then the step 448a7e14dcfSSatish Balay closest to stx is taken, else the step farthest away is taken. */ 449a7e14dcfSSatish Balay 450a7e14dcfSSatish Balay mtP->infoc = 3; 451a7e14dcfSSatish Balay bound = 1; 452a7e14dcfSSatish Balay theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp; 453a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 454a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 455a7e14dcfSSatish Balay 456a7e14dcfSSatish Balay /* The case gamma1 = 0 only arises if the cubic does not tend 457a7e14dcfSSatish Balay to infinity in the direction of the step. */ 458a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscMax(0.0,PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s))); 459a7e14dcfSSatish Balay if (*stp > *stx) gamma1 = -gamma1; 460a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 461a7e14dcfSSatish Balay q = (gamma1 + (*dx - *dp)) + gamma1; 462a7e14dcfSSatish Balay r = p/q; 463a7e14dcfSSatish Balay if (r < 0.0 && gamma1 != 0.0) stpc = *stp + r*(*stx - *stp); 464a7e14dcfSSatish Balay else if (*stp > *stx) stpc = ls->stepmax; 465a7e14dcfSSatish Balay else stpc = ls->stepmin; 466a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx)) * (*stx - *stp); 467a7e14dcfSSatish Balay 468a7e14dcfSSatish Balay if (mtP->bracket) { 469a7e14dcfSSatish Balay if (PetscAbsReal(*stp-stpc) < PetscAbsReal(*stp-stpq)) { 470a7e14dcfSSatish Balay stpf = stpc; 47153506e15SBarry Smith } else { 472a7e14dcfSSatish Balay stpf = stpq; 473a7e14dcfSSatish Balay } 47453506e15SBarry Smith } else { 475a7e14dcfSSatish Balay if (PetscAbsReal(*stp-stpc) > PetscAbsReal(*stp-stpq)) { 476a7e14dcfSSatish Balay stpf = stpc; 47753506e15SBarry Smith } else { 478a7e14dcfSSatish Balay stpf = stpq; 479a7e14dcfSSatish Balay } 480a7e14dcfSSatish Balay } 48153506e15SBarry Smith } else { 482a7e14dcfSSatish Balay /* Case 4: A lower function value, derivatives of the 483a7e14dcfSSatish Balay same sign, and the magnitude of the derivative does 484a7e14dcfSSatish Balay not decrease. If the minimum is not bracketed, the step 485a7e14dcfSSatish Balay is either stpmin or stpmax, else the cubic step is taken. */ 486a7e14dcfSSatish Balay 487a7e14dcfSSatish Balay mtP->infoc = 4; 488a7e14dcfSSatish Balay bound = 0; 489a7e14dcfSSatish Balay if (mtP->bracket) { 490a7e14dcfSSatish Balay theta = 3*(*fp - *fy)/(*sty - *stp) + *dy + *dp; 491a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dy)); 492a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 493a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dy/s)*(*dp/s)); 494a7e14dcfSSatish Balay if (*stp > *sty) gamma1 = -gamma1; 495a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 496a7e14dcfSSatish Balay q = ((gamma1 - *dp) + gamma1) + *dy; 497a7e14dcfSSatish Balay r = p/q; 498a7e14dcfSSatish Balay stpc = *stp + r*(*sty - *stp); 499a7e14dcfSSatish Balay stpf = stpc; 50053506e15SBarry Smith } else if (*stp > *stx) { 501a7e14dcfSSatish Balay stpf = ls->stepmax; 50253506e15SBarry Smith } else { 503a7e14dcfSSatish Balay stpf = ls->stepmin; 504a7e14dcfSSatish Balay } 505a7e14dcfSSatish Balay } 506a7e14dcfSSatish Balay 507a7e14dcfSSatish Balay /* Update the interval of uncertainty. This update does not 508a7e14dcfSSatish Balay depend on the new step or the case analysis above. */ 509a7e14dcfSSatish Balay 510a7e14dcfSSatish Balay if (*fp > *fx) { 511a7e14dcfSSatish Balay *sty = *stp; 512a7e14dcfSSatish Balay *fy = *fp; 513a7e14dcfSSatish Balay *dy = *dp; 51453506e15SBarry Smith } else { 515a7e14dcfSSatish Balay if (sgnd < 0.0) { 516a7e14dcfSSatish Balay *sty = *stx; 517a7e14dcfSSatish Balay *fy = *fx; 518a7e14dcfSSatish Balay *dy = *dx; 519a7e14dcfSSatish Balay } 520a7e14dcfSSatish Balay *stx = *stp; 521a7e14dcfSSatish Balay *fx = *fp; 522a7e14dcfSSatish Balay *dx = *dp; 523a7e14dcfSSatish Balay } 524a7e14dcfSSatish Balay 525a7e14dcfSSatish Balay /* Compute the new step and safeguard it. */ 526a7e14dcfSSatish Balay stpf = PetscMin(ls->stepmax,stpf); 527a7e14dcfSSatish Balay stpf = PetscMax(ls->stepmin,stpf); 528a7e14dcfSSatish Balay *stp = stpf; 529a7e14dcfSSatish Balay if (mtP->bracket && bound) { 530a7e14dcfSSatish Balay if (*sty > *stx) { 531a7e14dcfSSatish Balay *stp = PetscMin(*stx+0.66*(*sty-*stx),*stp); 53253506e15SBarry Smith } else { 533a7e14dcfSSatish Balay *stp = PetscMax(*stx+0.66*(*sty-*stx),*stp); 534a7e14dcfSSatish Balay } 535a7e14dcfSSatish Balay } 536a7e14dcfSSatish Balay PetscFunctionReturn(0); 537a7e14dcfSSatish Balay } 538