1aaa7dc30SBarry 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 #undef __FUNCT__ 13a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchDestroy_MT" 14a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchDestroy_MT(TaoLineSearch ls) 15a7e14dcfSSatish Balay { 16a7e14dcfSSatish Balay PetscErrorCode ierr; 178caf6e8cSBarry Smith TaoLineSearch_MT *mt; 1853506e15SBarry Smith 19a7e14dcfSSatish Balay PetscFunctionBegin; 20a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 218caf6e8cSBarry Smith mt = (TaoLineSearch_MT*)(ls->data); 22a7e14dcfSSatish Balay if (mt->x) { 23a7e14dcfSSatish Balay ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr); 24a7e14dcfSSatish Balay } 25a7e14dcfSSatish Balay ierr = VecDestroy(&mt->work);CHKERRQ(ierr); 26a7e14dcfSSatish Balay ierr = PetscFree(ls->data); 27a7e14dcfSSatish Balay PetscFunctionReturn(0); 28a7e14dcfSSatish Balay } 29a7e14dcfSSatish Balay 30a7e14dcfSSatish Balay #undef __FUNCT__ 31a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchSetFromOptions_MT" 32a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchSetFromOptions_MT(TaoLineSearch ls) 33a7e14dcfSSatish Balay { 34a7e14dcfSSatish Balay PetscFunctionBegin; 35a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 36a7e14dcfSSatish Balay PetscFunctionReturn(0); 37a7e14dcfSSatish Balay } 38a7e14dcfSSatish Balay 39a7e14dcfSSatish Balay #undef __FUNCT__ 40a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchView_MT" 41a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchView_MT(TaoLineSearch ls, PetscViewer pv) 42a7e14dcfSSatish Balay { 43a7e14dcfSSatish Balay PetscErrorCode ierr; 44a7e14dcfSSatish Balay PetscBool isascii; 4553506e15SBarry Smith 46a7e14dcfSSatish Balay PetscFunctionBegin; 47a7e14dcfSSatish Balay ierr = PetscObjectTypeCompare((PetscObject)pv, PETSCVIEWERASCII, &isascii);CHKERRQ(ierr); 48a7e14dcfSSatish Balay if (isascii) { 49f06e3bfaSBarry Smith ierr = PetscViewerASCIIPrintf(pv," maxf=%D, ftol=%g, gtol=%g\n",ls->max_funcs,(double)ls->rtol,(double)ls->ftol);CHKERRQ(ierr); 50a7e14dcfSSatish Balay } 51a7e14dcfSSatish Balay PetscFunctionReturn(0); 52a7e14dcfSSatish Balay } 53a7e14dcfSSatish Balay 54a7e14dcfSSatish Balay #undef __FUNCT__ 55a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchApply_MT" 56a7e14dcfSSatish Balay /* @ TaoApply_LineSearch - This routine takes step length of 1.0. 57a7e14dcfSSatish Balay 58a7e14dcfSSatish Balay Input Parameters: 59441846f8SBarry Smith + tao - Tao context 60a7e14dcfSSatish Balay . X - current iterate (on output X contains new iterate, X + step*S) 61a7e14dcfSSatish Balay . f - objective function evaluated at X 62a7e14dcfSSatish Balay . G - gradient evaluated at X 63a7e14dcfSSatish Balay - D - search direction 64a7e14dcfSSatish Balay 65a7e14dcfSSatish Balay 66a7e14dcfSSatish Balay Info is set to 0. 67a7e14dcfSSatish Balay 68a7e14dcfSSatish Balay @ */ 69a7e14dcfSSatish Balay 70a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchApply_MT(TaoLineSearch ls, Vec x, PetscReal *f, Vec g, Vec s) 71a7e14dcfSSatish Balay { 72a7e14dcfSSatish Balay PetscErrorCode ierr; 738caf6e8cSBarry Smith TaoLineSearch_MT *mt; 74a7e14dcfSSatish Balay 75a7e14dcfSSatish Balay PetscReal xtrapf = 4.0; 76a7e14dcfSSatish Balay PetscReal finit, width, width1, dginit, fm, fxm, fym, dgm, dgxm, dgym; 77a7e14dcfSSatish Balay PetscReal dgx, dgy, dg, dg2, fx, fy, stx, sty, dgtest; 78a7e14dcfSSatish Balay PetscReal ftest1=0.0, ftest2=0.0; 79a7e14dcfSSatish Balay PetscInt i, stage1,n1,n2,nn1,nn2; 80a7e14dcfSSatish Balay PetscReal bstepmin1, bstepmin2, bstepmax; 8153506e15SBarry Smith PetscBool g_computed=PETSC_FALSE; /* to prevent extra gradient computation */ 82a7e14dcfSSatish Balay 83a7e14dcfSSatish Balay PetscFunctionBegin; 84a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 85a7e14dcfSSatish Balay PetscValidHeaderSpecific(x,VEC_CLASSID,2); 86a7e14dcfSSatish Balay PetscValidScalarPointer(f,3); 87a7e14dcfSSatish Balay PetscValidHeaderSpecific(g,VEC_CLASSID,4); 88a7e14dcfSSatish Balay PetscValidHeaderSpecific(s,VEC_CLASSID,5); 89a7e14dcfSSatish Balay 90a7e14dcfSSatish Balay /* comm,type,size checks are done in interface TaoLineSearchApply */ 918caf6e8cSBarry Smith mt = (TaoLineSearch_MT*)(ls->data); 92a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_CONTINUE_ITERATING; 93a7e14dcfSSatish Balay 94a7e14dcfSSatish Balay /* Check work vector */ 95a7e14dcfSSatish Balay if (!mt->work) { 96a7e14dcfSSatish Balay ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr); 97a7e14dcfSSatish Balay mt->x = x; 98a7e14dcfSSatish Balay ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr); 9953506e15SBarry Smith } else if (x != mt->x) { 100a7e14dcfSSatish Balay ierr = VecDestroy(&mt->work);CHKERRQ(ierr); 101a7e14dcfSSatish Balay ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr); 102a7e14dcfSSatish Balay ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr); 103a7e14dcfSSatish Balay mt->x = x; 104a7e14dcfSSatish Balay ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr); 105a7e14dcfSSatish Balay } 106a7e14dcfSSatish Balay 107a7e14dcfSSatish Balay if (ls->bounded) { 108a7e14dcfSSatish Balay /* Compute step length needed to make all variables equal a bound */ 109a7e14dcfSSatish Balay /* Compute the smallest steplength that will make one nonbinding variable 110a7e14dcfSSatish Balay equal the bound */ 111a7e14dcfSSatish Balay ierr = VecGetLocalSize(ls->upper,&n1);CHKERRQ(ierr); 112a7e14dcfSSatish Balay ierr = VecGetLocalSize(mt->x, &n2);CHKERRQ(ierr); 113a7e14dcfSSatish Balay ierr = VecGetSize(ls->upper,&nn1);CHKERRQ(ierr); 114a7e14dcfSSatish Balay ierr = VecGetSize(mt->x,&nn2);CHKERRQ(ierr); 11553506e15SBarry Smith if (n1 != n2 || nn1 != nn2) SETERRQ(PETSC_COMM_SELF,PETSC_ERR_ARG_SIZ,"Variable vector not compatible with bounds vector"); 116a7e14dcfSSatish Balay ierr = VecScale(s,-1.0);CHKERRQ(ierr); 117a7e14dcfSSatish Balay ierr = VecBoundGradientProjection(s,x,ls->lower,ls->upper,s);CHKERRQ(ierr); 118a7e14dcfSSatish Balay ierr = VecScale(s,-1.0);CHKERRQ(ierr); 119e270355aSBarry Smith ierr = VecStepBoundInfo(x,s,ls->lower,ls->upper,&bstepmin1,&bstepmin2,&bstepmax);CHKERRQ(ierr); 120a7e14dcfSSatish Balay ls->stepmax = PetscMin(bstepmax,1.0e15); 121a7e14dcfSSatish Balay } 122a7e14dcfSSatish Balay 123a7e14dcfSSatish Balay ierr = VecDot(g,s,&dginit); 124a7e14dcfSSatish Balay if (PetscIsInfOrNanReal(dginit)) { 125f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Initial Line Search step * g is Inf or Nan (%g)\n",(double)dginit);CHKERRQ(ierr); 126a7e14dcfSSatish Balay ls->reason=TAOLINESEARCH_FAILED_INFORNAN; 127a7e14dcfSSatish Balay PetscFunctionReturn(0); 128a7e14dcfSSatish Balay } 129a7e14dcfSSatish Balay if (dginit >= 0.0) { 130f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Initial Line Search step * g is not descent direction (%g)\n",(double)dginit);CHKERRQ(ierr); 131a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_FAILED_ASCENT; 132a7e14dcfSSatish Balay PetscFunctionReturn(0); 133a7e14dcfSSatish Balay } 134a7e14dcfSSatish Balay 135a7e14dcfSSatish Balay 136a7e14dcfSSatish Balay /* Initialization */ 137a7e14dcfSSatish Balay mt->bracket = 0; 138a7e14dcfSSatish Balay stage1 = 1; 139a7e14dcfSSatish Balay finit = *f; 140a7e14dcfSSatish Balay dgtest = ls->ftol * dginit; 141a7e14dcfSSatish Balay width = ls->stepmax - ls->stepmin; 142a7e14dcfSSatish Balay width1 = width * 2.0; 143a7e14dcfSSatish Balay ierr = VecCopy(x,mt->work);CHKERRQ(ierr); 144a7e14dcfSSatish Balay /* Variable dictionary: 145a7e14dcfSSatish Balay stx, fx, dgx - the step, function, and derivative at the best step 146a7e14dcfSSatish Balay sty, fy, dgy - the step, function, and derivative at the other endpoint 147a7e14dcfSSatish Balay of the interval of uncertainty 148a7e14dcfSSatish Balay step, f, dg - the step, function, and derivative at the current step */ 149a7e14dcfSSatish Balay 150a7e14dcfSSatish Balay stx = 0.0; 151a7e14dcfSSatish Balay fx = finit; 152a7e14dcfSSatish Balay dgx = dginit; 153a7e14dcfSSatish Balay sty = 0.0; 154a7e14dcfSSatish Balay fy = finit; 155a7e14dcfSSatish Balay dgy = dginit; 156a7e14dcfSSatish Balay 157a7e14dcfSSatish Balay ls->step=ls->initstep; 158a7e14dcfSSatish Balay for (i=0; i< ls->max_funcs; i++) { 159a7e14dcfSSatish Balay /* Set min and max steps to correspond to the interval of uncertainty */ 160a7e14dcfSSatish Balay if (mt->bracket) { 161a7e14dcfSSatish Balay ls->stepmin = PetscMin(stx,sty); 162a7e14dcfSSatish Balay ls->stepmax = PetscMax(stx,sty); 16353506e15SBarry Smith } else { 164a7e14dcfSSatish Balay ls->stepmin = stx; 165a7e14dcfSSatish Balay ls->stepmax = ls->step + xtrapf * (ls->step - stx); 166a7e14dcfSSatish Balay } 167a7e14dcfSSatish Balay 168a7e14dcfSSatish Balay /* Force the step to be within the bounds */ 169a7e14dcfSSatish Balay ls->step = PetscMax(ls->step,ls->stepmin); 170a7e14dcfSSatish Balay ls->step = PetscMin(ls->step,ls->stepmax); 171a7e14dcfSSatish Balay 172a7e14dcfSSatish Balay /* If an unusual termination is to occur, then let step be the lowest 173a7e14dcfSSatish Balay point obtained thus far */ 17453506e15SBarry Smith if ((stx!=0) && (((mt->bracket) && (ls->step <= ls->stepmin || ls->step >= ls->stepmax)) || ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol * ls->stepmax)) || 175a7e14dcfSSatish Balay ((ls->nfeval+ls->nfgeval) >= ls->max_funcs - 1) || (mt->infoc == 0))) { 176a7e14dcfSSatish Balay ls->step = stx; 177a7e14dcfSSatish Balay } 178a7e14dcfSSatish Balay 179a7e14dcfSSatish Balay ierr = VecCopy(x,mt->work);CHKERRQ(ierr); 180a7e14dcfSSatish Balay ierr = VecAXPY(mt->work,ls->step,s);CHKERRQ(ierr); /* W = X + step*S */ 181a7e14dcfSSatish Balay 182a7e14dcfSSatish Balay if (ls->bounded) { 183a7e14dcfSSatish Balay ierr = VecMedian(ls->lower, mt->work, ls->upper, mt->work);CHKERRQ(ierr); 184a7e14dcfSSatish Balay } 185a7e14dcfSSatish Balay if (ls->usegts) { 186a7e14dcfSSatish Balay ierr = TaoLineSearchComputeObjectiveAndGTS(ls,mt->work,f,&dg);CHKERRQ(ierr); 187a7e14dcfSSatish Balay g_computed=PETSC_FALSE; 188a7e14dcfSSatish Balay } else { 189a7e14dcfSSatish Balay ierr = TaoLineSearchComputeObjectiveAndGradient(ls,mt->work,f,g);CHKERRQ(ierr); 190a7e14dcfSSatish Balay g_computed=PETSC_TRUE; 191a7e14dcfSSatish Balay if (ls->bounded) { 192a7e14dcfSSatish Balay ierr = VecDot(g,x,&dg);CHKERRQ(ierr); 193a7e14dcfSSatish Balay ierr = VecDot(g,mt->work,&dg2);CHKERRQ(ierr); 194a7e14dcfSSatish Balay dg = (dg2 - dg)/ls->step; 195a7e14dcfSSatish Balay } else { 196a7e14dcfSSatish Balay ierr = VecDot(g,s,&dg);CHKERRQ(ierr); 197a7e14dcfSSatish Balay } 198a7e14dcfSSatish Balay } 199a7e14dcfSSatish Balay 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); 226*4e6ef68fSJason 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 309a7e14dcfSSatish Balay EXTERN_C_BEGIN 310a7e14dcfSSatish Balay #undef __FUNCT__ 311a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchCreate_MT" 312a7e14dcfSSatish Balay PetscErrorCode TaoLineSearchCreate_MT(TaoLineSearch ls) 313a7e14dcfSSatish Balay { 314a7e14dcfSSatish Balay PetscErrorCode ierr; 3158caf6e8cSBarry Smith TaoLineSearch_MT *ctx; 31653506e15SBarry Smith 317a7e14dcfSSatish Balay PetscFunctionBegin; 318a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 3193c9e27cfSGeoffrey Irving ierr = PetscNewLog(ls,&ctx);CHKERRQ(ierr); 320a7e14dcfSSatish Balay ctx->bracket=0; 321a7e14dcfSSatish Balay ctx->infoc=1; 322a7e14dcfSSatish Balay ls->data = (void*)ctx; 323a7e14dcfSSatish Balay ls->initstep = 1.0; 324a7e14dcfSSatish Balay ls->ops->setup=0; 325a7e14dcfSSatish Balay ls->ops->apply=TaoLineSearchApply_MT; 326a7e14dcfSSatish Balay ls->ops->view =TaoLineSearchView_MT; 327a7e14dcfSSatish Balay ls->ops->destroy=TaoLineSearchDestroy_MT; 328a7e14dcfSSatish Balay ls->ops->setfromoptions=TaoLineSearchSetFromOptions_MT; 329a7e14dcfSSatish Balay PetscFunctionReturn(0); 330a7e14dcfSSatish Balay } 331a7e14dcfSSatish Balay EXTERN_C_END 332a7e14dcfSSatish Balay 333a7e14dcfSSatish Balay /* 334a7e14dcfSSatish Balay The subroutine mcstep is taken from the work of Jorge Nocedal. 335a7e14dcfSSatish Balay this is a variant of More' and Thuente's routine. 336a7e14dcfSSatish Balay 337a7e14dcfSSatish Balay subroutine mcstep 338a7e14dcfSSatish Balay 339a7e14dcfSSatish Balay the purpose of mcstep is to compute a safeguarded step for 340a7e14dcfSSatish Balay a linesearch and to update an interval of uncertainty for 341a7e14dcfSSatish Balay a minimizer of the function. 342a7e14dcfSSatish Balay 343a7e14dcfSSatish Balay the parameter stx contains the step with the least function 344a7e14dcfSSatish Balay value. the parameter stp contains the current step. it is 345a7e14dcfSSatish Balay assumed that the derivative at stx is negative in the 346a7e14dcfSSatish Balay direction of the step. if bracket is set true then a 347a7e14dcfSSatish Balay minimizer has been bracketed in an interval of uncertainty 348a7e14dcfSSatish Balay with endpoints stx and sty. 349a7e14dcfSSatish Balay 350a7e14dcfSSatish Balay the subroutine statement is 351a7e14dcfSSatish Balay 352a7e14dcfSSatish Balay subroutine mcstep(stx,fx,dx,sty,fy,dy,stp,fp,dp,bracket, 353a7e14dcfSSatish Balay stpmin,stpmax,info) 354a7e14dcfSSatish Balay 355a7e14dcfSSatish Balay where 356a7e14dcfSSatish Balay 357a7e14dcfSSatish Balay stx, fx, and dx are variables which specify the step, 358a7e14dcfSSatish Balay the function, and the derivative at the best step obtained 359a7e14dcfSSatish Balay so far. The derivative must be negative in the direction 360a7e14dcfSSatish Balay of the step, that is, dx and stp-stx must have opposite 361a7e14dcfSSatish Balay signs. On output these parameters are updated appropriately. 362a7e14dcfSSatish Balay 363a7e14dcfSSatish Balay sty, fy, and dy are variables which specify the step, 364a7e14dcfSSatish Balay the function, and the derivative at the other endpoint of 365a7e14dcfSSatish Balay the interval of uncertainty. On output these parameters are 366a7e14dcfSSatish Balay updated appropriately. 367a7e14dcfSSatish Balay 368a7e14dcfSSatish Balay stp, fp, and dp are variables which specify the step, 369a7e14dcfSSatish Balay the function, and the derivative at the current step. 370a7e14dcfSSatish Balay If bracket is set true then on input stp must be 371a7e14dcfSSatish Balay between stx and sty. On output stp is set to the new step. 372a7e14dcfSSatish Balay 373a7e14dcfSSatish Balay bracket is a logical variable which specifies if a minimizer 374a7e14dcfSSatish Balay has been bracketed. If the minimizer has not been bracketed 375a7e14dcfSSatish Balay then on input bracket must be set false. If the minimizer 376a7e14dcfSSatish Balay is bracketed then on output bracket is set true. 377a7e14dcfSSatish Balay 378a7e14dcfSSatish Balay stpmin and stpmax are input variables which specify lower 379a7e14dcfSSatish Balay and upper bounds for the step. 380a7e14dcfSSatish Balay 381a7e14dcfSSatish Balay info is an integer output variable set as follows: 382a7e14dcfSSatish Balay if info = 1,2,3,4,5, then the step has been computed 383a7e14dcfSSatish Balay according to one of the five cases below. otherwise 384a7e14dcfSSatish Balay info = 0, and this indicates improper input parameters. 385a7e14dcfSSatish Balay 386a7e14dcfSSatish Balay subprograms called 387a7e14dcfSSatish Balay 388a7e14dcfSSatish Balay fortran-supplied ... abs,max,min,sqrt 389a7e14dcfSSatish Balay 390a7e14dcfSSatish Balay argonne national laboratory. minpack project. june 1983 391a7e14dcfSSatish Balay jorge j. more', david j. thuente 392a7e14dcfSSatish Balay 393a7e14dcfSSatish Balay */ 394a7e14dcfSSatish Balay 395a7e14dcfSSatish Balay #undef __FUNCT__ 396a7e14dcfSSatish Balay #define __FUNCT__ "Tao_mcstep" 39753506e15SBarry 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) 398a7e14dcfSSatish Balay { 3998caf6e8cSBarry Smith TaoLineSearch_MT *mtP = (TaoLineSearch_MT *) ls->data; 400a7e14dcfSSatish Balay PetscReal gamma1, p, q, r, s, sgnd, stpc, stpf, stpq, theta; 401a7e14dcfSSatish Balay PetscInt bound; 402a7e14dcfSSatish Balay 403a7e14dcfSSatish Balay PetscFunctionBegin; 404a7e14dcfSSatish Balay /* Check the input parameters for errors */ 405a7e14dcfSSatish Balay mtP->infoc = 0; 406a7e14dcfSSatish Balay if (mtP->bracket && (*stp <= PetscMin(*stx,*sty) || (*stp >= PetscMax(*stx,*sty)))) SETERRQ(PETSC_COMM_SELF,1,"bad stp in bracket"); 407a7e14dcfSSatish Balay if (*dx * (*stp-*stx) >= 0.0) SETERRQ(PETSC_COMM_SELF,1,"dx * (stp-stx) >= 0.0"); 408a7e14dcfSSatish Balay if (ls->stepmax < ls->stepmin) SETERRQ(PETSC_COMM_SELF,1,"stepmax > stepmin"); 409a7e14dcfSSatish Balay 410a7e14dcfSSatish Balay /* Determine if the derivatives have opposite sign */ 411a7e14dcfSSatish Balay sgnd = *dp * (*dx / PetscAbsReal(*dx)); 412a7e14dcfSSatish Balay 413a7e14dcfSSatish Balay if (*fp > *fx) { 414a7e14dcfSSatish Balay /* Case 1: a higher function value. 415a7e14dcfSSatish Balay The minimum is bracketed. If the cubic step is closer 416a7e14dcfSSatish Balay to stx than the quadratic step, the cubic step is taken, 417a7e14dcfSSatish Balay else the average of the cubic and quadratic steps is taken. */ 418a7e14dcfSSatish Balay 419a7e14dcfSSatish Balay mtP->infoc = 1; 420a7e14dcfSSatish Balay bound = 1; 421a7e14dcfSSatish Balay theta = 3 * (*fx - *fp) / (*stp - *stx) + *dx + *dp; 422a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 423a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 424a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)); 425a7e14dcfSSatish Balay if (*stp < *stx) gamma1 = -gamma1; 426a7e14dcfSSatish Balay /* Can p be 0? Check */ 427a7e14dcfSSatish Balay p = (gamma1 - *dx) + theta; 428a7e14dcfSSatish Balay q = ((gamma1 - *dx) + gamma1) + *dp; 429a7e14dcfSSatish Balay r = p/q; 430a7e14dcfSSatish Balay stpc = *stx + r*(*stp - *stx); 431a7e14dcfSSatish Balay stpq = *stx + ((*dx/((*fx-*fp)/(*stp-*stx)+*dx))*0.5) * (*stp - *stx); 432a7e14dcfSSatish Balay 433a7e14dcfSSatish Balay if (PetscAbsReal(stpc-*stx) < PetscAbsReal(stpq-*stx)) { 434a7e14dcfSSatish Balay stpf = stpc; 43553506e15SBarry Smith } else { 436a7e14dcfSSatish Balay stpf = stpc + 0.5*(stpq - stpc); 437a7e14dcfSSatish Balay } 438a7e14dcfSSatish Balay mtP->bracket = 1; 43953506e15SBarry Smith } else if (sgnd < 0.0) { 440a7e14dcfSSatish Balay /* Case 2: A lower function value and derivatives of 441a7e14dcfSSatish Balay opposite sign. The minimum is bracketed. If the cubic 442a7e14dcfSSatish Balay step is closer to stx than the quadratic (secant) step, 443a7e14dcfSSatish Balay the cubic step is taken, else the quadratic step is taken. */ 444a7e14dcfSSatish Balay 445a7e14dcfSSatish Balay mtP->infoc = 2; 446a7e14dcfSSatish Balay bound = 0; 447a7e14dcfSSatish Balay theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp; 448a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 449a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 450a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)); 451a7e14dcfSSatish Balay if (*stp > *stx) gamma1 = -gamma1; 452a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 453a7e14dcfSSatish Balay q = ((gamma1 - *dp) + gamma1) + *dx; 454a7e14dcfSSatish Balay r = p/q; 455a7e14dcfSSatish Balay stpc = *stp + r*(*stx - *stp); 456a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx))*(*stx - *stp); 457a7e14dcfSSatish Balay 458a7e14dcfSSatish Balay if (PetscAbsReal(stpc-*stp) > PetscAbsReal(stpq-*stp)) { 459a7e14dcfSSatish Balay stpf = stpc; 46053506e15SBarry Smith } else { 461a7e14dcfSSatish Balay stpf = stpq; 462a7e14dcfSSatish Balay } 463a7e14dcfSSatish Balay mtP->bracket = 1; 46453506e15SBarry Smith } else if (PetscAbsReal(*dp) < PetscAbsReal(*dx)) { 465a7e14dcfSSatish Balay /* Case 3: A lower function value, derivatives of the 466a7e14dcfSSatish Balay same sign, and the magnitude of the derivative decreases. 467a7e14dcfSSatish Balay The cubic step is only used if the cubic tends to infinity 468a7e14dcfSSatish Balay in the direction of the step or if the minimum of the cubic 469a7e14dcfSSatish Balay is beyond stp. Otherwise the cubic step is defined to be 470a7e14dcfSSatish Balay either stepmin or stepmax. The quadratic (secant) step is also 471a7e14dcfSSatish Balay computed and if the minimum is bracketed then the the step 472a7e14dcfSSatish Balay closest to stx is taken, else the step farthest away is taken. */ 473a7e14dcfSSatish Balay 474a7e14dcfSSatish Balay mtP->infoc = 3; 475a7e14dcfSSatish Balay bound = 1; 476a7e14dcfSSatish Balay theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp; 477a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 478a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 479a7e14dcfSSatish Balay 480a7e14dcfSSatish Balay /* The case gamma1 = 0 only arises if the cubic does not tend 481a7e14dcfSSatish Balay to infinity in the direction of the step. */ 482a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscMax(0.0,PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s))); 483a7e14dcfSSatish Balay if (*stp > *stx) gamma1 = -gamma1; 484a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 485a7e14dcfSSatish Balay q = (gamma1 + (*dx - *dp)) + gamma1; 486a7e14dcfSSatish Balay r = p/q; 487a7e14dcfSSatish Balay if (r < 0.0 && gamma1 != 0.0) stpc = *stp + r*(*stx - *stp); 488a7e14dcfSSatish Balay else if (*stp > *stx) stpc = ls->stepmax; 489a7e14dcfSSatish Balay else stpc = ls->stepmin; 490a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx)) * (*stx - *stp); 491a7e14dcfSSatish Balay 492a7e14dcfSSatish Balay if (mtP->bracket) { 493a7e14dcfSSatish Balay if (PetscAbsReal(*stp-stpc) < PetscAbsReal(*stp-stpq)) { 494a7e14dcfSSatish Balay stpf = stpc; 49553506e15SBarry Smith } else { 496a7e14dcfSSatish Balay stpf = stpq; 497a7e14dcfSSatish Balay } 49853506e15SBarry Smith } else { 499a7e14dcfSSatish Balay if (PetscAbsReal(*stp-stpc) > PetscAbsReal(*stp-stpq)) { 500a7e14dcfSSatish Balay stpf = stpc; 50153506e15SBarry Smith } else { 502a7e14dcfSSatish Balay stpf = stpq; 503a7e14dcfSSatish Balay } 504a7e14dcfSSatish Balay } 50553506e15SBarry Smith } else { 506a7e14dcfSSatish Balay /* Case 4: A lower function value, derivatives of the 507a7e14dcfSSatish Balay same sign, and the magnitude of the derivative does 508a7e14dcfSSatish Balay not decrease. If the minimum is not bracketed, the step 509a7e14dcfSSatish Balay is either stpmin or stpmax, else the cubic step is taken. */ 510a7e14dcfSSatish Balay 511a7e14dcfSSatish Balay mtP->infoc = 4; 512a7e14dcfSSatish Balay bound = 0; 513a7e14dcfSSatish Balay if (mtP->bracket) { 514a7e14dcfSSatish Balay theta = 3*(*fp - *fy)/(*sty - *stp) + *dy + *dp; 515a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dy)); 516a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 517a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dy/s)*(*dp/s)); 518a7e14dcfSSatish Balay if (*stp > *sty) gamma1 = -gamma1; 519a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 520a7e14dcfSSatish Balay q = ((gamma1 - *dp) + gamma1) + *dy; 521a7e14dcfSSatish Balay r = p/q; 522a7e14dcfSSatish Balay stpc = *stp + r*(*sty - *stp); 523a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx)) * (*stx - *stp); 524a7e14dcfSSatish Balay 525a7e14dcfSSatish Balay stpf = stpc; 52653506e15SBarry Smith } else if (*stp > *stx) { 527a7e14dcfSSatish Balay stpf = ls->stepmax; 52853506e15SBarry Smith } else { 529a7e14dcfSSatish Balay stpf = ls->stepmin; 530a7e14dcfSSatish Balay } 531a7e14dcfSSatish Balay } 532a7e14dcfSSatish Balay 533a7e14dcfSSatish Balay /* Update the interval of uncertainty. This update does not 534a7e14dcfSSatish Balay depend on the new step or the case analysis above. */ 535a7e14dcfSSatish Balay 536a7e14dcfSSatish Balay if (*fp > *fx) { 537a7e14dcfSSatish Balay *sty = *stp; 538a7e14dcfSSatish Balay *fy = *fp; 539a7e14dcfSSatish Balay *dy = *dp; 54053506e15SBarry Smith } else { 541a7e14dcfSSatish Balay if (sgnd < 0.0) { 542a7e14dcfSSatish Balay *sty = *stx; 543a7e14dcfSSatish Balay *fy = *fx; 544a7e14dcfSSatish Balay *dy = *dx; 545a7e14dcfSSatish Balay } 546a7e14dcfSSatish Balay *stx = *stp; 547a7e14dcfSSatish Balay *fx = *fp; 548a7e14dcfSSatish Balay *dx = *dp; 549a7e14dcfSSatish Balay } 550a7e14dcfSSatish Balay 551a7e14dcfSSatish Balay /* Compute the new step and safeguard it. */ 552a7e14dcfSSatish Balay stpf = PetscMin(ls->stepmax,stpf); 553a7e14dcfSSatish Balay stpf = PetscMax(ls->stepmin,stpf); 554a7e14dcfSSatish Balay *stp = stpf; 555a7e14dcfSSatish Balay if (mtP->bracket && bound) { 556a7e14dcfSSatish Balay if (*sty > *stx) { 557a7e14dcfSSatish Balay *stp = PetscMin(*stx+0.66*(*sty-*stx),*stp); 55853506e15SBarry Smith } else { 559a7e14dcfSSatish Balay *stp = PetscMax(*stx+0.66*(*sty-*stx),*stp); 560a7e14dcfSSatish Balay } 561a7e14dcfSSatish Balay } 562a7e14dcfSSatish Balay PetscFunctionReturn(0); 563a7e14dcfSSatish Balay } 564