1*aaa7dc30SBarry Smith #include <petscvec.h> 2*aaa7dc30SBarry Smith #include <taosolver.h> 3*aaa7dc30SBarry Smith #include <petsc-private/taolinesearchimpl.h> 4*aaa7dc30SBarry Smith #include <../src/tao/linesearch/impls/morethuente/morethuente.h> 5a7e14dcfSSatish Balay 6a7e14dcfSSatish Balay /* 7a7e14dcfSSatish Balay This algorithm is taken from More' and Thuente, "Line search algorithms 8a7e14dcfSSatish Balay with guaranteed sufficient decrease", Argonne National Laboratory, 9a7e14dcfSSatish Balay Technical Report MCS-P330-1092. 10a7e14dcfSSatish Balay */ 11a7e14dcfSSatish Balay 1253506e15SBarry 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); 13a7e14dcfSSatish Balay 14a7e14dcfSSatish Balay #undef __FUNCT__ 15a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchDestroy_MT" 16a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchDestroy_MT(TaoLineSearch ls) 17a7e14dcfSSatish Balay { 18a7e14dcfSSatish Balay PetscErrorCode ierr; 19a7e14dcfSSatish Balay TAOLINESEARCH_MT_CTX *mt; 2053506e15SBarry Smith 21a7e14dcfSSatish Balay PetscFunctionBegin; 22a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 23a7e14dcfSSatish Balay mt = (TAOLINESEARCH_MT_CTX*)(ls->data); 24a7e14dcfSSatish Balay if (mt->x) { 25a7e14dcfSSatish Balay ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr); 26a7e14dcfSSatish Balay } 27a7e14dcfSSatish Balay ierr = VecDestroy(&mt->work);CHKERRQ(ierr); 28a7e14dcfSSatish Balay ierr = PetscFree(ls->data); 29a7e14dcfSSatish Balay PetscFunctionReturn(0); 30a7e14dcfSSatish Balay } 31a7e14dcfSSatish Balay 32a7e14dcfSSatish Balay #undef __FUNCT__ 33a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchSetFromOptions_MT" 34a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchSetFromOptions_MT(TaoLineSearch ls) 35a7e14dcfSSatish Balay { 36a7e14dcfSSatish Balay PetscFunctionBegin; 37a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 38a7e14dcfSSatish Balay PetscFunctionReturn(0); 39a7e14dcfSSatish Balay } 40a7e14dcfSSatish Balay 41a7e14dcfSSatish Balay #undef __FUNCT__ 42a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchView_MT" 43a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchView_MT(TaoLineSearch ls, PetscViewer pv) 44a7e14dcfSSatish Balay { 45a7e14dcfSSatish Balay PetscErrorCode ierr; 46a7e14dcfSSatish Balay PetscBool isascii; 4753506e15SBarry Smith 48a7e14dcfSSatish Balay PetscFunctionBegin; 49a7e14dcfSSatish Balay ierr = PetscObjectTypeCompare((PetscObject)pv, PETSCVIEWERASCII, &isascii);CHKERRQ(ierr); 50a7e14dcfSSatish Balay if (isascii) { 51f06e3bfaSBarry Smith ierr = PetscViewerASCIIPrintf(pv," maxf=%D, ftol=%g, gtol=%g\n",ls->max_funcs,(double)ls->rtol,(double)ls->ftol);CHKERRQ(ierr); 52a7e14dcfSSatish Balay } 53a7e14dcfSSatish Balay PetscFunctionReturn(0); 54a7e14dcfSSatish Balay } 55a7e14dcfSSatish Balay 56a7e14dcfSSatish Balay #undef __FUNCT__ 57a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchApply_MT" 58a7e14dcfSSatish Balay /* @ TaoApply_LineSearch - This routine takes step length of 1.0. 59a7e14dcfSSatish Balay 60a7e14dcfSSatish Balay Input Parameters: 61a7e14dcfSSatish Balay + tao - TaoSolver context 62a7e14dcfSSatish Balay . X - current iterate (on output X contains new iterate, X + step*S) 63a7e14dcfSSatish Balay . f - objective function evaluated at X 64a7e14dcfSSatish Balay . G - gradient evaluated at X 65a7e14dcfSSatish Balay - D - search direction 66a7e14dcfSSatish Balay 67a7e14dcfSSatish Balay 68a7e14dcfSSatish Balay Info is set to 0. 69a7e14dcfSSatish Balay 70a7e14dcfSSatish Balay @ */ 71a7e14dcfSSatish Balay 72a7e14dcfSSatish Balay static PetscErrorCode TaoLineSearchApply_MT(TaoLineSearch ls, Vec x, PetscReal *f, Vec g, Vec s) 73a7e14dcfSSatish Balay { 74a7e14dcfSSatish Balay PetscErrorCode ierr; 75a7e14dcfSSatish Balay TAOLINESEARCH_MT_CTX *mt; 76a7e14dcfSSatish Balay 77a7e14dcfSSatish Balay PetscReal xtrapf = 4.0; 78a7e14dcfSSatish Balay PetscReal finit, width, width1, dginit, fm, fxm, fym, dgm, dgxm, dgym; 79a7e14dcfSSatish Balay PetscReal dgx, dgy, dg, dg2, fx, fy, stx, sty, dgtest; 80a7e14dcfSSatish Balay PetscReal ftest1=0.0, ftest2=0.0; 81a7e14dcfSSatish Balay PetscInt i, stage1,n1,n2,nn1,nn2; 82a7e14dcfSSatish Balay PetscReal bstepmin1, bstepmin2, bstepmax; 8353506e15SBarry Smith PetscBool g_computed=PETSC_FALSE; /* to prevent extra gradient computation */ 84a7e14dcfSSatish Balay 85a7e14dcfSSatish Balay PetscFunctionBegin; 86a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 87a7e14dcfSSatish Balay PetscValidHeaderSpecific(x,VEC_CLASSID,2); 88a7e14dcfSSatish Balay PetscValidScalarPointer(f,3); 89a7e14dcfSSatish Balay PetscValidHeaderSpecific(g,VEC_CLASSID,4); 90a7e14dcfSSatish Balay PetscValidHeaderSpecific(s,VEC_CLASSID,5); 91a7e14dcfSSatish Balay 92a7e14dcfSSatish Balay /* comm,type,size checks are done in interface TaoLineSearchApply */ 93a7e14dcfSSatish Balay mt = (TAOLINESEARCH_MT_CTX*)(ls->data); 94a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_CONTINUE_ITERATING; 95a7e14dcfSSatish Balay 96a7e14dcfSSatish Balay /* Check work vector */ 97a7e14dcfSSatish Balay if (!mt->work) { 98a7e14dcfSSatish Balay ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr); 99a7e14dcfSSatish Balay mt->x = x; 100a7e14dcfSSatish Balay ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr); 10153506e15SBarry Smith } else if (x != mt->x) { 102a7e14dcfSSatish Balay ierr = VecDestroy(&mt->work);CHKERRQ(ierr); 103a7e14dcfSSatish Balay ierr = VecDuplicate(x,&mt->work);CHKERRQ(ierr); 104a7e14dcfSSatish Balay ierr = PetscObjectDereference((PetscObject)mt->x);CHKERRQ(ierr); 105a7e14dcfSSatish Balay mt->x = x; 106a7e14dcfSSatish Balay ierr = PetscObjectReference((PetscObject)mt->x);CHKERRQ(ierr); 107a7e14dcfSSatish Balay } 108a7e14dcfSSatish Balay 109a7e14dcfSSatish Balay if (ls->bounded) { 110a7e14dcfSSatish Balay /* Compute step length needed to make all variables equal a bound */ 111a7e14dcfSSatish Balay /* Compute the smallest steplength that will make one nonbinding variable 112a7e14dcfSSatish Balay equal the bound */ 113a7e14dcfSSatish Balay ierr = VecGetLocalSize(ls->upper,&n1);CHKERRQ(ierr); 114a7e14dcfSSatish Balay ierr = VecGetLocalSize(mt->x, &n2);CHKERRQ(ierr); 115a7e14dcfSSatish Balay ierr = VecGetSize(ls->upper,&nn1);CHKERRQ(ierr); 116a7e14dcfSSatish Balay ierr = VecGetSize(mt->x,&nn2);CHKERRQ(ierr); 11753506e15SBarry Smith if (n1 != n2 || nn1 != nn2) SETERRQ(PETSC_COMM_SELF,PETSC_ERR_ARG_SIZ,"Variable vector not compatible with bounds vector"); 118a7e14dcfSSatish Balay ierr = VecScale(s,-1.0);CHKERRQ(ierr); 119a7e14dcfSSatish Balay ierr = VecBoundGradientProjection(s,x,ls->lower,ls->upper,s);CHKERRQ(ierr); 120a7e14dcfSSatish Balay ierr = VecScale(s,-1.0);CHKERRQ(ierr); 12153506e15SBarry Smith ierr = VecStepBoundInfo(x,ls->lower,ls->upper,s,&bstepmin1,&bstepmin2,&bstepmax);CHKERRQ(ierr); 122a7e14dcfSSatish Balay ls->stepmax = PetscMin(bstepmax,1.0e15); 123a7e14dcfSSatish Balay } 124a7e14dcfSSatish Balay 125a7e14dcfSSatish Balay ierr = VecDot(g,s,&dginit); 126a7e14dcfSSatish Balay if (PetscIsInfOrNanReal(dginit)) { 127f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Initial Line Search step * g is Inf or Nan (%g)\n",(double)dginit);CHKERRQ(ierr); 128a7e14dcfSSatish Balay ls->reason=TAOLINESEARCH_FAILED_INFORNAN; 129a7e14dcfSSatish Balay PetscFunctionReturn(0); 130a7e14dcfSSatish Balay } 131a7e14dcfSSatish Balay if (dginit >= 0.0) { 132f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Initial Line Search step * g is not descent direction (%g)\n",(double)dginit);CHKERRQ(ierr); 133a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_FAILED_ASCENT; 134a7e14dcfSSatish Balay PetscFunctionReturn(0); 135a7e14dcfSSatish Balay } 136a7e14dcfSSatish Balay 137a7e14dcfSSatish Balay 138a7e14dcfSSatish Balay /* Initialization */ 139a7e14dcfSSatish Balay mt->bracket = 0; 140a7e14dcfSSatish Balay stage1 = 1; 141a7e14dcfSSatish Balay finit = *f; 142a7e14dcfSSatish Balay dgtest = ls->ftol * dginit; 143a7e14dcfSSatish Balay width = ls->stepmax - ls->stepmin; 144a7e14dcfSSatish Balay width1 = width * 2.0; 145a7e14dcfSSatish Balay ierr = VecCopy(x,mt->work);CHKERRQ(ierr); 146a7e14dcfSSatish Balay /* Variable dictionary: 147a7e14dcfSSatish Balay stx, fx, dgx - the step, function, and derivative at the best step 148a7e14dcfSSatish Balay sty, fy, dgy - the step, function, and derivative at the other endpoint 149a7e14dcfSSatish Balay of the interval of uncertainty 150a7e14dcfSSatish Balay step, f, dg - the step, function, and derivative at the current step */ 151a7e14dcfSSatish Balay 152a7e14dcfSSatish Balay stx = 0.0; 153a7e14dcfSSatish Balay fx = finit; 154a7e14dcfSSatish Balay dgx = dginit; 155a7e14dcfSSatish Balay sty = 0.0; 156a7e14dcfSSatish Balay fy = finit; 157a7e14dcfSSatish Balay dgy = dginit; 158a7e14dcfSSatish Balay 159a7e14dcfSSatish Balay ls->step=ls->initstep; 160a7e14dcfSSatish Balay for (i=0; i< ls->max_funcs; i++) { 161a7e14dcfSSatish Balay /* Set min and max steps to correspond to the interval of uncertainty */ 162a7e14dcfSSatish Balay if (mt->bracket) { 163a7e14dcfSSatish Balay ls->stepmin = PetscMin(stx,sty); 164a7e14dcfSSatish Balay ls->stepmax = PetscMax(stx,sty); 16553506e15SBarry Smith } else { 166a7e14dcfSSatish Balay ls->stepmin = stx; 167a7e14dcfSSatish Balay ls->stepmax = ls->step + xtrapf * (ls->step - stx); 168a7e14dcfSSatish Balay } 169a7e14dcfSSatish Balay 170a7e14dcfSSatish Balay /* Force the step to be within the bounds */ 171a7e14dcfSSatish Balay ls->step = PetscMax(ls->step,ls->stepmin); 172a7e14dcfSSatish Balay ls->step = PetscMin(ls->step,ls->stepmax); 173a7e14dcfSSatish Balay 174a7e14dcfSSatish Balay /* If an unusual termination is to occur, then let step be the lowest 175a7e14dcfSSatish Balay point obtained thus far */ 17653506e15SBarry Smith if ((stx!=0) && (((mt->bracket) && (ls->step <= ls->stepmin || ls->step >= ls->stepmax)) || ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol * ls->stepmax)) || 177a7e14dcfSSatish Balay ((ls->nfeval+ls->nfgeval) >= ls->max_funcs - 1) || (mt->infoc == 0))) { 178a7e14dcfSSatish Balay ls->step = stx; 179a7e14dcfSSatish Balay } 180a7e14dcfSSatish Balay 181a7e14dcfSSatish Balay ierr = VecCopy(x,mt->work);CHKERRQ(ierr); 182a7e14dcfSSatish Balay ierr = VecAXPY(mt->work,ls->step,s);CHKERRQ(ierr); /* W = X + step*S */ 183a7e14dcfSSatish Balay 184a7e14dcfSSatish Balay if (ls->bounded) { 185a7e14dcfSSatish Balay ierr = VecMedian(ls->lower, mt->work, ls->upper, mt->work);CHKERRQ(ierr); 186a7e14dcfSSatish Balay } 187a7e14dcfSSatish Balay if (ls->usegts) { 188a7e14dcfSSatish Balay ierr = TaoLineSearchComputeObjectiveAndGTS(ls,mt->work,f,&dg);CHKERRQ(ierr); 189a7e14dcfSSatish Balay g_computed=PETSC_FALSE; 190a7e14dcfSSatish Balay } else { 191a7e14dcfSSatish Balay ierr = TaoLineSearchComputeObjectiveAndGradient(ls,mt->work,f,g);CHKERRQ(ierr); 192a7e14dcfSSatish Balay g_computed=PETSC_TRUE; 193a7e14dcfSSatish Balay if (ls->bounded) { 194a7e14dcfSSatish Balay ierr = VecDot(g,x,&dg);CHKERRQ(ierr); 195a7e14dcfSSatish Balay ierr = VecDot(g,mt->work,&dg2);CHKERRQ(ierr); 196a7e14dcfSSatish Balay dg = (dg2 - dg)/ls->step; 197a7e14dcfSSatish Balay } else { 198a7e14dcfSSatish Balay ierr = VecDot(g,s,&dg);CHKERRQ(ierr); 199a7e14dcfSSatish Balay } 200a7e14dcfSSatish Balay } 201a7e14dcfSSatish Balay 202a7e14dcfSSatish Balay if (0 == i) { 203a7e14dcfSSatish Balay ls->f_fullstep=*f; 204a7e14dcfSSatish Balay } 205a7e14dcfSSatish Balay 206a7e14dcfSSatish Balay if (PetscIsInfOrNanReal(*f) || PetscIsInfOrNanReal(dg)) { 207a7e14dcfSSatish Balay /* User provided compute function generated Not-a-Number, assume 208a7e14dcfSSatish Balay domain violation and set function value and directional 209a7e14dcfSSatish Balay derivative to infinity. */ 210a7e14dcfSSatish Balay *f = TAO_INFINITY; 211a7e14dcfSSatish Balay dg = TAO_INFINITY; 212a7e14dcfSSatish Balay } 213a7e14dcfSSatish Balay 214a7e14dcfSSatish Balay ftest1 = finit + ls->step * dgtest; 215a7e14dcfSSatish Balay if (ls->bounded) { 216a7e14dcfSSatish Balay ftest2 = finit + ls->step * dgtest * ls->ftol; 217a7e14dcfSSatish Balay } 218a7e14dcfSSatish Balay /* Convergence testing */ 21953506e15SBarry Smith if (((*f - ftest1 <= 1.0e-10 * PetscAbsReal(finit)) && (PetscAbsReal(dg) + ls->gtol*dginit <= 0.0))) { 220a7e14dcfSSatish Balay ierr = PetscInfo(ls, "Line search success: Sufficient decrease and directional deriv conditions hold\n");CHKERRQ(ierr); 221a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_SUCCESS; 222a7e14dcfSSatish Balay break; 223a7e14dcfSSatish Balay } 224a7e14dcfSSatish Balay 225a7e14dcfSSatish Balay /* Check Armijo if beyond the first breakpoint */ 226a7e14dcfSSatish Balay if (ls->bounded && (*f <= ftest2) && (ls->step >= bstepmin2)) { 227a7e14dcfSSatish Balay ierr = PetscInfo(ls,"Line search success: Sufficient decrease.\n");CHKERRQ(ierr); 228a7e14dcfSSatish Balay break; 229a7e14dcfSSatish Balay } 230a7e14dcfSSatish Balay 231a7e14dcfSSatish Balay /* Checks for bad cases */ 232a7e14dcfSSatish Balay if (((mt->bracket) && (ls->step <= ls->stepmin||ls->step >= ls->stepmax)) || (!mt->infoc)) { 233a7e14dcfSSatish Balay ierr = PetscInfo(ls,"Rounding errors may prevent further progress. May not be a step satisfying\n");CHKERRQ(ierr); 234a7e14dcfSSatish Balay ierr = PetscInfo(ls,"sufficient decrease and curvature conditions. Tolerances may be too small.\n");CHKERRQ(ierr); 235a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_OTHER; 236a7e14dcfSSatish Balay break; 237a7e14dcfSSatish Balay } 238a7e14dcfSSatish Balay if ((ls->step == ls->stepmax) && (*f <= ftest1) && (dg <= dgtest)) { 239f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Step is at the upper bound, stepmax (%g)\n",(double)ls->stepmax);CHKERRQ(ierr); 240a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_UPPERBOUND; 241a7e14dcfSSatish Balay break; 242a7e14dcfSSatish Balay } 243a7e14dcfSSatish Balay if ((ls->step == ls->stepmin) && (*f >= ftest1) && (dg >= dgtest)) { 244f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Step is at the lower bound, stepmin (%g)\n",(double)ls->stepmin);CHKERRQ(ierr); 245a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_LOWERBOUND; 246a7e14dcfSSatish Balay break; 247a7e14dcfSSatish Balay } 248a7e14dcfSSatish Balay if ((mt->bracket) && (ls->stepmax - ls->stepmin <= ls->rtol*ls->stepmax)){ 249f06e3bfaSBarry Smith ierr = PetscInfo1(ls,"Relative width of interval of uncertainty is at most rtol (%g)\n",(double)ls->rtol);CHKERRQ(ierr); 250a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_RTOL; 251a7e14dcfSSatish Balay break; 252a7e14dcfSSatish Balay } 253a7e14dcfSSatish Balay 254a7e14dcfSSatish Balay /* In the first stage, we seek a step for which the modified function 255a7e14dcfSSatish Balay has a nonpositive value and nonnegative derivative */ 256a7e14dcfSSatish Balay if ((stage1) && (*f <= ftest1) && (dg >= dginit * PetscMin(ls->ftol, ls->gtol))) { 257a7e14dcfSSatish Balay stage1 = 0; 258a7e14dcfSSatish Balay } 259a7e14dcfSSatish Balay 260a7e14dcfSSatish Balay /* A modified function is used to predict the step only if we 261a7e14dcfSSatish Balay have not obtained a step for which the modified function has a 262a7e14dcfSSatish Balay nonpositive function value and nonnegative derivative, and if a 263a7e14dcfSSatish Balay lower function value has been obtained but the decrease is not 264a7e14dcfSSatish Balay sufficient */ 265a7e14dcfSSatish Balay 266a7e14dcfSSatish Balay if ((stage1) && (*f <= fx) && (*f > ftest1)) { 267a7e14dcfSSatish Balay fm = *f - ls->step * dgtest; /* Define modified function */ 268a7e14dcfSSatish Balay fxm = fx - stx * dgtest; /* and derivatives */ 269a7e14dcfSSatish Balay fym = fy - sty * dgtest; 270a7e14dcfSSatish Balay dgm = dg - dgtest; 271a7e14dcfSSatish Balay dgxm = dgx - dgtest; 272a7e14dcfSSatish Balay dgym = dgy - dgtest; 273a7e14dcfSSatish Balay 274a7e14dcfSSatish Balay /* if (dgxm * (ls->step - stx) >= 0.0) */ 275a7e14dcfSSatish Balay /* Update the interval of uncertainty and compute the new step */ 276a7e14dcfSSatish Balay ierr = Tao_mcstep(ls,&stx,&fxm,&dgxm,&sty,&fym,&dgym,&ls->step,&fm,&dgm);CHKERRQ(ierr); 277a7e14dcfSSatish Balay 278a7e14dcfSSatish Balay fx = fxm + stx * dgtest; /* Reset the function and */ 279a7e14dcfSSatish Balay fy = fym + sty * dgtest; /* gradient values */ 280a7e14dcfSSatish Balay dgx = dgxm + dgtest; 281a7e14dcfSSatish Balay dgy = dgym + dgtest; 28253506e15SBarry Smith } else { 283a7e14dcfSSatish Balay /* Update the interval of uncertainty and compute the new step */ 284a7e14dcfSSatish Balay ierr = Tao_mcstep(ls,&stx,&fx,&dgx,&sty,&fy,&dgy,&ls->step,f,&dg);CHKERRQ(ierr); 285a7e14dcfSSatish Balay } 286a7e14dcfSSatish Balay 287a7e14dcfSSatish Balay /* Force a sufficient decrease in the interval of uncertainty */ 288a7e14dcfSSatish Balay if (mt->bracket) { 289a7e14dcfSSatish Balay if (PetscAbsReal(sty - stx) >= 0.66 * width1) ls->step = stx + 0.5*(sty - stx); 290a7e14dcfSSatish Balay width1 = width; 291a7e14dcfSSatish Balay width = PetscAbsReal(sty - stx); 292a7e14dcfSSatish Balay } 293a7e14dcfSSatish Balay } 294a7e14dcfSSatish Balay if ((ls->nfeval+ls->nfgeval) > ls->max_funcs) { 295a7e14dcfSSatish Balay ierr = PetscInfo2(ls,"Number of line search function evals (%D) > maximum (%D)\n",(ls->nfeval+ls->nfgeval),ls->max_funcs);CHKERRQ(ierr); 296a7e14dcfSSatish Balay ls->reason = TAOLINESEARCH_HALTED_MAXFCN; 297a7e14dcfSSatish Balay } 298a7e14dcfSSatish Balay 299a7e14dcfSSatish Balay /* Finish computations */ 300f06e3bfaSBarry Smith ierr = PetscInfo2(ls,"%D function evals in line search, step = %g\n",(ls->nfeval+ls->nfgeval),(double)ls->step);CHKERRQ(ierr); 301a7e14dcfSSatish Balay 302a7e14dcfSSatish Balay /* Set new solution vector and compute gradient if needed */ 303a7e14dcfSSatish Balay ierr = VecCopy(mt->work,x);CHKERRQ(ierr); 304a7e14dcfSSatish Balay if (!g_computed) { 305a7e14dcfSSatish Balay ierr = TaoLineSearchComputeGradient(ls,mt->work,g);CHKERRQ(ierr); 306a7e14dcfSSatish Balay } 307a7e14dcfSSatish Balay PetscFunctionReturn(0); 308a7e14dcfSSatish Balay } 309a7e14dcfSSatish Balay 310a7e14dcfSSatish Balay EXTERN_C_BEGIN 311a7e14dcfSSatish Balay #undef __FUNCT__ 312a7e14dcfSSatish Balay #define __FUNCT__ "TaoLineSearchCreate_MT" 313a7e14dcfSSatish Balay PetscErrorCode TaoLineSearchCreate_MT(TaoLineSearch ls) 314a7e14dcfSSatish Balay { 315a7e14dcfSSatish Balay PetscErrorCode ierr; 316a7e14dcfSSatish Balay TAOLINESEARCH_MT_CTX *ctx; 31753506e15SBarry Smith 318a7e14dcfSSatish Balay PetscFunctionBegin; 319a7e14dcfSSatish Balay PetscValidHeaderSpecific(ls,TAOLINESEARCH_CLASSID,1); 3203c9e27cfSGeoffrey Irving ierr = PetscNewLog(ls,&ctx);CHKERRQ(ierr); 321a7e14dcfSSatish Balay ctx->bracket=0; 322a7e14dcfSSatish Balay ctx->infoc=1; 323a7e14dcfSSatish Balay ls->data = (void*)ctx; 324a7e14dcfSSatish Balay ls->initstep = 1.0; 325a7e14dcfSSatish Balay ls->ops->setup=0; 326a7e14dcfSSatish Balay ls->ops->apply=TaoLineSearchApply_MT; 327a7e14dcfSSatish Balay ls->ops->view =TaoLineSearchView_MT; 328a7e14dcfSSatish Balay ls->ops->destroy=TaoLineSearchDestroy_MT; 329a7e14dcfSSatish Balay ls->ops->setfromoptions=TaoLineSearchSetFromOptions_MT; 330a7e14dcfSSatish Balay PetscFunctionReturn(0); 331a7e14dcfSSatish Balay } 332a7e14dcfSSatish Balay EXTERN_C_END 333a7e14dcfSSatish Balay 334a7e14dcfSSatish Balay /* 335a7e14dcfSSatish Balay The subroutine mcstep is taken from the work of Jorge Nocedal. 336a7e14dcfSSatish Balay this is a variant of More' and Thuente's routine. 337a7e14dcfSSatish Balay 338a7e14dcfSSatish Balay subroutine mcstep 339a7e14dcfSSatish Balay 340a7e14dcfSSatish Balay the purpose of mcstep is to compute a safeguarded step for 341a7e14dcfSSatish Balay a linesearch and to update an interval of uncertainty for 342a7e14dcfSSatish Balay a minimizer of the function. 343a7e14dcfSSatish Balay 344a7e14dcfSSatish Balay the parameter stx contains the step with the least function 345a7e14dcfSSatish Balay value. the parameter stp contains the current step. it is 346a7e14dcfSSatish Balay assumed that the derivative at stx is negative in the 347a7e14dcfSSatish Balay direction of the step. if bracket is set true then a 348a7e14dcfSSatish Balay minimizer has been bracketed in an interval of uncertainty 349a7e14dcfSSatish Balay with endpoints stx and sty. 350a7e14dcfSSatish Balay 351a7e14dcfSSatish Balay the subroutine statement is 352a7e14dcfSSatish Balay 353a7e14dcfSSatish Balay subroutine mcstep(stx,fx,dx,sty,fy,dy,stp,fp,dp,bracket, 354a7e14dcfSSatish Balay stpmin,stpmax,info) 355a7e14dcfSSatish Balay 356a7e14dcfSSatish Balay where 357a7e14dcfSSatish Balay 358a7e14dcfSSatish Balay stx, fx, and dx are variables which specify the step, 359a7e14dcfSSatish Balay the function, and the derivative at the best step obtained 360a7e14dcfSSatish Balay so far. The derivative must be negative in the direction 361a7e14dcfSSatish Balay of the step, that is, dx and stp-stx must have opposite 362a7e14dcfSSatish Balay signs. On output these parameters are updated appropriately. 363a7e14dcfSSatish Balay 364a7e14dcfSSatish Balay sty, fy, and dy are variables which specify the step, 365a7e14dcfSSatish Balay the function, and the derivative at the other endpoint of 366a7e14dcfSSatish Balay the interval of uncertainty. On output these parameters are 367a7e14dcfSSatish Balay updated appropriately. 368a7e14dcfSSatish Balay 369a7e14dcfSSatish Balay stp, fp, and dp are variables which specify the step, 370a7e14dcfSSatish Balay the function, and the derivative at the current step. 371a7e14dcfSSatish Balay If bracket is set true then on input stp must be 372a7e14dcfSSatish Balay between stx and sty. On output stp is set to the new step. 373a7e14dcfSSatish Balay 374a7e14dcfSSatish Balay bracket is a logical variable which specifies if a minimizer 375a7e14dcfSSatish Balay has been bracketed. If the minimizer has not been bracketed 376a7e14dcfSSatish Balay then on input bracket must be set false. If the minimizer 377a7e14dcfSSatish Balay is bracketed then on output bracket is set true. 378a7e14dcfSSatish Balay 379a7e14dcfSSatish Balay stpmin and stpmax are input variables which specify lower 380a7e14dcfSSatish Balay and upper bounds for the step. 381a7e14dcfSSatish Balay 382a7e14dcfSSatish Balay info is an integer output variable set as follows: 383a7e14dcfSSatish Balay if info = 1,2,3,4,5, then the step has been computed 384a7e14dcfSSatish Balay according to one of the five cases below. otherwise 385a7e14dcfSSatish Balay info = 0, and this indicates improper input parameters. 386a7e14dcfSSatish Balay 387a7e14dcfSSatish Balay subprograms called 388a7e14dcfSSatish Balay 389a7e14dcfSSatish Balay fortran-supplied ... abs,max,min,sqrt 390a7e14dcfSSatish Balay 391a7e14dcfSSatish Balay argonne national laboratory. minpack project. june 1983 392a7e14dcfSSatish Balay jorge j. more', david j. thuente 393a7e14dcfSSatish Balay 394a7e14dcfSSatish Balay */ 395a7e14dcfSSatish Balay 396a7e14dcfSSatish Balay #undef __FUNCT__ 397a7e14dcfSSatish Balay #define __FUNCT__ "Tao_mcstep" 39853506e15SBarry 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) 399a7e14dcfSSatish Balay { 400a7e14dcfSSatish Balay TAOLINESEARCH_MT_CTX *mtP = (TAOLINESEARCH_MT_CTX *) ls->data; 401a7e14dcfSSatish Balay PetscReal gamma1, p, q, r, s, sgnd, stpc, stpf, stpq, theta; 402a7e14dcfSSatish Balay PetscInt bound; 403a7e14dcfSSatish Balay 404a7e14dcfSSatish Balay PetscFunctionBegin; 405a7e14dcfSSatish Balay /* Check the input parameters for errors */ 406a7e14dcfSSatish Balay mtP->infoc = 0; 407a7e14dcfSSatish Balay if (mtP->bracket && (*stp <= PetscMin(*stx,*sty) || (*stp >= PetscMax(*stx,*sty)))) SETERRQ(PETSC_COMM_SELF,1,"bad stp in bracket"); 408a7e14dcfSSatish Balay if (*dx * (*stp-*stx) >= 0.0) SETERRQ(PETSC_COMM_SELF,1,"dx * (stp-stx) >= 0.0"); 409a7e14dcfSSatish Balay if (ls->stepmax < ls->stepmin) SETERRQ(PETSC_COMM_SELF,1,"stepmax > stepmin"); 410a7e14dcfSSatish Balay 411a7e14dcfSSatish Balay /* Determine if the derivatives have opposite sign */ 412a7e14dcfSSatish Balay sgnd = *dp * (*dx / PetscAbsReal(*dx)); 413a7e14dcfSSatish Balay 414a7e14dcfSSatish Balay if (*fp > *fx) { 415a7e14dcfSSatish Balay /* Case 1: a higher function value. 416a7e14dcfSSatish Balay The minimum is bracketed. If the cubic step is closer 417a7e14dcfSSatish Balay to stx than the quadratic step, the cubic step is taken, 418a7e14dcfSSatish Balay else the average of the cubic and quadratic steps is taken. */ 419a7e14dcfSSatish Balay 420a7e14dcfSSatish Balay mtP->infoc = 1; 421a7e14dcfSSatish Balay bound = 1; 422a7e14dcfSSatish Balay theta = 3 * (*fx - *fp) / (*stp - *stx) + *dx + *dp; 423a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 424a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 425a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)); 426a7e14dcfSSatish Balay if (*stp < *stx) gamma1 = -gamma1; 427a7e14dcfSSatish Balay /* Can p be 0? Check */ 428a7e14dcfSSatish Balay p = (gamma1 - *dx) + theta; 429a7e14dcfSSatish Balay q = ((gamma1 - *dx) + gamma1) + *dp; 430a7e14dcfSSatish Balay r = p/q; 431a7e14dcfSSatish Balay stpc = *stx + r*(*stp - *stx); 432a7e14dcfSSatish Balay stpq = *stx + ((*dx/((*fx-*fp)/(*stp-*stx)+*dx))*0.5) * (*stp - *stx); 433a7e14dcfSSatish Balay 434a7e14dcfSSatish Balay if (PetscAbsReal(stpc-*stx) < PetscAbsReal(stpq-*stx)) { 435a7e14dcfSSatish Balay stpf = stpc; 43653506e15SBarry Smith } else { 437a7e14dcfSSatish Balay stpf = stpc + 0.5*(stpq - stpc); 438a7e14dcfSSatish Balay } 439a7e14dcfSSatish Balay mtP->bracket = 1; 44053506e15SBarry Smith } else if (sgnd < 0.0) { 441a7e14dcfSSatish Balay /* Case 2: A lower function value and derivatives of 442a7e14dcfSSatish Balay opposite sign. The minimum is bracketed. If the cubic 443a7e14dcfSSatish Balay step is closer to stx than the quadratic (secant) step, 444a7e14dcfSSatish Balay the cubic step is taken, else the quadratic step is taken. */ 445a7e14dcfSSatish Balay 446a7e14dcfSSatish Balay mtP->infoc = 2; 447a7e14dcfSSatish Balay bound = 0; 448a7e14dcfSSatish Balay theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp; 449a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 450a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 451a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s)); 452a7e14dcfSSatish Balay if (*stp > *stx) gamma1 = -gamma1; 453a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 454a7e14dcfSSatish Balay q = ((gamma1 - *dp) + gamma1) + *dx; 455a7e14dcfSSatish Balay r = p/q; 456a7e14dcfSSatish Balay stpc = *stp + r*(*stx - *stp); 457a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx))*(*stx - *stp); 458a7e14dcfSSatish Balay 459a7e14dcfSSatish Balay if (PetscAbsReal(stpc-*stp) > PetscAbsReal(stpq-*stp)) { 460a7e14dcfSSatish Balay stpf = stpc; 46153506e15SBarry Smith } else { 462a7e14dcfSSatish Balay stpf = stpq; 463a7e14dcfSSatish Balay } 464a7e14dcfSSatish Balay mtP->bracket = 1; 46553506e15SBarry Smith } else if (PetscAbsReal(*dp) < PetscAbsReal(*dx)) { 466a7e14dcfSSatish Balay /* Case 3: A lower function value, derivatives of the 467a7e14dcfSSatish Balay same sign, and the magnitude of the derivative decreases. 468a7e14dcfSSatish Balay The cubic step is only used if the cubic tends to infinity 469a7e14dcfSSatish Balay in the direction of the step or if the minimum of the cubic 470a7e14dcfSSatish Balay is beyond stp. Otherwise the cubic step is defined to be 471a7e14dcfSSatish Balay either stepmin or stepmax. The quadratic (secant) step is also 472a7e14dcfSSatish Balay computed and if the minimum is bracketed then the the step 473a7e14dcfSSatish Balay closest to stx is taken, else the step farthest away is taken. */ 474a7e14dcfSSatish Balay 475a7e14dcfSSatish Balay mtP->infoc = 3; 476a7e14dcfSSatish Balay bound = 1; 477a7e14dcfSSatish Balay theta = 3*(*fx - *fp)/(*stp - *stx) + *dx + *dp; 478a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dx)); 479a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 480a7e14dcfSSatish Balay 481a7e14dcfSSatish Balay /* The case gamma1 = 0 only arises if the cubic does not tend 482a7e14dcfSSatish Balay to infinity in the direction of the step. */ 483a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscMax(0.0,PetscPowScalar(theta/s,2.0) - (*dx/s)*(*dp/s))); 484a7e14dcfSSatish Balay if (*stp > *stx) gamma1 = -gamma1; 485a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 486a7e14dcfSSatish Balay q = (gamma1 + (*dx - *dp)) + gamma1; 487a7e14dcfSSatish Balay r = p/q; 488a7e14dcfSSatish Balay if (r < 0.0 && gamma1 != 0.0) stpc = *stp + r*(*stx - *stp); 489a7e14dcfSSatish Balay else if (*stp > *stx) stpc = ls->stepmax; 490a7e14dcfSSatish Balay else stpc = ls->stepmin; 491a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx)) * (*stx - *stp); 492a7e14dcfSSatish Balay 493a7e14dcfSSatish Balay if (mtP->bracket) { 494a7e14dcfSSatish Balay if (PetscAbsReal(*stp-stpc) < PetscAbsReal(*stp-stpq)) { 495a7e14dcfSSatish Balay stpf = stpc; 49653506e15SBarry Smith } else { 497a7e14dcfSSatish Balay stpf = stpq; 498a7e14dcfSSatish Balay } 49953506e15SBarry Smith } else { 500a7e14dcfSSatish Balay if (PetscAbsReal(*stp-stpc) > PetscAbsReal(*stp-stpq)) { 501a7e14dcfSSatish Balay stpf = stpc; 50253506e15SBarry Smith } else { 503a7e14dcfSSatish Balay stpf = stpq; 504a7e14dcfSSatish Balay } 505a7e14dcfSSatish Balay } 50653506e15SBarry Smith } else { 507a7e14dcfSSatish Balay /* Case 4: A lower function value, derivatives of the 508a7e14dcfSSatish Balay same sign, and the magnitude of the derivative does 509a7e14dcfSSatish Balay not decrease. If the minimum is not bracketed, the step 510a7e14dcfSSatish Balay is either stpmin or stpmax, else the cubic step is taken. */ 511a7e14dcfSSatish Balay 512a7e14dcfSSatish Balay mtP->infoc = 4; 513a7e14dcfSSatish Balay bound = 0; 514a7e14dcfSSatish Balay if (mtP->bracket) { 515a7e14dcfSSatish Balay theta = 3*(*fp - *fy)/(*sty - *stp) + *dy + *dp; 516a7e14dcfSSatish Balay s = PetscMax(PetscAbsReal(theta),PetscAbsReal(*dy)); 517a7e14dcfSSatish Balay s = PetscMax(s,PetscAbsReal(*dp)); 518a7e14dcfSSatish Balay gamma1 = s*PetscSqrtScalar(PetscPowScalar(theta/s,2.0) - (*dy/s)*(*dp/s)); 519a7e14dcfSSatish Balay if (*stp > *sty) gamma1 = -gamma1; 520a7e14dcfSSatish Balay p = (gamma1 - *dp) + theta; 521a7e14dcfSSatish Balay q = ((gamma1 - *dp) + gamma1) + *dy; 522a7e14dcfSSatish Balay r = p/q; 523a7e14dcfSSatish Balay stpc = *stp + r*(*sty - *stp); 524a7e14dcfSSatish Balay stpq = *stp + (*dp/(*dp-*dx)) * (*stx - *stp); 525a7e14dcfSSatish Balay 526a7e14dcfSSatish Balay stpf = stpc; 52753506e15SBarry Smith } else if (*stp > *stx) { 528a7e14dcfSSatish Balay stpf = ls->stepmax; 52953506e15SBarry Smith } else { 530a7e14dcfSSatish Balay stpf = ls->stepmin; 531a7e14dcfSSatish Balay } 532a7e14dcfSSatish Balay } 533a7e14dcfSSatish Balay 534a7e14dcfSSatish Balay /* Update the interval of uncertainty. This update does not 535a7e14dcfSSatish Balay depend on the new step or the case analysis above. */ 536a7e14dcfSSatish Balay 537a7e14dcfSSatish Balay if (*fp > *fx) { 538a7e14dcfSSatish Balay *sty = *stp; 539a7e14dcfSSatish Balay *fy = *fp; 540a7e14dcfSSatish Balay *dy = *dp; 54153506e15SBarry Smith } else { 542a7e14dcfSSatish Balay if (sgnd < 0.0) { 543a7e14dcfSSatish Balay *sty = *stx; 544a7e14dcfSSatish Balay *fy = *fx; 545a7e14dcfSSatish Balay *dy = *dx; 546a7e14dcfSSatish Balay } 547a7e14dcfSSatish Balay *stx = *stp; 548a7e14dcfSSatish Balay *fx = *fp; 549a7e14dcfSSatish Balay *dx = *dp; 550a7e14dcfSSatish Balay } 551a7e14dcfSSatish Balay 552a7e14dcfSSatish Balay /* Compute the new step and safeguard it. */ 553a7e14dcfSSatish Balay stpf = PetscMin(ls->stepmax,stpf); 554a7e14dcfSSatish Balay stpf = PetscMax(ls->stepmin,stpf); 555a7e14dcfSSatish Balay *stp = stpf; 556a7e14dcfSSatish Balay if (mtP->bracket && bound) { 557a7e14dcfSSatish Balay if (*sty > *stx) { 558a7e14dcfSSatish Balay *stp = PetscMin(*stx+0.66*(*sty-*stx),*stp); 55953506e15SBarry Smith } else { 560a7e14dcfSSatish Balay *stp = PetscMax(*stx+0.66*(*sty-*stx),*stp); 561a7e14dcfSSatish Balay } 562a7e14dcfSSatish Balay } 563a7e14dcfSSatish Balay PetscFunctionReturn(0); 564a7e14dcfSSatish Balay } 565