xref: /petsc/src/tao/linesearch/impls/morethuente/morethuente.c (revision aaa7dc30da3270cff6cb10b1db605b2ca746f216)
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