xref: /petsc/src/tao/unconstrained/impls/ntl/ntlimpl.h (revision 0c51296cc97b5c762f2b5f128b2aab8171ac0691)

/*
  Context for a Newton trust-region, line-search method for unconstrained
  minimization
*/

#if !defined(__TAO_NTL_H)
#define __TAO_NTL_H
#include <petsc/private/taoimpl.h>

typedef struct {
  Mat M;
  PC bfgs_pre;

  Vec W;
  Vec Xold;
  Vec Gold;

  /* Parameters when updating the trust-region radius based on steplength

     if   step < nu1            (very bad step)
       radius = omega1 * min(norm(d), radius)
     elif step < nu2            (bad step)
       radius = omega2 * min(norm(d), radius)
     elif step < nu3            (okay step)
       radius = omega3 * radius;
     elif step < nu4            (good step)
       radius = max(omega4 * norm(d), radius)
     else                       (very good step)
       radius = max(omega5 * norm(d), radius)
     fi
  */

  PetscReal nu1;                /* used to compute trust-region radius */
  PetscReal nu2;                /* used to compute trust-region radius */
  PetscReal nu3;                /* used to compute trust-region radius */
  PetscReal nu4;                /* used to compute trust-region radius */

  PetscReal omega1;             /* factor used for trust-region update */
  PetscReal omega2;             /* factor used for trust-region update */
  PetscReal omega3;             /* factor used for trust-region update */
  PetscReal omega4;             /* factor used for trust-region update */
  PetscReal omega5;             /* factor used for trust-region update */

  /* Parameters when updating the trust-region radius based on reduction

     kappa = ared / pred
     if   kappa < eta1          (very bad step)
       radius = alpha1 * min(norm(d), radius)
     elif kappa < eta2          (bad step)
       radius = alpha2 * min(norm(d), radius)
     elif kappa < eta3          (okay step)
       radius = alpha3 * radius;
     elif kappa < eta4          (good step)
       radius = max(alpha4 * norm(d), radius)
     else                       (very good step)
       radius = max(alpha5 * norm(d), radius)
     fi
  */

  PetscReal eta1;               /* used to compute trust-region radius */
  PetscReal eta2;               /* used to compute trust-region radius */
  PetscReal eta3;               /* used to compute trust-region radius */
  PetscReal eta4;               /* used to compute trust-region radius */

  PetscReal alpha1;             /* factor used for trust-region update */
  PetscReal alpha2;             /* factor used for trust-region update */
  PetscReal alpha3;             /* factor used for trust-region update */
  PetscReal alpha4;             /* factor used for trust-region update */
  PetscReal alpha5;             /* factor used for trust-region update */

  /* Parameters when updating the trust-region radius based on interpolation
     kappa = ared / pred
     if   kappa >= 1.0 - mu1    (very good step)
       choose tau in [gamma3, gamma4]
       radius = max(tau * norm(d), radius)
     elif kappa >= 1.0 - mu2    (good step)
       choose tau in [gamma2, gamma3]
       if (tau >= 1.0)
         radius = max(tau * norm(d), radius)
       else
         radius = tau * min(norm(d), radius)
       fi
     else                       (bad step)
       choose tau in [gamma1, 1.0]
       radius = tau * min(norm(d), radius)
     fi
  */

  PetscReal mu1;                /* used for model agreement in interpolation */
  PetscReal mu2;                /* used for model agreement in interpolation */

  PetscReal gamma1;             /* factor used for interpolation */
  PetscReal gamma2;             /* factor used for interpolation */
  PetscReal gamma3;             /* factor used for interpolation */
  PetscReal gamma4;             /* factor used for interpolation */

  PetscReal theta;              /* factor used for interpolation */

  /* Parameters when initializing trust-region radius based on interpolation */
  PetscReal mu1_i;              /* used for model agreement in interpolation */
  PetscReal mu2_i;              /* used for model agreement in interpolation */

  PetscReal gamma1_i;           /* factor used for interpolation */
  PetscReal gamma2_i;           /* factor used for interpolation */
  PetscReal gamma3_i;           /* factor used for interpolation */
  PetscReal gamma4_i;           /* factor used for interpolation */

  PetscReal theta_i;            /* factor used for interpolation */

  /* Other parameters */
  PetscReal min_radius;         /* lower bound on initial radius value */
  PetscReal max_radius;         /* upper bound on trust region radius */
  PetscReal epsilon;            /* tolerance used when computing ared/pred */

  PetscInt ntrust;              /* Trust-region steps accepted */
  PetscInt newt;                /* Newton directions attempted */
  PetscInt bfgs;                /* BFGS directions attempted */
  PetscInt grad;                /* Gradient directions attempted */

  PetscInt init_type;           /* Trust-region initialization method */
  PetscInt update_type;         /* Trust-region update method */
} TAO_NTL;

#endif /* if !defined(__TAO_NTL_H) */