xref: /petsc/src/tao/unconstrained/impls/ntr/ntrimpl.h (revision 9dd11ecf0918283bb567d8b33a92f53ac4ea7840)

/*
  Context for a Newton trust region method (unconstrained minimization)
*/

#pragma once
#include <petsc/private/taoimpl.h>

typedef struct {
  Mat M;
  PC  bfgs_pre;

  Vec D;
  Vec W;

  PetscReal radius;

  /* 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 radius update */
  PetscReal mu2; /*  used for model agreement in radius update */

  PetscReal gamma1; /*  factor used for radius update */
  PetscReal gamma2; /*  factor used for radius update */
  PetscReal gamma3; /*  factor used for radius update */
  PetscReal gamma4; /*  factor used for radius update */

  PetscReal theta; /*  factor used for radius update */

  /* 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 */

  PetscReal min_radius; /*  lower bound on initial radius value */
  PetscReal max_radius; /*  upper bound on trust region radius */
  PetscReal epsilon;    /*  tolerance used when computing actred/prered */

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