Actual source code: tron.c
petsc-3.7.1 2016-05-15
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      1: #include <../src/tao/bound/impls/tron/tron.h>
      2: #include <petsc/private/kspimpl.h>
      3: #include <petsc/private/matimpl.h>
      4: #include <../src/tao/matrix/submatfree.h>

      7: /* TRON Routines */
      8: static PetscErrorCode TronGradientProjections(Tao,TAO_TRON*);
      9: /*------------------------------------------------------------*/
     12: static PetscErrorCode TaoDestroy_TRON(Tao tao)
     13: {
     14:   TAO_TRON       *tron = (TAO_TRON *)tao->data;

     18:   VecDestroy(&tron->X_New);
     19:   VecDestroy(&tron->G_New);
     20:   VecDestroy(&tron->Work);
     21:   VecDestroy(&tron->DXFree);
     22:   VecDestroy(&tron->R);
     23:   VecDestroy(&tron->diag);
     24:   VecScatterDestroy(&tron->scatter);
     25:   ISDestroy(&tron->Free_Local);
     26:   MatDestroy(&tron->H_sub);
     27:   MatDestroy(&tron->Hpre_sub);
     28:   PetscFree(tao->data);
     29:   return(0);
     30: }

     32: /*------------------------------------------------------------*/
     35: static PetscErrorCode TaoSetFromOptions_TRON(PetscOptionItems *PetscOptionsObject,Tao tao)
     36: {
     37:   TAO_TRON       *tron = (TAO_TRON *)tao->data;
     39:   PetscBool      flg;

     42:   PetscOptionsHead(PetscOptionsObject,"Newton Trust Region Method for bound constrained optimization");
     43:   PetscOptionsInt("-tao_tron_maxgpits","maximum number of gradient projections per TRON iterate","TaoSetMaxGPIts",tron->maxgpits,&tron->maxgpits,&flg);
     44:   PetscOptionsTail();
     45:   TaoLineSearchSetFromOptions(tao->linesearch);
     46:   KSPSetFromOptions(tao->ksp);
     47:   return(0);
     48: }

     50: /*------------------------------------------------------------*/
     53: static PetscErrorCode TaoView_TRON(Tao tao, PetscViewer viewer)
     54: {
     55:   TAO_TRON         *tron = (TAO_TRON *)tao->data;
     56:   PetscBool        isascii;
     57:   PetscErrorCode   ierr;

     60:   PetscObjectTypeCompare((PetscObject)viewer,PETSCVIEWERASCII,&isascii);
     61:   if (isascii) {
     62:     PetscViewerASCIIPushTab(viewer);
     63:     PetscViewerASCIIPrintf(viewer,"Total PG its: %D,",tron->total_gp_its);
     64:     PetscViewerASCIIPrintf(viewer,"PG tolerance: %g \n",(double)tron->pg_ftol);
     65:     PetscViewerASCIIPopTab(viewer);
     66:   }
     67:   return(0);
     68: }

     71: /* ---------------------------------------------------------- */
     74: static PetscErrorCode TaoSetup_TRON(Tao tao)
     75: {
     77:   TAO_TRON       *tron = (TAO_TRON *)tao->data;

     81:   /* Allocate some arrays */
     82:   VecDuplicate(tao->solution, &tron->diag);
     83:   VecDuplicate(tao->solution, &tron->X_New);
     84:   VecDuplicate(tao->solution, &tron->G_New);
     85:   VecDuplicate(tao->solution, &tron->Work);
     86:   VecDuplicate(tao->solution, &tao->gradient);
     87:   VecDuplicate(tao->solution, &tao->stepdirection);
     88:   if (!tao->XL) {
     89:       VecDuplicate(tao->solution, &tao->XL);
     90:       VecSet(tao->XL, PETSC_NINFINITY);
     91:   }
     92:   if (!tao->XU) {
     93:       VecDuplicate(tao->solution, &tao->XU);
     94:       VecSet(tao->XU, PETSC_INFINITY);
     95:   }
     96:   return(0);
     97: }

    103: static PetscErrorCode TaoSolve_TRON(Tao tao)
    104: {
    105:   TAO_TRON                     *tron = (TAO_TRON *)tao->data;
    106:   PetscErrorCode               ierr;
    107:   PetscInt                     its;
    108:   TaoConvergedReason           reason = TAO_CONTINUE_ITERATING;
    109:   TaoLineSearchConvergedReason ls_reason = TAOLINESEARCH_CONTINUE_ITERATING;
    110:   PetscReal                    prered,actred,delta,f,f_new,rhok,gdx,xdiff,stepsize;

    113:   tron->pgstepsize=1.0;
    114:   tao->trust = tao->trust0;
    115:   /*   Project the current point onto the feasible set */
    116:   TaoComputeVariableBounds(tao);
    117:   VecMedian(tao->XL,tao->solution,tao->XU,tao->solution);
    118:   TaoLineSearchSetVariableBounds(tao->linesearch,tao->XL,tao->XU);

    120:   TaoComputeObjectiveAndGradient(tao,tao->solution,&tron->f,tao->gradient);
    121:   ISDestroy(&tron->Free_Local);

    123:   VecWhichBetween(tao->XL,tao->solution,tao->XU,&tron->Free_Local);

    125:   /* Project the gradient and calculate the norm */
    126:   VecBoundGradientProjection(tao->gradient,tao->solution, tao->XL, tao->XU, tao->gradient);
    127:   VecNorm(tao->gradient,NORM_2,&tron->gnorm);

    129:   if (PetscIsInfOrNanReal(tron->f) || PetscIsInfOrNanReal(tron->gnorm)) SETERRQ(PETSC_COMM_SELF,1, "User provided compute function generated Inf pr NaN");
    130:   if (tao->trust <= 0) {
    131:     tao->trust=PetscMax(tron->gnorm*tron->gnorm,1.0);
    132:   }

    134:   tron->stepsize=tao->trust;
    135:   TaoMonitor(tao, tao->niter, tron->f, tron->gnorm, 0.0, tron->stepsize, &reason);
    136:   while (reason==TAO_CONTINUE_ITERATING){
    137:     tao->ksp_its=0;
    138:     TronGradientProjections(tao,tron);
    139:     f=tron->f; delta=tao->trust;
    140:     tron->n_free_last = tron->n_free;
    141:     TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre);

    143:     ISGetSize(tron->Free_Local, &tron->n_free);

    145:     /* If no free variables */
    146:     if (tron->n_free == 0) {
    147:       PetscInfo(tao,"No free variables in tron iteration.\n");
    148:       VecNorm(tao->gradient,NORM_2,&tron->gnorm);
    149:       TaoMonitor(tao, tao->niter, tron->f, tron->gnorm, 0.0, delta, &reason);
    150:       if (!reason) {
    151:         reason = TAO_CONVERGED_STEPTOL;
    152:         TaoSetConvergedReason(tao,reason);
    153:       }
    154:       break;
    155:     }
    156:     /* use free_local to mask/submat gradient, hessian, stepdirection */
    157:     TaoVecGetSubVec(tao->gradient,tron->Free_Local,tao->subset_type,0.0,&tron->R);
    158:     TaoVecGetSubVec(tao->gradient,tron->Free_Local,tao->subset_type,0.0,&tron->DXFree);
    159:     VecSet(tron->DXFree,0.0);
    160:     VecScale(tron->R, -1.0);
    161:     TaoMatGetSubMat(tao->hessian, tron->Free_Local, tron->diag, tao->subset_type, &tron->H_sub);
    162:     if (tao->hessian == tao->hessian_pre) {
    163:       MatDestroy(&tron->Hpre_sub);
    164:       PetscObjectReference((PetscObject)(tron->H_sub));
    165:       tron->Hpre_sub = tron->H_sub;
    166:     } else {
    167:       TaoMatGetSubMat(tao->hessian_pre, tron->Free_Local, tron->diag, tao->subset_type,&tron->Hpre_sub);
    168:     }
    169:     KSPReset(tao->ksp);
    170:     KSPSetOperators(tao->ksp, tron->H_sub, tron->Hpre_sub);
    171:     while (1) {

    173:       /* Approximately solve the reduced linear system */
    174:       KSPSTCGSetRadius(tao->ksp,delta);

    176:       KSPSolve(tao->ksp, tron->R, tron->DXFree);
    177:       KSPGetIterationNumber(tao->ksp,&its);
    178:       tao->ksp_its+=its;
    179:       tao->ksp_tot_its+=its;
    180:       VecSet(tao->stepdirection,0.0);

    182:       /* Add dxfree matrix to compute step direction vector */
    183:       VecISAXPY(tao->stepdirection,tron->Free_Local,1.0,tron->DXFree);

    185:       VecDot(tao->gradient, tao->stepdirection, &gdx);
    186:       PetscInfo1(tao,"Expected decrease in function value: %14.12e\n",(double)gdx);

    188:       VecCopy(tao->solution, tron->X_New);
    189:       VecCopy(tao->gradient, tron->G_New);

    191:       stepsize=1.0;f_new=f;

    193:       TaoLineSearchSetInitialStepLength(tao->linesearch,1.0);
    194:       TaoLineSearchApply(tao->linesearch, tron->X_New, &f_new, tron->G_New, tao->stepdirection,&stepsize,&ls_reason);
    195:       TaoAddLineSearchCounts(tao);

    197:       MatMult(tao->hessian, tao->stepdirection, tron->Work);
    198:       VecAYPX(tron->Work, 0.5, tao->gradient);
    199:       VecDot(tao->stepdirection, tron->Work, &prered);
    200:       actred = f_new - f;
    201:       if (actred<0) {
    202:         rhok=PetscAbs(-actred/prered);
    203:       } else {
    204:         rhok=0.0;
    205:       }

    207:       /* Compare actual improvement to the quadratic model */
    208:       if (rhok > tron->eta1) { /* Accept the point */
    209:         /* d = x_new - x */
    210:         VecCopy(tron->X_New, tao->stepdirection);
    211:         VecAXPY(tao->stepdirection, -1.0, tao->solution);

    213:         VecNorm(tao->stepdirection, NORM_2, &xdiff);
    214:         xdiff *= stepsize;

    216:         /* Adjust trust region size */
    217:         if (rhok < tron->eta2 ){
    218:           delta = PetscMin(xdiff,delta)*tron->sigma1;
    219:         } else if (rhok > tron->eta4 ){
    220:           delta= PetscMin(xdiff,delta)*tron->sigma3;
    221:         } else if (rhok > tron->eta3 ){
    222:           delta=PetscMin(xdiff,delta)*tron->sigma2;
    223:         }
    224:         VecBoundGradientProjection(tron->G_New,tron->X_New, tao->XL, tao->XU, tao->gradient);
    225:         if (tron->Free_Local) {
    226:           ISDestroy(&tron->Free_Local);
    227:         }
    228:         VecWhichBetween(tao->XL, tron->X_New, tao->XU, &tron->Free_Local);
    229:         f=f_new;
    230:         VecNorm(tao->gradient,NORM_2,&tron->gnorm);
    231:         VecCopy(tron->X_New, tao->solution);
    232:         VecCopy(tron->G_New, tao->gradient);
    233:         break;
    234:       }
    235:       else if (delta <= 1e-30) {
    236:         break;
    237:       }
    238:       else {
    239:         delta /= 4.0;
    240:       }
    241:     } /* end linear solve loop */

    243:     tron->f=f; tron->actred=actred; tao->trust=delta;
    244:     tao->niter++;
    245:     TaoMonitor(tao, tao->niter, tron->f, tron->gnorm, 0.0, delta, &reason);
    246:   }  /* END MAIN LOOP  */

    248:   return(0);
    249: }

    254: static PetscErrorCode TronGradientProjections(Tao tao,TAO_TRON *tron)
    255: {
    256:   PetscErrorCode                 ierr;
    257:   PetscInt                       i;
    258:   TaoLineSearchConvergedReason ls_reason;
    259:   PetscReal                      actred=-1.0,actred_max=0.0;
    260:   PetscReal                      f_new;
    261:   /*
    262:      The gradient and function value passed into and out of this
    263:      routine should be current and correct.

    265:      The free, active, and binding variables should be already identified
    266:   */
    268:   if (tron->Free_Local) {
    269:     ISDestroy(&tron->Free_Local);
    270:   }
    271:   VecWhichBetween(tao->XL,tao->solution,tao->XU,&tron->Free_Local);

    273:   for (i=0;i<tron->maxgpits;i++){

    275:     if ( -actred <= (tron->pg_ftol)*actred_max) break;

    277:     tron->gp_iterates++; tron->total_gp_its++;
    278:     f_new=tron->f;

    280:     VecCopy(tao->gradient, tao->stepdirection);
    281:     VecScale(tao->stepdirection, -1.0);
    282:     TaoLineSearchSetInitialStepLength(tao->linesearch,tron->pgstepsize);
    283:     TaoLineSearchApply(tao->linesearch, tao->solution, &f_new, tao->gradient, tao->stepdirection,
    284:                               &tron->pgstepsize, &ls_reason);
    285:     TaoAddLineSearchCounts(tao);

    288:     /* Update the iterate */
    289:     actred = f_new - tron->f;
    290:     actred_max = PetscMax(actred_max,-(f_new - tron->f));
    291:     tron->f = f_new;
    292:     if (tron->Free_Local) {
    293:       ISDestroy(&tron->Free_Local);
    294:     }
    295:     VecWhichBetween(tao->XL,tao->solution,tao->XU,&tron->Free_Local);
    296:   }

    298:   return(0);
    299: }

    303: static PetscErrorCode TaoComputeDual_TRON(Tao tao, Vec DXL, Vec DXU) {

    305:   TAO_TRON       *tron = (TAO_TRON *)tao->data;

    312:   if (!tron->Work || !tao->gradient) SETERRQ(PETSC_COMM_SELF,PETSC_ERR_ORDER,"Dual variables don't exist yet or no longer exist.\n");

    314:   VecBoundGradientProjection(tao->gradient,tao->solution,tao->XL,tao->XU,tron->Work);
    315:   VecCopy(tron->Work,DXL);
    316:   VecAXPY(DXL,-1.0,tao->gradient);
    317:   VecSet(DXU,0.0);
    318:   VecPointwiseMax(DXL,DXL,DXU);

    320:   VecCopy(tao->gradient,DXU);
    321:   VecAXPY(DXU,-1.0,tron->Work);
    322:   VecSet(tron->Work,0.0);
    323:   VecPointwiseMin(DXU,tron->Work,DXU);
    324:   return(0);
    325: }

    327: /*------------------------------------------------------------*/
    328: /*MC
    329:   TAOTRON - The TRON algorithm is an active-set Newton trust region method
    330:   for bound-constrained minimization.

    332:   Options Database Keys:
    333: + -tao_tron_maxgpits - maximum number of gradient projections per TRON iterate
    334: - -tao_subset_type - "subvec","mask","matrix-free", strategies for handling active-sets

    336:   Level: beginner
    337: M*/
    340: PETSC_EXTERN PetscErrorCode TaoCreate_TRON(Tao tao)
    341: {
    342:   TAO_TRON       *tron;
    344:   const char     *morethuente_type = TAOLINESEARCHMT;

    347:   tao->ops->setup = TaoSetup_TRON;
    348:   tao->ops->solve = TaoSolve_TRON;
    349:   tao->ops->view = TaoView_TRON;
    350:   tao->ops->setfromoptions = TaoSetFromOptions_TRON;
    351:   tao->ops->destroy = TaoDestroy_TRON;
    352:   tao->ops->computedual = TaoComputeDual_TRON;

    354:   PetscNewLog(tao,&tron);
    355:   tao->data = (void*)tron;

    357:   /* Override default settings (unless already changed) */
    358:   if (!tao->max_it_changed) tao->max_it = 50;

    360: #if defined(PETSC_USE_REAL_SINGLE)
    361:   if (!tao->steptol_changed) tao->steptol = 1.0e-6;
    362: #else
    363:   if (!tao->steptol_changed) tao->steptol = 1.0e-12;
    364: #endif

    366:   if (!tao->trust0_changed) tao->trust0 = 1.0;

    368:   /* Initialize pointers and variables */
    369:   tron->n            = 0;
    370:   tron->maxgpits     = 3;
    371:   tron->pg_ftol      = 0.001;

    373:   tron->eta1         = 1.0e-4;
    374:   tron->eta2         = 0.25;
    375:   tron->eta3         = 0.50;
    376:   tron->eta4         = 0.90;

    378:   tron->sigma1       = 0.5;
    379:   tron->sigma2       = 2.0;
    380:   tron->sigma3       = 4.0;

    382:   tron->gp_iterates  = 0; /* Cumulative number */
    383:   tron->total_gp_its = 0;
    384:   tron->n_free       = 0;

    386:   tron->DXFree=NULL;
    387:   tron->R=NULL;
    388:   tron->X_New=NULL;
    389:   tron->G_New=NULL;
    390:   tron->Work=NULL;
    391:   tron->Free_Local=NULL;
    392:   tron->H_sub=NULL;
    393:   tron->Hpre_sub=NULL;
    394:   tao->subset_type = TAO_SUBSET_SUBVEC;

    396:   TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch);
    397:   TaoLineSearchSetType(tao->linesearch,morethuente_type);
    398:   TaoLineSearchUseTaoRoutines(tao->linesearch,tao);
    399:   TaoLineSearchSetOptionsPrefix(tao->linesearch,tao->hdr.prefix);

    401:   KSPCreate(((PetscObject)tao)->comm, &tao->ksp);
    402:   KSPSetOptionsPrefix(tao->ksp, tao->hdr.prefix);
    403:   KSPSetType(tao->ksp,KSPSTCG);
    404:   return(0);
    405: }