Actual source code: linesearchnleqerr.c
petsc-3.7.1 2016-05-15
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      1: #include <petsc/private/linesearchimpl.h> /*I  "petscsnes.h"  I*/
      2: #include <petsc/private/snesimpl.h>

      4: typedef struct {
      5:   PetscReal norm_delta_x_prev; /* norm of previous update */
      6:   PetscReal norm_bar_delta_x_prev; /* norm of previous bar update */
      7:   PetscReal mu_curr; /* current local Lipschitz estimate */
      8:   PetscReal lambda_prev; /* previous step length: for some reason SNESLineSearchGetLambda returns 1 instead of the previous step length */
      9: } SNESLineSearch_NLEQERR;

     11: static PetscBool NLEQERR_cited = PETSC_FALSE;
     12: static const char NLEQERR_citation[] = "@book{deuflhard2011,\n"
     13:                                "  title = {Newton Methods for Nonlinear Problems},\n"
     14:                                "  author = {Peter Deuflhard},\n"
     15:                                "  volume = 35,\n"
     16:                                "  year = 2011,\n"
     17:                                "  isbn = {978-3-642-23898-7},\n"
     18:                                "  doi  = {10.1007/978-3-642-23899-4},\n"
     19:                                "  publisher = {Springer-Verlag},\n"
     20:                                "  address = {Berlin, Heidelberg}\n}\n";

     24: static PetscErrorCode SNESLineSearchReset_NLEQERR(SNESLineSearch linesearch)
     25: {
     26:   SNESLineSearch_NLEQERR *nleqerr = (SNESLineSearch_NLEQERR*)linesearch->data;

     29:   nleqerr->mu_curr               = 0.0;
     30:   nleqerr->norm_delta_x_prev     = -1.0;
     31:   nleqerr->norm_bar_delta_x_prev = -1.0;
     32:   return(0);
     33: }

     37: static PetscErrorCode  SNESLineSearchApply_NLEQERR(SNESLineSearch linesearch)
     38: {
     39:   PetscBool              changed_y,changed_w;
     40:   PetscErrorCode         ierr;
     41:   Vec                    X,F,Y,W,G;
     42:   SNES                   snes;
     43:   PetscReal              fnorm, xnorm, ynorm, gnorm, wnorm;
     44:   PetscReal              lambda, minlambda, stol;
     45:   PetscViewer            monitor;
     46:   PetscInt               max_its, count, snes_iteration;
     47:   PetscReal              theta, mudash, lambdadash;
     48:   SNESLineSearch_NLEQERR *nleqerr = (SNESLineSearch_NLEQERR*)linesearch->data;
     49:   KSPConvergedReason     kspreason;

     52:   PetscCitationsRegister(NLEQERR_citation, &NLEQERR_cited);

     54:   SNESLineSearchGetVecs(linesearch, &X, &F, &Y, &W, &G);
     55:   SNESLineSearchGetNorms(linesearch, &xnorm, &fnorm, &ynorm);
     56:   SNESLineSearchGetLambda(linesearch, &lambda);
     57:   SNESLineSearchGetSNES(linesearch, &snes);
     58:   SNESLineSearchGetDefaultMonitor(linesearch, &monitor);
     59:   SNESLineSearchGetTolerances(linesearch,&minlambda,NULL,NULL,NULL,NULL,&max_its);
     60:   SNESGetTolerances(snes,NULL,NULL,&stol,NULL,NULL);

     62:   /* reset the state of the Lipschitz estimates */
     63:   SNESGetIterationNumber(snes, &snes_iteration);
     64:   if (!snes_iteration) {
     65:     SNESLineSearchReset_NLEQERR(linesearch);
     66:   }

     68:   /* precheck */
     69:   SNESLineSearchPreCheck(linesearch,X,Y,&changed_y);
     70:   SNESLineSearchSetReason(linesearch, SNES_LINESEARCH_SUCCEEDED);

     72:   VecNormBegin(Y, NORM_2, &ynorm);
     73:   VecNormBegin(X, NORM_2, &xnorm);
     74:   VecNormEnd(Y, NORM_2, &ynorm);
     75:   VecNormEnd(X, NORM_2, &xnorm);

     77:   /* Note: Y is *minus* the Newton step. For whatever reason PETSc doesn't solve with the minus on  the RHS. */

     79:   if (ynorm == 0.0) {
     80:     if (monitor) {
     81:       PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
     82:       PetscViewerASCIIPrintf(monitor,"    Line search: Initial direction and size is 0\n");
     83:       PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
     84:     }
     85:     VecCopy(X,W);
     86:     VecCopy(F,G);
     87:     SNESLineSearchSetNorms(linesearch,xnorm,fnorm,ynorm);
     88:     SNESLineSearchSetReason(linesearch, SNES_LINESEARCH_FAILED_REDUCT);
     89:     return(0);
     90:   }

     92:   /* At this point, we've solved the Newton system for delta_x, and we assume that
     93:      its norm is greater than the solution tolerance (otherwise we wouldn't be in
     94:      here). So let's go ahead and estimate the Lipschitz constant.

     96:      W contains bar_delta_x_prev at this point. */

     98:   if (monitor) {
     99:     PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    100:     PetscViewerASCIIPrintf(monitor,"    Line search: norm of Newton step: %14.12e\n", (double) ynorm);
    101:     PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    102:   }

    104:   /* this needs information from a previous iteration, so can't do it on the first one */
    105:   if (nleqerr->norm_delta_x_prev > 0 && nleqerr->norm_bar_delta_x_prev > 0) {
    106:     VecWAXPY(G, +1.0, Y, W); /* bar_delta_x - delta_x; +1 because Y is -delta_x */
    107:     VecNormBegin(G, NORM_2, &gnorm);
    108:     VecNormEnd(G, NORM_2, &gnorm);

    110:     nleqerr->mu_curr = nleqerr->lambda_prev * (nleqerr->norm_delta_x_prev * nleqerr->norm_bar_delta_x_prev) / (gnorm * ynorm);
    111:     lambda = PetscMin(1.0, nleqerr->mu_curr);

    113:     if (monitor) {
    114:       PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    115:       PetscViewerASCIIPrintf(monitor,"    Line search: Lipschitz estimate: %14.12e; lambda: %14.12e\n", (double) nleqerr->mu_curr, (double) lambda);
    116:       PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    117:     }
    118:   } else {
    119:     lambda = linesearch->damping;
    120:   }

    122:   /* The main while loop of the algorithm.
    123:      At the end of this while loop, G should have the accepted new X in it. */

    125:   count = 0;
    126:   while (PETSC_TRUE) {
    127:     if (monitor) {
    128:       PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    129:       PetscViewerASCIIPrintf(monitor,"    Line search: entering iteration with lambda: %14.12e\n", lambda);
    130:       PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    131:     }

    133:     /* Check that we haven't performed too many iterations */
    134:     count += 1;
    135:     if (count >= max_its) {
    136:       if (monitor) {
    137:         PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    138:         PetscViewerASCIIPrintf(monitor,"    Line search: maximum iterations reached\n");
    139:         PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    140:       }
    141:       SNESLineSearchSetReason(linesearch, SNES_LINESEARCH_FAILED_REDUCT);
    142:       return(0);
    143:     }

    145:     /* Now comes the Regularity Test. */
    146:     if (lambda <= minlambda) {
    147:       /* This isn't what is suggested by Deuflhard, but it works better in my experience */
    148:       if (monitor) {
    149:         PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    150:         PetscViewerASCIIPrintf(monitor,"    Line search: lambda has reached lambdamin, taking full Newton step\n");
    151:         PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    152:       }
    153:       lambda = 1.0;
    154:       VecWAXPY(G, -lambda, Y, X);

    156:       /* and clean up the state for next time */
    157:       SNESLineSearchReset_NLEQERR(linesearch);
    158:       /*
    159:          The clang static analyzer detected a problem here; once the loop is broken the values
    160:          nleqerr->norm_delta_x_prev     = ynorm;
    161:          nleqerr->norm_bar_delta_x_prev = wnorm;
    162:          are set, but wnorm has not even been computed.
    163:          I don't know if this is the correct fix but by setting ynorm and wnorm to -1.0 at
    164:          least the linesearch object is kept in the state set by the SNESLineSearchReset_NLEQERR() call above
    165:       */
    166:       ynorm = wnorm = -1.0;
    167:       break;
    168:     }

    170:     /* Compute new trial iterate */
    171:     VecWAXPY(W, -lambda, Y, X);
    172:     SNESComputeFunction(snes, W, G);

    174:     /* Solve linear system for bar_delta_x_curr: old Jacobian, new RHS. Note absence of minus sign, compared to Deuflhard, in keeping with PETSc convention */
    175:     KSPSolve(snes->ksp, G, W);
    176:     KSPGetConvergedReason(snes->ksp, &kspreason);
    177:     if (kspreason < 0) {
    178:       PetscInfo(snes,"Solution for \\bar{delta x}^{k+1} failed.");
    179:     }

    181:     /* W now contains -bar_delta_x_curr. */

    183:     VecNorm(W, NORM_2, &wnorm);
    184:     if (monitor) {
    185:       PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    186:       PetscViewerASCIIPrintf(monitor,"    Line search: norm of simplified Newton update: %14.12e\n", (double) wnorm);
    187:       PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    188:     }

    190:     /* compute the monitoring quantities theta and mudash. */

    192:     theta = wnorm / ynorm;

    194:     VecWAXPY(G, -(1.0 - lambda), Y, W);
    195:     VecNorm(G, NORM_2, &gnorm);

    197:     mudash = (0.5 * ynorm * lambda * lambda) / gnorm;

    199:     /* Check for termination of the linesearch */
    200:     if (theta >= 1.0) {
    201:       /* need to go around again with smaller lambda */
    202:       if (monitor) {
    203:         PetscViewerASCIIAddTab(monitor,((PetscObject)linesearch)->tablevel);
    204:         PetscViewerASCIIPrintf(monitor,"    Line search: monotonicity check failed, ratio: %14.12e\n", (double) theta);
    205:         PetscViewerASCIISubtractTab(monitor,((PetscObject)linesearch)->tablevel);
    206:       }
    207:       lambda = PetscMin(mudash, 0.5 * lambda);
    208:       lambda = PetscMax(lambda, minlambda);
    209:       /* continue through the loop, i.e. go back to regularity test */
    210:     } else {
    211:       /* linesearch terminated */
    212:       lambdadash = PetscMin(1.0, mudash);

    214:       if (lambdadash == 1.0 && lambda == 1.0 && wnorm <= stol) {
    215:         /* store the updated state, X - Y - W, in G:
    216:            I need to keep W for the next linesearch */
    217:         VecCopy(X, G);
    218:         VecAXPY(G, -1.0, Y);
    219:         VecAXPY(G, -1.0, W);
    220:         break;
    221:       }

    223:       /* Deuflhard suggests to add the following:
    224:       else if (lambdadash >= 4.0 * lambda) {
    225:         lambda = lambdadash;
    226:       }
    227:       to continue through the loop, i.e. go back to regularity test.
    228:       I deliberately exclude this, as I have practical experience of this
    229:       getting stuck in infinite loops (on e.g. an Allen--Cahn problem). */

    231:       else {
    232:         /* accept iterate without adding on, i.e. don't use bar_delta_x;
    233:            again, I need to keep W for the next linesearch */
    234:         VecWAXPY(G, -lambda, Y, X);
    235:         break;
    236:       }
    237:     }
    238:   }

    240:   if (linesearch->ops->viproject) {
    241:     (*linesearch->ops->viproject)(snes, G);
    242:   }

    244:   /* W currently contains -bar_delta_u. Scale it so that it contains bar_delta_u. */
    245:   VecScale(W, -1.0);

    247:   /* postcheck */
    248:   SNESLineSearchPostCheck(linesearch,X,Y,G,&changed_y,&changed_w);
    249:   if (changed_y || changed_w) {
    250:     SNESLineSearchSetReason(linesearch, SNES_LINESEARCH_FAILED_USER);
    251:     PetscInfo(snes,"Changing the search direction here doesn't make sense.\n");
    252:     return(0);
    253:   }

    255:   /* copy the solution and information from this iteration over */
    256:   nleqerr->norm_delta_x_prev     = ynorm;
    257:   nleqerr->norm_bar_delta_x_prev = wnorm;
    258:   nleqerr->lambda_prev           = lambda;

    260:   VecCopy(G, X);
    261:   SNESComputeFunction(snes, X, F);
    262:   VecNorm(X, NORM_2, &xnorm);
    263:   VecNorm(F, NORM_2, &fnorm);
    264:   SNESLineSearchSetLambda(linesearch, lambda);
    265:   SNESLineSearchSetNorms(linesearch, xnorm, fnorm, ynorm);
    266:   return(0);
    267: }

    271: PetscErrorCode SNESLineSearchView_NLEQERR(SNESLineSearch linesearch, PetscViewer viewer)
    272: {
    273:   PetscErrorCode          ierr;
    274:   PetscBool               iascii;
    275:   SNESLineSearch_NLEQERR *nleqerr;

    278:   PetscObjectTypeCompare((PetscObject)viewer,PETSCVIEWERASCII,&iascii);
    279:   nleqerr   = (SNESLineSearch_NLEQERR*)linesearch->data;
    280:   if (iascii) {
    281:     PetscViewerASCIIPrintf(viewer, "  NLEQ-ERR affine-covariant linesearch");
    282:     PetscViewerASCIIPrintf(viewer, "  current local Lipschitz estimate omega=%e\n", (double)nleqerr->mu_curr);
    283:   }
    284:   return(0);
    285: }

    289: static PetscErrorCode SNESLineSearchDestroy_NLEQERR(SNESLineSearch linesearch)
    290: {

    294:   PetscFree(linesearch->data);
    295:   return(0);
    296: }

    300: /*MC
    301:    SNESLINESEARCHNLEQERR - Error-oriented affine-covariant globalised Newton algorithm of Deuflhard (2011).

    303:    This linesearch is intended for Newton-type methods which are affine covariant. Affine covariance
    304:    means that Newton's method will give the same iterations for F(x) = 0 and AF(x) = 0 for a nonsingular
    305:    matrix A. This is a fundamental property; the philosophy of this linesearch is that globalisations
    306:    of Newton's method should carefully preserve it.

    308:    For a discussion of the theory behind this algorithm, see

    310:    @book{deuflhard2011,
    311:      title={Newton Methods for Nonlinear Problems},
    312:      author={Deuflhard, P.},
    313:      volume={35},
    314:      year={2011},
    315:      publisher={Springer-Verlag},
    316:      address={Berlin, Heidelberg}
    317:    }

    319:    Pseudocode is given on page 148.

    321:    Options Database Keys:
    322: +  -snes_linesearch_damping<1.0> - initial step length
    323: -  -snes_linesearch_minlambda<1e-12> - minimum step length allowed

    325:    Contributed by Patrick Farrell <patrick.farrell@maths.ox.ac.uk>

    327:    Level: advanced

    329: .keywords: SNES, SNESLineSearch, damping

    331: .seealso: SNESLineSearchCreate(), SNESLineSearchSetType()
    332: M*/
    333: PETSC_EXTERN PetscErrorCode SNESLineSearchCreate_NLEQERR(SNESLineSearch linesearch)
    334: {

    336:   SNESLineSearch_NLEQERR *nleqerr;
    337:   PetscErrorCode    ierr;

    340:   linesearch->ops->apply          = SNESLineSearchApply_NLEQERR;
    341:   linesearch->ops->destroy        = SNESLineSearchDestroy_NLEQERR;
    342:   linesearch->ops->setfromoptions = NULL;
    343:   linesearch->ops->reset          = SNESLineSearchReset_NLEQERR;
    344:   linesearch->ops->view           = SNESLineSearchView_NLEQERR;
    345:   linesearch->ops->setup          = NULL;

    347:   PetscNewLog(linesearch,&nleqerr);

    349:   linesearch->data    = (void*)nleqerr;
    350:   linesearch->max_its = 40;
    351:   SNESLineSearchReset_NLEQERR(linesearch);
    352:   return(0);
    353: }