ROL
ROL_CompositeObjective_SimOpt.hpp
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43
44#ifndef ROL_COMPOSITEOBJECTIVE_SIMOPT_H
45#define ROL_COMPOSITEOBJECTIVE_SIMOPT_H
46
47#include "ROL_StdObjective.hpp"
49
56namespace ROL {
57
58template <class Real>
60private:
61 const std::vector<ROL::Ptr<Objective_SimOpt<Real> > > obj_vec_;
62 const ROL::Ptr<StdObjective<Real> > std_obj_;
63
64 ROL::Ptr<std::vector<Real>> obj_value_;
65 ROL::Ptr<std::vector<Real>> obj_grad_;
66 ROL::Ptr<std::vector<Real>> obj_gv_;
67 ROL::Ptr<std::vector<Real>> obj_hess_;
68 ROL::Ptr<StdVector<Real>> obj_value_vec_;
69 ROL::Ptr<StdVector<Real>> obj_grad_vec_;
70 ROL::Ptr<StdVector<Real>> obj_gv_vec_;
71 ROL::Ptr<StdVector<Real>> obj_hess_vec_;
72 std::vector<ROL::Ptr<Vector<Real>>> vec_grad1_;
73 std::vector<ROL::Ptr<Vector<Real>>> vec_grad2_;
74 std::vector<ROL::Ptr<Vector<Real>>> vec_hess1_;
75 std::vector<ROL::Ptr<Vector<Real>>> vec_hess2_;
76
79
80 void initialize(const Vector<Real> &u, const Vector<Real> &z) {
81 if (!isInitialized_){
82 int size = obj_vec_.size();
83 vec_grad1_.clear(); vec_grad1_.resize(size,ROL::nullPtr);
84 vec_grad2_.clear(); vec_grad2_.resize(size,ROL::nullPtr);
85 vec_hess1_.clear(); vec_hess1_.resize(size,ROL::nullPtr);
86 vec_hess2_.clear(); vec_hess2_.resize(size,ROL::nullPtr);
87 for (int i = 0; i < size; ++i) {
88 vec_grad1_[i] = u.dual().clone();
89 vec_grad2_[i] = z.dual().clone();
90 vec_hess1_[i] = u.dual().clone();
91 vec_hess2_[i] = z.dual().clone();
92 }
93 isInitialized_ = true;
94 }
95 }
96
97 void computeValue(const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
98 initialize(u,z);
99 if (!isValueComputed_) {
100 int size = obj_vec_.size();
101 for (int i = 0; i < size; ++i) {
102 (*obj_value_)[i] = obj_vec_[i]->value(u,z,tol);
103 }
104 isValueComputed_ = true;
105 }
106 }
107
108 void computeGradient(const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
109 computeValue(u,z,tol);
110 if (!isGradientComputed_) {
111 std_obj_->gradient(*(obj_grad_vec_),*(obj_value_vec_),tol);
112 isGradientComputed_ = true;
113 }
114 }
115
116 void computeGradient1(const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
117 computeGradient(u,z,tol);
119 int size = obj_vec_.size();
120 for (int i = 0; i < size; ++i) {
121 obj_vec_[i]->gradient_1(*(vec_grad1_[i]),u,z,tol);
122 }
124 }
125 }
126
127 void computeGradient2(const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
128 computeGradient(u,z,tol);
130 int size = obj_vec_.size();
131 for (int i = 0; i < size; ++i) {
132 obj_vec_[i]->gradient_2(*(vec_grad2_[i]),u,z,tol);
133 }
135 }
136 }
137
138 void computeHessVec11(const Vector<Real> &v, const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
139 computeGradient1(u,z,tol);
140 int size = obj_vec_.size();
141 for (int i = 0; i < size; ++i) {
142 //(*obj_gv_)[i] = vec_grad1_[i]->dot(v.dual());
143 (*obj_gv_)[i] = vec_grad1_[i]->apply(v);
144 obj_vec_[i]->hessVec_11(*(vec_hess1_[i]),v,u,z,tol);
145 }
146 std_obj_->hessVec(*(obj_hess_vec_),*(obj_gv_vec_),*(obj_value_vec_),tol);
147 }
148
149 void computeHessVec12(const Vector<Real> &v, const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
150 computeGradient1(u,z,tol);
151 computeGradient2(u,z,tol);
152 int size = obj_vec_.size();
153 for (int i = 0; i < size; ++i) {
154 //(*obj_gv_)[i] = vec_grad2_[i]->dot(v.dual());
155 (*obj_gv_)[i] = vec_grad2_[i]->apply(v);
156 obj_vec_[i]->hessVec_12(*(vec_hess1_[i]),v,u,z,tol);
157 }
158 std_obj_->hessVec(*(obj_hess_vec_),*(obj_gv_vec_),*(obj_value_vec_),tol);
159 }
160
161 void computeHessVec21(const Vector<Real> &v, const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
162 computeGradient1(u,z,tol);
163 computeGradient2(u,z,tol);
164 int size = obj_vec_.size();
165 for (int i = 0; i < size; ++i) {
166 //(*obj_gv_)[i] = vec_grad1_[i]->dot(v.dual());
167 (*obj_gv_)[i] = vec_grad1_[i]->apply(v);
168 obj_vec_[i]->hessVec_21(*(vec_hess2_[i]),v,u,z,tol);
169 }
170 std_obj_->hessVec(*(obj_hess_vec_),*(obj_gv_vec_),*(obj_value_vec_),tol);
171 }
172
173 void computeHessVec22(const Vector<Real> &v, const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
174 computeGradient2(u,z,tol);
175 int size = obj_vec_.size();
176 for (int i = 0; i < size; ++i) {
177 //(*obj_gv_)[i] = vec_grad2_[i]->dot(v.dual());
178 (*obj_gv_)[i] = vec_grad2_[i]->apply(v);
179 obj_vec_[i]->hessVec_22(*(vec_hess2_[i]),v,u,z,tol);
180 }
181 std_obj_->hessVec(*(obj_hess_vec_),*(obj_gv_vec_),*(obj_value_vec_),tol);
182 }
183
184public:
185 CompositeObjective_SimOpt(const std::vector<ROL::Ptr<Objective_SimOpt<Real> > > &obj_vec,
186 const ROL::Ptr<StdObjective<Real> > &std_obj)
187 : obj_vec_(obj_vec), std_obj_(std_obj),
188 isInitialized_(false), isValueComputed_(false),
190 obj_value_ = ROL::makePtr<std::vector<Real>>(obj_vec_.size(),0);
191 obj_value_vec_ = ROL::makePtr<StdVector<Real>>(obj_value_);
192 obj_grad_ = ROL::makePtr<std::vector<Real>>(obj_vec_.size(),0);
193 obj_grad_vec_ = ROL::makePtr<StdVector<Real>>(obj_grad_);
194 obj_gv_ = ROL::makePtr<std::vector<Real>>(obj_vec_.size(),0);
195 obj_gv_vec_ = ROL::makePtr<StdVector<Real>>(obj_gv_);
196 obj_hess_ = ROL::makePtr<std::vector<Real>>(obj_vec_.size(),0);
197 obj_hess_vec_ = ROL::makePtr<StdVector<Real>>(obj_hess_);
198 }
199
200 void update( const Vector<Real> &u, const Vector<Real> &z, bool flag = true, int iter = -1 ) {
201 int size = obj_vec_.size();
202 for (int i = 0; i < size; ++i) {
203 obj_vec_[i]->update(u,z,flag,iter);
204 }
205 isValueComputed_ = false;
206 isGradientComputed_ = (flag ? false : isGradientComputed_);
209 }
210
211 void update( const Vector<Real> &u, const Vector<Real> &z, UpdateType type, int iter = -1 ) {
212 int size = obj_vec_.size();
213 for (int i = 0; i < size; ++i) {
214 obj_vec_[i]->update(u,z,type,iter);
215 }
216 // Do something smarter here
217 isValueComputed_ = false;
218 isGradientComputed_ = false;
219 isGradient1Computed_ = false;
220 isGradient2Computed_ = false;
221 }
222
223 Real value( const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
224 computeValue(u,z,tol);
225 return std_obj_->value(*obj_value_vec_,tol);
226 }
227
228
229 void gradient_1( Vector<Real> &g, const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
230 g.zero();
231 computeGradient1(u,z,tol);
232 int size = obj_vec_.size();
233 for (int i = 0; i < size; ++i) {
234 g.axpy((*obj_grad_)[i],*(vec_grad1_[i]));
235 }
236 }
237
238 void gradient_2( Vector<Real> &g, const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
239 g.zero();
240 computeGradient2(u,z,tol);
241 int size = obj_vec_.size();
242 for (int i = 0; i < size; ++i) {
243 g.axpy((*obj_grad_)[i],*(vec_grad2_[i]));
244 }
245 }
246
248 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
249 hv.zero();
250 computeHessVec11(v,u,z,tol);
251 int size = obj_vec_.size();
252 for (int i = 0; i < size; ++i) {
253 hv.axpy((*obj_grad_)[i],*(vec_hess1_[i]));
254 hv.axpy((*obj_hess_)[i],*(vec_grad1_[i]));
255 }
256 }
257
259 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
260 hv.zero();
261 computeHessVec12(v,u,z,tol);
262 int size = obj_vec_.size();
263 for (int i = 0; i < size; ++i) {
264 hv.axpy((*obj_grad_)[i],*(vec_hess1_[i]));
265 hv.axpy((*obj_hess_)[i],*(vec_grad1_[i]));
266 }
267 }
268
270 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
271 hv.zero();
272 computeHessVec21(v,u,z,tol);
273 int size = obj_vec_.size();
274 for (int i = 0; i < size; ++i) {
275 hv.axpy((*obj_grad_)[i],*(vec_hess2_[i]));
276 hv.axpy((*obj_hess_)[i],*(vec_grad2_[i]));
277 }
278 }
279
281 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
282 hv.zero();
283 computeHessVec22(v,u,z,tol);
284 int size = obj_vec_.size();
285 for (int i = 0; i < size; ++i) {
286 hv.axpy((*obj_grad_)[i],*(vec_hess2_[i]));
287 hv.axpy((*obj_hess_)[i],*(vec_grad2_[i]));
288 }
289 }
290
291// Definitions for parametrized (stochastic) objective functions
292public:
293 void setParameter(const std::vector<Real> &param) {
295 const int size = obj_vec_.size();
296 for (int i = 0; i < size; ++i) {
297 obj_vec_[i]->setParameter(param);
298 }
299 std_obj_->setParameter(param);
300 isValueComputed_ = false; // Recompute value every time
301 isGradientComputed_ = false; // Recompute gradient every time
302 isGradient1Computed_ = false; // Recompute gradient every time
303 isGradient2Computed_ = false; // Recompute gradient every time
304 }
305};
306
307} // namespace ROL
308
309#endif
Provides the interface to evaluate simulation-based composite objective functions.
void computeHessVec21(const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
void hessVec_21(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
void computeHessVec22(const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
void computeGradient1(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
void initialize(const Vector< Real > &u, const Vector< Real > &z)
std::vector< ROL::Ptr< Vector< Real > > > vec_hess1_
ROL::Ptr< std::vector< Real > > obj_gv_
CompositeObjective_SimOpt(const std::vector< ROL::Ptr< Objective_SimOpt< Real > > > &obj_vec, const ROL::Ptr< StdObjective< Real > > &std_obj)
void computeHessVec12(const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
ROL::Ptr< std::vector< Real > > obj_hess_
void gradient_1(Vector< Real > &g, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Compute gradient with respect to first component.
ROL::Ptr< std::vector< Real > > obj_value_
void setParameter(const std::vector< Real > &param)
void computeGradient2(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
void gradient_2(Vector< Real > &g, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Compute gradient with respect to second component.
void hessVec_11(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Apply Hessian approximation to vector.
std::vector< ROL::Ptr< Vector< Real > > > vec_grad1_
void hessVec_12(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
void computeGradient(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
ROL::Ptr< StdVector< Real > > obj_hess_vec_
void computeHessVec11(const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
std::vector< ROL::Ptr< Vector< Real > > > vec_grad2_
ROL::Ptr< StdVector< Real > > obj_gv_vec_
void update(const Vector< Real > &u, const Vector< Real > &z, UpdateType type, int iter=-1)
const ROL::Ptr< StdObjective< Real > > std_obj_
const std::vector< ROL::Ptr< Objective_SimOpt< Real > > > obj_vec_
void hessVec_22(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
ROL::Ptr< StdVector< Real > > obj_value_vec_
void computeValue(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
std::vector< ROL::Ptr< Vector< Real > > > vec_hess2_
ROL::Ptr< std::vector< Real > > obj_grad_
void update(const Vector< Real > &u, const Vector< Real > &z, bool flag=true, int iter=-1)
Update objective function. u is an iterate, z is an iterate, flag = true if the iterate has changed...
Real value(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Compute value.
ROL::Ptr< StdVector< Real > > obj_grad_vec_
Provides the interface to evaluate simulation-based objective functions.
virtual void setParameter(const std::vector< Real > &param)
Specializes the ROL::Objective interface for objective functions that operate on ROL::StdVector's.
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis,...
Definition: ROL_Vector.hpp:226
virtual void zero()
Set to zero vector.
Definition: ROL_Vector.hpp:167
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
virtual void axpy(const Real alpha, const Vector &x)
Compute where .
Definition: ROL_Vector.hpp:153