ROL
ROL_QuadraticPenalty_SimOpt.hpp
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43
44#ifndef ROL_QUADRATICPENALTY_SIMOPT_H
45#define ROL_QUADRATICPENALTY_SIMOPT_H
46
49#include "ROL_Vector.hpp"
50#include "ROL_Types.hpp"
51#include "ROL_Ptr.hpp"
52#include <iostream>
53
88namespace ROL {
89
90template <class Real>
92private:
93 // Required for quadratic penalty definition
94 const ROL::Ptr<Constraint_SimOpt<Real> > con_;
95 ROL::Ptr<Vector<Real> > multiplier_;
97
98 // Auxiliary storage
99 ROL::Ptr<Vector<Real> > primalMultiplierVector_;
100 ROL::Ptr<Vector<Real> > dualSimVector_;
101 ROL::Ptr<Vector<Real> > dualOptVector_;
102 ROL::Ptr<Vector<Real> > primalConVector_;
103
104 // Constraint evaluations
105 ROL::Ptr<Vector<Real> > conValue_;
106
107 // Evaluation counters
109
110 // User defined options
111 const bool useScaling_;
112 const int HessianApprox_;
113
114 // Flags to recompute quantities
116
117 void evaluateConstraint(const Vector<Real> &u, const Vector<Real> &z, Real &tol) {
118 if ( !isConstraintComputed_ ) {
119 // Evaluate constraint
120 con_->value(*conValue_,u,z,tol); ncval_++;
122 }
123 }
124
125public:
127 const Vector<Real> &multiplier,
128 const Real penaltyParameter,
129 const Vector<Real> &simVec,
130 const Vector<Real> &optVec,
131 const Vector<Real> &conVec,
132 const bool useScaling = false,
133 const int HessianApprox = 0 )
134 : con_(con), penaltyParameter_(penaltyParameter), ncval_(0),
135 useScaling_(useScaling), HessianApprox_(HessianApprox), isConstraintComputed_(false) {
136
137 dualSimVector_ = simVec.dual().clone();
138 dualOptVector_ = optVec.dual().clone();
139 primalConVector_ = conVec.clone();
140 conValue_ = conVec.clone();
141 multiplier_ = multiplier.clone();
142 primalMultiplierVector_ = multiplier.clone();
143 }
144
145 virtual void update( const Vector<Real> &u, const Vector<Real> &z, bool flag = true, int iter = -1 ) {
146 con_->update(u,z,flag,iter);
147 isConstraintComputed_ = ( flag ? false : isConstraintComputed_ );
148 }
149
150 virtual Real value( const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
151 // Evaluate constraint
152 evaluateConstraint(u,z,tol);
153 // Apply Lagrange multiplier to constraint
154 Real cval = multiplier_->dot(conValue_->dual());
155 // Compute penalty term
156 Real pval = conValue_->dot(*conValue_);
157 // Compute quadratic penalty value
158 const Real half(0.5);
159 Real val(0);
160 if (useScaling_) {
161 val = cval/penaltyParameter_ + half*pval;
162 }
163 else {
164 val = cval + half*penaltyParameter_*pval;
165 }
166 return val;
167 }
168
169 virtual void gradient_1( Vector<Real> &g, const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
170 // Evaluate constraint
171 evaluateConstraint(u,z,tol);
172 // Compute gradient of Augmented Lagrangian
174 if ( useScaling_ ) {
175 primalMultiplierVector_->axpy(static_cast<Real>(1)/penaltyParameter_,*multiplier_);
176 }
177 else {
180 }
181 con_->applyAdjointJacobian_1(g,*primalMultiplierVector_,u,z,tol);
182 }
183
184 virtual void gradient_2( Vector<Real> &g, const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
185 // Evaluate constraint
186 evaluateConstraint(u,z,tol);
187 // Compute gradient of Augmented Lagrangian
189 if ( useScaling_ ) {
190 primalMultiplierVector_->axpy(static_cast<Real>(1)/penaltyParameter_,*multiplier_);
191 }
192 else {
195 }
196 con_->applyAdjointJacobian_2(g,*primalMultiplierVector_,u,z,tol);
197 }
198
199 virtual void hessVec_11( Vector<Real> &hv, const Vector<Real> &v,
200 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
201 // Apply objective Hessian to a vector
202 if (HessianApprox_ < 2) {
203 con_->applyJacobian_1(*primalConVector_,v,u,z,tol);
204 con_->applyAdjointJacobian_1(hv,primalConVector_->dual(),u,z,tol);
205 if (!useScaling_) {
207 }
208
209 if (HessianApprox_ == 0) {
210 // Evaluate constraint
211 evaluateConstraint(u,z,tol);
212 // Apply Augmented Lagrangian Hessian to a vector
214 if ( useScaling_ ) {
215 primalMultiplierVector_->axpy(static_cast<Real>(1)/penaltyParameter_,*multiplier_);
216 }
217 else {
220 }
221 con_->applyAdjointHessian_11(*dualSimVector_,*primalMultiplierVector_,v,u,z,tol);
222 hv.plus(*dualSimVector_);
223 }
224 }
225 else {
226 hv.zero();
227 }
228 }
229
230 virtual void hessVec_12( Vector<Real> &hv, const Vector<Real> &v,
231 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
232 // Apply objective Hessian to a vector
233 if (HessianApprox_ < 2) {
234 con_->applyJacobian_2(*primalConVector_,v,u,z,tol);
235 con_->applyAdjointJacobian_1(hv,primalConVector_->dual(),u,z,tol);
236 if (!useScaling_) {
238 }
239
240 if (HessianApprox_ == 0) {
241 // Evaluate constraint
242 evaluateConstraint(u,z,tol);
243 // Apply Augmented Lagrangian Hessian to a vector
245 if ( useScaling_ ) {
246 primalMultiplierVector_->axpy(static_cast<Real>(1)/penaltyParameter_,*multiplier_);
247 }
248 else {
251 }
252 con_->applyAdjointHessian_21(*dualSimVector_,*primalMultiplierVector_,v,u,z,tol);
253 hv.plus(*dualSimVector_);
254 }
255 }
256 else {
257 hv.zero();
258 }
259 }
260
261 virtual void hessVec_21( Vector<Real> &hv, const Vector<Real> &v,
262 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
263 // Apply objective Hessian to a vector
264 if (HessianApprox_ < 2) {
265 con_->applyJacobian_1(*primalConVector_,v,u,z,tol);
266 con_->applyAdjointJacobian_2(hv,primalConVector_->dual(),u,z,tol);
267 if (!useScaling_) {
269 }
270
271 if (HessianApprox_ == 0) {
272 // Evaluate constraint
273 evaluateConstraint(u,z,tol);
274 // Apply Augmented Lagrangian Hessian to a vector
276 if ( useScaling_ ) {
277 primalMultiplierVector_->axpy(static_cast<Real>(1)/penaltyParameter_,*multiplier_);
278 }
279 else {
282 }
283 con_->applyAdjointHessian_12(*dualOptVector_,*primalMultiplierVector_,v,u,z,tol);
284 hv.plus(*dualOptVector_);
285 }
286 }
287 else {
288 hv.zero();
289 }
290 }
291
292 virtual void hessVec_22( Vector<Real> &hv, const Vector<Real> &v,
293 const Vector<Real> &u, const Vector<Real> &z, Real &tol ) {
294 // Apply objective Hessian to a vector
295 if (HessianApprox_ < 2) {
296 con_->applyJacobian_2(*primalConVector_,v,u,z,tol);
297 con_->applyAdjointJacobian_2(hv,primalConVector_->dual(),u,z,tol);
298 if (!useScaling_) {
300 }
301
302 if (HessianApprox_ == 0) {
303 // Evaluate constraint
304 evaluateConstraint(u,z,tol);
305 // Apply Augmented Lagrangian Hessian to a vector
307 if ( useScaling_ ) {
308 primalMultiplierVector_->axpy(static_cast<Real>(1)/penaltyParameter_,*multiplier_);
309 }
310 else {
313 }
314 con_->applyAdjointHessian_22(*dualOptVector_,*primalMultiplierVector_,v,u,z,tol);
315 hv.plus(*dualOptVector_);
316 }
317 }
318 else {
319 hv.zero();
320 }
321 }
322
323 // Return constraint value
324 virtual void getConstraintVec(Vector<Real> &c, const Vector<Real> &u, const Vector<Real> &z) {
325 Real tol = std::sqrt(ROL_EPSILON<Real>());
326 // Evaluate constraint
327 evaluateConstraint(u,z,tol);
328 c.set(*conValue_);
329 }
330
331 // Return total number of constraint evaluations
332 virtual int getNumberConstraintEvaluations(void) const {
333 return ncval_;
334 }
335
336 // Reset with upated penalty parameter
337 virtual void reset(const Vector<Real> &multiplier, const Real penaltyParameter) {
338 ncval_ = 0;
339 multiplier_->set(multiplier);
340 penaltyParameter_ = penaltyParameter;
341 }
342}; // class AugmentedLagrangian
343
344} // namespace ROL
345
346#endif
Contains definitions of custom data types in ROL.
Defines the constraint operator interface for simulation-based optimization.
Provides the interface to evaluate simulation-based objective functions.
Provides the interface to evaluate the quadratic SimOpt constraint penalty.
ROL::Ptr< Vector< Real > > primalConVector_
virtual void reset(const Vector< Real > &multiplier, const Real penaltyParameter)
virtual void hessVec_12(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
virtual void hessVec_21(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
ROL::Ptr< Vector< Real > > dualSimVector_
virtual void gradient_2(Vector< Real > &g, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Compute gradient with respect to second component.
virtual int getNumberConstraintEvaluations(void) const
ROL::Ptr< Vector< Real > > dualOptVector_
QuadraticPenalty_SimOpt(const ROL::Ptr< Constraint_SimOpt< Real > > &con, const Vector< Real > &multiplier, const Real penaltyParameter, const Vector< Real > &simVec, const Vector< Real > &optVec, const Vector< Real > &conVec, const bool useScaling=false, const int HessianApprox=0)
virtual Real value(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Compute value.
ROL::Ptr< Vector< Real > > primalMultiplierVector_
virtual void getConstraintVec(Vector< Real > &c, const Vector< Real > &u, const Vector< Real > &z)
virtual void gradient_1(Vector< Real > &g, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
Compute gradient with respect to first component.
virtual 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.
void evaluateConstraint(const Vector< Real > &u, const Vector< Real > &z, Real &tol)
virtual void hessVec_22(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &u, const Vector< Real > &z, Real &tol)
ROL::Ptr< Vector< Real > > multiplier_
virtual 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...
const ROL::Ptr< Constraint_SimOpt< Real > > con_
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84
virtual void set(const Vector &x)
Set where .
Definition: ROL_Vector.hpp:209
virtual void scale(const Real alpha)=0
Compute where .
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 plus(const Vector &x)=0
Compute , where .
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.