Actual source code: ntl.c

      1: #include <../src/tao/unconstrained/impls/ntl/ntlimpl.h>

      3: #include <petscksp.h>

      5: #define NTL_INIT_CONSTANT         0
      6: #define NTL_INIT_DIRECTION        1
      7: #define NTL_INIT_INTERPOLATION    2
      8: #define NTL_INIT_TYPES            3

     10: #define NTL_UPDATE_REDUCTION      0
     11: #define NTL_UPDATE_INTERPOLATION  1
     12: #define NTL_UPDATE_TYPES          2

     14: static const char *NTL_INIT[64] = {"constant","direction","interpolation"};

     16: static const char *NTL_UPDATE[64] = {"reduction","interpolation"};

     18: /* Implements Newton's Method with a trust-region, line-search approach for
     19:    solving unconstrained minimization problems.  A More'-Thuente line search
     20:    is used to guarantee that the bfgs preconditioner remains positive
     21:    definite. */

     23: #define NTL_NEWTON              0
     24: #define NTL_BFGS                1
     25: #define NTL_SCALED_GRADIENT     2
     26: #define NTL_GRADIENT            3

     28: static PetscErrorCode TaoSolve_NTL(Tao tao)
     29: {
     30:   TAO_NTL                      *tl = (TAO_NTL *)tao->data;
     31:   KSPType                      ksp_type;
     32:   PetscBool                    is_nash,is_stcg,is_gltr,is_bfgs,is_jacobi,is_symmetric,sym_set;
     33:   KSPConvergedReason           ksp_reason;
     34:   PC                           pc;
     35:   TaoLineSearchConvergedReason ls_reason;

     37:   PetscReal                    fmin, ftrial, prered, actred, kappa, sigma;
     38:   PetscReal                    tau, tau_1, tau_2, tau_max, tau_min, max_radius;
     39:   PetscReal                    f, fold, gdx, gnorm;
     40:   PetscReal                    step = 1.0;

     42:   PetscReal                    norm_d = 0.0;
     43:   PetscErrorCode               ierr;
     44:   PetscInt                     stepType;
     45:   PetscInt                     its;

     47:   PetscInt                     bfgsUpdates = 0;
     48:   PetscInt                     needH;

     50:   PetscInt                     i_max = 5;
     51:   PetscInt                     j_max = 1;
     52:   PetscInt                     i, j, n, N;

     54:   PetscInt                     tr_reject;

     57:   if (tao->XL || tao->XU || tao->ops->computebounds) {
     58:     PetscInfo(tao,"WARNING: Variable bounds have been set but will be ignored by ntl algorithm\n");
     59:   }

     61:   KSPGetType(tao->ksp,&ksp_type);
     62:   PetscStrcmp(ksp_type,KSPNASH,&is_nash);
     63:   PetscStrcmp(ksp_type,KSPSTCG,&is_stcg);
     64:   PetscStrcmp(ksp_type,KSPGLTR,&is_gltr);
     65:   if (!is_nash && !is_stcg && !is_gltr) SETERRQ(PetscObjectComm((PetscObject)tao),PETSC_ERR_SUP,"TAO_NTR requires nash, stcg, or gltr for the KSP");

     67:   /* Initialize the radius and modify if it is too large or small */
     68:   tao->trust = tao->trust0;
     69:   tao->trust = PetscMax(tao->trust, tl->min_radius);
     70:   tao->trust = PetscMin(tao->trust, tl->max_radius);

     72:   /* Allocate the vectors needed for the BFGS approximation */
     73:   KSPGetPC(tao->ksp, &pc);
     74:   PetscObjectTypeCompare((PetscObject)pc, PCLMVM, &is_bfgs);
     75:   PetscObjectTypeCompare((PetscObject)pc, PCJACOBI, &is_jacobi);
     76:   if (is_bfgs) {
     77:     tl->bfgs_pre = pc;
     78:     PCLMVMGetMatLMVM(tl->bfgs_pre, &tl->M);
     79:     VecGetLocalSize(tao->solution, &n);
     80:     VecGetSize(tao->solution, &N);
     81:     MatSetSizes(tl->M, n, n, N, N);
     82:     MatLMVMAllocate(tl->M, tao->solution, tao->gradient);
     83:     MatIsSymmetricKnown(tl->M, &sym_set, &is_symmetric);
     84:     if (!sym_set || !is_symmetric) SETERRQ(PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_INCOMP, "LMVM matrix in the LMVM preconditioner must be symmetric.");
     85:   } else if (is_jacobi) {
     86:     PCJacobiSetUseAbs(pc,PETSC_TRUE);
     87:   }

     89:   /* Check convergence criteria */
     90:   TaoComputeObjectiveAndGradient(tao, tao->solution, &f, tao->gradient);
     91:   VecNorm(tao->gradient, NORM_2, &gnorm);
     92: if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PetscObjectComm((PetscObject)tao),PETSC_ERR_USER, "User provided compute function generated Inf or NaN");
     93:   needH = 1;

     95:   tao->reason = TAO_CONTINUE_ITERATING;
     96:   TaoLogConvergenceHistory(tao,f,gnorm,0.0,tao->ksp_its);
     97:   TaoMonitor(tao,tao->niter,f,gnorm,0.0,step);
     98:   (*tao->ops->convergencetest)(tao,tao->cnvP);
     99:   if (tao->reason != TAO_CONTINUE_ITERATING) return(0);

    101:   /* Initialize trust-region radius */
    102:   switch(tl->init_type) {
    103:   case NTL_INIT_CONSTANT:
    104:     /* Use the initial radius specified */
    105:     break;

    107:   case NTL_INIT_INTERPOLATION:
    108:     /* Use the initial radius specified */
    109:     max_radius = 0.0;

    111:     for (j = 0; j < j_max; ++j) {
    112:       fmin = f;
    113:       sigma = 0.0;

    115:       if (needH) {
    116:         TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre);
    117:         needH = 0;
    118:       }

    120:       for (i = 0; i < i_max; ++i) {
    121:         VecCopy(tao->solution, tl->W);
    122:         VecAXPY(tl->W, -tao->trust/gnorm, tao->gradient);

    124:         TaoComputeObjective(tao, tl->W, &ftrial);
    125:         if (PetscIsInfOrNanReal(ftrial)) {
    126:           tau = tl->gamma1_i;
    127:         } else {
    128:           if (ftrial < fmin) {
    129:             fmin = ftrial;
    130:             sigma = -tao->trust / gnorm;
    131:           }

    133:           MatMult(tao->hessian, tao->gradient, tao->stepdirection);
    134:           VecDot(tao->gradient, tao->stepdirection, &prered);

    136:           prered = tao->trust * (gnorm - 0.5 * tao->trust * prered / (gnorm * gnorm));
    137:           actred = f - ftrial;
    138:           if ((PetscAbsScalar(actred) <= tl->epsilon) && (PetscAbsScalar(prered) <= tl->epsilon)) {
    139:             kappa = 1.0;
    140:           } else {
    141:             kappa = actred / prered;
    142:           }

    144:           tau_1 = tl->theta_i * gnorm * tao->trust / (tl->theta_i * gnorm * tao->trust + (1.0 - tl->theta_i) * prered - actred);
    145:           tau_2 = tl->theta_i * gnorm * tao->trust / (tl->theta_i * gnorm * tao->trust - (1.0 + tl->theta_i) * prered + actred);
    146:           tau_min = PetscMin(tau_1, tau_2);
    147:           tau_max = PetscMax(tau_1, tau_2);

    149:           if (PetscAbsScalar(kappa - (PetscReal)1.0) <= tl->mu1_i) {
    150:             /* Great agreement */
    151:             max_radius = PetscMax(max_radius, tao->trust);

    153:             if (tau_max < 1.0) {
    154:               tau = tl->gamma3_i;
    155:             } else if (tau_max > tl->gamma4_i) {
    156:               tau = tl->gamma4_i;
    157:             } else if (tau_1 >= 1.0 && tau_1 <= tl->gamma4_i && tau_2 < 1.0) {
    158:               tau = tau_1;
    159:             } else if (tau_2 >= 1.0 && tau_2 <= tl->gamma4_i && tau_1 < 1.0) {
    160:               tau = tau_2;
    161:             } else {
    162:               tau = tau_max;
    163:             }
    164:           } else if (PetscAbsScalar(kappa - (PetscReal)1.0) <= tl->mu2_i) {
    165:             /* Good agreement */
    166:             max_radius = PetscMax(max_radius, tao->trust);

    168:             if (tau_max < tl->gamma2_i) {
    169:               tau = tl->gamma2_i;
    170:             } else if (tau_max > tl->gamma3_i) {
    171:               tau = tl->gamma3_i;
    172:             } else {
    173:               tau = tau_max;
    174:             }
    175:           } else {
    176:             /* Not good agreement */
    177:             if (tau_min > 1.0) {
    178:               tau = tl->gamma2_i;
    179:             } else if (tau_max < tl->gamma1_i) {
    180:               tau = tl->gamma1_i;
    181:             } else if ((tau_min < tl->gamma1_i) && (tau_max >= 1.0)) {
    182:               tau = tl->gamma1_i;
    183:             } else if ((tau_1 >= tl->gamma1_i) && (tau_1 < 1.0) &&  ((tau_2 < tl->gamma1_i) || (tau_2 >= 1.0))) {
    184:               tau = tau_1;
    185:             } else if ((tau_2 >= tl->gamma1_i) && (tau_2 < 1.0) &&  ((tau_1 < tl->gamma1_i) || (tau_2 >= 1.0))) {
    186:               tau = tau_2;
    187:             } else {
    188:               tau = tau_max;
    189:             }
    190:           }
    191:         }
    192:         tao->trust = tau * tao->trust;
    193:       }

    195:       if (fmin < f) {
    196:         f = fmin;
    197:         VecAXPY(tao->solution, sigma, tao->gradient);
    198:         TaoComputeGradient(tao, tao->solution, tao->gradient);

    200:         VecNorm(tao->gradient, NORM_2, &gnorm);
    201:         if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PetscObjectComm((PetscObject)tao),PETSC_ERR_USER, "User provided compute function generated Inf or NaN");
    202:         needH = 1;

    204:         TaoLogConvergenceHistory(tao,f,gnorm,0.0,tao->ksp_its);
    205:         TaoMonitor(tao,tao->niter,f,gnorm,0.0,step);
    206:         (*tao->ops->convergencetest)(tao,tao->cnvP);
    207:         if (tao->reason != TAO_CONTINUE_ITERATING) return(0);
    208:       }
    209:     }
    210:     tao->trust = PetscMax(tao->trust, max_radius);

    212:     /* Modify the radius if it is too large or small */
    213:     tao->trust = PetscMax(tao->trust, tl->min_radius);
    214:     tao->trust = PetscMin(tao->trust, tl->max_radius);
    215:     break;

    217:   default:
    218:     /* Norm of the first direction will initialize radius */
    219:     tao->trust = 0.0;
    220:     break;
    221:   }

    223:   /* Set counter for gradient/reset steps */
    224:   tl->ntrust = 0;
    225:   tl->newt = 0;
    226:   tl->bfgs = 0;
    227:   tl->grad = 0;

    229:   /* Have not converged; continue with Newton method */
    230:   while (tao->reason == TAO_CONTINUE_ITERATING) {
    231:     /* Call general purpose update function */
    232:     if (tao->ops->update) {
    233:       (*tao->ops->update)(tao, tao->niter, tao->user_update);
    234:     }
    235:     ++tao->niter;
    236:     tao->ksp_its=0;
    237:     /* Compute the Hessian */
    238:     if (needH) {
    239:       TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre);
    240:     }

    242:     if (tl->bfgs_pre) {
    243:       /* Update the limited memory preconditioner */
    244:       MatLMVMUpdate(tl->M,tao->solution, tao->gradient);
    245:       ++bfgsUpdates;
    246:     }
    247:     KSPSetOperators(tao->ksp, tao->hessian, tao->hessian_pre);
    248:     /* Solve the Newton system of equations */
    249:     KSPCGSetRadius(tao->ksp,tl->max_radius);
    250:     KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);
    251:     KSPGetIterationNumber(tao->ksp,&its);
    252:     tao->ksp_its+=its;
    253:     tao->ksp_tot_its+=its;
    254:     KSPCGGetNormD(tao->ksp, &norm_d);

    256:     if (0.0 == tao->trust) {
    257:       /* Radius was uninitialized; use the norm of the direction */
    258:       if (norm_d > 0.0) {
    259:         tao->trust = norm_d;

    261:         /* Modify the radius if it is too large or small */
    262:         tao->trust = PetscMax(tao->trust, tl->min_radius);
    263:         tao->trust = PetscMin(tao->trust, tl->max_radius);
    264:       } else {
    265:         /* The direction was bad; set radius to default value and re-solve
    266:            the trust-region subproblem to get a direction */
    267:         tao->trust = tao->trust0;

    269:         /* Modify the radius if it is too large or small */
    270:         tao->trust = PetscMax(tao->trust, tl->min_radius);
    271:         tao->trust = PetscMin(tao->trust, tl->max_radius);

    273:         KSPCGSetRadius(tao->ksp,tl->max_radius);
    274:         KSPSolve(tao->ksp, tao->gradient, tao->stepdirection);
    275:         KSPGetIterationNumber(tao->ksp,&its);
    276:         tao->ksp_its+=its;
    277:         tao->ksp_tot_its+=its;
    278:         KSPCGGetNormD(tao->ksp, &norm_d);

    280:         if (norm_d == 0.0) SETERRQ(PetscObjectComm((PetscObject)tao),PETSC_ERR_PLIB, "Initial direction zero");
    281:       }
    282:     }

    284:     VecScale(tao->stepdirection, -1.0);
    285:     KSPGetConvergedReason(tao->ksp, &ksp_reason);
    286:     if ((KSP_DIVERGED_INDEFINITE_PC == ksp_reason) && (tl->bfgs_pre)) {
    287:       /* Preconditioner is numerically indefinite; reset the
    288:          approximate if using BFGS preconditioning. */
    289:       MatLMVMReset(tl->M, PETSC_FALSE);
    290:       MatLMVMUpdate(tl->M, tao->solution, tao->gradient);
    291:       bfgsUpdates = 1;
    292:     }

    294:     /* Check trust-region reduction conditions */
    295:     tr_reject = 0;
    296:     if (NTL_UPDATE_REDUCTION == tl->update_type) {
    297:       /* Get predicted reduction */
    298:       KSPCGGetObjFcn(tao->ksp,&prered);
    299:       if (prered >= 0.0) {
    300:         /* The predicted reduction has the wrong sign.  This cannot
    301:            happen in infinite precision arithmetic.  Step should
    302:            be rejected! */
    303:         tao->trust = tl->alpha1 * PetscMin(tao->trust, norm_d);
    304:         tr_reject = 1;
    305:       } else {
    306:         /* Compute trial step and function value */
    307:         VecCopy(tao->solution, tl->W);
    308:         VecAXPY(tl->W, 1.0, tao->stepdirection);
    309:         TaoComputeObjective(tao, tl->W, &ftrial);

    311:         if (PetscIsInfOrNanReal(ftrial)) {
    312:           tao->trust = tl->alpha1 * PetscMin(tao->trust, norm_d);
    313:           tr_reject = 1;
    314:         } else {
    315:           /* Compute and actual reduction */
    316:           actred = f - ftrial;
    317:           prered = -prered;
    318:           if ((PetscAbsScalar(actred) <= tl->epsilon) &&
    319:               (PetscAbsScalar(prered) <= tl->epsilon)) {
    320:             kappa = 1.0;
    321:           } else {
    322:             kappa = actred / prered;
    323:           }

    325:           /* Accept of reject the step and update radius */
    326:           if (kappa < tl->eta1) {
    327:             /* Reject the step */
    328:             tao->trust = tl->alpha1 * PetscMin(tao->trust, norm_d);
    329:             tr_reject = 1;
    330:           } else {
    331:             /* Accept the step */
    332:             if (kappa < tl->eta2) {
    333:               /* Marginal bad step */
    334:               tao->trust = tl->alpha2 * PetscMin(tao->trust, norm_d);
    335:             } else if (kappa < tl->eta3) {
    336:               /* Reasonable step */
    337:               tao->trust = tl->alpha3 * tao->trust;
    338:             } else if (kappa < tl->eta4) {
    339:               /* Good step */
    340:               tao->trust = PetscMax(tl->alpha4 * norm_d, tao->trust);
    341:             } else {
    342:               /* Very good step */
    343:               tao->trust = PetscMax(tl->alpha5 * norm_d, tao->trust);
    344:             }
    345:           }
    346:         }
    347:       }
    348:     } else {
    349:       /* Get predicted reduction */
    350:       KSPCGGetObjFcn(tao->ksp,&prered);
    351:       if (prered >= 0.0) {
    352:         /* The predicted reduction has the wrong sign.  This cannot
    353:            happen in infinite precision arithmetic.  Step should
    354:            be rejected! */
    355:         tao->trust = tl->gamma1 * PetscMin(tao->trust, norm_d);
    356:         tr_reject = 1;
    357:       } else {
    358:         VecCopy(tao->solution, tl->W);
    359:         VecAXPY(tl->W, 1.0, tao->stepdirection);
    360:         TaoComputeObjective(tao, tl->W, &ftrial);
    361:         if (PetscIsInfOrNanReal(ftrial)) {
    362:           tao->trust = tl->gamma1 * PetscMin(tao->trust, norm_d);
    363:           tr_reject = 1;
    364:         } else {
    365:           VecDot(tao->gradient, tao->stepdirection, &gdx);

    367:           actred = f - ftrial;
    368:           prered = -prered;
    369:           if ((PetscAbsScalar(actred) <= tl->epsilon) &&
    370:               (PetscAbsScalar(prered) <= tl->epsilon)) {
    371:             kappa = 1.0;
    372:           } else {
    373:             kappa = actred / prered;
    374:           }

    376:           tau_1 = tl->theta * gdx / (tl->theta * gdx - (1.0 - tl->theta) * prered + actred);
    377:           tau_2 = tl->theta * gdx / (tl->theta * gdx + (1.0 + tl->theta) * prered - actred);
    378:           tau_min = PetscMin(tau_1, tau_2);
    379:           tau_max = PetscMax(tau_1, tau_2);

    381:           if (kappa >= 1.0 - tl->mu1) {
    382:             /* Great agreement; accept step and update radius */
    383:             if (tau_max < 1.0) {
    384:               tao->trust = PetscMax(tao->trust, tl->gamma3 * norm_d);
    385:             } else if (tau_max > tl->gamma4) {
    386:               tao->trust = PetscMax(tao->trust, tl->gamma4 * norm_d);
    387:             } else {
    388:               tao->trust = PetscMax(tao->trust, tau_max * norm_d);
    389:             }
    390:           } else if (kappa >= 1.0 - tl->mu2) {
    391:             /* Good agreement */

    393:             if (tau_max < tl->gamma2) {
    394:               tao->trust = tl->gamma2 * PetscMin(tao->trust, norm_d);
    395:             } else if (tau_max > tl->gamma3) {
    396:               tao->trust = PetscMax(tao->trust, tl->gamma3 * norm_d);
    397:             } else if (tau_max < 1.0) {
    398:               tao->trust = tau_max * PetscMin(tao->trust, norm_d);
    399:             } else {
    400:               tao->trust = PetscMax(tao->trust, tau_max * norm_d);
    401:             }
    402:           } else {
    403:             /* Not good agreement */
    404:             if (tau_min > 1.0) {
    405:               tao->trust = tl->gamma2 * PetscMin(tao->trust, norm_d);
    406:             } else if (tau_max < tl->gamma1) {
    407:               tao->trust = tl->gamma1 * PetscMin(tao->trust, norm_d);
    408:             } else if ((tau_min < tl->gamma1) && (tau_max >= 1.0)) {
    409:               tao->trust = tl->gamma1 * PetscMin(tao->trust, norm_d);
    410:             } else if ((tau_1 >= tl->gamma1) && (tau_1 < 1.0) && ((tau_2 < tl->gamma1) || (tau_2 >= 1.0))) {
    411:               tao->trust = tau_1 * PetscMin(tao->trust, norm_d);
    412:             } else if ((tau_2 >= tl->gamma1) && (tau_2 < 1.0) && ((tau_1 < tl->gamma1) || (tau_2 >= 1.0))) {
    413:               tao->trust = tau_2 * PetscMin(tao->trust, norm_d);
    414:             } else {
    415:               tao->trust = tau_max * PetscMin(tao->trust, norm_d);
    416:             }
    417:             tr_reject = 1;
    418:           }
    419:         }
    420:       }
    421:     }

    423:     if (tr_reject) {
    424:       /* The trust-region constraints rejected the step.  Apply a linesearch.
    425:          Check for descent direction. */
    426:       VecDot(tao->stepdirection, tao->gradient, &gdx);
    427:       if ((gdx >= 0.0) || PetscIsInfOrNanReal(gdx)) {
    428:         /* Newton step is not descent or direction produced Inf or NaN */

    430:         if (!tl->bfgs_pre) {
    431:           /* We don't have the bfgs matrix around and updated
    432:              Must use gradient direction in this case */
    433:           VecCopy(tao->gradient, tao->stepdirection);
    434:           VecScale(tao->stepdirection, -1.0);
    435:           ++tl->grad;
    436:           stepType = NTL_GRADIENT;
    437:         } else {
    438:           /* Attempt to use the BFGS direction */
    439:           MatSolve(tl->M, tao->gradient, tao->stepdirection);
    440:           VecScale(tao->stepdirection, -1.0);

    442:           /* Check for success (descent direction) */
    443:           VecDot(tao->stepdirection, tao->gradient, &gdx);
    444:           if ((gdx >= 0) || PetscIsInfOrNanReal(gdx)) {
    445:             /* BFGS direction is not descent or direction produced not a number
    446:                We can assert bfgsUpdates > 1 in this case because
    447:                the first solve produces the scaled gradient direction,
    448:                which is guaranteed to be descent */

    450:             /* Use steepest descent direction (scaled) */
    451:             MatLMVMReset(tl->M, PETSC_FALSE);
    452:             MatLMVMUpdate(tl->M, tao->solution, tao->gradient);
    453:             MatSolve(tl->M, tao->gradient, tao->stepdirection);
    454:             VecScale(tao->stepdirection, -1.0);

    456:             bfgsUpdates = 1;
    457:             ++tl->grad;
    458:             stepType = NTL_GRADIENT;
    459:           } else {
    460:             MatLMVMGetUpdateCount(tl->M, &bfgsUpdates);
    461:             if (1 == bfgsUpdates) {
    462:               /* The first BFGS direction is always the scaled gradient */
    463:               ++tl->grad;
    464:               stepType = NTL_GRADIENT;
    465:             } else {
    466:               ++tl->bfgs;
    467:               stepType = NTL_BFGS;
    468:             }
    469:           }
    470:         }
    471:       } else {
    472:         /* Computed Newton step is descent */
    473:         ++tl->newt;
    474:         stepType = NTL_NEWTON;
    475:       }

    477:       /* Perform the linesearch */
    478:       fold = f;
    479:       VecCopy(tao->solution, tl->Xold);
    480:       VecCopy(tao->gradient, tl->Gold);

    482:       step = 1.0;
    483:       TaoLineSearchApply(tao->linesearch, tao->solution, &f, tao->gradient, tao->stepdirection, &step, &ls_reason);
    484:       TaoAddLineSearchCounts(tao);

    486:       while (ls_reason != TAOLINESEARCH_SUCCESS && ls_reason != TAOLINESEARCH_SUCCESS_USER && stepType != NTL_GRADIENT) {      /* Linesearch failed */
    487:         /* Linesearch failed */
    488:         f = fold;
    489:         VecCopy(tl->Xold, tao->solution);
    490:         VecCopy(tl->Gold, tao->gradient);

    492:         switch(stepType) {
    493:         case NTL_NEWTON:
    494:           /* Failed to obtain acceptable iterate with Newton step */

    496:           if (tl->bfgs_pre) {
    497:             /* We don't have the bfgs matrix around and being updated
    498:                Must use gradient direction in this case */
    499:             VecCopy(tao->gradient, tao->stepdirection);
    500:             ++tl->grad;
    501:             stepType = NTL_GRADIENT;
    502:           } else {
    503:             /* Attempt to use the BFGS direction */
    504:             MatSolve(tl->M, tao->gradient, tao->stepdirection);

    507:             /* Check for success (descent direction) */
    508:             VecDot(tao->stepdirection, tao->gradient, &gdx);
    509:             if ((gdx <= 0) || PetscIsInfOrNanReal(gdx)) {
    510:               /* BFGS direction is not descent or direction produced
    511:                  not a number.  We can assert bfgsUpdates > 1 in this case
    512:                  Use steepest descent direction (scaled) */
    513:               MatLMVMReset(tl->M, PETSC_FALSE);
    514:               MatLMVMUpdate(tl->M, tao->solution, tao->gradient);
    515:               MatSolve(tl->M, tao->gradient, tao->stepdirection);

    517:               bfgsUpdates = 1;
    518:               ++tl->grad;
    519:               stepType = NTL_GRADIENT;
    520:             } else {
    521:               MatLMVMGetUpdateCount(tl->M, &bfgsUpdates);
    522:               if (1 == bfgsUpdates) {
    523:                 /* The first BFGS direction is always the scaled gradient */
    524:                 ++tl->grad;
    525:                 stepType = NTL_GRADIENT;
    526:               } else {
    527:                 ++tl->bfgs;
    528:                 stepType = NTL_BFGS;
    529:               }
    530:             }
    531:           }
    532:           break;

    534:         case NTL_BFGS:
    535:           /* Can only enter if pc_type == NTL_PC_BFGS
    536:              Failed to obtain acceptable iterate with BFGS step
    537:              Attempt to use the scaled gradient direction */
    538:           MatLMVMReset(tl->M, PETSC_FALSE);
    539:           MatLMVMUpdate(tl->M, tao->solution, tao->gradient);
    540:           MatSolve(tl->M, tao->gradient, tao->stepdirection);

    542:           bfgsUpdates = 1;
    543:           ++tl->grad;
    544:           stepType = NTL_GRADIENT;
    545:           break;
    546:         }
    547:         VecScale(tao->stepdirection, -1.0);

    549:         /* This may be incorrect; linesearch has values for stepmax and stepmin
    550:            that should be reset. */
    551:         step = 1.0;
    552:         TaoLineSearchApply(tao->linesearch, tao->solution, &f, tao->gradient, tao->stepdirection, &step, &ls_reason);
    553:         TaoAddLineSearchCounts(tao);
    554:       }

    556:       if (ls_reason != TAOLINESEARCH_SUCCESS && ls_reason != TAOLINESEARCH_SUCCESS_USER) {
    557:         /* Failed to find an improving point */
    558:         f = fold;
    559:         VecCopy(tl->Xold, tao->solution);
    560:         VecCopy(tl->Gold, tao->gradient);
    561:         tao->trust = 0.0;
    562:         step = 0.0;
    563:         tao->reason = TAO_DIVERGED_LS_FAILURE;
    564:         break;
    565:       } else if (stepType == NTL_NEWTON) {
    566:         if (step < tl->nu1) {
    567:           /* Very bad step taken; reduce radius */
    568:           tao->trust = tl->omega1 * PetscMin(norm_d, tao->trust);
    569:         } else if (step < tl->nu2) {
    570:           /* Reasonably bad step taken; reduce radius */
    571:           tao->trust = tl->omega2 * PetscMin(norm_d, tao->trust);
    572:         } else if (step < tl->nu3) {
    573:           /* Reasonable step was taken; leave radius alone */
    574:           if (tl->omega3 < 1.0) {
    575:             tao->trust = tl->omega3 * PetscMin(norm_d, tao->trust);
    576:           } else if (tl->omega3 > 1.0) {
    577:             tao->trust = PetscMax(tl->omega3 * norm_d, tao->trust);
    578:           }
    579:         } else if (step < tl->nu4) {
    580:           /* Full step taken; increase the radius */
    581:           tao->trust = PetscMax(tl->omega4 * norm_d, tao->trust);
    582:         } else {
    583:           /* More than full step taken; increase the radius */
    584:           tao->trust = PetscMax(tl->omega5 * norm_d, tao->trust);
    585:         }
    586:       } else {
    587:         /* Newton step was not good; reduce the radius */
    588:         tao->trust = tl->omega1 * PetscMin(norm_d, tao->trust);
    589:       }
    590:     } else {
    591:       /* Trust-region step is accepted */
    592:       VecCopy(tl->W, tao->solution);
    593:       f = ftrial;
    594:       TaoComputeGradient(tao, tao->solution, tao->gradient);
    595:       ++tl->ntrust;
    596:     }

    598:     /* The radius may have been increased; modify if it is too large */
    599:     tao->trust = PetscMin(tao->trust, tl->max_radius);

    601:     /* Check for converged */
    602:     VecNorm(tao->gradient, NORM_2, &gnorm);
    603:     if (PetscIsInfOrNanReal(f) || PetscIsInfOrNanReal(gnorm)) SETERRQ(PetscObjectComm((PetscObject)tao),PETSC_ERR_USER,"User provided compute function generated Not-a-Number");
    604:     needH = 1;

    606:     TaoLogConvergenceHistory(tao,f,gnorm,0.0,tao->ksp_its);
    607:     TaoMonitor(tao,tao->niter,f,gnorm,0.0,step);
    608:     (*tao->ops->convergencetest)(tao,tao->cnvP);
    609:   }
    610:   return(0);
    611: }

    613: /* ---------------------------------------------------------- */
    614: static PetscErrorCode TaoSetUp_NTL(Tao tao)
    615: {
    616:   TAO_NTL        *tl = (TAO_NTL *)tao->data;

    620:   if (!tao->gradient) {VecDuplicate(tao->solution, &tao->gradient); }
    621:   if (!tao->stepdirection) {VecDuplicate(tao->solution, &tao->stepdirection);}
    622:   if (!tl->W) { VecDuplicate(tao->solution, &tl->W);}
    623:   if (!tl->Xold) { VecDuplicate(tao->solution, &tl->Xold);}
    624:   if (!tl->Gold) { VecDuplicate(tao->solution, &tl->Gold);}
    625:   tl->bfgs_pre = NULL;
    626:   tl->M = NULL;
    627:   return(0);
    628: }

    630: /*------------------------------------------------------------*/
    631: static PetscErrorCode TaoDestroy_NTL(Tao tao)
    632: {
    633:   TAO_NTL        *tl = (TAO_NTL *)tao->data;

    637:   if (tao->setupcalled) {
    638:     VecDestroy(&tl->W);
    639:     VecDestroy(&tl->Xold);
    640:     VecDestroy(&tl->Gold);
    641:   }
    642:   PetscFree(tao->data);
    643:   return(0);
    644: }

    646: /*------------------------------------------------------------*/
    647: static PetscErrorCode TaoSetFromOptions_NTL(PetscOptionItems *PetscOptionsObject,Tao tao)
    648: {
    649:   TAO_NTL        *tl = (TAO_NTL *)tao->data;

    653:   PetscOptionsHead(PetscOptionsObject,"Newton trust region with line search method for unconstrained optimization");
    654:   PetscOptionsEList("-tao_ntl_init_type", "radius initialization type", "", NTL_INIT, NTL_INIT_TYPES, NTL_INIT[tl->init_type], &tl->init_type,NULL);
    655:   PetscOptionsEList("-tao_ntl_update_type", "radius update type", "", NTL_UPDATE, NTL_UPDATE_TYPES, NTL_UPDATE[tl->update_type], &tl->update_type,NULL);
    656:   PetscOptionsReal("-tao_ntl_eta1", "poor steplength; reduce radius", "", tl->eta1, &tl->eta1,NULL);
    657:   PetscOptionsReal("-tao_ntl_eta2", "reasonable steplength; leave radius alone", "", tl->eta2, &tl->eta2,NULL);
    658:   PetscOptionsReal("-tao_ntl_eta3", "good steplength; increase radius", "", tl->eta3, &tl->eta3,NULL);
    659:   PetscOptionsReal("-tao_ntl_eta4", "excellent steplength; greatly increase radius", "", tl->eta4, &tl->eta4,NULL);
    660:   PetscOptionsReal("-tao_ntl_alpha1", "", "", tl->alpha1, &tl->alpha1,NULL);
    661:   PetscOptionsReal("-tao_ntl_alpha2", "", "", tl->alpha2, &tl->alpha2,NULL);
    662:   PetscOptionsReal("-tao_ntl_alpha3", "", "", tl->alpha3, &tl->alpha3,NULL);
    663:   PetscOptionsReal("-tao_ntl_alpha4", "", "", tl->alpha4, &tl->alpha4,NULL);
    664:   PetscOptionsReal("-tao_ntl_alpha5", "", "", tl->alpha5, &tl->alpha5,NULL);
    665:   PetscOptionsReal("-tao_ntl_nu1", "poor steplength; reduce radius", "", tl->nu1, &tl->nu1,NULL);
    666:   PetscOptionsReal("-tao_ntl_nu2", "reasonable steplength; leave radius alone", "", tl->nu2, &tl->nu2,NULL);
    667:   PetscOptionsReal("-tao_ntl_nu3", "good steplength; increase radius", "", tl->nu3, &tl->nu3,NULL);
    668:   PetscOptionsReal("-tao_ntl_nu4", "excellent steplength; greatly increase radius", "", tl->nu4, &tl->nu4,NULL);
    669:   PetscOptionsReal("-tao_ntl_omega1", "", "", tl->omega1, &tl->omega1,NULL);
    670:   PetscOptionsReal("-tao_ntl_omega2", "", "", tl->omega2, &tl->omega2,NULL);
    671:   PetscOptionsReal("-tao_ntl_omega3", "", "", tl->omega3, &tl->omega3,NULL);
    672:   PetscOptionsReal("-tao_ntl_omega4", "", "", tl->omega4, &tl->omega4,NULL);
    673:   PetscOptionsReal("-tao_ntl_omega5", "", "", tl->omega5, &tl->omega5,NULL);
    674:   PetscOptionsReal("-tao_ntl_mu1_i", "", "", tl->mu1_i, &tl->mu1_i,NULL);
    675:   PetscOptionsReal("-tao_ntl_mu2_i", "", "", tl->mu2_i, &tl->mu2_i,NULL);
    676:   PetscOptionsReal("-tao_ntl_gamma1_i", "", "", tl->gamma1_i, &tl->gamma1_i,NULL);
    677:   PetscOptionsReal("-tao_ntl_gamma2_i", "", "", tl->gamma2_i, &tl->gamma2_i,NULL);
    678:   PetscOptionsReal("-tao_ntl_gamma3_i", "", "", tl->gamma3_i, &tl->gamma3_i,NULL);
    679:   PetscOptionsReal("-tao_ntl_gamma4_i", "", "", tl->gamma4_i, &tl->gamma4_i,NULL);
    680:   PetscOptionsReal("-tao_ntl_theta_i", "", "", tl->theta_i, &tl->theta_i,NULL);
    681:   PetscOptionsReal("-tao_ntl_mu1", "", "", tl->mu1, &tl->mu1,NULL);
    682:   PetscOptionsReal("-tao_ntl_mu2", "", "", tl->mu2, &tl->mu2,NULL);
    683:   PetscOptionsReal("-tao_ntl_gamma1", "", "", tl->gamma1, &tl->gamma1,NULL);
    684:   PetscOptionsReal("-tao_ntl_gamma2", "", "", tl->gamma2, &tl->gamma2,NULL);
    685:   PetscOptionsReal("-tao_ntl_gamma3", "", "", tl->gamma3, &tl->gamma3,NULL);
    686:   PetscOptionsReal("-tao_ntl_gamma4", "", "", tl->gamma4, &tl->gamma4,NULL);
    687:   PetscOptionsReal("-tao_ntl_theta", "", "", tl->theta, &tl->theta,NULL);
    688:   PetscOptionsReal("-tao_ntl_min_radius", "lower bound on initial radius", "", tl->min_radius, &tl->min_radius,NULL);
    689:   PetscOptionsReal("-tao_ntl_max_radius", "upper bound on radius", "", tl->max_radius, &tl->max_radius,NULL);
    690:   PetscOptionsReal("-tao_ntl_epsilon", "tolerance used when computing actual and predicted reduction", "", tl->epsilon, &tl->epsilon,NULL);
    691:   PetscOptionsTail();
    692:   TaoLineSearchSetFromOptions(tao->linesearch);
    693:   KSPSetFromOptions(tao->ksp);
    694:   return(0);
    695: }

    697: /*------------------------------------------------------------*/
    698: static PetscErrorCode TaoView_NTL(Tao tao, PetscViewer viewer)
    699: {
    700:   TAO_NTL        *tl = (TAO_NTL *)tao->data;
    701:   PetscBool      isascii;

    705:   PetscObjectTypeCompare((PetscObject)viewer,PETSCVIEWERASCII,&isascii);
    706:   if (isascii) {
    707:     PetscViewerASCIIPushTab(viewer);
    708:     PetscViewerASCIIPrintf(viewer, "Trust-region steps: %D\n", tl->ntrust);
    709:     PetscViewerASCIIPrintf(viewer, "Newton search steps: %D\n", tl->newt);
    710:     PetscViewerASCIIPrintf(viewer, "BFGS search steps: %D\n", tl->bfgs);
    711:     PetscViewerASCIIPrintf(viewer, "Gradient search steps: %D\n", tl->grad);
    712:     PetscViewerASCIIPopTab(viewer);
    713:   }
    714:   return(0);
    715: }

    717: /* ---------------------------------------------------------- */
    718: /*MC
    719:   TAONTL - Newton's method with trust region globalization and line search fallback.
    720:   At each iteration, the Newton trust region method solves the system for d
    721:   and performs a line search in the d direction:

    723:             min_d  .5 dT Hk d + gkT d,  s.t.   ||d|| < Delta_k

    725:   Options Database Keys:
    726: + -tao_ntl_init_type - "constant","direction","interpolation"
    727: . -tao_ntl_update_type - "reduction","interpolation"
    728: . -tao_ntl_min_radius - lower bound on trust region radius
    729: . -tao_ntl_max_radius - upper bound on trust region radius
    730: . -tao_ntl_epsilon - tolerance for accepting actual / predicted reduction
    731: . -tao_ntl_mu1_i - mu1 interpolation init factor
    732: . -tao_ntl_mu2_i - mu2 interpolation init factor
    733: . -tao_ntl_gamma1_i - gamma1 interpolation init factor
    734: . -tao_ntl_gamma2_i - gamma2 interpolation init factor
    735: . -tao_ntl_gamma3_i - gamma3 interpolation init factor
    736: . -tao_ntl_gamma4_i - gamma4 interpolation init factor
    737: . -tao_ntl_theta_i - theta1 interpolation init factor
    738: . -tao_ntl_eta1 - eta1 reduction update factor
    739: . -tao_ntl_eta2 - eta2 reduction update factor
    740: . -tao_ntl_eta3 - eta3 reduction update factor
    741: . -tao_ntl_eta4 - eta4 reduction update factor
    742: . -tao_ntl_alpha1 - alpha1 reduction update factor
    743: . -tao_ntl_alpha2 - alpha2 reduction update factor
    744: . -tao_ntl_alpha3 - alpha3 reduction update factor
    745: . -tao_ntl_alpha4 - alpha4 reduction update factor
    746: . -tao_ntl_alpha4 - alpha4 reduction update factor
    747: . -tao_ntl_mu1 - mu1 interpolation update
    748: . -tao_ntl_mu2 - mu2 interpolation update
    749: . -tao_ntl_gamma1 - gamma1 interpolcation update
    750: . -tao_ntl_gamma2 - gamma2 interpolcation update
    751: . -tao_ntl_gamma3 - gamma3 interpolcation update
    752: . -tao_ntl_gamma4 - gamma4 interpolation update
    753: - -tao_ntl_theta - theta1 interpolation update

    755:   Level: beginner
    756: M*/
    757: PETSC_EXTERN PetscErrorCode TaoCreate_NTL(Tao tao)
    758: {
    759:   TAO_NTL        *tl;
    761:   const char     *morethuente_type = TAOLINESEARCHMT;

    764:   PetscNewLog(tao,&tl);
    765:   tao->ops->setup = TaoSetUp_NTL;
    766:   tao->ops->solve = TaoSolve_NTL;
    767:   tao->ops->view = TaoView_NTL;
    768:   tao->ops->setfromoptions = TaoSetFromOptions_NTL;
    769:   tao->ops->destroy = TaoDestroy_NTL;

    771:   /* Override default settings (unless already changed) */
    772:   if (!tao->max_it_changed) tao->max_it = 50;
    773:   if (!tao->trust0_changed) tao->trust0 = 100.0;

    775:   tao->data = (void*)tl;

    777:   /* Default values for trust-region radius update based on steplength */
    778:   tl->nu1 = 0.25;
    779:   tl->nu2 = 0.50;
    780:   tl->nu3 = 1.00;
    781:   tl->nu4 = 1.25;

    783:   tl->omega1 = 0.25;
    784:   tl->omega2 = 0.50;
    785:   tl->omega3 = 1.00;
    786:   tl->omega4 = 2.00;
    787:   tl->omega5 = 4.00;

    789:   /* Default values for trust-region radius update based on reduction */
    790:   tl->eta1 = 1.0e-4;
    791:   tl->eta2 = 0.25;
    792:   tl->eta3 = 0.50;
    793:   tl->eta4 = 0.90;

    795:   tl->alpha1 = 0.25;
    796:   tl->alpha2 = 0.50;
    797:   tl->alpha3 = 1.00;
    798:   tl->alpha4 = 2.00;
    799:   tl->alpha5 = 4.00;

    801:   /* Default values for trust-region radius update based on interpolation */
    802:   tl->mu1 = 0.10;
    803:   tl->mu2 = 0.50;

    805:   tl->gamma1 = 0.25;
    806:   tl->gamma2 = 0.50;
    807:   tl->gamma3 = 2.00;
    808:   tl->gamma4 = 4.00;

    810:   tl->theta = 0.05;

    812:   /* Default values for trust region initialization based on interpolation */
    813:   tl->mu1_i = 0.35;
    814:   tl->mu2_i = 0.50;

    816:   tl->gamma1_i = 0.0625;
    817:   tl->gamma2_i = 0.5;
    818:   tl->gamma3_i = 2.0;
    819:   tl->gamma4_i = 5.0;

    821:   tl->theta_i = 0.25;

    823:   /* Remaining parameters */
    824:   tl->min_radius = 1.0e-10;
    825:   tl->max_radius = 1.0e10;
    826:   tl->epsilon = 1.0e-6;

    828:   tl->init_type       = NTL_INIT_INTERPOLATION;
    829:   tl->update_type     = NTL_UPDATE_REDUCTION;

    831:   TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch);
    832:   PetscObjectIncrementTabLevel((PetscObject)tao->linesearch,(PetscObject)tao,1);
    833:   TaoLineSearchSetType(tao->linesearch, morethuente_type);
    834:   TaoLineSearchUseTaoRoutines(tao->linesearch, tao);
    835:   TaoLineSearchSetOptionsPrefix(tao->linesearch,tao->hdr.prefix);
    836:   KSPCreate(((PetscObject)tao)->comm,&tao->ksp);
    837:   PetscObjectIncrementTabLevel((PetscObject)tao->ksp,(PetscObject)tao,1);
    838:   KSPSetOptionsPrefix(tao->ksp,tao->hdr.prefix);
    839:   KSPAppendOptionsPrefix(tao->ksp,"tao_ntl_");
    840:   KSPSetType(tao->ksp,KSPSTCG);
    841:   return(0);
    842: }