#include /*I "petsctaolinesearch.h" I*/ #include <../src/tao/unconstrained/impls/lmvm/lmvm.h> #include <../src/tao/bound/impls/blmvm/blmvm.h> static PetscErrorCode TaoSolve_BLMVM(Tao tao) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; TaoLineSearchConvergedReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING; PetscReal f, fold, gdx, gnorm, gnorm2; PetscReal stepsize = 1.0, delta; PetscFunctionBegin; /* Project initial point onto bounds */ PetscCall(TaoComputeVariableBounds(tao)); PetscCall(VecMedian(tao->XL, tao->solution, tao->XU, tao->solution)); PetscCall(TaoLineSearchSetVariableBounds(tao->linesearch, tao->XL, tao->XU)); /* Check convergence criteria */ PetscCall(TaoComputeObjectiveAndGradient(tao, tao->solution, &f, blmP->unprojected_gradient)); PetscCall(VecBoundGradientProjection(blmP->unprojected_gradient, tao->solution, tao->XL, tao->XU, tao->gradient)); PetscCall(TaoGradientNorm(tao, tao->gradient, NORM_2, &gnorm)); PetscCheck(!PetscIsInfOrNanReal(f) && !PetscIsInfOrNanReal(gnorm), PetscObjectComm((PetscObject)tao), PETSC_ERR_USER, "User provided compute function generated infinity or NaN"); tao->reason = TAO_CONTINUE_ITERATING; PetscCall(TaoLogConvergenceHistory(tao, f, gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, f, gnorm, 0.0, stepsize)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); if (tao->reason != TAO_CONTINUE_ITERATING) PetscFunctionReturn(PETSC_SUCCESS); /* Set counter for gradient/reset steps */ if (!blmP->recycle) { blmP->grad = 0; blmP->reset = 0; PetscCall(MatLMVMReset(blmP->M, PETSC_FALSE)); } /* Have not converged; continue with Newton method */ while (tao->reason == TAO_CONTINUE_ITERATING) { /* Call general purpose update function */ if (tao->ops->update) { PetscUseTypeMethod(tao, update, tao->niter, tao->user_update); PetscCall(TaoComputeObjective(tao, tao->solution, &f)); } /* Compute direction */ gnorm2 = gnorm * gnorm; if (gnorm2 == 0.0) gnorm2 = PETSC_MACHINE_EPSILON; if (f == 0.0) { delta = 2.0 / gnorm2; } else { delta = 2.0 * PetscAbsScalar(f) / gnorm2; } PetscCall(MatLMVMSymBroydenSetDelta(blmP->M, delta)); PetscCall(MatLMVMUpdate(blmP->M, tao->solution, tao->gradient)); PetscCall(MatSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection)); PetscCall(VecBoundGradientProjection(tao->stepdirection, tao->solution, tao->XL, tao->XU, tao->gradient)); /* Check for success (descent direction) */ PetscCall(VecDot(blmP->unprojected_gradient, tao->gradient, &gdx)); if (gdx <= 0) { /* Step is not descent or solve was not successful Use steepest descent direction (scaled) */ ++blmP->grad; PetscCall(MatLMVMReset(blmP->M, PETSC_FALSE)); PetscCall(MatLMVMUpdate(blmP->M, tao->solution, blmP->unprojected_gradient)); PetscCall(MatSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection)); } PetscCall(VecScale(tao->stepdirection, -1.0)); /* Perform the linesearch */ fold = f; PetscCall(VecCopy(tao->solution, blmP->Xold)); PetscCall(VecCopy(blmP->unprojected_gradient, blmP->Gold)); PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, 1.0)); PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f, blmP->unprojected_gradient, tao->stepdirection, &stepsize, &ls_status)); PetscCall(TaoAddLineSearchCounts(tao)); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { /* Linesearch failed Reset factors and use scaled (projected) gradient step */ ++blmP->reset; f = fold; PetscCall(VecCopy(blmP->Xold, tao->solution)); PetscCall(VecCopy(blmP->Gold, blmP->unprojected_gradient)); PetscCall(MatLMVMReset(blmP->M, PETSC_FALSE)); PetscCall(MatLMVMUpdate(blmP->M, tao->solution, blmP->unprojected_gradient)); PetscCall(MatSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection)); PetscCall(VecScale(tao->stepdirection, -1.0)); /* This may be incorrect; linesearch has values for stepmax and stepmin that should be reset. */ PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, 1.0)); PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f, blmP->unprojected_gradient, tao->stepdirection, &stepsize, &ls_status)); PetscCall(TaoAddLineSearchCounts(tao)); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { tao->reason = TAO_DIVERGED_LS_FAILURE; break; } } /* Check for converged */ PetscCall(VecBoundGradientProjection(blmP->unprojected_gradient, tao->solution, tao->XL, tao->XU, tao->gradient)); PetscCall(TaoGradientNorm(tao, tao->gradient, NORM_2, &gnorm)); PetscCheck(!PetscIsInfOrNanReal(f) && !PetscIsInfOrNanReal(gnorm), PetscObjectComm((PetscObject)tao), PETSC_ERR_USER, "User provided compute function generated Not-a-Number"); tao->niter++; PetscCall(TaoLogConvergenceHistory(tao, f, gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, f, gnorm, 0.0, stepsize)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); } PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetup_BLMVM(Tao tao) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; PetscFunctionBegin; /* Existence of tao->solution checked in TaoSetup() */ PetscCall(VecDuplicate(tao->solution, &blmP->Xold)); PetscCall(VecDuplicate(tao->solution, &blmP->Gold)); PetscCall(VecDuplicate(tao->solution, &blmP->unprojected_gradient)); if (!tao->stepdirection) PetscCall(VecDuplicate(tao->solution, &tao->stepdirection)); if (!tao->gradient) PetscCall(VecDuplicate(tao->solution, &tao->gradient)); /* Allocate matrix for the limited memory approximation */ PetscCall(MatLMVMAllocate(blmP->M, tao->solution, blmP->unprojected_gradient)); /* If the user has set a matrix to solve as the initial H0, set the options prefix here, and set up the KSP */ if (blmP->H0) PetscCall(MatLMVMSetJ0(blmP->M, blmP->H0)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoDestroy_BLMVM(Tao tao) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; PetscFunctionBegin; if (tao->setupcalled) { PetscCall(VecDestroy(&blmP->unprojected_gradient)); PetscCall(VecDestroy(&blmP->Xold)); PetscCall(VecDestroy(&blmP->Gold)); } PetscCall(MatDestroy(&blmP->M)); if (blmP->H0) PetscCall(PetscObjectDereference((PetscObject)blmP->H0)); PetscCall(PetscFree(tao->data)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetFromOptions_BLMVM(Tao tao, PetscOptionItems PetscOptionsObject) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; PetscBool is_spd, is_set; PetscFunctionBegin; PetscOptionsHeadBegin(PetscOptionsObject, "Limited-memory variable-metric method for bound constrained optimization"); PetscCall(PetscOptionsBool("-tao_blmvm_recycle", "enable recycling of the BFGS matrix between subsequent TaoSolve() calls", "", blmP->recycle, &blmP->recycle, NULL)); PetscOptionsHeadEnd(); PetscCall(MatSetOptionsPrefix(blmP->M, ((PetscObject)tao)->prefix)); PetscCall(MatAppendOptionsPrefix(blmP->M, "tao_blmvm_")); PetscCall(MatSetFromOptions(blmP->M)); PetscCall(MatIsSPDKnown(blmP->M, &is_set, &is_spd)); PetscCheck(is_set && is_spd, PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_INCOMP, "LMVM matrix must be symmetric positive-definite"); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoView_BLMVM(Tao tao, PetscViewer viewer) { TAO_BLMVM *lmP = (TAO_BLMVM *)tao->data; PetscBool isascii; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii)); if (isascii) { PetscCall(PetscViewerASCIIPrintf(viewer, "Gradient steps: %" PetscInt_FMT "\n", lmP->grad)); PetscCall(PetscViewerPushFormat(viewer, PETSC_VIEWER_ASCII_INFO)); PetscCall(MatView(lmP->M, viewer)); PetscCall(PetscViewerPopFormat(viewer)); } PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoComputeDual_BLMVM(Tao tao, Vec DXL, Vec DXU) { TAO_BLMVM *blm = (TAO_BLMVM *)tao->data; PetscFunctionBegin; PetscValidHeaderSpecific(tao, TAO_CLASSID, 1); PetscValidHeaderSpecific(DXL, VEC_CLASSID, 2); PetscValidHeaderSpecific(DXU, VEC_CLASSID, 3); PetscCheck(tao->gradient && blm->unprojected_gradient, PETSC_COMM_SELF, PETSC_ERR_ORDER, "Dual variables don't exist yet or no longer exist."); PetscCall(VecCopy(tao->gradient, DXL)); PetscCall(VecAXPY(DXL, -1.0, blm->unprojected_gradient)); PetscCall(VecSet(DXU, 0.0)); PetscCall(VecPointwiseMax(DXL, DXL, DXU)); PetscCall(VecCopy(blm->unprojected_gradient, DXU)); PetscCall(VecAXPY(DXU, -1.0, tao->gradient)); PetscCall(VecAXPY(DXU, 1.0, DXL)); PetscFunctionReturn(PETSC_SUCCESS); } /*MC TAOBLMVM - Bounded limited memory variable metric is a quasi-Newton method for nonlinear minimization with bound constraints. It is an extension of `TAOLMVM` Options Database Key: . -tao_lmm_recycle - enable recycling of LMVM information between subsequent `TaoSolve()` calls Level: beginner .seealso: `Tao`, `TAOLMVM`, `TAOBLMVM`, `TaoLMVMGetH0()`, `TaoLMVMGetH0KSP()` M*/ PETSC_EXTERN PetscErrorCode TaoCreate_BLMVM(Tao tao) { TAO_BLMVM *blmP; const char *morethuente_type = TAOLINESEARCHMT; PetscFunctionBegin; tao->ops->setup = TaoSetup_BLMVM; tao->ops->solve = TaoSolve_BLMVM; tao->ops->view = TaoView_BLMVM; tao->ops->setfromoptions = TaoSetFromOptions_BLMVM; tao->ops->destroy = TaoDestroy_BLMVM; tao->ops->computedual = TaoComputeDual_BLMVM; PetscCall(PetscNew(&blmP)); blmP->H0 = NULL; blmP->recycle = PETSC_FALSE; tao->data = (void *)blmP; /* Override default settings (unless already changed) */ PetscCall(TaoParametersInitialize(tao)); PetscObjectParameterSetDefault(tao, max_it, 2000); PetscObjectParameterSetDefault(tao, max_funcs, 4000); PetscCall(TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch)); PetscCall(PetscObjectIncrementTabLevel((PetscObject)tao->linesearch, (PetscObject)tao, 1)); PetscCall(TaoLineSearchSetType(tao->linesearch, morethuente_type)); PetscCall(TaoLineSearchUseTaoRoutines(tao->linesearch, tao)); PetscCall(KSPInitializePackage()); PetscCall(MatCreate(((PetscObject)tao)->comm, &blmP->M)); PetscCall(MatSetType(blmP->M, MATLMVMBFGS)); PetscCall(PetscObjectIncrementTabLevel((PetscObject)blmP->M, (PetscObject)tao, 1)); PetscFunctionReturn(PETSC_SUCCESS); } /*@ TaoLMVMRecycle - Enable/disable recycling of the QN history between subsequent `TaoSolve()` calls. Input Parameters: + tao - the `Tao` solver context - flg - Boolean flag for recycling (`PETSC_TRUE` or `PETSC_FALSE`) Level: intermediate .seealso: `Tao`, `TAOLMVM`, `TAOBLMVM` @*/ PetscErrorCode TaoLMVMRecycle(Tao tao, PetscBool flg) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOLMVM, &is_lmvm)); PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOBLMVM, &is_blmvm)); if (is_lmvm) { lmP = (TAO_LMVM *)tao->data; lmP->recycle = flg; } else if (is_blmvm) { blmP = (TAO_BLMVM *)tao->data; blmP->recycle = flg; } PetscFunctionReturn(PETSC_SUCCESS); } /*@ TaoLMVMSetH0 - Set the initial Hessian for the QN approximation Input Parameters: + tao - the `Tao` solver context - H0 - `Mat` object for the initial Hessian Level: advanced .seealso: `Tao`, `TAOLMVM`, `TAOBLMVM`, `TaoLMVMGetH0()`, `TaoLMVMGetH0KSP()` @*/ PetscErrorCode TaoLMVMSetH0(Tao tao, Mat H0) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOLMVM, &is_lmvm)); PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOBLMVM, &is_blmvm)); if (is_lmvm) { lmP = (TAO_LMVM *)tao->data; PetscCall(PetscObjectReference((PetscObject)H0)); lmP->H0 = H0; } else if (is_blmvm) { blmP = (TAO_BLMVM *)tao->data; PetscCall(PetscObjectReference((PetscObject)H0)); blmP->H0 = H0; } PetscFunctionReturn(PETSC_SUCCESS); } /*@ TaoLMVMGetH0 - Get the matrix object for the QN initial Hessian Input Parameter: . tao - the `Tao` solver context Output Parameter: . H0 - `Mat` object for the initial Hessian Level: advanced .seealso: `Tao`, `TAOLMVM`, `TAOBLMVM`, `TaoLMVMSetH0()`, `TaoLMVMGetH0KSP()` @*/ PetscErrorCode TaoLMVMGetH0(Tao tao, Mat *H0) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; Mat M; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOLMVM, &is_lmvm)); PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOBLMVM, &is_blmvm)); if (is_lmvm) { lmP = (TAO_LMVM *)tao->data; M = lmP->M; } else if (is_blmvm) { blmP = (TAO_BLMVM *)tao->data; M = blmP->M; } else SETERRQ(PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_WRONG, "This routine applies to TAO_LMVM and TAO_BLMVM."); PetscCall(MatLMVMGetJ0(M, H0)); PetscFunctionReturn(PETSC_SUCCESS); } /*@ TaoLMVMGetH0KSP - Get the iterative solver for applying the inverse of the QN initial Hessian Input Parameter: . tao - the `Tao` solver context Output Parameter: . ksp - `KSP` solver context for the initial Hessian Level: advanced .seealso: `Tao`, `TAOLMVM`, `TAOBLMVM`, `TaoLMVMGetH0()` @*/ PetscErrorCode TaoLMVMGetH0KSP(Tao tao, KSP *ksp) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; Mat M; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOLMVM, &is_lmvm)); PetscCall(PetscObjectTypeCompare((PetscObject)tao, TAOBLMVM, &is_blmvm)); if (is_lmvm) { lmP = (TAO_LMVM *)tao->data; M = lmP->M; } else if (is_blmvm) { blmP = (TAO_BLMVM *)tao->data; M = blmP->M; } else SETERRQ(PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_WRONG, "This routine applies to TAO_LMVM and TAO_BLMVM."); PetscCall(MatLMVMGetJ0KSP(M, ksp)); PetscFunctionReturn(PETSC_SUCCESS); }