#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 */ CHKERRQ(TaoComputeVariableBounds(tao)); CHKERRQ(VecMedian(tao->XL,tao->solution,tao->XU,tao->solution)); CHKERRQ(TaoLineSearchSetVariableBounds(tao->linesearch,tao->XL,tao->XU)); /* Check convergence criteria */ CHKERRQ(TaoComputeObjectiveAndGradient(tao, tao->solution,&f,blmP->unprojected_gradient)); CHKERRQ(VecBoundGradientProjection(blmP->unprojected_gradient,tao->solution, tao->XL,tao->XU,tao->gradient)); CHKERRQ(TaoGradientNorm(tao, tao->gradient,NORM_2,&gnorm)); PetscCheck(!PetscIsInfOrNanReal(f) && !PetscIsInfOrNanReal(gnorm),PetscObjectComm((PetscObject)tao),PETSC_ERR_USER, "User provided compute function generated Inf or NaN"); tao->reason = TAO_CONTINUE_ITERATING; CHKERRQ(TaoLogConvergenceHistory(tao,f,gnorm,0.0,tao->ksp_its)); CHKERRQ(TaoMonitor(tao,tao->niter,f,gnorm,0.0,stepsize)); CHKERRQ((*tao->ops->convergencetest)(tao,tao->cnvP)); if (tao->reason != TAO_CONTINUE_ITERATING) PetscFunctionReturn(0); /* Set counter for gradient/reset steps */ if (!blmP->recycle) { blmP->grad = 0; blmP->reset = 0; CHKERRQ(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) { CHKERRQ((*tao->ops->update)(tao, tao->niter, tao->user_update)); } /* 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; } CHKERRQ(MatLMVMSymBroydenSetDelta(blmP->M, delta)); CHKERRQ(MatLMVMUpdate(blmP->M, tao->solution, tao->gradient)); CHKERRQ(MatSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection)); CHKERRQ(VecBoundGradientProjection(tao->stepdirection,tao->solution,tao->XL,tao->XU,tao->gradient)); /* Check for success (descent direction) */ CHKERRQ(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; CHKERRQ(MatLMVMReset(blmP->M, PETSC_FALSE)); CHKERRQ(MatLMVMUpdate(blmP->M, tao->solution, blmP->unprojected_gradient)); CHKERRQ(MatSolve(blmP->M,blmP->unprojected_gradient, tao->stepdirection)); } CHKERRQ(VecScale(tao->stepdirection,-1.0)); /* Perform the linesearch */ fold = f; CHKERRQ(VecCopy(tao->solution, blmP->Xold)); CHKERRQ(VecCopy(blmP->unprojected_gradient, blmP->Gold)); CHKERRQ(TaoLineSearchSetInitialStepLength(tao->linesearch,1.0)); CHKERRQ(TaoLineSearchApply(tao->linesearch, tao->solution, &f, blmP->unprojected_gradient, tao->stepdirection, &stepsize, &ls_status)); CHKERRQ(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; CHKERRQ(VecCopy(blmP->Xold, tao->solution)); CHKERRQ(VecCopy(blmP->Gold, blmP->unprojected_gradient)); CHKERRQ(MatLMVMReset(blmP->M, PETSC_FALSE)); CHKERRQ(MatLMVMUpdate(blmP->M, tao->solution, blmP->unprojected_gradient)); CHKERRQ(MatSolve(blmP->M, blmP->unprojected_gradient, tao->stepdirection)); CHKERRQ(VecScale(tao->stepdirection, -1.0)); /* This may be incorrect; linesearch has values for stepmax and stepmin that should be reset. */ CHKERRQ(TaoLineSearchSetInitialStepLength(tao->linesearch,1.0)); CHKERRQ(TaoLineSearchApply(tao->linesearch,tao->solution,&f, blmP->unprojected_gradient, tao->stepdirection, &stepsize, &ls_status)); CHKERRQ(TaoAddLineSearchCounts(tao)); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { tao->reason = TAO_DIVERGED_LS_FAILURE; break; } } /* Check for converged */ CHKERRQ(VecBoundGradientProjection(blmP->unprojected_gradient, tao->solution, tao->XL, tao->XU, tao->gradient)); CHKERRQ(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++; CHKERRQ(TaoLogConvergenceHistory(tao,f,gnorm,0.0,tao->ksp_its)); CHKERRQ(TaoMonitor(tao,tao->niter,f,gnorm,0.0,stepsize)); CHKERRQ((*tao->ops->convergencetest)(tao,tao->cnvP)); } PetscFunctionReturn(0); } static PetscErrorCode TaoSetup_BLMVM(Tao tao) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; PetscFunctionBegin; /* Existence of tao->solution checked in TaoSetup() */ CHKERRQ(VecDuplicate(tao->solution,&blmP->Xold)); CHKERRQ(VecDuplicate(tao->solution,&blmP->Gold)); CHKERRQ(VecDuplicate(tao->solution, &blmP->unprojected_gradient)); if (!tao->stepdirection) { CHKERRQ(VecDuplicate(tao->solution, &tao->stepdirection)); } if (!tao->gradient) { CHKERRQ(VecDuplicate(tao->solution,&tao->gradient)); } if (!tao->XL) { CHKERRQ(VecDuplicate(tao->solution,&tao->XL)); CHKERRQ(VecSet(tao->XL,PETSC_NINFINITY)); } if (!tao->XU) { CHKERRQ(VecDuplicate(tao->solution,&tao->XU)); CHKERRQ(VecSet(tao->XU,PETSC_INFINITY)); } /* Allocate matrix for the limited memory approximation */ CHKERRQ(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) { CHKERRQ(MatLMVMSetJ0(blmP->M, blmP->H0)); } PetscFunctionReturn(0); } /* ---------------------------------------------------------- */ static PetscErrorCode TaoDestroy_BLMVM(Tao tao) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; PetscFunctionBegin; if (tao->setupcalled) { CHKERRQ(VecDestroy(&blmP->unprojected_gradient)); CHKERRQ(VecDestroy(&blmP->Xold)); CHKERRQ(VecDestroy(&blmP->Gold)); } CHKERRQ(MatDestroy(&blmP->M)); if (blmP->H0) { PetscObjectDereference((PetscObject)blmP->H0); } CHKERRQ(PetscFree(tao->data)); PetscFunctionReturn(0); } /*------------------------------------------------------------*/ static PetscErrorCode TaoSetFromOptions_BLMVM(PetscOptionItems* PetscOptionsObject,Tao tao) { TAO_BLMVM *blmP = (TAO_BLMVM *)tao->data; PetscBool is_spd; PetscFunctionBegin; CHKERRQ(PetscOptionsHead(PetscOptionsObject,"Limited-memory variable-metric method for bound constrained optimization")); CHKERRQ(PetscOptionsBool("-tao_blmvm_recycle","enable recycling of the BFGS matrix between subsequent TaoSolve() calls","",blmP->recycle,&blmP->recycle,NULL)); CHKERRQ(PetscOptionsTail()); CHKERRQ(MatSetOptionsPrefix(blmP->M, ((PetscObject)tao)->prefix)); CHKERRQ(MatAppendOptionsPrefix(blmP->M, "tao_blmvm_")); CHKERRQ(MatSetFromOptions(blmP->M)); CHKERRQ(MatGetOption(blmP->M, MAT_SPD, &is_spd)); PetscCheck(is_spd,PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_INCOMP, "LMVM matrix must be symmetric positive-definite"); PetscFunctionReturn(0); } /*------------------------------------------------------------*/ static PetscErrorCode TaoView_BLMVM(Tao tao, PetscViewer viewer) { TAO_BLMVM *lmP = (TAO_BLMVM *)tao->data; PetscBool isascii; PetscFunctionBegin; CHKERRQ(PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii)); if (isascii) { CHKERRQ(PetscViewerASCIIPrintf(viewer, "Gradient steps: %D\n", lmP->grad)); CHKERRQ(PetscViewerPushFormat(viewer, PETSC_VIEWER_ASCII_INFO)); CHKERRQ(MatView(lmP->M, viewer)); CHKERRQ(PetscViewerPopFormat(viewer)); } PetscFunctionReturn(0); } 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."); CHKERRQ(VecCopy(tao->gradient,DXL)); CHKERRQ(VecAXPY(DXL,-1.0,blm->unprojected_gradient)); CHKERRQ(VecSet(DXU,0.0)); CHKERRQ(VecPointwiseMax(DXL,DXL,DXU)); CHKERRQ(VecCopy(blm->unprojected_gradient,DXU)); CHKERRQ(VecAXPY(DXU,-1.0,tao->gradient)); CHKERRQ(VecAXPY(DXU,1.0,DXL)); PetscFunctionReturn(0); } /* ---------------------------------------------------------- */ /*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 Keys: . -tao_lmm_recycle - enable recycling of LMVM information between subsequent TaoSolve calls Level: beginner 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; CHKERRQ(PetscNewLog(tao,&blmP)); blmP->H0 = NULL; blmP->recycle = PETSC_FALSE; tao->data = (void*)blmP; /* Override default settings (unless already changed) */ if (!tao->max_it_changed) tao->max_it = 2000; if (!tao->max_funcs_changed) tao->max_funcs = 4000; CHKERRQ(TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch)); CHKERRQ(PetscObjectIncrementTabLevel((PetscObject)tao->linesearch, (PetscObject)tao, 1)); CHKERRQ(TaoLineSearchSetType(tao->linesearch, morethuente_type)); CHKERRQ(TaoLineSearchUseTaoRoutines(tao->linesearch,tao)); CHKERRQ(KSPInitializePackage()); CHKERRQ(MatCreate(((PetscObject)tao)->comm, &blmP->M)); CHKERRQ(MatSetType(blmP->M, MATLMVMBFGS)); CHKERRQ(PetscObjectIncrementTabLevel((PetscObject)blmP->M, (PetscObject)tao, 1)); PetscFunctionReturn(0); } /*@ 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 @*/ PetscErrorCode TaoLMVMRecycle(Tao tao, PetscBool flg) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; PetscFunctionBegin; CHKERRQ(PetscObjectTypeCompare((PetscObject)tao,TAOLMVM,&is_lmvm)); CHKERRQ(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(0); } /*@ 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: TaoLMVMGetH0(), TaoLMVMGetH0KSP() @*/ PetscErrorCode TaoLMVMSetH0(Tao tao, Mat H0) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; PetscFunctionBegin; CHKERRQ(PetscObjectTypeCompare((PetscObject)tao,TAOLMVM,&is_lmvm)); CHKERRQ(PetscObjectTypeCompare((PetscObject)tao,TAOBLMVM,&is_blmvm)); if (is_lmvm) { lmP = (TAO_LMVM *)tao->data; CHKERRQ(PetscObjectReference((PetscObject)H0)); lmP->H0 = H0; } else if (is_blmvm) { blmP = (TAO_BLMVM *)tao->data; CHKERRQ(PetscObjectReference((PetscObject)H0)); blmP->H0 = H0; } PetscFunctionReturn(0); } /*@ TaoLMVMGetH0 - Get the matrix object for the QN initial Hessian Input Parameters: . tao - the Tao solver context Output Parameters: . H0 - Mat object for the initial Hessian Level: advanced .seealso: TaoLMVMSetH0(), TaoLMVMGetH0KSP() @*/ PetscErrorCode TaoLMVMGetH0(Tao tao, Mat *H0) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; Mat M; PetscFunctionBegin; CHKERRQ(PetscObjectTypeCompare((PetscObject)tao,TAOLMVM,&is_lmvm)); CHKERRQ(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."); CHKERRQ(MatLMVMGetJ0(M, H0)); PetscFunctionReturn(0); } /*@ TaoLMVMGetH0KSP - Get the iterative solver for applying the inverse of the QN initial Hessian Input Parameters: . tao - the Tao solver context Output Parameters: . ksp - KSP solver context for the initial Hessian Level: advanced .seealso: TaoLMVMGetH0(), TaoLMVMGetH0KSP() @*/ PetscErrorCode TaoLMVMGetH0KSP(Tao tao, KSP *ksp) { TAO_LMVM *lmP; TAO_BLMVM *blmP; PetscBool is_lmvm, is_blmvm; Mat M; PetscFunctionBegin; CHKERRQ(PetscObjectTypeCompare((PetscObject)tao,TAOLMVM,&is_lmvm)); CHKERRQ(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."); CHKERRQ(MatLMVMGetJ0KSP(M, ksp)); PetscFunctionReturn(0); }