#include <../src/tao/bound/impls/tron/tron.h> #include <../src/tao/matrix/submatfree.h> /* TRON Routines */ static PetscErrorCode TronGradientProjections(Tao, TAO_TRON *); static PetscErrorCode TaoDestroy_TRON(Tao tao) { TAO_TRON *tron = (TAO_TRON *)tao->data; PetscFunctionBegin; PetscCall(VecDestroy(&tron->X_New)); PetscCall(VecDestroy(&tron->G_New)); PetscCall(VecDestroy(&tron->Work)); PetscCall(VecDestroy(&tron->DXFree)); PetscCall(VecDestroy(&tron->R)); PetscCall(VecDestroy(&tron->diag)); PetscCall(VecScatterDestroy(&tron->scatter)); PetscCall(ISDestroy(&tron->Free_Local)); PetscCall(MatDestroy(&tron->H_sub)); PetscCall(MatDestroy(&tron->Hpre_sub)); PetscCall(KSPDestroy(&tao->ksp)); PetscCall(PetscFree(tao->data)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetFromOptions_TRON(Tao tao, PetscOptionItems PetscOptionsObject) { TAO_TRON *tron = (TAO_TRON *)tao->data; PetscBool flg; PetscFunctionBegin; PetscOptionsHeadBegin(PetscOptionsObject, "Newton Trust Region Method for bound constrained optimization"); PetscCall(PetscOptionsInt("-tao_tron_maxgpits", "maximum number of gradient projections per TRON iterate", "TaoSetMaxGPIts", tron->maxgpits, &tron->maxgpits, &flg)); PetscOptionsHeadEnd(); PetscCall(KSPSetFromOptions(tao->ksp)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoView_TRON(Tao tao, PetscViewer viewer) { TAO_TRON *tron = (TAO_TRON *)tao->data; PetscBool isascii; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii)); if (isascii) { PetscCall(PetscViewerASCIIPrintf(viewer, "Total PG its: %" PetscInt_FMT ",", tron->total_gp_its)); PetscCall(PetscViewerASCIIPrintf(viewer, "PG tolerance: %g \n", (double)tron->pg_ftol)); } PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetup_TRON(Tao tao) { TAO_TRON *tron = (TAO_TRON *)tao->data; PetscFunctionBegin; /* Allocate some arrays */ PetscCall(VecDuplicate(tao->solution, &tron->diag)); PetscCall(VecDuplicate(tao->solution, &tron->X_New)); PetscCall(VecDuplicate(tao->solution, &tron->G_New)); PetscCall(VecDuplicate(tao->solution, &tron->Work)); PetscCall(VecDuplicate(tao->solution, &tao->gradient)); PetscCall(VecDuplicate(tao->solution, &tao->stepdirection)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSolve_TRON(Tao tao) { TAO_TRON *tron = (TAO_TRON *)tao->data; PetscInt its; TaoLineSearchConvergedReason ls_reason = TAOLINESEARCH_CONTINUE_ITERATING; PetscReal prered, actred, delta, f, f_new, rhok, gdx, xdiff, stepsize; PetscFunctionBegin; tron->pgstepsize = 1.0; tao->trust = tao->trust0; /* Project the current point onto the feasible set */ PetscCall(TaoComputeVariableBounds(tao)); PetscCall(TaoLineSearchSetVariableBounds(tao->linesearch, tao->XL, tao->XU)); /* Project the initial point onto the feasible region */ PetscCall(VecMedian(tao->XL, tao->solution, tao->XU, tao->solution)); /* Compute the objective function and gradient */ PetscCall(TaoComputeObjectiveAndGradient(tao, tao->solution, &tron->f, tao->gradient)); PetscCall(VecNorm(tao->gradient, NORM_2, &tron->gnorm)); PetscCheck(!PetscIsInfOrNanReal(tron->f) && !PetscIsInfOrNanReal(tron->gnorm), PetscObjectComm((PetscObject)tao), PETSC_ERR_USER, "User provided compute function generated infinity or NaN"); /* Project the gradient and calculate the norm */ PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, tao->gradient)); PetscCall(VecNorm(tao->gradient, NORM_2, &tron->gnorm)); /* Initialize trust region radius */ tao->trust = tao->trust0; if (tao->trust <= 0) tao->trust = PetscMax(tron->gnorm * tron->gnorm, 1.0); /* Initialize step sizes for the line searches */ tron->pgstepsize = 1.0; tron->stepsize = tao->trust; tao->reason = TAO_CONTINUE_ITERATING; PetscCall(TaoLogConvergenceHistory(tao, tron->f, tron->gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, tron->f, tron->gnorm, 0.0, tron->stepsize)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); 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, &tron->f)); } /* Perform projected gradient iterations */ PetscCall(TronGradientProjections(tao, tron)); PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, tao->gradient)); PetscCall(VecNorm(tao->gradient, NORM_2, &tron->gnorm)); tao->ksp_its = 0; f = tron->f; delta = tao->trust; tron->n_free_last = tron->n_free; PetscCall(TaoComputeHessian(tao, tao->solution, tao->hessian, tao->hessian_pre)); /* Generate index set (IS) of which bound constraints are active */ PetscCall(ISDestroy(&tron->Free_Local)); PetscCall(VecWhichInactive(tao->XL, tao->solution, tao->gradient, tao->XU, PETSC_TRUE, &tron->Free_Local)); PetscCall(ISGetSize(tron->Free_Local, &tron->n_free)); /* If no free variables */ if (tron->n_free == 0) { PetscCall(VecNorm(tao->gradient, NORM_2, &tron->gnorm)); PetscCall(TaoLogConvergenceHistory(tao, tron->f, tron->gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, tron->f, tron->gnorm, 0.0, delta)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); if (!tao->reason) tao->reason = TAO_CONVERGED_STEPTOL; break; } /* use free_local to mask/submat gradient, hessian, stepdirection */ PetscCall(TaoVecGetSubVec(tao->gradient, tron->Free_Local, tao->subset_type, 0.0, &tron->R)); PetscCall(TaoVecGetSubVec(tao->gradient, tron->Free_Local, tao->subset_type, 0.0, &tron->DXFree)); PetscCall(VecSet(tron->DXFree, 0.0)); PetscCall(VecScale(tron->R, -1.0)); PetscCall(TaoMatGetSubMat(tao->hessian, tron->Free_Local, tron->diag, tao->subset_type, &tron->H_sub)); if (tao->hessian == tao->hessian_pre) { PetscCall(MatDestroy(&tron->Hpre_sub)); PetscCall(PetscObjectReference((PetscObject)tron->H_sub)); tron->Hpre_sub = tron->H_sub; } else { PetscCall(TaoMatGetSubMat(tao->hessian_pre, tron->Free_Local, tron->diag, tao->subset_type, &tron->Hpre_sub)); } PetscCall(KSPReset(tao->ksp)); PetscCall(KSPSetOperators(tao->ksp, tron->H_sub, tron->Hpre_sub)); while (1) { /* Approximately solve the reduced linear system */ PetscCall(KSPCGSetRadius(tao->ksp, delta)); PetscCall(KSPSolve(tao->ksp, tron->R, tron->DXFree)); PetscCall(KSPGetIterationNumber(tao->ksp, &its)); tao->ksp_its += its; tao->ksp_tot_its += its; PetscCall(VecSet(tao->stepdirection, 0.0)); /* Add dxfree matrix to compute step direction vector */ PetscCall(VecISAXPY(tao->stepdirection, tron->Free_Local, 1.0, tron->DXFree)); PetscCall(VecDot(tao->gradient, tao->stepdirection, &gdx)); PetscCall(VecCopy(tao->solution, tron->X_New)); PetscCall(VecCopy(tao->gradient, tron->G_New)); stepsize = 1.0; f_new = f; PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, 1.0)); PetscCall(TaoLineSearchApply(tao->linesearch, tron->X_New, &f_new, tron->G_New, tao->stepdirection, &stepsize, &ls_reason)); PetscCall(TaoAddLineSearchCounts(tao)); PetscCall(MatMult(tao->hessian, tao->stepdirection, tron->Work)); PetscCall(VecAYPX(tron->Work, 0.5, tao->gradient)); PetscCall(VecDot(tao->stepdirection, tron->Work, &prered)); actred = f_new - f; if ((PetscAbsScalar(actred) <= 1e-6) && (PetscAbsScalar(prered) <= 1e-6)) { rhok = 1.0; } else if (actred < 0) { rhok = PetscAbs(-actred / prered); } else { rhok = 0.0; } /* Compare actual improvement to the quadratic model */ if (rhok > tron->eta1) { /* Accept the point */ /* d = x_new - x */ PetscCall(VecCopy(tron->X_New, tao->stepdirection)); PetscCall(VecAXPY(tao->stepdirection, -1.0, tao->solution)); PetscCall(VecNorm(tao->stepdirection, NORM_2, &xdiff)); xdiff *= stepsize; /* Adjust trust region size */ if (rhok < tron->eta2) { delta = PetscMin(xdiff, delta) * tron->sigma1; } else if (rhok > tron->eta4) { delta = PetscMin(xdiff, delta) * tron->sigma3; } else if (rhok > tron->eta3) { delta = PetscMin(xdiff, delta) * tron->sigma2; } PetscCall(VecBoundGradientProjection(tron->G_New, tron->X_New, tao->XL, tao->XU, tao->gradient)); PetscCall(ISDestroy(&tron->Free_Local)); PetscCall(VecWhichInactive(tao->XL, tron->X_New, tao->gradient, tao->XU, PETSC_TRUE, &tron->Free_Local)); f = f_new; PetscCall(VecNorm(tao->gradient, NORM_2, &tron->gnorm)); PetscCall(VecCopy(tron->X_New, tao->solution)); PetscCall(VecCopy(tron->G_New, tao->gradient)); break; } else if (delta <= 1e-30) { break; } else { delta /= 4.0; } } /* end linear solve loop */ tron->f = f; tron->actred = actred; tao->trust = delta; tao->niter++; PetscCall(TaoLogConvergenceHistory(tao, tron->f, tron->gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, tron->f, tron->gnorm, 0.0, stepsize)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); } /* END MAIN LOOP */ PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TronGradientProjections(Tao tao, TAO_TRON *tron) { PetscInt i; TaoLineSearchConvergedReason ls_reason; PetscReal actred = -1.0, actred_max = 0.0; PetscReal f_new; /* The gradient and function value passed into and out of this routine should be current and correct. The free, active, and binding variables should be already identified */ PetscFunctionBegin; for (i = 0; i < tron->maxgpits; ++i) { if (-actred <= (tron->pg_ftol) * actred_max) break; ++tron->gp_iterates; ++tron->total_gp_its; f_new = tron->f; PetscCall(VecCopy(tao->gradient, tao->stepdirection)); PetscCall(VecScale(tao->stepdirection, -1.0)); PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, tron->pgstepsize)); PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f_new, tao->gradient, tao->stepdirection, &tron->pgstepsize, &ls_reason)); PetscCall(TaoAddLineSearchCounts(tao)); PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, tao->gradient)); PetscCall(VecNorm(tao->gradient, NORM_2, &tron->gnorm)); /* Update the iterate */ actred = f_new - tron->f; actred_max = PetscMax(actred_max, -(f_new - tron->f)); tron->f = f_new; } PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoComputeDual_TRON(Tao tao, Vec DXL, Vec DXU) { TAO_TRON *tron = (TAO_TRON *)tao->data; PetscFunctionBegin; PetscValidHeaderSpecific(tao, TAO_CLASSID, 1); PetscValidHeaderSpecific(DXL, VEC_CLASSID, 2); PetscValidHeaderSpecific(DXU, VEC_CLASSID, 3); PetscCheck(tron->Work && tao->gradient, PETSC_COMM_SELF, PETSC_ERR_ORDER, "Dual variables don't exist yet or no longer exist."); PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, tron->Work)); PetscCall(VecCopy(tron->Work, DXL)); PetscCall(VecAXPY(DXL, -1.0, tao->gradient)); PetscCall(VecSet(DXU, 0.0)); PetscCall(VecPointwiseMax(DXL, DXL, DXU)); PetscCall(VecCopy(tao->gradient, DXU)); PetscCall(VecAXPY(DXU, -1.0, tron->Work)); PetscCall(VecSet(tron->Work, 0.0)); PetscCall(VecPointwiseMin(DXU, tron->Work, DXU)); PetscFunctionReturn(PETSC_SUCCESS); } /*MC TAOTRON - The TRON algorithm is an active-set Newton trust region method for bound-constrained minimization. Options Database Keys: + -tao_tron_maxgpits - maximum number of gradient projections per TRON iterate - -tao_subset_type - "subvec","mask","matrix-free", strategies for handling active-sets Level: beginner M*/ PETSC_EXTERN PetscErrorCode TaoCreate_TRON(Tao tao) { TAO_TRON *tron; const char *morethuente_type = TAOLINESEARCHMT; PetscFunctionBegin; tao->ops->setup = TaoSetup_TRON; tao->ops->solve = TaoSolve_TRON; tao->ops->view = TaoView_TRON; tao->ops->setfromoptions = TaoSetFromOptions_TRON; tao->ops->destroy = TaoDestroy_TRON; tao->ops->computedual = TaoComputeDual_TRON; PetscCall(PetscNew(&tron)); tao->data = (void *)tron; /* Override default settings (unless already changed) */ PetscCall(TaoParametersInitialize(tao)); PetscObjectParameterSetDefault(tao, max_it, 50); PetscObjectParameterSetDefault(tao, trust0, 1.0); PetscObjectParameterSetDefault(tao, steptol, 0.0); /* Initialize pointers and variables */ tron->n = 0; tron->maxgpits = 3; tron->pg_ftol = 0.001; tron->eta1 = 1.0e-4; tron->eta2 = 0.25; tron->eta3 = 0.50; tron->eta4 = 0.90; tron->sigma1 = 0.5; tron->sigma2 = 2.0; tron->sigma3 = 4.0; tron->gp_iterates = 0; /* Cumulative number */ tron->total_gp_its = 0; tron->n_free = 0; tron->DXFree = NULL; tron->R = NULL; tron->X_New = NULL; tron->G_New = NULL; tron->Work = NULL; tron->Free_Local = NULL; tron->H_sub = NULL; tron->Hpre_sub = NULL; tao->subset_type = TAO_SUBSET_SUBVEC; 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(TaoLineSearchSetOptionsPrefix(tao->linesearch, tao->hdr.prefix)); PetscCall(KSPCreate(((PetscObject)tao)->comm, &tao->ksp)); PetscCall(PetscObjectIncrementTabLevel((PetscObject)tao->ksp, (PetscObject)tao, 1)); PetscCall(KSPSetOptionsPrefix(tao->ksp, tao->hdr.prefix)); PetscCall(KSPSetType(tao->ksp, KSPSTCG)); PetscFunctionReturn(PETSC_SUCCESS); }