#include <../src/tao/constrained/impls/ipm/pdipm.h> /* TaoPDIPMEvaluateFunctionsAndJacobians - Evaluate the objective function f, gradient fx, constraints, and all the Jacobians at current vector Collective on tao Input Parameter: + tao - solver context - x - vector at which all objects to be evaluated Level: beginner .seealso: TaoPDIPMUpdateConstraints(), TaoPDIPMSetUpBounds() */ static PetscErrorCode TaoPDIPMEvaluateFunctionsAndJacobians(Tao tao,Vec x) { TAO_PDIPM *pdipm=(TAO_PDIPM*)tao->data; PetscFunctionBegin; /* Compute user objective function and gradient */ PetscCall(TaoComputeObjectiveAndGradient(tao,x,&pdipm->obj,tao->gradient)); /* Equality constraints and Jacobian */ if (pdipm->Ng) { PetscCall(TaoComputeEqualityConstraints(tao,x,tao->constraints_equality)); PetscCall(TaoComputeJacobianEquality(tao,x,tao->jacobian_equality,tao->jacobian_equality_pre)); } /* Inequality constraints and Jacobian */ if (pdipm->Nh) { PetscCall(TaoComputeInequalityConstraints(tao,x,tao->constraints_inequality)); PetscCall(TaoComputeJacobianInequality(tao,x,tao->jacobian_inequality,tao->jacobian_inequality_pre)); } PetscFunctionReturn(0); } /* TaoPDIPMUpdateConstraints - Update the vectors ce and ci at x Collective Input Parameter: + tao - Tao context - x - vector at which constraints to be evaluated Level: beginner .seealso: TaoPDIPMEvaluateFunctionsAndJacobians() */ static PetscErrorCode TaoPDIPMUpdateConstraints(Tao tao,Vec x) { TAO_PDIPM *pdipm=(TAO_PDIPM*)tao->data; PetscInt i,offset,offset1,k,xstart; PetscScalar *carr; const PetscInt *ubptr,*lbptr,*bxptr,*fxptr; const PetscScalar *xarr,*xuarr,*xlarr,*garr,*harr; PetscFunctionBegin; PetscCall(VecGetOwnershipRange(x,&xstart,NULL)); PetscCall(VecGetArrayRead(x,&xarr)); PetscCall(VecGetArrayRead(tao->XU,&xuarr)); PetscCall(VecGetArrayRead(tao->XL,&xlarr)); /* (1) Update ce vector */ PetscCall(VecGetArrayWrite(pdipm->ce,&carr)); if (pdipm->Ng) { /* (1.a) Inserting updated g(x) */ PetscCall(VecGetArrayRead(tao->constraints_equality,&garr)); PetscCall(PetscMemcpy(carr,garr,pdipm->ng*sizeof(PetscScalar))); PetscCall(VecRestoreArrayRead(tao->constraints_equality,&garr)); } /* (1.b) Update xfixed */ if (pdipm->Nxfixed) { offset = pdipm->ng; PetscCall(ISGetIndices(pdipm->isxfixed,&fxptr)); /* global indices in x */ for (k=0;k < pdipm->nxfixed;k++) { i = fxptr[k]-xstart; carr[offset + k] = xarr[i] - xuarr[i]; } } PetscCall(VecRestoreArrayWrite(pdipm->ce,&carr)); /* (2) Update ci vector */ PetscCall(VecGetArrayWrite(pdipm->ci,&carr)); if (pdipm->Nh) { /* (2.a) Inserting updated h(x) */ PetscCall(VecGetArrayRead(tao->constraints_inequality,&harr)); PetscCall(PetscMemcpy(carr,harr,pdipm->nh*sizeof(PetscScalar))); PetscCall(VecRestoreArrayRead(tao->constraints_inequality,&harr)); } /* (2.b) Update xub */ offset = pdipm->nh; if (pdipm->Nxub) { PetscCall(ISGetIndices(pdipm->isxub,&ubptr)); for (k=0; knxub; k++) { i = ubptr[k]-xstart; carr[offset + k] = xuarr[i] - xarr[i]; } } if (pdipm->Nxlb) { /* (2.c) Update xlb */ offset += pdipm->nxub; PetscCall(ISGetIndices(pdipm->isxlb,&lbptr)); /* global indices in x */ for (k=0; knxlb; k++) { i = lbptr[k]-xstart; carr[offset + k] = xarr[i] - xlarr[i]; } } if (pdipm->Nxbox) { /* (2.d) Update xbox */ offset += pdipm->nxlb; offset1 = offset + pdipm->nxbox; PetscCall(ISGetIndices(pdipm->isxbox,&bxptr)); /* global indices in x */ for (k=0; knxbox; k++) { i = bxptr[k]-xstart; /* local indices in x */ carr[offset+k] = xuarr[i] - xarr[i]; carr[offset1+k] = xarr[i] - xlarr[i]; } } PetscCall(VecRestoreArrayWrite(pdipm->ci,&carr)); /* Restoring Vectors */ PetscCall(VecRestoreArrayRead(x,&xarr)); PetscCall(VecRestoreArrayRead(tao->XU,&xuarr)); PetscCall(VecRestoreArrayRead(tao->XL,&xlarr)); PetscFunctionReturn(0); } /* TaoPDIPMSetUpBounds - Create upper and lower bound vectors of x Collective Input Parameter: . tao - holds pdipm and XL & XU Level: beginner .seealso: TaoPDIPMUpdateConstraints */ static PetscErrorCode TaoPDIPMSetUpBounds(Tao tao) { TAO_PDIPM *pdipm=(TAO_PDIPM*)tao->data; const PetscScalar *xl,*xu; PetscInt n,*ixlb,*ixub,*ixfixed,*ixfree,*ixbox,i,low,high,idx; MPI_Comm comm; PetscInt sendbuf[5],recvbuf[5]; PetscFunctionBegin; /* Creates upper and lower bounds vectors on x, if not created already */ PetscCall(TaoComputeVariableBounds(tao)); PetscCall(VecGetLocalSize(tao->XL,&n)); PetscCall(PetscMalloc5(n,&ixlb,n,&ixub,n,&ixfree,n,&ixfixed,n,&ixbox)); PetscCall(VecGetOwnershipRange(tao->XL,&low,&high)); PetscCall(VecGetArrayRead(tao->XL,&xl)); PetscCall(VecGetArrayRead(tao->XU,&xu)); for (i=0; i PETSC_NINFINITY) && (PetscRealPart(xu[i]) < PETSC_INFINITY)) { if (PetscRealPart(xl[i]) == PetscRealPart(xu[i])) { ixfixed[pdipm->nxfixed++] = idx; } else ixbox[pdipm->nxbox++] = idx; } else { if ((PetscRealPart(xl[i]) > PETSC_NINFINITY) && (PetscRealPart(xu[i]) >= PETSC_INFINITY)) { ixlb[pdipm->nxlb++] = idx; } else if ((PetscRealPart(xl[i]) <= PETSC_NINFINITY) && (PetscRealPart(xu[i]) < PETSC_INFINITY)) { ixub[pdipm->nxlb++] = idx; } else ixfree[pdipm->nxfree++] = idx; } } PetscCall(VecRestoreArrayRead(tao->XL,&xl)); PetscCall(VecRestoreArrayRead(tao->XU,&xu)); PetscCall(PetscObjectGetComm((PetscObject)tao,&comm)); sendbuf[0] = pdipm->nxlb; sendbuf[1] = pdipm->nxub; sendbuf[2] = pdipm->nxfixed; sendbuf[3] = pdipm->nxbox; sendbuf[4] = pdipm->nxfree; PetscCallMPI(MPI_Allreduce(sendbuf,recvbuf,5,MPIU_INT,MPI_SUM,comm)); pdipm->Nxlb = recvbuf[0]; pdipm->Nxub = recvbuf[1]; pdipm->Nxfixed = recvbuf[2]; pdipm->Nxbox = recvbuf[3]; pdipm->Nxfree = recvbuf[4]; if (pdipm->Nxlb) { PetscCall(ISCreateGeneral(comm,pdipm->nxlb,ixlb,PETSC_COPY_VALUES,&pdipm->isxlb)); } if (pdipm->Nxub) { PetscCall(ISCreateGeneral(comm,pdipm->nxub,ixub,PETSC_COPY_VALUES,&pdipm->isxub)); } if (pdipm->Nxfixed) { PetscCall(ISCreateGeneral(comm,pdipm->nxfixed,ixfixed,PETSC_COPY_VALUES,&pdipm->isxfixed)); } if (pdipm->Nxbox) { PetscCall(ISCreateGeneral(comm,pdipm->nxbox,ixbox,PETSC_COPY_VALUES,&pdipm->isxbox)); } if (pdipm->Nxfree) { PetscCall(ISCreateGeneral(comm,pdipm->nxfree,ixfree,PETSC_COPY_VALUES,&pdipm->isxfree)); } PetscCall(PetscFree5(ixlb,ixub,ixfixed,ixbox,ixfree)); PetscFunctionReturn(0); } /* TaoPDIPMInitializeSolution - Initialize PDIPM solution X = [x; lambdae; lambdai; z]. X consists of four subvectors in the order [x; lambdae; lambdai; z]. These four subvectors need to be initialized and its values copied over to X. Instead of copying, we use VecPlace/ResetArray functions to share the memory locations for X and the subvectors Collective Input Parameter: . tao - Tao context Level: beginner */ static PetscErrorCode TaoPDIPMInitializeSolution(Tao tao) { TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscScalar *Xarr,*z,*lambdai; PetscInt i; const PetscScalar *xarr,*h; PetscFunctionBegin; PetscCall(VecGetArrayWrite(pdipm->X,&Xarr)); /* Set Initialize X.x = tao->solution */ PetscCall(VecGetArrayRead(tao->solution,&xarr)); PetscCall(PetscMemcpy(Xarr,xarr,pdipm->nx*sizeof(PetscScalar))); PetscCall(VecRestoreArrayRead(tao->solution,&xarr)); /* Initialize X.lambdae = 0.0 */ if (pdipm->lambdae) { PetscCall(VecSet(pdipm->lambdae,0.0)); } /* Initialize X.lambdai = push_init_lambdai, X.z = push_init_slack */ if (pdipm->Nci) { PetscCall(VecSet(pdipm->lambdai,pdipm->push_init_lambdai)); PetscCall(VecSet(pdipm->z,pdipm->push_init_slack)); /* Additional modification for X.lambdai and X.z */ PetscCall(VecGetArrayWrite(pdipm->lambdai,&lambdai)); PetscCall(VecGetArrayWrite(pdipm->z,&z)); if (pdipm->Nh) { PetscCall(VecGetArrayRead(tao->constraints_inequality,&h)); for (i=0; i < pdipm->nh; i++) { if (h[i] < -pdipm->push_init_slack) z[i] = -h[i]; if (pdipm->mu/z[i] > pdipm->push_init_lambdai) lambdai[i] = pdipm->mu/z[i]; } PetscCall(VecRestoreArrayRead(tao->constraints_inequality,&h)); } PetscCall(VecRestoreArrayWrite(pdipm->lambdai,&lambdai)); PetscCall(VecRestoreArrayWrite(pdipm->z,&z)); } PetscCall(VecRestoreArrayWrite(pdipm->X,&Xarr)); PetscFunctionReturn(0); } /* TaoSNESJacobian_PDIPM - Evaluate the Hessian matrix at X Input Parameter: snes - SNES context X - KKT Vector *ctx - pdipm context Output Parameter: J - Hessian matrix Jpre - Preconditioner */ static PetscErrorCode TaoSNESJacobian_PDIPM(SNES snes,Vec X, Mat J, Mat Jpre, void *ctx) { Tao tao=(Tao)ctx; TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscInt i,row,cols[2],Jrstart,rjstart,nc,j; const PetscInt *aj,*ranges,*Jranges,*rranges,*cranges; const PetscScalar *Xarr,*aa; PetscScalar vals[2]; PetscInt proc,nx_all,*nce_all=pdipm->nce_all; MPI_Comm comm; PetscMPIInt rank,size; Mat jac_equality_trans=pdipm->jac_equality_trans,jac_inequality_trans=pdipm->jac_inequality_trans; PetscFunctionBegin; PetscCall(PetscObjectGetComm((PetscObject)snes,&comm)); PetscCallMPI(MPI_Comm_rank(comm,&rank)); PetscCallMPI(MPI_Comm_rank(comm,&size)); PetscCall(MatGetOwnershipRanges(Jpre,&Jranges)); PetscCall(MatGetOwnershipRange(Jpre,&Jrstart,NULL)); PetscCall(MatGetOwnershipRangesColumn(tao->hessian,&rranges)); PetscCall(MatGetOwnershipRangesColumn(tao->hessian,&cranges)); PetscCall(VecGetArrayRead(X,&Xarr)); /* (1) insert Z and Ci to the 4th block of Jpre -- overwrite existing values */ if (pdipm->solve_symmetric_kkt) { /* 1 for eq 17 revised pdipm doc 0 for eq 18 (symmetric KKT) */ vals[0] = 1.0; for (i=0; i < pdipm->nci; i++) { row = Jrstart + pdipm->off_z + i; cols[0] = Jrstart + pdipm->off_lambdai + i; cols[1] = row; vals[1] = Xarr[pdipm->off_lambdai + i]/Xarr[pdipm->off_z + i]; PetscCall(MatSetValues(Jpre,1,&row,2,cols,vals,INSERT_VALUES)); } } else { for (i=0; i < pdipm->nci; i++) { row = Jrstart + pdipm->off_z + i; cols[0] = Jrstart + pdipm->off_lambdai + i; cols[1] = row; vals[0] = Xarr[pdipm->off_z + i]; vals[1] = Xarr[pdipm->off_lambdai + i]; PetscCall(MatSetValues(Jpre,1,&row,2,cols,vals,INSERT_VALUES)); } } /* (2) insert 2nd row block of Jpre: [ grad g, 0, 0, 0] */ if (pdipm->Ng) { PetscCall(MatGetOwnershipRange(tao->jacobian_equality,&rjstart,NULL)); for (i=0; ing; i++) { row = Jrstart + pdipm->off_lambdae + i; PetscCall(MatGetRow(tao->jacobian_equality,i+rjstart,&nc,&aj,&aa)); proc = 0; for (j=0; j < nc; j++) { while (aj[j] >= cranges[proc+1]) proc++; cols[0] = aj[j] - cranges[proc] + Jranges[proc]; PetscCall(MatSetValue(Jpre,row,cols[0],aa[j],INSERT_VALUES)); } PetscCall(MatRestoreRow(tao->jacobian_equality,i+rjstart,&nc,&aj,&aa)); if (pdipm->kkt_pd) { /* add shift \delta_c */ PetscCall(MatSetValue(Jpre,row,row,-pdipm->deltac,INSERT_VALUES)); } } } /* (3) insert 3rd row block of Jpre: [ -grad h, 0, deltac, I] */ if (pdipm->Nh) { PetscCall(MatGetOwnershipRange(tao->jacobian_inequality,&rjstart,NULL)); for (i=0; i < pdipm->nh; i++) { row = Jrstart + pdipm->off_lambdai + i; PetscCall(MatGetRow(tao->jacobian_inequality,i+rjstart,&nc,&aj,&aa)); proc = 0; for (j=0; j < nc; j++) { while (aj[j] >= cranges[proc+1]) proc++; cols[0] = aj[j] - cranges[proc] + Jranges[proc]; PetscCall(MatSetValue(Jpre,row,cols[0],-aa[j],INSERT_VALUES)); } PetscCall(MatRestoreRow(tao->jacobian_inequality,i+rjstart,&nc,&aj,&aa)); if (pdipm->kkt_pd) { /* add shift \delta_c */ PetscCall(MatSetValue(Jpre,row,row,-pdipm->deltac,INSERT_VALUES)); } } } /* (4) insert 1st row block of Jpre: [Wxx, grad g', -grad h', 0] */ if (pdipm->Ng) { /* grad g' */ PetscCall(MatTranspose(tao->jacobian_equality,MAT_REUSE_MATRIX,&jac_equality_trans)); } if (pdipm->Nh) { /* grad h' */ PetscCall(MatTranspose(tao->jacobian_inequality,MAT_REUSE_MATRIX,&jac_inequality_trans)); } PetscCall(VecPlaceArray(pdipm->x,Xarr)); PetscCall(TaoComputeHessian(tao,pdipm->x,tao->hessian,tao->hessian_pre)); PetscCall(VecResetArray(pdipm->x)); PetscCall(MatGetOwnershipRange(tao->hessian,&rjstart,NULL)); for (i=0; inx; i++) { row = Jrstart + i; /* insert Wxx = fxx + ... -- provided by user */ PetscCall(MatGetRow(tao->hessian,i+rjstart,&nc,&aj,&aa)); proc = 0; for (j=0; j < nc; j++) { while (aj[j] >= cranges[proc+1]) proc++; cols[0] = aj[j] - cranges[proc] + Jranges[proc]; if (row == cols[0] && pdipm->kkt_pd) { /* add shift deltaw to Wxx component */ PetscCall(MatSetValue(Jpre,row,cols[0],aa[j]+pdipm->deltaw,INSERT_VALUES)); } else { PetscCall(MatSetValue(Jpre,row,cols[0],aa[j],INSERT_VALUES)); } } PetscCall(MatRestoreRow(tao->hessian,i+rjstart,&nc,&aj,&aa)); /* insert grad g' */ if (pdipm->ng) { PetscCall(MatGetRow(jac_equality_trans,i+rjstart,&nc,&aj,&aa)); PetscCall(MatGetOwnershipRanges(tao->jacobian_equality,&ranges)); proc = 0; for (j=0; j < nc; j++) { /* find row ownership of */ while (aj[j] >= ranges[proc+1]) proc++; nx_all = rranges[proc+1] - rranges[proc]; cols[0] = aj[j] - ranges[proc] + Jranges[proc] + nx_all; PetscCall(MatSetValue(Jpre,row,cols[0],aa[j],INSERT_VALUES)); } PetscCall(MatRestoreRow(jac_equality_trans,i+rjstart,&nc,&aj,&aa)); } /* insert -grad h' */ if (pdipm->nh) { PetscCall(MatGetRow(jac_inequality_trans,i+rjstart,&nc,&aj,&aa)); PetscCall(MatGetOwnershipRanges(tao->jacobian_inequality,&ranges)); proc = 0; for (j=0; j < nc; j++) { /* find row ownership of */ while (aj[j] >= ranges[proc+1]) proc++; nx_all = rranges[proc+1] - rranges[proc]; cols[0] = aj[j] - ranges[proc] + Jranges[proc] + nx_all + nce_all[proc]; PetscCall(MatSetValue(Jpre,row,cols[0],-aa[j],INSERT_VALUES)); } PetscCall(MatRestoreRow(jac_inequality_trans,i+rjstart,&nc,&aj,&aa)); } } PetscCall(VecRestoreArrayRead(X,&Xarr)); /* (6) assemble Jpre and J */ PetscCall(MatAssemblyBegin(Jpre,MAT_FINAL_ASSEMBLY)); PetscCall(MatAssemblyEnd(Jpre,MAT_FINAL_ASSEMBLY)); if (J != Jpre) { PetscCall(MatAssemblyBegin(J,MAT_FINAL_ASSEMBLY)); PetscCall(MatAssemblyEnd(J,MAT_FINAL_ASSEMBLY)); } PetscFunctionReturn(0); } /* TaoSnesFunction_PDIPM - Evaluate KKT function at X Input Parameter: snes - SNES context X - KKT Vector *ctx - pdipm Output Parameter: F - Updated Lagrangian vector */ static PetscErrorCode TaoSNESFunction_PDIPM(SNES snes,Vec X,Vec F,void *ctx) { Tao tao=(Tao)ctx; TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscScalar *Farr; Vec x,L1; PetscInt i; const PetscScalar *Xarr,*carr,*zarr,*larr; PetscFunctionBegin; PetscCall(VecSet(F,0.0)); PetscCall(VecGetArrayRead(X,&Xarr)); PetscCall(VecGetArrayWrite(F,&Farr)); /* (0) Evaluate f, fx, gradG, gradH at X.x Note: pdipm->x is not changed below */ x = pdipm->x; PetscCall(VecPlaceArray(x,Xarr)); PetscCall(TaoPDIPMEvaluateFunctionsAndJacobians(tao,x)); /* Update ce, ci, and Jci at X.x */ PetscCall(TaoPDIPMUpdateConstraints(tao,x)); PetscCall(VecResetArray(x)); /* (1) L1 = fx + (gradG'*DE + Jce_xfixed'*lambdae_xfixed) - (gradH'*DI + Jci_xb'*lambdai_xb) */ L1 = pdipm->x; PetscCall(VecPlaceArray(L1,Farr)); /* L1 = 0.0 */ if (pdipm->Nci) { if (pdipm->Nh) { /* L1 += gradH'*DI. Note: tao->DI is not changed below */ PetscCall(VecPlaceArray(tao->DI,Xarr+pdipm->off_lambdai)); PetscCall(MatMultTransposeAdd(tao->jacobian_inequality,tao->DI,L1,L1)); PetscCall(VecResetArray(tao->DI)); } /* L1 += Jci_xb'*lambdai_xb */ PetscCall(VecPlaceArray(pdipm->lambdai_xb,Xarr+pdipm->off_lambdai+pdipm->nh)); PetscCall(MatMultTransposeAdd(pdipm->Jci_xb,pdipm->lambdai_xb,L1,L1)); PetscCall(VecResetArray(pdipm->lambdai_xb)); /* L1 = - (gradH'*DI + Jci_xb'*lambdai_xb) */ PetscCall(VecScale(L1,-1.0)); } /* L1 += fx */ PetscCall(VecAXPY(L1,1.0,tao->gradient)); if (pdipm->Nce) { if (pdipm->Ng) { /* L1 += gradG'*DE. Note: tao->DE is not changed below */ PetscCall(VecPlaceArray(tao->DE,Xarr+pdipm->off_lambdae)); PetscCall(MatMultTransposeAdd(tao->jacobian_equality,tao->DE,L1,L1)); PetscCall(VecResetArray(tao->DE)); } if (pdipm->Nxfixed) { /* L1 += Jce_xfixed'*lambdae_xfixed */ PetscCall(VecPlaceArray(pdipm->lambdae_xfixed,Xarr+pdipm->off_lambdae+pdipm->ng)); PetscCall(MatMultTransposeAdd(pdipm->Jce_xfixed,pdipm->lambdae_xfixed,L1,L1)); PetscCall(VecResetArray(pdipm->lambdae_xfixed)); } } PetscCall(VecResetArray(L1)); /* (2) L2 = ce(x) */ if (pdipm->Nce) { PetscCall(VecGetArrayRead(pdipm->ce,&carr)); for (i=0; ince; i++) Farr[pdipm->off_lambdae + i] = carr[i]; PetscCall(VecRestoreArrayRead(pdipm->ce,&carr)); } if (pdipm->Nci) { if (pdipm->solve_symmetric_kkt) { /* (3) L3 = z - ci(x); (4) L4 = Lambdai * e - mu/z *e */ PetscCall(VecGetArrayRead(pdipm->ci,&carr)); larr = Xarr+pdipm->off_lambdai; zarr = Xarr+pdipm->off_z; for (i=0; inci; i++) { Farr[pdipm->off_lambdai + i] = zarr[i] - carr[i]; Farr[pdipm->off_z + i] = larr[i] - pdipm->mu/zarr[i]; } PetscCall(VecRestoreArrayRead(pdipm->ci,&carr)); } else { /* (3) L3 = z - ci(x); (4) L4 = Z * Lambdai * e - mu * e */ PetscCall(VecGetArrayRead(pdipm->ci,&carr)); larr = Xarr+pdipm->off_lambdai; zarr = Xarr+pdipm->off_z; for (i=0; inci; i++) { Farr[pdipm->off_lambdai + i] = zarr[i] - carr[i]; Farr[pdipm->off_z + i] = zarr[i]*larr[i] - pdipm->mu; } PetscCall(VecRestoreArrayRead(pdipm->ci,&carr)); } } PetscCall(VecRestoreArrayRead(X,&Xarr)); PetscCall(VecRestoreArrayWrite(F,&Farr)); PetscFunctionReturn(0); } /* Evaluate F(X); then update update tao->gnorm0, tao->step = mu, tao->residual = norm2(F_x,F_z) and tao->cnorm = norm2(F_ce,F_ci). */ static PetscErrorCode TaoSNESFunction_PDIPM_residual(SNES snes,Vec X,Vec F,void *ctx) { Tao tao=(Tao)ctx; TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscScalar *Farr,*tmparr; Vec L1; PetscInt i; PetscReal res[2],cnorm[2]; const PetscScalar *Xarr=NULL; PetscFunctionBegin; PetscCall(TaoSNESFunction_PDIPM(snes,X,F,(void*)tao)); PetscCall(VecGetArrayWrite(F,&Farr)); PetscCall(VecGetArrayRead(X,&Xarr)); /* compute res[0] = norm2(F_x) */ L1 = pdipm->x; PetscCall(VecPlaceArray(L1,Farr)); PetscCall(VecNorm(L1,NORM_2,&res[0])); PetscCall(VecResetArray(L1)); /* compute res[1] = norm2(F_z), cnorm[1] = norm2(F_ci) */ if (pdipm->z) { if (pdipm->solve_symmetric_kkt) { PetscCall(VecPlaceArray(pdipm->z,Farr+pdipm->off_z)); if (pdipm->Nci) { PetscCall(VecGetArrayWrite(pdipm->z,&tmparr)); for (i=0; inci; i++) tmparr[i] *= Xarr[pdipm->off_z + i]; PetscCall(VecRestoreArrayWrite(pdipm->z,&tmparr)); } PetscCall(VecNorm(pdipm->z,NORM_2,&res[1])); if (pdipm->Nci) { PetscCall(VecGetArrayWrite(pdipm->z,&tmparr)); for (i=0; inci; i++) { tmparr[i] /= Xarr[pdipm->off_z + i]; } PetscCall(VecRestoreArrayWrite(pdipm->z,&tmparr)); } PetscCall(VecResetArray(pdipm->z)); } else { /* !solve_symmetric_kkt */ PetscCall(VecPlaceArray(pdipm->z,Farr+pdipm->off_z)); PetscCall(VecNorm(pdipm->z,NORM_2,&res[1])); PetscCall(VecResetArray(pdipm->z)); } PetscCall(VecPlaceArray(pdipm->ci,Farr+pdipm->off_lambdai)); PetscCall(VecNorm(pdipm->ci,NORM_2,&cnorm[1])); PetscCall(VecResetArray(pdipm->ci)); } else { res[1] = 0.0; cnorm[1] = 0.0; } /* compute cnorm[0] = norm2(F_ce) */ if (pdipm->Nce) { PetscCall(VecPlaceArray(pdipm->ce,Farr+pdipm->off_lambdae)); PetscCall(VecNorm(pdipm->ce,NORM_2,&cnorm[0])); PetscCall(VecResetArray(pdipm->ce)); } else cnorm[0] = 0.0; PetscCall(VecRestoreArrayWrite(F,&Farr)); PetscCall(VecRestoreArrayRead(X,&Xarr)); tao->gnorm0 = tao->residual; tao->residual = PetscSqrtReal(res[0]*res[0] + res[1]*res[1]); tao->cnorm = PetscSqrtReal(cnorm[0]*cnorm[0] + cnorm[1]*cnorm[1]); tao->step = pdipm->mu; PetscFunctionReturn(0); } /* KKTAddShifts - Check the inertia of Cholesky factor of KKT matrix. If it does not match the numbers of prime and dual variables, add shifts to the KKT matrix. */ static PetscErrorCode KKTAddShifts(Tao tao,SNES snes,Vec X) { TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; KSP ksp; PC pc; Mat Factor; PetscBool isCHOL; PetscInt nneg,nzero,npos; PetscFunctionBegin; /* Get the inertia of Cholesky factor */ PetscCall(SNESGetKSP(snes,&ksp)); PetscCall(KSPGetPC(ksp,&pc)); PetscCall(PetscObjectTypeCompare((PetscObject)pc,PCCHOLESKY,&isCHOL)); if (!isCHOL) PetscFunctionReturn(0); PetscCall(PCFactorGetMatrix(pc,&Factor)); PetscCall(MatGetInertia(Factor,&nneg,&nzero,&npos)); if (npos < pdipm->Nx+pdipm->Nci) { pdipm->deltaw = PetscMax(pdipm->lastdeltaw/3, 1.e-4*PETSC_MACHINE_EPSILON); PetscCall(PetscInfo(tao,"Test reduced deltaw=%g; previous MatInertia: nneg %D, nzero %D, npos %D(<%D)\n",(double)pdipm->deltaw,nneg,nzero,npos,pdipm->Nx+pdipm->Nci)); PetscCall(TaoSNESJacobian_PDIPM(snes,X, pdipm->K, pdipm->K, tao)); PetscCall(PCSetUp(pc)); PetscCall(MatGetInertia(Factor,&nneg,&nzero,&npos)); if (npos < pdipm->Nx+pdipm->Nci) { pdipm->deltaw = pdipm->lastdeltaw; /* in case reduction update does not help, this prevents that step from impacting increasing update */ while (npos < pdipm->Nx+pdipm->Nci && pdipm->deltaw <= 1./PETSC_SMALL) { /* increase deltaw */ PetscCall(PetscInfo(tao," deltaw=%g fails, MatInertia: nneg %D, nzero %D, npos %D(<%D)\n",(double)pdipm->deltaw,nneg,nzero,npos,pdipm->Nx+pdipm->Nci)); pdipm->deltaw = PetscMin(8*pdipm->deltaw,PetscPowReal(10,20)); PetscCall(TaoSNESJacobian_PDIPM(snes,X, pdipm->K, pdipm->K, tao)); PetscCall(PCSetUp(pc)); PetscCall(MatGetInertia(Factor,&nneg,&nzero,&npos)); } PetscCheck(pdipm->deltaw < 1./PETSC_SMALL,PetscObjectComm((PetscObject)tao),PETSC_ERR_CONV_FAILED,"Reached maximum delta w will not converge, try different initial x0"); PetscCall(PetscInfo(tao,"Updated deltaw %g\n",(double)pdipm->deltaw)); pdipm->lastdeltaw = pdipm->deltaw; pdipm->deltaw = 0.0; } } if (nzero) { /* Jacobian is singular */ if (pdipm->deltac == 0.0) { pdipm->deltac = PETSC_SQRT_MACHINE_EPSILON; } else { pdipm->deltac = pdipm->deltac*PetscPowReal(pdipm->mu,.25); } PetscCall(PetscInfo(tao,"Updated deltac=%g, MatInertia: nneg %D, nzero %D(!=0), npos %D\n",(double)pdipm->deltac,nneg,nzero,npos)); PetscCall(TaoSNESJacobian_PDIPM(snes,X, pdipm->K, pdipm->K, tao)); PetscCall(PCSetUp(pc)); PetscCall(MatGetInertia(Factor,&nneg,&nzero,&npos)); } PetscFunctionReturn(0); } /* PCPreSolve_PDIPM -- called betwee MatFactorNumeric() and MatSolve() */ PetscErrorCode PCPreSolve_PDIPM(PC pc,KSP ksp) { Tao tao; TAO_PDIPM *pdipm; PetscFunctionBegin; PetscCall(KSPGetApplicationContext(ksp,&tao)); pdipm = (TAO_PDIPM*)tao->data; PetscCall(KKTAddShifts(tao,pdipm->snes,pdipm->X)); PetscFunctionReturn(0); } /* SNESLineSearch_PDIPM - Custom line search used with PDIPM. Collective on TAO Notes: This routine employs a simple backtracking line-search to keep the slack variables (z) and inequality constraints Lagrange multipliers (lambdai) positive, i.e., z,lambdai >=0. It does this by calculating scalars alpha_p and alpha_d to keep z,lambdai non-negative. The decision (x), and the slack variables are updated as X = X - alpha_d*dx. The constraint multipliers are updated as Lambdai = Lambdai + alpha_p*dLambdai. The barrier parameter mu is also updated as mu = mu + z'lambdai/Nci */ static PetscErrorCode SNESLineSearch_PDIPM(SNESLineSearch linesearch,void *ctx) { Tao tao=(Tao)ctx; TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; SNES snes; Vec X,F,Y; PetscInt i,iter; PetscReal alpha_p=1.0,alpha_d=1.0,alpha[4]; PetscScalar *Xarr,*z,*lambdai,dot,*taosolarr; const PetscScalar *dXarr,*dz,*dlambdai; PetscFunctionBegin; PetscCall(SNESLineSearchGetSNES(linesearch,&snes)); PetscCall(SNESGetIterationNumber(snes,&iter)); PetscCall(SNESLineSearchSetReason(linesearch,SNES_LINESEARCH_SUCCEEDED)); PetscCall(SNESLineSearchGetVecs(linesearch,&X,&F,&Y,NULL,NULL)); PetscCall(VecGetArrayWrite(X,&Xarr)); PetscCall(VecGetArrayRead(Y,&dXarr)); z = Xarr + pdipm->off_z; dz = dXarr + pdipm->off_z; for (i=0; i < pdipm->nci; i++) { if (z[i] - dz[i] < 0.0) alpha_p = PetscMin(alpha_p, 0.9999*z[i]/dz[i]); } lambdai = Xarr + pdipm->off_lambdai; dlambdai = dXarr + pdipm->off_lambdai; for (i=0; inci; i++) { if (lambdai[i] - dlambdai[i] < 0.0) alpha_d = PetscMin(0.9999*lambdai[i]/dlambdai[i], alpha_d); } alpha[0] = alpha_p; alpha[1] = alpha_d; PetscCall(VecRestoreArrayRead(Y,&dXarr)); PetscCall(VecRestoreArrayWrite(X,&Xarr)); /* alpha = min(alpha) over all processes */ PetscCallMPI(MPI_Allreduce(alpha,alpha+2,2,MPIU_REAL,MPIU_MIN,PetscObjectComm((PetscObject)tao))); alpha_p = alpha[2]; alpha_d = alpha[3]; /* X = X - alpha * Y */ PetscCall(VecGetArrayWrite(X,&Xarr)); PetscCall(VecGetArrayRead(Y,&dXarr)); for (i=0; inx; i++) Xarr[i] -= alpha_p * dXarr[i]; for (i=0; ince; i++) Xarr[i+pdipm->off_lambdae] -= alpha_d * dXarr[i+pdipm->off_lambdae]; for (i=0; inci; i++) { Xarr[i+pdipm->off_lambdai] -= alpha_d * dXarr[i+pdipm->off_lambdai]; Xarr[i+pdipm->off_z] -= alpha_p * dXarr[i+pdipm->off_z]; } PetscCall(VecGetArrayWrite(tao->solution,&taosolarr)); PetscCall(PetscMemcpy(taosolarr,Xarr,pdipm->nx*sizeof(PetscScalar))); PetscCall(VecRestoreArrayWrite(tao->solution,&taosolarr)); PetscCall(VecRestoreArrayWrite(X,&Xarr)); PetscCall(VecRestoreArrayRead(Y,&dXarr)); /* Update mu = mu_update_factor * dot(z,lambdai)/pdipm->nci at updated X */ if (pdipm->z) { PetscCall(VecDot(pdipm->z,pdipm->lambdai,&dot)); } else dot = 0.0; /* if (PetscAbsReal(pdipm->gradL) < 0.9*pdipm->mu) */ pdipm->mu = pdipm->mu_update_factor * dot/pdipm->Nci; /* Update F; get tao->residual and tao->cnorm */ PetscCall(TaoSNESFunction_PDIPM_residual(snes,X,F,(void*)tao)); tao->niter++; PetscCall(TaoLogConvergenceHistory(tao,pdipm->obj,tao->residual,tao->cnorm,tao->niter)); PetscCall(TaoMonitor(tao,tao->niter,pdipm->obj,tao->residual,tao->cnorm,pdipm->mu)); PetscCall((*tao->ops->convergencetest)(tao,tao->cnvP)); if (tao->reason) { PetscCall(SNESSetConvergedReason(snes,SNES_CONVERGED_FNORM_ABS)); } PetscFunctionReturn(0); } /* TaoSolve_PDIPM Input Parameter: tao - TAO context Output Parameter: tao - TAO context */ PetscErrorCode TaoSolve_PDIPM(Tao tao) { TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; SNESLineSearch linesearch; /* SNESLineSearch context */ Vec dummy; PetscFunctionBegin; PetscCheck(tao->constraints_equality || tao->constraints_inequality,PetscObjectComm((PetscObject)tao),PETSC_ERR_ARG_NULL,"Equality and inequality constraints are not set. Either set them or switch to a different algorithm"); /* Initialize all variables */ PetscCall(TaoPDIPMInitializeSolution(tao)); /* Set linesearch */ PetscCall(SNESGetLineSearch(pdipm->snes,&linesearch)); PetscCall(SNESLineSearchSetType(linesearch,SNESLINESEARCHSHELL)); PetscCall(SNESLineSearchShellSetUserFunc(linesearch,SNESLineSearch_PDIPM,tao)); PetscCall(SNESLineSearchSetFromOptions(linesearch)); tao->reason = TAO_CONTINUE_ITERATING; /* -tao_monitor for iteration 0 and check convergence */ PetscCall(VecDuplicate(pdipm->X,&dummy)); PetscCall(TaoSNESFunction_PDIPM_residual(pdipm->snes,pdipm->X,dummy,(void*)tao)); PetscCall(TaoLogConvergenceHistory(tao,pdipm->obj,tao->residual,tao->cnorm,tao->niter)); PetscCall(TaoMonitor(tao,tao->niter,pdipm->obj,tao->residual,tao->cnorm,pdipm->mu)); PetscCall(VecDestroy(&dummy)); PetscCall((*tao->ops->convergencetest)(tao,tao->cnvP)); if (tao->reason) { PetscCall(SNESSetConvergedReason(pdipm->snes,SNES_CONVERGED_FNORM_ABS)); } while (tao->reason == TAO_CONTINUE_ITERATING) { SNESConvergedReason reason; PetscCall(SNESSolve(pdipm->snes,NULL,pdipm->X)); /* Check SNES convergence */ PetscCall(SNESGetConvergedReason(pdipm->snes,&reason)); if (reason < 0) { PetscCall(PetscPrintf(PetscObjectComm((PetscObject)pdipm->snes),"SNES solve did not converged due to reason %D\n",reason)); } /* Check TAO convergence */ PetscCheck(!PetscIsInfOrNanReal(pdipm->obj),PETSC_COMM_SELF,PETSC_ERR_SUP,"User-provided compute function generated Inf or NaN"); } PetscFunctionReturn(0); } /* TaoView_PDIPM - View PDIPM Input Parameter: tao - TAO object viewer - PetscViewer Output: */ PetscErrorCode TaoView_PDIPM(Tao tao,PetscViewer viewer) { TAO_PDIPM *pdipm = (TAO_PDIPM *)tao->data; PetscFunctionBegin; tao->constrained = PETSC_TRUE; PetscCall(PetscViewerASCIIPushTab(viewer)); PetscCall(PetscViewerASCIIPrintf(viewer,"Number of prime=%D, Number of dual=%D\n",pdipm->Nx+pdipm->Nci,pdipm->Nce + pdipm->Nci)); if (pdipm->kkt_pd) { PetscCall(PetscViewerASCIIPrintf(viewer,"KKT shifts deltaw=%g, deltac=%g\n",(double)pdipm->deltaw,(double)pdipm->deltac)); } PetscCall(PetscViewerASCIIPopTab(viewer)); PetscFunctionReturn(0); } /* TaoSetup_PDIPM - Sets up tao and pdipm Input Parameter: tao - TAO object Output: pdipm - initialized object */ PetscErrorCode TaoSetup_PDIPM(Tao tao) { TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscErrorCode ierr; MPI_Comm comm; PetscMPIInt size; PetscInt row,col,Jcrstart,Jcrend,k,tmp,nc,proc,*nh_all,*ng_all; PetscInt offset,*xa,*xb,i,j,rstart,rend; PetscScalar one=1.0,neg_one=-1.0; const PetscInt *cols,*rranges,*cranges,*aj,*ranges; const PetscScalar *aa,*Xarr; Mat J,jac_equality_trans,jac_inequality_trans; Mat Jce_xfixed_trans,Jci_xb_trans; PetscInt *dnz,*onz,rjstart,nx_all,*nce_all,*Jranges,cols1[2]; PetscFunctionBegin; PetscCall(PetscObjectGetComm((PetscObject)tao,&comm)); PetscCallMPI(MPI_Comm_size(comm,&size)); /* (1) Setup Bounds and create Tao vectors */ PetscCall(TaoPDIPMSetUpBounds(tao)); if (!tao->gradient) { PetscCall(VecDuplicate(tao->solution,&tao->gradient)); PetscCall(VecDuplicate(tao->solution,&tao->stepdirection)); } /* (2) Get sizes */ /* Size of vector x - This is set by TaoSetSolution */ PetscCall(VecGetSize(tao->solution,&pdipm->Nx)); PetscCall(VecGetLocalSize(tao->solution,&pdipm->nx)); /* Size of equality constraints and vectors */ if (tao->constraints_equality) { PetscCall(VecGetSize(tao->constraints_equality,&pdipm->Ng)); PetscCall(VecGetLocalSize(tao->constraints_equality,&pdipm->ng)); } else { pdipm->ng = pdipm->Ng = 0; } pdipm->nce = pdipm->ng + pdipm->nxfixed; pdipm->Nce = pdipm->Ng + pdipm->Nxfixed; /* Size of inequality constraints and vectors */ if (tao->constraints_inequality) { PetscCall(VecGetSize(tao->constraints_inequality,&pdipm->Nh)); PetscCall(VecGetLocalSize(tao->constraints_inequality,&pdipm->nh)); } else { pdipm->nh = pdipm->Nh = 0; } pdipm->nci = pdipm->nh + pdipm->nxlb + pdipm->nxub + 2*pdipm->nxbox; pdipm->Nci = pdipm->Nh + pdipm->Nxlb + pdipm->Nxub + 2*pdipm->Nxbox; /* Full size of the KKT system to be solved */ pdipm->n = pdipm->nx + pdipm->nce + 2*pdipm->nci; pdipm->N = pdipm->Nx + pdipm->Nce + 2*pdipm->Nci; /* (3) Offsets for subvectors */ pdipm->off_lambdae = pdipm->nx; pdipm->off_lambdai = pdipm->off_lambdae + pdipm->nce; pdipm->off_z = pdipm->off_lambdai + pdipm->nci; /* (4) Create vectors and subvectors */ /* Ce and Ci vectors */ PetscCall(VecCreate(comm,&pdipm->ce)); PetscCall(VecSetSizes(pdipm->ce,pdipm->nce,pdipm->Nce)); PetscCall(VecSetFromOptions(pdipm->ce)); PetscCall(VecCreate(comm,&pdipm->ci)); PetscCall(VecSetSizes(pdipm->ci,pdipm->nci,pdipm->Nci)); PetscCall(VecSetFromOptions(pdipm->ci)); /* X=[x; lambdae; lambdai; z] for the big KKT system */ PetscCall(VecCreate(comm,&pdipm->X)); PetscCall(VecSetSizes(pdipm->X,pdipm->n,pdipm->N)); PetscCall(VecSetFromOptions(pdipm->X)); /* Subvectors; they share local arrays with X */ PetscCall(VecGetArrayRead(pdipm->X,&Xarr)); /* x shares local array with X.x */ if (pdipm->Nx) { PetscCall(VecCreateMPIWithArray(comm,1,pdipm->nx,pdipm->Nx,Xarr,&pdipm->x)); } /* lambdae shares local array with X.lambdae */ if (pdipm->Nce) { PetscCall(VecCreateMPIWithArray(comm,1,pdipm->nce,pdipm->Nce,Xarr+pdipm->off_lambdae,&pdipm->lambdae)); } /* tao->DE shares local array with X.lambdae_g */ if (pdipm->Ng) { PetscCall(VecCreateMPIWithArray(comm,1,pdipm->ng,pdipm->Ng,Xarr+pdipm->off_lambdae,&tao->DE)); PetscCall(VecCreate(comm,&pdipm->lambdae_xfixed)); PetscCall(VecSetSizes(pdipm->lambdae_xfixed,pdipm->nxfixed,PETSC_DECIDE)); PetscCall(VecSetFromOptions(pdipm->lambdae_xfixed)); } if (pdipm->Nci) { /* lambdai shares local array with X.lambdai */ PetscCall(VecCreateMPIWithArray(comm,1,pdipm->nci,pdipm->Nci,Xarr+pdipm->off_lambdai,&pdipm->lambdai)); /* z for slack variables; it shares local array with X.z */ PetscCall(VecCreateMPIWithArray(comm,1,pdipm->nci,pdipm->Nci,Xarr+pdipm->off_z,&pdipm->z)); } /* tao->DI which shares local array with X.lambdai_h */ if (pdipm->Nh) { PetscCall(VecCreateMPIWithArray(comm,1,pdipm->nh,pdipm->Nh,Xarr+pdipm->off_lambdai,&tao->DI)); } PetscCall(VecCreate(comm,&pdipm->lambdai_xb)); PetscCall(VecSetSizes(pdipm->lambdai_xb,(pdipm->nci - pdipm->nh),PETSC_DECIDE)); PetscCall(VecSetFromOptions(pdipm->lambdai_xb)); PetscCall(VecRestoreArrayRead(pdipm->X,&Xarr)); /* (5) Create Jacobians Jce_xfixed and Jci */ /* (5.1) PDIPM Jacobian of equality bounds cebound(x) = J_nxfixed */ if (pdipm->Nxfixed) { /* Create Jce_xfixed */ PetscCall(MatCreate(comm,&pdipm->Jce_xfixed)); PetscCall(MatSetSizes(pdipm->Jce_xfixed,pdipm->nxfixed,pdipm->nx,PETSC_DECIDE,pdipm->Nx)); PetscCall(MatSetFromOptions(pdipm->Jce_xfixed)); PetscCall(MatSeqAIJSetPreallocation(pdipm->Jce_xfixed,1,NULL)); PetscCall(MatMPIAIJSetPreallocation(pdipm->Jce_xfixed,1,NULL,1,NULL)); PetscCall(MatGetOwnershipRange(pdipm->Jce_xfixed,&Jcrstart,&Jcrend)); PetscCall(ISGetIndices(pdipm->isxfixed,&cols)); k = 0; for (row = Jcrstart; row < Jcrend; row++) { PetscCall(MatSetValues(pdipm->Jce_xfixed,1,&row,1,cols+k,&one,INSERT_VALUES)); k++; } PetscCall(ISRestoreIndices(pdipm->isxfixed, &cols)); PetscCall(MatAssemblyBegin(pdipm->Jce_xfixed,MAT_FINAL_ASSEMBLY)); PetscCall(MatAssemblyEnd(pdipm->Jce_xfixed,MAT_FINAL_ASSEMBLY)); } /* (5.2) PDIPM inequality Jacobian Jci = [tao->jacobian_inequality; ...] */ PetscCall(MatCreate(comm,&pdipm->Jci_xb)); PetscCall(MatSetSizes(pdipm->Jci_xb,pdipm->nci-pdipm->nh,pdipm->nx,PETSC_DECIDE,pdipm->Nx)); PetscCall(MatSetFromOptions(pdipm->Jci_xb)); PetscCall(MatSeqAIJSetPreallocation(pdipm->Jci_xb,1,NULL)); PetscCall(MatMPIAIJSetPreallocation(pdipm->Jci_xb,1,NULL,1,NULL)); PetscCall(MatGetOwnershipRange(pdipm->Jci_xb,&Jcrstart,&Jcrend)); offset = Jcrstart; if (pdipm->Nxub) { /* Add xub to Jci_xb */ PetscCall(ISGetIndices(pdipm->isxub,&cols)); k = 0; for (row = offset; row < offset + pdipm->nxub; row++) { PetscCall(MatSetValues(pdipm->Jci_xb,1,&row,1,cols+k,&neg_one,INSERT_VALUES)); k++; } PetscCall(ISRestoreIndices(pdipm->isxub, &cols)); } if (pdipm->Nxlb) { /* Add xlb to Jci_xb */ PetscCall(ISGetIndices(pdipm->isxlb,&cols)); k = 0; offset += pdipm->nxub; for (row = offset; row < offset + pdipm->nxlb; row++) { PetscCall(MatSetValues(pdipm->Jci_xb,1,&row,1,cols+k,&one,INSERT_VALUES)); k++; } PetscCall(ISRestoreIndices(pdipm->isxlb, &cols)); } /* Add xbox to Jci_xb */ if (pdipm->Nxbox) { PetscCall(ISGetIndices(pdipm->isxbox,&cols)); k = 0; offset += pdipm->nxlb; for (row = offset; row < offset + pdipm->nxbox; row++) { PetscCall(MatSetValues(pdipm->Jci_xb,1,&row,1,cols+k,&neg_one,INSERT_VALUES)); tmp = row + pdipm->nxbox; PetscCall(MatSetValues(pdipm->Jci_xb,1,&tmp,1,cols+k,&one,INSERT_VALUES)); k++; } PetscCall(ISRestoreIndices(pdipm->isxbox, &cols)); } PetscCall(MatAssemblyBegin(pdipm->Jci_xb,MAT_FINAL_ASSEMBLY)); PetscCall(MatAssemblyEnd(pdipm->Jci_xb,MAT_FINAL_ASSEMBLY)); /* PetscCall(MatView(pdipm->Jci_xb,PETSC_VIEWER_STDOUT_WORLD)); */ /* (6) Set up ISs for PC Fieldsplit */ if (pdipm->solve_reduced_kkt) { PetscCall(PetscMalloc2(pdipm->nx+pdipm->nce,&xa,2*pdipm->nci,&xb)); for (i=0; i < pdipm->nx + pdipm->nce; i++) xa[i] = i; for (i=0; i < 2*pdipm->nci; i++) xb[i] = pdipm->off_lambdai + i; PetscCall(ISCreateGeneral(comm,pdipm->nx+pdipm->nce,xa,PETSC_OWN_POINTER,&pdipm->is1)); PetscCall(ISCreateGeneral(comm,2*pdipm->nci,xb,PETSC_OWN_POINTER,&pdipm->is2)); } /* (7) Gather offsets from all processes */ PetscCall(PetscMalloc1(size,&pdipm->nce_all)); /* Get rstart of KKT matrix */ PetscCallMPI(MPI_Scan(&pdipm->n,&rstart,1,MPIU_INT,MPI_SUM,comm)); rstart -= pdipm->n; PetscCallMPI(MPI_Allgather(&pdipm->nce,1,MPIU_INT,pdipm->nce_all,1,MPIU_INT,comm)); PetscCall(PetscMalloc3(size,&ng_all,size,&nh_all,size,&Jranges)); PetscCallMPI(MPI_Allgather(&rstart,1,MPIU_INT,Jranges,1,MPIU_INT,comm)); PetscCallMPI(MPI_Allgather(&pdipm->nh,1,MPIU_INT,nh_all,1,MPIU_INT,comm)); PetscCallMPI(MPI_Allgather(&pdipm->ng,1,MPIU_INT,ng_all,1,MPIU_INT,comm)); PetscCall(MatGetOwnershipRanges(tao->hessian,&rranges)); PetscCall(MatGetOwnershipRangesColumn(tao->hessian,&cranges)); if (pdipm->Ng) { PetscCall(TaoComputeJacobianEquality(tao,tao->solution,tao->jacobian_equality,tao->jacobian_equality_pre)); PetscCall(MatTranspose(tao->jacobian_equality,MAT_INITIAL_MATRIX,&pdipm->jac_equality_trans)); } if (pdipm->Nh) { PetscCall(TaoComputeJacobianInequality(tao,tao->solution,tao->jacobian_inequality,tao->jacobian_inequality_pre)); PetscCall(MatTranspose(tao->jacobian_inequality,MAT_INITIAL_MATRIX,&pdipm->jac_inequality_trans)); } /* Count dnz,onz for preallocation of KKT matrix */ jac_equality_trans = pdipm->jac_equality_trans; jac_inequality_trans = pdipm->jac_inequality_trans; nce_all = pdipm->nce_all; if (pdipm->Nxfixed) { PetscCall(MatTranspose(pdipm->Jce_xfixed,MAT_INITIAL_MATRIX,&Jce_xfixed_trans)); } PetscCall(MatTranspose(pdipm->Jci_xb,MAT_INITIAL_MATRIX,&Jci_xb_trans)); ierr = MatPreallocateInitialize(comm,pdipm->n,pdipm->n,dnz,onz);PetscCall(ierr); /* 1st row block of KKT matrix: [Wxx; gradCe'; -gradCi'; 0] */ PetscCall(TaoPDIPMEvaluateFunctionsAndJacobians(tao,pdipm->x)); PetscCall(TaoComputeHessian(tao,tao->solution,tao->hessian,tao->hessian_pre)); /* Insert tao->hessian */ PetscCall(MatGetOwnershipRange(tao->hessian,&rjstart,NULL)); for (i=0; inx; i++) { row = rstart + i; PetscCall(MatGetRow(tao->hessian,i+rjstart,&nc,&aj,NULL)); proc = 0; for (j=0; j < nc; j++) { while (aj[j] >= cranges[proc+1]) proc++; col = aj[j] - cranges[proc] + Jranges[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } PetscCall(MatRestoreRow(tao->hessian,i+rjstart,&nc,&aj,NULL)); if (pdipm->ng) { /* Insert grad g' */ PetscCall(MatGetRow(jac_equality_trans,i+rjstart,&nc,&aj,NULL)); PetscCall(MatGetOwnershipRanges(tao->jacobian_equality,&ranges)); proc = 0; for (j=0; j < nc; j++) { /* find row ownership of */ while (aj[j] >= ranges[proc+1]) proc++; nx_all = rranges[proc+1] - rranges[proc]; col = aj[j] - ranges[proc] + Jranges[proc] + nx_all; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } PetscCall(MatRestoreRow(jac_equality_trans,i+rjstart,&nc,&aj,NULL)); } /* Insert Jce_xfixed^T' */ if (pdipm->nxfixed) { PetscCall(MatGetRow(Jce_xfixed_trans,i+rjstart,&nc,&aj,NULL)); PetscCall(MatGetOwnershipRanges(pdipm->Jce_xfixed,&ranges)); proc = 0; for (j=0; j < nc; j++) { /* find row ownership of */ while (aj[j] >= ranges[proc+1]) proc++; nx_all = rranges[proc+1] - rranges[proc]; col = aj[j] - ranges[proc] + Jranges[proc] + nx_all + ng_all[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } PetscCall(MatRestoreRow(Jce_xfixed_trans,i+rjstart,&nc,&aj,NULL)); } if (pdipm->nh) { /* Insert -grad h' */ PetscCall(MatGetRow(jac_inequality_trans,i+rjstart,&nc,&aj,NULL)); PetscCall(MatGetOwnershipRanges(tao->jacobian_inequality,&ranges)); proc = 0; for (j=0; j < nc; j++) { /* find row ownership of */ while (aj[j] >= ranges[proc+1]) proc++; nx_all = rranges[proc+1] - rranges[proc]; col = aj[j] - ranges[proc] + Jranges[proc] + nx_all + nce_all[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } PetscCall(MatRestoreRow(jac_inequality_trans,i+rjstart,&nc,&aj,NULL)); } /* Insert Jci_xb^T' */ PetscCall(MatGetRow(Jci_xb_trans,i+rjstart,&nc,&aj,NULL)); PetscCall(MatGetOwnershipRanges(pdipm->Jci_xb,&ranges)); proc = 0; for (j=0; j < nc; j++) { /* find row ownership of */ while (aj[j] >= ranges[proc+1]) proc++; nx_all = rranges[proc+1] - rranges[proc]; col = aj[j] - ranges[proc] + Jranges[proc] + nx_all + nce_all[proc] + nh_all[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } PetscCall(MatRestoreRow(Jci_xb_trans,i+rjstart,&nc,&aj,NULL)); } /* 2nd Row block of KKT matrix: [grad Ce, deltac*I, 0, 0] */ if (pdipm->Ng) { PetscCall(MatGetOwnershipRange(tao->jacobian_equality,&rjstart,NULL)); for (i=0; i < pdipm->ng; i++) { row = rstart + pdipm->off_lambdae + i; PetscCall(MatGetRow(tao->jacobian_equality,i+rjstart,&nc,&aj,NULL)); proc = 0; for (j=0; j < nc; j++) { while (aj[j] >= cranges[proc+1]) proc++; col = aj[j] - cranges[proc] + Jranges[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); /* grad g */ } PetscCall(MatRestoreRow(tao->jacobian_equality,i+rjstart,&nc,&aj,NULL)); } } /* Jce_xfixed */ if (pdipm->Nxfixed) { PetscCall(MatGetOwnershipRange(pdipm->Jce_xfixed,&Jcrstart,NULL)); for (i=0; i < (pdipm->nce - pdipm->ng); i++) { row = rstart + pdipm->off_lambdae + pdipm->ng + i; PetscCall(MatGetRow(pdipm->Jce_xfixed,i+Jcrstart,&nc,&cols,NULL)); PetscCheck(nc == 1,PETSC_COMM_SELF,PETSC_ERR_SUP,"nc != 1"); proc = 0; j = 0; while (cols[j] >= cranges[proc+1]) proc++; col = cols[j] - cranges[proc] + Jranges[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); PetscCall(MatRestoreRow(pdipm->Jce_xfixed,i+Jcrstart,&nc,&cols,NULL)); } } /* 3rd Row block of KKT matrix: [ gradCi, 0, deltac*I, -I] */ if (pdipm->Nh) { PetscCall(MatGetOwnershipRange(tao->jacobian_inequality,&rjstart,NULL)); for (i=0; i < pdipm->nh; i++) { row = rstart + pdipm->off_lambdai + i; PetscCall(MatGetRow(tao->jacobian_inequality,i+rjstart,&nc,&aj,NULL)); proc = 0; for (j=0; j < nc; j++) { while (aj[j] >= cranges[proc+1]) proc++; col = aj[j] - cranges[proc] + Jranges[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); /* grad h */ } PetscCall(MatRestoreRow(tao->jacobian_inequality,i+rjstart,&nc,&aj,NULL)); } /* I */ for (i=0; i < pdipm->nh; i++) { row = rstart + pdipm->off_lambdai + i; col = rstart + pdipm->off_z + i; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } } /* Jci_xb */ PetscCall(MatGetOwnershipRange(pdipm->Jci_xb,&Jcrstart,NULL)); for (i=0; i < (pdipm->nci - pdipm->nh); i++) { row = rstart + pdipm->off_lambdai + pdipm->nh + i; PetscCall(MatGetRow(pdipm->Jci_xb,i+Jcrstart,&nc,&cols,NULL)); PetscCheck(nc == 1,PETSC_COMM_SELF,PETSC_ERR_SUP,"nc != 1"); proc = 0; for (j=0; j < nc; j++) { while (cols[j] >= cranges[proc+1]) proc++; col = cols[j] - cranges[proc] + Jranges[proc]; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } PetscCall(MatRestoreRow(pdipm->Jci_xb,i+Jcrstart,&nc,&cols,NULL)); /* I */ col = rstart + pdipm->off_z + pdipm->nh + i; PetscCall(MatPreallocateSet(row,1,&col,dnz,onz)); } /* 4-th Row block of KKT matrix: Z and Ci */ for (i=0; i < pdipm->nci; i++) { row = rstart + pdipm->off_z + i; cols1[0] = rstart + pdipm->off_lambdai + i; cols1[1] = row; PetscCall(MatPreallocateSet(row,2,cols1,dnz,onz)); } /* diagonal entry */ for (i=0; in; i++) dnz[i]++; /* diagonal entry */ /* Create KKT matrix */ PetscCall(MatCreate(comm,&J)); PetscCall(MatSetSizes(J,pdipm->n,pdipm->n,PETSC_DECIDE,PETSC_DECIDE)); PetscCall(MatSetFromOptions(J)); PetscCall(MatSeqAIJSetPreallocation(J,0,dnz)); PetscCall(MatMPIAIJSetPreallocation(J,0,dnz,0,onz)); ierr = MatPreallocateFinalize(dnz,onz);PetscCall(ierr); pdipm->K = J; /* (8) Insert constant entries to K */ /* Set 0.0 to diagonal of K, so that the solver does not complain *about missing diagonal value */ PetscCall(MatGetOwnershipRange(J,&rstart,&rend)); for (i=rstart; ikkt_pd) { for (i=0; inh; i++) { row = rstart + i; PetscCall(MatSetValue(J,row,row,pdipm->deltaw,INSERT_VALUES)); } } /* Row block of K: [ grad Ce, 0, 0, 0] */ if (pdipm->Nxfixed) { PetscCall(MatGetOwnershipRange(pdipm->Jce_xfixed,&Jcrstart,NULL)); for (i=0; i < (pdipm->nce - pdipm->ng); i++) { row = rstart + pdipm->off_lambdae + pdipm->ng + i; PetscCall(MatGetRow(pdipm->Jce_xfixed,i+Jcrstart,&nc,&cols,&aa)); proc = 0; for (j=0; j < nc; j++) { while (cols[j] >= cranges[proc+1]) proc++; col = cols[j] - cranges[proc] + Jranges[proc]; PetscCall(MatSetValue(J,row,col,aa[j],INSERT_VALUES)); /* grad Ce */ PetscCall(MatSetValue(J,col,row,aa[j],INSERT_VALUES)); /* grad Ce' */ } PetscCall(MatRestoreRow(pdipm->Jce_xfixed,i+Jcrstart,&nc,&cols,&aa)); } } /* Row block of K: [ -grad Ci, 0, 0, I] */ PetscCall(MatGetOwnershipRange(pdipm->Jci_xb,&Jcrstart,NULL)); for (i=0; i < pdipm->nci - pdipm->nh; i++) { row = rstart + pdipm->off_lambdai + pdipm->nh + i; PetscCall(MatGetRow(pdipm->Jci_xb,i+Jcrstart,&nc,&cols,&aa)); proc = 0; for (j=0; j < nc; j++) { while (cols[j] >= cranges[proc+1]) proc++; col = cols[j] - cranges[proc] + Jranges[proc]; PetscCall(MatSetValue(J,col,row,-aa[j],INSERT_VALUES)); PetscCall(MatSetValue(J,row,col,-aa[j],INSERT_VALUES)); } PetscCall(MatRestoreRow(pdipm->Jci_xb,i+Jcrstart,&nc,&cols,&aa)); col = rstart + pdipm->off_z + pdipm->nh + i; PetscCall(MatSetValue(J,row,col,1,INSERT_VALUES)); } for (i=0; i < pdipm->nh; i++) { row = rstart + pdipm->off_lambdai + i; col = rstart + pdipm->off_z + i; PetscCall(MatSetValue(J,row,col,1,INSERT_VALUES)); } /* Row block of K: [ 0, 0, I, ...] */ for (i=0; i < pdipm->nci; i++) { row = rstart + pdipm->off_z + i; col = rstart + pdipm->off_lambdai + i; PetscCall(MatSetValue(J,row,col,1,INSERT_VALUES)); } if (pdipm->Nxfixed) { PetscCall(MatDestroy(&Jce_xfixed_trans)); } PetscCall(MatDestroy(&Jci_xb_trans)); PetscCall(PetscFree3(ng_all,nh_all,Jranges)); /* (9) Set up nonlinear solver SNES */ PetscCall(SNESSetFunction(pdipm->snes,NULL,TaoSNESFunction_PDIPM,(void*)tao)); PetscCall(SNESSetJacobian(pdipm->snes,J,J,TaoSNESJacobian_PDIPM,(void*)tao)); if (pdipm->solve_reduced_kkt) { PC pc; PetscCall(KSPGetPC(tao->ksp,&pc)); PetscCall(PCSetType(pc,PCFIELDSPLIT)); PetscCall(PCFieldSplitSetType(pc,PC_COMPOSITE_SCHUR)); PetscCall(PCFieldSplitSetIS(pc,"2",pdipm->is2)); PetscCall(PCFieldSplitSetIS(pc,"1",pdipm->is1)); } PetscCall(SNESSetFromOptions(pdipm->snes)); /* (10) Setup PCPreSolve() for pdipm->solve_symmetric_kkt */ if (pdipm->solve_symmetric_kkt) { KSP ksp; PC pc; PetscBool isCHOL; PetscCall(SNESGetKSP(pdipm->snes,&ksp)); PetscCall(KSPGetPC(ksp,&pc)); PetscCall(PCSetPreSolve(pc,PCPreSolve_PDIPM)); PetscCall(PetscObjectTypeCompare((PetscObject)pc,PCCHOLESKY,&isCHOL)); if (isCHOL) { Mat Factor; PetscBool isMUMPS; PetscCall(PCFactorGetMatrix(pc,&Factor)); PetscCall(PetscObjectTypeCompare((PetscObject)Factor,"mumps",&isMUMPS)); if (isMUMPS) { /* must set mumps ICNTL(13)=1 and ICNTL(24)=1 to call MatGetInertia() */ #if defined(PETSC_HAVE_MUMPS) PetscCall(MatMumpsSetIcntl(Factor,24,1)); /* detection of null pivot rows */ if (size > 1) { PetscCall(MatMumpsSetIcntl(Factor,13,1)); /* parallelism of the root node (enable ScaLAPACK) and its splitting */ } #else SETERRQ(PetscObjectComm((PetscObject)tao),PETSC_ERR_SUP,"Requires external package MUMPS"); #endif } } } PetscFunctionReturn(0); } /* TaoDestroy_PDIPM - Destroys the pdipm object Input: full pdipm Output: Destroyed pdipm */ PetscErrorCode TaoDestroy_PDIPM(Tao tao) { TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscFunctionBegin; /* Freeing Vectors assocaiated with KKT (X) */ PetscCall(VecDestroy(&pdipm->x)); /* Solution x */ PetscCall(VecDestroy(&pdipm->lambdae)); /* Equality constraints lagrangian multiplier*/ PetscCall(VecDestroy(&pdipm->lambdai)); /* Inequality constraints lagrangian multiplier*/ PetscCall(VecDestroy(&pdipm->z)); /* Slack variables */ PetscCall(VecDestroy(&pdipm->X)); /* Big KKT system vector [x; lambdae; lambdai; z] */ /* work vectors */ PetscCall(VecDestroy(&pdipm->lambdae_xfixed)); PetscCall(VecDestroy(&pdipm->lambdai_xb)); /* Legrangian equality and inequality Vec */ PetscCall(VecDestroy(&pdipm->ce)); /* Vec of equality constraints */ PetscCall(VecDestroy(&pdipm->ci)); /* Vec of inequality constraints */ /* Matrices */ PetscCall(MatDestroy(&pdipm->Jce_xfixed)); PetscCall(MatDestroy(&pdipm->Jci_xb)); /* Jacobian of inequality constraints Jci = [tao->jacobian_inequality ; J(nxub); J(nxlb); J(nxbx)] */ PetscCall(MatDestroy(&pdipm->K)); /* Index Sets */ if (pdipm->Nxub) { PetscCall(ISDestroy(&pdipm->isxub)); /* Finite upper bound only -inf < x < ub */ } if (pdipm->Nxlb) { PetscCall(ISDestroy(&pdipm->isxlb)); /* Finite lower bound only lb <= x < inf */ } if (pdipm->Nxfixed) { PetscCall(ISDestroy(&pdipm->isxfixed)); /* Fixed variables lb = x = ub */ } if (pdipm->Nxbox) { PetscCall(ISDestroy(&pdipm->isxbox)); /* Boxed variables lb <= x <= ub */ } if (pdipm->Nxfree) { PetscCall(ISDestroy(&pdipm->isxfree)); /* Free variables -inf <= x <= inf */ } if (pdipm->solve_reduced_kkt) { PetscCall(ISDestroy(&pdipm->is1)); PetscCall(ISDestroy(&pdipm->is2)); } /* SNES */ PetscCall(SNESDestroy(&pdipm->snes)); /* Nonlinear solver */ PetscCall(PetscFree(pdipm->nce_all)); PetscCall(MatDestroy(&pdipm->jac_equality_trans)); PetscCall(MatDestroy(&pdipm->jac_inequality_trans)); /* Destroy pdipm */ PetscCall(PetscFree(tao->data)); /* Holding locations of pdipm */ /* Destroy Dual */ PetscCall(VecDestroy(&tao->DE)); /* equality dual */ PetscCall(VecDestroy(&tao->DI)); /* dinequality dual */ PetscFunctionReturn(0); } PetscErrorCode TaoSetFromOptions_PDIPM(PetscOptionItems *PetscOptionsObject,Tao tao) { TAO_PDIPM *pdipm = (TAO_PDIPM*)tao->data; PetscFunctionBegin; PetscCall(PetscOptionsHead(PetscOptionsObject,"PDIPM method for constrained optimization")); PetscCall(PetscOptionsReal("-tao_pdipm_push_init_slack","parameter to push initial slack variables away from bounds",NULL,pdipm->push_init_slack,&pdipm->push_init_slack,NULL)); PetscCall(PetscOptionsReal("-tao_pdipm_push_init_lambdai","parameter to push initial (inequality) dual variables away from bounds",NULL,pdipm->push_init_lambdai,&pdipm->push_init_lambdai,NULL)); PetscCall(PetscOptionsBool("-tao_pdipm_solve_reduced_kkt","Solve reduced KKT system using Schur-complement",NULL,pdipm->solve_reduced_kkt,&pdipm->solve_reduced_kkt,NULL)); PetscCall(PetscOptionsReal("-tao_pdipm_mu_update_factor","Update scalar for barrier parameter (mu) update",NULL,pdipm->mu_update_factor,&pdipm->mu_update_factor,NULL)); PetscCall(PetscOptionsBool("-tao_pdipm_symmetric_kkt","Solve non reduced symmetric KKT system",NULL,pdipm->solve_symmetric_kkt,&pdipm->solve_symmetric_kkt,NULL)); PetscCall(PetscOptionsBool("-tao_pdipm_kkt_shift_pd","Add shifts to make KKT matrix positive definite",NULL,pdipm->kkt_pd,&pdipm->kkt_pd,NULL)); PetscCall(PetscOptionsTail()); PetscFunctionReturn(0); } /*MC TAOPDIPM - Barrier-based primal-dual interior point algorithm for generally constrained optimization. Option Database Keys: + -tao_pdipm_push_init_lambdai - parameter to push initial dual variables away from bounds (> 0) . -tao_pdipm_push_init_slack - parameter to push initial slack variables away from bounds (> 0) . -tao_pdipm_mu_update_factor - update scalar for barrier parameter (mu) update (> 0) . -tao_pdipm_symmetric_kkt - Solve non-reduced symmetric KKT system - -tao_pdipm_kkt_shift_pd - Add shifts to make KKT matrix positive definite Level: beginner M*/ PETSC_EXTERN PetscErrorCode TaoCreate_PDIPM(Tao tao) { TAO_PDIPM *pdipm; PetscFunctionBegin; tao->ops->setup = TaoSetup_PDIPM; tao->ops->solve = TaoSolve_PDIPM; tao->ops->setfromoptions = TaoSetFromOptions_PDIPM; tao->ops->view = TaoView_PDIPM; tao->ops->destroy = TaoDestroy_PDIPM; PetscCall(PetscNewLog(tao,&pdipm)); tao->data = (void*)pdipm; pdipm->nx = pdipm->Nx = 0; pdipm->nxfixed = pdipm->Nxfixed = 0; pdipm->nxlb = pdipm->Nxlb = 0; pdipm->nxub = pdipm->Nxub = 0; pdipm->nxbox = pdipm->Nxbox = 0; pdipm->nxfree = pdipm->Nxfree = 0; pdipm->ng = pdipm->Ng = pdipm->nce = pdipm->Nce = 0; pdipm->nh = pdipm->Nh = pdipm->nci = pdipm->Nci = 0; pdipm->n = pdipm->N = 0; pdipm->mu = 1.0; pdipm->mu_update_factor = 0.1; pdipm->deltaw = 0.0; pdipm->lastdeltaw = 3*1.e-4; pdipm->deltac = 0.0; pdipm->kkt_pd = PETSC_FALSE; pdipm->push_init_slack = 1.0; pdipm->push_init_lambdai = 1.0; pdipm->solve_reduced_kkt = PETSC_FALSE; pdipm->solve_symmetric_kkt = PETSC_TRUE; /* Override default settings (unless already changed) */ if (!tao->max_it_changed) tao->max_it = 200; if (!tao->max_funcs_changed) tao->max_funcs = 500; PetscCall(SNESCreate(((PetscObject)tao)->comm,&pdipm->snes)); PetscCall(SNESSetOptionsPrefix(pdipm->snes,tao->hdr.prefix)); PetscCall(SNESGetKSP(pdipm->snes,&tao->ksp)); PetscCall(PetscObjectReference((PetscObject)tao->ksp)); PetscCall(KSPSetApplicationContext(tao->ksp,(void *)tao)); PetscFunctionReturn(0); }