#include #include <../src/tao/quadratic/impls/gpcg/gpcg.h> /*I "gpcg.h" I*/ static PetscErrorCode GPCGGradProjections(Tao tao); static PetscErrorCode GPCGObjectiveAndGradient(TaoLineSearch, Vec, PetscReal *, Vec, void *); static PetscErrorCode TaoDestroy_GPCG(Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; /* Free allocated memory in GPCG structure */ PetscFunctionBegin; PetscCall(VecDestroy(&gpcg->B)); PetscCall(VecDestroy(&gpcg->Work)); PetscCall(VecDestroy(&gpcg->X_New)); PetscCall(VecDestroy(&gpcg->G_New)); PetscCall(VecDestroy(&gpcg->DXFree)); PetscCall(VecDestroy(&gpcg->R)); PetscCall(VecDestroy(&gpcg->PG)); PetscCall(MatDestroy(&gpcg->Hsub)); PetscCall(MatDestroy(&gpcg->Hsub_pre)); PetscCall(ISDestroy(&gpcg->Free_Local)); PetscCall(KSPDestroy(&tao->ksp)); PetscCall(PetscFree(tao->data)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetFromOptions_GPCG(Tao tao, PetscOptionItems PetscOptionsObject) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscBool flg; PetscFunctionBegin; PetscOptionsHeadBegin(PetscOptionsObject, "Gradient Projection, Conjugate Gradient method for bound constrained optimization"); PetscCall(PetscOptionsInt("-tao_gpcg_maxpgits", "maximum number of gradient projections per GPCG iterate", NULL, gpcg->maxgpits, &gpcg->maxgpits, &flg)); PetscOptionsHeadEnd(); PetscCall(KSPSetFromOptions(tao->ksp)); PetscCall(TaoLineSearchSetFromOptions(tao->linesearch)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoView_GPCG(Tao tao, PetscViewer viewer) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscBool isascii; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii)); if (isascii) { PetscCall(PetscViewerASCIIPrintf(viewer, "Total PG its: %" PetscInt_FMT ",", gpcg->total_gp_its)); PetscCall(PetscViewerASCIIPrintf(viewer, "PG tolerance: %g \n", (double)gpcg->pg_ftol)); } PetscCall(TaoLineSearchView(tao->linesearch, viewer)); PetscFunctionReturn(PETSC_SUCCESS); } /* GPCGObjectiveAndGradient() Compute f=0.5 * x'Hx + b'x + c g=Hx + b */ static PetscErrorCode GPCGObjectiveAndGradient(TaoLineSearch ls, Vec X, PetscReal *f, Vec G, void *tptr) { Tao tao = (Tao)tptr; TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscReal f1, f2; PetscFunctionBegin; PetscCall(MatMult(tao->hessian, X, G)); PetscCall(VecDot(G, X, &f1)); PetscCall(VecDot(gpcg->B, X, &f2)); PetscCall(VecAXPY(G, 1.0, gpcg->B)); *f = f1 / 2.0 + f2 + gpcg->c; PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetup_GPCG(Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscFunctionBegin; /* Allocate some arrays */ if (!tao->gradient) PetscCall(VecDuplicate(tao->solution, &tao->gradient)); if (!tao->stepdirection) PetscCall(VecDuplicate(tao->solution, &tao->stepdirection)); PetscCall(VecDuplicate(tao->solution, &gpcg->B)); PetscCall(VecDuplicate(tao->solution, &gpcg->Work)); PetscCall(VecDuplicate(tao->solution, &gpcg->X_New)); PetscCall(VecDuplicate(tao->solution, &gpcg->G_New)); PetscCall(VecDuplicate(tao->solution, &gpcg->DXFree)); PetscCall(VecDuplicate(tao->solution, &gpcg->R)); PetscCall(VecDuplicate(tao->solution, &gpcg->PG)); /* if (gpcg->ksp_type == GPCG_KSP_NASH) { PetscCall(KSPSetType(tao->ksp,KSPNASH)); } else if (gpcg->ksp_type == GPCG_KSP_STCG) { PetscCall(KSPSetType(tao->ksp,KSPSTCG)); } else { PetscCall(KSPSetType(tao->ksp,KSPGLTR)); } if (tao->ksp->ops->setfromoptions) (*tao->ksp->ops->setfromoptions)(tao->ksp); } */ PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSolve_GPCG(Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscInt its; PetscReal actred, f, f_new, gnorm, gdx, stepsize, xtb; PetscReal xtHx; TaoLineSearchConvergedReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING; PetscFunctionBegin; PetscCall(TaoComputeVariableBounds(tao)); PetscCall(VecMedian(tao->XL, tao->solution, tao->XU, tao->solution)); PetscCall(TaoLineSearchSetVariableBounds(tao->linesearch, tao->XL, tao->XU)); /* Using f = .5*x'Hx + x'b + c and g=Hx + b, compute b,c */ PetscCall(TaoComputeHessian(tao, tao->solution, tao->hessian, tao->hessian_pre)); PetscCall(TaoComputeObjectiveAndGradient(tao, tao->solution, &f, tao->gradient)); PetscCall(VecCopy(tao->gradient, gpcg->B)); PetscCall(MatMult(tao->hessian, tao->solution, gpcg->Work)); PetscCall(VecDot(gpcg->Work, tao->solution, &xtHx)); PetscCall(VecAXPY(gpcg->B, -1.0, gpcg->Work)); PetscCall(VecDot(gpcg->B, tao->solution, &xtb)); gpcg->c = f - xtHx / 2.0 - xtb; if (gpcg->Free_Local) PetscCall(ISDestroy(&gpcg->Free_Local)); PetscCall(VecWhichInactive(tao->XL, tao->solution, tao->gradient, tao->XU, PETSC_TRUE, &gpcg->Free_Local)); /* Project the gradient and calculate the norm */ PetscCall(VecCopy(tao->gradient, gpcg->G_New)); PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, gpcg->PG)); PetscCall(VecNorm(gpcg->PG, NORM_2, &gpcg->gnorm)); tao->step = 1.0; gpcg->f = f; /* Check Stopping Condition */ tao->reason = TAO_CONTINUE_ITERATING; PetscCall(TaoLogConvergenceHistory(tao, f, gpcg->gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, f, gpcg->gnorm, 0.0, tao->step)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); while (tao->reason == TAO_CONTINUE_ITERATING) { /* Call general purpose update function */ PetscTryTypeMethod(tao, update, tao->niter, tao->user_update); tao->ksp_its = 0; PetscCall(GPCGGradProjections(tao)); PetscCall(ISGetSize(gpcg->Free_Local, &gpcg->n_free)); f = gpcg->f; gnorm = gpcg->gnorm; PetscCall(KSPReset(tao->ksp)); if (gpcg->n_free > 0) { /* Create a reduced linear system */ PetscCall(VecDestroy(&gpcg->R)); PetscCall(VecDestroy(&gpcg->DXFree)); PetscCall(TaoVecGetSubVec(tao->gradient, gpcg->Free_Local, tao->subset_type, 0.0, &gpcg->R)); PetscCall(VecScale(gpcg->R, -1.0)); PetscCall(TaoVecGetSubVec(tao->stepdirection, gpcg->Free_Local, tao->subset_type, 0.0, &gpcg->DXFree)); PetscCall(VecSet(gpcg->DXFree, 0.0)); PetscCall(TaoMatGetSubMat(tao->hessian, gpcg->Free_Local, gpcg->Work, tao->subset_type, &gpcg->Hsub)); if (tao->hessian_pre == tao->hessian) { PetscCall(MatDestroy(&gpcg->Hsub_pre)); PetscCall(PetscObjectReference((PetscObject)gpcg->Hsub)); gpcg->Hsub_pre = gpcg->Hsub; } else { PetscCall(TaoMatGetSubMat(tao->hessian, gpcg->Free_Local, gpcg->Work, tao->subset_type, &gpcg->Hsub_pre)); } PetscCall(KSPReset(tao->ksp)); PetscCall(KSPSetOperators(tao->ksp, gpcg->Hsub, gpcg->Hsub_pre)); PetscCall(KSPSolve(tao->ksp, gpcg->R, gpcg->DXFree)); PetscCall(KSPGetIterationNumber(tao->ksp, &its)); tao->ksp_its += its; tao->ksp_tot_its += its; PetscCall(VecSet(tao->stepdirection, 0.0)); PetscCall(VecISAXPY(tao->stepdirection, gpcg->Free_Local, 1.0, gpcg->DXFree)); PetscCall(VecDot(tao->stepdirection, tao->gradient, &gdx)); PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, 1.0)); f_new = f; PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f_new, tao->gradient, tao->stepdirection, &stepsize, &ls_status)); actred = f_new - f; /* Evaluate the function and gradient at the new point */ PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, gpcg->PG)); PetscCall(VecNorm(gpcg->PG, NORM_2, &gnorm)); f = f_new; PetscCall(ISDestroy(&gpcg->Free_Local)); PetscCall(VecWhichInactive(tao->XL, tao->solution, tao->gradient, tao->XU, PETSC_TRUE, &gpcg->Free_Local)); } else { actred = 0; gpcg->step = 1.0; /* if there were no free variables, no cg method */ } tao->niter++; gpcg->f = f; gpcg->gnorm = gnorm; gpcg->actred = actred; PetscCall(TaoLogConvergenceHistory(tao, f, gpcg->gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, f, gpcg->gnorm, 0.0, tao->step)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); if (tao->reason != TAO_CONTINUE_ITERATING) break; } /* END MAIN LOOP */ PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode GPCGGradProjections(Tao tao) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscInt i; PetscReal actred = -1.0, actred_max = 0.0, gAg, gtg = gpcg->gnorm, alpha; PetscReal f_new, gdx, stepsize; Vec DX = tao->stepdirection, XL = tao->XL, XU = tao->XU, Work = gpcg->Work; Vec X = tao->solution, G = tao->gradient; TaoLineSearchConvergedReason lsflag = TAOLINESEARCH_CONTINUE_ITERATING; /* The free, active, and binding variables should be already identified */ PetscFunctionBegin; for (i = 0; i < gpcg->maxgpits; i++) { if (-actred <= (gpcg->pg_ftol) * actred_max) break; PetscCall(VecBoundGradientProjection(G, X, XL, XU, DX)); PetscCall(VecScale(DX, -1.0)); PetscCall(VecDot(DX, G, &gdx)); PetscCall(MatMult(tao->hessian, DX, Work)); PetscCall(VecDot(DX, Work, &gAg)); gpcg->gp_iterates++; gpcg->total_gp_its++; gtg = -gdx; if (PetscAbsReal(gAg) == 0.0) { alpha = 1.0; } else { alpha = PetscAbsReal(gtg / gAg); } PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, alpha)); f_new = gpcg->f; PetscCall(TaoLineSearchApply(tao->linesearch, X, &f_new, G, DX, &stepsize, &lsflag)); /* Update the iterate */ actred = f_new - gpcg->f; actred_max = PetscMax(actred_max, -(f_new - gpcg->f)); gpcg->f = f_new; PetscCall(ISDestroy(&gpcg->Free_Local)); PetscCall(VecWhichInactive(XL, X, tao->gradient, XU, PETSC_TRUE, &gpcg->Free_Local)); } gpcg->gnorm = gtg; PetscFunctionReturn(PETSC_SUCCESS); } /* End gradient projections */ static PetscErrorCode TaoComputeDual_GPCG(Tao tao, Vec DXL, Vec DXU) { TAO_GPCG *gpcg = (TAO_GPCG *)tao->data; PetscFunctionBegin; PetscCall(VecBoundGradientProjection(tao->gradient, tao->solution, tao->XL, tao->XU, gpcg->Work)); PetscCall(VecCopy(gpcg->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, gpcg->Work)); PetscCall(VecSet(gpcg->Work, 0.0)); PetscCall(VecPointwiseMin(DXU, gpcg->Work, DXU)); PetscFunctionReturn(PETSC_SUCCESS); } /*MC TAOGPCG - gradient projected conjugate gradient algorithm is an active-set conjugate-gradient based method for bound-constrained minimization Options Database Keys: + -tao_gpcg_maxpgits - maximum number of gradient projections for GPCG iterate - -tao_subset_type - "subvec","mask","matrix-free", strategies for handling active-sets Level: beginner M*/ PETSC_EXTERN PetscErrorCode TaoCreate_GPCG(Tao tao) { TAO_GPCG *gpcg; PetscFunctionBegin; tao->ops->setup = TaoSetup_GPCG; tao->ops->solve = TaoSolve_GPCG; tao->ops->view = TaoView_GPCG; tao->ops->setfromoptions = TaoSetFromOptions_GPCG; tao->ops->destroy = TaoDestroy_GPCG; tao->ops->computedual = TaoComputeDual_GPCG; PetscCall(PetscNew(&gpcg)); tao->data = (void *)gpcg; /* Override default settings (unless already changed) */ PetscCall(TaoParametersInitialize(tao)); PetscObjectParameterSetDefault(tao, max_it, 500); PetscObjectParameterSetDefault(tao, max_funcs, 100000); PetscObjectParameterSetDefault(tao, gatol, PetscDefined(USE_REAL_SINGLE) ? 1e-6 : 1e-12); PetscObjectParameterSetDefault(tao, grtol, PetscDefined(USE_REAL_SINGLE) ? 1e-6 : 1e-12); /* Initialize pointers and variables */ gpcg->n = 0; gpcg->maxgpits = 8; gpcg->pg_ftol = 0.1; gpcg->gp_iterates = 0; /* Cumulative number */ gpcg->total_gp_its = 0; /* Initialize pointers and variables */ gpcg->n_bind = 0; gpcg->n_free = 0; gpcg->n_upper = 0; gpcg->n_lower = 0; gpcg->subset_type = TAO_SUBSET_MASK; gpcg->Hsub = NULL; gpcg->Hsub_pre = NULL; 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, KSPNASH)); PetscCall(TaoLineSearchCreate(((PetscObject)tao)->comm, &tao->linesearch)); PetscCall(PetscObjectIncrementTabLevel((PetscObject)tao->linesearch, (PetscObject)tao, 1)); PetscCall(TaoLineSearchSetType(tao->linesearch, TAOLINESEARCHGPCG)); PetscCall(TaoLineSearchSetObjectiveAndGradientRoutine(tao->linesearch, GPCGObjectiveAndGradient, tao)); PetscCall(TaoLineSearchSetOptionsPrefix(tao->linesearch, tao->hdr.prefix)); PetscFunctionReturn(PETSC_SUCCESS); }