#include #include <../src/tao/unconstrained/impls/cg/taocg.h> #define CG_FletcherReeves 0 #define CG_PolakRibiere 1 #define CG_PolakRibierePlus 2 #define CG_HestenesStiefel 3 #define CG_DaiYuan 4 #define CG_Types 5 static const char *CG_Table[64] = {"fr", "pr", "prp", "hs", "dy"}; static PetscErrorCode TaoSolve_CG(Tao tao) { TAO_CG *cgP = (TAO_CG *)tao->data; TaoLineSearchConvergedReason ls_status = TAOLINESEARCH_CONTINUE_ITERATING; PetscReal step = 1.0, f, gnorm, gnorm2, delta, gd, ginner, beta; PetscReal gd_old, gnorm2_old, f_old; PetscFunctionBegin; if (tao->XL || tao->XU || tao->ops->computebounds) PetscCall(PetscInfo(tao, "WARNING: Variable bounds have been set but will be ignored by cg algorithm\n")); /* Check convergence criteria */ PetscCall(TaoComputeObjectiveAndGradient(tao, tao->solution, &f, tao->gradient)); PetscCall(VecNorm(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, step)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); if (tao->reason != TAO_CONTINUE_ITERATING) PetscFunctionReturn(PETSC_SUCCESS); /* Set initial direction to -gradient */ PetscCall(VecCopy(tao->gradient, tao->stepdirection)); PetscCall(VecScale(tao->stepdirection, -1.0)); gnorm2 = gnorm * gnorm; /* Set initial scaling for the function */ if (f != 0.0) { delta = 2.0 * PetscAbsScalar(f) / gnorm2; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } else { delta = 2.0 / gnorm2; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } /* Set counter for gradient and reset steps */ cgP->ngradsteps = 0; cgP->nresetsteps = 0; while (1) { /* Call general purpose update function */ if (tao->ops->update) { PetscUseTypeMethod(tao, update, tao->niter, tao->user_update); PetscCall(TaoComputeObjective(tao, tao->solution, &f)); } /* Save the current gradient information */ f_old = f; gnorm2_old = gnorm2; PetscCall(VecCopy(tao->solution, cgP->X_old)); PetscCall(VecCopy(tao->gradient, cgP->G_old)); PetscCall(VecDot(tao->gradient, tao->stepdirection, &gd)); if ((gd >= 0) || PetscIsInfOrNanReal(gd)) { ++cgP->ngradsteps; if (f != 0.0) { delta = 2.0 * PetscAbsScalar(f) / gnorm2; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } else { delta = 2.0 / gnorm2; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } PetscCall(VecCopy(tao->gradient, tao->stepdirection)); PetscCall(VecScale(tao->stepdirection, -1.0)); } /* Search direction for improving point */ PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, delta)); PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f, tao->gradient, tao->stepdirection, &step, &ls_status)); PetscCall(TaoAddLineSearchCounts(tao)); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { /* Linesearch failed */ /* Reset factors and use scaled gradient step */ ++cgP->nresetsteps; f = f_old; gnorm2 = gnorm2_old; PetscCall(VecCopy(cgP->X_old, tao->solution)); PetscCall(VecCopy(cgP->G_old, tao->gradient)); if (f != 0.0) { delta = 2.0 * PetscAbsScalar(f) / gnorm2; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } else { delta = 2.0 / gnorm2; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } PetscCall(VecCopy(tao->gradient, tao->stepdirection)); PetscCall(VecScale(tao->stepdirection, -1.0)); PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, delta)); PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f, tao->gradient, tao->stepdirection, &step, &ls_status)); PetscCall(TaoAddLineSearchCounts(tao)); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { /* Linesearch failed again */ /* switch to unscaled gradient */ f = f_old; PetscCall(VecCopy(cgP->X_old, tao->solution)); PetscCall(VecCopy(cgP->G_old, tao->gradient)); delta = 1.0; PetscCall(VecCopy(tao->solution, tao->stepdirection)); PetscCall(VecScale(tao->stepdirection, -1.0)); PetscCall(TaoLineSearchSetInitialStepLength(tao->linesearch, delta)); PetscCall(TaoLineSearchApply(tao->linesearch, tao->solution, &f, tao->gradient, tao->stepdirection, &step, &ls_status)); PetscCall(TaoAddLineSearchCounts(tao)); if (ls_status != TAOLINESEARCH_SUCCESS && ls_status != TAOLINESEARCH_SUCCESS_USER) { /* Line search failed for last time -- give up */ f = f_old; PetscCall(VecCopy(cgP->X_old, tao->solution)); PetscCall(VecCopy(cgP->G_old, tao->gradient)); step = 0.0; tao->reason = TAO_DIVERGED_LS_FAILURE; } } } /* Check for bad value */ PetscCall(VecNorm(tao->gradient, NORM_2, &gnorm)); PetscCheck(!PetscIsInfOrNanReal(f) && !PetscIsInfOrNanReal(gnorm), PetscObjectComm((PetscObject)tao), PETSC_ERR_USER, "User-provided compute function generated infinity or NaN"); /* Check for termination */ gnorm2 = gnorm * gnorm; tao->niter++; PetscCall(TaoLogConvergenceHistory(tao, f, gnorm, 0.0, tao->ksp_its)); PetscCall(TaoMonitor(tao, tao->niter, f, gnorm, 0.0, step)); PetscUseTypeMethod(tao, convergencetest, tao->cnvP); if (tao->reason != TAO_CONTINUE_ITERATING) break; /* Check for restart condition */ PetscCall(VecDot(tao->gradient, cgP->G_old, &ginner)); if (PetscAbsScalar(ginner) >= cgP->eta * gnorm2) { /* Gradients far from orthogonal; use steepest descent direction */ beta = 0.0; } else { /* Gradients close to orthogonal; use conjugate gradient formula */ switch (cgP->cg_type) { case CG_FletcherReeves: beta = gnorm2 / gnorm2_old; break; case CG_PolakRibiere: beta = (gnorm2 - ginner) / gnorm2_old; break; case CG_PolakRibierePlus: beta = PetscMax((gnorm2 - ginner) / gnorm2_old, 0.0); break; case CG_HestenesStiefel: PetscCall(VecDot(tao->gradient, tao->stepdirection, &gd)); PetscCall(VecDot(cgP->G_old, tao->stepdirection, &gd_old)); beta = (gnorm2 - ginner) / (gd - gd_old); break; case CG_DaiYuan: PetscCall(VecDot(tao->gradient, tao->stepdirection, &gd)); PetscCall(VecDot(cgP->G_old, tao->stepdirection, &gd_old)); beta = gnorm2 / (gd - gd_old); break; default: beta = 0.0; break; } } /* Compute the direction d=-g + beta*d */ PetscCall(VecAXPBY(tao->stepdirection, -1.0, beta, tao->gradient)); /* update initial steplength choice */ delta = 1.0; delta = PetscMax(delta, cgP->delta_min); delta = PetscMin(delta, cgP->delta_max); } PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetUp_CG(Tao tao) { TAO_CG *cgP = (TAO_CG *)tao->data; PetscFunctionBegin; if (!tao->gradient) PetscCall(VecDuplicate(tao->solution, &tao->gradient)); if (!tao->stepdirection) PetscCall(VecDuplicate(tao->solution, &tao->stepdirection)); if (!cgP->X_old) PetscCall(VecDuplicate(tao->solution, &cgP->X_old)); if (!cgP->G_old) PetscCall(VecDuplicate(tao->gradient, &cgP->G_old)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoDestroy_CG(Tao tao) { TAO_CG *cgP = (TAO_CG *)tao->data; PetscFunctionBegin; if (tao->setupcalled) { PetscCall(VecDestroy(&cgP->X_old)); PetscCall(VecDestroy(&cgP->G_old)); } PetscCall(TaoLineSearchDestroy(&tao->linesearch)); PetscCall(PetscFree(tao->data)); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoSetFromOptions_CG(Tao tao, PetscOptionItems PetscOptionsObject) { TAO_CG *cgP = (TAO_CG *)tao->data; PetscFunctionBegin; PetscCall(TaoLineSearchSetFromOptions(tao->linesearch)); PetscOptionsHeadBegin(PetscOptionsObject, "Nonlinear Conjugate Gradient method for unconstrained optimization"); PetscCall(PetscOptionsReal("-tao_cg_eta", "restart tolerance", "", cgP->eta, &cgP->eta, NULL)); PetscCall(PetscOptionsEList("-tao_cg_type", "cg formula", "", CG_Table, CG_Types, CG_Table[cgP->cg_type], &cgP->cg_type, NULL)); PetscCall(PetscOptionsReal("-tao_cg_delta_min", "minimum delta value", "", cgP->delta_min, &cgP->delta_min, NULL)); PetscCall(PetscOptionsReal("-tao_cg_delta_max", "maximum delta value", "", cgP->delta_max, &cgP->delta_max, NULL)); PetscOptionsHeadEnd(); PetscFunctionReturn(PETSC_SUCCESS); } static PetscErrorCode TaoView_CG(Tao tao, PetscViewer viewer) { PetscBool isascii; TAO_CG *cgP = (TAO_CG *)tao->data; PetscFunctionBegin; PetscCall(PetscObjectTypeCompare((PetscObject)viewer, PETSCVIEWERASCII, &isascii)); if (isascii) { PetscCall(PetscViewerASCIIPushTab(viewer)); PetscCall(PetscViewerASCIIPrintf(viewer, "CG Type: %s\n", CG_Table[cgP->cg_type])); PetscCall(PetscViewerASCIIPrintf(viewer, "Gradient steps: %" PetscInt_FMT "\n", cgP->ngradsteps)); PetscCall(PetscViewerASCIIPrintf(viewer, "Reset steps: %" PetscInt_FMT "\n", cgP->nresetsteps)); PetscCall(PetscViewerASCIIPopTab(viewer)); } PetscFunctionReturn(PETSC_SUCCESS); } /*MC TAOCG - Nonlinear conjugate gradient method is an extension of the nonlinear conjugate gradient solver for nonlinear optimization. Options Database Keys: + -tao_cg_eta - restart tolerance . -tao_cg_type - cg formula . -tao_cg_delta_min - minimum delta value - -tao_cg_delta_max - maximum delta value Notes: CG formulas are: "fr" - Fletcher-Reeves "pr" - Polak-Ribiere "prp" - Polak-Ribiere-Plus "hs" - Hestenes-Steifel "dy" - Dai-Yuan Level: beginner M*/ PETSC_EXTERN PetscErrorCode TaoCreate_CG(Tao tao) { TAO_CG *cgP; const char *morethuente_type = TAOLINESEARCHMT; PetscFunctionBegin; tao->ops->setup = TaoSetUp_CG; tao->ops->solve = TaoSolve_CG; tao->ops->view = TaoView_CG; tao->ops->setfromoptions = TaoSetFromOptions_CG; tao->ops->destroy = TaoDestroy_CG; /* Override default settings (unless already changed) */ PetscCall(TaoParametersInitialize(tao)); PetscObjectParameterSetDefault(tao, max_it, 2000); PetscObjectParameterSetDefault(tao, max_funcs, 4000); /* Note: nondefault values should be used for nonlinear conjugate gradient */ /* method. In particular, gtol should be less that 0.5; the value used in */ /* Nocedal and Wright is 0.10. We use the default values for the */ /* linesearch because it seems to work better. */ 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(PetscNew(&cgP)); tao->data = (void *)cgP; cgP->eta = 0.1; cgP->delta_min = 1e-7; cgP->delta_max = 100; cgP->cg_type = CG_PolakRibierePlus; PetscFunctionReturn(PETSC_SUCCESS); }