Actual source code: boundproj.c

  2: #include "boundproj.h"    /*I "tao_solver.h" I*/

  4: static int TaoSetOptions_LineSearch2(TAO_SOLVER,void*);
  5: static int TaoView_LineSearch2(TAO_SOLVER,void*);
  6: static int TaoApply_LineSearch2(TAO_SOLVER,TaoVec*,TaoVec*,TaoVec*,TaoVec*,
  7:                                 double*,double*,int*,void*);
  8: static int TaoDestroy_LineSearch2(TAO_SOLVER,void*);

 10: /* ---------------------------------------------------------- */
 13: static int TaoDestroy_LineSearch2(TAO_SOLVER tao,void *linectx)
 14: {
 15:   int  info;
 16:   TAO_LINESEARCH2 *ctx = (TAO_LINESEARCH2 *)linectx;

 18:   TaoFunctionBegin;
 19:   if (ctx->setupcalled==1){
 20:     info=TaoVecDestroy(ctx->W2);CHKERRQ(info);
 21:   }
 22:   info = TaoFree(ctx);CHKERRQ(info);
 23:   TaoFunctionReturn(0);
 24: }
 25: /*------------------------------------------------------------*/
 28: static int TaoSetOptions_LineSearch2(TAO_SOLVER tao,void *linectx)
 29: {
 30:   TAO_LINESEARCH2 *ctx = (TAO_LINESEARCH2 *)linectx;
 31:   int            info;

 33:   TaoFunctionBegin;
 34:   info = TaoOptionsHead("Projected line search options");CHKERRQ(info);
 35:   info = TaoOptionInt("-tao_ls_maxfev","max function evals in line search","",ctx->maxfev,&ctx->maxfev,0);CHKERRQ(info);
 36:   info = TaoOptionDouble("-tao_ls_ftol","tol for sufficient decrease","",ctx->ftol,&ctx->ftol,0);CHKERRQ(info);
 37:   info = TaoOptionDouble("-tao_ls_stepmin","lower bound for step","",ctx->stepmin,&ctx->stepmin,0);CHKERRQ(info);
 38:   info = TaoOptionDouble("-tao_ls_stepmax","upper bound for step","",ctx->stepmax,&ctx->stepmax,0);CHKERRQ(info);
 39:   info = TaoOptionsTail();CHKERRQ(info);

 41:   TaoFunctionReturn(0);
 42: }
 43: /*------------------------------------------------------------*/

 47: static int TaoView_LineSearch2(TAO_SOLVER tao,void *ctx)
 48: {
 49:   TAO_LINESEARCH2 *ls = (TAO_LINESEARCH2 *)ctx;
 50:   int            info;

 52:   TaoFunctionBegin;
 53:   info = TaoPrintInt(tao,"  Line search: maxf=%d,",ls->maxfev);CHKERRQ(info);
 54:   info = TaoPrintDouble(tao," ftol=%g\n",ls->ftol);CHKERRQ(info);
 55:   TaoFunctionReturn(0);
 56: }
 57: /* ---------------------------------------------------------- */
 60: /* @ TaoApply_LineSearch - This routine performs a line search. It
 61:    backtracks until the Armijo conditions are satisfied.

 63:    Input Parameters:
 64: +  tao - TAO_SOLVER context
 65: .  X - current iterate (on output X contains new iterate, X + step*S)
 66: .  S - search direction
 67: .  f - objective function evaluated at X
 68: .  G - gradient evaluated at X
 69: .  W - work vector
 70: .  gdx - inner product of gradient and the direction of the first linear manifold being searched
 71: -  step - initial estimate of step length

 73:    Output parameters:
 74: +  f - objective function evaluated at new iterate, X + step*S
 75: .  G - gradient evaluated at new iterate, X + step*S
 76: .  X - new iterate
 77: -  step - final step length

 79:    Info is set to one of:
 80: .   0 - the line search succeeds; the sufficient decrease
 81:    condition and the directional derivative condition hold

 83:    negative number if an input parameter is invalid
 84: .   -1 -  step < 0 
 85: .   -2 -  ftol < 0 
 86: -   -7 -  maxfev < 0

 88:    positive number > 1 if the line search otherwise terminates
 89: +    2 -  Relative width of the interval of uncertainty is 
 90:          at most rtol.
 91: .    3 -  Maximum number of function evaluations (maxfev) has 
 92:          been reached.
 93: .    4 -  Step is at the lower bound, stepmin.
 94: .    5 -  Step is at the upper bound, stepmax.
 95: .    6 -  Rounding errors may prevent further progress. 
 96:          There may not be a step that satisfies the 
 97:          sufficient decrease and curvature conditions.  
 98:          Tolerances may be too small.
 99: +    7 -  Search direction is not a descent direction.

101:    Notes:
102:    This routine is used within the TAO_NLS method.
103: @ */
104: static int TaoApply_LineSearch2(TAO_SOLVER tao,TaoVec* X,TaoVec* G,TaoVec* S,TaoVec* Gold,double *f,
105:                         double *step,int *info2,void*ctx)
106: {
107:   TAO_LINESEARCH2 *neP = (TAO_LINESEARCH2 *) ctx;
108:   int       info, i;
109:   double zero=0.0;
110:   double finit,gdx,dginit,actred,prered,rho,d1=0,d2=0,d3=0;
111:   TaoVec* XL, *XU, *Xold=neP->W2;
112:   TaoTruth flag;

114:   TaoFunctionBegin;
115:   /* neP->stepmin - lower bound for step */
116:   /* neP->stepmax - upper bound for step */
117:   /* neP->rtol           - relative tolerance for an acceptable step */
118:   /* neP->ftol           - tolerance for sufficient decrease condition */
119:   /* neP->gtol           - tolerance for curvature condition */
120:   /* neP->nfev           - number of function evaluations */
121:   /* neP->maxfev  - maximum number of function evaluations */

123:   /* Check input parameters for errors */

125:   *info2 = 0;
126:     /* After 2 failures, Check that search direction is a descent direction */
127:     /* This test is not really sufficient.  */
128:   if (neP->setupcalled){
129:     info=X->Compatible(neP->W2,&flag); CHKERRQ(info);
130:     if (flag==TAO_FALSE){
131:       info=TaoVecDestroy(neP->W2); CHKERRQ(info);neP->W2=0;
132:       neP->setupcalled=0;
133:     }
134:   }
135:   if (neP->setupcalled==0){
136:     info=X->Clone(&neP->W2); CHKERRQ(info);
137:     Xold=neP->W2;
138:     neP->setupcalled=1;
139:   }
140:   info = TaoGetVariableBounds(tao,&XL,&XU); CHKERRQ(info);
141:   info = Gold->ScaleCopyFrom(-1.0,S); CHKERRQ(info);
142:   info = Gold->BoundGradientProjection(S,XL,X,XU); CHKERRQ(info);
143:   info = Gold->Dot(G,&dginit);CHKERRQ(info);  /* dginit = G^T S */
144:   dginit*=-1;
145:   gdx=dginit;
146:   if (dginit >= zero) {
147:     info = G->CopyFrom(Gold); CHKERRQ(info);
148:     info = X->CopyFrom(Xold); CHKERRQ(info);
149:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Search direction not a descent direction\n")); CHKERRQ(info);
150:     *info2 = 7; TaoFunctionReturn(0);
151:   }

153:   info = Xold->CopyFrom(X); CHKERRQ(info);
154:   info = Gold->CopyFrom(G); CHKERRQ(info);
155:   info=TaoGetVariableBounds(tao,&XL,&XU); CHKERRQ(info);
156:   if (*step < zero) {
157:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Line search error: step (%g) < 0\n",*step)); CHKERRQ(info);
158:     *info2 = -1; TaoFunctionReturn(0);
159:   } else if (neP->ftol < zero) {
160:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Line search error: ftol (%g) < 0\n",neP->ftol)); CHKERRQ(info);
161:     *info2 = -2; TaoFunctionReturn(0);
162:   } else if (neP->maxfev < zero) {
163:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Line search error: maxfev (%d) < 0\n",neP->maxfev)); CHKERRQ(info);
164:     *info2 = -7; TaoFunctionReturn(0);
165:   }



169:   /* Initialization */
170:   neP->nfev = 0;
171:   finit = *f;
172:   for (i=0; i< neP->maxfev; i++) {
173: 
174:     /* Force the step to be within the bounds */
175:     *step = TaoMax(*step,neP->stepmin);
176:     *step = TaoMin(*step,neP->stepmax);
177: 
178:     if (i==0){
179:       info = X->Axpy(*step,S);CHKERRQ(info);
180:       info = X->Median(XL,X,XU);CHKERRQ(info);
181:       info = TaoComputeMeritFunctionGradient(tao,X,f,G);
182:       neP->nfev++;
183:       if (info==0 && *f==*f){ /* Successful function evaluation */
184:         actred = *f - finit;
185:         rho = actred/( (*step) * (-TaoAbsScalar(gdx)) );
186:         if (actred < 0 && rho > neP->ftol){
187:           break;
188:         } else{
189:           info=Xold->StepBoundInfo(XL,XU,S,&d3,&d2,&d1);CHKERRQ(info);
190:           info = PetscLogInfo((tao,"stepmax = %10f\n",d1)); CHKERRQ(info);

192:           *step = TaoMin(*step,d1);
193:           info = Gold->Dot(X,&d1); CHKERRQ(info);
194:           info = Gold->Dot(Xold,&prered); CHKERRQ(info);
195:           prered=d1-prered;
196:           rho = actred/(-TaoAbsScalar(prered));
197:           if (actred < 0 && rho > neP->ftol){
198:             break;
199:           } else{
200:                 *step = (*step)/2;
201:           }
202:         }
203:       } else { /* Function could not be evaluated at this point */
204:         *step = (*step)*0.7;
205:       }

207:     } else {
208:       info = X->Waxpby(*step,S,1.0,Xold);CHKERRQ(info);
209:       info = X->Median(XL,X,XU);CHKERRQ(info);
210: 
211:       info = G->Waxpby(-1,Xold,1.0,X);CHKERRQ(info);
212:       info = G->Dot(Gold,&prered); CHKERRQ(info);
213:       info = TaoComputeMeritFunctionGradient(tao,X,f,G); CHKERRQ(info);
214:       neP->nfev++;
215:       if (info==0 && *f==*f){ /* Successful function evaluation */
216:         actred = *f - finit;
217:         rho = actred/(-TaoAbsScalar(prered));
218:         /* 
219:            If sufficient progress has been obtained, accept the
220:            point.   Prered could be positive or negative.  
221:            Otherwise, backtrack. 
222:         */

224:         if (actred < 0 && rho > neP->ftol){
225:           info = PetscLogInfo((tao,"TaoApply_LineSearch2: steplength: %g, actual reduction: %g (hopefully positive), Predicted reduction: %g, rho: %g\n",*step,-actred,prered,rho)); CHKERRQ(info);
226:           break;
227:         } else {
228:           info = PetscLogInfo((tao,"TaoApply_LineSearch2: steplength: %g, actual reduction: %g (hopefully positive), Predicted reduction: %g, rho: %g\n",*step,-actred,prered,rho)); CHKERRQ(info);
229:           if (i<5){
230:             *step = (*step)/2;
231:           } else {
232:             *step = (*step)/2;
233:           }
234:         }
235:       } else { /* Function could not be evaluated at this point */
236:           info = PetscLogInfo((tao,"TaoApply_LineSearch2: Problem in function evaluation\n")); CHKERRQ(info);
237:         *step = (*step)*0.7;
238:       }
239:     }

241:   }
242:   /* Convergence testing */
243: 
244:   if (*step <= neP->stepmin || *step >= neP->stepmax) {
245:     *info2 = 6;
246:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Rounding errors may prevent further progress.  May not be a step satisfying\n")); CHKERRQ(info);
247:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:sufficient decrease and curvature conditions. Tolerances may be too small.\n")); CHKERRQ(info);
248:   }
249:   if (*step == neP->stepmax) {
250:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Step is at the upper bound, stepmax (%g)\n",neP->stepmax)); CHKERRQ(info);
251:     *info2 = 5;
252:   }
253:   if (*step == neP->stepmin) {
254:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Step is at the lower bound, stepmin (%g)\n",neP->stepmin)); CHKERRQ(info);
255:     *info2 = 4;
256:   }
257:   if (neP->nfev >= neP->maxfev) {
258:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Number of line search function evals (%d) > maximum (%d)\n",neP->nfev,neP->maxfev)); CHKERRQ(info);
259:     *info2 = 3;
260:   }
261:   if ((neP->bracket) && (neP->stepmax - neP->stepmin <= neP->rtol*neP->stepmax)){
262:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Relative width of interval of uncertainty is at most rtol (%g)\n",neP->rtol)); CHKERRQ(info);
263:     *info2 = 2;
264:   }
265:   /*
266:   if ((*f <= ftest1) && (TaoAbsDouble(dg) <= neP->gtol*(-dginit))) {
267:     info = PetscLogInfo((tao,"TaoApply_LineSearch2:Line search success: Sufficient decrease and directional deriv conditions hold\n")); CHKERRQ(info);
268:     *info2 = 1;
269:   }
270:   */
271: 
272:   /* Finish computations */
273:   /*
274:   info = PetscLogInfo((tao,"TaoApply_LineSearch2:%d function evals in line search, step = %10.4f\n",neP->nfev,*step)); CHKERRQ(info);
275:   */
276:   TaoFunctionReturn(0);
277: }


280: /* ---------------------------------------------------------- */

284: /*@C
285:    TaoCreateProjectedLineSearch - Create a line search

287:    Input Parameters:
288: .  tao - TAO_SOLVER context

290:    Note:
291:    This routine is used within the following TAO bound constrained 
292:    minimization solvers: TRON (tao_tron) and limited memory variable metric
293:    (tao_blmvm). This line search projects points onto the feasible, bound
294:    constrained region.  It only enforces the Armijo descent condition.

296:    Level: developer

298: .keywords: TAO_SOLVER, linesearch
299: @*/
300: int TaoCreateProjectedLineSearch(TAO_SOLVER tao)
301: {
302:   int info;
303:   TAO_LINESEARCH2 *neP;

305:   TaoFunctionBegin;

307:   info = TaoNew(TAO_LINESEARCH2,&neP); CHKERRQ(info);
308:   info = PetscLogObjectMemory(tao,sizeof(TAO_LINESEARCH2)); CHKERRQ(info);

310:   neP->ftol                  = 0.001;
311:   neP->rtol                  = 0.0;
312:   neP->gtol                  = 0.0;
313:   neP->stepmin                  = 1.0e-30;
314:   neP->stepmax                  = 1.0e+20;
315:   neP->nfev                  = 0;
316:   neP->bracket                  = 0;
317:   neP->infoc              = 1;
318:   neP->maxfev                  = 30;
319:   neP->W2                 = TAO_NULL;
320:   neP->setupcalled        = 0;

322:   info = TaoSetLineSearch(tao,0,
323:                           TaoSetOptions_LineSearch2,
324:                           TaoApply_LineSearch2,
325:                           TaoView_LineSearch2,
326:                           TaoDestroy_LineSearch2,
327:                           (void *) neP);CHKERRQ(info);

329:   TaoFunctionReturn(0);
330: }