44#ifndef ROL_TYPEB_LINMOREALGORITHM_HPP
45#define ROL_TYPEB_LINMOREALGORITHM_HPP
60template<
typename Real>
63 Ptr<TrustRegionModel_U<Real>>
model_;
115 Ptr<ReducedLinearConstraint<Real>>
rcon_;
116 Ptr<NullSpaceOperator<Real>>
ns_;
130 std::ostream &outStream = std::cout)
override;
132 void writeHeader( std::ostream& os )
const override;
134 void writeName( std::ostream& os )
const override;
136 void writeOutput( std::ostream& os,
bool write_header =
false )
const override;
143 std::ostream &outStream = std::cout);
153 std::ostream &outStream = std::cout)
const;
169 std::ostream &outStream = std::cout);
183 std::ostream &outStream = std::cout);
192 Real
dtrqsol(
const Real xtx,
const Real ptp,
const Real ptx,
const Real del)
const;
215 const Real tol,
const Real stol,
const int itermax,
218 std::ostream &outStream = std::cout)
const;
Provides the interface to apply upper and lower bound constraints.
Provides the interface to evaluate objective functions.
Provides interface for and implements limited-memory secant operators.
Provides the interface to evaluate trust-region model functions.
Provides an interface to run bound constrained optimization algorithms.
Ptr< PolyhedralProjection< Real > > proj_
const Ptr< AlgorithmState< Real > > state_
const Ptr< CombinedStatusTest< Real > > status_
Provides an interface to run the trust-region algorithm of Lin and More.
bool useSecantHessVec_
Flag to use secant as Hessian (default: false)
Real alpha_
Initial Cauchy point step length (default: 1.0)
Real interpfPS_
Backtracking rate for projected search (default: 0.5)
Ptr< ReducedLinearConstraint< Real > > rcon_
Equality constraint restricted to current active variables.
Real eta1_
Radius decrease threshold (default: 0.05)
void initialize(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
Real TRsafe_
Safeguard size for numerically evaluating ratio (default: 1e2)
void applyFreeHessian(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa) const
Real dcauchy(Vector< Real > &s, Real &alpha, Real &q, const Vector< Real > &x, const Vector< Real > &g, const Real del, TrustRegionModel_U< Real > &model, Vector< Real > &dwa, Vector< Real > &dwa1, std::ostream &outStream=std::cout)
bool writeHeader_
Flag to write header at every iteration.
void writeOutput(std::ostream &os, bool write_header=false) const override
Print iterate status.
bool hasEcon_
Flag signifies if equality constraints exist.
Real tol1_
Absolute tolerance for truncated CG (default: 1e-4)
Real spexp_
Relative tolerance exponent for subproblem solve (default: 1, range: [1,2])
void run(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout) override
Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual...
Real dtrqsol(const Real xtx, const Real ptp, const Real ptx, const Real del) const
int nhess_
Number of Hessian applications.
Real mu0_
Sufficient decrease parameter (default: 1e-2)
Real dtrpcg(Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, const Real del, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, const Real tol, const Real stol, const int itermax, Vector< Real > &p, Vector< Real > &q, Vector< Real > &r, Vector< Real > &t, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout) const
void applyFreePrecond(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &dwa, Vector< Real > &pwa) const
Real eta0_
Step acceptance threshold (default: 0.05)
int SPflag_
Subproblem solver termination flag.
Ptr< TrustRegionModel_U< Real > > model_
Container for trust-region model.
Real interpf_
Backtracking rate for Cauchy point computation (default: 1e-1)
int minit_
Maximum number of minor (subproblem solve) iterations (default: 10)
int maxit_
Maximum number of CG iterations (default: 20)
bool normAlpha_
Normalize initial Cauchy point step length (default: false)
bool interpRad_
Interpolate the trust-region radius if ratio is negative (default: false)
Real qtol_
Relative tolerance for computed decrease in Cauchy point computation (default: 1-8)
Real tol2_
Relative tolerance for truncated CG (default: 1e-2)
Real gamma1_
Radius decrease rate (positive rho) (default: 0.25)
Real dprsrch(Vector< Real > &x, Vector< Real > &s, Real &q, const Vector< Real > &g, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout)
Real gamma2_
Radius increase rate (default: 2.5)
Real gamma0_
Radius decrease rate (negative rho) (default: 0.0625)
Real eps_
Safeguard for numerically evaluating ratio.
Real delMax_
Maximum trust-region radius (default: ROL_INF)
void writeName(std::ostream &os) const override
Print step name.
unsigned verbosity_
Output level (default: 0)
ESecant esec_
Secant type (default: Limited-Memory BFGS)
Real eta2_
Radius increase threshold (default: 0.9)
Real extrapf_
Extrapolation rate for Cauchy point computation (default: 1e1)
TRUtils::ETRFlag TRflag_
Trust-region exit flag.
bool useSecantPrecond_
Flag to use secant as a preconditioner (default: false)
int redlim_
Maximum number of Cauchy point reduction steps (default: 10)
Real dgpstep(Vector< Real > &s, const Vector< Real > &w, const Vector< Real > &x, const Real alpha, std::ostream &outStream=std::cout) const
int pslim_
Maximum number of projected search steps (default: 20)
Ptr< NullSpaceOperator< Real > > ns_
Null space projection onto reduced equality constraint Jacobian.
LinMoreAlgorithm(ParameterList &list, const Ptr< Secant< Real > > &secant=nullPtr)
int SPiter_
Subproblem solver iteration count.
void writeHeader(std::ostream &os) const override
Print iterate header.
int explim_
Maximum number of Cauchy point expansion steps (default: 10)
Defines the linear algebra or vector space interface.