ROL
ROL_InteriorPoint.hpp
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40
41#ifndef ROL_INTERIORPOINT_H
42#define ROL_INTERIORPOINT_H
43
44#include "ROL_Objective.hpp"
47
48namespace ROL {
49
50namespace InteriorPoint {
51
56template <class Real>
57class PenalizedObjective : public ROL::Objective<Real> {
58private:
60
61 ROL::Ptr<Objective<Real> > obj_;
62 ROL::Ptr<Objective<Real> > barrier_;
63 ROL::Ptr<Vector<Real> > x_;
64 ROL::Ptr<Vector<Real> > g_;
65 ROL::Ptr<Vector<Real> > scratch_;
66
67 Real mu_;
68 Real fval_;
69 Real gnorm_;
70 int nfval_;
71 int ngval_;
72
73public:
74
75 PenalizedObjective( const ROL::Ptr<Objective<Real> > &obj,
76 const ROL::Ptr<BoundConstraint<Real> > &bnd,
77 const Vector<Real> &x,
78 ROL::ParameterList &parlist)
79 : obj_(obj), x_(ROL::nullPtr), g_(ROL::nullPtr), scratch_(ROL::nullPtr),
80 fval_(0), gnorm_(0), nfval_(0), ngval_(0) {
81 ROL::ParameterList& IPlist = parlist.sublist("Step").sublist("Interior Point");
82 barrier_ = ROL::makePtr<ObjectiveFromBoundConstraint<Real>>(*bnd,IPlist);
83 x_ = x.clone();
84 g_ = x.dual().clone();
85 scratch_ = x.dual().clone();
86 mu_ = IPlist.get("Initial Barrier Parameter",1.0);
87 }
88
89 void updatePenalty( Real mu ) {
90 mu_ = mu;
91 }
92
94 return nfval_;
95 }
96
98 return ngval_;
99 }
100
101 void reset(void) {
102 nfval_ = 0; nfval_ = 0;
103 }
104
105 void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
106 // Update original objective and bound penalty
107 obj_->update(x,flag,iter);
108 barrier_->update(x,flag,iter);
109 }
110
111 Real value( const Vector<Real> &x, Real &tol ) {
112 // Compute original objective value and bound penalty value
113 fval_ = obj_->value(x,tol);
114 Real val = fval_;
115 Real bval = barrier_->value(x,tol);
116 val += mu_*bval;
117
118 ++nfval_;
119 return val;
120 }
121
122 Real getObjectiveValue(void) {
123 return fval_;
124 }
125
126 void gradient( Vector<Real> &g, const Vector<Real> &x, Real &tol ) {
127 // Compute gradient of objective and bound penalty
128 obj_->gradient(g,x,tol);
129 barrier_->gradient(*scratch_,x,tol);
130 scratch_->scale(mu_);
131 g.plus(*scratch_);
132
133 g_->set(g);
134 gnorm_ = g.norm();
135 ++ngval_;
136 }
137
139 g.set(*g_);
140 }
141
143 return gnorm_;
144 }
145
146 void hessVec( Vector<Real> &hv, const Vector<Real> &v,
147 const Vector<Real> &x, Real &tol ) {
148 // Compute hessvec of objective and bound penalty
149 obj_->hessVec(hv, v, x, tol);
150 barrier_->hessVec(*scratch_,v,x,tol);
151 scratch_->scale(mu_);
152 hv.plus(*scratch_);
153 }
154
155}; // class InteriorPointObjective
156
157} // namespace InteriorPoint
158} // namespace ROL
159
160#endif
Provides the interface to apply upper and lower bound constraints.
void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
void update(const Vector< Real > &x, bool flag=true, int iter=-1)
Update objective function.
PartitionedVector< Real >::size_type size_type
Real value(const Vector< Real > &x, Real &tol)
Compute value.
PenalizedObjective(const ROL::Ptr< Objective< Real > > &obj, const ROL::Ptr< BoundConstraint< Real > > &bnd, const Vector< Real > &x, ROL::ParameterList &parlist)
ROL::Ptr< Objective< Real > > barrier_
Provides the interface to evaluate objective functions.
std::vector< PV >::size_type size_type
Defines the linear algebra or vector space interface.
virtual Real norm() const =0
Returns where .
virtual void set(const Vector &x)
Set where .
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis,...
virtual void plus(const Vector &x)=0
Compute , where .
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.