ROL
Public Member Functions | Private Attributes | List of all members
ROL::PH_Objective< Real > Class Template Reference

Provides the interface for the progressive hedging objective. More...

#include <ROL_PH_Objective.hpp>

+ Inheritance diagram for ROL::PH_Objective< Real >:

Public Member Functions

 PH_Objective (const Ptr< Objective< Real > > &obj, const Ptr< Vector< Real > > &x, const Real penaltyParam, ParameterList &parlist)
 
void setData (const Ptr< const Vector< Real > > &xbar, const Ptr< const Vector< Real > > &w, const Real penaltyParam)
 
void update (const Vector< Real > &x, bool flag=true, int iter=-1)
 Update objective function.
 
Real value (const Vector< Real > &x, Real &tol)
 Compute value.
 
void gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol)
 Compute gradient.
 
void hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply Hessian approximation to vector.
 
void setParameter (const std::vector< Real > &param)
 
- Public Member Functions inherited from ROL::Objective< Real >
virtual ~Objective ()
 
 Objective ()
 
virtual void update (const Vector< Real > &x, UpdateType type, int iter=-1)
 Update objective function.
 
virtual Real dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol)
 Compute directional derivative.
 
virtual void invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply inverse Hessian approximation to vector.
 
virtual void precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
 Apply preconditioner to vector.
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference gradient check.
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference gradient check.
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference gradient check with specified step sizes.
 
virtual std::vector< std::vector< Real > > checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference gradient check with specified step sizes.
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference Hessian-applied-to-vector check.
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1)
 Finite-difference Hessian-applied-to-vector check.
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference Hessian-applied-to-vector check with specified step sizes.
 
virtual std::vector< std::vector< Real > > checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1)
 Finite-difference Hessian-applied-to-vector check with specified step sizes.
 
virtual std::vector< Real > checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
 Hessian symmetry check.
 
virtual std::vector< Real > checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout)
 Hessian symmetry check.
 

Private Attributes

Ptr< Objective< Real > > obj_
 
Ptr< const Vector< Real > > xbar_
 
Ptr< const Vector< Real > > w_
 
Ptr< Vector< Real > > xprimal_
 
Real penaltyParam_
 

Additional Inherited Members

- Protected Member Functions inherited from ROL::Objective< Real >
const std::vector< Real > getParameter (void) const
 

Detailed Description

template<class Real>
class ROL::PH_Objective< Real >

Provides the interface for the progressive hedging objective.


Definition at line 63 of file ROL_PH_Objective.hpp.

Constructor & Destructor Documentation

◆ PH_Objective()

template<class Real >
ROL::PH_Objective< Real >::PH_Objective ( const Ptr< Objective< Real > > & obj,
const Ptr< Vector< Real > > & x,
const Real penaltyParam,
ParameterList & parlist )
inline

Member Function Documentation

◆ setData()

template<class Real >
void ROL::PH_Objective< Real >::setData ( const Ptr< const Vector< Real > > & xbar,
const Ptr< const Vector< Real > > & w,
const Real penaltyParam )
inline

◆ update()

template<class Real >
void ROL::PH_Objective< Real >::update ( const Vector< Real > & x,
bool flag = true,
int iter = -1 )
inlinevirtual

Update objective function.

This function updates the objective function at new iterations.

Parameters
[in]xis the new iterate.
[in]flagis true if the iterate has changed.
[in]iteris the outer algorithm iterations count.

Reimplemented from ROL::Objective< Real >.

Definition at line 122 of file ROL_PH_Objective.hpp.

References ROL::PH_Objective< Real >::obj_.

◆ value()

template<class Real >
Real ROL::PH_Objective< Real >::value ( const Vector< Real > & x,
Real & tol )
inlinevirtual

Compute value.

This function returns the objective function value.

Parameters
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Implements ROL::Objective< Real >.

Definition at line 126 of file ROL_PH_Objective.hpp.

References ROL::Vector< Real >::dot(), ROL::PH_Objective< Real >::obj_, ROL::PH_Objective< Real >::penaltyParam_, ROL::PH_Objective< Real >::w_, ROL::PH_Objective< Real >::xbar_, and ROL::PH_Objective< Real >::xprimal_.

◆ gradient()

template<class Real >
void ROL::PH_Objective< Real >::gradient ( Vector< Real > & g,
const Vector< Real > & x,
Real & tol )
inlinevirtual

Compute gradient.

This function returns the objective function gradient.

Parameters
[out]gis the gradient.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

The default implementation is a finite-difference approximation based on the function value. This requires the definition of a basis \(\{\phi_i\}\) for the optimization vectors x and the definition of a basis \(\{\psi_j\}\) for the dual optimization vectors (gradient vectors g). The bases must be related through the Riesz map, i.e., \( R \{\phi_i\} = \{\psi_j\}\), and this must be reflected in the implementation of the ROL::Vector::dual() method.

Reimplemented from ROL::Objective< Real >.

Definition at line 136 of file ROL_PH_Objective.hpp.

References ROL::PH_Objective< Real >::obj_, ROL::PH_Objective< Real >::penaltyParam_, ROL::Vector< Real >::plus(), ROL::PH_Objective< Real >::w_, ROL::PH_Objective< Real >::xbar_, and ROL::PH_Objective< Real >::xprimal_.

◆ hessVec()

template<class Real >
void ROL::PH_Objective< Real >::hessVec ( Vector< Real > & hv,
const Vector< Real > & v,
const Vector< Real > & x,
Real & tol )
inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the objective function to the vector \(v\).

Parameters
[out]hvis the the action of the Hessian on \(v\).
[in]vis the direction vector.
[in]xis the current iterate.
[in]tolis a tolerance for inexact objective function computation.

Reimplemented from ROL::Objective< Real >.

Definition at line 144 of file ROL_PH_Objective.hpp.

References ROL::Vector< Real >::axpy(), ROL::Vector< Real >::dual(), ROL::PH_Objective< Real >::obj_, and ROL::PH_Objective< Real >::penaltyParam_.

◆ setParameter()

template<class Real >
void ROL::PH_Objective< Real >::setParameter ( const std::vector< Real > & param)
inlinevirtual

Member Data Documentation

◆ obj_

template<class Real >
Ptr<Objective<Real> > ROL::PH_Objective< Real >::obj_
private

◆ xbar_

template<class Real >
Ptr<const Vector<Real> > ROL::PH_Objective< Real >::xbar_
private

◆ w_

template<class Real >
Ptr<const Vector<Real> > ROL::PH_Objective< Real >::w_
private

◆ xprimal_

template<class Real >
Ptr<Vector<Real> > ROL::PH_Objective< Real >::xprimal_
private

◆ penaltyParam_

template<class Real >
Real ROL::PH_Objective< Real >::penaltyParam_
private

The documentation for this class was generated from the following file: