ROL
ROL_lBFGS.hpp
Go to the documentation of this file.
1 // @HEADER
2 // ************************************************************************
3 //
4 // Rapid Optimization Library (ROL) Package
5 // Copyright (2014) Sandia Corporation
6 //
7 // Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
8 // license for use of this work by or on behalf of the U.S. Government.
9 //
10 // Redistribution and use in source and binary forms, with or without
11 // modification, are permitted provided that the following conditions are
12 // met:
13 //
14 // 1. Redistributions of source code must retain the above copyright
15 // notice, this list of conditions and the following disclaimer.
16 //
17 // 2. Redistributions in binary form must reproduce the above copyright
18 // notice, this list of conditions and the following disclaimer in the
19 // documentation and/or other materials provided with the distribution.
20 //
21 // 3. Neither the name of the Corporation nor the names of the
22 // contributors may be used to endorse or promote products derived from
23 // this software without specific prior written permission.
24 //
25 // THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
26 // EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
27 // IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
28 // PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
29 // CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
30 // EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
31 // PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
32 // PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
33 // LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
34 // NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
35 // SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
36 //
37 // Questions? Contact lead developers:
38 // Drew Kouri (dpkouri@sandia.gov) and
39 // Denis Ridzal (dridzal@sandia.gov)
40 //
41 // ************************************************************************
42 // @HEADER
43 
44 #ifndef ROL_LBFGS_H
45 #define ROL_LBFGS_H
46 
51 #include "ROL_Secant.hpp"
52 
53 namespace ROL {
54 
55 template<class Real>
56 class lBFGS : public Secant<Real> {
57 private:
59 
60 public:
61  lBFGS(int M, bool useDefaultScaling = true, Real Bscaling = Real(1))
62  : Secant<Real>(M,useDefaultScaling,Bscaling) {}
63 
64  // Apply lBFGS Approximate Inverse Hessian
65  void applyH( Vector<Real> &Hv, const Vector<Real> &v ) const {
66  const Real zero(0);
67 
68  Hv.set(v.dual());
69  std::vector<Real> alpha(state_->current+1,zero);
70  for (int i = state_->current; i>=0; i--) {
71  alpha[i] = state_->iterDiff[i]->dot(Hv);
72  alpha[i] /= state_->product[i];
73  Hv.axpy(-alpha[i],(state_->gradDiff[i])->dual());
74  }
75 
76  // Apply initial inverse Hessian approximation to v
77  Ptr<Vector<Real>> tmp = Hv.clone();
78  Secant<Real>::applyH0(*tmp,Hv.dual());
79  Hv.set(*tmp);
80 
81  Real beta(0);
82  for (int i = 0; i <= state_->current; i++) {
83  //beta = Hv.dot((state_->gradDiff[i])->dual());
84  beta = Hv.apply(*state_->gradDiff[i]);
85  beta /= state_->product[i];
86  Hv.axpy((alpha[i]-beta),*(state_->iterDiff[i]));
87  }
88  }
89 
90  // Apply lBFGS Approximate Hessian
91  void applyB( Vector<Real> &Bv, const Vector<Real> &v ) const {
92  const Real one(1);
93 
94  // Apply initial Hessian approximation to v
96 
97  std::vector<Ptr<Vector<Real>>> a(state_->current+1);
98  std::vector<Ptr<Vector<Real>>> b(state_->current+1);
99  Real bv(0), av(0), bs(0), as(0);
100  for (int i = 0; i <= state_->current; i++) {
101  b[i] = Bv.clone();
102  b[i]->set(*(state_->gradDiff[i]));
103  b[i]->scale(one/sqrt(state_->product[i]));
104  //bv = v.dot(b[i]->dual());
105  bv = v.apply(*b[i]);
106  Bv.axpy(bv,*b[i]);
107 
108  a[i] = Bv.clone();
109  Secant<Real>::applyB0(*a[i],*(state_->iterDiff[i]));
110 
111  for (int j = 0; j < i; j++) {
112  //bs = (state_->iterDiff[i])->dot(b[j]->dual());
113  bs = (state_->iterDiff[i])->apply(*b[j]);
114  a[i]->axpy(bs,*b[j]);
115  //as = (state_->iterDiff[i])->dot(a[j]->dual());
116  as = (state_->iterDiff[i])->apply(*a[j]);
117  a[i]->axpy(-as,*a[j]);
118  }
119  //as = (state_->iterDiff[i])->dot(a[i]->dual());
120  as = (state_->iterDiff[i])->apply(*a[i]);
121  a[i]->scale(one/sqrt(as));
122  //av = v.dot(a[i]->dual());
123  av = v.apply(*a[i]);
124  Bv.axpy(-av,*a[i]);
125  }
126  }
127 };
128 
129 }
130 
131 #endif
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
virtual Real apply(const Vector< Real > &x) const
Apply to a dual vector. This is equivalent to the call .
Definition: ROL_Vector.hpp:238
virtual void axpy(const Real alpha, const Vector &x)
Compute where .
Definition: ROL_Vector.hpp:153
lBFGS(int M, bool useDefaultScaling=true, Real Bscaling=Real(1))
Definition: ROL_lBFGS.hpp:61
void applyH(Vector< Real > &Hv, const Vector< Real > &v) const
Definition: ROL_lBFGS.hpp:65
Provides definitions for limited-memory BFGS operators.
Definition: ROL_lBFGS.hpp:56
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:80
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
void applyB(Vector< Real > &Bv, const Vector< Real > &v) const
Definition: ROL_lBFGS.hpp:91
virtual void applyH0(Vector< Real > &Hv, const Vector< Real > &v) const
Definition: ROL_Secant.hpp:144
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis...
Definition: ROL_Vector.hpp:226
Provides interface for and implements limited-memory secant operators.
Definition: ROL_Secant.hpp:79
void apply(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply linear operator.
Definition: ROL_Secant.hpp:198
const Ptr< SecantState< Real > > state_
Definition: ROL_Secant.hpp:82
virtual void set(const Vector &x)
Set where .
Definition: ROL_Vector.hpp:209
virtual void applyB0(Vector< Real > &Bv, const Vector< Real > &v) const
Definition: ROL_Secant.hpp:161