ROL
ROL_Bundle_U_AS.hpp
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43
44#ifndef ROL_BUNDLE_U_AS_H
45#define ROL_BUNDLE_U_AS_H
46
47#include "ROL_Bundle_U.hpp"
48
53namespace ROL {
54
55template<typename Real>
56class Bundle_U_AS : public Bundle_U<Real> {
57/***********************************************************************************************/
58/***************** BUNDLE STORAGE **************************************************************/
59/***********************************************************************************************/
60private:
61
62 Ptr<Vector<Real>> tG_;
63 Ptr<Vector<Real>> eG_;
64 Ptr<Vector<Real>> yG_;
65 Ptr<Vector<Real>> gx_;
66 Ptr<Vector<Real>> ge_;
67
68 std::set<unsigned> workingSet_;
69 std::set<unsigned> nworkingSet_;
70
72
73/***********************************************************************************************/
74/***************** BUNDLE MODIFICATION AND ACCESS ROUTINES *************************************/
75/***********************************************************************************************/
76public:
77 Bundle_U_AS(const unsigned maxSize = 10,
78 const Real coeff = 0.0,
79 const Real omega = 2.0,
80 const unsigned remSize = 2);
81
82 void initialize(const Vector<Real> &g);
83
84 unsigned solveDual(const Real t, const unsigned maxit = 1000, const Real tol = 1.e-8);
85
86/***********************************************************************************************/
87/***************** DUAL CUTTING PLANE PROBLEM ROUTINES *****************************************/
88/***********************************************************************************************/
89private:
90 void initializeDualSolver(void);
91
92 void computeLagMult(std::vector<Real> &lam, const Real mu, const std::vector<Real> &g) const;
93
94 bool isNonnegative(unsigned &ind, const std::vector<Real> &x) const;
95
96 Real computeStepSize(unsigned &ind, const std::vector<Real> &x, const std::vector<Real> &p) const;
97
98 unsigned solveEQPsubproblem(std::vector<Real> &s, Real &mu,
99 const std::vector<Real> &g, const Real tol) const;
100
101 void applyPreconditioner(std::vector<Real> &Px, const std::vector<Real> &x) const;
102
103 void applyG(std::vector<Real> &Gx, const std::vector<Real> &x) const;
104
105 void applyPreconditioner_Identity(std::vector<Real> &Px, const std::vector<Real> &x) const;
106
107 void applyG_Identity(std::vector<Real> &Gx, const std::vector<Real> &x) const;
108
109 void applyPreconditioner_Jacobi(std::vector<Real> &Px, const std::vector<Real> &x) const;
110
111 void applyG_Jacobi(std::vector<Real> &Gx, const std::vector<Real> &x) const;
112
113 void applyPreconditioner_SymGS(std::vector<Real> &Px, const std::vector<Real> &x) const;
114
115 void applyG_SymGS(std::vector<Real> &Gx, const std::vector<Real> &x) const;
116
117 void computeResidualUpdate(std::vector<Real> &r, std::vector<Real> &g) const;
118
119 void applyFullMatrix(std::vector<Real> &Hx, const std::vector<Real> &x) const;
120
121 void applyMatrix(std::vector<Real> &Hx, const std::vector<Real> &x) const;
122
123 unsigned projectedCG(std::vector<Real> &x, Real &mu, const std::vector<Real> &b, const Real tol) const;
124
125 Real dot(const std::vector<Real> &x, const std::vector<Real> &y) const;
126
127 Real norm(const std::vector<Real> &x) const;
128
129 void axpy(const Real a, const std::vector<Real> &x, std::vector<Real> &y) const;
130
131 void scale(std::vector<Real> &x, const Real a) const;
132
133 void scale(std::vector<Real> &x, const Real a, const std::vector<Real> &y) const;
134
135 unsigned solveDual_arbitrary(const Real t, const unsigned maxit = 1000, const Real tol = 1.e-8);
136
137 /************************************************************************/
138 /********************** PROJECTION ONTO FEASIBLE SET ********************/
139 /************************************************************************/
140 void project(std::vector<Real> &x, const std::vector<Real> &v) const;
141
142 Real computeCriticality(const std::vector<Real> &g, const std::vector<Real> &sol) const;
143}; // class Bundle_AS
144
145} // namespace ROL
146
148
149#endif
Provides the interface for and implements an active set bundle.
void applyG_Identity(std::vector< Real > &Gx, const std::vector< Real > &x) const
std::set< unsigned > workingSet_
unsigned projectedCG(std::vector< Real > &x, Real &mu, const std::vector< Real > &b, const Real tol) const
void applyMatrix(std::vector< Real > &Hx, const std::vector< Real > &x) const
Real norm(const std::vector< Real > &x) const
void applyPreconditioner(std::vector< Real > &Px, const std::vector< Real > &x) const
void applyPreconditioner_SymGS(std::vector< Real > &Px, const std::vector< Real > &x) const
void applyPreconditioner_Jacobi(std::vector< Real > &Px, const std::vector< Real > &x) const
void applyG_Jacobi(std::vector< Real > &Gx, const std::vector< Real > &x) const
Ptr< Vector< Real > > gx_
unsigned solveEQPsubproblem(std::vector< Real > &s, Real &mu, const std::vector< Real > &g, const Real tol) const
void computeResidualUpdate(std::vector< Real > &r, std::vector< Real > &g) const
void applyFullMatrix(std::vector< Real > &Hx, const std::vector< Real > &x) const
Bundle_U_AS(const unsigned maxSize=10, const Real coeff=0.0, const Real omega=2.0, const unsigned remSize=2)
void computeLagMult(std::vector< Real > &lam, const Real mu, const std::vector< Real > &g) const
Real dot(const std::vector< Real > &x, const std::vector< Real > &y) const
unsigned solveDual(const Real t, const unsigned maxit=1000, const Real tol=1.e-8)
std::set< unsigned > nworkingSet_
void applyG_SymGS(std::vector< Real > &Gx, const std::vector< Real > &x) const
unsigned solveDual_arbitrary(const Real t, const unsigned maxit=1000, const Real tol=1.e-8)
Ptr< Vector< Real > > ge_
void applyG(std::vector< Real > &Gx, const std::vector< Real > &x) const
Ptr< Vector< Real > > yG_
bool isNonnegative(unsigned &ind, const std::vector< Real > &x) const
void initialize(const Vector< Real > &g)
void applyPreconditioner_Identity(std::vector< Real > &Px, const std::vector< Real > &x) const
Real computeCriticality(const std::vector< Real > &g, const std::vector< Real > &sol) const
Real computeStepSize(unsigned &ind, const std::vector< Real > &x, const std::vector< Real > &p) const
Ptr< Vector< Real > > eG_
void scale(std::vector< Real > &x, const Real a) const
void axpy(const Real a, const std::vector< Real > &x, std::vector< Real > &y) const
Ptr< Vector< Real > > tG_
void project(std::vector< Real > &x, const std::vector< Real > &v) const
Provides the interface for and implements a bundle.
Defines the linear algebra or vector space interface.