Date: 2015-10-02T22:30:16+00:00

Actual source code: nls.h
petsc-3.6.2 2015-10-02
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      1: /*
      2: Context for a Newton line search method (unconstrained minimization)
      3: */

      5: #ifndef __TAO_NLS_H
      7: #include <petsc/private/taoimpl.h>

      9: typedef struct {
     10:   Mat M;

     12:   Vec D;
     13:   Vec W;

     15:   Vec Xold;
     16:   Vec Gold;
     17:   Vec Diag;

     19:   /*  Parameters when updating the perturbation added to the Hessian matrix */
     20:   PetscReal sval;          /*  Starting perturbation value, default zero */

     22:   PetscReal imin;          /*  Minimum perturbation added during initialization  */
     23:   PetscReal imax;          /*  Maximum perturbation added during initialization */
     24:   PetscReal imfac;         /*  Merit function factor during initialization */

     26:   PetscReal pmin;          /*  Minimim perturbation value */
     27:   PetscReal pmax;          /*  Maximum perturbation value */
     28:   PetscReal pgfac;         /*  Perturbation growth factor */
     29:   PetscReal psfac;         /*  Perturbation shrink factor */
     30:   PetscReal pmgfac;        /*  Merit function growth factor */
     31:   PetscReal pmsfac;        /*  Merit function shrink factor */

     33:   /* The perturbation to the Hessian matrix is initialized and updated
     34:      according to the following scheme:

     36:        pert = sval;

     38:        do until convergence
     39:          shift Hessian by pert
     40:          solve Newton system

     42:          if (linear solver failed or did not compute a descent direction)
     43:            use steepest descent direction and increase perturbation

     45:            if (0 == pert)
     46:              initialize perturbation
     47:              pert = min(imax, max(imin, imfac * norm(G)))
     48:            else
     49:              increase perturbation
     50:              pert = min(pmax, max(pgfac * pert, pmgfac * norm(G)))
     51:            fi
     52:          else
     53:            use linear solver direction and decrease perturbation

     55:            pert = min(psfac * pert, pmsfac * norm(G))
     56:            if (pert < pmin)
     57:              pert = 0
     58:            fi
     59:          fi

     61:          perform line search
     62:          function and gradient evaluation
     63:          check convergence
     64:        od
     65:   */

     67:   /*  Parameters when updating the trust-region radius based on steplength */
     68:   PetscReal nu1;                /*  used to compute trust-region radius */
     69:   PetscReal nu2;                /*  used to compute trust-region radius */
     70:   PetscReal nu3;                /*  used to compute trust-region radius */
     71:   PetscReal nu4;                /*  used to compute trust-region radius */

     73:   PetscReal omega1;        /*  factor used for trust-region update */
     74:   PetscReal omega2;        /*  factor used for trust-region update */
     75:   PetscReal omega3;        /*  factor used for trust-region update */
     76:   PetscReal omega4;        /*  factor used for trust-region update */
     77:   PetscReal omega5;        /*  factor used for trust-region update */

     79:   /* if   step < nu1            (very bad step)
     80:        radius = omega1 * min(norm(d), radius)
     81:      elif step < nu2            (bad step)
     82:        radius = omega2 * min(norm(d), radius)
     83:      elif step < nu3            (okay step)
     84:        radius = omega3 * radius;
     85:      elif step < nu4            (good step)
     86:        radius = max(omega4 * norm(d), radius)
     87:      else                       (very good step)
     88:        radius = max(omega5 * norm(d), radius)
     89:      fi
     90:   */

     92:   /*  Parameters when updating the trust-region radius based on reduction */
     93:   PetscReal eta1;               /*  used to compute trust-region radius */
     94:   PetscReal eta2;               /*  used to compute trust-region radius */
     95:   PetscReal eta3;               /*  used to compute trust-region radius */
     96:   PetscReal eta4;               /*  used to compute trust-region radius */

     98:   PetscReal alpha1;        /*  factor used for trust-region update */
     99:   PetscReal alpha2;        /*  factor used for trust-region update */
    100:   PetscReal alpha3;        /*  factor used for trust-region update */
    101:   PetscReal alpha4;        /*  factor used for trust-region update */
    102:   PetscReal alpha5;        /*  factor used for trust-region update */

    104:   /* kappa = ared / pred
    105:      if   kappa < eta1          (very bad step)
    106:        radius = alpha1 * min(norm(d), radius)
    107:      elif kappa < eta2          (bad step)
    108:        radius = alpha2 * min(norm(d), radius)
    109:      elif kappa < eta3          (okay step)
    110:        radius = alpha3 * radius;
    111:      elif kappa < eta4          (good step)
    112:        radius = max(alpha4 * norm(d), radius)
    113:      else                       (very good step)
    114:        radius = max(alpha5 * norm(d), radius)
    115:      fi
    116:   */

    118:   /*  Parameters when updating the trust-region radius based on interpolation */
    119:   PetscReal mu1;                /*  used for model agreement in interpolation */
    120:   PetscReal mu2;                /*  used for model agreement in interpolation */

    122:   PetscReal gamma1;     /*  factor used for interpolation */
    123:   PetscReal gamma2;     /*  factor used for interpolation */
    124:   PetscReal gamma3;     /*  factor used for interpolation */
    125:   PetscReal gamma4;     /*  factor used for interpolation */

    127:   PetscReal theta;              /*  factor used for interpolation */

    129:   /* kappa = ared / pred
    130:      if   kappa >= 1.0 - mu1    (very good step)
    131:        choose tau in [gamma3, gamma4]
    132:        radius = max(tau * norm(d), radius)
    133:      elif kappa >= 1.0 - mu2    (good step)
    134:        choose tau in [gamma2, gamma3]
    135:        if (tau >= 1.0)
    136:          radius = max(tau * norm(d), radius)
    137:        else
    138:          radius = tau * min(norm(d), radius)
    139:        fi
    140:      else                       (bad step)
    141:        choose tau in [gamma1, 1.0]
    142:        radius = tau * min(norm(d), radius)
    143:      fi
    144:   */

    146:   /*  Parameters when initializing trust-region radius based on interpolation */
    147:   PetscReal mu1_i;              /*  used for model agreement in interpolation */
    148:   PetscReal mu2_i;              /*  used for model agreement in interpolation */

    150:   PetscReal gamma1_i;   /*  factor used for interpolation */
    151:   PetscReal gamma2_i;   /*  factor used for interpolation */
    152:   PetscReal gamma3_i;   /*  factor used for interpolation */
    153:   PetscReal gamma4_i;   /*  factor used for interpolation */

    155:   PetscReal theta_i;    /*  factor used for interpolation */

    157:   /*  Other parameters */
    158:   PetscReal min_radius;    /*  lower bound on initial radius value */
    159:   PetscReal max_radius;    /*  upper bound on trust region radius */
    160:   PetscReal epsilon;       /*  tolerance used when computing ared/pred */

    162:   PetscInt newt;                /*  Newton directions attempted */
    163:   PetscInt bfgs;                /*  BFGS directions attempted */
    164:   PetscInt sgrad;               /*  Scaled gradient directions attempted */
    165:   PetscInt grad;                /*  Gradient directions attempted */

    168:   PetscInt ksp_type;            /*  KSP method for the code */
    169:   PetscInt pc_type;             /*  Preconditioner for the code */
    170:   PetscInt bfgs_scale_type;     /*  Scaling matrix to used for the bfgs preconditioner */
    171:   PetscInt init_type;   /*  Trust-region initialization method */
    172:   PetscInt update_type;      /*  Trust-region update method */

    174:   PetscInt ksp_atol;
    175:   PetscInt ksp_rtol;
    176:   PetscInt ksp_ctol;
    177:   PetscInt ksp_negc;
    178:   PetscInt ksp_dtol;
    179:   PetscInt ksp_iter;
    180:   PetscInt ksp_othr;
    181: } TAO_NLS;

    183: #endif /* ifndef __TAO_NLS_H */