Date: 2021-03-03T22:28:11+00:00

Actual source code: bqnk.c
petsc-3.14.5 2021-03-03
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      1: #include <../src/tao/bound/impls/bqnk/bqnk.h>
      2: #include <petscksp.h>

      4: static const char *BQNK_INIT[64] = {"constant", "direction"};
      5: static const char *BNK_UPDATE[64] = {"step", "reduction", "interpolation"};
      6: static const char *BNK_AS[64] = {"none", "bertsekas"};

      8: static PetscErrorCode TaoBQNKComputeHessian(Tao tao)
      9: {
     10:   TAO_BNK        *bnk = (TAO_BNK *)tao->data;
     11:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;
     13:   PetscReal      gnorm2, delta;

     16:   /* Alias the LMVM matrix into the TAO hessian */
     17:   if (tao->hessian) {
     18:     MatDestroy(&tao->hessian);
     19:   }
     20:   if (tao->hessian_pre) {
     21:     MatDestroy(&tao->hessian_pre);
     22:   }
     23:   PetscObjectReference((PetscObject)bqnk->B);
     24:   tao->hessian = bqnk->B;
     25:   PetscObjectReference((PetscObject)bqnk->B);
     26:   tao->hessian_pre = bqnk->B;
     27:   /* Update the Hessian with the latest solution */
     28:   if (bqnk->is_spd) {
     29:     gnorm2 = bnk->gnorm*bnk->gnorm;
     30:     if (gnorm2 == 0.0) gnorm2 = PETSC_MACHINE_EPSILON;
     31:     if (bnk->f == 0.0) {
     32:       delta = 2.0 / gnorm2;
     33:     } else {
     34:       delta = 2.0 * PetscAbsScalar(bnk->f) / gnorm2;
     35:     }
     36:     MatLMVMSymBroydenSetDelta(bqnk->B, delta);
     37:   }
     38:   MatLMVMUpdate(tao->hessian, tao->solution, bnk->unprojected_gradient);
     39:   MatLMVMResetShift(tao->hessian);
     40:   /* Prepare the reduced sub-matrices for the inactive set */
     41:   MatDestroy(&bnk->H_inactive);
     42:   if (bnk->active_idx) {
     43:     MatCreateSubMatrixVirtual(tao->hessian, bnk->inactive_idx, bnk->inactive_idx, &bnk->H_inactive);
     44:     PCLMVMSetIS(bqnk->pc, bnk->inactive_idx);
     45:   } else {
     46:     PetscObjectReference((PetscObject)tao->hessian);
     47:     bnk->H_inactive = tao->hessian;
     48:     PCLMVMClearIS(bqnk->pc);
     49:   }
     50:   MatDestroy(&bnk->Hpre_inactive);
     51:   PetscObjectReference((PetscObject)bnk->H_inactive);
     52:   bnk->Hpre_inactive = bnk->H_inactive;
     53:   return(0);
     54: }

     56: static PetscErrorCode TaoBQNKComputeStep(Tao tao, PetscBool shift, KSPConvergedReason *ksp_reason, PetscInt *step_type)
     57: {
     58:   TAO_BNK        *bnk = (TAO_BNK *)tao->data;
     59:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;

     63:   TaoBNKComputeStep(tao, shift, ksp_reason, step_type);
     64:   if (*ksp_reason < 0) {
     65:     /* Krylov solver failed to converge so reset the LMVM matrix */
     66:     MatLMVMReset(bqnk->B, PETSC_FALSE);
     67:     MatLMVMUpdate(bqnk->B, tao->solution, bnk->unprojected_gradient);
     68:   }
     69:   return(0);
     70: }

     72: PetscErrorCode TaoSetUp_BQNK(Tao tao)
     73: {
     74:   TAO_BNK        *bnk = (TAO_BNK *)tao->data;
     75:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;
     77:   PetscInt       n, N;
     78:   PetscBool      is_lmvm, is_sym, is_spd;

     81:   TaoSetUp_BNK(tao);
     82:   VecGetLocalSize(tao->solution,&n);
     83:   VecGetSize(tao->solution,&N);
     84:   MatSetSizes(bqnk->B, n, n, N, N);
     85:   MatLMVMAllocate(bqnk->B,tao->solution,bnk->unprojected_gradient);
     86:   PetscObjectBaseTypeCompare((PetscObject)bqnk->B, MATLMVM, &is_lmvm);
     87:   if (!is_lmvm) SETERRQ(PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_INCOMP, "Matrix must be an LMVM-type");
     88:   MatGetOption(bqnk->B, MAT_SYMMETRIC, &is_sym);
     89:   if (!is_sym) SETERRQ(PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_INCOMP, "LMVM matrix must be symmetric");
     90:   MatGetOption(bqnk->B, MAT_SPD, &is_spd);
     91:   KSPGetPC(tao->ksp, &bqnk->pc);
     92:   PCSetType(bqnk->pc, PCLMVM);
     93:   PCLMVMSetMatLMVM(bqnk->pc, bqnk->B);
     94:   return(0);
     95: }

     97: static PetscErrorCode TaoSetFromOptions_BQNK(PetscOptionItems *PetscOptionsObject,Tao tao)
     98: {
     99:   TAO_BNK        *bnk = (TAO_BNK *)tao->data;
    100:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;
    102:   KSPType        ksp_type;

    105:   PetscOptionsHead(PetscOptionsObject,"Quasi-Newton-Krylov method for bound constrained optimization");
    106:   PetscOptionsEList("-tao_bqnk_init_type", "radius initialization type", "", BQNK_INIT, BQNK_INIT_TYPES, BQNK_INIT[bnk->init_type], &bnk->init_type, NULL);
    107:   PetscOptionsEList("-tao_bqnk_update_type", "radius update type", "", BNK_UPDATE, BNK_UPDATE_TYPES, BNK_UPDATE[bnk->update_type], &bnk->update_type, NULL);
    108:   PetscOptionsEList("-tao_bqnk_as_type", "active set estimation method", "", BNK_AS, BNK_AS_TYPES, BNK_AS[bnk->as_type], &bnk->as_type, NULL);
    109:   PetscOptionsReal("-tao_bqnk_sval", "(developer) Hessian perturbation starting value", "", bnk->sval, &bnk->sval,NULL);
    110:   PetscOptionsReal("-tao_bqnk_imin", "(developer) minimum initial Hessian perturbation", "", bnk->imin, &bnk->imin,NULL);
    111:   PetscOptionsReal("-tao_bqnk_imax", "(developer) maximum initial Hessian perturbation", "", bnk->imax, &bnk->imax,NULL);
    112:   PetscOptionsReal("-tao_bqnk_imfac", "(developer) initial merit factor for Hessian perturbation", "", bnk->imfac, &bnk->imfac,NULL);
    113:   PetscOptionsReal("-tao_bqnk_pmin", "(developer) minimum Hessian perturbation", "", bnk->pmin, &bnk->pmin,NULL);
    114:   PetscOptionsReal("-tao_bqnk_pmax", "(developer) maximum Hessian perturbation", "", bnk->pmax, &bnk->pmax,NULL);
    115:   PetscOptionsReal("-tao_bqnk_pgfac", "(developer) Hessian perturbation growth factor", "", bnk->pgfac, &bnk->pgfac,NULL);
    116:   PetscOptionsReal("-tao_bqnk_psfac", "(developer) Hessian perturbation shrink factor", "", bnk->psfac, &bnk->psfac,NULL);
    117:   PetscOptionsReal("-tao_bqnk_pmgfac", "(developer) merit growth factor for Hessian perturbation", "", bnk->pmgfac, &bnk->pmgfac,NULL);
    118:   PetscOptionsReal("-tao_bqnk_pmsfac", "(developer) merit shrink factor for Hessian perturbation", "", bnk->pmsfac, &bnk->pmsfac,NULL);
    119:   PetscOptionsReal("-tao_bqnk_eta1", "(developer) threshold for rejecting step (-tao_bqnk_update_type reduction)", "", bnk->eta1, &bnk->eta1,NULL);
    120:   PetscOptionsReal("-tao_bqnk_eta2", "(developer) threshold for accepting marginal step (-tao_bqnk_update_type reduction)", "", bnk->eta2, &bnk->eta2,NULL);
    121:   PetscOptionsReal("-tao_bqnk_eta3", "(developer) threshold for accepting reasonable step (-tao_bqnk_update_type reduction)", "", bnk->eta3, &bnk->eta3,NULL);
    122:   PetscOptionsReal("-tao_bqnk_eta4", "(developer) threshold for accepting good step (-tao_bqnk_update_type reduction)", "", bnk->eta4, &bnk->eta4,NULL);
    123:   PetscOptionsReal("-tao_bqnk_alpha1", "(developer) radius reduction factor for rejected step (-tao_bqnk_update_type reduction)", "", bnk->alpha1, &bnk->alpha1,NULL);
    124:   PetscOptionsReal("-tao_bqnk_alpha2", "(developer) radius reduction factor for marginally accepted bad step (-tao_bqnk_update_type reduction)", "", bnk->alpha2, &bnk->alpha2,NULL);
    125:   PetscOptionsReal("-tao_bqnk_alpha3", "(developer) radius increase factor for reasonable accepted step (-tao_bqnk_update_type reduction)", "", bnk->alpha3, &bnk->alpha3,NULL);
    126:   PetscOptionsReal("-tao_bqnk_alpha4", "(developer) radius increase factor for good accepted step (-tao_bqnk_update_type reduction)", "", bnk->alpha4, &bnk->alpha4,NULL);
    127:   PetscOptionsReal("-tao_bqnk_alpha5", "(developer) radius increase factor for very good accepted step (-tao_bqnk_update_type reduction)", "", bnk->alpha5, &bnk->alpha5,NULL);
    128:   PetscOptionsReal("-tao_bqnk_nu1", "(developer) threshold for small line-search step length (-tao_bqnk_update_type step)", "", bnk->nu1, &bnk->nu1,NULL);
    129:   PetscOptionsReal("-tao_bqnk_nu2", "(developer) threshold for reasonable line-search step length (-tao_bqnk_update_type step)", "", bnk->nu2, &bnk->nu2,NULL);
    130:   PetscOptionsReal("-tao_bqnk_nu3", "(developer) threshold for large line-search step length (-tao_bqnk_update_type step)", "", bnk->nu3, &bnk->nu3,NULL);
    131:   PetscOptionsReal("-tao_bqnk_nu4", "(developer) threshold for very large line-search step length (-tao_bqnk_update_type step)", "", bnk->nu4, &bnk->nu4,NULL);
    132:   PetscOptionsReal("-tao_bqnk_omega1", "(developer) radius reduction factor for very small line-search step length (-tao_bqnk_update_type step)", "", bnk->omega1, &bnk->omega1,NULL);
    133:   PetscOptionsReal("-tao_bqnk_omega2", "(developer) radius reduction factor for small line-search step length (-tao_bqnk_update_type step)", "", bnk->omega2, &bnk->omega2,NULL);
    134:   PetscOptionsReal("-tao_bqnk_omega3", "(developer) radius factor for decent line-search step length (-tao_bqnk_update_type step)", "", bnk->omega3, &bnk->omega3,NULL);
    135:   PetscOptionsReal("-tao_bqnk_omega4", "(developer) radius increase factor for large line-search step length (-tao_bqnk_update_type step)", "", bnk->omega4, &bnk->omega4,NULL);
    136:   PetscOptionsReal("-tao_bqnk_omega5", "(developer) radius increase factor for very large line-search step length (-tao_bqnk_update_type step)", "", bnk->omega5, &bnk->omega5,NULL);
    137:   PetscOptionsReal("-tao_bqnk_mu1", "(developer) threshold for accepting very good step (-tao_bqnk_update_type interpolation)", "", bnk->mu1, &bnk->mu1,NULL);
    138:   PetscOptionsReal("-tao_bqnk_mu2", "(developer) threshold for accepting good step (-tao_bqnk_update_type interpolation)", "", bnk->mu2, &bnk->mu2,NULL);
    139:   PetscOptionsReal("-tao_bqnk_gamma1", "(developer) radius reduction factor for rejected very bad step (-tao_bqnk_update_type interpolation)", "", bnk->gamma1, &bnk->gamma1,NULL);
    140:   PetscOptionsReal("-tao_bqnk_gamma2", "(developer) radius reduction factor for rejected bad step (-tao_bqnk_update_type interpolation)", "", bnk->gamma2, &bnk->gamma2,NULL);
    141:   PetscOptionsReal("-tao_bqnk_gamma3", "(developer) radius increase factor for accepted good step (-tao_bqnk_update_type interpolation)", "", bnk->gamma3, &bnk->gamma3,NULL);
    142:   PetscOptionsReal("-tao_bqnk_gamma4", "(developer) radius increase factor for accepted very good step (-tao_bqnk_update_type interpolation)", "", bnk->gamma4, &bnk->gamma4,NULL);
    143:   PetscOptionsReal("-tao_bqnk_theta", "(developer) trust region interpolation factor (-tao_bqnk_update_type interpolation)", "", bnk->theta, &bnk->theta,NULL);
    144:   PetscOptionsReal("-tao_bqnk_min_radius", "(developer) lower bound on initial radius", "", bnk->min_radius, &bnk->min_radius,NULL);
    145:   PetscOptionsReal("-tao_bqnk_max_radius", "(developer) upper bound on radius", "", bnk->max_radius, &bnk->max_radius,NULL);
    146:   PetscOptionsReal("-tao_bqnk_epsilon", "(developer) tolerance used when computing actual and predicted reduction", "", bnk->epsilon, &bnk->epsilon,NULL);
    147:   PetscOptionsReal("-tao_bqnk_as_tol", "(developer) initial tolerance used when estimating actively bounded variables", "", bnk->as_tol, &bnk->as_tol,NULL);
    148:   PetscOptionsReal("-tao_bqnk_as_step", "(developer) step length used when estimating actively bounded variables", "", bnk->as_step, &bnk->as_step,NULL);
    149:   PetscOptionsInt("-tao_bqnk_max_cg_its", "number of BNCG iterations to take for each Newton step", "", bnk->max_cg_its, &bnk->max_cg_its,NULL);
    150:   PetscOptionsTail();
    151:   TaoSetFromOptions(bnk->bncg);
    152:   TaoLineSearchSetFromOptions(tao->linesearch);
    153:   KSPSetFromOptions(tao->ksp);
    154:   KSPGetType(tao->ksp,&ksp_type);
    155:   PetscStrcmp(ksp_type,KSPNASH,&bnk->is_nash);
    156:   PetscStrcmp(ksp_type,KSPSTCG,&bnk->is_stcg);
    157:   PetscStrcmp(ksp_type,KSPGLTR,&bnk->is_gltr);
    158:   if (bnk->init_type == BNK_INIT_INTERPOLATION) bnk->init_type = BNK_INIT_DIRECTION;
    159:   MatSetFromOptions(bqnk->B);
    160:   MatGetOption(bqnk->B, MAT_SPD, &bqnk->is_spd);
    161:   return(0);
    162: }

    164: static PetscErrorCode TaoView_BQNK(Tao tao, PetscViewer viewer)
    165: {
    166:   TAO_BNK        *bnk = (TAO_BNK*)tao->data;
    167:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;
    169:   PetscBool      isascii;

    172:   TaoView_BNK(tao, viewer);
    173:   PetscObjectTypeCompare((PetscObject)viewer,PETSCVIEWERASCII,&isascii);
    174:   if (isascii) {
    175:     PetscViewerPushFormat(viewer, PETSC_VIEWER_ASCII_INFO);
    176:     MatView(bqnk->B, viewer);
    177:     PetscViewerPopFormat(viewer);
    178:   }
    179:   return(0);
    180: }

    182: static PetscErrorCode TaoDestroy_BQNK(Tao tao)
    183: {
    184:   TAO_BNK        *bnk = (TAO_BNK*)tao->data;
    185:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;

    189:   MatDestroy(&bnk->Hpre_inactive);
    190:   MatDestroy(&bnk->H_inactive);
    191:   MatDestroy(&bqnk->B);
    192:   PetscFree(bnk->ctx);
    193:   TaoDestroy_BNK(tao);
    194:   return(0);
    195: }

    197: PETSC_INTERN PetscErrorCode TaoCreate_BQNK(Tao tao)
    198: {
    199:   TAO_BNK        *bnk;
    200:   TAO_BQNK       *bqnk;

    204:   TaoCreate_BNK(tao);
    205:   KSPSetOptionsPrefix(tao->ksp, "tao_bqnk_");
    206:   tao->ops->setfromoptions = TaoSetFromOptions_BQNK;
    207:   tao->ops->destroy = TaoDestroy_BQNK;
    208:   tao->ops->view = TaoView_BQNK;
    209:   tao->ops->setup = TaoSetUp_BQNK;

    211:   bnk = (TAO_BNK *)tao->data;
    212:   bnk->computehessian = TaoBQNKComputeHessian;
    213:   bnk->computestep = TaoBQNKComputeStep;
    214:   bnk->init_type = BNK_INIT_DIRECTION;

    216:   PetscNewLog(tao,&bqnk);
    217:   bnk->ctx = (void*)bqnk;
    218:   bqnk->is_spd = PETSC_TRUE;

    220:   MatCreate(PetscObjectComm((PetscObject)tao), &bqnk->B);
    221:   PetscObjectIncrementTabLevel((PetscObject)bqnk->B, (PetscObject)tao, 1);
    222:   MatSetOptionsPrefix(bqnk->B, "tao_bqnk_");
    223:   MatSetType(bqnk->B, MATLMVMSR1);
    224:   return(0);
    225: }

    227: PetscErrorCode TaoGetLMVMMatrix(Tao tao, Mat *B)
    228: {
    229:   TAO_BNK        *bnk = (TAO_BNK*)tao->data;
    230:   TAO_BQNK       *bqnk = (TAO_BQNK*)bnk->ctx;
    232:   PetscBool      is_bqnls, is_bqnkls, is_bqnktr, is_bqnktl;

    235:   PetscObjectTypeCompare((PetscObject)tao, TAOBQNLS, &is_bqnls);
    236:   PetscObjectTypeCompare((PetscObject)tao, TAOBQNKLS, &is_bqnkls);
    237:   PetscObjectTypeCompare((PetscObject)tao, TAOBQNKTR, &is_bqnktr);
    238:   PetscObjectTypeCompare((PetscObject)tao, TAOBQNKTL, &is_bqnktl);
    239:   if (!is_bqnls && !is_bqnkls && !is_bqnktr && is_bqnktl) SETERRQ(PetscObjectComm((PetscObject)tao), PETSC_ERR_ARG_INCOMP, "LMVM Matrix only exists for quasi-Newton algorithms");
    240:   *B = bqnk->B;
    241:   return(0);
    242: }