44#ifndef ROL_TYPEB_KELLEYSACHSALGORITHM_HPP
45#define ROL_TYPEB_KELLEYSACHSALGORITHM_HPP
60template<
typename Real>
63 Ptr<TrustRegionModel_U<Real>>
model_;
115 std::ostream &outStream = std::cout)
override;
118 std::ostream &outStream = std::cout )
override;
127 std::ostream &outStream = std::cout )
override;
129 void writeHeader( std::ostream& os )
const override;
131 void writeName( std::ostream& os )
const override;
133 void writeOutput( std::ostream& os,
bool write_header =
false )
const override;
140 std::ostream &outStream = std::cout);
149 Real
trqsol(
const Real xtx,
const Real ptp,
const Real ptx,
const Real del)
const;
178 const Real tol,
const int itermax,
181 std::ostream &outStream = std::cout)
const;
Provides the interface to apply upper and lower bound constraints.
Defines the general constraint operator interface.
Provides the interface to evaluate objective functions.
Provides interface for and implements limited-memory secant operators.
Provides the interface to evaluate trust-region model functions.
Provides an interface to run bound constrained optimization algorithms.
Ptr< PolyhedralProjection< Real > > proj_
const Ptr< AlgorithmState< Real > > state_
const Ptr< CombinedStatusTest< Real > > status_
Provides an interface to run the trust-region algorithm of Kelley and Sachs.
Real eta1_
Radius decrease threshold (default: 0.05)
Real gamma1_
Radius decrease rate (positive rho) (default: 0.25)
int minit_
Maximum number of minor (subproblem solve) iterations (default: 10)
Real eta2_
Radius increase threshold (default: 0.9)
Real eps0_
Epsilon binding set tolerance (default: 1e-3)
Real trqsol(const Real xtx, const Real ptp, const Real ptx, const Real del) const
Real eta0_
Step acceptance threshold (default: 0.05)
Real mu1_
Sufficient decrease parameter postsmoothing (default: 0.9999)
void run(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout) override
Run algorithm on bound constrained problems (Type-B). This general interface supports the use of dual...
unsigned verbosity_
Output level (default: 0)
int maxit_
Maximum number of CG iterations (default: 20)
Real alpha0_
Initial step size for projected search (default: 1)
Real tol2_
Relative tolerance for truncated CG (default: 1e-2)
Real mu0_
Sufficient decrease parameter (default: 1e-2)
void writeOutput(std::ostream &os, bool write_header=false) const override
Print iterate status.
KelleySachsAlgorithm(ParameterList &list, const Ptr< Secant< Real > > &secant=nullPtr)
bool writeHeader_
Flag to write header at every iteration.
Ptr< TrustRegionModel_U< Real > > model_
Container for trust-region model.
void applyFreePrecond(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, Real eps, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa, Vector< Real > &dwa) const
TRUtils::ETRFlag TRflag_
Trust-region exit flag.
int SPflag_
Subproblem solver termination flag.
Real beta_
Projected search backtracking rate (default: 1e-2)
void initialize(Vector< Real > &x, const Vector< Real > &g, Objective< Real > &obj, BoundConstraint< Real > &bnd, std::ostream &outStream=std::cout)
Real gamma2_
Radius increase rate (default: 2.5)
Real delMax_
Maximum trust-region radius (default: ROL_INF)
ESecant esec_
Secant type (default: Limited-Memory BFGS)
void writeName(std::ostream &os) const override
Print step name.
int SPiter_
Subproblem solver iteration count.
Real eps_
Safeguard for numerically evaluating ratio.
Real tol1_
Absolute tolerance for truncated CG (default: 1e-4)
Real TRsafe_
Safeguard size for numerically evaluating ratio (default: 1e2)
void writeHeader(std::ostream &os) const override
Print iterate header.
int nhess_
Number of Hessian applications.
Real trpcg(Vector< Real > &w, int &iflag, int &iter, const Vector< Real > &g, const Vector< Real > &x, const Vector< Real > &g0, const Real del, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real eps, const Real tol, const int itermax, Vector< Real > &p, Vector< Real > &q, Vector< Real > &r, Vector< Real > &t, Vector< Real > &pwa, Vector< Real > &dwa, std::ostream &outStream=std::cout) const
Real gamma0_
Radius decrease rate (negative rho) (default: 0.0625)
void applyFreeHessian(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g, Real eps, TrustRegionModel_U< Real > &model, BoundConstraint< Real > &bnd, Real &tol, Vector< Real > &pwa, Vector< Real > &dwa) const
bool useSecantPrecond_
Flag to use secant as a preconditioner (default: false)
bool useSecantHessVec_
Flag to use secant as Hessian (default: false)
Defines the linear algebra or vector space interface.