ROL
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#include <ROL_BoundConstraint_SimOpt.hpp>
Public Member Functions | |
~BoundConstraint_SimOpt () | |
BoundConstraint_SimOpt (const Ptr< BoundConstraint< Real > > &bnd1, const Ptr< BoundConstraint< Real > > &bnd2) | |
Default constructor. | |
void | update (const Vector< Real > &x, bool flag=true, int iter=-1) |
Update bounds. | |
void | project (Vector< Real > &x) |
Project optimization variables onto the bounds. | |
void | projectInterior (Vector< Real > &x) |
Project optimization variables into the interior of the feasible set. | |
bool | checkMultipliers (const Vector< Real > &l, const Vector< Real > &x) |
Determine if a vector of Lagrange multipliers is nonnegative components. | |
void | pruneUpperActive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the upper \(\epsilon\)-active set. | |
void | pruneUpperActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the upper \(\epsilon\)-binding set. | |
void | pruneLowerActive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the lower \(\epsilon\)-active set. | |
void | pruneLowerActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the lower \(\epsilon\)-binding set. | |
const Ptr< const Vector< Real > > | getLowerBound (void) const |
Return the ref count pointer to the lower bound vector. | |
const Ptr< const Vector< Real > > | getUpperBound (void) const |
Return the ref count pointer to the upper bound vector. | |
void | pruneActive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-active set. | |
void | pruneActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-binding set. | |
bool | isFeasible (const Vector< Real > &v) |
Check if the vector, v, is feasible. | |
void | applyInverseScalingFunction (Vector< Real > &dv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g) const |
Apply inverse scaling function. | |
void | applyScalingFunctionJacobian (Vector< Real > &dv, const Vector< Real > &v, const Vector< Real > &x, const Vector< Real > &g) const |
Apply scaling function Jacobian. | |
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virtual | ~BoundConstraint () |
BoundConstraint (void) | |
BoundConstraint (const Vector< Real > &x) | |
void | activateLower (void) |
Turn on lower bound. | |
void | activateUpper (void) |
Turn on upper bound. | |
void | activate (void) |
Turn on bounds. | |
void | deactivateLower (void) |
Turn off lower bound. | |
void | deactivateUpper (void) |
Turn off upper bound. | |
void | deactivate (void) |
Turn off bounds. | |
bool | isLowerActivated (void) const |
Check if lower bound are on. | |
bool | isUpperActivated (void) const |
Check if upper bound are on. | |
bool | isActivated (void) const |
Check if bounds are on. | |
void | pruneActive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-active set. | |
void | pruneActive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-binding set. | |
void | pruneLowerInactive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-inactive set. | |
void | pruneUpperInactive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-inactive set. | |
void | pruneLowerInactive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-nonbinding set. | |
void | pruneUpperInactive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-nonbinding set. | |
void | pruneInactive (Vector< Real > &v, const Vector< Real > &x, Real eps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-inactive set. | |
void | pruneInactive (Vector< Real > &v, const Vector< Real > &g, const Vector< Real > &x, Real xeps=Real(0), Real geps=Real(0)) |
Set variables to zero if they correspond to the \(\epsilon\)-nonbinding set. | |
void | computeProjectedGradient (Vector< Real > &g, const Vector< Real > &x) |
Compute projected gradient. | |
void | computeProjectedStep (Vector< Real > &v, const Vector< Real > &x) |
Compute projected step. | |
Private Attributes | |
Ptr< BoundConstraint< Real > > | bnd1_ |
Ptr< BoundConstraint< Real > > | bnd2_ |
Additional Inherited Members | |
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Real | computeInf (const Vector< Real > &x) const |
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Ptr< Vector< Real > > | lower_ |
Ptr< Vector< Real > > | upper_ |
Definition at line 73 of file ROL_BoundConstraint_SimOpt.hpp.
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Definition at line 79 of file ROL_BoundConstraint_SimOpt.hpp.
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Default constructor.
The default constructor automatically turns the constraints on.
Definition at line 85 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint< Real >::activate(), ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, and ROL::BoundConstraint< Real >::deactivate().
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Update bounds.
The update function allows the user to update the bounds at each new iterations.
[in] | x | is the optimization variable. |
[in] | flag | is set to true if control is changed. |
[in] | iter | is the outer algorithm iterations count. |
Definition at line 103 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Project optimization variables onto the bounds.
This function implements the projection of \(x\) onto the bounds, i.e.,
\[ (P_{[a,b]}(x))(\xi) = \min\{b(\xi),\max\{a(\xi),x(\xi)\}\} \quad \text{for almost every }\xi\in\Xi. \]
[in,out] | x | is the optimization variable. |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 122 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Project optimization variables into the interior of the feasible set.
This function implements the projection of \(x\) into the interior of the feasible set, i.e.,
\[ (P_{[a,b]}(x))(\xi) \in (a(\xi),b(\xi)) \quad \text{for almost every }\xi\in\Xi. \]
[in,out] | x | is the optimization variable. |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 143 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Determine if a vector of Lagrange multipliers is nonnegative components.
This function returns true if components of \(l\) corresponding to the components of \(x\) that are active at the upper bound are nonpositive or the components of \(l\) corresponding to the components of \(x\) that are active at the lower bound are nonnegative.
Definition at line 160 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Set variables to zero if they correspond to the upper \(\epsilon\)-active set.
This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{A}^+_\epsilon(x)\). Here, the upper \(\epsilon\)-active set is defined as
\[ \mathcal{A}^+_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = b(\xi)-\epsilon\,\}. \]
[out] | v | is the variable to be pruned. |
[in] | x | is the current optimization variable. |
[in] | eps | is the active-set tolerance \(\epsilon\). |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 187 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Set variables to zero if they correspond to the upper \(\epsilon\)-binding set.
This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{B}^+_\epsilon(x)\). Here, the upper \(\epsilon\)-binding set is defined as
\[ \mathcal{B}^+_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = b(\xi)-\epsilon,\; g(\xi) < 0 \,\}. \]
[out] | v | is the variable to be pruned. |
[in] | x | is the current optimization variable. |
[in] | g | is the negative search direction. |
[in] | eps | is the active-set tolerance \(\epsilon\). |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 213 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Set variables to zero if they correspond to the lower \(\epsilon\)-active set.
This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{A}^-_\epsilon(x)\). Here, the lower \(\epsilon\)-active set is defined as
\[ \mathcal{A}^-_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = a(\xi)+\epsilon\,\}. \]
[out] | v | is the variable to be pruned. |
[in] | x | is the current optimization variable. |
[in] | eps | is the active-set tolerance \(\epsilon\). |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 239 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Set variables to zero if they correspond to the lower \(\epsilon\)-binding set.
This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{B}^-_\epsilon(x)\). Here, the lower \(\epsilon\)-binding set is defined as
\[ \mathcal{B}^-_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = a(\xi)+\epsilon,\; g(\xi) > 0 \,\}. \]
[out] | v | is the variable to be pruned. |
[in] | x | is the current optimization variable. |
[in] | g | is the negative search direction. |
[in] | eps | is the active-set tolerance \(\epsilon\). |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 265 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Return the ref count pointer to the lower bound vector.
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 280 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, and ROL::BoundConstraint_SimOpt< Real >::bnd2_.
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Return the ref count pointer to the upper bound vector.
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 287 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, and ROL::BoundConstraint_SimOpt< Real >::bnd2_.
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Set variables to zero if they correspond to the \(\epsilon\)-active set.
This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{A}_\epsilon(x)\). Here, the \(\epsilon\)-active set is defined as
\[ \mathcal{A}_\epsilon(x) = \mathcal{A}^+_\epsilon(x)\cap\mathcal{A}^-_\epsilon(x). \]
[out] | v | is the variable to be pruned. |
[in] | x | is the current optimization variable. |
[in] | eps | is the active-set tolerance \(\epsilon\). |
Definition at line 305 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Set variables to zero if they correspond to the \(\epsilon\)-binding set.
This function sets \(v(\xi)=0\) if \(\xi\in\mathcal{B}_\epsilon(x)\). Here, the \(\epsilon\)-binding set is defined as
\[ \mathcal{B}^+_\epsilon(x) = \mathcal{B}^+_\epsilon(x)\cap\mathcal{B}^-_\epsilon(x). \]
[out] | v | is the variable to be pruned. |
[in] | x | is the current optimization variable. |
[in] | g | is the negative search direction. |
[in] | eps | is the active-set tolerance \(\epsilon\). |
Definition at line 330 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Check if the vector, v, is feasible.
This function returns true if \(v = P_{[a,b]}(v)\).
[in] | v | is the vector to be checked. |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 347 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Apply inverse scaling function.
This function applies the inverse scaling function \(d(x,g)\) to a vector \(v\), i.e., the output is \(\mathrm{diag}(d(x,g)^{-1})v\). The scaling function must satisfy: (i) \(d(x,g)_i = 0\) if \(x_i = a_i\) and \(g_i \ge 0\); (ii) \(d(x,g)_i = 0\) if \(x_i = b_i\) and \(g_i \le 0\); and (iii) \(d(x,g)_i > 0\) otherwise.
[out] | dv | is the inverse scaling function applied to v. |
[in] | v | is the vector being scaled. |
[in] | x | is the primal vector at which the scaling function is evaluated. |
[in] | g | is the dual vector at which the scaling function is evaluated. |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 365 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Apply scaling function Jacobian.
This function applies the Jacobian of the scaling function \(d(x,g)\) to a vector \(v\). The output is \(\mathrm{diag}(d_x(x,g)g)v\). The scaling function must satisfy: (i) \(d(x,g)_i = 0\) if \(x_i = a_i\) and \(g_i \ge 0\); (ii) \(d(x,g)_i = 0\) if \(x_i = b_i\) and \(g_i \le 0\); and (iii) \(d(x,g)_i > 0\) otherwise.
[out] | dv | is the scaling function Jacobian applied to v. |
[in] | v | is the vector being scaled. |
[in] | x | is the primal vector at which the scaling function is evaluated. |
[in] | g | is the dual vector at which the scaling function is evaluated. |
Reimplemented from ROL::BoundConstraint< Real >.
Definition at line 391 of file ROL_BoundConstraint_SimOpt.hpp.
References ROL::BoundConstraint_SimOpt< Real >::bnd1_, ROL::BoundConstraint_SimOpt< Real >::bnd2_, ROL::Vector_SimOpt< Real >::get_1(), and ROL::Vector_SimOpt< Real >::get_2().
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Definition at line 75 of file ROL_BoundConstraint_SimOpt.hpp.
Referenced by ROL::BoundConstraint_SimOpt< Real >::applyInverseScalingFunction(), ROL::BoundConstraint_SimOpt< Real >::applyScalingFunctionJacobian(), ROL::BoundConstraint_SimOpt< Real >::BoundConstraint_SimOpt(), ROL::BoundConstraint_SimOpt< Real >::checkMultipliers(), ROL::BoundConstraint_SimOpt< Real >::getLowerBound(), ROL::BoundConstraint_SimOpt< Real >::getUpperBound(), ROL::BoundConstraint_SimOpt< Real >::isFeasible(), ROL::BoundConstraint_SimOpt< Real >::project(), ROL::BoundConstraint_SimOpt< Real >::projectInterior(), ROL::BoundConstraint_SimOpt< Real >::pruneActive(), ROL::BoundConstraint_SimOpt< Real >::pruneActive(), ROL::BoundConstraint_SimOpt< Real >::pruneLowerActive(), ROL::BoundConstraint_SimOpt< Real >::pruneLowerActive(), ROL::BoundConstraint_SimOpt< Real >::pruneUpperActive(), ROL::BoundConstraint_SimOpt< Real >::pruneUpperActive(), and ROL::BoundConstraint_SimOpt< Real >::update().
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Definition at line 76 of file ROL_BoundConstraint_SimOpt.hpp.
Referenced by ROL::BoundConstraint_SimOpt< Real >::applyInverseScalingFunction(), ROL::BoundConstraint_SimOpt< Real >::applyScalingFunctionJacobian(), ROL::BoundConstraint_SimOpt< Real >::BoundConstraint_SimOpt(), ROL::BoundConstraint_SimOpt< Real >::checkMultipliers(), ROL::BoundConstraint_SimOpt< Real >::getLowerBound(), ROL::BoundConstraint_SimOpt< Real >::getUpperBound(), ROL::BoundConstraint_SimOpt< Real >::isFeasible(), ROL::BoundConstraint_SimOpt< Real >::project(), ROL::BoundConstraint_SimOpt< Real >::projectInterior(), ROL::BoundConstraint_SimOpt< Real >::pruneActive(), ROL::BoundConstraint_SimOpt< Real >::pruneActive(), ROL::BoundConstraint_SimOpt< Real >::pruneLowerActive(), ROL::BoundConstraint_SimOpt< Real >::pruneLowerActive(), ROL::BoundConstraint_SimOpt< Real >::pruneUpperActive(), ROL::BoundConstraint_SimOpt< Real >::pruneUpperActive(), and ROL::BoundConstraint_SimOpt< Real >::update().