ROL
ROL_lBFGS.hpp
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43 
44 #ifndef ROL_LBFGS_H
45 #define ROL_LBFGS_H
46 
51 #include "ROL_Secant.hpp"
52 
53 namespace ROL {
54 
55 template<class Real>
56 class lBFGS : public Secant<Real> {
57 public:
58  lBFGS(int M) : Secant<Real>(M) {}
59 
60  // Apply lBFGS Approximate Inverse Hessian
61  void applyH( Vector<Real> &Hv, const Vector<Real> &v, const Vector<Real> &x ) {
62  // Get Generic Secant State
63  Teuchos::RCP<SecantState<Real> >& state = Secant<Real>::get_state();
64 
65  Hv.set(v.dual());
66  std::vector<Real> alpha(state->current+1,0.0);
67  for (int i = state->current; i>=0; i--) {
68  alpha[i] = state->iterDiff[i]->dot(Hv);
69  alpha[i] /= state->product[i];
70  Hv.axpy(-alpha[i],(state->gradDiff[i])->dual());
71  }
72 
73  // Apply initial inverse Hessian approximation to v
74  Teuchos::RCP<Vector<Real> > tmp = Hv.clone();
75  Secant<Real>::applyH0(*tmp,Hv.dual(),x);
76  Hv.set(*tmp);
77 
78  Real beta = 0.0;
79  for (int i = 0; i <= state->current; i++) {
80  beta = Hv.dot((state->gradDiff[i])->dual());
81  beta /= state->product[i];
82  Hv.axpy((alpha[i]-beta),*(state->iterDiff[i]));
83  }
84  }
85 
86  // Apply lBFGS Approximate Hessian
87  void applyB( Vector<Real> &Bv, const Vector<Real> &v, const Vector<Real> &x ) {
88  // Get Generic Secant State
89  Teuchos::RCP<SecantState<Real> >& state = Secant<Real>::get_state();
90 
91  // Apply initial Hessian approximation to v
92  Secant<Real>::applyB0(Bv,v,x);
93 
94  std::vector<Teuchos::RCP<Vector<Real> > > a(state->current+1);
95  std::vector<Teuchos::RCP<Vector<Real> > > b(state->current+1);
96  Real bv = 0.0, av = 0.0, bs = 0.0, as = 0.0;
97  for (int i = 0; i <= state->current; i++) {
98  b[i] = Bv.clone();
99  b[i]->set(*(state->gradDiff[i]));
100  b[i]->scale(1.0/sqrt(state->product[i]));
101  bv = v.dot(b[i]->dual());
102  Bv.axpy(bv,*b[i]);
103 
104  a[i] = Bv.clone();
105  Secant<Real>::applyB0(*a[i],*(state->iterDiff[i]),x);
106 
107  for (int j = 0; j < i; j++) {
108  bs = (state->iterDiff[i])->dot(b[j]->dual());
109  a[i]->axpy(bs,*b[j]);
110  as = (state->iterDiff[i])->dot(a[j]->dual());
111  a[i]->axpy(-as,*a[j]);
112  }
113  as = (state->iterDiff[i])->dot(a[i]->dual());
114  a[i]->scale(1.0/sqrt(as));
115  av = v.dot(a[i]->dual());
116  Bv.axpy(-av,*a[i]);
117  }
118  }
119 
120 };
121 
122 }
123 
124 #endif
void applyH(Vector< Real > &Hv, const Vector< Real > &v, const Vector< Real > &x)
Definition: ROL_lBFGS.hpp:61
virtual const Vector & dual() const
Return dual representation of , for example, the result of applying a Riesz map, or change of basis...
Definition: ROL_Vector.hpp:213
virtual void applyB0(Vector< Real > &Bv, const Vector< Real > &v, const Vector< Real > &x)
Definition: ROL_Secant.hpp:129
virtual void applyH0(Vector< Real > &Hv, const Vector< Real > &v, const Vector< Real > &x)
Definition: ROL_Secant.hpp:117
virtual void axpy(const Real alpha, const Vector &x)
Compute where .
Definition: ROL_Vector.hpp:143
lBFGS(int M)
Definition: ROL_lBFGS.hpp:58
virtual Teuchos::RCP< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
Provides definitions for limited-memory BFGS operators.
Definition: ROL_lBFGS.hpp:56
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:74
void applyB(Vector< Real > &Bv, const Vector< Real > &v, const Vector< Real > &x)
Definition: ROL_lBFGS.hpp:87
virtual Real dot(const Vector &x) const =0
Compute where .
Provides interface for and implements limited-memory secant operators.
Definition: ROL_Secant.hpp:68
Teuchos::RCP< SecantState< Real > > & get_state()
Definition: ROL_Secant.hpp:85
virtual void set(const Vector &x)
Set where .
Definition: ROL_Vector.hpp:196