ROL
ROL_HS1.hpp
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43 
49 #ifndef USE_HESSVEC
50 #define USE_HESSVEC 1
51 #endif
52 
53 #ifndef ROL_HS1_HPP
54 #define ROL_HS1_HPP
55 
56 #include "ROL_StdVector.hpp"
57 #include "ROL_Objective.hpp"
58 #include "ROL_BoundConstraint.hpp"
59 #include "ROL_Types.hpp"
60 
61 namespace ROL {
62 namespace ZOO {
63 
66 template<class Real>
67 class Objective_HS1 : public Objective<Real> {
68 public:
69  Objective_HS1(void) {}
70 
71  Real value( const Vector<Real> &x, Real &tol ) {
72  Teuchos::RCP<const std::vector<Real> > ex
73  = Teuchos::dyn_cast<const StdVector<Real> >(x).getVector();
74  return 100.0 * std::pow((*ex)[1] - std::pow((*ex)[0],2.0),2.0) + std::pow(1.0-(*ex)[0],2.0);
75  }
76 
77  void gradient( Vector<Real> &g, const Vector<Real> &x, Real &tol ) {
78  Teuchos::RCP<std::vector<Real> > eg
79  = Teuchos::dyn_cast<StdVector<Real> >(g).getVector();
80  Teuchos::RCP<const std::vector<Real> > ex
81  = Teuchos::dyn_cast<const StdVector<Real> >(x).getVector();
82 
83  (*eg)[0] = -4.0 * 100.0 * ((*ex)[1] - std::pow((*ex)[0],2.0)) * (*ex)[0] - 2.0 * (1.0-(*ex)[0]);
84  (*eg)[1] = 2.0 * 100.0 * ((*ex)[1] - std::pow((*ex)[0],2.0));
85  }
86 #if USE_HESSVEC
87  void hessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol ) {
88  Teuchos::RCP<std::vector<Real> > ehv
89  = Teuchos::dyn_cast<StdVector<Real> >(hv).getVector();
90  Teuchos::RCP<const std::vector<Real> > ev
91  = Teuchos::dyn_cast<const StdVector<Real> >(v).getVector();
92  Teuchos::RCP<const std::vector<Real> > ex
93  = Teuchos::dyn_cast<const StdVector<Real> >(x).getVector();
94 
95  Real h11 = -4.0 * 100.0 * (*ex)[1] + 12.0 * 100.0 * std::pow((*ex)[0],2.0) + 2.0;
96  Real h22 = 2.0 * 100.0;
97  Real h12 = -4.0 * 100.0 * (*ex)[0];
98  Real h21 = -4.0 * 100.0 * (*ex)[0];
99 
100  (*ehv)[0] = h11 * (*ev)[0] + h12 * (*ev)[1];
101  (*ehv)[1] = h21 * (*ev)[0] + h22 * (*ev)[1];
102  }
103 #endif
104  void invHessVec( Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol ) {
105  Teuchos::RCP<std::vector<Real> > ehv
106  = Teuchos::dyn_cast<StdVector<Real> >(hv).getVector();
107  Teuchos::RCP<const std::vector<Real> > ev
108  = Teuchos::dyn_cast<const StdVector<Real> >(v).getVector();
109  Teuchos::RCP<const std::vector<Real> > ex
110  = Teuchos::dyn_cast<const StdVector<Real> >(x).getVector();
111 
112  Real h11 = -4.0 * 100.0 * (*ex)[1] + 12.0 * 100.0 * std::pow((*ex)[0],2.0) + 2.0;
113  Real h22 = 2.0 * 100.0;
114  Real h12 = -4.0 * 100.0 * (*ex)[0];
115  Real h21 = -4.0 * 100.0 * (*ex)[0];
116 
117  (*ehv)[0] = 1.0/(h11*h22 - h12*h21) * (h22 * (*ev)[0] - h12 * (*ev)[1]);
118  (*ehv)[1] = 1.0/(h11*h22 - h12*h21) * (-h21 * (*ev)[0] + h11 * (*ev)[1]);
119  }
120 };
121 
122 template<class Real>
123 void getHS1( Teuchos::RCP<Objective<Real> > &obj,
124  Teuchos::RCP<BoundConstraint<Real> > &con,
125  Teuchos::RCP<Vector<Real> > &x0,
126  Teuchos::RCP<Vector<Real> > &x ) {
127  // Problem size
128  int n = 2;
129 
130  // Get Initial Guess
131  Teuchos::RCP<std::vector<Real> > x0p = Teuchos::rcp(new std::vector<Real>(n,0.0));
132  (*x0p)[0] = -2.0; (*x0p)[1] = 1.0;
133  x0 = Teuchos::rcp(new StdVector<Real>(x0p));
134 
135  // Get Solution
136  Teuchos::RCP<std::vector<Real> > xp = Teuchos::rcp(new std::vector<Real>(n,0.0));
137  (*xp)[0] = 1.0; (*xp)[1] = 1.0;
138  x = Teuchos::rcp(new StdVector<Real>(xp));
139 
140  // Instantiate Objective Function
141  obj = Teuchos::rcp(new Objective_HS1<Real>);
142 
143  // Build lower bound
144  Teuchos::RCP<std::vector<Real> > lp = Teuchos::rcp(new std::vector<Real>(n,0.0));
145  (*lp)[0] = ROL_NINF; (*lp)[1] = -1.5;
146  Teuchos::RCP<Vector<Real> > l = Teuchos::rcp(new StdVector<Real>(lp));
147 
148  // Build upper bound
149  Teuchos::RCP<std::vector<Real> > up = Teuchos::rcp(new std::vector<Real>(n,0.0));
150  (*up)[0] = ROL_INF; (*up)[1] = ROL_INF;
151  Teuchos::RCP<Vector<Real> > u = Teuchos::rcp(new StdVector<Real>(up));
152 
153  // Instantiate BoundConstraint
154  con = Teuchos::rcp(new BoundConstraint<Real>(l,u));
155 }
156 
157 } // End ZOO Namespace
158 } // End ROL Namespace
159 
160 #endif
Provides the interface to evaluate objective functions.
W. Hock and K. Schittkowski 1st test function.
Definition: ROL_HS1.hpp:67
virtual void hessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply Hessian approximation to vector.
Contains definitions of custom data types in ROL.
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:74
void getHS1(Teuchos::RCP< Objective< Real > > &obj, Teuchos::RCP< BoundConstraint< Real > > &con, Teuchos::RCP< Vector< Real > > &x0, Teuchos::RCP< Vector< Real > > &x)
Definition: ROL_HS1.hpp:123
void gradient(Vector< Real > &g, const Vector< Real > &x, Real &tol)
Compute gradient.
Definition: ROL_HS1.hpp:77
Provides the interface to apply upper and lower bound constraints.
static const double ROL_INF
Definition: ROL_Types.hpp:128
void invHessVec(Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol)
Apply inverse Hessian approximation to vector.
Definition: ROL_HS1.hpp:104
Real value(const Vector< Real > &x, Real &tol)
Compute value.
Definition: ROL_HS1.hpp:71
static const double ROL_NINF
Definition: ROL_Types.hpp:129