ROL
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Provides the interface to evaluate the augmented Lagrangian. More...
#include <ROL_AugmentedLagrangian.hpp>
Public Member Functions | |
~AugmentedLagrangian () | |
AugmentedLagrangian (Objective< Real > &obj, EqualityConstraint< Real > &con, const Vector< Real > &x, const Vector< Real > &c, const Vector< Real > &l, const Real mu, Teuchos::ParameterList &parlist) | |
Real | getObjectiveValue (const Vector< Real > &x) |
void | getObjectiveGradient (Vector< Real > &g, const Vector< Real > &x) |
void | getConstraintVec (Vector< Real > &c, const Vector< Real > &x) |
int | getNumberConstraintEvaluations (void) |
int | getNumberFunctionEvaluations (void) |
int | getNumberGradientEvaluations (void) |
void | reset (const Vector< Real > &lam, const Real penaltyParameter) |
void | update (const Vector< Real > &x, bool flag=true, int iter=-1) |
Update augmented Lagrangian function. More... | |
Real | value (const Vector< Real > &x, Real &tol) |
Compute value. More... | |
void | gradient (Vector< Real > &g, const Vector< Real > &x, Real &tol) |
Compute gradient. More... | |
void | hessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
Apply Hessian approximation to vector. More... | |
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virtual | ~Objective () |
virtual Real | dirDeriv (const Vector< Real > &x, const Vector< Real > &d, Real &tol) |
Compute directional derivative. More... | |
virtual void | invHessVec (Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
Apply inverse Hessian approximation to vector. More... | |
virtual void | precond (Vector< Real > &Pv, const Vector< Real > &v, const Vector< Real > &x, Real &tol) |
Apply preconditioner to vector. More... | |
virtual std::vector< std::vector< Real > > | checkGradient (const Vector< Real > &x, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1) |
Finite-difference gradient check. More... | |
virtual std::vector< std::vector< Real > > | checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1) |
Finite-difference gradient check. More... | |
virtual std::vector< std::vector< Real > > | checkGradient (const Vector< Real > &x, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1) |
Finite-difference gradient check with specified step sizes. More... | |
virtual std::vector< std::vector< Real > > | checkGradient (const Vector< Real > &x, const Vector< Real > &g, const Vector< Real > &d, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1) |
Finite-difference gradient check with specified step sizes. More... | |
virtual std::vector< std::vector< Real > > | checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1) |
Finite-difference Hessian-applied-to-vector check. More... | |
virtual std::vector< std::vector< Real > > | checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const bool printToStream=true, std::ostream &outStream=std::cout, const int numSteps=ROL_NUM_CHECKDERIV_STEPS, const int order=1) |
Finite-difference Hessian-applied-to-vector check. More... | |
virtual std::vector< std::vector< Real > > | checkHessVec (const Vector< Real > &x, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1) |
Finite-difference Hessian-applied-to-vector check with specified step sizes. More... | |
virtual std::vector< std::vector< Real > > | checkHessVec (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const std::vector< Real > &steps, const bool printToStream=true, std::ostream &outStream=std::cout, const int order=1) |
Finite-difference Hessian-applied-to-vector check with specified step sizes. More... | |
virtual std::vector< Real > | checkHessSym (const Vector< Real > &x, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout) |
Hessian symmetry check. More... | |
virtual std::vector< Real > | checkHessSym (const Vector< Real > &x, const Vector< Real > &hv, const Vector< Real > &v, const Vector< Real > &w, const bool printToStream=true, std::ostream &outStream=std::cout) |
Hessian symmetry check. More... | |
Private Attributes | |
Teuchos::RCP< Objective< Real > > | obj_ |
Teuchos::RCP< EqualityConstraint< Real > > | con_ |
Teuchos::RCP< Vector< Real > > | lam_ |
Teuchos::RCP< Vector< Real > > | dlam_ |
Teuchos::RCP< Vector< Real > > | x_ |
Teuchos::RCP< Vector< Real > > | g_ |
Teuchos::RCP< Vector< Real > > | c_ |
Teuchos::RCP< Vector< Real > > | dc1_ |
Teuchos::RCP< Vector< Real > > | dc2_ |
Real | fval_ |
int | ncval_ |
int | nfval_ |
int | ngval_ |
Real | penaltyParameter_ |
bool | scaleLagrangian_ |
int | HessianLevel_ |
bool | isConstraintComputed_ |
bool | isValueComputed_ |
bool | isGradientComputed_ |
Provides the interface to evaluate the augmented Lagrangian.
Definition at line 65 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 91 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 93 of file ROL_AugmentedLagrangian.hpp.
References ROL::Vector< Real >::clone(), and ROL::Vector< Real >::dual().
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Definition at line 116 of file ROL_AugmentedLagrangian.hpp.
References ROL::AugmentedLagrangian< Real >::fval_, and ROL::ROL_EPSILON.
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Definition at line 127 of file ROL_AugmentedLagrangian.hpp.
References ROL::ROL_EPSILON, and ROL::Vector< Real >::set().
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Definition at line 138 of file ROL_AugmentedLagrangian.hpp.
References ROL::ROL_EPSILON, and ROL::Vector< Real >::set().
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Definition at line 149 of file ROL_AugmentedLagrangian.hpp.
References ROL::AugmentedLagrangian< Real >::ncval_.
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Definition at line 153 of file ROL_AugmentedLagrangian.hpp.
References ROL::AugmentedLagrangian< Real >::nfval_.
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Definition at line 157 of file ROL_AugmentedLagrangian.hpp.
References ROL::AugmentedLagrangian< Real >::ngval_.
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Definition at line 161 of file ROL_AugmentedLagrangian.hpp.
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Update augmented Lagrangian function.
This function updates the augmented Lagrangian function at new iterations.
[in] | x | is the new iterate. |
[in] | flag | is true if the iterate has changed. |
[in] | iter | is the outer algorithm iterations count. |
Reimplemented from ROL::Objective< Real >.
Definition at line 174 of file ROL_AugmentedLagrangian.hpp.
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Compute value.
This function returns the augmented Lagrangian value.
[in] | x | is the current iterate. |
[in] | tol | is a tolerance for inexact augmented Lagrangian computation. |
Implements ROL::Objective< Real >.
Definition at line 190 of file ROL_AugmentedLagrangian.hpp.
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Compute gradient.
This function returns the augmented Lagrangian gradient.
[out] | g | is the gradient. |
[in] | x | is the current iterate. |
[in] | tol | is a tolerance for inexact augmented Lagrangian computation. |
Reimplemented from ROL::Objective< Real >.
Definition at line 225 of file ROL_AugmentedLagrangian.hpp.
References ROL::Vector< Real >::plus(), ROL::Vector< Real >::scale(), and ROL::Vector< Real >::set().
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Apply Hessian approximation to vector.
This function applies the Hessian of the augmented Lagrangian to the vector \(v\).
[out] | hv | is the the action of the Hessian on \(v\). |
[in] | v | is the direction vector. |
[in] | x | is the current iterate. |
[in] | tol | is a tolerance for inexact augmented Lagrangian computation. |
Reimplemented from ROL::Objective< Real >.
Definition at line 261 of file ROL_AugmentedLagrangian.hpp.
References ROL::Vector< Real >::axpy(), ROL::Vector< Real >::plus(), and ROL::Vector< Real >::scale().
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Definition at line 67 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 68 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 69 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 70 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 71 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 72 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 73 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 74 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 75 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 77 of file ROL_AugmentedLagrangian.hpp.
Referenced by ROL::AugmentedLagrangian< Real >::getObjectiveValue().
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Definition at line 78 of file ROL_AugmentedLagrangian.hpp.
Referenced by ROL::AugmentedLagrangian< Real >::getNumberConstraintEvaluations().
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Definition at line 79 of file ROL_AugmentedLagrangian.hpp.
Referenced by ROL::AugmentedLagrangian< Real >::getNumberFunctionEvaluations().
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Definition at line 80 of file ROL_AugmentedLagrangian.hpp.
Referenced by ROL::AugmentedLagrangian< Real >::getNumberGradientEvaluations().
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Definition at line 82 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 83 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 84 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 86 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 87 of file ROL_AugmentedLagrangian.hpp.
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Definition at line 88 of file ROL_AugmentedLagrangian.hpp.