Actual source code: armijo.c

petsc-3.5.4 2015-05-23
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  1: #include <petsc-private/taolinesearchimpl.h>
  2: #include <../src/tao/linesearch/impls/armijo/armijo.h>

  4: #define REPLACE_FIFO 1
  5: #define REPLACE_MRU  2

  7: #define REFERENCE_MAX  1
  8: #define REFERENCE_AVE  2
  9: #define REFERENCE_MEAN 3

 13: static PetscErrorCode TaoLineSearchDestroy_Armijo(TaoLineSearch ls)
 14: {
 15:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
 16:   PetscErrorCode       ierr;

 19:   PetscFree(armP->memory);
 20:   VecDestroy(&armP->x);
 21:   VecDestroy(&armP->work);
 22:   PetscFree(ls->data);
 23:   return(0);
 24: }

 28: static PetscErrorCode TaoLineSearchReset_Armijo(TaoLineSearch ls)
 29: {
 30:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
 31:   PetscErrorCode       ierr;

 34:   if (armP->memory != NULL) {
 35:     PetscFree(armP->memory);
 36:   }
 37:   armP->memorySetup = PETSC_FALSE;
 38:   return(0);
 39: }

 43: static PetscErrorCode TaoLineSearchSetFromOptions_Armijo(TaoLineSearch ls)
 44: {
 45:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
 46:   PetscErrorCode       ierr;

 49:   PetscOptionsHead("Armijo linesearch options");
 50:   PetscOptionsReal("-tao_ls_armijo_alpha", "initial reference constant", "", armP->alpha, &armP->alpha, 0);
 51:   PetscOptionsReal("-tao_ls_armijo_beta_inf", "decrease constant one", "", armP->beta_inf, &armP->beta_inf, 0);
 52:   PetscOptionsReal("-tao_ls_armijo_beta", "decrease constant", "", armP->beta, &armP->beta, 0);
 53:   PetscOptionsReal("-tao_ls_armijo_sigma", "acceptance constant", "", armP->sigma, &armP->sigma, 0);
 54:   PetscOptionsInt("-tao_ls_armijo_memory_size", "number of historical elements", "", armP->memorySize, &armP->memorySize, 0);
 55:   PetscOptionsInt("-tao_ls_armijo_reference_policy", "policy for updating reference value", "", armP->referencePolicy, &armP->referencePolicy, 0);
 56:   PetscOptionsInt("-tao_ls_armijo_replacement_policy", "policy for updating memory", "", armP->replacementPolicy, &armP->replacementPolicy, 0);
 57:   PetscOptionsBool("-tao_ls_armijo_nondescending","Use nondescending armijo algorithm","",armP->nondescending,&armP->nondescending, 0);
 58:   PetscOptionsTail();
 59:   return(0);
 60: }

 64: static PetscErrorCode TaoLineSearchView_Armijo(TaoLineSearch ls, PetscViewer pv)
 65: {
 66:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
 67:   PetscBool            isascii;
 68:   PetscErrorCode       ierr;

 71:   PetscObjectTypeCompare((PetscObject)pv, PETSCVIEWERASCII, &isascii);
 72:   if (isascii) {
 73:     PetscViewerASCIIPrintf(pv,"  maxf=%D, ftol=%g, gtol=%g\n",ls->max_funcs, (double)ls->rtol, (double)ls->ftol);
 74:     ierr=PetscViewerASCIIPrintf(pv,"  Armijo linesearch",armP->alpha);
 75:     if (armP->nondescending) {
 76:       PetscViewerASCIIPrintf(pv, " (nondescending)");
 77:     }
 78:     if (ls->bounded) {
 79:       PetscViewerASCIIPrintf(pv," (projected)");
 80:     }
 81:     ierr=PetscViewerASCIIPrintf(pv,": alpha=%g beta=%g ",(double)armP->alpha,(double)armP->beta);
 82:     ierr=PetscViewerASCIIPrintf(pv,"sigma=%g ",(double)armP->sigma);
 83:     ierr=PetscViewerASCIIPrintf(pv,"memsize=%D\n",armP->memorySize);
 84:   }
 85:   return(0);
 86: }

 90: /* @ TaoApply_Armijo - This routine performs a linesearch. It
 91:    backtracks until the (nonmonotone) Armijo conditions are satisfied.

 93:    Input Parameters:
 94: +  tao - Tao context
 95: .  X - current iterate (on output X contains new iterate, X + step*S)
 96: .  S - search direction
 97: .  f - merit function evaluated at X
 98: .  G - gradient of merit function evaluated at X
 99: .  W - work vector
100: -  step - initial estimate of step length

102:    Output parameters:
103: +  f - merit function evaluated at new iterate, X + step*S
104: .  G - gradient of merit function evaluated at new iterate, X + step*S
105: .  X - new iterate
106: -  step - final step length

108:    Info is set to one of:
109: .   0 - the line search succeeds; the sufficient decrease
110:    condition and the directional derivative condition hold

112:    negative number if an input parameter is invalid
113: -   -1 -  step < 0

115:    positive number > 1 if the line search otherwise terminates
116: +    1 -  Step is at the lower bound, stepmin.
117: @ */
118: static PetscErrorCode TaoLineSearchApply_Armijo(TaoLineSearch ls, Vec x, PetscReal *f, Vec g, Vec s)
119: {
120:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
121:   PetscErrorCode       ierr;
122:   PetscInt             i;
123:   PetscReal            fact, ref, gdx;
124:   PetscInt             idx;
125:   PetscBool            g_computed=PETSC_FALSE; /* to prevent extra gradient computation */


129:   ls->reason = TAOLINESEARCH_CONTINUE_ITERATING;
130:   if (!armP->work) {
131:     VecDuplicate(x,&armP->work);
132:     armP->x = x;
133:     PetscObjectReference((PetscObject)armP->x);
134:   } else if (x != armP->x) {
135:     /* If x has changed, then recreate work */
136:     VecDestroy(&armP->work);
137:     VecDuplicate(x,&armP->work);
138:     PetscObjectDereference((PetscObject)armP->x);
139:     armP->x = x;
140:     PetscObjectReference((PetscObject)armP->x);
141:   }

143:   /* Check linesearch parameters */
144:   if (armP->alpha < 1) {
145:     PetscInfo1(ls,"Armijo line search error: alpha (%g) < 1\n", (double)armP->alpha);
146:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
147:   } else if ((armP->beta <= 0) || (armP->beta >= 1)) {
148:     PetscInfo1(ls,"Armijo line search error: beta (%g) invalid\n", (double)armP->beta);
149:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
150:   } else if ((armP->beta_inf <= 0) || (armP->beta_inf >= 1)) {
151:     PetscInfo1(ls,"Armijo line search error: beta_inf (%g) invalid\n", (double)armP->beta_inf);
152:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
153:   } else if ((armP->sigma <= 0) || (armP->sigma >= 0.5)) {
154:     PetscInfo1(ls,"Armijo line search error: sigma (%g) invalid\n", (double)armP->sigma);
155:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
156:   } else if (armP->memorySize < 1) {
157:     PetscInfo1(ls,"Armijo line search error: memory_size (%D) < 1\n", armP->memorySize);
158:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
159:   } else if ((armP->referencePolicy != REFERENCE_MAX) && (armP->referencePolicy != REFERENCE_AVE) && (armP->referencePolicy != REFERENCE_MEAN)) {
160:     PetscInfo(ls,"Armijo line search error: reference_policy invalid\n");
161:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
162:   } else if ((armP->replacementPolicy != REPLACE_FIFO) && (armP->replacementPolicy != REPLACE_MRU)) {
163:     PetscInfo(ls,"Armijo line search error: replacement_policy invalid\n");
164:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
165:   } else if (PetscIsInfOrNanReal(*f)) {
166:     PetscInfo(ls,"Armijo line search error: initial function inf or nan\n");
167:     ls->reason=TAOLINESEARCH_FAILED_BADPARAMETER;
168:   }

170:   if (ls->reason != TAOLINESEARCH_CONTINUE_ITERATING) {
171:     return(0);
172:   }

174:   /* Check to see of the memory has been allocated.  If not, allocate
175:      the historical array and populate it with the initial function
176:      values. */
177:   if (!armP->memory) {
178:     PetscMalloc1(armP->memorySize, &armP->memory );
179:   }

181:   if (!armP->memorySetup) {
182:     for (i = 0; i < armP->memorySize; i++) {
183:       armP->memory[i] = armP->alpha*(*f);
184:     }

186:     armP->current = 0;
187:     armP->lastReference = armP->memory[0];
188:     armP->memorySetup=PETSC_TRUE;
189:   }

191:   /* Calculate reference value (MAX) */
192:   ref = armP->memory[0];
193:   idx = 0;

195:   for (i = 1; i < armP->memorySize; i++) {
196:     if (armP->memory[i] > ref) {
197:       ref = armP->memory[i];
198:       idx = i;
199:     }
200:   }

202:   if (armP->referencePolicy == REFERENCE_AVE) {
203:     ref = 0;
204:     for (i = 0; i < armP->memorySize; i++) {
205:       ref += armP->memory[i];
206:     }
207:     ref = ref / armP->memorySize;
208:     ref = PetscMax(ref, armP->memory[armP->current]);
209:   } else if (armP->referencePolicy == REFERENCE_MEAN) {
210:     ref = PetscMin(ref, 0.5*(armP->lastReference + armP->memory[armP->current]));
211:   }
212:   VecDot(g,s,&gdx);

214:   if (PetscIsInfOrNanReal(gdx)) {
215:     PetscInfo1(ls,"Initial Line Search step * g is Inf or Nan (%g)\n",(double)gdx);
216:     ls->reason=TAOLINESEARCH_FAILED_INFORNAN;
217:     return(0);
218:   }
219:   if (gdx >= 0.0) {
220:     PetscInfo1(ls,"Initial Line Search step is not descent direction (g's=%g)\n",(double)gdx);
221:     ls->reason = TAOLINESEARCH_FAILED_ASCENT;
222:     return(0);
223:   }

225:   if (armP->nondescending) {
226:     fact = armP->sigma;
227:   } else {
228:     fact = armP->sigma * gdx;
229:   }
230:   ls->step = ls->initstep;
231:   while (ls->step >= ls->stepmin && (ls->nfeval+ls->nfgeval) < ls->max_funcs) {
232:     /* Calculate iterate */
233:     VecCopy(x,armP->work);
234:     VecAXPY(armP->work,ls->step,s);
235:     if (ls->bounded) {
236:       VecMedian(ls->lower,armP->work,ls->upper,armP->work);
237:     }

239:     /* Calculate function at new iterate */
240:     if (ls->hasobjective) {
241:       TaoLineSearchComputeObjective(ls,armP->work,f);
242:       g_computed=PETSC_FALSE;
243:     } else if (ls->usegts) {
244:       TaoLineSearchComputeObjectiveAndGTS(ls,armP->work,f,&gdx);
245:       g_computed=PETSC_FALSE;
246:     } else {
247:       TaoLineSearchComputeObjectiveAndGradient(ls,armP->work,f,g);
248:       g_computed=PETSC_TRUE;
249:     }
250:     if (ls->step == ls->initstep) {
251:       ls->f_fullstep = *f;
252:     }

254:     if (PetscIsInfOrNanReal(*f)) {
255:       ls->step *= armP->beta_inf;
256:     } else {
257:       /* Check descent condition */
258:       if (armP->nondescending && *f <= ref - ls->step*fact*ref)
259:         break;
260:       if (!armP->nondescending && *f <= ref + ls->step*fact) {
261:         break;
262:       }

264:       ls->step *= armP->beta;
265:     }
266:   }

268:   /* Check termination */
269:   if (PetscIsInfOrNanReal(*f)) {
270:     PetscInfo(ls, "Function is inf or nan.\n");
271:     ls->reason = TAOLINESEARCH_FAILED_INFORNAN;
272:   } else if (ls->step < ls->stepmin) {
273:     PetscInfo(ls, "Step length is below tolerance.\n");
274:     ls->reason = TAOLINESEARCH_HALTED_RTOL;
275:   } else if ((ls->nfeval+ls->nfgeval) >= ls->max_funcs) {
276:     PetscInfo2(ls, "Number of line search function evals (%D) > maximum allowed (%D)\n",ls->nfeval+ls->nfgeval, ls->max_funcs);
277:     ls->reason = TAOLINESEARCH_HALTED_MAXFCN;
278:   }
279:   if (ls->reason) {
280:     return(0);
281:   }

283:   /* Successful termination, update memory */
284:   armP->lastReference = ref;
285:   if (armP->replacementPolicy == REPLACE_FIFO) {
286:     armP->memory[armP->current++] = *f;
287:     if (armP->current >= armP->memorySize) {
288:       armP->current = 0;
289:     }
290:   } else {
291:     armP->current = idx;
292:     armP->memory[idx] = *f;
293:   }

295:   /* Update iterate and compute gradient */
296:   VecCopy(armP->work,x);
297:   if (!g_computed) {
298:     TaoLineSearchComputeGradient(ls, x, g);
299:   }
300:   PetscInfo2(ls, "%D function evals in line search, step = %g\n",ls->nfeval, (double)ls->step);
301:   return(0);
302: }

304: EXTERN_C_BEGIN
307: PetscErrorCode TaoLineSearchCreate_Armijo(TaoLineSearch ls)
308: {
309:   TaoLineSearch_ARMIJO *armP;
310:   PetscErrorCode       ierr;

314:   PetscNewLog(ls,&armP);

316:   armP->memory = NULL;
317:   armP->alpha = 1.0;
318:   armP->beta = 0.5;
319:   armP->beta_inf = 0.5;
320:   armP->sigma = 1e-4;
321:   armP->memorySize = 1;
322:   armP->referencePolicy = REFERENCE_MAX;
323:   armP->replacementPolicy = REPLACE_MRU;
324:   armP->nondescending=PETSC_FALSE;
325:   ls->data = (void*)armP;
326:   ls->initstep=1.0;
327:   ls->ops->setup=0;
328:   ls->ops->apply=TaoLineSearchApply_Armijo;
329:   ls->ops->view = TaoLineSearchView_Armijo;
330:   ls->ops->destroy = TaoLineSearchDestroy_Armijo;
331:   ls->ops->reset = TaoLineSearchReset_Armijo;
332:   ls->ops->setfromoptions = TaoLineSearchSetFromOptions_Armijo;
333:   return(0);
334: }
335: EXTERN_C_END