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
53namespace ROL {
54
55template<class Real>
56class lBFGS : public Secant<Real> {
57private:
58 using Secant<Real>::state_;
59
60public:
61 lBFGS(int M, bool useDefaultScaling = true, Real Bscaling = Real(1))
62 : Secant<Real>(M,useDefaultScaling,Bscaling) {}
63
64 // Apply lBFGS Approximate Inverse Hessian
65 void applyH( Vector<Real> &Hv, const Vector<Real> &v ) const {
66 const Real zero(0);
67
68 Hv.set(v.dual());
69 std::vector<Real> alpha(state_->current+1,zero);
70 for (int i = state_->current; i>=0; i--) {
71 alpha[i] = state_->iterDiff[i]->dot(Hv);
72 alpha[i] /= state_->product[i];
73 Hv.axpy(-alpha[i],(state_->gradDiff[i])->dual());
74 }
75
76 // Apply initial inverse Hessian approximation to v
77 Ptr<Vector<Real>> tmp = Hv.clone();
78 Secant<Real>::applyH0(*tmp,Hv.dual());
79 Hv.set(*tmp);
80
81 Real beta(0);
82 for (int i = 0; i <= state_->current; i++) {
83 //beta = Hv.dot((state_->gradDiff[i])->dual());
84 beta = Hv.apply(*state_->gradDiff[i]);
85 beta /= state_->product[i];
86 Hv.axpy((alpha[i]-beta),*(state_->iterDiff[i]));
87 }
88 }
89
90 // Apply lBFGS Approximate Hessian
91 void applyB( Vector<Real> &Bv, const Vector<Real> &v ) const {
92 const Real one(1);
93
94 // Apply initial Hessian approximation to v
96
97 std::vector<Ptr<Vector<Real>>> a(state_->current+1);
98 std::vector<Ptr<Vector<Real>>> b(state_->current+1);
99 Real bv(0), av(0), bs(0), as(0);
100 for (int i = 0; i <= state_->current; i++) {
101 b[i] = Bv.clone();
102 b[i]->set(*(state_->gradDiff[i]));
103 b[i]->scale(one/sqrt(state_->product[i]));
104 //bv = v.dot(b[i]->dual());
105 bv = v.apply(*b[i]);
106 Bv.axpy(bv,*b[i]);
107
108 a[i] = Bv.clone();
109 Secant<Real>::applyB0(*a[i],*(state_->iterDiff[i]));
110
111 for (int j = 0; j < i; j++) {
112 //bs = (state_->iterDiff[i])->dot(b[j]->dual());
113 bs = (state_->iterDiff[i])->apply(*b[j]);
114 a[i]->axpy(bs,*b[j]);
115 //as = (state_->iterDiff[i])->dot(a[j]->dual());
116 as = (state_->iterDiff[i])->apply(*a[j]);
117 a[i]->axpy(-as,*a[j]);
118 }
119 //as = (state_->iterDiff[i])->dot(a[i]->dual());
120 as = (state_->iterDiff[i])->apply(*a[i]);
121 a[i]->scale(one/sqrt(as));
122 //av = v.dot(a[i]->dual());
123 av = v.apply(*a[i]);
124 Bv.axpy(-av,*a[i]);
125 }
126 }
127};
128
129}
130
131#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0_ zero()
Provides interface for and implements limited-memory secant operators.
Definition: ROL_Secant.hpp:79
virtual void applyB0(Vector< Real > &Bv, const Vector< Real > &v) const
Definition: ROL_Secant.hpp:161
virtual void applyH0(Vector< Real > &Hv, const Vector< Real > &v) const
Definition: ROL_Secant.hpp:144
void apply(Vector< Real > &Hv, const Vector< Real > &v, Real &tol) const
Apply linear operator.
Definition: ROL_Secant.hpp:198
const Ptr< SecantState< Real > > state_
Definition: ROL_Secant.hpp:82
Defines the linear algebra or vector space interface.
Definition: ROL_Vector.hpp:84
virtual Real apply(const Vector< Real > &x) const
Apply to a dual vector. This is equivalent to the call .
Definition: ROL_Vector.hpp:238
virtual void set(const Vector &x)
Set where .
Definition: ROL_Vector.hpp:209
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:226
virtual ROL::Ptr< Vector > clone() const =0
Clone to make a new (uninitialized) vector.
virtual void axpy(const Real alpha, const Vector &x)
Compute where .
Definition: ROL_Vector.hpp:153
Provides definitions for limited-memory BFGS operators.
Definition: ROL_lBFGS.hpp:56
void applyB(Vector< Real > &Bv, const Vector< Real > &v) const
Definition: ROL_lBFGS.hpp:91
void applyH(Vector< Real > &Hv, const Vector< Real > &v) const
Definition: ROL_lBFGS.hpp:65
lBFGS(int M, bool useDefaultScaling=true, Real Bscaling=Real(1))
Definition: ROL_lBFGS.hpp:61