Provides the interface to evaluate the augmented Lagrangian. More...

#include <ROL_AugmentedLagrangian.hpp>

Inheritance diagram for ROL::AugmentedLagrangian< Real >:

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)

bool	updateMultipliers (Vector< Real > &l, Real &penaltyParameter, const Vector< Real > &x, const Real feasTolerance)

Real	getObjectiveValue (void) const

void	getObjectiveGradient (Vector< Real > &g) const

void	getConstraintVec (Vector< Real > &c)

int	getNumberConstraintEvaluations (void)

int	getNumberFunctionEvaluations (void)

int	getNumberGradientEvaluations (void)

void	reset (void)

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...

Public Member Functions inherited from ROL::Objective< Real >
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_

Real	penaltyUpdate_

Real	multiplierUpdateScale_

Real	multiplierUpdateExponent_

int	multiplierUpdateMethod_

bool	scaleLagrangian_

int	HessianLevel_

Detailed Description

template<class Real>
class ROL::AugmentedLagrangian< Real >

Provides the interface to evaluate the augmented Lagrangian.

Definition at line 65 of file ROL_AugmentedLagrangian.hpp.

Constructor & Destructor Documentation

template<class Real>

ROL::AugmentedLagrangian< Real >::~AugmentedLagrangian ( )

inline

Definition at line 91 of file ROL_AugmentedLagrangian.hpp.

template<class Real>

ROL::AugmentedLagrangian< Real >::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
	)

inline

Definition at line 93 of file ROL_AugmentedLagrangian.hpp.

References ROL::Vector< Real >::clone(), and ROL::Vector< Real >::dual().

Member Function Documentation

template<class Real>

bool ROL::AugmentedLagrangian< Real >::updateMultipliers	(	Vector< Real > &	l,
		Real &	penaltyParameter,
		const Vector< Real > &	x,
		const Real	feasTolerance
	)

inline

Definition at line 119 of file ROL_AugmentedLagrangian.hpp.

References ROL::Vector< Real >::axpy(), ROL::Vector< Real >::norm(), ROL::ROL_EPSILON, ROL::Vector< Real >::scale(), and ROL::Vector< Real >::set().

template<class Real>

Real ROL::AugmentedLagrangian< Real >::getObjectiveValue ( void ) const

inline

Definition at line 145 of file ROL_AugmentedLagrangian.hpp.

References ROL::AugmentedLagrangian< Real >::fval_.

template<class Real>

void ROL::AugmentedLagrangian< Real >::getObjectiveGradient ( Vector< Real > & g ) const

inline

Definition at line 149 of file ROL_AugmentedLagrangian.hpp.

References ROL::Vector< Real >::set().

template<class Real>

void ROL::AugmentedLagrangian< Real >::getConstraintVec ( Vector< Real > & c )

inline

Definition at line 153 of file ROL_AugmentedLagrangian.hpp.

References ROL::Vector< Real >::set().

template<class Real>

int ROL::AugmentedLagrangian< Real >::getNumberConstraintEvaluations ( void )

inline

Definition at line 157 of file ROL_AugmentedLagrangian.hpp.

References ROL::AugmentedLagrangian< Real >::ncval_.

template<class Real>

int ROL::AugmentedLagrangian< Real >::getNumberFunctionEvaluations ( void )

inline

Definition at line 161 of file ROL_AugmentedLagrangian.hpp.

References ROL::AugmentedLagrangian< Real >::nfval_.

template<class Real>

int ROL::AugmentedLagrangian< Real >::getNumberGradientEvaluations ( void )

inline

Definition at line 165 of file ROL_AugmentedLagrangian.hpp.

References ROL::AugmentedLagrangian< Real >::ngval_.

template<class Real>

void ROL::AugmentedLagrangian< Real >::reset ( void )

inline

Definition at line 169 of file ROL_AugmentedLagrangian.hpp.

template<class Real>

void ROL::AugmentedLagrangian< Real >::update	(	const Vector< Real > &	x,
		bool	flag = `true`,
		int	iter = `-1`
	)

inlinevirtual

Update augmented Lagrangian function.

This function updates the augmented Lagrangian function at new iterations.

Parameters

[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 180 of file ROL_AugmentedLagrangian.hpp.

References ROL::ROL_EPSILON.

template<class Real>

Real ROL::AugmentedLagrangian< Real >::value	(	const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute value.

This function returns the augmented Lagrangian value.

Parameters

[in]	x	is the current iterate.
[in]	tol	is a tolerance for inexact augmented Lagrangian computation.

Implements ROL::Objective< Real >.

Definition at line 201 of file ROL_AugmentedLagrangian.hpp.

template<class Real>

void ROL::AugmentedLagrangian< Real >::gradient	(	Vector< Real > &	g,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Compute gradient.

This function returns the augmented Lagrangian gradient.

Parameters

[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 233 of file ROL_AugmentedLagrangian.hpp.

References ROL::Vector< Real >::plus(), ROL::Vector< Real >::scale(), and ROL::Vector< Real >::set().

template<class Real>

void ROL::AugmentedLagrangian< Real >::hessVec	(	Vector< Real > &	hv,
		const Vector< Real > &	v,
		const Vector< Real > &	x,
		Real &	tol
	)

inlinevirtual

Apply Hessian approximation to vector.

This function applies the Hessian of the augmented Lagrangian to the vector \(v\).

Parameters

[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.