Actual source code: armijo.c

      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

     11: static PetscErrorCode TaoLineSearchDestroy_Armijo(TaoLineSearch ls)
     12: {
     13:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;

     15:   PetscFunctionBegin;
     16:   PetscCall(PetscFree(armP->memory));
     17:   PetscCall(VecDestroy(&armP->x));
     18:   PetscCall(VecDestroy(&armP->work));
     19:   PetscCall(PetscFree(ls->data));
     20:   PetscFunctionReturn(PETSC_SUCCESS);
     21: }

     23: static PetscErrorCode TaoLineSearchReset_Armijo(TaoLineSearch ls)
     24: {
     25:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;

     27:   PetscFunctionBegin;
     28:   PetscCall(PetscFree(armP->memory));
     29:   armP->memorySetup = PETSC_FALSE;
     30:   PetscFunctionReturn(PETSC_SUCCESS);
     31: }

     33: static PetscErrorCode TaoLineSearchSetFromOptions_Armijo(TaoLineSearch ls, PetscOptionItems PetscOptionsObject)
     34: {
     35:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;

     37:   PetscFunctionBegin;
     38:   PetscOptionsHeadBegin(PetscOptionsObject, "Armijo linesearch options");
     39:   PetscCall(PetscOptionsReal("-tao_ls_armijo_alpha", "initial reference constant", "", armP->alpha, &armP->alpha, NULL));
     40:   PetscCall(PetscOptionsReal("-tao_ls_armijo_beta_inf", "decrease constant one", "", armP->beta_inf, &armP->beta_inf, NULL));
     41:   PetscCall(PetscOptionsReal("-tao_ls_armijo_beta", "decrease constant", "", armP->beta, &armP->beta, NULL));
     42:   PetscCall(PetscOptionsReal("-tao_ls_armijo_sigma", "acceptance constant", "", armP->sigma, &armP->sigma, NULL));
     43:   PetscCall(PetscOptionsInt("-tao_ls_armijo_memory_size", "number of historical elements", "", armP->memorySize, &armP->memorySize, NULL));
     44:   PetscCall(PetscOptionsInt("-tao_ls_armijo_reference_policy", "policy for updating reference value", "", armP->referencePolicy, &armP->referencePolicy, NULL));
     45:   PetscCall(PetscOptionsInt("-tao_ls_armijo_replacement_policy", "policy for updating memory", "", armP->replacementPolicy, &armP->replacementPolicy, NULL));
     46:   PetscCall(PetscOptionsBool("-tao_ls_armijo_nondescending", "Use nondescending armijo algorithm", "", armP->nondescending, &armP->nondescending, NULL));
     47:   PetscOptionsHeadEnd();
     48:   PetscFunctionReturn(PETSC_SUCCESS);
     49: }

     51: static PetscErrorCode TaoLineSearchView_Armijo(TaoLineSearch ls, PetscViewer pv)
     52: {
     53:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
     54:   PetscBool             isascii;

     56:   PetscFunctionBegin;
     57:   PetscCall(PetscObjectTypeCompare((PetscObject)pv, PETSCVIEWERASCII, &isascii));
     58:   if (isascii) {
     59:     PetscCall(PetscViewerASCIIPrintf(pv, "  Armijo linesearch"));
     60:     if (armP->nondescending) PetscCall(PetscViewerASCIIPrintf(pv, " (nondescending)"));
     61:     if (ls->bounded) PetscCall(PetscViewerASCIIPrintf(pv, " (projected)"));
     62:     PetscCall(PetscViewerASCIIPrintf(pv, ": alpha=%g beta=%g ", (double)armP->alpha, (double)armP->beta));
     63:     PetscCall(PetscViewerASCIIPrintf(pv, "sigma=%g ", (double)armP->sigma));
     64:     PetscCall(PetscViewerASCIIPrintf(pv, "memsize=%" PetscInt_FMT "\n", armP->memorySize));
     65:   }
     66:   PetscFunctionReturn(PETSC_SUCCESS);
     67: }

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

     72:    Input Parameters:
     73: +  tao - Tao context
     74: .  X - current iterate (on output X contains new iterate, X + step*S)
     75: .  S - search direction
     76: .  f - merit function evaluated at X
     77: .  G - gradient of merit function evaluated at X
     78: .  W - work vector
     79: -  step - initial estimate of step length

     81:    Output parameters:
     82: +  f - merit function evaluated at new iterate, X + step*S
     83: .  G - gradient of merit function evaluated at new iterate, X + step*S
     84: .  X - new iterate
     85: -  step - final step length

     87: @ */
     88: static PetscErrorCode TaoLineSearchApply_Armijo(TaoLineSearch ls, Vec x, PetscReal *f, Vec g, Vec s)
     89: {
     90:   TaoLineSearch_ARMIJO *armP = (TaoLineSearch_ARMIJO *)ls->data;
     91:   PetscInt              i, its = 0;
     92:   PetscReal             fact, ref, gdx;
     93:   PetscInt              idx;
     94:   PetscBool             g_computed = PETSC_FALSE; /* to prevent extra gradient computation */

     96:   PetscFunctionBegin;
     97:   PetscCall(TaoLineSearchMonitor(ls, 0, *f, 0.0));

     99:   ls->reason = TAOLINESEARCH_CONTINUE_ITERATING;
    100:   if (!armP->work) {
    101:     PetscCall(VecDuplicate(x, &armP->work));
    102:     armP->x = x;
    103:     PetscCall(PetscObjectReference((PetscObject)armP->x));
    104:   } else if (x != armP->x) {
    105:     /* If x has changed, then recreate work */
    106:     PetscCall(VecDestroy(&armP->work));
    107:     PetscCall(VecDuplicate(x, &armP->work));
    108:     PetscCall(PetscObjectDereference((PetscObject)armP->x));
    109:     armP->x = x;
    110:     PetscCall(PetscObjectReference((PetscObject)armP->x));
    111:   }

    113:   /* Check linesearch parameters */
    114:   if (armP->alpha < 1) {
    115:     PetscCall(PetscInfo(ls, "Armijo line search error: alpha (%g) < 1\n", (double)armP->alpha));
    116:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    117:   } else if ((armP->beta <= 0) || (armP->beta >= 1)) {
    118:     PetscCall(PetscInfo(ls, "Armijo line search error: beta (%g) invalid\n", (double)armP->beta));
    119:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    120:   } else if ((armP->beta_inf <= 0) || (armP->beta_inf >= 1)) {
    121:     PetscCall(PetscInfo(ls, "Armijo line search error: beta_inf (%g) invalid\n", (double)armP->beta_inf));
    122:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    123:   } else if ((armP->sigma <= 0) || (armP->sigma >= 0.5)) {
    124:     PetscCall(PetscInfo(ls, "Armijo line search error: sigma (%g) invalid\n", (double)armP->sigma));
    125:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    126:   } else if (armP->memorySize < 1) {
    127:     PetscCall(PetscInfo(ls, "Armijo line search error: memory_size (%" PetscInt_FMT ") < 1\n", armP->memorySize));
    128:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    129:   } else if ((armP->referencePolicy != REFERENCE_MAX) && (armP->referencePolicy != REFERENCE_AVE) && (armP->referencePolicy != REFERENCE_MEAN)) {
    130:     PetscCall(PetscInfo(ls, "Armijo line search error: reference_policy invalid\n"));
    131:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    132:   } else if ((armP->replacementPolicy != REPLACE_FIFO) && (armP->replacementPolicy != REPLACE_MRU)) {
    133:     PetscCall(PetscInfo(ls, "Armijo line search error: replacement_policy invalid\n"));
    134:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    135:   } else if (PetscIsInfOrNanReal(*f)) {
    136:     PetscCall(PetscInfo(ls, "Armijo line search error: initial function inf or nan\n"));
    137:     ls->reason = TAOLINESEARCH_FAILED_BADPARAMETER;
    138:   }

    140:   if (ls->reason != TAOLINESEARCH_CONTINUE_ITERATING) PetscFunctionReturn(PETSC_SUCCESS);

    142:   /* Check to see of the memory has been allocated.  If not, allocate
    143:      the historical array and populate it with the initial function
    144:      values. */
    145:   if (!armP->memory) PetscCall(PetscMalloc1(armP->memorySize, &armP->memory));

    147:   if (!armP->memorySetup) {
    148:     for (i = 0; i < armP->memorySize; i++) armP->memory[i] = armP->alpha * (*f);

    150:     armP->current       = 0;
    151:     armP->lastReference = armP->memory[0];
    152:     armP->memorySetup   = PETSC_TRUE;
    153:   }

    155:   /* Calculate reference value (MAX) */
    156:   ref = *f;
    157:   idx = armP->current;
    158:   for (i = 0; i < armP->memorySize; i++) {
    159:     if (armP->memory[i] > ref) {
    160:       ref = armP->memory[i];
    161:       idx = i;
    162:     }
    163:   }

    165:   if (armP->referencePolicy == REFERENCE_AVE) {
    166:     ref = 0;
    167:     for (i = 0; i < armP->memorySize; i++) ref += armP->memory[i];
    168:     ref = ref / armP->memorySize;
    169:     ref = PetscMax(ref, armP->memory[armP->current]);
    170:   } else if (armP->referencePolicy == REFERENCE_MEAN) {
    171:     ref = PetscMin(ref, 0.5 * (armP->lastReference + armP->memory[armP->current]));
    172:   }
    173:   PetscCall(VecDot(g, s, &gdx));

    175:   if (PetscIsInfOrNanReal(gdx)) {
    176:     PetscCall(PetscInfo(ls, "Initial Line Search step * g is infinity or NaN (%g)\n", (double)gdx));
    177:     ls->reason = TAOLINESEARCH_FAILED_INFORNAN;
    178:     PetscFunctionReturn(PETSC_SUCCESS);
    179:   }
    180:   if (gdx >= 0.0) {
    181:     PetscCall(PetscInfo(ls, "Initial Line Search step is not descent direction (g's=%g)\n", (double)gdx));
    182:     ls->reason = TAOLINESEARCH_FAILED_ASCENT;
    183:     PetscFunctionReturn(PETSC_SUCCESS);
    184:   }

    186:   if (armP->nondescending) {
    187:     fact = armP->sigma;
    188:   } else {
    189:     fact = armP->sigma * gdx;
    190:   }
    191:   ls->step = ls->initstep;
    192:   while (ls->step >= ls->stepmin && (ls->nfeval + ls->nfgeval) < ls->max_funcs) {
    193:     /* Calculate iterate */
    194:     ++its;
    195:     PetscCall(VecWAXPY(armP->work, ls->step, s, x));
    196:     if (ls->bounded) PetscCall(VecMedian(ls->lower, armP->work, ls->upper, armP->work));

    198:     /* Calculate function at new iterate */
    199:     PetscCall(VecLockReadPush(x));
    200:     if (ls->hasobjective) {
    201:       PetscCall(TaoLineSearchComputeObjective(ls, armP->work, f));
    202:       g_computed = PETSC_FALSE;
    203:     } else if (ls->usegts) {
    204:       PetscCall(TaoLineSearchComputeObjectiveAndGTS(ls, armP->work, f, &gdx));
    205:       g_computed = PETSC_FALSE;
    206:     } else {
    207:       PetscCall(TaoLineSearchComputeObjectiveAndGradient(ls, armP->work, f, g));
    208:       g_computed = PETSC_TRUE;
    209:     }
    210:     PetscCall(VecLockReadPop(x));
    211:     if (ls->step == ls->initstep) ls->f_fullstep = *f;

    213:     PetscCall(TaoLineSearchMonitor(ls, its, *f, ls->step));

    215:     if (PetscIsInfOrNanReal(*f)) {
    216:       ls->step *= armP->beta_inf;
    217:     } else {
    218:       /* Check descent condition */
    219:       if (armP->nondescending && *f <= ref - ls->step * fact * ref) break;
    220:       if (!armP->nondescending && *f <= ref + ls->step * fact) break;

    222:       ls->step *= armP->beta;
    223:     }
    224:   }

    226:   /* Check termination */
    227:   if (PetscIsInfOrNanReal(*f)) {
    228:     PetscCall(PetscInfo(ls, "Function is inf or nan.\n"));
    229:     ls->reason = TAOLINESEARCH_FAILED_INFORNAN;
    230:   } else if (ls->step < ls->stepmin) {
    231:     PetscCall(PetscInfo(ls, "Step length is below tolerance.\n"));
    232:     ls->reason = TAOLINESEARCH_HALTED_RTOL;
    233:   } else if ((ls->nfeval + ls->nfgeval) >= ls->max_funcs) {
    234:     PetscCall(PetscInfo(ls, "Number of line search function evals (%" PetscInt_FMT ") > maximum allowed (%" PetscInt_FMT ")\n", ls->nfeval + ls->nfgeval, ls->max_funcs));
    235:     ls->reason = TAOLINESEARCH_HALTED_MAXFCN;
    236:   }
    237:   if (ls->reason) PetscFunctionReturn(PETSC_SUCCESS);

    239:   /* Successful termination, update memory */
    240:   ls->reason          = TAOLINESEARCH_SUCCESS;
    241:   armP->lastReference = ref;
    242:   if (armP->replacementPolicy == REPLACE_FIFO) {
    243:     armP->memory[armP->current++] = *f;
    244:     if (armP->current >= armP->memorySize) armP->current = 0;
    245:   } else {
    246:     armP->current     = idx;
    247:     armP->memory[idx] = *f;
    248:   }

    250:   /* Update iterate and compute gradient */
    251:   PetscCall(VecCopy(armP->work, x));
    252:   if (!g_computed) PetscCall(TaoLineSearchComputeGradient(ls, x, g));
    253:   PetscCall(PetscInfo(ls, "%" PetscInt_FMT " function evals in line search, step = %g\n", ls->nfeval, (double)ls->step));
    254:   PetscFunctionReturn(PETSC_SUCCESS);
    255: }

    257: /*MC
    258:    TAOLINESEARCHARMIJO - Backtracking line-search that satisfies only the (nonmonotone) Armijo condition
    259:    (i.e., sufficient decrease).

    261:    Armijo line-search type can be selected with "-tao_ls_type armijo".

    263:    Level: developer

    265: .seealso: `TaoLineSearchCreate()`, `TaoLineSearchSetType()`, `TaoLineSearchApply()`
    266: M*/
    267: PETSC_EXTERN PetscErrorCode TaoLineSearchCreate_Armijo(TaoLineSearch ls)
    268: {
    269:   TaoLineSearch_ARMIJO *armP;

    271:   PetscFunctionBegin;
    273:   PetscCall(PetscNew(&armP));

    275:   armP->memory            = NULL;
    276:   armP->alpha             = 1.0;
    277:   armP->beta              = 0.5;
    278:   armP->beta_inf          = 0.5;
    279:   armP->sigma             = 1e-4;
    280:   armP->memorySize        = 1;
    281:   armP->referencePolicy   = REFERENCE_MAX;
    282:   armP->replacementPolicy = REPLACE_MRU;
    283:   armP->nondescending     = PETSC_FALSE;
    284:   ls->data                = (void *)armP;
    285:   ls->initstep            = 1.0;
    286:   ls->ops->setup          = NULL;
    287:   ls->ops->monitor        = NULL;
    288:   ls->ops->apply          = TaoLineSearchApply_Armijo;
    289:   ls->ops->view           = TaoLineSearchView_Armijo;
    290:   ls->ops->destroy        = TaoLineSearchDestroy_Armijo;
    291:   ls->ops->reset          = TaoLineSearchReset_Armijo;
    292:   ls->ops->setfromoptions = TaoLineSearchSetFromOptions_Armijo;
    293:   PetscFunctionReturn(PETSC_SUCCESS);
    294: }