ROL_OptimizationSolver.hpp

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#ifndef ROL_OPTIMIZATIONSOLVER_HPP
#define ROL_OPTIMIZATIONSOLVER_HPP
 
#include "ROL_Algorithm.hpp"
#include "ROL_StepFactory.hpp"
#include "ROL_StatusTestFactory.hpp"
#include "ROL_OptimizationProblem.hpp"
#include "ROL_CombinedStatusTest.hpp"
 
#include "ROL_Stream.hpp"
 
namespace ROL {
 
template<class Real>
class OptimizationSolver {
private:
 
  ROL::Ptr<Algorithm<Real> >          algo_;
  ROL::Ptr<Step<Real> >               step_;
  ROL::Ptr<StatusTest<Real> >         status0_;
  ROL::Ptr<CombinedStatusTest<Real> > status_;
  ROL::Ptr<AlgorithmState<Real> >     state_;
 
  ROL::Ptr<Vector<Real> > x_;
  ROL::Ptr<Vector<Real> > g_;
  ROL::Ptr<Vector<Real> > l_;
  ROL::Ptr<Vector<Real> > c_;
 
  ROL::Ptr<Objective<Real> >       obj_;
  ROL::Ptr<BoundConstraint<Real> > bnd_;
  ROL::Ptr<Constraint<Real> >      con_;
 
  std::vector<std::string>  output_;
 
  EProblem problemType_;
  EStep stepType_;
  std::string stepname_;
 
  Real pen_;
 
public:
 
  OptimizationSolver( OptimizationProblem<Real> &opt,
                      ROL::ParameterList &parlist ) {
 
    // Get optimization problem type: U, E, B, EB
    problemType_ = opt.getProblemType();
 
    // Initialize AlgorithmState
    state_ = ROL::makePtr<AlgorithmState<Real>>();
 
    // Get step name from parameterlist
    stepname_ = parlist.sublist("Step").get("Type","Last Type (Dummy)");
    stepType_ = StringToEStep(stepname_);
 
    // Set default algorithm if provided step is incompatible with problem type
    if ( !isCompatibleStep(problemType_, stepType_) ) {
      switch ( problemType_ ) {
        case TYPE_U:
          stepType_ = STEP_TRUSTREGION;          break;
        case TYPE_B:
          stepType_ = STEP_TRUSTREGION;          break;
        case TYPE_E:
          stepType_ = STEP_COMPOSITESTEP;        break;
        case TYPE_EB:
          stepType_ = STEP_AUGMENTEDLAGRANGIAN;  break;
        case TYPE_LAST:
        default:
          throw Exception::NotImplemented(">>> ROL::OptimizationSolver: Unknown problem type!");
      }
    }
    stepname_ = EStepToString(stepType_);
 
    // Build status test
    StatusTestFactory<Real> statusTestFactory;
    status0_ = statusTestFactory.getStatusTest(stepname_,parlist);
    status_  = ROL::makePtr<CombinedStatusTest<Real>>();
 
    // Get optimization vector and a vector for the gradient
    x_ = opt.getSolutionVector();
    g_ = x_->dual().clone();
 
    // Initialize Step
    StepFactory<Real> stepFactory;
    step_ = stepFactory.getStep(stepname_,parlist);
 
    // If there is an equality constraint, get the multiplier and create a constraint vector
    if( problemType_ == TYPE_E || problemType_ == TYPE_EB ) {
      l_ = opt.getMultiplierVector();
      c_ = l_->dual().clone();
    }
 
    // Create modified objectives if needed
    const Real one(1), ten(10);
    if( stepType_ == STEP_AUGMENTEDLAGRANGIAN ) {
      ROL::Ptr<Objective<Real> > raw_obj = opt.getObjective();
      con_ = opt.getConstraint();
      // TODO: Provide access to change initial penalty
      obj_ = ROL::makePtr<AugmentedLagrangian<Real>>(raw_obj,con_,*l_,1.0,*x_,*c_,parlist);
      bnd_ = opt.getBoundConstraint();
      pen_ = parlist.sublist("Step").sublist("Augmented Lagrangian").get("Initial Penalty Parameter",ten);
    }
    else if( stepType_ == STEP_MOREAUYOSIDAPENALTY ) {
      ROL::Ptr<Objective<Real> > raw_obj = opt.getObjective();
      bnd_ = opt.getBoundConstraint();
      con_ = opt.getConstraint();
      // TODO: Provide access to change initial penalty
      obj_ = ROL::makePtr<MoreauYosidaPenalty<Real>>(raw_obj,bnd_,*x_,parlist);
      pen_ = parlist.sublist("Step").sublist("Moreau-Yosida Penalty").get("Initial Penalty Parameter",ten);
    }
    else if( stepType_ == STEP_INTERIORPOINT ) {
      ROL::Ptr<Objective<Real> > raw_obj = opt.getObjective();
      bnd_ = opt.getBoundConstraint();
      con_ = opt.getConstraint();
      // TODO: Provide access to change initial penalty
      obj_ = ROL::makePtr<InteriorPoint::PenalizedObjective<Real>>(raw_obj,bnd_,*x_,parlist);
      pen_ = parlist.sublist("Step").sublist("Interior Point").get("Initial Barrier Parameter",ten);
    }
    else if( stepType_ == STEP_FLETCHER ) {
      ROL::Ptr<Objective<Real> > raw_obj = opt.getObjective();
      bnd_ = opt.getBoundConstraint();
      con_ = opt.getConstraint();
      if( bnd_->isActivated() ) {
        obj_ = ROL::makePtr<BoundFletcher<Real> >(raw_obj,con_,bnd_,*x_,*c_,parlist);
      }
      else {
        obj_ = ROL::makePtr<Fletcher<Real> >(raw_obj,con_,*x_,*c_,parlist);
      }
      pen_ = parlist.sublist("Step").sublist("Fletcher").get("Penalty Parameter",one);
    }
    else {
      obj_   = opt.getObjective();
      bnd_   = opt.getBoundConstraint();
      con_   = opt.getConstraint();
      if( stepType_ == STEP_TRUSTREGION ) {
        pen_ = parlist.sublist("Step").sublist("Trust Region").get("Initial Radius",ten);
      }
      else if( stepType_ == STEP_BUNDLE ) {
        pen_ = parlist.sublist("Step").sublist("Bundle").get("Initial Trust-Region Parameter",ten);
      }
    }
  }
 
  std::vector<std::string> getOutput(void) const {
    return output_;
  }
 
  int solve(const ROL::Ptr<StatusTest<Real> > &status = ROL::nullPtr,
            const bool combineStatus = true) {
    ROL::nullstream bhs;
    return solve(bhs,status,combineStatus);
  }
 
  int solve( std::ostream &outStream,
       const ROL::Ptr<StatusTest<Real> > &status = ROL::nullPtr,
       const bool combineStatus = true ) {
    // Build algorithm
    status_->reset();       // Clear previous status test
    status_->add(status0_); // Default StatusTest
    if (status != ROL::nullPtr) {
      if (!combineStatus) { // Use only user-defined StatusTest
        status_->reset();
      }
      status_->add(status); // Add user-defined StatusTest
    }
    algo_ = ROL::makePtr<Algorithm<Real>>( step_, status_, state_ );
 
    switch(problemType_) {
      case TYPE_U:
        output_ = algo_->run(*x_,*g_,*obj_,true,outStream);
      break;
      case TYPE_B:
        output_ = algo_->run(*x_,*g_,*obj_,*bnd_,true,outStream);
      break;
      case TYPE_E:
        output_ = algo_->run(*x_,*g_,*l_,*c_,*obj_,*con_,true,outStream);
      break;
      case TYPE_EB:
        output_ = algo_->run(*x_,*g_,*l_,*c_,*obj_,*con_,*bnd_,true,outStream);
      break;
      case TYPE_LAST:
        ROL_TEST_FOR_EXCEPTION(true,std::invalid_argument,
          "Error in OptimizationSolver::solve() : Unsupported problem type");
      break;
    }
 
    // TODO: Interrogate AlgorithmState and StatusTest to generate a return code
    //       that indicates why the solver has stopped
 
    // Return an integer code
    return 0;
  }
 
  ROL::Ptr<const AlgorithmState<Real> > getAlgorithmState(void) const {
    return state_;
  }
 
  void resetAlgorithmState(void) {
    state_ = ROL::makePtr<AlgorithmState<Real>>();
  }
 
  void reset(const bool resetAlgo = true) {
    // Reset AlgorithmState
    if (resetAlgo) {
      resetAlgorithmState();
    }
    // Reset StepState
    step_->reset(pen_);
    // Reset penalty objectives
    if( stepType_ == STEP_AUGMENTEDLAGRANGIAN ) {
      ROL::dynamicPtrCast<AugmentedLagrangian<Real> >(obj_)->reset(*l_,pen_);
    }
    else if( stepType_ == STEP_MOREAUYOSIDAPENALTY ) {
      ROL::dynamicPtrCast<MoreauYosidaPenalty<Real> >(obj_)->reset(pen_);
    }
    else if( stepType_ == STEP_INTERIORPOINT ) {
      ROL::dynamicPtrCast<InteriorPoint::PenalizedObjective<Real> >(obj_)->updatePenalty(pen_);
    }
  }
 
  std::string getStepName(void) const {
    return stepname_;
  }
 
}; // class OptimizationSolver
 
 
template<typename Real>
inline Ptr<OptimizationSolver<Real>>
make_OptimizationSolver( OptimizationProblem<Real>& opt, 
                         ParameterList& parlist ) {
  return makePtr<OptimizationSolver<Real>>(opt,parlist);
}
 
template<typename Real>
inline Ptr<OptimizationSolver<Real>>
make_OptimizationSolver( const Ptr<OptimizationProblem<Real>>& opt, 
                         ParameterList& parlist ) {
  return makePtr<OptimizationSolver<Real>>(*opt,parlist);
}
 
template<typename Real>
inline Ptr<OptimizationSolver<Real>>
make_OptimizationSolver( OptimizationProblem<Real>& opt, 
                         const Ptr<ParameterList>& parlist ) {
  return makePtr<OptimizationSolver<Real>>(opt,*parlist);
}
 
template<typename Real>
inline Ptr<OptimizationSolver<Real>>
make_OptimizationSolver( const Ptr<OptimizationProblem<Real>>& opt, 
                         const Ptr<ParameterList>& parlist ) {
  return makePtr<OptimizationSolver<Real>>(*opt,*parlist);
}
 
} // namespace ROL
 
#endif // ROL_OPTIMIZATIONSOLVER_HPP