Actual source code: rosenbrock1.c

  1: /* Program usage: mpiexec -n 1 rosenbrock1 [-help] [all TAO options] */

  3: /*  Include "petsctao.h" so we can use TAO solvers.  */
  4: #include <petsctao.h>

  6: static char help[] = "This example demonstrates use of the TAO package to \n\
  7: solve an unconstrained minimization problem on a single processor.  We \n\
  8: minimize the extended Rosenbrock function: \n\
  9:    sum_{i=0}^{n/2-1} (alpha*(x_{2i+1}-x_{2i}^2)^2 + (1-x_{2i})^2) \n\
 10: or the chained Rosenbrock function:\n\
 11:    sum_{i=0}^{n-1} alpha*(x_{i+1} - x_i^2)^2 + (1 - x_i)^2\n";

 13: /*
 14:    User-defined application context - contains data needed by the
 15:    application-provided call-back routines that evaluate the function,
 16:    gradient, and hessian.
 17: */
 18: typedef struct {
 19:   PetscInt  n;     /* dimension */
 20:   PetscReal alpha; /* condition parameter */
 21:   PetscBool chained;
 22: } AppCtx;

 24: /* -------------- User-defined routines ---------- */
 25: PetscErrorCode FormFunctionGradient(Tao, Vec, PetscReal *, Vec, void *);
 26: PetscErrorCode FormHessian(Tao, Vec, Mat, Mat, void *);

 28: int main(int argc, char **argv)
 29: {
 30:   PetscReal   zero = 0.0;
 31:   Vec         x; /* solution vector */
 32:   Mat         H;
 33:   Tao         tao; /* Tao solver context */
 34:   PetscBool   flg, test_lmvm = PETSC_FALSE;
 35:   PetscMPIInt size; /* number of processes running */
 36:   AppCtx      user; /* user-defined application context */
 37:   KSP         ksp;
 38:   PC          pc;
 39:   Mat         M;
 40:   Vec         in, out, out2;
 41:   PetscReal   mult_solve_dist;

 43:   /* Initialize TAO and PETSc */
 44:   PetscFunctionBeginUser;
 45:   PetscCall(PetscInitialize(&argc, &argv, (char *)0, help));
 46:   PetscCallMPI(MPI_Comm_size(PETSC_COMM_WORLD, &size));
 47:   PetscCheck(size == 1, PETSC_COMM_WORLD, PETSC_ERR_WRONG_MPI_SIZE, "Incorrect number of processors");

 49:   /* Initialize problem parameters */
 50:   user.n       = 2;
 51:   user.alpha   = 99.0;
 52:   user.chained = PETSC_FALSE;
 53:   /* Check for command line arguments to override defaults */
 54:   PetscCall(PetscOptionsGetInt(NULL, NULL, "-n", &user.n, &flg));
 55:   PetscCall(PetscOptionsGetReal(NULL, NULL, "-alpha", &user.alpha, &flg));
 56:   PetscCall(PetscOptionsGetBool(NULL, NULL, "-chained", &user.chained, &flg));
 57:   PetscCall(PetscOptionsGetBool(NULL, NULL, "-test_lmvm", &test_lmvm, &flg));

 59:   /* Allocate vectors for the solution and gradient */
 60:   PetscCall(VecCreateSeq(PETSC_COMM_SELF, user.n, &x));
 61:   PetscCall(MatCreateSeqBAIJ(PETSC_COMM_SELF, 2, user.n, user.n, 1, NULL, &H));

 63:   /* The TAO code begins here */

 65:   /* Create TAO solver with desired solution method */
 66:   PetscCall(TaoCreate(PETSC_COMM_SELF, &tao));
 67:   PetscCall(TaoSetType(tao, TAOLMVM));

 69:   /* Set solution vec and an initial guess */
 70:   PetscCall(VecSet(x, zero));
 71:   PetscCall(TaoSetSolution(tao, x));

 73:   /* Set routines for function, gradient, hessian evaluation */
 74:   PetscCall(TaoSetObjectiveAndGradient(tao, NULL, FormFunctionGradient, &user));
 75:   PetscCall(TaoSetHessian(tao, H, H, FormHessian, &user));

 77:   /* Test the LMVM matrix */
 78:   if (test_lmvm) PetscCall(PetscOptionsSetValue(NULL, "-tao_type", "bqnktr"));

 80:   /* Check for TAO command line options */
 81:   PetscCall(TaoSetFromOptions(tao));

 83:   /* SOLVE THE APPLICATION */
 84:   PetscCall(TaoSolve(tao));

 86:   /* Test the LMVM matrix */
 87:   if (test_lmvm) {
 88:     PetscCall(TaoGetKSP(tao, &ksp));
 89:     PetscCall(KSPGetPC(ksp, &pc));
 90:     PetscCall(PCLMVMGetMatLMVM(pc, &M));
 91:     PetscCall(VecDuplicate(x, &in));
 92:     PetscCall(VecDuplicate(x, &out));
 93:     PetscCall(VecDuplicate(x, &out2));
 94:     PetscCall(VecSet(in, 1.0));
 95:     PetscCall(MatMult(M, in, out));
 96:     PetscCall(MatSolve(M, out, out2));
 97:     PetscCall(VecAXPY(out2, -1.0, in));
 98:     PetscCall(VecNorm(out2, NORM_2, &mult_solve_dist));
 99:     if (mult_solve_dist < 1.e-11) {
100:       PetscCall(PetscPrintf(PetscObjectComm((PetscObject)tao), "Inverse error of LMVM MatMult and MatSolve: < 1.e-11\n"));
101:     } else if (mult_solve_dist < 1.e-6) {
102:       PetscCall(PetscPrintf(PetscObjectComm((PetscObject)tao), "Inverse error of LMVM MatMult and MatSolve: < 1.e-6\n"));
103:     } else {
104:       PetscCall(PetscPrintf(PetscObjectComm((PetscObject)tao), "Inverse error of LMVM MatMult and MatSolve is not small: %e\n", (double)mult_solve_dist));
105:     }
106:     PetscCall(VecDestroy(&in));
107:     PetscCall(VecDestroy(&out));
108:     PetscCall(VecDestroy(&out2));
109:   }

111:   PetscCall(TaoDestroy(&tao));
112:   PetscCall(VecDestroy(&x));
113:   PetscCall(MatDestroy(&H));

115:   PetscCall(PetscFinalize());
116:   return 0;
117: }

119: /* -------------------------------------------------------------------- */
120: /*
121:     FormFunctionGradient - Evaluates the function, f(X), and gradient, G(X).

123:     Input Parameters:
124: .   tao  - the Tao context
125: .   X    - input vector
126: .   ptr  - optional user-defined context, as set by TaoSetFunctionGradient()

128:     Output Parameters:
129: .   G - vector containing the newly evaluated gradient
130: .   f - function value

132:     Note:
133:     Some optimization methods ask for the function and the gradient evaluation
134:     at the same time.  Evaluating both at once may be more efficient that
135:     evaluating each separately.
136: */
137: PetscErrorCode FormFunctionGradient(Tao tao, Vec X, PetscReal *f, Vec G, void *ptr)
138: {
139:   AppCtx            *user = (AppCtx *)ptr;
140:   PetscInt           i, nn = user->n / 2;
141:   PetscReal          ff = 0, t1, t2, alpha = user->alpha;
142:   PetscScalar       *g;
143:   const PetscScalar *x;

145:   PetscFunctionBeginUser;
146:   /* Get pointers to vector data */
147:   PetscCall(VecGetArrayRead(X, &x));
148:   PetscCall(VecGetArray(G, &g));

150:   /* Compute G(X) */
151:   if (user->chained) {
152:     g[0] = 0;
153:     for (i = 0; i < user->n - 1; i++) {
154:       t1 = x[i + 1] - x[i] * x[i];
155:       ff += PetscSqr(1 - x[i]) + alpha * t1 * t1;
156:       g[i] += -2 * (1 - x[i]) + 2 * alpha * t1 * (-2 * x[i]);
157:       g[i + 1] = 2 * alpha * t1;
158:     }
159:   } else {
160:     for (i = 0; i < nn; i++) {
161:       t1 = x[2 * i + 1] - x[2 * i] * x[2 * i];
162:       t2 = 1 - x[2 * i];
163:       ff += alpha * t1 * t1 + t2 * t2;
164:       g[2 * i]     = -4 * alpha * t1 * x[2 * i] - 2.0 * t2;
165:       g[2 * i + 1] = 2 * alpha * t1;
166:     }
167:   }

169:   /* Restore vectors */
170:   PetscCall(VecRestoreArrayRead(X, &x));
171:   PetscCall(VecRestoreArray(G, &g));
172:   *f = ff;

174:   PetscCall(PetscLogFlops(15.0 * nn));
175:   PetscFunctionReturn(PETSC_SUCCESS);
176: }

178: /* ------------------------------------------------------------------- */
179: /*
180:    FormHessian - Evaluates Hessian matrix.

182:    Input Parameters:
183: .  tao   - the Tao context
184: .  x     - input vector
185: .  ptr   - optional user-defined context, as set by TaoSetHessian()

187:    Output Parameters:
188: .  H     - Hessian matrix

190:    Note:  Providing the Hessian may not be necessary.  Only some solvers
191:    require this matrix.
192: */
193: PetscErrorCode FormHessian(Tao tao, Vec X, Mat H, Mat Hpre, void *ptr)
194: {
195:   AppCtx            *user = (AppCtx *)ptr;
196:   PetscInt           i, ind[2];
197:   PetscReal          alpha = user->alpha;
198:   PetscReal          v[2][2];
199:   const PetscScalar *x;
200:   PetscBool          assembled;

202:   PetscFunctionBeginUser;
203:   /* Zero existing matrix entries */
204:   PetscCall(MatAssembled(H, &assembled));
205:   if (assembled) PetscCall(MatZeroEntries(H));

207:   /* Get a pointer to vector data */
208:   PetscCall(VecGetArrayRead(X, &x));

210:   /* Compute H(X) entries */
211:   if (user->chained) {
212:     PetscCall(MatZeroEntries(H));
213:     for (i = 0; i < user->n - 1; i++) {
214:       PetscScalar t1 = x[i + 1] - x[i] * x[i];
215:       v[0][0]        = 2 + 2 * alpha * (t1 * (-2) - 2 * x[i]);
216:       v[0][1]        = 2 * alpha * (-2 * x[i]);
217:       v[1][0]        = 2 * alpha * (-2 * x[i]);
218:       v[1][1]        = 2 * alpha * t1;
219:       ind[0]         = i;
220:       ind[1]         = i + 1;
221:       PetscCall(MatSetValues(H, 2, ind, 2, ind, v[0], ADD_VALUES));
222:     }
223:   } else {
224:     for (i = 0; i < user->n / 2; i++) {
225:       v[1][1] = 2 * alpha;
226:       v[0][0] = -4 * alpha * (x[2 * i + 1] - 3 * x[2 * i] * x[2 * i]) + 2;
227:       v[1][0] = v[0][1] = -4.0 * alpha * x[2 * i];
228:       ind[0]            = 2 * i;
229:       ind[1]            = 2 * i + 1;
230:       PetscCall(MatSetValues(H, 2, ind, 2, ind, v[0], INSERT_VALUES));
231:     }
232:   }
233:   PetscCall(VecRestoreArrayRead(X, &x));

235:   /* Assemble matrix */
236:   PetscCall(MatAssemblyBegin(H, MAT_FINAL_ASSEMBLY));
237:   PetscCall(MatAssemblyEnd(H, MAT_FINAL_ASSEMBLY));
238:   PetscCall(PetscLogFlops(9.0 * user->n / 2.0));
239:   PetscFunctionReturn(PETSC_SUCCESS);
240: }

242: /*TEST

244:    build:
245:      requires: !complex

247:    test:
248:      requires: !single
249:      args: -tao_monitor_short -tao_type nls -tao_gatol 1.e-4

251:    test:
252:      suffix: 2
253:      requires: !single
254:      args: -tao_monitor_short -tao_type lmvm -tao_gatol 1.e-3

256:    test:
257:      suffix: 3
258:      requires: !single
259:      args: -tao_monitor_short -tao_type ntr -tao_gatol 1.e-4

261:    test:
262:      suffix: 4
263:      requires: !single
264:      args: -tao_monitor_short -tao_type ntr -tao_mf_hessian -tao_ntr_pc_type none -tao_gatol 1.e-4

266:    test:
267:      suffix: 5
268:      requires: !single
269:      args: -tao_monitor_short -tao_type bntr -tao_gatol 1.e-4

271:    test:
272:      suffix: 6
273:      requires: !single
274:      args: -tao_monitor_short -tao_type bntl -tao_gatol 1.e-4

276:    test:
277:      suffix: 7
278:      requires: !single
279:      args: -tao_monitor_short -tao_type bnls -tao_gatol 1.e-4

281:    test:
282:      suffix: 8
283:      requires: !single
284:      args: -tao_monitor_short -tao_type bntr -tao_bnk_max_cg_its 3 -tao_gatol 1.e-4

286:    test:
287:      suffix: 9
288:      requires: !single
289:      args: -tao_monitor_short -tao_type bntl -tao_bnk_max_cg_its 3 -tao_gatol 1.e-4

291:    test:
292:      suffix: 10
293:      requires: !single
294:      args: -tao_monitor_short -tao_type bnls -tao_bnk_max_cg_its 3 -tao_gatol 1.e-4

296:    test:
297:      suffix: 11
298:      requires: !single
299:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmbroyden

301:    test:
302:      suffix: 12
303:      requires: !single
304:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmbadbroyden

306:    test:
307:      suffix: 13
308:      requires: !single
309:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmsymbroyden

311:    test:
312:      suffix: 14
313:      requires: !single
314:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmbfgs

316:    test:
317:      suffix: 15
318:      requires: !single
319:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmdfp

321:    test:
322:      suffix: 16
323:      requires: !single
324:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmsr1

326:    test:
327:      suffix: 17
328:      requires: !single
329:      args: -tao_monitor_short -tao_gatol 1e-4 -tao_type bqnls

331:    test:
332:      suffix: 18
333:      requires: !single
334:      args: -tao_monitor_short -tao_gatol 1e-4 -tao_type blmvm

336:    test:
337:      suffix: 19
338:      requires: !single
339:      args: -tao_monitor_short -tao_gatol 1e-4 -tao_type bqnktr -tao_bqnk_mat_type lmvmsr1

341:    test:
342:      suffix: 20
343:      requires: !single
344:      args: -tao_monitor -tao_gatol 1e-4 -tao_type blmvm -tao_ls_monitor

346:    test:
347:      suffix: 21
348:      requires: !single
349:      args: -test_lmvm -tao_max_it 10 -tao_bqnk_mat_type lmvmsymbadbroyden

351:    test:
352:      suffix: 22
353:      requires: !single
354:      args: -tao_max_it 1 -tao_converged_reason

356:    test:
357:      suffix: 23
358:      requires: !single
359:      args: -tao_max_funcs 0 -tao_converged_reason

361:    test:
362:      suffix: 24
363:      requires: !single
364:      args: -tao_gatol 10 -tao_converged_reason

366:    test:
367:      suffix: 25
368:      requires: !single
369:      args: -tao_grtol 10 -tao_converged_reason

371:    test:
372:      suffix: 26
373:      requires: !single
374:      args: -tao_gttol 10 -tao_converged_reason

376:    test:
377:      suffix: 27
378:      requires: !single
379:      args: -tao_steptol 10 -tao_converged_reason

381:    test:
382:      suffix: 28
383:      requires: !single
384:      args: -tao_fmin 10 -tao_converged_reason

386:    test:
387:      suffix: snes
388:      requires: !single
389:      args: -snes_monitor ::ascii_info_detail -tao_type snes -snes_type newtontr -snes_atol 1.e-4 -pc_type none -tao_mf_hessian -ksp_type cg

391:    test:
392:      suffix: snes_ls_armijo
393:      requires: !single
394:      args: -snes_monitor ::ascii_info_detail -tao_type snes -snes_type newtonls -snes_atol 1.e-4 -pc_type none -tao_mf_hessian -snes_linesearch_monitor -snes_linesearch_order 1

396:    test:
397:      suffix: snes_tr_cgnegcurve_kmdc
398:      requires: !single
399:      args: -snes_monitor ::ascii_info_detail -tao_type snes -snes_type newtontr -snes_atol 1.e-4 -pc_type none -ksp_type cg -snes_tr_kmdc 0.9 -ksp_converged_neg_curve -ksp_converged_reason

401:    test:
402:      suffix: snes_ls_lmvm
403:      requires: !single
404:      args: -snes_monitor ::ascii_info_detail -tao_type snes -snes_type newtonls -snes_atol 1.e-4 -pc_type lmvm -tao_mf_hessian

406: TEST*/