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// ************************************************************************
//
// Rapid Optimization Library (ROL) Package
// Copyright (2014) Sandia Corporation
//
// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
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// @HEADER
#ifndef ROL_BOUND_CONSTRAINT_SIMOPT_H
#define ROL_BOUND_CONSTRAINT_SIMOPT_H
#include "ROL_BoundConstraint.hpp"
#include "ROL_Vector_SimOpt.hpp"
#include "ROL_Types.hpp"
#include <iostream>
/** @ingroup func_group
\class ROL::BoundConstraint
\brief Provides the interface to apply upper and lower bound constraints.
ROL's bound constraint class is to designed to handle point wise bound
constraints on optimization variables. That is, let \f$\mathcal{X}\f$
be a Banach space of functions from \f$\Xi\f$ into \f$\mathbb{R}\f$
(for example, \f$\Xi\subset\mathbb{R}^d\f$ for some positive integer \f$d\f$
and \f$\mathcal{X}=L^2(\Xi)\f$ or \f$\Xi = \{1,\ldots,n\}\f$ and
\f$\mathcal{X}=\mathbb{R}^n\f$). For any \f$x\in\mathcal{X}\f$, we consider
bounds of the form
\f[
a(\xi) \le x(\xi) \le b(\xi) \quad \text{for almost every }\xi\in\Xi.
\f]
Here, \f$a(\xi)\le b(\xi)\f$ for almost every \f$\xi\in\Xi\f$ and \f$a,b\in \mathcal{X}\f$.
*/
namespace ROL {
template <class Real>
class BoundConstraint_SimOpt : public BoundConstraint<Real> {
private:
Teuchos::RCP<BoundConstraint<Real> > bnd1_;
Teuchos::RCP<BoundConstraint<Real> > bnd2_;
public:
~BoundConstraint_SimOpt() {}
/** \brief Default constructor.
The default constructor automatically turns the constraints on.
*/
BoundConstraint_SimOpt(const Teuchos::RCP<BoundConstraint<Real> > &bnd1,
const Teuchos::RCP<BoundConstraint<Real> > &bnd2)
: bnd1_(bnd1), bnd2_(bnd2) {
if ( bnd1_->isActivated() || bnd2_->isActivated() ) {
BoundConstraint<Real>::activate();
}
else {
BoundConstraint<Real>::deactivate();
}
}
/** \brief Update bounds.
The update function allows the user to update the bounds at each new iterations.
@param[in] x is the optimization variable.
@param[in] flag is set to true if control is changed.
@param[in] iter is the outer algorithm iterations count.
*/
void update( const Vector<Real> &x, bool flag = true, int iter = -1 ) {
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
bnd1_->update(*(xs.get_1()),flag,iter);
}
if ( bnd2_->isActivated() ) {
bnd2_->update(*(xs.get_2()),flag,iter);
}
}
/** \brief Project optimization variables onto the bounds.
This function implements the projection of \f$x\f$ onto the bounds, i.e.,
\f[
(P_{[a,b]}(x))(\xi) = \min\{b(\xi),\max\{a(\xi),x(\xi)\}\} \quad \text{for almost every }\xi\in\Xi.
\f]
@param[in,out] x is the optimization variable.
*/
void project( Vector<Real> &x ) {
ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > x1 = xs.get_1()->clone(); x1->set(*(xs.get_1()));
bnd1_->project(*x1);
xs.set_1(*x1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > x2 = xs.get_2()->clone(); x2->set(*(xs.get_2()));
bnd2_->project(*x2);
xs.set_2(*x2);
}
}
/** \brief Determine if a vector of Lagrange multipliers is nonnegative components.
This function returns true if components of \f$l\f$ corresponding to the components of \f$x\f$
that are active at the upper bound are nonpositive or the components of \f$l\f$ corresponding
to the components of \f$x\f$ that are active at the lower bound are nonnegative.
*/
bool checkMultipliers( const Vector<Real> &l, const Vector<Real> &x ) {
const ROL::Vector_SimOpt<Real> &ls = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(l));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
bool nn1 = true;
if ( bnd1_->isActivated() ) {
nn1 = bnd1_->checkMultipliers(*(ls.get_1()),*(xs.get_1()));
}
bool nn2 = true;
if ( bnd2_->isActivated() ) {
nn2 = bnd2_->checkMultipliers(*(ls.get_2()),*(xs.get_2()));
}
return (nn1 && nn2);
}
/** \brief Set variables to zero if they correspond to the upper \f$\epsilon\f$-active set.
This function sets \f$v(\xi)=0\f$ if \f$\xi\in\mathcal{A}^+_\epsilon(x)\f$. Here,
the upper \f$\epsilon\f$-active set is defined as
\f[
\mathcal{A}^+_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = b(\xi)-\epsilon\,\}.
\f]
@param[out] v is the variable to be pruned.
@param[in] x is the current optimization variable.
@param[in] eps is the active-set tolerance \f$\epsilon\f$.
*/
void pruneUpperActive( Vector<Real> &v, const Vector<Real> &x, Real eps = 0.0 ) {
ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(v));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v1 = vs.get_1()->clone(); v1->set(*(vs.get_1()));
bnd1_->pruneUpperActive(*v1,*(xs.get_1()),eps);
vs.set_1(*v1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v2 = vs.get_2()->clone(); v2->set(*(vs.get_2()));
bnd2_->pruneUpperActive(*v2,*(xs.get_2()),eps);
vs.set_2(*v2);
}
}
/** \brief Set variables to zero if they correspond to the upper \f$\epsilon\f$-binding set.
This function sets \f$v(\xi)=0\f$ if \f$\xi\in\mathcal{B}^+_\epsilon(x)\f$. Here,
the upper \f$\epsilon\f$-binding set is defined as
\f[
\mathcal{B}^+_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = b(\xi)-\epsilon,\;
g(\xi) < 0 \,\}.
\f]
@param[out] v is the variable to be pruned.
@param[in] x is the current optimization variable.
@param[in] g is the negative search direction.
@param[in] eps is the active-set tolerance \f$\epsilon\f$.
*/
void pruneUpperActive( Vector<Real> &v, const Vector<Real> &g, const Vector<Real> &x, Real eps = 0.0 ) {
ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(v));
const ROL::Vector_SimOpt<Real> &gs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(g));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v1 = vs.get_1()->clone(); v1->set(*(vs.get_1()));
bnd1_->pruneUpperActive(*v1,*(gs.get_1()),*(xs.get_1()),eps);
vs.set_1(*v1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v2 = vs.get_2()->clone(); v2->set(*(vs.get_2()));
bnd2_->pruneUpperActive(*v2,*(gs.get_2()),*(xs.get_2()),eps);
vs.set_2(*v2);
}
}
/** \brief Set variables to zero if they correspond to the lower \f$\epsilon\f$-active set.
This function sets \f$v(\xi)=0\f$ if \f$\xi\in\mathcal{A}^-_\epsilon(x)\f$. Here,
the lower \f$\epsilon\f$-active set is defined as
\f[
\mathcal{A}^-_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = a(\xi)+\epsilon\,\}.
\f]
@param[out] v is the variable to be pruned.
@param[in] x is the current optimization variable.
@param[in] eps is the active-set tolerance \f$\epsilon\f$.
*/
void pruneLowerActive( Vector<Real> &v, const Vector<Real> &x, Real eps = 0.0 ) {
ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(v));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v1 = vs.get_1()->clone(); v1->set(*(vs.get_1()));
bnd1_->pruneLowerActive(*v1,*(xs.get_1()),eps);
vs.set_1(*v1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v2 = vs.get_2()->clone(); v2->set(*(vs.get_2()));
bnd2_->pruneLowerActive(*v2,*(xs.get_2()),eps);
vs.set_2(*v2);
}
}
/** \brief Set variables to zero if they correspond to the lower \f$\epsilon\f$-binding set.
This function sets \f$v(\xi)=0\f$ if \f$\xi\in\mathcal{B}^-_\epsilon(x)\f$. Here,
the lower \f$\epsilon\f$-binding set is defined as
\f[
\mathcal{B}^-_\epsilon(x) = \{\,\xi\in\Xi\,:\,x(\xi) = a(\xi)+\epsilon,\;
g(\xi) > 0 \,\}.
\f]
@param[out] v is the variable to be pruned.
@param[in] x is the current optimization variable.
@param[in] g is the negative search direction.
@param[in] eps is the active-set tolerance \f$\epsilon\f$.
*/
void pruneLowerActive( Vector<Real> &v, const Vector<Real> &g, const Vector<Real> &x, Real eps = 0.0 ) {
ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(v));
const ROL::Vector_SimOpt<Real> &gs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(g));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v1 = vs.get_1()->clone(); v1->set(*(vs.get_1()));
bnd1_->pruneLowerActive(*v1,*(gs.get_1()),*(xs.get_1()),eps);
vs.set_1(*v1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v2 = vs.get_2()->clone(); v2->set(*(vs.get_2()));
bnd2_->pruneLowerActive(*v2,*(gs.get_2()),*(xs.get_2()),eps);
vs.set_2(*v2);
}
}
const Teuchos::RCP<const Vector<Real> > getLowerVectorRCP( void ) const {
const Teuchos::RCP<const Vector<Real> > l1 = bnd1_->getLowerVectorRCP();
const Teuchos::RCP<const Vector<Real> > l2 = bnd2_->getLowerVectorRCP();
return Teuchos::rcp( new Vector_SimOpt<Real>( Teuchos::rcp_const_cast<Vector<Real> >(l1),
Teuchos::rcp_const_cast<Vector<Real> >(l2) ) );
}
const Teuchos::RCP<const Vector<Real> > getUpperVectorRCP( void ) const {
const Teuchos::RCP<const Vector<Real> > u1 = bnd1_->getUpperVectorRCP();
const Teuchos::RCP<const Vector<Real> > u2 = bnd2_->getUpperVectorRCP();
return Teuchos::rcp( new Vector_SimOpt<Real>( Teuchos::rcp_const_cast<Vector<Real> >(u1),
Teuchos::rcp_const_cast<Vector<Real> >(u2) ) );
}
/** \brief Set the input vector to the upper bound.
This function sets the input vector \f$u\f$ to the upper bound \f$b\f$.
@param[out] u is the vector to be set to the upper bound.
*/
void setVectorToUpperBound( Vector<Real> &u ) {
ROL::Vector_SimOpt<Real> &us = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(u));
Teuchos::RCP<Vector<Real> > u1 = us.get_1()->clone();
Teuchos::RCP<Vector<Real> > u2 = us.get_2()->clone();
bnd1_->setVectorToUpperBound(*u1);
bnd2_->setVectorToUpperBound(*u2);
us.set_1(*u1);
us.set_2(*u2);
}
/** \brief Set the input vector to the lower bound.
This function sets the input vector \f$l\f$ to the lower bound \f$a\f$.
@param[out] l is the vector to be set to the lower bound.
*/
void setVectorToLowerBound( Vector<Real> &l ) {
ROL::Vector_SimOpt<Real> &ls = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(l));
Teuchos::RCP<Vector<Real> > l1 = ls.get_1()->clone();
Teuchos::RCP<Vector<Real> > l2 = ls.get_2()->clone();
bnd1_->setVectorToLowerBound(*l1);
bnd2_->setVectorToLowerBound(*l2);
ls.set_1(*l1);
ls.set_2(*l2);
}
/** \brief Set variables to zero if they correspond to the \f$\epsilon\f$-active set.
This function sets \f$v(\xi)=0\f$ if \f$\xi\in\mathcal{A}_\epsilon(x)\f$. Here,
the \f$\epsilon\f$-active set is defined as
\f[
\mathcal{A}_\epsilon(x) = \mathcal{A}^+_\epsilon(x)\cap\mathcal{A}^-_\epsilon(x).
\f]
@param[out] v is the variable to be pruned.
@param[in] x is the current optimization variable.
@param[in] eps is the active-set tolerance \f$\epsilon\f$.
*/
void pruneActive( Vector<Real> &v, const Vector<Real> &x, Real eps = 0.0 ) {
ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(v));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v1 = vs.get_1()->clone(); v1->set(*(vs.get_1()));
bnd1_->pruneActive(*v1,*(xs.get_1()),eps);
vs.set_1(*v1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v2 = vs.get_2()->clone(); v2->set(*(vs.get_2()));
bnd2_->pruneActive(*v2,*(xs.get_2()),eps);
vs.set_2(*v2);
}
}
/** \brief Set variables to zero if they correspond to the \f$\epsilon\f$-binding set.
This function sets \f$v(\xi)=0\f$ if \f$\xi\in\mathcal{B}_\epsilon(x)\f$. Here,
the \f$\epsilon\f$-binding set is defined as
\f[
\mathcal{B}^+_\epsilon(x) = \mathcal{B}^+_\epsilon(x)\cap\mathcal{B}^-_\epsilon(x).
\f]
@param[out] v is the variable to be pruned.
@param[in] x is the current optimization variable.
@param[in] g is the negative search direction.
@param[in] eps is the active-set tolerance \f$\epsilon\f$.
*/
void pruneActive( Vector<Real> &v, const Vector<Real> &g, const Vector<Real> &x, Real eps = 0.0 ) {
ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<ROL::Vector<Real> >(v));
const ROL::Vector_SimOpt<Real> &gs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(g));
const ROL::Vector_SimOpt<Real> &xs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(x));
if ( bnd1_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v1 = vs.get_1()->clone(); v1->set(*(vs.get_1()));
bnd1_->pruneActive(*v1,*(gs.get_1()),*(xs.get_1()),eps);
vs.set_1(*v1);
}
if ( bnd2_->isActivated() ) {
Teuchos::RCP<Vector<Real> > v2 = vs.get_2()->clone(); v2->set(*(vs.get_2()));
bnd2_->pruneActive(*v2,*(gs.get_2()),*(xs.get_2()),eps);
vs.set_2(*v2);
}
}
/** \brief Check if the vector, v, is feasible.
This function returns true if \f$v = P_{[a,b]}(v)\f$.
@param[in] v is the vector to be checked.
*/
bool isFeasible( const Vector<Real> &v ) {
const ROL::Vector_SimOpt<Real> &vs = Teuchos::dyn_cast<const ROL::Vector_SimOpt<Real> >(
Teuchos::dyn_cast<const ROL::Vector<Real> >(v));
return bnd1_->isFeasible(*(vs.get_1()))*bnd2_->isFeasible(*(vs.get_2()));
}
}; // class BoundConstraint
} // namespace ROL
#endif
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