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SurrBasedGlobalMinimizer Class Reference
Inheritance diagram for SurrBasedGlobalMinimizer:
SurrBasedMinimizer Minimizer Iterator

Public Member Functions

 SurrBasedGlobalMinimizer (ProblemDescDB &problem_db, Model &model)
 constructor
 
 ~SurrBasedGlobalMinimizer ()
 destructor
 

Protected Member Functions

void initialize_graphics (int iterator_server_id=1)
 initialize graphics customized for surrogate-based iteration More...
 
void core_run ()
 Performs global surrogate-based optimization by repeatedly optimizing on and improving surrogates of the response functions.
 
bool returns_multiple_points () const
 Global surrogate-based methods can return multiple points.
 
- Protected Member Functions inherited from SurrBasedMinimizer
 SurrBasedMinimizer (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits)
 constructor
 
 ~SurrBasedMinimizer ()
 destructor
 
void derived_init_communicators (ParLevLIter pl_iter)
 derived class contributions to initializing the communicators associated with this Iterator instance
 
void derived_set_communicators (ParLevLIter pl_iter)
 derived class contributions to setting the communicators associated with this Iterator instance
 
void derived_free_communicators (ParLevLIter pl_iter)
 derived class contributions to freeing the communicators associated with this Iterator instance
 
void print_results (std::ostream &s, short results_state=FINAL_RESULTS)
 
void update_lagrange_multipliers (const RealVector &fn_vals, const RealMatrix &fn_grads, SurrBasedLevelData &tr_data)
 initialize and update Lagrange multipliers for basic Lagrangian More...
 
void update_augmented_lagrange_multipliers (const RealVector &fn_vals)
 initialize and update the Lagrange multipliers for augmented Lagrangian More...
 
void initialize_filter (SurrBasedLevelData &tr_data, const RealVector &fn_vals)
 (re-)initialize filter from a set of function values
 
bool update_filter (SurrBasedLevelData &tr_data, const RealVector &fn_vals)
 update filter using a new set of function values More...
 
Real lagrangian_merit (const RealVector &fn_vals, const BoolDeque &sense, const RealVector &primary_wts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts)
 compute a Lagrangian function from a set of function values More...
 
void lagrangian_gradient (const RealVector &fn_vals, const RealMatrix &fn_grads, const BoolDeque &sense, const RealVector &primary_wts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, RealVector &lag_grad)
 compute the gradient of the Lagrangian function
 
void lagrangian_hessian (const RealVector &fn_vals, const RealMatrix &fn_grads, const RealSymMatrixArray &fn_hessians, const BoolDeque &sense, const RealVector &primary_wts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, RealSymMatrix &lag_hess)
 compute the Hessian of the Lagrangian function
 
Real augmented_lagrangian_merit (const RealVector &fn_vals, const BoolDeque &sense, const RealVector &primary_wts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts)
 compute an augmented Lagrangian function from a set of function values More...
 
void augmented_lagrangian_gradient (const RealVector &fn_vals, const RealMatrix &fn_grads, const BoolDeque &sense, const RealVector &primary_wts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, RealVector &alag_grad)
 compute the gradient of the augmented Lagrangian function
 
void augmented_lagrangian_hessian (const RealVector &fn_vals, const RealMatrix &fn_grads, const RealSymMatrixArray &fn_hessians, const BoolDeque &sense, const RealVector &primary_wts, const RealVector &nln_ineq_l_bnds, const RealVector &nln_ineq_u_bnds, const RealVector &nln_eq_tgts, RealSymMatrix &alag_hess)
 compute the Hessian of the augmented Lagrangian function
 
Real penalty_merit (const RealVector &fn_vals, const BoolDeque &sense, const RealVector &primary_wts)
 compute a penalty function from a set of function values More...
 
void penalty_gradient (const RealVector &fn_vals, const RealMatrix &fn_grads, const BoolDeque &sense, const RealVector &primary_wts, RealVector &pen_grad)
 compute the gradient of the penalty function
 
Real constraint_violation (const RealVector &fn_vals, const Real &constraint_tol)
 compute the constraint violation from a set of function values More...
 
- Protected Member Functions inherited from Minimizer
 Minimizer (std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 default constructor
 
 Minimizer (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 standard constructor More...
 
 Minimizer (unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for "on the fly" instantiations
 
 Minimizer (unsigned short method_name, size_t num_lin_ineq, size_t num_lin_eq, size_t num_nln_ineq, size_t num_nln_eq, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for "on the fly" instantiations
 
 ~Minimizer ()
 destructor
 
void update_from_model (const Model &model)
 set inherited data attributes based on extractions from incoming model
 
void initialize_run ()
 utility function to perform common operations prior to pre_run(); typically memory initialization; setting of instance pointers More...
 
void post_run (std::ostream &s)
 post-run portion of run (optional); verbose to print results; re-implemented by Iterators that can read all Variables/Responses and perform final analysis phase in a standalone way More...
 
void finalize_run ()
 utility function to perform common operations following post_run(); deallocation and resetting of instance pointers More...
 
const Modelalgorithm_space_model () const
 
Model original_model (unsigned short recasts_left=0) const
 Return a shallow copy of the original model this Iterator was originally passed, optionally leaving recasts_left on top of it.
 
void data_transform_model ()
 Wrap iteratedModel in a RecastModel that subtracts provided observed data from the primary response functions (variables and secondary responses are unchanged) More...
 
void scale_model ()
 Wrap iteratedModel in a RecastModel that performs variable and/or response scaling. More...
 
Real objective (const RealVector &fn_vals, const BoolDeque &max_sense, const RealVector &primary_wts) const
 compute a composite objective value from one or more primary functions More...
 
Real objective (const RealVector &fn_vals, size_t num_fns, const BoolDeque &max_sense, const RealVector &primary_wts) const
 compute a composite objective with specified number of source primary functions, instead of userPrimaryFns More...
 
void objective_gradient (const RealVector &fn_vals, const RealMatrix &fn_grads, const BoolDeque &max_sense, const RealVector &primary_wts, RealVector &obj_grad) const
 compute the gradient of the composite objective function
 
void objective_gradient (const RealVector &fn_vals, size_t num_fns, const RealMatrix &fn_grads, const BoolDeque &max_sense, const RealVector &primary_wts, RealVector &obj_grad) const
 compute the gradient of the composite objective function More...
 
void objective_hessian (const RealVector &fn_vals, const RealMatrix &fn_grads, const RealSymMatrixArray &fn_hessians, const BoolDeque &max_sense, const RealVector &primary_wts, RealSymMatrix &obj_hess) const
 compute the Hessian of the composite objective function
 
void objective_hessian (const RealVector &fn_vals, size_t num_fns, const RealMatrix &fn_grads, const RealSymMatrixArray &fn_hessians, const BoolDeque &max_sense, const RealVector &primary_wts, RealSymMatrix &obj_hess) const
 compute the Hessian of the composite objective function More...
 
virtual void archive_best_results ()
 top-level archival method
 
void archive_best_variables (const bool active_only=false) const
 archive best variables for the index'th final solution
 
void archive_best_objective_functions () const
 archive the index'th set of objective functions
 
void archive_best_constraints () const
 archive the index'th set of constraints
 
void archive_best_residuals () const
 Archive residuals when calibration terms are used.
 
void resize_best_vars_array (size_t newsize)
 Safely resize the best variables array to newsize taking into account the envelope-letter design pattern and any recasting. More...
 
void resize_best_resp_array (size_t newsize)
 Safely resize the best response array to newsize taking into account the envelope-letter design pattern and any recasting. More...
 
void local_recast_retrieve (const Variables &vars, Response &response) const
 infers MOO/NLS solution from the solution of a single-objective optimizer More...
 
- Protected Member Functions inherited from Iterator
 Iterator (BaseConstructor, ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 constructor initializes the base class part of letter classes (BaseConstructor overloading avoids infinite recursion in the derived class constructors - Coplien, p. 139) More...
 
 Iterator (NoDBBaseConstructor, unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for base iterator classes constructed on the fly More...
 
 Iterator (NoDBBaseConstructor, unsigned short method_name, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
 alternate constructor for base iterator classes constructed on the fly More...
 
virtual const VariablesArray & initial_points () const
 gets the multiple initial points for this iterator. This will only be meaningful after a call to initial_points mutator.
 
StrStrSizet run_identifier () const
 get the unique run identifier based on method name, id, and number of executions
 
void initialize_model_graphics (Model &model, int iterator_server_id)
 helper function that encapsulates initialization operations, modular on incoming Model instance More...
 
void export_final_surrogates (Model &data_fit_surr_model)
 export final surrogates generated, e.g., GP in EGO and friends More...
 

Private Attributes

bool replacePoints
 flag for replacing the previous iteration's point additions, rather than continuing to append, during construction of the next surrogate
 

Additional Inherited Members

- Static Public Member Functions inherited from Minimizer
static Real sum_squared_residuals (size_t num_pri_fns, const RealVector &residuals, const RealVector &weights)
 return weighted sum of squared residuals
 
static void print_residuals (size_t num_terms, const RealVector &best_terms, const RealVector &weights, size_t num_best, size_t best_index, std::ostream &s)
 print num_terms residuals and misfit for final results
 
static void print_model_resp (size_t num_pri_fns, const RealVector &best_fns, size_t num_best, size_t best_index, std::ostream &s)
 print the original user model resp in the case of data transformations
 
- Static Protected Member Functions inherited from Iterator
static void gnewton_set_recast (const Variables &recast_vars, const ActiveSet &recast_set, ActiveSet &sub_model_set)
 conversion of request vector values for the Gauss-Newton Hessian approximation More...
 
- Protected Attributes inherited from SurrBasedMinimizer
Iterator approxSubProbMinimizer
 the minimizer used on the surrogate model to solve the approximate subproblem on each surrogate-based iteration
 
size_t globalIterCount
 global iteration counter corresponding to number of surrogate-based minimizations
 
RealVector lagrangeMult
 Lagrange multipliers for basic Lagrangian calculations.
 
RealVector augLagrangeMult
 Lagrange multipliers for augmented Lagrangian calculations.
 
Real penaltyParameter
 the penalization factor for violated constraints used in quadratic penalty calculations; increased in update_penalty()
 
RealVector origNonlinIneqLowerBnds
 original nonlinear inequality constraint lower bounds (no relaxation)
 
RealVector origNonlinIneqUpperBnds
 original nonlinear inequality constraint upper bounds (no relaxation)
 
RealVector origNonlinEqTargets
 original nonlinear equality constraint targets (no relaxation)
 
Real eta
 constant used in etaSequence updates
 
Real alphaEta
 power for etaSequence updates when updating penalty
 
Real betaEta
 power for etaSequence updates when updating multipliers
 
Real etaSequence
 decreasing sequence of allowable constraint violation used in augmented Lagrangian updates (refer to Conn, Gould, and Toint, section 14.4)
 
size_t miPLIndex
 index for the active ParallelLevel within ParallelConfiguration::miPLIters
 
- Static Protected Attributes inherited from Minimizer
static MinimizerminimizerInstance
 pointer to Minimizer used in static member functions
 

Detailed Description

This method uses a SurrogateModel to perform minimization (optimization or nonlinear least squares) through a set of iterations. At each iteration, a surrogate is built, the surrogate is minimized, and the optimal points from the surrogate are then evaluated with the "true" function, to generate new points upon which the surrogate for the next iteration is built.

Member Function Documentation

void initialize_graphics ( int  iterator_server_id = 1)
inlineprotectedvirtual

initialize graphics customized for surrogate-based iteration

This just specializes the Iterator implementation to perform default tabulation on the truth model instead of surrogate model.

Reimplemented from Iterator.

References Iterator::initialize_model_graphics(), Iterator::iteratedModel, and Model::truth_model().


The documentation for this class was generated from the following files: