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EffGlobalMinimizer Class Reference

Implementation of Efficient Global Optimization/Least Squares algorithms. More...

Inheritance diagram for EffGlobalMinimizer:
SurrBasedMinimizer Minimizer Iterator

Public Member Functions

 EffGlobalMinimizer (ProblemDescDB &problem_db, Model &model)
 standard constructor
 
 ~EffGlobalMinimizer ()
 alternate constructor for instantiations "on the fly" More...
 
void core_run ()
 core portion of run; implemented by all derived classes and may include pre/post steps in lieu of separate pre/post More...
 
const Modelalgorithm_space_model () const
 

Private Member Functions

void minimize_surrogates_on_model ()
 called by minimize_surrogates for setUpType == "model"
 
void get_best_sample ()
 called by minimize_surrogates for setUpType == "user_functions" More...
 
Real expected_improvement (const RealVector &means, const RealVector &variances)
 expected improvement function for the GP
 
RealVector expected_violation (const RealVector &means, const RealVector &variances)
 expected violation function for the constraint functions
 
void update_penalty ()
 initialize and update the penaltyParameter
 

Static Private Member Functions

static void EIF_objective_eval (const Variables &sub_model_vars, const Variables &recast_vars, const Response &sub_model_response, Response &recast_response)
 static function used as the objective function in the Expected Improvement (EIF) problem formulation for PMA
 

Private Attributes

String setUpType
 controls iteration mode: "model" (normal usage) or "user_functions" (user-supplied functions mode for "on the fly" instantiations).
 
Model fHatModel
 GP model of response, one approximation per response function.
 
Model eifModel
 recast model which assimilates mean and variance to solve the max(EIF) sub-problem
 
Real meritFnStar
 minimum penalized response from among true function evaluations
 
RealVector truthFnStar
 true function values corresponding to the minimum penalized response
 
RealVector varStar
 point that corresponds to the optimal value meritFnStar
 
short dataOrder
 order of the data used for surrogate construction, in ActiveSet request vector 3-bit format; user may override responses spec
 

Static Private Attributes

static EffGlobalMinimizereffGlobalInstance
 pointer to the active object instance used within the static evaluator functions in order to avoid the need for static data
 

Additional Inherited Members

- Protected Member Functions inherited from SurrBasedMinimizer
 SurrBasedMinimizer (ProblemDescDB &problem_db, Model &model)
 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 initialize_graphics (int iterator_server_id=1)
 initialize graphics customized for surrogate-based iteration
 
void print_results (std::ostream &s)
 
void update_lagrange_multipliers (const RealVector &fn_vals, const RealMatrix &fn_grads)
 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...
 
bool update_filter (const RealVector &fn_vals)
 update a filter from a 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
 
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
 
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...
 
- 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
 
int sbIterNum
 surrogate-based minimization iteration number
 
RealVectorList sbFilter
 Set of response function vectors defining a filter (objective vs. constraint violation) for iterate selection/rejection.
 
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

Implementation of Efficient Global Optimization/Least Squares algorithms.

The EffGlobalMinimizer class provides an implementation of the Efficient Global Optimization algorithm developed by Jones, Schonlau, & Welch as well as adaptation of the concept to nonlinear least squares.

Constructor & Destructor Documentation

alternate constructor for instantiations "on the fly"

destructor

Member Function Documentation

void core_run ( )
virtual

core portion of run; implemented by all derived classes and may include pre/post steps in lieu of separate pre/post

Virtual run function for the iterator class hierarchy. All derived classes need to redefine it.

Reimplemented from Iterator.

References Dakota::abort_handler(), EffGlobalMinimizer::minimize_surrogates_on_model(), and EffGlobalMinimizer::setUpType.

const Model & algorithm_space_model ( ) const
inlinevirtual

default definition that gets redefined in selected derived Minimizers

Reimplemented from Minimizer.

References EffGlobalMinimizer::fHatModel.

void get_best_sample ( )
private

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