// chebalg.hh // created by Yin 01/11/13 // last modified 01/25/13 // Much code is shamelessly stolen from the umin Cheb.H // originally written by WWS, with his permission /************************************************************************* Copyright Rice University, 2004. All rights reserved. Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, provided that the above copyright notice(s) and this permission notice appear in all copies of the Software and that both the above copyright notice(s) and this permission notice appear in supporting documentation. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT OF THIRD PARTY RIGHTS. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR HOLDERS INCLUDED IN THIS NOTICE BE LIABLE FOR ANY CLAIM, OR ANY SPECIAL INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY DAMAGES WHATSOEVER RESULTING FROM LOSS OF USE, DATA OR PROFITS, WHETHER IN AN ACTION OF CONTRACT, NEGLIGENCE OR OTHER TORTIOUS ACTION, ARISING OUT OF OR IN CONNECTION WITH THE USE OR PERFORMANCE OF THIS SOFTWARE. Except as contained in this notice, the name of a copyright holder shall not be used in advertising or otherwise to promote the sale, use or other dealings in this Software without prior written authorization of the copyright holder. **************************************************************************/ #ifndef __RVLALG_UMIN_Cheb_H #define __RVLALG_UMIN_Cheb_H #include "alg.hh" #include "terminator.hh" #include "linop.hh" #include "table.hh" using namespace RVLAlg; namespace RVLUmin { using namespace RVL; using namespace RVLAlg; /** Single step of Chebyshev iteration for the normal equations. On construction, internal workspace allocated and initialized. Each step updates internal state of ChebStep object. Since solution vector, residual norm, and normal residual norm are stored as mutable references to external objects, these external objects are updated as well. IMPORTANT NOTE: this version of the algorithm assumes that the solution vector reference (internal data member x) refers to a zero vector on initialization. To accommodate nontrivial initial guess, modify the right-hand-side vector (argument _b) externally. Solution vector (x), iteration count, residual norm, and normal residual (gradient) norm are all references to external objects, which may be monitored by appropriate terminators to build a LoopAlg out of this Algorithm. See ChebAlg for description of a fully functional algorithm class, combining this step with a Terminator to make a LoopAlg. */ template class ChebStep : public Algorithm { typedef typename ScalarFieldTraits::AbsType atype; public: ChebStep(LinearOp const & _A, Vector & _x, Vector const & _b, atype & _rnorm, atype & _nrnorm, std::vector &_coeff, int & _kc, int & _nrt, atype _gamma = 0.04, // inversion level atype _epsilon = 0.001, // error reduction atype _alpha = 1.1, // 'fudge factor' atype _lbd_est = 0.0, // input operator spectrum in case it is know prior ostream & _str = cout) : A(_A), x(_x), b(_b), rnorm(_rnorm), nrnorm(_nrnorm), coeff(_coeff), gamma(_gamma), epsilon(_epsilon), alpha(_alpha), lbd_est(_lbd_est),kc(_kc), nrt(_nrt), str(_str), dx(A.getDomain()), r(A.getDomain()), ndx(A.getDomain()), tmp_vector(A.getRange()), x_init(_x),dx_init(A.getDomain()),r_init(A.getDomain()),ndx_init(A.getDomain()){ atype one = ScalarFieldTraits::One(); atype tmp = one; nrt = 0; // NOTE: set up dx_init, r_init, ndx_int // The real step of initialization is in the run() method rnorm = b.norm(); A.applyAdjOp(b,r_init); dx_init.zero(); nrnorm=r_init.norm(); ndx_init.zero(); A.applyOp(r_init,tmp_vector); A.applyAdjOp(tmp_vector,ndx_init); //nrnorm=ndx_init.norm(); tmp = abs(r_init.inner(ndx_init)); if (ProtectedDivision(tmp,r_init.normsq(),RQ)) { RVLException e; e<<"Error: ChebStep::ChebStep() from ProtectedDivision: RQ\n"; throw e; } if(RQ > lbd_est){ lbd_est = alpha * RQ; nrt = nrt + 1; } ProtectedDivision(2*one,(one+gamma)*lbd_est,s); } /** Run a single step of the Chebyshev iteration for the normal equations */ void run() { try { atype one = ScalarFieldTraits::One(); if (kc == 0){ x.copy(x_init); r.copy(r_init); dx.copy(dx_init); ndx.copy(ndx_init); str<<"Estimated spectrum bound at iter ["<(tmp,dx.normsq(),RQ)) { RVLException e; e<<"Error: ChebStep::run() from ProtectedDivision: RQ\n"; throw e; } if(RQ > lbd_est){ lbd_est = alpha * RQ; ProtectedDivision(2*one,(one+gamma)*lbd_est,s); kc = -1; nrt = nrt + 1; } kc = kc + 1; } catch (RVLException & e) { e<<"\ncalled from ChebStep::run()\n"; throw e; } } atype getSpectrumBound() const { return lbd_est; } ~ChebStep() {} private: // references to external objects LinearOp const & A; Vector & x; Vector const & b; atype & rnorm; atype & nrnorm; // added for Chebyshev std::vector &coeff; atype gamma; // inversion level atype epsilon; // error reduction factor atype alpha; // 'fudge factor' atype beta; atype RQ; atype lbd_est; // estimated spectrum bound atype s; int &kc; int &nrt; ostream & str; // end of added // need four work vectors and one scalar as persistent object data Vector dx; Vector r; Vector ndx; Vector tmp_vector; // need vectors to store initial values for restarting purpose Vector x_init; Vector dx_init; Vector r_init; Vector ndx_init; }; /** Chebyshev polynomial algorithm - efficient implementation for normal equations \f[ A^{\prime} A x = A^{\prime} b\f] for solving the linear least squares problem \f[ \min_{x} \vert A x - b \vert^2 \f]. This is Chebyshev iteration Algorithm as stated in Symes and Kern, Geophysical Prospecting vol. 42 pp. 565-614 1994 (see p. 578). We use variable names following Symes and Kern's notation insofar as possible. Step 1: Choose an inversion level \f$\gamma\f$, typically 0.04; Choose an error reduction factor \f$\epsilon\f$; Choose a 'fudge factor' \f$\alpha>1.0\f$. Step 2: Compute the Chebyshev coefficients and estimate the necessary number of iterations. \f$ \epsilon_{\mbox{est}}=\frac{\sqrt{\alpha}\epsilon} {1+\sqrt{\alpha}}\f$; \f$ \beta = \frac{1-\gamma}{1+\gamma}\f$; \f$ q = \frac{\beta}{1+\sqrt{1-\beta^2}} \f$. Define error reduction factor after \f$k\f$ step as \f$ \epsilon_k=\frac{2q^k}{1+q^{2k}}\f$. Let \f$ k_{\mbox{max}} \f$ be the smallest \f$k\f$ which satisfies \f$ \epsilon_k< \epsilon_{\mbox{est}} \f$. \f$ c_0 =1, c_1=\frac{1}{\beta},\omega_0=0,\omega_1=1. \f$ For \f$k=1,\cdot,k_{\mbox{max}}-1\f$, compute \f$ c_{k+1} = \frac{2}{\beta}c_k-c_{k-1}\f$, \f$ \omega_{k+1}=1+\frac{c_{k-1}}{c_{k+1}}.\f$ Step 3: Application of the Chebyshev polynomial by recursive application of the normal operator. a. Initialization \f$ x_0 = 0, dx_0 =0\f$, \f$ r_0 = A^{\prime}b, ndx_0=A^{\prime}Ae_0\f$. \f$ RQ_0 = \frac{\langle r_0, ndx_0\rangle } {\langle r_0, r_0 \rangle} \f$. \f$ \lambda_{\mbox{est}} = \alpha RQ_0, s = \frac{2}{(1+\gamma)\lambda_{\mbox{est}}}\f$. b. Iteration For \f$k=0,\cdot, k_{\mbox{max}}-1\f$ \f$ dx_{k+1} = (\omega_{k+1}-1)dx_k+s\omega_{k+1}r_k\f$, \f$ x_{k+1} = x_k + dx_{k+1}\f$, \f$ ndx_{k+1} = A^{\prime}A dx_{k+1}\f$, \f$ r_{k+1} = r_k-ndx_{k+1}\f$, \f$ RQ_{k+1}=\frac{\langle dx_{k+1},ndx_{k+1}\rangle} {\langle dx_{k+1},dx_{k+1}\rangle}\f$. if \f$ RQ_{k+1}> \lambda_{\mbox{est}}\f$, replace \f$\lambda_{\mbox{est}}\f$ by \f$\alpha RQ_{k+1}\f$. Recompute \f$ s = \frac{2}{(1+\gamma)\lambda_{\mbox{est}}}\f$, and restart step b. The final outputs are the estimated solution \f$x_{\mbox{est}}=x_{k_{\mbox{max}}}\f$ and the estimated normal residual \f$e_{\mbox{est}}=e_{k_{\mbox{max}}}\f$. Structure and function: Combines ChebStep with a Terminator which displays iteration count, residual norm, and normal residual norm on output stream (constructor argument _str), and terminates if iteration count exceeds max or residual norm or normal residual norm fall below threshhold (default = 10*sqrt(macheps)). Usage: construct ChebAlg object by supplying appropriate arguments to constructor. On return from constructor, solution vector initialized to zero, residual norm to norm of RHS, and normal residual norm to norm of image of RHS under adjoint of operator. Then call run() method. Progress of iteration written on output unit. On return from run(), solution vector stores final estimate of solution, and residual norm and normal residual norm scalars have corresponding values. Typical Use: see functional test source. IMPORTANT NOTE: This class is also an RVLAlg::Terminator subclass. IMPORTANT NOTE: The solution vector and residual and normal residual scalars are external objects, for which this algorithm stores mutable references. These objects are updated by constructing a ChebAlg object, and by calling its run() method. IMPORTANT NOTE: this version of the algorithm initializes the solution vector to zero. To accommodate nontrivial initial guess, modify the right-hand-side vector (argument _rhs) externally. IMPORTANT NOTE: in order that this algorithm function properly for complex scalar types, a careful distinction is maintained between the main template parameter (Scalar) type and its absolute value type. All of the scalars appearing in the algorithm are actually of the latter type. See constructor documentation for description of parameters. */ template class ChebAlg: public Algorithm { typedef typename ScalarFieldTraits::AbsType atype; public: /** Constructor @param _x - mutable reference to solution vector (external), initialized to zero vector on construction, estimated solution on return from ChebAlg::run(). @param _inA - const reference to LinearOp (external) defining problem @param _rhs - const reference to RHS or target vector (external) @param _rnorm - mutable reference to residual norm scalar (external), initialized to norm of RHS on construction, norm of estimated residual at solution on return from ChebAlg::run() @param _nrnorm - mutable reference to normal residual (least squares gradient) norm scalar (external), initialized to morm of image of RHS under adjoint of problem LinearOp on construction, norm of estimated normal residual at solution on return from ChebAlg::run() @param _gamma - inversion level for Chebyshev @param _epsilon - stopping threshold for normal residual norm @param _alpha - 'fudge factor' @param _maxcount - max number of iterations permitted, default value = 10 default value = max absval scalar (which makes the trust region feature inactive) @param _str - output stream */ ChebAlg(RVL::Vector & _x, LinearOp const & _inA, Vector const & _rhs, atype & _rnorm, atype & _nrnorm, atype _gamma = 0.04, // inversion level atype _epsilon = 0.001, // error reduction atype _alpha = 1.1, // 'fudge factor' atype _lbd_est=0.0, int _maxcount = 10, // upper bound of iterations ostream & _str = cout) : inA(_inA), x(_x), rhs(_rhs), rnorm(_rnorm), nrnorm(_nrnorm), gamma(_gamma),epsilon(_epsilon),alpha(_alpha),lbd_est(_lbd_est),maxcount(_maxcount), kmax(_maxcount), kc(0), ktot(0), str(_str), step(inA,x,rhs,rnorm,nrnorm,coeff,kc,nrt,gamma,epsilon,alpha,lbd_est,str) // NOTE: reference to coeff has been passed to ChebStep object step, however // coeff has not been initialized. { x.zero(); // NOTE: estimating the necessary number of iterations atype one = ScalarFieldTraits::One(); atype beta=0; atype epsest=0; ProtectedDivision(sqrt(alpha)*epsilon,one+sqrt(alpha),epsest); atype epsk; epsk= epsest + one; atype tmp = one; ProtectedDivision(one - gamma,one + gamma,beta); atype q=0; ProtectedDivision(beta,one + sqrt(one-beta*beta),q); int k = 1; while (epsk > epsest && k<=kmax) { tmp = tmp * q; ProtectedDivision(2*tmp,one + tmp*tmp,epsk); k = k + 1; } kmax = k-1; str << "NOTE: computed number of iterations needed: " << kmax << "\n"; // NOTE: compute Chebyshev coefficients atype ckm = one; atype ck = one / beta; atype ckp=0; coeff.reserve(kmax+1); // allocate memory for coeff coeff[0] = ScalarFieldTraits::Zero(); coeff[1] = one; for (int i=2; i(2*ck,beta,ckp); ckp = ckp - ckm; coeff[i] = one + ckm / ckp; ckm = ck; ck = ckp; //str<<"coeff["< names(2); vector nums(2); vector tols(2); atype rnorm0=rnorm; atype nrnorm0=nrnorm; names[0]="Residual Norm"; nums[0]=&rnorm; tols[0]=ScalarFieldTraits::Zero(); names[1]="Normal Residual Norm"; nums[1]=&nrnorm; tols[1]=tols[0]=ScalarFieldTraits::Zero(); str<<"========================== BEGIN Cheb =========================\n"; VectorCountingThresholdIterationTable stop1(maxcount,names,nums,tols,str); MaxTerminator stop2(kc,kmax-1); //MaxTerminator stop3(nrt,maxrt); stop1.init(); // terminate if either OrTerminator stop(stop1,stop2); // loop LoopAlg doit(step,stop); doit.run(); ktot = stop1.getCount(); str<<"=========================== END Cheb ==========================\n"; // display results str<<"\n ******* summary ******** "< class ChebPolicy { typedef typename ScalarFieldTraits::AbsType atype; public: /** build method - see TRGNAlg specs @param x - solution vector, initialize to zero on input, estimated solution on output @param opeval - Operator evaluation, from which get linear op (getDeriv) and RHS (getValue), to set up Gauss-Newton problem @param rnorm - reference to residual norm scalar, norm of RHS on input, of residual on output @param nrnorm - reference to normal residual norm scalar, norm of normal residual (least squares gradient) on input, updated to estimated solution on output @param Delta - trust radius (const) passed by value @param str - verbose output stream */ ChebAlg * build(Vector & x, LinearOp const & A, Vector const & d, atype & rnorm, atype & nrnorm, ostream & str) const { if (verbose) return new ChebAlg(x, A, d,rnorm,nrnorm,gamma,epsilon,alpha,lbd_est,maxcount,str); else return new ChebAlg(x, A, d,rnorm,nrnorm,gamma,epsilon,alpha,lbd_est,maxcount,nullstr); } /** post-construction initialization @param _rtol - residual norm stopping threshhold @param _nrtol - normal residual (LS gradient) norm stopping threshhold @param _maxcount - max number of permitted iterations */ void assign(atype _rtol, atype _nrtol, atype _gamma, atype _epsilon, atype _alpha, atype _lbd_est, int _maxcount, bool _verbose) { gamma = _gamma; epsilon=_epsilon; alpha=_alpha; lbd_est=_lbd_est; maxcount=_maxcount; verbose=_verbose; } /** parameter table overload */ void assign(Table const & t) { gamma=getValueFromTable(t,"Cheb_gamma"); epsilon=getValueFromTable(t,"Cheb_epsilon"); alpha=getValueFromTable(t,"Cheb_alpha"); lbd_est=getValueFromTable(t,"Cheb_lbd_est"); maxcount=getValueFromTable(t,"Cheb_MaxItn"); verbose=getValueFromTable(t,"Cheb_Verbose"); } /** data struct overload */ void assign(ChebPolicyData const & s) { gamma=s.gamma; epsilon=s.epsilon; alpha=s.alpha; lbd_est=s.lbd_est; maxcount=s.maxcount; verbose=s.verbose; } /** main constructor - acts as default. Default values of parameters set to result in immediate return, no iteration. Note that policy design requires that default construction must be valid, and all run-time instance data be initiated post-construction, in this case by the assign function, to be called by drivers of user classes (subclassed from this and with this as template param). */ ChebPolicy(atype _gamma = 0.04, atype _epsilon = 0.01, atype _alpha = 1.001, atype _lbd_est = 0.0, int _maxcount = 0, bool _verbose = true) : gamma(_gamma), epsilon(_epsilon), alpha(_alpha), lbd_est(_lbd_est),maxcount(_maxcount), verbose(_verbose), nullstr(0){} ChebPolicy(ChebPolicy const & p) : gamma(p.gamma), epsilon(p.epsilon), alpha(p.alpha), lbd_est(p.lbd_est), maxcount(p.maxcount), verbose(p.verbose), nullstr(0) {} private: mutable atype gamma; mutable atype epsilon; mutable atype alpha; mutable atype lbd_est; mutable int maxcount; mutable bool verbose; mutable std::ostream nullstr; }; } #endif