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ConstrainedOptPack_MatrixSymPosDefLBFGS.hpp
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00041 
00042 #ifndef MATRIX_SYM_POS_DEF_LBFGS_H
00043 #define MATRIX_SYM_POS_DEF_LBFGS_H
00044 
00045 #include <vector>
00046 
00047 #include "ConstrainedOptPack_Types.hpp"
00048 #include "AbstractLinAlgPack_MatrixSymSecant.hpp"
00049 #include "AbstractLinAlgPack_MatrixSymOpNonsing.hpp"
00050 #include "AbstractLinAlgPack_MultiVectorMutable.hpp"
00051 #include "AbstractLinAlgPack_VectorSpace.hpp"
00052 #include "DenseLinAlgPack_DMatrixAsTriSym.hpp"
00053 #include "Teuchos_StandardMemberCompositionMacros.hpp"
00054 
00055 namespace ConstrainedOptPack {
00056 
00110 class MatrixSymPosDefLBFGS
00111   : public AbstractLinAlgPack::MatrixSymOpNonsing // doxygen needs full path
00112   , public MatrixSymSecant
00113 {
00114 public:
00115 
00118 
00120   typedef Teuchos::RCP<const MultiVector>   multi_vec_ptr_t;
00121 
00124   class PostMod {
00125   public:
00127     PostMod(
00128       size_type     m                   = 10
00129       ,bool         maintain_original   = true
00130       ,bool         maintain_inverse    = true
00131       ,bool         auto_rescaling      = false
00132       )
00133       :m_(m)
00134       ,maintain_original_(maintain_original)
00135       ,maintain_inverse_(maintain_inverse)
00136       ,auto_rescaling_(auto_rescaling)
00137     {}
00139     void initialize(MatrixSymPosDefLBFGS* p) const
00140     {
00141       p->initial_setup(m_,maintain_original_,maintain_inverse_,auto_rescaling_);
00142     }
00143   private:
00144     size_type   m_;
00145     bool        maintain_original_;
00146     bool        maintain_inverse_;
00147     bool        auto_rescaling_;
00148   }; // end PostMod
00149 
00151 
00154 
00156   MatrixSymPosDefLBFGS(
00157       size_type     m                   = 10
00158     ,bool         maintain_original   = true
00159     ,bool         maintain_inverse    = true
00160     ,bool         auto_rescaling      = false
00161     );
00162 
00168   STANDARD_MEMBER_COMPOSITION_MEMBERS( bool, auto_rescaling );
00169 
00203    void initial_setup(
00204       size_type     m                   = 10
00205     ,bool         maintain_original   = true
00206     ,bool         maintain_inverse    = true
00207     ,bool         auto_rescaling      = false
00208      );
00209 
00210   // //////////////////////////////////
00211   // Representation access
00212 
00214   size_type m() const;
00216   size_type m_bar() const;
00218   value_type gamma_k() const;
00220   const multi_vec_ptr_t S() const;
00222   const multi_vec_ptr_t Y() const;
00224   bool maintain_original() const;
00226   bool maintain_inverse() const;
00230   size_type num_secant_updates() const;
00231 
00233 
00236 
00238   const VectorSpace& space_cols() const;
00240   std::ostream& output(std::ostream& out) const;
00242   MatrixOp& operator=(const MatrixOp& mwo);
00244   void Vp_StMtV(
00245     VectorMutable* v_lhs, value_type alpha, BLAS_Cpp::Transp trans_rhs1
00246     , const Vector& v_rhs2, value_type beta ) const;
00247 
00249 
00252 
00254   void V_InvMtV(
00255     VectorMutable* v_lhs, BLAS_Cpp::Transp trans_rhs1
00256     , const Vector& v_rhs2 ) const;
00257 
00259 
00262 
00264   void init_identity( const VectorSpace& space_diag, value_type alpha );
00271   void init_diagonal( const Vector& diag );
00273   void secant_update(
00274     VectorMutable     *s
00275     ,VectorMutable    *y
00276     ,VectorMutable    *Bs
00277     );
00278 
00280 
00281 private:
00282 
00283   // //////////////////////////////////
00284   // Private types
00285 
00286   typedef VectorSpace::multi_vec_mut_ptr_t   multi_vec_mut_ptr_t;
00287 
00288   // //////////////////////////////////
00289   // Private data members
00290 
00291   bool        maintain_original_;  // If true, qualities needed for Bk will be maintained
00292   bool        original_is_updated_;// If true, qualities needed for Bk are already updated
00293   bool        maintain_inverse_;   // If true, quantities needed for Hk will be maintained
00294   bool        inverse_is_updated_; // If true, quantities needed for Hk are already updated
00295 
00296   VectorSpace::space_ptr_t
00297             vec_spc_; // The vector space that everything is based on.
00298 
00299   size_type   n_,   // Size of the matrix.  If 0 then is uninitialized
00300               m_,   // Maximum number of update vectors that can be stored.
00301                 m_bar_, // Current number of update vectors being stored.
00302                     // 0 <= m_bar <= m
00303                 num_secant_updates_; // Records the number of secant updates performed
00304   value_type  gamma_k_;// Scaling factor for Bo = (1/gamma_k) * I.
00305 
00306   multi_vec_mut_ptr_t
00307                 S_,     // (n x m) Matrix of stored update vectors = [ s1, ..., sm ]
00308                     // S(:,m_bar) is the most recently stored s update vector
00309               Y_;     // (n_max x m) Matrix of stored update vectors = [ y1, ..., ym ]
00310             // Y(:,k_bar) is the most recently stored y update vector
00311   DMatrix   STY_,   // (m x m) The matrix S'Y
00312               STSYTY_;// ((m+1) x (m+1)) The strictly upper triangular part stores the
00313                       // upper triangular part Y'Y and the strictly lower triangular
00314                       // part stores the lower triangular part of S'S.  The diagonal
00315                       // can be used for workspace.
00316 
00317   mutable bool        Q_updated_; // True if Q has been updated for the most current update.
00318   mutable DMatrix   QJ_;        // Used to store factorization of the schur complement of Q.
00319 
00320   // //////////////////////////////////
00321   // Private member functions
00322 
00323   // Access to important matrices.
00324 
00326   const DMatrixSliceTri R() const;
00328   const DMatrixSliceTri Lb() const;
00330   DMatrixSlice STY();
00332   const DMatrixSlice STY() const;
00334   DMatrixSliceSym STS();
00336   const DMatrixSliceSym STS() const;
00338   DMatrixSliceSym YTY();
00340   const DMatrixSliceSym YTY() const;
00342   void V_invQtV( DVectorSlice* y, const DVectorSlice& x ) const;
00344   void Vp_DtV( DVectorSlice* y, const DVectorSlice& x ) const;
00345 
00346   // Updates
00347 
00349   void update_Q() const;
00350 
00352   void assert_initialized() const;
00353 
00354 };  // end class MatrixSymPosDefLBFGS
00355 
00356 // //////////////////////////////////////////////
00357 // Inline member functions
00358 
00359 inline
00360 size_type MatrixSymPosDefLBFGS::m() const
00361 {
00362   return m_;
00363 }
00364 
00365 inline
00366 size_type MatrixSymPosDefLBFGS::m_bar() const
00367 {
00368   return m_bar_;
00369 }
00370 
00371 inline
00372 value_type MatrixSymPosDefLBFGS::gamma_k() const
00373 {
00374   return gamma_k_;
00375 }
00376 
00377 inline
00378 const MatrixSymPosDefLBFGS::multi_vec_ptr_t
00379 MatrixSymPosDefLBFGS::S() const
00380 {
00381   return S_->mv_sub_view(1,n_,1,m_bar_);
00382 }
00383 
00384 inline
00385 const MatrixSymPosDefLBFGS::multi_vec_ptr_t
00386 MatrixSymPosDefLBFGS::Y() const
00387 {
00388   return Y_->mv_sub_view(1,n_,1,m_bar_);
00389 }
00390 
00391 inline
00392 bool MatrixSymPosDefLBFGS::maintain_original() const
00393 {
00394   return maintain_original_;
00395 }
00396 
00397 inline
00398 bool MatrixSymPosDefLBFGS::maintain_inverse() const
00399 {
00400   return maintain_inverse_;
00401 }
00402 
00403 inline
00404 size_type MatrixSymPosDefLBFGS::num_secant_updates() const
00405 {
00406   return num_secant_updates_;
00407 }
00408 
00409 } // end namespace ConstrainedOptPack 
00410 
00411 #endif  // MATRIX_SYM_POS_DEF_LBFGS_H
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