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1 |
| - |
2 |
| -# """ |
3 |
| -# SimpleTrustRegion(; autodiff = AutoForwardDiff(), max_trust_radius = 0.0, |
4 |
| -# initial_trust_radius = 0.0, step_threshold = nothing, |
5 |
| -# shrink_threshold = nothing, expand_threshold = nothing, |
6 |
| -# shrink_factor = 0.25, expand_factor = 2.0, max_shrink_times::Int = 32, |
7 |
| -# nlsolve_update_rule = Val(false)) |
8 |
| - |
9 |
| -# A low-overhead implementation of a trust-region solver. This method is non-allocating on |
10 |
| -# scalar and static array problems. |
11 |
| - |
12 |
| -# ### Keyword Arguments |
13 |
| - |
14 |
| -# - `autodiff`: determines the backend used for the Jacobian. Defaults to `nothing` (i.e. |
15 |
| -# automatic backend selection). Valid choices include jacobian backends from |
16 |
| -# `DifferentiationInterface.jl`. |
17 |
| -# - `max_trust_radius`: the maximum radius of the trust region. Defaults to |
18 |
| -# `max(norm(f(u0)), maximum(u0) - minimum(u0))`. |
19 |
| -# - `initial_trust_radius`: the initial trust region radius. Defaults to |
20 |
| -# `max_trust_radius / 11`. |
21 |
| -# - `step_threshold`: the threshold for taking a step. In every iteration, the threshold is |
22 |
| -# compared with a value `r`, which is the actual reduction in the objective function divided |
23 |
| -# by the predicted reduction. If `step_threshold > r` the model is not a good approximation, |
24 |
| -# and the step is rejected. Defaults to `0.1`. For more details, see |
25 |
| -# [Rahpeymaii, F.](https://link.springer.com/article/10.1007/s40096-020-00339-4) |
26 |
| -# - `shrink_threshold`: the threshold for shrinking the trust region radius. In every |
27 |
| -# iteration, the threshold is compared with a value `r` which is the actual reduction in the |
28 |
| -# objective function divided by the predicted reduction. If `shrink_threshold > r` the trust |
29 |
| -# region radius is shrunk by `shrink_factor`. Defaults to `0.25`. For more details, see |
30 |
| -# [Rahpeymaii, F.](https://link.springer.com/article/10.1007/s40096-020-00339-4) |
31 |
| -# - `expand_threshold`: the threshold for expanding the trust region radius. If a step is |
32 |
| -# taken, i.e `step_threshold < r` (with `r` defined in `shrink_threshold`), a check is also |
33 |
| -# made to see if `expand_threshold < r`. If that is true, the trust region radius is |
34 |
| -# expanded by `expand_factor`. Defaults to `0.75`. |
35 |
| -# - `shrink_factor`: the factor to shrink the trust region radius with if |
36 |
| -# `shrink_threshold > r` (with `r` defined in `shrink_threshold`). Defaults to `0.25`. |
37 |
| -# - `expand_factor`: the factor to expand the trust region radius with if |
38 |
| -# `expand_threshold < r` (with `r` defined in `shrink_threshold`). Defaults to `2.0`. |
39 |
| -# - `max_shrink_times`: the maximum number of times to shrink the trust region radius in a |
40 |
| -# row, `max_shrink_times` is exceeded, the algorithm returns. Defaults to `32`. |
41 |
| -# - `nlsolve_update_rule`: If set to `Val(true)`, updates the trust region radius using the |
42 |
| -# update rule from NLSolve.jl. Defaults to `Val(false)`. If set to `Val(true)`, few of the |
43 |
| -# radius update parameters -- `step_threshold = 0.05`, `expand_threshold = 0.9`, and |
44 |
| -# `shrink_factor = 0.5` -- have different defaults. |
45 |
| -# """ |
| 1 | +""" |
| 2 | + SimpleTrustRegion(; autodiff = AutoForwardDiff(), max_trust_radius = 0.0, |
| 3 | + initial_trust_radius = 0.0, step_threshold = nothing, |
| 4 | + shrink_threshold = nothing, expand_threshold = nothing, |
| 5 | + shrink_factor = 0.25, expand_factor = 2.0, max_shrink_times::Int = 32, |
| 6 | + nlsolve_update_rule = Val(false)) |
| 7 | +
|
| 8 | +A low-overhead implementation of a trust-region solver. This method is non-allocating on |
| 9 | +scalar and static array problems. |
| 10 | +
|
| 11 | +### Keyword Arguments |
| 12 | +
|
| 13 | + - `autodiff`: determines the backend used for the Jacobian. Defaults to `nothing` (i.e. |
| 14 | + automatic backend selection). Valid choices include jacobian backends from |
| 15 | + `DifferentiationInterface.jl`. |
| 16 | + - `max_trust_radius`: the maximum radius of the trust region. Defaults to |
| 17 | + `max(norm(f(u0)), maximum(u0) - minimum(u0))`. |
| 18 | + - `initial_trust_radius`: the initial trust region radius. Defaults to |
| 19 | + `max_trust_radius / 11`. |
| 20 | + - `step_threshold`: the threshold for taking a step. In every iteration, the threshold is |
| 21 | + compared with a value `r`, which is the actual reduction in the objective function divided |
| 22 | + by the predicted reduction. If `step_threshold > r` the model is not a good approximation, |
| 23 | + and the step is rejected. Defaults to `0.1`. For more details, see |
| 24 | + [Rahpeymaii, F.](https://link.springer.com/article/10.1007/s40096-020-00339-4) |
| 25 | + - `shrink_threshold`: the threshold for shrinking the trust region radius. In every |
| 26 | + iteration, the threshold is compared with a value `r` which is the actual reduction in the |
| 27 | + objective function divided by the predicted reduction. If `shrink_threshold > r` the trust |
| 28 | + region radius is shrunk by `shrink_factor`. Defaults to `0.25`. For more details, see |
| 29 | + [Rahpeymaii, F.](https://link.springer.com/article/10.1007/s40096-020-00339-4) |
| 30 | + - `expand_threshold`: the threshold for expanding the trust region radius. If a step is |
| 31 | + taken, i.e `step_threshold < r` (with `r` defined in `shrink_threshold`), a check is also |
| 32 | + made to see if `expand_threshold < r`. If that is true, the trust region radius is |
| 33 | + expanded by `expand_factor`. Defaults to `0.75`. |
| 34 | + - `shrink_factor`: the factor to shrink the trust region radius with if |
| 35 | + `shrink_threshold > r` (with `r` defined in `shrink_threshold`). Defaults to `0.25`. |
| 36 | + - `expand_factor`: the factor to expand the trust region radius with if |
| 37 | + `expand_threshold < r` (with `r` defined in `shrink_threshold`). Defaults to `2.0`. |
| 38 | + - `max_shrink_times`: the maximum number of times to shrink the trust region radius in a |
| 39 | + row, `max_shrink_times` is exceeded, the algorithm returns. Defaults to `32`. |
| 40 | + - `nlsolve_update_rule`: If set to `Val(true)`, updates the trust region radius using the |
| 41 | + update rule from NLSolve.jl. Defaults to `Val(false)`. If set to `Val(true)`, few of the |
| 42 | + radius update parameters -- `step_threshold = 0.05`, `expand_threshold = 0.9`, and |
| 43 | + `shrink_factor = 0.5` -- have different defaults. |
| 44 | +""" |
46 | 45 | @kwdef @concrete struct SimpleTrustRegion <: AbstractSimpleNonlinearSolveAlgorithm
|
47 | 46 | autodiff = nothing
|
48 | 47 | max_trust_radius = 0.0
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