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66 changes: 33 additions & 33 deletions src/raphson.jl
Original file line number Diff line number Diff line change
@@ -1,8 +1,8 @@
"""
```julia
NewtonRaphson(; chunk_size = Val{0}(), autodiff = Val{true}(),
standardtag = Val{true}(), concrete_jac = nothing,
diff_type = Val{:forward}, linsolve = nothing, precs = DEFAULT_PRECS)
standardtag = Val{true}(), concrete_jac = nothing,
diff_type = Val{:forward}, linsolve = nothing, precs = DEFAULT_PRECS)
```

An advanced NewtonRaphson implementation with support for efficient handling of sparse
@@ -11,37 +11,37 @@ for large-scale and numerically-difficult nonlinear systems.

### Keyword Arguments

- `chunk_size`: the chunk size used by the internal ForwardDiff.jl automatic differentiation
system. This allows for multiple derivative columns to be computed simultaneously,
improving performance. Defaults to `0`, which is equivalent to using ForwardDiff.jl's
default chunk size mechanism. For more details, see the documentation for
[ForwardDiff.jl](https://juliadiff.org/ForwardDiff.jl/stable/).
- `autodiff`: whether to use forward-mode automatic differentiation for the Jacobian.
Note that this argument is ignored if an analytical Jacobian is passed, as that will be
used instead. Defaults to `Val{true}`, which means ForwardDiff.jl via
SparseDiffTools.jl is used by default. If `Val{false}`, then FiniteDiff.jl is used for
finite differencing.
- `standardtag`: whether to use a standardized tag definition for the purposes of automatic
differentiation. Defaults to true, which thus uses the `NonlinearSolveTag`. If `Val{false}`,
then ForwardDiff's default function naming tag is used, which results in larger stack
traces.
- `concrete_jac`: whether to build a concrete Jacobian. If a Krylov-subspace method is used,
then the Jacobian will not be constructed and instead direct Jacobian-vector products
`J*v` are computed using forward-mode automatic differentiation or finite differencing
tricks (without ever constructing the Jacobian). However, if the Jacobian is still needed,
for example for a preconditioner, `concrete_jac = true` can be passed in order to force
the construction of the Jacobian.
- `diff_type`: the type of finite differencing used if `autodiff = false`. Defaults to
`Val{:forward}` for forward finite differences. For more details on the choices, see the
[FiniteDiff.jl](https://github.com/JuliaDiff/FiniteDiff.jl) documentation.
- `linsolve`: the [LinearSolve.jl](https://github.com/SciML/LinearSolve.jl) used for the
linear solves within the Newton method. Defaults to `nothing`, which means it uses the
LinearSolve.jl default algorithm choice. For more information on available algorithm
choices, see the [LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `precs`: the choice of preconditioners for the linear solver. Defaults to using no
preconditioners. For more information on specifying preconditioners for LinearSolve
algorithms, consult the
[LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `chunk_size`: the chunk size used by the internal ForwardDiff.jl automatic differentiation
system. This allows for multiple derivative columns to be computed simultaneously,
improving performance. Defaults to `0`, which is equivalent to using ForwardDiff.jl's
default chunk size mechanism. For more details, see the documentation for
[ForwardDiff.jl](https://juliadiff.org/ForwardDiff.jl/stable/).
- `autodiff`: whether to use forward-mode automatic differentiation for the Jacobian.
Note that this argument is ignored if an analytical Jacobian is passed, as that will be
used instead. Defaults to `Val{true}`, which means ForwardDiff.jl via
SparseDiffTools.jl is used by default. If `Val{false}`, then FiniteDiff.jl is used for
finite differencing.
- `standardtag`: whether to use a standardized tag definition for the purposes of automatic
differentiation. Defaults to true, which thus uses the `NonlinearSolveTag`. If `Val{false}`,
then ForwardDiff's default function naming tag is used, which results in larger stack
traces.
- `concrete_jac`: whether to build a concrete Jacobian. If a Krylov-subspace method is used,
then the Jacobian will not be constructed and instead direct Jacobian-vector products
`J*v` are computed using forward-mode automatic differentiation or finite differencing
tricks (without ever constructing the Jacobian). However, if the Jacobian is still needed,
for example for a preconditioner, `concrete_jac = true` can be passed in order to force
the construction of the Jacobian.
- `diff_type`: the type of finite differencing used if `autodiff = false`. Defaults to
`Val{:forward}` for forward finite differences. For more details on the choices, see the
[FiniteDiff.jl](https://github.com/JuliaDiff/FiniteDiff.jl) documentation.
- `linsolve`: the [LinearSolve.jl](https://github.com/SciML/LinearSolve.jl) used for the
linear solves within the Newton method. Defaults to `nothing`, which means it uses the
LinearSolve.jl default algorithm choice. For more information on available algorithm
choices, see the [LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `precs`: the choice of preconditioners for the linear solver. Defaults to using no
preconditioners. For more information on specifying preconditioners for LinearSolve
algorithms, consult the
[LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).

!!! note

130 changes: 65 additions & 65 deletions src/trustRegion.jl
Original file line number Diff line number Diff line change
@@ -1,16 +1,16 @@
"""
```julia
TrustRegion(; chunk_size = Val{0}(), autodiff = Val{true}(),
standardtag = Val{true}(), concrete_jac = nothing,
diff_type = Val{:forward}, linsolve = nothing, precs = DEFAULT_PRECS,
max_trust_radius::Real = 0.0,
initial_trust_radius::Real = 0.0,
step_threshold::Real = 0.1,
shrink_threshold::Real = 0.25,
expand_threshold::Real = 0.75,
shrink_factor::Real = 0.25,
expand_factor::Real = 2.0,
max_shrink_times::Int = 32)
standardtag = Val{true}(), concrete_jac = nothing,
diff_type = Val{:forward}, linsolve = nothing, precs = DEFAULT_PRECS,
max_trust_radius::Real = 0.0,
initial_trust_radius::Real = 0.0,
step_threshold::Real = 0.1,
shrink_threshold::Real = 0.25,
expand_threshold::Real = 0.75,
shrink_factor::Real = 0.25,
expand_factor::Real = 2.0,
max_shrink_times::Int = 32)
```

An advanced TrustRegion implementation with support for efficient handling of sparse
@@ -19,61 +19,61 @@ for large-scale and numerically-difficult nonlinear systems.

### Keyword Arguments

- `chunk_size`: the chunk size used by the internal ForwardDiff.jl automatic differentiation
system. This allows for multiple derivative columns to be computed simultaneously,
improving performance. Defaults to `0`, which is equivalent to using ForwardDiff.jl's
default chunk size mechanism. For more details, see the documentation for
[ForwardDiff.jl](https://juliadiff.org/ForwardDiff.jl/stable/).
- `autodiff`: whether to use forward-mode automatic differentiation for the Jacobian.
Note that this argument is ignored if an analytical Jacobian is passed, as that will be
used instead. Defaults to `Val{true}`, which means ForwardDiff.jl via
SparseDiffTools.jl is used by default. If `Val{false}`, then FiniteDiff.jl is used for
finite differencing.
- `standardtag`: whether to use a standardized tag definition for the purposes of automatic
differentiation. Defaults to true, which thus uses the `NonlinearSolveTag`. If `Val{false}`,
then ForwardDiff's default function naming tag is used, which results in larger stack
traces.
- `concrete_jac`: whether to build a concrete Jacobian. If a Krylov-subspace method is used,
then the Jacobian will not be constructed and instead direct Jacobian-vector products
`J*v` are computed using forward-mode automatic differentiation or finite differencing
tricks (without ever constructing the Jacobian). However, if the Jacobian is still needed,
for example for a preconditioner, `concrete_jac = true` can be passed in order to force
the construction of the Jacobian.
- `diff_type`: the type of finite differencing used if `autodiff = false`. Defaults to
`Val{:forward}` for forward finite differences. For more details on the choices, see the
[FiniteDiff.jl](https://github.com/JuliaDiff/FiniteDiff.jl) documentation.
- `linsolve`: the [LinearSolve.jl](https://github.com/SciML/LinearSolve.jl) used for the
linear solves within the Newton method. Defaults to `nothing`, which means it uses the
LinearSolve.jl default algorithm choice. For more information on available algorithm
choices, see the [LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `precs`: the choice of preconditioners for the linear solver. Defaults to using no
preconditioners. For more information on specifying preconditioners for LinearSolve
algorithms, consult the
[LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `max_trust_radius`: the maximal trust region radius.
Defaults to `max(norm(fu), maximum(u) - minimum(u))`.
- `initial_trust_radius`: the initial trust region radius. Defaults to
`max_trust_radius / 11`.
- `step_threshold`: the threshold for taking a step. In every iteration, the threshold is
compared with a value `r`, which is the actual reduction in the objective function divided
by the predicted reduction. If `step_threshold > r` the model is not a good approximation,
and the step is rejected. Defaults to `0.1`. For more details, see
[Trust-region methods](https://optimization.mccormick.northwestern.edu/index.php/Trust-region_methods)
- `shrink_threshold`: the threshold for shrinking the trust region radius. In every
iteration, the threshold is compared with a value `r` which is the actual reduction in the
objective function divided by the predicted reduction. If `shrink_threshold > r` the trust
region radius is shrunk by `shrink_factor`. Defaults to `0.25`. For more details, see
[Trust-region methods](https://optimization.mccormick.northwestern.edu/index.php/Trust-region_methods)
- `expand_threshold`: the threshold for expanding the trust region radius. If a step is
taken, i.e `step_threshold < r` (with `r` defined in `shrink_threshold`), a check is also
made to see if `expand_threshold < r`. If that is true, the trust region radius is
expanded by `expand_factor`. Defaults to `0.75`.
- `shrink_factor`: the factor to shrink the trust region radius with if
`shrink_threshold > r` (with `r` defined in `shrink_threshold`). Defaults to `0.25`.
- `expand_factor`: the factor to expand the trust region radius with if
`expand_threshold < r` (with `r` defined in `shrink_threshold`). Defaults to `2.0`.
- `max_shrink_times`: the maximum number of times to shrink the trust region radius in a
row, `max_shrink_times` is exceeded, the algorithm returns. Defaults to `32`.
- `chunk_size`: the chunk size used by the internal ForwardDiff.jl automatic differentiation
system. This allows for multiple derivative columns to be computed simultaneously,
improving performance. Defaults to `0`, which is equivalent to using ForwardDiff.jl's
default chunk size mechanism. For more details, see the documentation for
[ForwardDiff.jl](https://juliadiff.org/ForwardDiff.jl/stable/).
- `autodiff`: whether to use forward-mode automatic differentiation for the Jacobian.
Note that this argument is ignored if an analytical Jacobian is passed, as that will be
used instead. Defaults to `Val{true}`, which means ForwardDiff.jl via
SparseDiffTools.jl is used by default. If `Val{false}`, then FiniteDiff.jl is used for
finite differencing.
- `standardtag`: whether to use a standardized tag definition for the purposes of automatic
differentiation. Defaults to true, which thus uses the `NonlinearSolveTag`. If `Val{false}`,
then ForwardDiff's default function naming tag is used, which results in larger stack
traces.
- `concrete_jac`: whether to build a concrete Jacobian. If a Krylov-subspace method is used,
then the Jacobian will not be constructed and instead direct Jacobian-vector products
`J*v` are computed using forward-mode automatic differentiation or finite differencing
tricks (without ever constructing the Jacobian). However, if the Jacobian is still needed,
for example for a preconditioner, `concrete_jac = true` can be passed in order to force
the construction of the Jacobian.
- `diff_type`: the type of finite differencing used if `autodiff = false`. Defaults to
`Val{:forward}` for forward finite differences. For more details on the choices, see the
[FiniteDiff.jl](https://github.com/JuliaDiff/FiniteDiff.jl) documentation.
- `linsolve`: the [LinearSolve.jl](https://github.com/SciML/LinearSolve.jl) used for the
linear solves within the Newton method. Defaults to `nothing`, which means it uses the
LinearSolve.jl default algorithm choice. For more information on available algorithm
choices, see the [LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `precs`: the choice of preconditioners for the linear solver. Defaults to using no
preconditioners. For more information on specifying preconditioners for LinearSolve
algorithms, consult the
[LinearSolve.jl documentation](https://docs.sciml.ai/LinearSolve/stable/).
- `max_trust_radius`: the maximal trust region radius.
Defaults to `max(norm(fu), maximum(u) - minimum(u))`.
- `initial_trust_radius`: the initial trust region radius. Defaults to
`max_trust_radius / 11`.
- `step_threshold`: the threshold for taking a step. In every iteration, the threshold is
compared with a value `r`, which is the actual reduction in the objective function divided
by the predicted reduction. If `step_threshold > r` the model is not a good approximation,
and the step is rejected. Defaults to `0.1`. For more details, see
[Trust-region methods](https://optimization.mccormick.northwestern.edu/index.php/Trust-region_methods)
- `shrink_threshold`: the threshold for shrinking the trust region radius. In every
iteration, the threshold is compared with a value `r` which is the actual reduction in the
objective function divided by the predicted reduction. If `shrink_threshold > r` the trust
region radius is shrunk by `shrink_factor`. Defaults to `0.25`. For more details, see
[Trust-region methods](https://optimization.mccormick.northwestern.edu/index.php/Trust-region_methods)
- `expand_threshold`: the threshold for expanding the trust region radius. If a step is
taken, i.e `step_threshold < r` (with `r` defined in `shrink_threshold`), a check is also
made to see if `expand_threshold < r`. If that is true, the trust region radius is
expanded by `expand_factor`. Defaults to `0.75`.
- `shrink_factor`: the factor to shrink the trust region radius with if
`shrink_threshold > r` (with `r` defined in `shrink_threshold`). Defaults to `0.25`.
- `expand_factor`: the factor to expand the trust region radius with if
`expand_threshold < r` (with `r` defined in `shrink_threshold`). Defaults to `2.0`.
- `max_shrink_times`: the maximum number of times to shrink the trust region radius in a
row, `max_shrink_times` is exceeded, the algorithm returns. Defaults to `32`.

!!! note

2 changes: 1 addition & 1 deletion src/utils.jl
Original file line number Diff line number Diff line change
@@ -20,7 +20,7 @@ alg_autodiff(alg::AbstractNewtonAlgorithm{CS, AD}) where {CS, AD} = AD
alg_autodiff(alg) = false

"""
value_derivative(f, x)
value_derivative(f, x)

Compute `f(x), d/dx f(x)` in the most efficient way.
"""