SNES: Nonlinear Solvers#

Note

This chapter is being cleaned up by Jed Brown. Contributions are welcome.

The solution of large-scale nonlinear problems pervades many facets of computational science and demands robust and flexible solution strategies. The SNES library of PETSc provides a powerful suite of data-structure-neutral numerical routines for such problems. Built on top of the linear solvers and data structures discussed in preceding chapters, SNES enables the user to easily customize the nonlinear solvers according to the application at hand. Also, the SNES interface is identical for the uniprocess and parallel cases; the only difference in the parallel version is that each process typically forms only its local contribution to various matrices and vectors.

The SNES class includes methods for solving systems of nonlinear equations of the form

(3)#\[\mathbf{F}(\mathbf{x}) = 0,\]

where $\mathbf{F}: \, \Re^n \to \Re^n$. Newton-like methods provide the core of the package, including both line search and trust region techniques. A suite of nonlinear Krylov methods and methods based upon problem decomposition are also included. The solvers are discussed further in The Nonlinear Solvers. Following the PETSc design philosophy, the interfaces to the various solvers are all virtually identical. In addition, the SNES software is completely flexible, so that the user can at runtime change any facet of the solution process.

PETSc’s default method for solving the nonlinear equation is Newton’s method. The general form of the $n$-dimensional Newton’s method for solving (3) is

(4)#\[\mathbf{x}_{k+1} = \mathbf{x}_k - \mathbf{J}(\mathbf{x}_k)^{-1} \mathbf{F}(\mathbf{x}_k), \;\; k=0,1, \ldots,\]

where $\mathbf{x}_0$ is an initial approximation to the solution and $\mathbf{J}(\mathbf{x}_k) = \mathbf{F}'(\mathbf{x}_k)$, the Jacobian, is nonsingular at each iteration. In practice, the Newton iteration (4) is implemented by the following two steps:

\[\begin{aligned} 1. & \text{(Approximately) solve} & \mathbf{J}(\mathbf{x}_k) \Delta \mathbf{x}_k &= -\mathbf{F}(\mathbf{x}_k). \\ 2. & \text{Update} & \mathbf{x}_{k+1} &\gets \mathbf{x}_k + \Delta \mathbf{x}_k. \end{aligned}\]

Other defect-correction algorithms can be implemented by using different choices for $J(\mathbf{x}_k)$.

Basic SNES Usage#

In the simplest usage of the nonlinear solvers, the user must merely provide a C, C++, or Fortran routine to evaluate the nonlinear function (3). The corresponding Jacobian matrix can be approximated with finite differences. For codes that are typically more efficient and accurate, the user can provide a routine to compute the Jacobian; details regarding these application-provided routines are discussed below. To provide an overview of the use of the nonlinear solvers, browse the concrete example in ex1.c or skip ahead to the discussion.

Listing: src/snes/tutorials/ex1.c

static char help[] = "Newton's method for a two-variable system, sequential.\n\n";

/*
   Include "petscsnes.h" so that we can use SNES solvers.  Note that this
   file automatically includes:
     petscsys.h       - base PETSc routines   petscvec.h - vectors
     petscmat.h - matrices
     petscis.h     - index sets            petscksp.h - Krylov subspace methods
     petscviewer.h - viewers               petscpc.h  - preconditioners
     petscksp.h   - linear solvers
*/
/*F
This examples solves either
\begin{equation}
  F\genfrac{(}{)}{0pt}{}{x_0}{x_1} = \genfrac{(}{)}{0pt}{}{x^2_0 + x_0 x_1 - 3}{x_0 x_1 + x^2_1 - 6}
\end{equation}
or if the {\tt -hard} options is given
\begin{equation}
  F\genfrac{(}{)}{0pt}{}{x_0}{x_1} = \genfrac{(}{)}{0pt}{}{\sin(3 x_0) + x_0}{x_1}
\end{equation}
F*/
#include <petscsnes.h>

/*
   User-defined routines
*/
extern PetscErrorCode FormJacobian1(SNES, Vec, Mat, Mat, void *);
extern PetscErrorCode FormFunction1(SNES, Vec, Vec, void *);
extern PetscErrorCode FormJacobian2(SNES, Vec, Mat, Mat, void *);
extern PetscErrorCode FormFunction2(SNES, Vec, Vec, void *);

int main(int argc, char **argv)
{
  SNES        snes; /* nonlinear solver context */
  KSP         ksp;  /* linear solver context */
  PC          pc;   /* preconditioner context */
  Vec         x, r; /* solution, residual vectors */
  Mat         J;    /* Jacobian matrix */
  PetscMPIInt size;
  PetscScalar pfive = .5, *xx;
  PetscBool   flg;

  PetscFunctionBeginUser;
  PetscCall(PetscInitialize(&argc, &argv, (char *)0, help));
  PetscCallMPI(MPI_Comm_size(PETSC_COMM_WORLD, &size));
  PetscCheck(size == 1, PETSC_COMM_WORLD, PETSC_ERR_WRONG_MPI_SIZE, "Example is only for sequential runs");

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Create nonlinear solver context
     - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */
  PetscCall(SNESCreate(PETSC_COMM_WORLD, &snes));
  PetscCall(SNESSetType(snes, SNESNEWTONLS));
  PetscCall(SNESSetOptionsPrefix(snes, "mysolver_"));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Create matrix and vector data structures; set corresponding routines
     - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */
  /*
     Create vectors for solution and nonlinear function
  */
  PetscCall(VecCreate(PETSC_COMM_WORLD, &x));
  PetscCall(VecSetSizes(x, PETSC_DECIDE, 2));
  PetscCall(VecSetFromOptions(x));
  PetscCall(VecDuplicate(x, &r));

  /*
     Create Jacobian matrix data structure
  */
  PetscCall(MatCreate(PETSC_COMM_WORLD, &J));
  PetscCall(MatSetSizes(J, PETSC_DECIDE, PETSC_DECIDE, 2, 2));
  PetscCall(MatSetFromOptions(J));
  PetscCall(MatSetUp(J));

  PetscCall(PetscOptionsHasName(NULL, NULL, "-hard", &flg));
  if (!flg) {
    /*
     Set function evaluation routine and vector.
    */
    PetscCall(SNESSetFunction(snes, r, FormFunction1, NULL));

    /*
     Set Jacobian matrix data structure and Jacobian evaluation routine
    */
    PetscCall(SNESSetJacobian(snes, J, J, FormJacobian1, NULL));
  } else {
    PetscCall(SNESSetFunction(snes, r, FormFunction2, NULL));
    PetscCall(SNESSetJacobian(snes, J, J, FormJacobian2, NULL));
  }

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Customize nonlinear solver; set runtime options
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */
  /*
     Set linear solver defaults for this problem. By extracting the
     KSP and PC contexts from the SNES context, we can then
     directly call any KSP and PC routines to set various options.
  */
  PetscCall(SNESGetKSP(snes, &ksp));
  PetscCall(KSPGetPC(ksp, &pc));
  PetscCall(PCSetType(pc, PCNONE));
  PetscCall(KSPSetTolerances(ksp, 1.e-4, PETSC_DEFAULT, PETSC_DEFAULT, 20));

  /*
     Set SNES/KSP/KSP/PC runtime options, e.g.,
         -snes_view -snes_monitor -ksp_type <ksp> -pc_type <pc>
     These options will override those specified above as long as
     SNESSetFromOptions() is called _after_ any other customization
     routines.
  */
  PetscCall(SNESSetFromOptions(snes));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Evaluate initial guess; then solve nonlinear system
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */
  if (!flg) {
    PetscCall(VecSet(x, pfive));
  } else {
    PetscCall(VecGetArray(x, &xx));
    xx[0] = 2.0;
    xx[1] = 3.0;
    PetscCall(VecRestoreArray(x, &xx));
  }
  /*
     Note: The user should initialize the vector, x, with the initial guess
     for the nonlinear solver prior to calling SNESSolve().  In particular,
     to employ an initial guess of zero, the user should explicitly set
     this vector to zero by calling VecSet().
  */

  PetscCall(SNESSolve(snes, NULL, x));
  if (flg) {
    Vec f;
    PetscCall(VecView(x, PETSC_VIEWER_STDOUT_WORLD));
    PetscCall(SNESGetFunction(snes, &f, 0, 0));
    PetscCall(VecView(r, PETSC_VIEWER_STDOUT_WORLD));
  }

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Free work space.  All PETSc objects should be destroyed when they
     are no longer needed.
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  PetscCall(VecDestroy(&x));
  PetscCall(VecDestroy(&r));
  PetscCall(MatDestroy(&J));
  PetscCall(SNESDestroy(&snes));
  PetscCall(PetscFinalize());
  return 0;
}
/* ------------------------------------------------------------------- */
/*
   FormFunction1 - Evaluates nonlinear function, F(x).

   Input Parameters:
.  snes - the SNES context
.  x    - input vector
.  ctx  - optional user-defined context

   Output Parameter:
.  f - function vector
 */
PetscErrorCode FormFunction1(SNES snes, Vec x, Vec f, void *ctx)
{
  const PetscScalar *xx;
  PetscScalar       *ff;

  PetscFunctionBeginUser;
  /*
   Get pointers to vector data.
      - For default PETSc vectors, VecGetArray() returns a pointer to
        the data array.  Otherwise, the routine is implementation dependent.
      - You MUST call VecRestoreArray() when you no longer need access to
        the array.
   */
  PetscCall(VecGetArrayRead(x, &xx));
  PetscCall(VecGetArray(f, &ff));

  /* Compute function */
  ff[0] = xx[0] * xx[0] + xx[0] * xx[1] - 3.0;
  ff[1] = xx[0] * xx[1] + xx[1] * xx[1] - 6.0;

  /* Restore vectors */
  PetscCall(VecRestoreArrayRead(x, &xx));
  PetscCall(VecRestoreArray(f, &ff));
  PetscFunctionReturn(PETSC_SUCCESS);
}
/* ------------------------------------------------------------------- */
/*
   FormJacobian1 - Evaluates Jacobian matrix.

   Input Parameters:
.  snes - the SNES context
.  x - input vector
.  dummy - optional user-defined context (not used here)

   Output Parameters:
.  jac - Jacobian matrix
.  B - optionally different preconditioning matrix
.  flag - flag indicating matrix structure
*/
PetscErrorCode FormJacobian1(SNES snes, Vec x, Mat jac, Mat B, void *dummy)
{
  const PetscScalar *xx;
  PetscScalar        A[4];
  PetscInt           idx[2] = {0, 1};

  PetscFunctionBeginUser;
  /*
     Get pointer to vector data
  */
  PetscCall(VecGetArrayRead(x, &xx));

  /*
     Compute Jacobian entries and insert into matrix.
      - Since this is such a small problem, we set all entries for
        the matrix at once.
  */
  A[0] = 2.0 * xx[0] + xx[1];
  A[1] = xx[0];
  A[2] = xx[1];
  A[3] = xx[0] + 2.0 * xx[1];
  PetscCall(MatSetValues(B, 2, idx, 2, idx, A, INSERT_VALUES));

  /*
     Restore vector
  */
  PetscCall(VecRestoreArrayRead(x, &xx));

  /*
     Assemble matrix
  */
  PetscCall(MatAssemblyBegin(B, MAT_FINAL_ASSEMBLY));
  PetscCall(MatAssemblyEnd(B, MAT_FINAL_ASSEMBLY));
  if (jac != B) {
    PetscCall(MatAssemblyBegin(jac, MAT_FINAL_ASSEMBLY));
    PetscCall(MatAssemblyEnd(jac, MAT_FINAL_ASSEMBLY));
  }
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
PetscErrorCode FormFunction2(SNES snes, Vec x, Vec f, void *dummy)
{
  const PetscScalar *xx;
  PetscScalar       *ff;

  PetscFunctionBeginUser;
  /*
     Get pointers to vector data.
       - For default PETSc vectors, VecGetArray() returns a pointer to
         the data array.  Otherwise, the routine is implementation dependent.
       - You MUST call VecRestoreArray() when you no longer need access to
         the array.
  */
  PetscCall(VecGetArrayRead(x, &xx));
  PetscCall(VecGetArray(f, &ff));

  /*
     Compute function
  */
  ff[0] = PetscSinScalar(3.0 * xx[0]) + xx[0];
  ff[1] = xx[1];

  /*
     Restore vectors
  */
  PetscCall(VecRestoreArrayRead(x, &xx));
  PetscCall(VecRestoreArray(f, &ff));
  PetscFunctionReturn(PETSC_SUCCESS);
}
/* ------------------------------------------------------------------- */
PetscErrorCode FormJacobian2(SNES snes, Vec x, Mat jac, Mat B, void *dummy)
{
  const PetscScalar *xx;
  PetscScalar        A[4];
  PetscInt           idx[2] = {0, 1};

  PetscFunctionBeginUser;
  /*
     Get pointer to vector data
  */
  PetscCall(VecGetArrayRead(x, &xx));

  /*
     Compute Jacobian entries and insert into matrix.
      - Since this is such a small problem, we set all entries for
        the matrix at once.
  */
  A[0] = 3.0 * PetscCosScalar(3.0 * xx[0]) + 1.0;
  A[1] = 0.0;
  A[2] = 0.0;
  A[3] = 1.0;
  PetscCall(MatSetValues(B, 2, idx, 2, idx, A, INSERT_VALUES));

  /*
     Restore vector
  */
  PetscCall(VecRestoreArrayRead(x, &xx));

  /*
     Assemble matrix
  */
  PetscCall(MatAssemblyBegin(B, MAT_FINAL_ASSEMBLY));
  PetscCall(MatAssemblyEnd(B, MAT_FINAL_ASSEMBLY));
  if (jac != B) {
    PetscCall(MatAssemblyBegin(jac, MAT_FINAL_ASSEMBLY));
    PetscCall(MatAssemblyEnd(jac, MAT_FINAL_ASSEMBLY));
  }
  PetscFunctionReturn(PETSC_SUCCESS);
}

To create a SNES solver, one must first call SNESCreate() as follows:

SNESCreate(MPI_Comm comm,SNES *snes);

The user must then set routines for evaluating the residual function (3) and its associated Jacobian matrix, as discussed in the following sections.

To choose a nonlinear solution method, the user can either call

SNESSetType(SNES snes,SNESType method);

or use the option -snes_type <method>, where details regarding the available methods are presented in The Nonlinear Solvers. The application code can take complete control of the linear and nonlinear techniques used in the Newton-like method by calling

SNESSetFromOptions(snes);

This routine provides an interface to the PETSc options database, so that at runtime the user can select a particular nonlinear solver, set various parameters and customized routines (e.g., specialized line search variants), prescribe the convergence tolerance, and set monitoring routines. With this routine the user can also control all linear solver options in the KSP, and PC modules, as discussed in KSP: Linear System Solvers.

After having set these routines and options, the user solves the problem by calling

SNESSolve(SNES snes,Vec b,Vec x);

where x should be initialized to the initial guess before calling and contains the solution on return. In particular, to employ an initial guess of zero, the user should explicitly set this vector to zero by calling VecZeroEntries(x). Finally, after solving the nonlinear system (or several systems), the user should destroy the SNES context with

SNESDestroy(SNES *snes);

Nonlinear Function Evaluation#

When solving a system of nonlinear equations, the user must provide a a residual function (3), which is set using

SNESSetFunction(SNES snes,Vec f,PetscErrorCode (*FormFunction)(SNES snes,Vec x,Vec f,void *ctx),void *ctx);

The argument f is an optional vector for storing the solution; pass NULL to have the SNES allocate it for you. The argument ctx is an optional user-defined context, which can store any private, application-specific data required by the function evaluation routine; NULL should be used if such information is not needed. In C and C++, a user-defined context is merely a structure in which various objects can be stashed; in Fortran a user context can be an integer array that contains both parameters and pointers to PETSc objects. SNES Tutorial ex5 and SNES Tutorial ex5f90 give examples of user-defined application contexts in C and Fortran, respectively.

Jacobian Evaluation#

The user must also specify a routine to form some approximation of the Jacobian matrix, A, at the current iterate, x, as is typically done with

SNESSetJacobian(SNES snes,Mat Amat,Mat Pmat,PetscErrorCode (*FormJacobian)(SNES snes,Vec x,Mat A,Mat B,void *ctx),void *ctx);

The arguments of the routine FormJacobian() are the current iterate, x; the (approximate) Jacobian matrix, Amat; the matrix from which the preconditioner is constructed, Pmat (which is usually the same as Amat); and an optional user-defined Jacobian context, ctx, for application-specific data. Note that the SNES solvers are all data-structure neutral, so the full range of PETSc matrix formats (including “matrix-free” methods) can be used. Matrices discusses information regarding available matrix formats and options, while Matrix-Free Methods focuses on matrix-free methods in SNES. We briefly touch on a few details of matrix usage that are particularly important for efficient use of the nonlinear solvers.

A common usage paradigm is to assemble the problem Jacobian in the preconditioner storage B, rather than A. In the case where they are identical, as in many simulations, this makes no difference. However, it allows us to check the analytic Jacobian we construct in FormJacobian() by passing the -snes_mf_operator flag. This causes PETSc to approximate the Jacobian using finite differencing of the function evaluation (discussed in Finite Difference Jacobian Approximations), and the analytic Jacobian becomes merely the preconditioner. Even if the analytic Jacobian is incorrect, it is likely that the finite difference approximation will converge, and thus this is an excellent method to verify the analytic Jacobian. Moreover, if the analytic Jacobian is incomplete (some terms are missing or approximate), -snes_mf_operator may be used to obtain the exact solution, where the Jacobian approximation has been transferred to the preconditioner.

One such approximate Jacobian comes from “Picard linearization” which writes the nonlinear system as

\[\mathbf{F}(\mathbf{x}) := \mathbf{A}(\mathbf{x}) \mathbf{x} - \mathbf{b} = 0 \]

where $\mathbf{A}(\mathbf{x})$ usually contains the lower-derivative parts of the equation. For example, the nonlinear diffusion problem

\[- \nabla\cdot(\kappa(u) \nabla u) = 0 \]

would be linearized as

\[A(u) v \simeq -\nabla\cdot(\kappa(u) \nabla v). \]

Usually this linearization is simpler to implement than Newton and the linear problems are somewhat easier to solve. In addition to using -snes_mf_operator with this approximation to the Jacobian, the Picard iterative procedure can be performed by defining $\mathbf{J}(\mathbf{x})$ to be $\mathbf{A}(\mathbf{x})$. Sometimes this iteration exhibits better global convergence than Newton linearization.

During successive calls to FormJacobian(), the user can either insert new matrix contexts or reuse old ones, depending on the application requirements. For many sparse matrix formats, reusing the old space (and merely changing the matrix elements) is more efficient; however, if the matrix structure completely changes, creating an entirely new matrix context may be preferable. Upon subsequent calls to the FormJacobian() routine, the user may wish to reinitialize the matrix entries to zero by calling MatZeroEntries(). See Other Matrix Operations for details on the reuse of the matrix context.

The directory $PETSC_DIR/src/snes/tutorials provides a variety of examples.

Sometimes a nonlinear solver may produce a step that is not within the domain of a given function, for example one with a negative pressure. When this occurs one can call SNESSetFunctionDomainError() or SNESSetJacobianDomainError() to indicate to SNES the step is not valid. One must also use SNESGetConvergedReason() and check the reason to confirm if the solver succeeded. See Variational Inequalities for how to provide SNES with bounds on the variables to solve (differential) variational inequalities and how to control properties of the line step computed.

The Nonlinear Solvers#

As summarized in Table PETSc Nonlinear Solvers, SNES includes several Newton-like nonlinear solvers based on line search techniques and trust region methods. Also provided are several nonlinear Krylov methods, as well as nonlinear methods involving decompositions of the problem.

Each solver may have associated with it a set of options, which can be set with routines and options database commands provided for this purpose. A complete list can be found by consulting the manual pages or by running a program with the -help option; we discuss just a few in the sections below.

Table 9 PETSc Nonlinear Solvers#
Method	SNESType	Options Name	Default Line Search
Line Search Newton	`SNESNEWTONLS`	`newtonls`	`SNESLINESEARCHBT`
Trust region Newton	`SNESNEWTONTR`	`newtontr`	—
Nonlinear Richardson	`SNESNRICHARDSON`	`nrichardson`	`SNESLINESEARCHL2`
Nonlinear CG	`SNESNCG`	`ncg`	`SNESLINESEARCHCP`
Nonlinear GMRES	`SNESNGMRES`	`ngmres`	`SNESLINESEARCHL2`
Quasi-Newton	`SNESQN`	`qn`	see PETSc quasi-Newton solvers
Full Approximation Scheme	`SNESFAS`	`fas`	—
Nonlinear ASM	`SNESNASM`	`nasm`	–
ASPIN	`SNESASPIN`	`aspin`	`SNESLINESEARCHBT`
Nonlinear Gauss-Seidel	`SNESNGS`	`ngs`	–
Anderson Mixing	`SNESANDERSON`	`anderson`	–
Newton with constraints (1)	`SNESVINEWTONRSLS`	`vinewtonrsls`	`SNESLINESEARCHBT`
Newton with constraints (2)	`SNESVINEWTONSSLS`	`vinewtonssls`	`SNESLINESEARCHBT`
Multi-stage Smoothers	`SNESMS`	`ms`	–
Composite	`SNESCOMPOSITE`	`composite`	–
Linear solve only	`SNESKSPONLY`	`ksponly`	–
Python Shell	`SNESPYTHON`	`python`	–
Shell (user-defined)	`SNESSHELL`	`shell`	–

Line Search Newton#

The method SNESNEWTONLS (-snes_type newtonls) provides a line search Newton method for solving systems of nonlinear equations. By default, this technique employs cubic backtracking [DennisJrS83]. Alternative line search techniques are listed in Table PETSc Line Search Methods.

Table 10 PETSc Line Search Methods#
Line Search	SNESLineSearchType	Options Name
Backtracking	`SNESLINESEARCHBT`	`bt`
(damped) step	`SNESLINESEARCHBASIC`	`basic`
identical to above	`SNESLINESEARCHNONE`	`none`
L2-norm Minimization	`SNESLINESEARCHL2`	`l2`
Critical point	`SNESLINESEARCHCP`	`cp`
Shell	`SNESLINESEARCHSHELL`	`shell`

Every SNES has a line search context of type SNESLineSearch that may be retrieved using

SNESGetLineSearch(SNES snes,SNESLineSearch *ls);.

There are several default options for the line searches. The order of polynomial approximation may be set with -snes_linesearch_order or

SNESLineSearchSetOrder(SNESLineSearch ls, PetscInt order);

for instance, 2 for quadratic or 3 for cubic. Sometimes, it may not be necessary to monitor the progress of the nonlinear iteration. In this case, -snes_linesearch_norms or

SNESLineSearchSetComputeNorms(SNESLineSearch ls,PetscBool norms);

may be used to turn off function, step, and solution norm computation at the end of the linesearch.

The default line search for the line search Newton method, SNESLINESEARCHBT involves several parameters, which are set to defaults that are reasonable for many applications. The user can override the defaults by using the following options:

-snes_linesearch_alpha <alpha>
-snes_linesearch_maxstep <max>
-snes_linesearch_minlambda <tol>

Besides the backtracking linesearch, there are SNESLINESEARCHL2, which uses a polynomial secant minimization of $||F(x)||_2$, and SNESLINESEARCHCP, which minimizes $F(x) \cdot Y$ where $Y$ is the search direction. These are both potentially iterative line searches, which may be used to find a better-fitted steplength in the case where a single secant search is not sufficient. The number of iterations may be set with -snes_linesearch_max_it. In addition, the convergence criteria of the iterative line searches may be set using function tolerances -snes_linesearch_rtol and -snes_linesearch_atol, and steplength tolerance snes_linesearch_ltol.

Custom line search types may either be defined using SNESLineSearchShell, or by creating a custom user line search type in the model of the preexisting ones and register it using

SNESLineSearchRegister(const char sname[],PetscErrorCode (*function)(SNESLineSearch));.

Trust Region Methods#

The trust region method in SNES for solving systems of nonlinear equations, SNESNEWTONTR (-snes_type newtontr), is taken from the MINPACK project [MoreSGH84]. Several parameters can be set to control the variation of the trust region size during the solution process. In particular, the user can control the initial trust region radius, computed by

\[\Delta = \Delta_0 \| F_0 \|_2, \]

by setting $\Delta_0$ via the option -snes_tr_delta0 <delta0>.

Nonlinear Krylov Methods#

A number of nonlinear Krylov methods are provided, including Nonlinear Richardson, conjugate gradient, GMRES, and Anderson Mixing. These methods are described individually below. They are all instrumental to PETSc’s nonlinear preconditioning.

Nonlinear Richardson. The nonlinear Richardson iteration merely takes the form of a line search-damped fixed-point iteration of the form

\[\mathbf{x}_{k+1} = \mathbf{x}_k - \lambda \mathbf{F}(\mathbf{x}_k), \;\; k=0,1, \ldots,\]

where the default linesearch is SNESLINESEARCHL2. This simple solver is mostly useful as a nonlinear smoother, or to provide line search stabilization to an inner method.

Nonlinear Conjugate Gradients. Nonlinear CG is equivalent to linear CG, but with the steplength determined by line search (SNESLINESEARCHCP by default). Five variants (Fletcher-Reed, Hestenes-Steifel, Polak-Ribiere-Polyak, Dai-Yuan, and Conjugate Descent) are implemented in PETSc and may be chosen using

SNESNCGSetType(SNES snes, SNESNCGType btype);

Anderson Mixing and Nonlinear GMRES Methods. Nonlinear GMRES and Anderson Mixing methods combine the last $m$ iterates, plus a new fixed-point iteration iterate, into a residual-minimizing new iterate.

Quasi-Newton Methods#

Quasi-Newton methods store iterative rank-one updates to the Jacobian instead of computing it directly. Three limited-memory quasi-Newton methods are provided, L-BFGS, which are described in Table PETSc quasi-Newton solvers. These all are encapsulated under -snes_type qn and may be changed with snes_qn_type. The default is L-BFGS, which provides symmetric updates to an approximate Jacobian. This iteration is similar to the line search Newton methods.

Table 11 PETSc quasi-Newton solvers#
QN Method	`SNESQNType`	Options Name	Default Line Search
L-BFGS	`SNES_QN_LBFGS`	`lbfgs`	`SNESLINESEARCHCP`
“Good” Broyden	`SNES_QN_BROYDEN`	`broyden`	`SNESLINESEARCHBASIC` (or equivalently `SNESLINESEARCHNONE`
“Bad” Broyden	`SNES_QN_BADBROYEN`	`badbroyden`	`SNESLINESEARCHL2`

One may also control the form of the initial Jacobian approximation with

SNESQNSetScaleType(SNES snes, SNESQNScaleType stype);

and the restart type with

SNESQNSetRestartType(SNES snes, SNESQNRestartType rtype);

The Full Approximation Scheme#

The Full Approximation Scheme is a nonlinear multigrid correction. At each level, there is a recursive cycle control SNES instance, and either one or two nonlinear solvers as smoothers (up and down). Problems set up using the SNES DMDA interface are automatically coarsened. FAS differs slightly from PCMG, in that the hierarchy is constructed recursively. However, much of the interface is a one-to-one map. We describe the “get” operations here, and it can be assumed that each has a corresponding “set” operation. For instance, the number of levels in the hierarchy may be retrieved using

SNESFASGetLevels(SNES snes, PetscInt *levels);

There are four SNESFAS cycle types, SNES_FAS_MULTIPLICATIVE, SNES_FAS_ADDITIVE, SNES_FAS_FULL, and SNES_FAS_KASKADE. The type may be set with

SNESFASSetType(SNES snes,SNESFASType fastype);.

and the cycle type, 1 for V, 2 for W, may be set with

SNESFASSetCycles(SNES snes, PetscInt cycles);.

Much like the interface to PCMG described in Multigrid Preconditioners, there are interfaces to recover the various levels’ cycles and smoothers. The level smoothers may be accessed with

SNESFASGetSmoother(SNES snes, PetscInt level, SNES *smooth);
SNESFASGetSmootherUp(SNES snes, PetscInt level, SNES *smooth);
SNESFASGetSmootherDown(SNES snes, PetscInt level, SNES *smooth);

and the level cycles with

SNESFASGetCycleSNES(SNES snes,PetscInt level,SNES *lsnes);.

Also akin to PCMG, the restriction and prolongation at a level may be acquired with

SNESFASGetInterpolation(SNES snes, PetscInt level, Mat *mat);
SNESFASGetRestriction(SNES snes, PetscInt level, Mat *mat);

In addition, FAS requires special restriction for solution-like variables, called injection. This may be set with

SNESFASGetInjection(SNES snes, PetscInt level, Mat *mat);.

The coarse solve context may be acquired with

SNESFASGetCoarseSolve(SNES snes, SNES *smooth);

Nonlinear Additive Schwarz#

Nonlinear Additive Schwarz methods (NASM) take a number of local nonlinear subproblems, solves them independently in parallel, and combines those solutions into a new approximate solution.

SNESNASMSetSubdomains(SNES snes,PetscInt n,SNES subsnes[],VecScatter iscatter[],VecScatter oscatter[],VecScatter gscatter[]);

allows for the user to create these local subdomains. Problems set up using the SNES DMDA interface are automatically decomposed. To begin, the type of subdomain updates to the whole solution are limited to two types borrowed from PCASM: PC_ASM_BASIC, in which the overlapping updates added. PC_ASM_RESTRICT updates in a nonoverlapping fashion. This may be set with

SNESNASMSetType(SNES snes,PCASMType type);.

SNESASPIN is a helper SNES type that sets up a nonlinearly preconditioned Newton’s method using NASM as the preconditioner.

General Options#

This section discusses options and routines that apply to all SNES solvers and problem classes. In particular, we focus on convergence tests, monitoring routines, and tools for checking derivative computations.

Convergence Tests#

Convergence of the nonlinear solvers can be detected in a variety of ways; the user can even specify a customized test, as discussed below. Most of the nonlinear solvers use SNESConvergenceTestDefault(), however, SNESNEWTONTR uses a method-specific additional convergence test as well. The convergence tests involves several parameters, which are set by default to values that should be reasonable for a wide range of problems. The user can customize the parameters to the problem at hand by using some of the following routines and options.

One method of convergence testing is to declare convergence when the norm of the change in the solution between successive iterations is less than some tolerance, stol. Convergence can also be determined based on the norm of the function. Such a test can use either the absolute size of the norm, atol, or its relative decrease, rtol, from an initial guess. The following routine sets these parameters, which are used in many of the default SNES convergence tests:

SNESSetTolerances(SNES snes,PetscReal atol,PetscReal rtol,PetscReal stol, PetscInt its,PetscInt fcts);

This routine also sets the maximum numbers of allowable nonlinear iterations, its, and function evaluations, fcts. The corresponding options database commands for setting these parameters are:

-snes_atol <atol>
-snes_rtol <rtol>
-snes_stol <stol>
-snes_max_it <its>
-snes_max_funcs <fcts>

A related routine is SNESGetTolerances().

Convergence tests for trust regions methods often use an additional parameter that indicates the minimum allowable trust region radius. The user can set this parameter with the option -snes_tr_tol <trtol> or with the routine

SNESSetTrustRegionTolerance(SNES snes,PetscReal trtol);

Users can set their own customized convergence tests in SNES by using the command

SNESSetConvergenceTest(SNES snes,PetscErrorCode (*test)(SNES snes,PetscInt it,PetscReal xnorm, PetscReal gnorm,PetscReal f,SNESConvergedReason reason, void *cctx),void *cctx,PetscErrorCode (*destroy)(void *cctx));

The final argument of the convergence test routine, cctx, denotes an optional user-defined context for private data. When solving systems of nonlinear equations, the arguments xnorm, gnorm, and f are the current iterate norm, current step norm, and function norm, respectively. SNESConvergedReason should be set positive for convergence and negative for divergence. See include/petscsnes.h for a list of values for SNESConvergedReason.

Convergence Monitoring#

By default the SNES solvers run silently without displaying information about the iterations. The user can initiate monitoring with the command

SNESMonitorSet(SNES snes,PetscErrorCode (*mon)(SNES,PetscInt its,PetscReal norm,void* mctx),void *mctx,PetscErrorCode (*monitordestroy)(void**));

The routine, mon, indicates a user-defined monitoring routine, where its and mctx respectively denote the iteration number and an optional user-defined context for private data for the monitor routine. The argument norm is the function norm.

The routine set by SNESMonitorSet() is called once after every successful step computation within the nonlinear solver. Hence, the user can employ this routine for any application-specific computations that should be done after the solution update. The option -snes_monitor activates the default SNES monitor routine, SNESMonitorDefault(), while -snes_monitor_lg_residualnorm draws a simple line graph of the residual norm’s convergence.

One can cancel hardwired monitoring routines for SNES at runtime with -snes_monitor_cancel.

As the Newton method converges so that the residual norm is small, say $10^{-10}$, many of the final digits printed with the -snes_monitor option are meaningless. Worse, they are different on different machines; due to different round-off rules used by, say, the IBM RS6000 and the Sun SPARC. This makes testing between different machines difficult. The option -snes_monitor_short causes PETSc to print fewer of the digits of the residual norm as it gets smaller; thus on most of the machines it will always print the same numbers making cross-process testing easier.

The routines

SNESGetSolution(SNES snes,Vec *x);
SNESGetFunction(SNES snes,Vec *r,void *ctx,int(**func)(SNES,Vec,Vec,void*));

return the solution vector and function vector from a SNES context. These routines are useful, for instance, if the convergence test requires some property of the solution or function other than those passed with routine arguments.

Checking Accuracy of Derivatives#

Since hand-coding routines for Jacobian matrix evaluation can be error prone, SNES provides easy-to-use support for checking these matrices against finite difference versions. In the simplest form of comparison, users can employ the option -snes_test_jacobian to compare the matrices at several points. Although not exhaustive, this test will generally catch obvious problems. One can compare the elements of the two matrices by using the option -snes_test_jacobian_view , which causes the two matrices to be printed to the screen.

Another means for verifying the correctness of a code for Jacobian computation is running the problem with either the finite difference or matrix-free variant, -snes_fd or -snes_mf; see Finite Difference Jacobian Approximations or Matrix-Free Methods. If a problem converges well with these matrix approximations but not with a user-provided routine, the problem probably lies with the hand-coded matrix. See the note in Jacobian Evaluation about assembling your Jabobian in the “preconditioner” slot Pmat.

The correctness of user provided MATSHELL Jacobians in general can be checked with MatShellTestMultTranspose() and MatShellTestMult().

The correctness of user provided MATSHELL Jacobians via TSSetRHSJacobian() can be checked with TSRHSJacobianTestTranspose() and TSRHSJacobianTest() that check the correction of the matrix-transpose vector product and the matrix-product. From the command line, these can be checked with

-ts_rhs_jacobian_test_mult_transpose
-mat_shell_test_mult_transpose_view
-ts_rhs_jacobian_test_mult
-mat_shell_test_mult_view

Inexact Newton-like Methods#

Since exact solution of the linear Newton systems within (4) at each iteration can be costly, modifications are often introduced that significantly reduce these expenses and yet retain the rapid convergence of Newton’s method. Inexact or truncated Newton techniques approximately solve the linear systems using an iterative scheme. In comparison with using direct methods for solving the Newton systems, iterative methods have the virtue of requiring little space for matrix storage and potentially saving significant computational work. Within the class of inexact Newton methods, of particular interest are Newton-Krylov methods, where the subsidiary iterative technique for solving the Newton system is chosen from the class of Krylov subspace projection methods. Note that at runtime the user can set any of the linear solver options discussed in KSP: Linear System Solvers, such as -ksp_type <ksp_method> and -pc_type <pc_method>, to set the Krylov subspace and preconditioner methods.

Two levels of iterations occur for the inexact techniques, where during each global or outer Newton iteration a sequence of subsidiary inner iterations of a linear solver is performed. Appropriate control of the accuracy to which the subsidiary iterative method solves the Newton system at each global iteration is critical, since these inner iterations determine the asymptotic convergence rate for inexact Newton techniques. While the Newton systems must be solved well enough to retain fast local convergence of the Newton’s iterates, use of excessive inner iterations, particularly when $\| \mathbf{x}_k - \mathbf{x}_* \|$ is large, is neither necessary nor economical. Thus, the number of required inner iterations typically increases as the Newton process progresses, so that the truncated iterates approach the true Newton iterates.

A sequence of nonnegative numbers $\{\eta_k\}$ can be used to indicate the variable convergence criterion. In this case, when solving a system of nonlinear equations, the update step of the Newton process remains unchanged, and direct solution of the linear system is replaced by iteration on the system until the residuals

\[\mathbf{r}_k^{(i)} = \mathbf{F}'(\mathbf{x}_k) \Delta \mathbf{x}_k + \mathbf{F}(\mathbf{x}_k) \]

satisfy

\[\frac{ \| \mathbf{r}_k^{(i)} \| }{ \| \mathbf{F}(\mathbf{x}_k) \| } \leq \eta_k \leq \eta < 1. \]

Here $\mathbf{x}_0$ is an initial approximation of the solution, and $\| \cdot \|$ denotes an arbitrary norm in $\Re^n$ .

By default a constant relative convergence tolerance is used for solving the subsidiary linear systems within the Newton-like methods of SNES. When solving a system of nonlinear equations, one can instead employ the techniques of Eisenstat and Walker [EW96] to compute $\eta_k$ at each step of the nonlinear solver by using the option -snes_ksp_ew . In addition, by adding one’s own KSP convergence test (see Convergence Tests), one can easily create one’s own, problem-dependent, inner convergence tests.

Matrix-Free Methods#

The SNES class fully supports matrix-free methods. The matrices specified in the Jacobian evaluation routine need not be conventional matrices; instead, they can point to the data required to implement a particular matrix-free method. The matrix-free variant is allowed only when the linear systems are solved by an iterative method in combination with no preconditioning (PCNONE or -pc_type none), a user-provided preconditioner matrix, or a user-provided preconditioner shell (PCSHELL, discussed in Preconditioners); that is, obviously matrix-free methods cannot be used with a direct solver, approximate factorization, or other preconditioner which requires access to explicit matrix entries.

The user can create a matrix-free context for use within SNES with the routine

MatCreateSNESMF(SNES snes,Mat *mat);

This routine creates the data structures needed for the matrix-vector products that arise within Krylov space iterative methods [BS90]. The default SNES matrix-free approximations can also be invoked with the command -snes_mf. Or, one can retain the user-provided Jacobian preconditioner, but replace the user-provided Jacobian matrix with the default matrix free variant with the option -snes_mf_operator.

MatCreateSNESMF() uses

MatCreateMFFD(Vec x, Mat *mat);

which can also be used directly for users who need a matrix-free matrix but are not using SNES.

The user can set one parameter to control the Jacobian-vector product approximation with the command

MatMFFDSetFunctionError(Mat mat,PetscReal rerror);

The parameter rerror should be set to the square root of the relative error in the function evaluations, $e_{rel}$; the default is the square root of machine epsilon (about $10^{-8}$ in double precision), which assumes that the functions are evaluated to full floating-point precision accuracy. This parameter can also be set from the options database with -mat_mffd_err <err>

In addition, PETSc provides ways to register new routines to compute the differencing parameter ($h$); see the manual page for MatMFFDSetType() and MatMFFDRegister(). We currently provide two default routines accessible via -mat_mffd_type <ds or wp>. For the default approach there is one “tuning” parameter, set with

MatMFFDDSSetUmin(Mat mat,PetscReal umin);

This parameter, umin (or $u_{min}$), is a bit involved; its default is $10^{-6}$ . Its command line form is -mat_mffd_umin <umin>.

The Jacobian-vector product is approximated via the formula

\[F'(u) a \approx \frac{F(u + h*a) - F(u)}{h} \]

where $h$ is computed via

\[h = e_{\text{rel}} \cdot \begin{cases} u^{T}a/\lVert a \rVert^2_2 & \text{if $|u^T a| > u_{\min} \lVert a \rVert_{1}$} \\ u_{\min} \operatorname{sign}(u^{T}a) \lVert a \rVert_{1}/\lVert a\rVert^2_2 & \text{otherwise}. \end{cases}\]

This approach is taken from Brown and Saad [BS90]. The second approach, taken from Walker and Pernice, [PW98], computes $h$ via

\[\begin{aligned} h = \frac{\sqrt{1 + ||u||}e_{rel}}{||a||}\end{aligned}\]

This has no tunable parameters, but note that inside the nonlinear solve for the entire linear iterative process $u$ does not change hence $\sqrt{1 + ||u||}$ need be computed only once. This information may be set with the options

MatMFFDWPSetComputeNormU(Mat mat,PetscBool );

or -mat_mffd_compute_normu <true or false>. This information is used to eliminate the redundant computation of these parameters, therefore reducing the number of collective operations and improving the efficiency of the application code. This takes place automatically for the PETSc GMRES solver with left preconditioning.

It is also possible to monitor the differencing parameters h that are computed via the routines

MatMFFDSetHHistory(Mat,PetscScalar *,int);
MatMFFDResetHHistory(Mat,PetscScalar *,int);
MatMFFDGetH(Mat,PetscScalar *);

We include an explicit example of using matrix-free methods in ex3.c. Note that by using the option -snes_mf one can easily convert any SNES code to use a matrix-free Newton-Krylov method without a preconditioner. As shown in this example, SNESSetFromOptions() must be called after SNESSetJacobian() to enable runtime switching between the user-specified Jacobian and the default SNES matrix-free form.

Listing: src/snes/tutorials/ex3.c

static char help[] = "Newton methods to solve u'' + u^{2} = f in parallel.\n\
This example employs a user-defined monitoring routine and optionally a user-defined\n\
routine to check candidate iterates produced by line search routines.\n\
The command line options include:\n\
  -pre_check_iterates : activate checking of iterates\n\
  -post_check_iterates : activate checking of iterates\n\
  -check_tol <tol>: set tolerance for iterate checking\n\
  -user_precond : activate a (trivial) user-defined preconditioner\n\n";

/*
   Include "petscdm.h" so that we can use data management objects (DMs)
   Include "petscdmda.h" so that we can use distributed arrays (DMDAs).
   Include "petscsnes.h" so that we can use SNES solvers.  Note that this
   file automatically includes:
     petscsys.h    - base PETSc routines
     petscvec.h    - vectors
     petscmat.h    - matrices
     petscis.h     - index sets
     petscksp.h    - Krylov subspace methods
     petscviewer.h - viewers
     petscpc.h     - preconditioners
     petscksp.h    - linear solvers
*/

#include <petscdm.h>
#include <petscdmda.h>
#include <petscsnes.h>

/*
   User-defined routines.
*/
PetscErrorCode FormJacobian(SNES, Vec, Mat, Mat, void *);
PetscErrorCode FormFunction(SNES, Vec, Vec, void *);
PetscErrorCode FormInitialGuess(Vec);
PetscErrorCode Monitor(SNES, PetscInt, PetscReal, void *);
PetscErrorCode PreCheck(SNESLineSearch, Vec, Vec, PetscBool *, void *);
PetscErrorCode PostCheck(SNESLineSearch, Vec, Vec, Vec, PetscBool *, PetscBool *, void *);
PetscErrorCode PostSetSubKSP(SNESLineSearch, Vec, Vec, Vec, PetscBool *, PetscBool *, void *);
PetscErrorCode MatrixFreePreconditioner(PC, Vec, Vec);

/*
   User-defined application context
*/
typedef struct {
  DM          da;    /* distributed array */
  Vec         F;     /* right-hand-side of PDE */
  PetscMPIInt rank;  /* rank of processor */
  PetscMPIInt size;  /* size of communicator */
  PetscReal   h;     /* mesh spacing */
  PetscBool   sjerr; /* if or not to test jacobian domain error */
} ApplicationCtx;

/*
   User-defined context for monitoring
*/
typedef struct {
  PetscViewer viewer;
} MonitorCtx;

/*
   User-defined context for checking candidate iterates that are
   determined by line search methods
*/
typedef struct {
  Vec             last_step; /* previous iterate */
  PetscReal       tolerance; /* tolerance for changes between successive iterates */
  ApplicationCtx *user;
} StepCheckCtx;

typedef struct {
  PetscInt its0; /* num of previous outer KSP iterations */
} SetSubKSPCtx;

int main(int argc, char **argv)
{
  SNES           snes;       /* SNES context */
  SNESLineSearch linesearch; /* SNESLineSearch context */
  Mat            J;          /* Jacobian matrix */
  ApplicationCtx ctx;        /* user-defined context */
  Vec            x, r, U, F; /* vectors */
  MonitorCtx     monP;       /* monitoring context */
  StepCheckCtx   checkP;     /* step-checking context */
  SetSubKSPCtx   checkP1;
  PetscBool      pre_check, post_check, post_setsubksp; /* flag indicating whether we're checking candidate iterates */
  PetscScalar    xp, *FF, *UU, none = -1.0;
  PetscInt       its, N = 5, i, maxit, maxf, xs, xm;
  PetscReal      abstol, rtol, stol, norm;
  PetscBool      flg, viewinitial = PETSC_FALSE;

  PetscFunctionBeginUser;
  PetscCall(PetscInitialize(&argc, &argv, (char *)0, help));
  PetscCallMPI(MPI_Comm_rank(PETSC_COMM_WORLD, &ctx.rank));
  PetscCallMPI(MPI_Comm_size(PETSC_COMM_WORLD, &ctx.size));
  PetscCall(PetscOptionsGetInt(NULL, NULL, "-n", &N, NULL));
  ctx.h     = 1.0 / (N - 1);
  ctx.sjerr = PETSC_FALSE;
  PetscCall(PetscOptionsGetBool(NULL, NULL, "-test_jacobian_domain_error", &ctx.sjerr, NULL));
  PetscCall(PetscOptionsGetBool(NULL, NULL, "-view_initial", &viewinitial, NULL));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Create nonlinear solver context
     - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  PetscCall(SNESCreate(PETSC_COMM_WORLD, &snes));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Create vector data structures; set function evaluation routine
     - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  /*
     Create distributed array (DMDA) to manage parallel grid and vectors
  */
  PetscCall(DMDACreate1d(PETSC_COMM_WORLD, DM_BOUNDARY_NONE, N, 1, 1, NULL, &ctx.da));
  PetscCall(DMSetFromOptions(ctx.da));
  PetscCall(DMSetUp(ctx.da));

  /*
     Extract global and local vectors from DMDA; then duplicate for remaining
     vectors that are the same types
  */
  PetscCall(DMCreateGlobalVector(ctx.da, &x));
  PetscCall(VecDuplicate(x, &r));
  PetscCall(VecDuplicate(x, &F));
  ctx.F = F;
  PetscCall(VecDuplicate(x, &U));

  /*
     Set function evaluation routine and vector.  Whenever the nonlinear
     solver needs to compute the nonlinear function, it will call this
     routine.
      - Note that the final routine argument is the user-defined
        context that provides application-specific data for the
        function evaluation routine.
  */
  PetscCall(SNESSetFunction(snes, r, FormFunction, &ctx));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Create matrix data structure; set Jacobian evaluation routine
     - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  PetscCall(MatCreate(PETSC_COMM_WORLD, &J));
  PetscCall(MatSetSizes(J, PETSC_DECIDE, PETSC_DECIDE, N, N));
  PetscCall(MatSetFromOptions(J));
  PetscCall(MatSeqAIJSetPreallocation(J, 3, NULL));
  PetscCall(MatMPIAIJSetPreallocation(J, 3, NULL, 3, NULL));

  /*
     Set Jacobian matrix data structure and default Jacobian evaluation
     routine.  Whenever the nonlinear solver needs to compute the
     Jacobian matrix, it will call this routine.
      - Note that the final routine argument is the user-defined
        context that provides application-specific data for the
        Jacobian evaluation routine.
  */
  PetscCall(SNESSetJacobian(snes, J, J, FormJacobian, &ctx));

  /*
     Optionally allow user-provided preconditioner
   */
  PetscCall(PetscOptionsHasName(NULL, NULL, "-user_precond", &flg));
  if (flg) {
    KSP ksp;
    PC  pc;
    PetscCall(SNESGetKSP(snes, &ksp));
    PetscCall(KSPGetPC(ksp, &pc));
    PetscCall(PCSetType(pc, PCSHELL));
    PetscCall(PCShellSetApply(pc, MatrixFreePreconditioner));
  }

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Customize nonlinear solver; set runtime options
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  /*
     Set an optional user-defined monitoring routine
  */
  PetscCall(PetscViewerDrawOpen(PETSC_COMM_WORLD, 0, 0, 0, 0, 400, 400, &monP.viewer));
  PetscCall(SNESMonitorSet(snes, Monitor, &monP, 0));

  /*
     Set names for some vectors to facilitate monitoring (optional)
  */
  PetscCall(PetscObjectSetName((PetscObject)x, "Approximate Solution"));
  PetscCall(PetscObjectSetName((PetscObject)U, "Exact Solution"));

  /*
     Set SNES/KSP/KSP/PC runtime options, e.g.,
         -snes_view -snes_monitor -ksp_type <ksp> -pc_type <pc>
  */
  PetscCall(SNESSetFromOptions(snes));

  /*
     Set an optional user-defined routine to check the validity of candidate
     iterates that are determined by line search methods
  */
  PetscCall(SNESGetLineSearch(snes, &linesearch));
  PetscCall(PetscOptionsHasName(NULL, NULL, "-post_check_iterates", &post_check));

  if (post_check) {
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Activating post step checking routine\n"));
    PetscCall(SNESLineSearchSetPostCheck(linesearch, PostCheck, &checkP));
    PetscCall(VecDuplicate(x, &(checkP.last_step)));

    checkP.tolerance = 1.0;
    checkP.user      = &ctx;

    PetscCall(PetscOptionsGetReal(NULL, NULL, "-check_tol", &checkP.tolerance, NULL));
  }

  PetscCall(PetscOptionsHasName(NULL, NULL, "-post_setsubksp", &post_setsubksp));
  if (post_setsubksp) {
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Activating post setsubksp\n"));
    PetscCall(SNESLineSearchSetPostCheck(linesearch, PostSetSubKSP, &checkP1));
  }

  PetscCall(PetscOptionsHasName(NULL, NULL, "-pre_check_iterates", &pre_check));
  if (pre_check) {
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Activating pre step checking routine\n"));
    PetscCall(SNESLineSearchSetPreCheck(linesearch, PreCheck, &checkP));
  }

  /*
     Print parameters used for convergence testing (optional) ... just
     to demonstrate this routine; this information is also printed with
     the option -snes_view
  */
  PetscCall(SNESGetTolerances(snes, &abstol, &rtol, &stol, &maxit, &maxf));
  PetscCall(PetscPrintf(PETSC_COMM_WORLD, "atol=%g, rtol=%g, stol=%g, maxit=%" PetscInt_FMT ", maxf=%" PetscInt_FMT "\n", (double)abstol, (double)rtol, (double)stol, maxit, maxf));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Initialize application:
     Store right-hand-side of PDE and exact solution
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  /*
     Get local grid boundaries (for 1-dimensional DMDA):
       xs, xm - starting grid index, width of local grid (no ghost points)
  */
  PetscCall(DMDAGetCorners(ctx.da, &xs, NULL, NULL, &xm, NULL, NULL));

  /*
     Get pointers to vector data
  */
  PetscCall(DMDAVecGetArray(ctx.da, F, &FF));
  PetscCall(DMDAVecGetArray(ctx.da, U, &UU));

  /*
     Compute local vector entries
  */
  xp = ctx.h * xs;
  for (i = xs; i < xs + xm; i++) {
    FF[i] = 6.0 * xp + PetscPowScalar(xp + 1.e-12, 6.0); /* +1.e-12 is to prevent 0^6 */
    UU[i] = xp * xp * xp;
    xp += ctx.h;
  }

  /*
     Restore vectors
  */
  PetscCall(DMDAVecRestoreArray(ctx.da, F, &FF));
  PetscCall(DMDAVecRestoreArray(ctx.da, U, &UU));
  if (viewinitial) {
    PetscCall(VecView(U, 0));
    PetscCall(VecView(F, 0));
  }

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Evaluate initial guess; then solve nonlinear system
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  /*
     Note: The user should initialize the vector, x, with the initial guess
     for the nonlinear solver prior to calling SNESSolve().  In particular,
     to employ an initial guess of zero, the user should explicitly set
     this vector to zero by calling VecSet().
  */
  PetscCall(FormInitialGuess(x));
  PetscCall(SNESSolve(snes, NULL, x));
  PetscCall(SNESGetIterationNumber(snes, &its));
  PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Number of SNES iterations = %" PetscInt_FMT "\n", its));

  /* - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     Check solution and clean up
   - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - */

  /*
     Check the error
  */
  PetscCall(VecAXPY(x, none, U));
  PetscCall(VecNorm(x, NORM_2, &norm));
  PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Norm of error %g Iterations %" PetscInt_FMT "\n", (double)norm, its));
  if (ctx.sjerr) {
    SNESType snestype;
    PetscCall(SNESGetType(snes, &snestype));
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "SNES Type %s\n", snestype));
  }

  /*
     Free work space.  All PETSc objects should be destroyed when they
     are no longer needed.
  */
  PetscCall(PetscViewerDestroy(&monP.viewer));
  if (post_check) PetscCall(VecDestroy(&checkP.last_step));
  PetscCall(VecDestroy(&x));
  PetscCall(VecDestroy(&r));
  PetscCall(VecDestroy(&U));
  PetscCall(VecDestroy(&F));
  PetscCall(MatDestroy(&J));
  PetscCall(SNESDestroy(&snes));
  PetscCall(DMDestroy(&ctx.da));
  PetscCall(PetscFinalize());
  return 0;
}

/* ------------------------------------------------------------------- */
/*
   FormInitialGuess - Computes initial guess.

   Input/Output Parameter:
.  x - the solution vector
*/
PetscErrorCode FormInitialGuess(Vec x)
{
  PetscScalar pfive = .50;

  PetscFunctionBeginUser;
  PetscCall(VecSet(x, pfive));
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   FormFunction - Evaluates nonlinear function, F(x).

   Input Parameters:
.  snes - the SNES context
.  x - input vector
.  ctx - optional user-defined context, as set by SNESSetFunction()

   Output Parameter:
.  f - function vector

   Note:
   The user-defined context can contain any application-specific
   data needed for the function evaluation.
*/
PetscErrorCode FormFunction(SNES snes, Vec x, Vec f, void *ctx)
{
  ApplicationCtx    *user = (ApplicationCtx *)ctx;
  DM                 da   = user->da;
  PetscScalar       *ff, d;
  const PetscScalar *xx, *FF;
  PetscInt           i, M, xs, xm;
  Vec                xlocal;

  PetscFunctionBeginUser;
  PetscCall(DMGetLocalVector(da, &xlocal));
  /*
     Scatter ghost points to local vector, using the 2-step process
        DMGlobalToLocalBegin(), DMGlobalToLocalEnd().
     By placing code between these two statements, computations can
     be done while messages are in transition.
  */
  PetscCall(DMGlobalToLocalBegin(da, x, INSERT_VALUES, xlocal));
  PetscCall(DMGlobalToLocalEnd(da, x, INSERT_VALUES, xlocal));

  /*
     Get pointers to vector data.
       - The vector xlocal includes ghost point; the vectors x and f do
         NOT include ghost points.
       - Using DMDAVecGetArray() allows accessing the values using global ordering
  */
  PetscCall(DMDAVecGetArrayRead(da, xlocal, (void *)&xx));
  PetscCall(DMDAVecGetArray(da, f, &ff));
  PetscCall(DMDAVecGetArrayRead(da, user->F, (void *)&FF));

  /*
     Get local grid boundaries (for 1-dimensional DMDA):
       xs, xm  - starting grid index, width of local grid (no ghost points)
  */
  PetscCall(DMDAGetCorners(da, &xs, NULL, NULL, &xm, NULL, NULL));
  PetscCall(DMDAGetInfo(da, NULL, &M, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL));

  /*
     Set function values for boundary points; define local interior grid point range:
        xsi - starting interior grid index
        xei - ending interior grid index
  */
  if (xs == 0) { /* left boundary */
    ff[0] = xx[0];
    xs++;
    xm--;
  }
  if (xs + xm == M) { /* right boundary */
    ff[xs + xm - 1] = xx[xs + xm - 1] - 1.0;
    xm--;
  }

  /*
     Compute function over locally owned part of the grid (interior points only)
  */
  d = 1.0 / (user->h * user->h);
  for (i = xs; i < xs + xm; i++) ff[i] = d * (xx[i - 1] - 2.0 * xx[i] + xx[i + 1]) + xx[i] * xx[i] - FF[i];

  /*
     Restore vectors
  */
  PetscCall(DMDAVecRestoreArrayRead(da, xlocal, (void *)&xx));
  PetscCall(DMDAVecRestoreArray(da, f, &ff));
  PetscCall(DMDAVecRestoreArrayRead(da, user->F, (void *)&FF));
  PetscCall(DMRestoreLocalVector(da, &xlocal));
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   FormJacobian - Evaluates Jacobian matrix.

   Input Parameters:
.  snes - the SNES context
.  x - input vector
.  dummy - optional user-defined context (not used here)

   Output Parameters:
.  jac - Jacobian matrix
.  B - optionally different preconditioning matrix
.  flag - flag indicating matrix structure
*/
PetscErrorCode FormJacobian(SNES snes, Vec x, Mat jac, Mat B, void *ctx)
{
  ApplicationCtx *user = (ApplicationCtx *)ctx;
  PetscScalar    *xx, d, A[3];
  PetscInt        i, j[3], M, xs, xm;
  DM              da = user->da;

  PetscFunctionBeginUser;
  if (user->sjerr) {
    PetscCall(SNESSetJacobianDomainError(snes));
    PetscFunctionReturn(PETSC_SUCCESS);
  }
  /*
     Get pointer to vector data
  */
  PetscCall(DMDAVecGetArrayRead(da, x, &xx));
  PetscCall(DMDAGetCorners(da, &xs, NULL, NULL, &xm, NULL, NULL));

  /*
    Get range of locally owned matrix
  */
  PetscCall(DMDAGetInfo(da, NULL, &M, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL, NULL));

  /*
     Determine starting and ending local indices for interior grid points.
     Set Jacobian entries for boundary points.
  */

  if (xs == 0) { /* left boundary */
    i    = 0;
    A[0] = 1.0;

    PetscCall(MatSetValues(jac, 1, &i, 1, &i, A, INSERT_VALUES));
    xs++;
    xm--;
  }
  if (xs + xm == M) { /* right boundary */
    i    = M - 1;
    A[0] = 1.0;
    PetscCall(MatSetValues(jac, 1, &i, 1, &i, A, INSERT_VALUES));
    xm--;
  }

  /*
     Interior grid points
      - Note that in this case we set all elements for a particular
        row at once.
  */
  d = 1.0 / (user->h * user->h);
  for (i = xs; i < xs + xm; i++) {
    j[0] = i - 1;
    j[1] = i;
    j[2] = i + 1;
    A[0] = A[2] = d;
    A[1]        = -2.0 * d + 2.0 * xx[i];
    PetscCall(MatSetValues(jac, 1, &i, 3, j, A, INSERT_VALUES));
  }

  /*
     Assemble matrix, using the 2-step process:
       MatAssemblyBegin(), MatAssemblyEnd().
     By placing code between these two statements, computations can be
     done while messages are in transition.

     Also, restore vector.
  */

  PetscCall(MatAssemblyBegin(jac, MAT_FINAL_ASSEMBLY));
  PetscCall(DMDAVecRestoreArrayRead(da, x, &xx));
  PetscCall(MatAssemblyEnd(jac, MAT_FINAL_ASSEMBLY));

  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   Monitor - Optional user-defined monitoring routine that views the
   current iterate with an x-window plot. Set by SNESMonitorSet().

   Input Parameters:
   snes - the SNES context
   its - iteration number
   norm - 2-norm function value (may be estimated)
   ctx - optional user-defined context for private data for the
         monitor routine, as set by SNESMonitorSet()

   Note:
   See the manpage for PetscViewerDrawOpen() for useful runtime options,
   such as -nox to deactivate all x-window output.
 */
PetscErrorCode Monitor(SNES snes, PetscInt its, PetscReal fnorm, void *ctx)
{
  MonitorCtx *monP = (MonitorCtx *)ctx;
  Vec         x;

  PetscFunctionBeginUser;
  PetscCall(PetscPrintf(PETSC_COMM_WORLD, "iter = %" PetscInt_FMT ",SNES Function norm %g\n", its, (double)fnorm));
  PetscCall(SNESGetSolution(snes, &x));
  PetscCall(VecView(x, monP->viewer));
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   PreCheck - Optional user-defined routine that checks the validity of
   candidate steps of a line search method.  Set by SNESLineSearchSetPreCheck().

   Input Parameters:
   snes - the SNES context
   xcurrent - current solution
   y - search direction and length

   Output Parameters:
   y         - proposed step (search direction and length) (possibly changed)
   changed_y - tells if the step has changed or not
 */
PetscErrorCode PreCheck(SNESLineSearch linesearch, Vec xcurrent, Vec y, PetscBool *changed_y, void *ctx)
{
  PetscFunctionBeginUser;
  *changed_y = PETSC_FALSE;
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   PostCheck - Optional user-defined routine that checks the validity of
   candidate steps of a line search method.  Set by SNESLineSearchSetPostCheck().

   Input Parameters:
   snes - the SNES context
   ctx  - optional user-defined context for private data for the
          monitor routine, as set by SNESLineSearchSetPostCheck()
   xcurrent - current solution
   y - search direction and length
   x    - the new candidate iterate

   Output Parameters:
   y    - proposed step (search direction and length) (possibly changed)
   x    - current iterate (possibly modified)

 */
PetscErrorCode PostCheck(SNESLineSearch linesearch, Vec xcurrent, Vec y, Vec x, PetscBool *changed_y, PetscBool *changed_x, void *ctx)
{
  PetscInt        i, iter, xs, xm;
  StepCheckCtx   *check;
  ApplicationCtx *user;
  PetscScalar    *xa, *xa_last, tmp;
  PetscReal       rdiff;
  DM              da;
  SNES            snes;

  PetscFunctionBeginUser;
  *changed_x = PETSC_FALSE;
  *changed_y = PETSC_FALSE;

  PetscCall(SNESLineSearchGetSNES(linesearch, &snes));
  check = (StepCheckCtx *)ctx;
  user  = check->user;
  PetscCall(SNESGetIterationNumber(snes, &iter));

  /* iteration 1 indicates we are working on the second iteration */
  if (iter > 0) {
    da = user->da;
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "Checking candidate step at iteration %" PetscInt_FMT " with tolerance %g\n", iter, (double)check->tolerance));

    /* Access local array data */
    PetscCall(DMDAVecGetArray(da, check->last_step, &xa_last));
    PetscCall(DMDAVecGetArray(da, x, &xa));
    PetscCall(DMDAGetCorners(da, &xs, NULL, NULL, &xm, NULL, NULL));

    /*
       If we fail the user-defined check for validity of the candidate iterate,
       then modify the iterate as we like.  (Note that the particular modification
       below is intended simply to demonstrate how to manipulate this data, not
       as a meaningful or appropriate choice.)
    */
    for (i = xs; i < xs + xm; i++) {
      if (!PetscAbsScalar(xa[i])) rdiff = 2 * check->tolerance;
      else rdiff = PetscAbsScalar((xa[i] - xa_last[i]) / xa[i]);
      if (rdiff > check->tolerance) {
        tmp        = xa[i];
        xa[i]      = .5 * (xa[i] + xa_last[i]);
        *changed_x = PETSC_TRUE;
        PetscCall(PetscPrintf(PETSC_COMM_WORLD, "  Altering entry %" PetscInt_FMT ": x=%g, x_last=%g, diff=%g, x_new=%g\n", i, (double)PetscAbsScalar(tmp), (double)PetscAbsScalar(xa_last[i]), (double)rdiff, (double)PetscAbsScalar(xa[i])));
      }
    }
    PetscCall(DMDAVecRestoreArray(da, check->last_step, &xa_last));
    PetscCall(DMDAVecRestoreArray(da, x, &xa));
  }
  PetscCall(VecCopy(x, check->last_step));
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   PostSetSubKSP - Optional user-defined routine that reset SubKSP options when hierarchical bjacobi PC is used
   e.g,
     mpiexec -n 8 ./ex3 -nox -n 10000 -ksp_type fgmres -pc_type bjacobi -pc_bjacobi_blocks 4 -sub_ksp_type gmres -sub_ksp_max_it 3 -post_setsubksp -sub_ksp_rtol 1.e-16
   Set by SNESLineSearchSetPostCheck().

   Input Parameters:
   linesearch - the LineSearch context
   xcurrent - current solution
   y - search direction and length
   x    - the new candidate iterate

   Output Parameters:
   y    - proposed step (search direction and length) (possibly changed)
   x    - current iterate (possibly modified)

 */
PetscErrorCode PostSetSubKSP(SNESLineSearch linesearch, Vec xcurrent, Vec y, Vec x, PetscBool *changed_y, PetscBool *changed_x, void *ctx)
{
  SetSubKSPCtx *check;
  PetscInt      iter, its, sub_its, maxit;
  KSP           ksp, sub_ksp, *sub_ksps;
  PC            pc;
  PetscReal     ksp_ratio;
  SNES          snes;

  PetscFunctionBeginUser;
  PetscCall(SNESLineSearchGetSNES(linesearch, &snes));
  check = (SetSubKSPCtx *)ctx;
  PetscCall(SNESGetIterationNumber(snes, &iter));
  PetscCall(SNESGetKSP(snes, &ksp));
  PetscCall(KSPGetPC(ksp, &pc));
  PetscCall(PCBJacobiGetSubKSP(pc, NULL, NULL, &sub_ksps));
  sub_ksp = sub_ksps[0];
  PetscCall(KSPGetIterationNumber(ksp, &its));         /* outer KSP iteration number */
  PetscCall(KSPGetIterationNumber(sub_ksp, &sub_its)); /* inner KSP iteration number */

  if (iter) {
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "    ...PostCheck snes iteration %" PetscInt_FMT ", ksp_it %" PetscInt_FMT " %" PetscInt_FMT ", subksp_it %" PetscInt_FMT "\n", iter, check->its0, its, sub_its));
    ksp_ratio = ((PetscReal)(its)) / check->its0;
    maxit     = (PetscInt)(ksp_ratio * sub_its + 0.5);
    if (maxit < 2) maxit = 2;
    PetscCall(KSPSetTolerances(sub_ksp, PETSC_DEFAULT, PETSC_DEFAULT, PETSC_DEFAULT, maxit));
    PetscCall(PetscPrintf(PETSC_COMM_WORLD, "    ...ksp_ratio %g, new maxit %" PetscInt_FMT "\n\n", (double)ksp_ratio, maxit));
  }
  check->its0 = its; /* save current outer KSP iteration number */
  PetscFunctionReturn(PETSC_SUCCESS);
}

/* ------------------------------------------------------------------- */
/*
   MatrixFreePreconditioner - This routine demonstrates the use of a
   user-provided preconditioner.  This code implements just the null
   preconditioner, which of course is not recommended for general use.

   Input Parameters:
+  pc - preconditioner
-  x - input vector

   Output Parameter:
.  y - preconditioned vector
*/
PetscErrorCode MatrixFreePreconditioner(PC pc, Vec x, Vec y)
{
  PetscFunctionBeginUser;
  PetscCall(VecCopy(x, y));
  PetscFunctionReturn(PETSC_SUCCESS);
}

Table Jacobian Options summarizes the various matrix situations that SNES supports. In particular, different linear system matrices and preconditioning matrices are allowed, as well as both matrix-free and application-provided preconditioners. If ex3.c is run with the options -snes_mf and -user_precond then it uses a matrix-free application of the matrix-vector multiple and a user provided matrix free Jacobian.

Table 12 Jacobian Options#
Matrix Use	Conventional Matrix Formats	Matrix-free versions
Jacobian Matrix	Create matrix with `MatCreate()`$^*$. Assemble matrix with user-defined routine $^\dagger$	Create matrix with `MatCreateShell()`. Use `MatShellSetOperation()` to set various matrix actions, or use `MatCreateMFFD()` or `MatCreateSNESMF()`.
Preconditioning Matrix	Create matrix with `MatCreate()`$^*$. Assemble matrix with user-defined routine $^\dagger$	Use `SNESGetKSP()` and `KSPGetPC()` to access the `PC`, then use `PCSetType(pc, PCSHELL)` followed by `PCShellSetApply()`.

$^*$ Use either the generic MatCreate() or a format-specific variant such as MatCreateAIJ().

$^\dagger$ Set user-defined matrix formation routine with SNESSetJacobian() or with a DM variant such as DMDASNESSetJacobianLocal()

SNES also provides some less well-integrated code to apply matrix-free finite differencing using an automatically computed measurement of the noise of the functions. This can be selected with -snes_mf_version 2; it does not use MatCreateMFFD() but has similar options that start with -snes_mf_ instead of -mat_mffd_. Note that this alternative prefix only works for version 2 differencing.

Finite Difference Jacobian Approximations#

PETSc provides some tools to help approximate the Jacobian matrices efficiently via finite differences. These tools are intended for use in certain situations where one is unable to compute Jacobian matrices analytically, and matrix-free methods do not work well without a preconditioner, due to very poor conditioning. The approximation requires several steps:

First, one colors the columns of the (not yet built) Jacobian matrix, so that columns of the same color do not share any common rows.
Next, one creates a MatFDColoring data structure that will be used later in actually computing the Jacobian.
Finally, one tells the nonlinear solvers of SNES to use the SNESComputeJacobianDefaultColor() routine to compute the Jacobians.

A code fragment that demonstrates this process is given below.

ISColoring    iscoloring;
MatFDColoring fdcoloring;
MatColoring   coloring;

/*
  This initializes the nonzero structure of the Jacobian. This is artificial
  because clearly if we had a routine to compute the Jacobian we wouldn't
  need to use finite differences.
*/
FormJacobian(snes,x, &J, &J, &user);

/*
   Color the matrix, i.e. determine groups of columns that share no common
  rows. These columns in the Jacobian can all be computed simultaneously.
*/
MatColoringCreate(J, &coloring);
MatColoringSetType(coloring,MATCOLORINGSL);
MatColoringSetFromOptions(coloring);
MatColoringApply(coloring, &iscoloring);
MatColoringDestroy(&coloring);
/*
   Create the data structure that SNESComputeJacobianDefaultColor() uses
   to compute the actual Jacobians via finite differences.
*/
MatFDColoringCreate(J,iscoloring, &fdcoloring);
ISColoringDestroy(&iscoloring);
MatFDColoringSetFunction(fdcoloring,(PetscErrorCode (*)(void))FormFunction, &user);
MatFDColoringSetFromOptions(fdcoloring);

/*
  Tell SNES to use the routine SNESComputeJacobianDefaultColor()
  to compute Jacobians.
*/
SNESSetJacobian(snes,J,J,SNESComputeJacobianDefaultColor,fdcoloring);

Of course, we are cheating a bit. If we do not have an analytic formula for computing the Jacobian, then how do we know what its nonzero structure is so that it may be colored? Determining the structure is problem dependent, but fortunately, for most structured grid problems (the class of problems for which PETSc was originally designed) if one knows the stencil used for the nonlinear function one can usually fairly easily obtain an estimate of the location of nonzeros in the matrix. This is harder in the unstructured case, but one typically knows where the nonzero entries are from the mesh topology and distribution of degrees of freedom. If using DMPlex (DMPlex: Unstructured Grids) for unstructured meshes, the nonzero locations will be identified in DMCreateMatrix() and the procedure above can be used. Most external packages for unstructured meshes have similar functionality.

One need not necessarily use a MatColoring object to determine a coloring. For example, if a grid can be colored directly (without using the associated matrix), then that coloring can be provided to MatFDColoringCreate(). Note that the user must always preset the nonzero structure in the matrix regardless of which coloring routine is used.

PETSc provides the following coloring algorithms, which can be selected using MatColoringSetType() or via the command line argument -mat_coloring_type.

Algorithm	`MatColoringType`	`-mat_coloring_type`	Parallel
smallest-last [MoreSGH84]	`MATCOLORINGSL`	`sl`	No
largest-first [MoreSGH84]	`MATCOLORINGLF`	`lf`	No
incidence-degree [MoreSGH84]	`MATCOLORINGID`	`id`	No
Jones-Plassmann [JP93]	`MATCOLORINGJP`	`jp`	Yes
Greedy	`MATCOLORINGGREEDY`	`greedy`	Yes
Natural (1 color per column)	`MATCOLORINGNATURAL`	`natural`	Yes
Power ($A^k$ followed by 1-coloring)	`MATCOLORINGPOWER`	`power`	Yes

As for the matrix-free computation of Jacobians (Matrix-Free Methods), two parameters affect the accuracy of the finite difference Jacobian approximation. These are set with the command

MatFDColoringSetParameters(MatFDColoring fdcoloring,PetscReal rerror,PetscReal umin);

The parameter rerror is the square root of the relative error in the function evaluations, $e_{rel}$; the default is the square root of machine epsilon (about $10^{-8}$ in double precision), which assumes that the functions are evaluated approximately to floating-point precision accuracy. The second parameter, umin, is a bit more involved; its default is $10e^{-6}$ . Column $i$ of the Jacobian matrix (denoted by $F_{:i}$) is approximated by the formula

\[F'_{:i} \approx \frac{F(u + h*dx_{i}) - F(u)}{h} \]

where $h$ is computed via:

\[h = e_{\text{rel}} \cdot \begin{cases} u_{i} & \text{if $|u_{i}| > u_{\min}$} \\ u_{\min} \cdot \operatorname{sign}(u_{i}) & \text{otherwise}. \end{cases}\]

for MATMFFD_DS or:

\[h = e_{\text{rel}} \sqrt(\|u\|)\]

for MATMFFD_WP (default). These parameters may be set from the options database with

-mat_fd_coloring_err <err>
-mat_fd_coloring_umin <umin>
-mat_fd_type <htype>

Note that MatColoring type MATCOLORINGSL, MATCOLORINGLF, and MATCOLORINGID are sequential algorithms. MATCOLORINGJP and MATCOLORINGGREEDY are parallel algorithms, although in practice they may create more colors than the sequential algorithms. If one computes the coloring iscoloring reasonably with a parallel algorithm or by knowledge of the discretization, the routine MatFDColoringCreate() is scalable. An example of this for 2D distributed arrays is given below that uses the utility routine DMCreateColoring().

DMCreateColoring(da,IS_COLORING_GHOSTED, &iscoloring);
MatFDColoringCreate(J,iscoloring, &fdcoloring);
MatFDColoringSetFromOptions(fdcoloring);
ISColoringDestroy( &iscoloring);

Note that the routine MatFDColoringCreate() currently is only supported for the AIJ and BAIJ matrix formats.

Variational Inequalities#

SNES can also solve (differential) variational inequalities with box (bound) constraints. These are nonlinear algebraic systems with additional inequality constraints on some or all of the variables: $L_i \le u_i \le H_i$. For example, the pressure variable cannot be negative. Some, or all, of the lower bounds may be negative infinity (indicated to PETSc with SNES_VI_NINF) and some, or all, of the upper bounds may be infinity (indicated by SNES_VI_INF). The commands

SNESVISetVariableBounds(SNES,Vec L,Vec H);
SNESVISetComputeVariableBounds(SNES snes, PetscErrorCode (*compute)(SNES,Vec,Vec))

are used to indicate that one is solving a variational inequality. Problems with box constraints can be solved with the reduced space, SNESVINEWTONRSLS, and semi-smooth SNESVINEWTONSSLS solvers.

The option -snes_vi_monitor turns on extra monitoring of the active set associated with the bounds and -snes_vi_type allows selecting from several VI solvers, the default is preferred.

SNESLineSearchSetPreCheck() and SNESLineSearchSetPostCheck() can also be used to control properties of the steps selected by SNES.

Nonlinear Preconditioning#

The mathematical framework of nonlinear preconditioning is explained in detail in [BKST15]. Nonlinear preconditioning in PETSc involves the use of an inner SNES instance to define the step for an outer SNES instance. The inner instance may be extracted using

SNESGetNPC(SNES snes,SNES *npc);

and passed run-time options using the -npc_ prefix. Nonlinear preconditioning comes in two flavors: left and right. The side may be changed using -snes_npc_side or SNESSetNPCSide(). Left nonlinear preconditioning redefines the nonlinear function as the action of the nonlinear preconditioner $\mathbf{M}$;

\[\mathbf{F}_{M}(x) = \mathbf{M}(\mathbf{x},\mathbf{b}) - \mathbf{x}. \]

Right nonlinear preconditioning redefines the nonlinear function as the function on the action of the nonlinear preconditioner;

\[\mathbf{F}(\mathbf{M}(\mathbf{x},\mathbf{b})) = \mathbf{b}, \]

which can be interpreted as putting the preconditioner into “striking distance” of the solution by outer acceleration.

In addition, basic patterns of solver composition are available with the SNESType SNESCOMPOSITE. This allows for two or more SNES instances to be combined additively or multiplicatively. By command line, a set of SNES types may be given by comma separated list argument to -snes_composite_sneses. There are additive (SNES_COMPOSITE_ADDITIVE), additive with optimal damping (SNES_COMPOSITE_ADDITIVEOPTIMAL), and multiplicative (SNES_COMPOSITE_MULTIPLICATIVE) variants which may be set with

SNESCompositeSetType(SNES,SNESCompositeType);

New subsolvers may be added to the composite solver with

SNESCompositeAddSNES(SNES,SNESType);

and accessed with

SNESCompositeGetSNES(SNES,PetscInt,SNES *);

BS90(1,2): Peter N. Brown and Youcef Saad. Hybrid Krylov methods for nonlinear systems of equations. SIAM J. Sci. Stat. Comput., 11:450–481, 1990.
BKST15: Peter R. Brune, Matthew G. Knepley, Barry F. Smith, and Xuemin Tu. Composing scalable nonlinear algebraic solvers. SIAM Review, 57(4):535–565, 2015. http://www.mcs.anl.gov/papers/P2010-0112.pdf. URL: http://www.mcs.anl.gov/papers/P2010-0112.pdf, doi:10.1137/130936725.
EW96: S. C. Eisenstat and H. F. Walker. Choosing the forcing terms in an inexact Newton method. SIAM J. Scientific Computing, 17:16–32, 1996.
JP93: Mark T. Jones and Paul E. Plassmann. A parallel graph coloring heuristic. SIAM J. Sci. Comput., 14(3):654–669, 1993.
MoreSGH84(1,2,3,4): Jorge J. Moré, Danny C. Sorenson, Burton S. Garbow, and Kenneth E. Hillstrom. The MINPACK project. In Wayne R. Cowell, editor, Sources and Development of Mathematical Software, 88–111. 1984.
PW98: M. Pernice and H. F. Walker. NITSOL: a Newton iterative solver for nonlinear systems. SIAM J. Sci. Stat. Comput., 19:302–318, 1998.
DennisJrS83: J. E. Dennis Jr. and Robert B. Schnabel. Numerical Methods for Unconstrained Optimization and Nonlinear Equations. Prentice-Hall, Inc., Englewood Cliffs, NJ, 1983.