MatCreateLMVMBFGS

Creates a limited-memory Broyden-Fletcher-Goldfarb-Shano (BFGS) matrix used for approximating Jacobians. L-BFGS is symmetric positive-definite by construction, and is commonly used to approximate Hessians in optimization problems.

Synopsis

#include "petscksp.h" 
PetscErrorCode MatCreateLMVMBFGS(MPI_Comm comm, PetscInt n, PetscInt N, Mat *B)

To use the L-BFGS matrix with other vector types, the matrix must be created using MatCreate() and MatSetType(), followed by MatLMVMAllocate(). This ensures that the internal storage and work vectors are duplicated from the correct type of vector.

Collective

Input Parameters

• comm - MPI communicator

• n - number of local rows for storage vectors

• N - global size of the storage vectors

Output Parameter

• B - the matrix

Options Database Keys

• -mat_lmvm_scale_type - (developer) type of scaling applied to J0 (none, scalar, diagonal)

• -mat_lmvm_theta - (developer) convex ratio between BFGS and DFP components of the diagonal J0 scaling

• -mat_lmvm_rho - (developer) update limiter for the J0 scaling

• -mat_lmvm_alpha - (developer) coefficient factor for the quadratic subproblem in J0 scaling

• -mat_lmvm_beta - (developer) exponential factor for the diagonal J0 scaling

• -mat_lmvm_sigma_hist - (developer) number of past updates to use in J0 scaling

Note

It is recommended that one use the MatCreate(), MatSetType() and/or MatSetFromOptions() paradigm instead of this routine directly.

See Also

KSP: Linear System Solvers, MatCreate(), MATLMVM, MATLMVMBFGS, MatCreateLMVMDFP(), MatCreateLMVMSR1(), MatCreateLMVMBrdn(), MatCreateLMVMBadBrdn(), MatCreateLMVMSymBrdn()

Level

intermediate

Location

src/ksp/ksp/utils/lmvm/bfgs/bfgs.c

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