MOOCHO and TSFCore
object-oriented software and interfaces for the
development of optimization and other advanced abstract
numerical algorithms
Roscoe A. Bartlett
Optimization and Uncertainty Estimation
Sandia National Laboratories
Sandia is a multiprogram laboratory operated by Sandia Corporation, a Lockheed Martin Company,
for the United States Department of Energy under contract DE-AC04-94AL85000.
Nonlinear Programming for Large-Scale Optimization
NLP formulation for Simulation-Driven Optimization
min f(y,u)
f(y,u) : Y U  R
s.t. c(y,u) = 0
c(y,u) : Y U  C
(yL, uL)  (y, u)  (yU, uU)
Y R m, U R n-m, C R m
y  Y : state variables
f(y,u) : objective function
u  U : design/control variables
c(y,u) : state (simulation) constriants
• Classes of problems considered:
•
•
•
•
Large-scale (up to 106 variables and more)
Special problem structure (e.g. PDEs, DAEs)
Application specific methods (e.g. linear solvers, nonlinear globalization)
Specialized computing environments (e.g. MPP, client/server, out-of-core)
• What we can not do:
• Use the current generation of optimization software to exploit problem structure
and take advantage of advanced computing environments
• What we do not want to do:
• Write a new optimization implementation for each piece of application software
• What we do want to do:
• Use gradient-based methods for simultaneous analysis and design (SAND)
NAND vs. SAND : Choosing the right approach
Nested Analysis
and Design
NAND
• Better scalability to large
design spaces
• More accurate solutions
• Algorithmic flexibility
• Less computer time
• Decreased impact to
existing code
• Ease of interfacing
• Nonsmooth behavior
Simultaneous Analysis
and Design
SAND
Introducing MOOCHO!
MOOCHO : Multifunctional Object-Oriented arCHitecture for Optimization
• Built using object-oriented principles
=> OO!
• Initially developed at CMU (rSQP++)
=> Good times!
• Active-set and interior-point SQP-related methods
=> Fast! or Fast?
• Open source (available soon?)
=> You can get it!
• Flexible algorithm configuration
=> You can alter it!
• Exchangeable numerical components
=> You can tailor it!
• Abstract linear-algebra interfaces (AbstractLinAlgPack)
=> You can parallelize it!
Nonlinear Equations : Foundation for many Problems!
Applications
• Discretized PDEs (e.g. finite element, finite volume, finite difference etc.)
• Network problems (e.g. electrical circuits)
Nonlinear Equations : Sensitivities
Related Algorithms
• Gradient-based optimization
• SAND
• NAND
• Nonlinear equations (NLS)
• Multidisciplinary analysis
• Linear (matrix) analysis
• Block iterative solvers
• Eigenvalue problems
• Uncertainty quantification
• SFE
• Stability analysis / continuation
• Transients (ODEs, DAEs)
B. van Bloemen Waanders, R. A. Bartlett, K. R. Long and P. T. Boggs. Large Scale Non-Linear Programming: PDE
Applications and Dynamical Systems, Sandia National Laboratories, SAND2002-3198, 2002
Applications, Algorithms, Linear-Algebra Software
 Computes functions
APP Interface
ANA
1
1
1
APP
1
1
1..*
1..*
Key points
1
LAL
1..*
1
Mat
Vec
Preconditioner
•
•
•
•
•
Complex algorithms
Complex software
Complex interfaces
Complex computers
Duplication of effort?
APP : Application: Defines data for the problem
(e.g. PDE or DAE model and discretization)
LAL : Linear-Algebra Library : Implements basic matrices, vector and algebraic precondtioners
(e.g. Epetra/Ifpack (Trilinos), PETSc etc.)
ANA : Abstract Numerical Algorithm : Solves the numerical problem
(e.g. optimization, nonlinear solvers, stability analysis, SFE, transient solvers etc.)
MOOCHO and TSFCore
TSFCore::Nonlin
 Computes functions
APP Interface
ANA
MOOCHO
NLPInterfacePack
1
1
1
TSFCore
APP
1..*
Key points
1..*
1
LAL
Mat
Vec
Preconditioner
• Maximizing development
AbstractLinAlgPack
impact
• Software can be run on more
sophisticated computers
• Fosters improved algorithm
development
TSFCore : Basic Linear Algebra Interfaces
OpBase
domain
range
space
VectorSpace
A Vector knows its
VectorSpaceMultiVector
<<create>>
1..*
columns
LinearOp
A linear operator is
a kind of operator
An operator knows
its domain and
range spaces
1
VectorSpaces
RTOpT
create Vectors!
Vector
Unified Modeling Langage (UML) Notation!
LinearOps apply to
Vectors
TSFCore : Basic Linear Algebra Interfaces
OpBase
domain
range
space
VectorSpace
MultiVector
<<create>>
1
LinearOp
Compatible with:
HCL (Hilbert Class Library)
SVL (Standard Vector Library)
Near optimal for many but not all
abstract numerical algorithms
(ANAs)
RTOpT
1..*
columns
Vector
TSFCore : Basic Linear Algebra Interfaces
OpBase
domain
range
space
VectorSpace
LinearOps apply to
MultiVectors
LinearOp
<<create>>
A MulitVector is a
linear operator!
MultiVector
1
VectorSpaces create
MultiVectors!
RTOpT
1..*
columns
Vector
A MulitVector is a
tall thin dense
matrix
A MulitVector has a
collection of column
vectors!
TSFCore : Basic Linear Algebra Interfaces
OpBase
domain
range
space
VectorSpace
LinearOp
<<create>>
MultiVector
1
1..*
columns
Vector
What about standard vector ops?
Reductions (norm, dot etc.)?
Transformations (axpy, scaling etc.)?
RTOpT
What about specialized vector ops?
e.g. Interior point methods for opt
TSFCore : Basic Linear Algebra Interfaces
OpBase
domain
range
space
VectorSpace
LinearOp
MultiVector
The Key to success!
1
RTOpT
1..*
columns
Vector
Reduction/Transformation Operators
• Supports all needed vector operations
• Data/parallel independence
• Optimal performance
Challenge to interoperability?
R. A. Bartlett, B. G. van Bloemen Waanders and M. A. Heroux. Vector Reduction/Transformation Operators,
Accepted to ACM TOMS, 2003
TSFCore : Basic Linear Algebra Interfaces
smallVecSpcFcty
TSFCore::VectorSpaceFactory
createVecSpc(in dim : int) : VectorSpace
«create»
TSFCore::VectorSpace
TSFCore::OpBase
dim : int
space
createMember() : Vector
createMembers(in numMembers : int) : MultiVector
isCompatible(in vecSpc : VectorSpace) : bool
scalarProd(in x : Vector, in y : Vector) : Scalar
opSupported(in M_trans) : bool
domain
Adjoints supported but
are optional!
range
«create»
TSFCore::LinearOp
apply(in M_trans, in x : Vector, out y : Vector, in ...)
apply(in M_trans, in X : MultiVector, out Y : MultiVector, in ...)
TSFCore::MultiVector
«create»
VectorSpaces
create Vectors and
MultiVectors!
applyOp(in op : RTOpT, inout ...)
subView(in col_rng : Range1D) : MultiVector
subView(in numCols : int, in cols[1..numCols] : int) : MultiVector
Vector and MultiVector
versions of apply(…)!
1
MultiVector subviews
can be created!
RTOpPack::RTOpT
1..*
columns
apply_op(inout ...)
reduce_reduct_objs(inout ...)
TSFCore::Vector
applyOp(in op : RTOpT, inout ...)
Only one vector method!
TSFCore Details

All interfaces are templated on Scalar type (support real and complex)

Smart reference counted pointer class Teuchos::RefCountPtr<> used
for all dynamic memory management

Many operations have default implementations based on very few pure virtual
methods

RTOp operators (and wrapper functions) are provided for many common level1 vector and multi-vector operations

Default implementation provided for MultiVector (MultiVectorCols)

Default implementations provided for serial computation: VectorSpace
(SerialVectorSpace), VectorSpaceFactory
(SerialVectorSpaceFactory), Vector (SerialVector)
AbstractLinAlgPack : MOOCHO Linear Algebra
space_cols
MatrixOp
VectorSpace
Mp_StM()
Vp_StMtV()
Mp_StMtM()
dim
create_member() : VectorMutable
create_members(in num : int) : MultiVectorMutable
is_compatible(in : VectorSpace) : bool
space_rows
Gc
D
MatrixOpNonsing
space
MultiVector
MatrixSymOp
apply_reduction(in op, in ..., inout reduct_obj)
sub_view(in rows : Range1D, in cols : Range1D) : MultiVector
Mp_StMtMtM()
V_InvMtV()
M_StInvMtM()
M_StMtInvM()
1
C
MatrixSymOpNonsing
0..1
is_pos_def : bool
Vector
«creates»
apply_reduction(in op, in ..., inout reduct_obj)
sub_view(in : Range1D) : Vector
M_StMtInvMtM()
MultiVectorMutable
apply_transformation(in op, in ..., inout reduct_obj)
sub_view(in rows : Range1D, in cols : Range1D) : MultiVectorMutable
VectorMutable
apply_transformation(in op, in ..., inout reduct_obj)
sub_view(in : Range1D) : VectorMutable
BasisSystem
update_basis(in Gc, out C, out D, out ...)
P_var
«create»
Permutation
BasisSystemPerm
set_basis(in Gc, in Px, in Pc, out C, out D)
select_basis(inout Gc, out Qx, out Qc, out C, out D)
P_equ
Example ANA : Linear Conjugate Gradient Solver
Multi-vector Conjugate-Gradient Solver : Single Iteration
template<class Scalar>
void CGSolver<Scalar>::doIteration(
const LinearOp<Scalar> &M, ETransp opM_notrans
,ETransp opM_trans, MultiVector<Scalar> *X, Scalar a
,const LinearOp<Scalar> *M_tilde_inv
,ETransp opM_tilde_inv_notrans, ETransp opM_tilde_inv_trans
) const
{
const Index m = currNumSystems_;
int j;
if( M_tilde_inv )
M_tilde_inv->apply( opM_tilde_inv_notrans, *R_, &*Z_ );
else
assign( &*Z_, *R_ );
dot( *Z_, *R_, &rho_[0] );
if( currIteration_ == 1 ) {
assign( &*P_, *Z_ );
}
else {
for(j=0;j<m;++j) beta_[j] = rho_[j]/rho_old_[j];
update( *Z_, &beta_[0], 1.0, &*P_ );
}
M.apply( opM_notrans, *P_, &*Q_ );
dot( *P_, *Q_, &gamma_[0] );
for(j=0;j<m;++j) alpha_[j] = rho_[j]/gamma_[j];
update( &alpha_[0], +1.0, *P_, X )
update( &alpha_[0], -1.0, *Q_, &*R_ );
}
TSFCore::Nonlin : Interfaces to Nonlinear Problems
State
equations
NonlinearProblem
Function evaluations:
Auxiliary variables
State variables
Response functions
NonlinearProblemFirstOrder
(nonsingular) State Jacobian evaluations :
Auxiliary Jacobian evaluations :
•
•
•
•
•
•
Supported Areas
NAND optimization
SAND optimization
Nonlinear equations
Multidisciplinary analysis
Stability analysis / continuation
SFE
TSFCore SAND Reports
Get most recent copy at: Trilinos/doc/TSFCore
Summary & Conclusions
MOOCHO
• MOOCHO is framework/library for large-scale NLP
• MOOCHO currently supports several active-set and interior-point SQPrelated methods
• MOOCHO can be adapted to the application
• MOOCHO is fully scalable
TSFCore
• Minimal but efficient interface to linear algebra implementations
• Trilinos (LGPL) standard for abstract interfaces for linear algebra
– Block linear solvers (Belos)
– Block eigenvalue solvers (Anasazi)
• Used in SPMD, client/server, master/slave etc.
• Example numerical algorithms:
– NLP optimization (through MOOCHO)
– Nonlinear equation solvers (through NOX)
– Time domain decomposition (Heinkenshloss)