[petsc-users] Calculating adjoint of more than one cost function separately

[Salazar De Troya, Miguel]

Hello,

I am interested in calculating the gradients of an optimization problem with one goal and one constraint functions which need TSAdjoint for their adjoints. I’d like to call each of their adjoints in different calls, but it does not seem to be possible without making compromises. For instance, one could set TSCreateQuadratureTS() and TSSetCostGradients() with different quadratures (and their gradients) for each adjoint call (one at a time). This would evaluate the cost functions in the backwards run though, whereas one typically computes the cost functions in a different routine than the adjoint call (like in line searches evaluations)

One could also set TSCreateQuadratureTS() with the goal and the constraint functions to be evaluated at the forward run (as typically done when computing the cost function). The problem would be that the adjoint call now requires two sets of gradients for TSSetCostGradients() and their adjoint are calculated together, costing twice if your routines for the cost and the constraint gradients are separated.

The only solution I can think of is to set TSCreateQuadratureTS() with both the goal and constraint functions in the forward run. Then, in the adjoint calls, reset TSCreateQuadratureTS() with just the cost function I am interested in (either the goal or the constraint) and set just a single TSSetCostGradients(). Will this work? Are there better alternatives?

Even if successful, there is the problem that the trajectory goes back to the beginning when we perform a TSAdjointSolve() call. Subsequent calls to TSAdjointSolve() (for instance for another cost function) are invalid because the trajectory is not set at the end of the simulation. One needs to call the forward problem to bring it back to the end. Is there a quick way to set the trajectory state to the last time step without having to run the forward problem? I am attaching an example to illustrate this issue. One can uncomment lines 120-122 to obtain the right value of the derivative.

Thanks
Miguel

Miguel A. Salazar de Troya
Postdoctoral Researcher, Lawrence Livermore National Laboratory
B141
Rm: 1085-5
Ph: 1(925) 422-6411
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