casadi 3.6.3__cp35-none-win_amd64.whl → 3.6.5__cp35-none-win_amd64.whl

casadi/include/alpaqa/implementation/inner/zerofpr.tpp

@@ -0,0 +1,482 @@
+#pragma once
+
+#include <alpaqa/inner/zerofpr.hpp>
+
+#include <cassert>
+#include <cmath>
+#include <iomanip>
+#include <iostream>
+#include <stdexcept>
+
+#include <alpaqa/config/config.hpp>
+#include <alpaqa/implementation/inner/panoc-helpers.tpp>
+#include <alpaqa/implementation/util/print.tpp>
+#include <alpaqa/util/alloc-check.hpp>
+#include <alpaqa/util/quadmath/quadmath-print.hpp>
+#include <alpaqa/util/timed.hpp>
+
+namespace alpaqa {
+
+template <class DirectionProviderT>
+std::string ZeroFPRSolver<DirectionProviderT>::get_name() const {
+    return "ZeroFPRSolver<" + std::string(direction.get_name()) + ">";
+}
+
+template <class DirectionProviderT>
+auto ZeroFPRSolver<DirectionProviderT>::operator()(
+    /// [in]    Problem description
+    const Problem &problem,
+    /// [in]    Solve options
+    const SolveOptions &opts,
+    /// [inout] Decision variable @f$ x @f$
+    rvec x,
+    /// [inout] Lagrange multipliers @f$ y @f$
+    rvec y,
+    /// [in]    Constraint weights @f$ \Sigma @f$
+    crvec Σ,
+    /// [out]   Slack variable error @f$ g(x) - \Pi_D(g(x) + \Sigma^{-1} y) @f$
+    rvec err_z) -> Stats {
+
+    if (opts.check)
+        problem.check();
+
+    using std::chrono::nanoseconds;
+    auto os         = opts.os ? opts.os : this->os;
+    auto start_time = std::chrono::steady_clock::now();
+    Stats s;
+
+    const auto n = problem.get_n();
+    const auto m = problem.get_m();
+
+    // Represents an intermediate proximal iterate in the algorithm.
+    struct ProxIterate {
+        vec x̂;      //< Decision variables after proximal gradient step
+        vec grad_ψ; //< Gradient of cost in x
+        vec p;      //< Proximal gradient step in x
+        vec ŷx̂;     //< Candidate Lagrange multipliers in x̂
+        real_t pᵀp      = NaN<config_t>; //< Norm squared of p
+        real_t grad_ψᵀp = NaN<config_t>; //< Dot product of gradient and p
+        real_t hx̂       = NaN<config_t>; //< Non-smooth function value in x̂
+
+        ProxIterate(length_t n, length_t m) : x̂(n), grad_ψ(n), p(n), ŷx̂(m) {}
+    } prox_iterate{n, m};
+    // Represents an iterate in the algorithm, keeping track of some
+    // intermediate values and function evaluations.
+    struct Iterate {
+        vec x;      //< Decision variables
+        vec x̂;      //< Decision variables after proximal gradient step
+        vec grad_ψ; //< Gradient of cost in x
+        vec p;      //< Proximal gradient step in x
+        vec ŷx̂;     //< Candidate Lagrange multipliers in x̂
+        real_t ψx       = NaN<config_t>; //< Cost in x
+        real_t ψx̂       = NaN<config_t>; //< Cost in x̂
+        real_t γ        = NaN<config_t>; //< Step size γ
+        real_t L        = NaN<config_t>; //< Lipschitz estimate L
+        real_t pᵀp      = NaN<config_t>; //< Norm squared of p
+        real_t grad_ψᵀp = NaN<config_t>; //< Dot product of gradient and p
+        real_t hx̂       = NaN<config_t>; //< Non-smooth function value in x̂
+
+        // @pre    @ref ψx, @ref hx̂ @ref pᵀp, @ref grad_ψᵀp
+        // @return φγ
+        real_t fbe() const { return ψx + hx̂ + pᵀp / (2 * γ) + grad_ψᵀp; }
+
+        Iterate(length_t n, length_t m) : x(n), x̂(n), grad_ψ(n), p(n), ŷx̂(m) {}
+    } iterates[2]{{n, m}, {n, m}};
+    Iterate *curr     = &iterates[0];
+    ProxIterate *prox = &prox_iterate;
+    Iterate *next     = &iterates[1];
+
+    vec work_n(n), work_m(m);
+    vec q(n); // (quasi-)Newton step Hₖ pₖ
+
+    // Helper functions --------------------------------------------------------
+
+    auto qub_violated = [this](const Iterate &i) {
+        real_t margin =
+            (1 + std::abs(i.ψx)) * params.quadratic_upperbound_tolerance_factor;
+        return i.ψx̂ > i.ψx + i.grad_ψᵀp + real_t(0.5) * i.L * i.pᵀp + margin;
+    };
+
+    auto linesearch_violated = [this](const Iterate &curr,
+                                      const Iterate &next) {
+        if (params.force_linesearch)
+            return false;
+        real_t β  = params.linesearch_strictness_factor;
+        real_t σ  = β * (1 - curr.γ * curr.L) / (2 * curr.γ);
+        real_t φγ = curr.fbe();
+        real_t margin = (1 + std::abs(φγ)) * params.linesearch_tolerance_factor;
+        return next.fbe() > φγ - σ * curr.pᵀp + margin;
+    };
+
+    // Problem functions -------------------------------------------------------
+
+    auto eval_ψ_grad_ψ = [&problem, &y, &Σ, &work_n, &work_m](Iterate &i) {
+        i.ψx = problem.eval_ψ_grad_ψ(i.x, y, Σ, i.grad_ψ, work_n, work_m);
+    };
+    auto eval_prox_grad_step = [&problem](Iterate &i) {
+        i.hx̂  = problem.eval_prox_grad_step(i.γ, i.x, i.grad_ψ, i.x̂, i.p);
+        i.pᵀp = i.p.squaredNorm();
+        i.grad_ψᵀp = i.p.dot(i.grad_ψ);
+    };
+    auto eval_cost_in_prox = [&problem, &y, &Σ](Iterate &i) {
+        i.ψx̂ = problem.eval_ψ(i.x̂, y, Σ, i.ŷx̂);
+    };
+    auto eval_grad_in_prox = [&problem, &prox, &work_n](const Iterate &i) {
+        problem.eval_grad_L(i.x̂, i.ŷx̂, prox->grad_ψ, work_n);
+    };
+    auto eval_prox_grad_step_in_prox = [&problem, &prox](const Iterate &i) {
+        prox->hx̂ = problem.eval_prox_grad_step(i.γ, i.x̂, prox->grad_ψ, prox->x̂,
+                                               prox->p);
+        prox->pᵀp      = prox->p.squaredNorm();
+        prox->grad_ψᵀp = prox->p.dot(prox->grad_ψ);
+    };
+
+    // Printing ----------------------------------------------------------------
+
+    std::array<char, 64> print_buf;
+    auto print_real = [this, &print_buf](real_t x) {
+        return float_to_str_vw(print_buf, x, params.print_precision);
+    };
+    auto print_real3 = [&print_buf](real_t x) {
+        return float_to_str_vw(print_buf, x, 3);
+    };
+    auto print_progress_1 = [&print_real, os](unsigned k, real_t φₖ, real_t ψₖ,
+                                              crvec grad_ψₖ, real_t pₖᵀpₖ,
+                                              real_t γₖ, real_t εₖ) {
+        if (k == 0)
+            *os << "┌─[ZeroFPR]\n";
+        else
+            *os << "├─ " << std::setw(6) << k << '\n';
+        *os << "│   φγ = " << print_real(φₖ)               //
+            << ",    ψ = " << print_real(ψₖ)               //
+            << ", ‖∇ψ‖ = " << print_real(grad_ψₖ.norm())   //
+            << ",  ‖p‖ = " << print_real(std::sqrt(pₖᵀpₖ)) //
+            << ",    γ = " << print_real(γₖ)               //
+            << ",    ε = " << print_real(εₖ) << '\n';
+    };
+    auto print_progress_2 = [&print_real, &print_real3, os](crvec qₖ, real_t τₖ,
+                                                            bool reject) {
+        const char *color = τₖ == 1  ? "\033[0;32m"
+                            : τₖ > 0 ? "\033[0;33m"
+                                     : "\033[0;35m";
+        *os << "│  ‖q‖ = " << print_real(qₖ.norm())                 //
+            << ",    τ = " << color << print_real3(τₖ) << "\033[0m" //
+            << ",      dir update "
+            << (reject ? "\033[0;31mrejected\033[0m"
+                       : "\033[0;32maccepted\033[0m") //
+            << std::endl; // Flush for Python buffering
+    };
+    auto print_progress_n = [&](SolverStatus status) {
+        *os << "└─ " << status << " ──"
+            << std::endl; // Flush for Python buffering
+    };
+
+    auto do_progress_cb = [this, &s, &problem, &Σ, &y, &opts](
+                              unsigned k, Iterate &it, crvec q, crvec grad_ψx̂,
+                              real_t τ, real_t εₖ, SolverStatus status) {
+        if (!progress_cb)
+            return;
+        ScopedMallocAllower ma;
+        alpaqa::util::Timed t{s.time_progress_callback};
+        progress_cb(ProgressInfo{
+            .k          = k,
+            .status     = status,
+            .x          = it.x,
+            .p          = it.p,
+            .norm_sq_p  = it.pᵀp,
+            .x̂          = it.x̂,
+            .φγ         = it.fbe(),
+            .ψ          = it.ψx,
+            .grad_ψ     = it.grad_ψ,
+            .ψ_hat      = it.ψx̂,
+            .grad_ψ_hat = grad_ψx̂,
+            .q          = q,
+            .L          = it.L,
+            .γ          = it.γ,
+            .τ          = τ,
+            .ε          = εₖ,
+            .Σ          = Σ,
+            .y          = y,
+            .outer_iter = opts.outer_iter,
+            .problem    = &problem,
+            .params     = &params,
+        });
+    };
+
+    // Initialization ----------------------------------------------------------
+
+    curr->x = x;
+
+    // Estimate Lipschitz constant ---------------------------------------------
+
+    // Finite difference approximation of ∇²ψ in starting point
+    if (params.Lipschitz.L_0 <= 0) {
+        curr->L = Helpers::initial_lipschitz_estimate(
+            problem, curr->x, y, Σ, params.Lipschitz.ε, params.Lipschitz.δ,
+            params.L_min, params.L_max,
+            /* in ⟹ out */ curr->ψx, curr->grad_ψ, curr->x̂, next->grad_ψ,
+            work_n, work_m);
+    }
+    // Initial Lipschitz constant provided by the user
+    else {
+        curr->L = params.Lipschitz.L_0;
+        // Calculate ψ(xₖ), ∇ψ(x₀)
+        eval_ψ_grad_ψ(*curr);
+    }
+    if (not std::isfinite(curr->L)) {
+        s.status = SolverStatus::NotFinite;
+        return s;
+    }
+    curr->γ = params.Lipschitz.Lγ_factor / curr->L;
+
+    // First proximal gradient step --------------------------------------------
+
+    // Calculate x̂ₖ, ψ(x̂ₖ)
+    eval_prox_grad_step(*curr);
+    eval_cost_in_prox(*curr);
+
+    // Quadratic upper bound
+    while (curr->L < params.L_max && qub_violated(*curr)) {
+        curr->γ /= 2;
+        curr->L *= 2;
+        eval_prox_grad_step(*curr);
+        eval_cost_in_prox(*curr);
+    }
+
+    // Loop data ---------------------------------------------------------------
+
+    unsigned k = 0;             // iteration
+    real_t τ   = NaN<config_t>; // line search parameter
+    // Keep track of how many successive iterations didn't update the iterate
+    unsigned no_progress = 0;
+
+    // Main ZeroFPR loop
+    // =========================================================================
+
+    ScopedMallocBlocker mb; // Don't allocate in the inner loop
+    while (true) {
+
+        // Check stopping criteria ---------------------------------------------
+
+        // Calculate ∇ψ(x̂ₖ), p̂ₖ
+        eval_grad_in_prox(*curr);
+        eval_prox_grad_step_in_prox(*curr);
+
+        real_t εₖ = Helpers::calc_error_stop_crit(
+            problem, params.stop_crit, curr->p, curr->γ, curr->x, curr->x̂,
+            curr->ŷx̂, curr->grad_ψ, prox->grad_ψ, work_n, next->p);
+
+        // Print progress ------------------------------------------------------
+        bool do_print =
+            params.print_interval != 0 && k % params.print_interval == 0;
+        if (do_print)
+            print_progress_1(k, curr->fbe(), curr->ψx, curr->grad_ψ, curr->pᵀp,
+                             curr->γ, εₖ);
+
+        // Return solution -----------------------------------------------------
+
+        auto time_elapsed = std::chrono::steady_clock::now() - start_time;
+        auto stop_status  = Helpers::check_all_stop_conditions(
+            params, opts, time_elapsed, k, stop_signal, εₖ, no_progress);
+        if (stop_status != SolverStatus::Busy) {
+            do_progress_cb(k, *curr, null_vec<config_t>, prox->grad_ψ, -1, εₖ,
+                           stop_status);
+            bool do_final_print = params.print_interval != 0;
+            if (!do_print && do_final_print)
+                print_progress_1(k, curr->fbe(), curr->ψx, curr->grad_ψ,
+                                 curr->pᵀp, curr->γ, εₖ);
+            if (do_print || do_final_print)
+                print_progress_n(stop_status);
+            if (stop_status == SolverStatus::Converged ||
+                stop_status == SolverStatus::Interrupted ||
+                opts.always_overwrite_results) {
+                auto &ŷ = curr->ŷx̂;
+                if (err_z.size() > 0)
+                    err_z = Σ.asDiagonal().inverse() * (ŷ - y);
+                x = std::move(curr->x̂);
+                y = std::move(curr->ŷx̂);
+            }
+            s.iterations   = k;
+            s.ε            = εₖ;
+            s.elapsed_time = duration_cast<nanoseconds>(time_elapsed);
+            s.status       = stop_status;
+            s.final_γ      = curr->γ;
+            s.final_ψ      = curr->ψx̂;
+            s.final_h      = curr->hx̂;
+            s.final_φγ     = curr->fbe();
+            return s;
+        }
+
+        // Calculate quasi-Newton step -----------------------------------------
+
+        real_t τ_init = NaN<config_t>;
+        if (k == 0) { // Initialize L-BFGS
+            ScopedMallocAllower ma;
+            direction.initialize(problem, y, Σ, curr->γ, curr->x̂, prox->x̂,
+                                 prox->p, prox->grad_ψ);
+            τ_init = 0;
+        }
+        if (k > 0 || direction.has_initial_direction()) {
+            τ_init = direction.apply(curr->γ, curr->x̂, prox->x̂, prox->p,
+                                     prox->grad_ψ, q)
+                         ? 1
+                         : 0;
+            // Make sure quasi-Newton step is valid
+            if (τ_init == 1 && not q.allFinite())
+                τ_init = 0;
+            if (τ_init != 1) { // If we computed a quasi-Newton step
+                ++s.lbfgs_failures;
+                direction.reset(); // Is there anything else we can do?
+            }
+        }
+
+        // Line search ---------------------------------------------------------
+
+        next->γ                         = curr->γ;
+        next->L                         = curr->L;
+        τ                               = τ_init;
+        real_t τ_prev                   = -1;
+        bool update_lbfgs_in_linesearch = params.update_direction_in_candidate;
+        bool updated_lbfgs              = false;
+        bool dir_rejected               = true;
+
+        // xₖ₊₁ = xₖ + pₖ
+        auto take_safe_step = [&] {
+            next->x      = curr->x̂; // → safe prox step
+            next->ψx     = curr->ψx̂;
+            next->grad_ψ = prox->grad_ψ;
+            // TODO: could swap gradients, but need for direction update
+        };
+
+        // xₖ₊₁ = x̂ₖ + τ qₖ
+        auto take_accelerated_step = [&](real_t τ) {
+            if (τ == 1) // → faster quasi-Newton step
+                next->x = curr->x̂ + q;
+            else
+                next->x = curr->x̂ + τ * q;
+            // Calculate ψ(xₖ₊₁), ∇ψ(xₖ₊₁)
+            eval_ψ_grad_ψ(*next);
+        };
+
+        while (!stop_signal.stop_requested()) {
+
+            // Recompute step only if τ changed
+            if (τ != τ_prev) {
+                τ != 0 ? take_accelerated_step(τ) : take_safe_step();
+                τ_prev = τ;
+            }
+
+            // If the cost is not finite, or if the quadratic upper bound could
+            // not be satisfied, abandon the direction entirely, don't even
+            // bother backtracking.
+            bool fail = next->L >= params.L_max || !std::isfinite(next->ψx);
+            if (τ > 0 && fail) {
+                // Don't allow a bad accelerated step to destroy the FBS step
+                // size
+                next->L = curr->L;
+                next->γ = curr->γ;
+                // Line search failed
+                τ = 0;
+                direction.reset();
+                // Update the direction in the FB iterate later
+                update_lbfgs_in_linesearch = false;
+                continue;
+            }
+
+            // Calculate x̂ₖ₊₁, ψ(x̂ₖ₊₁)
+            eval_prox_grad_step(*next);
+            eval_cost_in_prox(*next);
+
+            // Quadratic upper bound step size condition
+            if (next->L < params.L_max && qub_violated(*next)) {
+                next->γ /= 2;
+                next->L *= 2;
+                if (τ > 0)
+                    τ = τ_init;
+                ++s.stepsize_backtracks;
+                // If the step size changes, we need extra care when updating
+                // the direction later
+                update_lbfgs_in_linesearch = false;
+                continue;
+            }
+
+            // Update L-BFGS
+            if (update_lbfgs_in_linesearch && !updated_lbfgs) {
+                if (params.update_direction_from_prox_step) {
+                    s.lbfgs_rejected += dir_rejected = not direction.update(
+                        curr->γ, next->γ, curr->x̂, next->x, prox->p, next->p,
+                        prox->grad_ψ, next->grad_ψ);
+                } else {
+                    s.lbfgs_rejected += dir_rejected = not direction.update(
+                        curr->γ, next->γ, curr->x, next->x, curr->p, next->p,
+                        curr->grad_ψ, next->grad_ψ);
+                }
+                update_lbfgs_in_linesearch = false;
+                updated_lbfgs              = true;
+            }
+
+            // Line search condition
+            if (τ > 0 && linesearch_violated(*curr, *next)) {
+                τ /= 2;
+                if (τ < params.min_linesearch_coefficient)
+                    τ = 0;
+                ++s.linesearch_backtracks;
+                continue;
+            }
+
+            // QUB and line search satisfied (or τ is 0 and L > L_max)
+            break;
+        }
+        // If τ < τ_min the line search failed and we accepted the prox step
+        s.linesearch_failures += (τ == 0 && τ_init > 0);
+        s.τ_1_accepted += τ == 1;
+        s.count_τ += (τ_init > 0);
+        s.sum_τ += τ;
+
+        // Check if we made any progress
+        if (no_progress > 0 || k % params.max_no_progress == 0)
+            no_progress = curr->x == next->x ? no_progress + 1 : 0;
+
+        // Update L-BFGS -------------------------------------------------------
+
+        if (!updated_lbfgs) {
+            if (curr->γ != next->γ) { // Flush L-BFGS if γ changed
+                direction.changed_γ(next->γ, curr->γ);
+                if (params.recompute_last_prox_step_after_lbfgs_flush) {
+                    curr->γ = next->γ;
+                    curr->L = next->L;
+                    eval_prox_grad_step_in_prox(*curr);
+                }
+            }
+            if (τ > 0 && params.update_direction_from_prox_step) {
+                s.lbfgs_rejected += dir_rejected = not direction.update(
+                    curr->γ, next->γ, curr->x̂, next->x, prox->p, next->p,
+                    prox->grad_ψ, next->grad_ψ);
+            } else {
+                s.lbfgs_rejected += dir_rejected = not direction.update(
+                    curr->γ, next->γ, curr->x, next->x, curr->p, next->p,
+                    curr->grad_ψ, next->grad_ψ);
+            }
+        }
+
+        // Print ---------------------------------------------------------------
+        do_progress_cb(k, *curr, q, prox->grad_ψ, τ, εₖ, SolverStatus::Busy);
+        if (do_print && (k != 0 || direction.has_initial_direction()))
+            print_progress_2(q, τ, dir_rejected);
+
+        // Advance step --------------------------------------------------------
+        std::swap(curr, next);
+        ++k;
+
+#ifndef NDEBUG
+        {
+            ScopedMallocAllower ma;
+            *prox = {n, m};
+            *next = {n, m};
+        }
+#endif
+    }
+    throw std::logic_error("[ZeroFPR] loop error");
+}
+
+} // namespace alpaqa