casadi 3.6.5__cp38-none-macosx_11_0_arm64.whl → 3.6.7__cp38-none-macosx_11_0_arm64.whl

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

@@ -1,448 +0,0 @@
-#pragma once
-
-#include <alpaqa/inner/panoc.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 PANOCSolver<DirectionProviderT>::get_name() const {
-    return "PANOCSolver<" + std::string(direction.get_name()) + ">";
-}
-
-template <class DirectionProviderT>
-auto PANOCSolver<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 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];
-    Iterate *next = &iterates[1];
-
-    bool need_grad_ψx̂ = Helpers::stop_crit_requires_grad_ψx̂(params.stop_crit);
-    vec grad_ψx̂(n);
-    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_ψx̂ = [&problem, &y, &Σ](Iterate &i) {
-        i.ψx̂ = problem.eval_ψ(i.x̂, y, Σ, i.ŷx̂);
-    };
-    auto eval_grad_ψx̂ = [&problem, &work_n](Iterate &i, rvec grad_ψx̂) {
-        problem.eval_grad_L(i.x̂, i.ŷx̂, grad_ψx̂, work_n);
-    };
-
-    // 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 << "┌─[PANOC]\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 --------------------------------------------
-
-    eval_prox_grad_step(*curr);
-    eval_ψx̂(*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_ψx̂(*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 PANOC loop
-    // =========================================================================
-
-    ScopedMallocBlocker mb; // Don't allocate in the inner loop
-    while (true) {
-
-        // Check stopping criteria ---------------------------------------------
-
-        // Calculate ∇ψ(x̂ₖ)
-        if (need_grad_ψx̂)
-            eval_grad_ψx̂(*curr, grad_ψx̂);
-        bool have_grad_ψx̂ = need_grad_ψx̂;
-
-        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, grad_ψx̂, 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>, grad_ψx̂, -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->x, curr->x̂,
-                                 curr->p, curr->grad_ψ);
-            τ_init = 0;
-        }
-        if (k > 0 || direction.has_initial_direction()) {
-            τ_init = direction.apply(curr->γ, curr->x, curr->x̂, curr->p,
-                                     curr->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 = [&] {
-            // Calculate ∇ψ(xₖ₊₁)
-            if (not have_grad_ψx̂)
-                eval_grad_ψx̂(*curr, grad_ψx̂);
-            have_grad_ψx̂ = true;
-            next->x      = curr->x̂; // → safe prox step
-            next->ψx     = curr->ψx̂;
-            next->grad_ψ.swap(grad_ψx̂);
-        };
-
-        // xₖ₊₁ = xₖ + (1-τ) pₖ + τ qₖ
-        auto take_accelerated_step = [&](real_t τ) {
-            if (τ == 1) // → faster quasi-Newton step
-                next->x = curr->x + q;
-            else
-                next->x = curr->x + (1 - τ) * curr->p + 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_ψx̂(*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 in candidate (even if we don't accept this point)
-            if (update_lbfgs_in_linesearch && !updated_lbfgs) {
-                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(*curr);
-                }
-            }
-            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, grad_ψx̂, 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;
-    }
-    throw std::logic_error("[PANOC] loop error");
-}
-
-} // namespace alpaqa