sleipnirgroup-jormungandr 0.6.7.dev32__tar.gz → 0.6.7.dev34__tar.gz

{sleipnirgroup_jormungandr-0.6.7.dev32 → sleipnirgroup_jormungandr-0.6.7.dev34}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: sleipnirgroup-jormungandr
-Version: 0.6.7.dev32
+Version: 0.6.7.dev34
 Summary: Reverse mode autodiff library and NLP solver DSL
 License-Expression: BSD-3-Clause
 License-File: LICENSE.txt

{sleipnirgroup_jormungandr-0.6.7.dev32 → sleipnirgroup_jormungandr-0.6.7.dev34}/include/sleipnir/optimization/solver/ipm.hpp

@@ -691,6 +691,7 @@ ExitStatus ipm(const IPMMatrixCallbacks<Scalar>& matrix_callbacks,
         // If the step using αᵐᵃˣ reduced the KKT error, accept it anyway
         if (next_kkt_error <= Scalar(0.999) * current_kkt_error) {
           // Accept step
+          α = α_max;
           break;
         }
 

{sleipnirgroup_jormungandr-0.6.7.dev32 → sleipnirgroup_jormungandr-0.6.7.dev34}/include/sleipnir/optimization/solver/newton.hpp

@@ -232,14 +232,15 @@ ExitStatus newton(
 
         trial_x = x + α_max * p_x;
 
+        trial_f = matrices.f(trial_x);
+
         Scalar next_kkt_error =
             kkt_error<Scalar, KKTErrorType::ONE_NORM>(matrices.g(trial_x));
 
         // If the step using αᵐᵃˣ reduced the KKT error, accept it anyway
         if (next_kkt_error <= Scalar(0.999) * current_kkt_error) {
-          trial_f = matrices.f(trial_x);
-
           // Accept step
+          α = α_max;
           break;
         }
 

{sleipnirgroup_jormungandr-0.6.7.dev32 → sleipnirgroup_jormungandr-0.6.7.dev34}/include/sleipnir/optimization/solver/sqp.hpp

@@ -488,6 +488,7 @@ ExitStatus sqp(const SQPMatrixCallbacks<Scalar>& matrix_callbacks,
         // If the step using αᵐᵃˣ reduced the KKT error, accept it anyway
         if (next_kkt_error <= Scalar(0.999) * current_kkt_error) {
           // Accept step
+          α = α_max;
           break;
         }
 

{sleipnirgroup_jormungandr-0.6.7.dev32 → sleipnirgroup_jormungandr-0.6.7.dev34}/include/sleipnir/optimization/solver/util/feasibility_restoration.hpp

@@ -636,6 +636,8 @@ ExitStatus feasibility_restoration(
   x = fr_x.segment(0, x.rows());
 
   if (status == ExitStatus::CALLBACK_REQUESTED_STOP) {
+    const DenseVector s_old = s;
+
     // Re-center the slacks on the original constraints cᵢ(x) if they're
     // sufficiently feasible, and on 1 otherwise.
     //
@@ -647,14 +649,24 @@ ExitStatus feasibility_restoration(
     const DenseVector c_i = matrices.c_i(x);
     s = (c_i.array() >= Scalar(1e-2)).select(c_i, Scalar(1));
 
-    const SparseVector g = matrices.g(x);
-    const SparseMatrix A_e = matrices.A_e(x);
-    const SparseMatrix A_i = matrices.A_i(x);
+    // Reset the equality constraint duals since the restoration phase didn't
+    // take the cost function into account
+    y.setZero();
 
-    auto [y_estimate, z_estimate] =
-        lagrange_multiplier_estimate(g, A_e, A_i, s, μ);
-    y = y_estimate;
-    z = z_estimate;
+    // Update the inequality constraint duals with a Newton step for
+    // complementarity, taking the change in slacks during the restoration
+    // phase as the primal step.
+    //
+    //   pᶻ = μS⁻¹e − z − Σpˢ
+    //
+    // If the result isn't strictly positive or is too large, reset all of them
+    // to 1.
+    const DenseVector Σ = z.cwiseQuotient(s_old);
+    const DenseVector p_s = s - s_old;
+    z += μ * s_old.cwiseInverse() - z - Σ.cwiseProduct(p_s);
+    if ((z.array() <= Scalar(0)).any() || (z.array() > Scalar(1e3)).any()) {
+      z.setOnes();
+    }
 
     return ExitStatus::SUCCESS;
   } else if (status == ExitStatus::SUCCESS) {

sleipnirgroup_jormungandr-0.6.7.dev34/include/sleipnir/optimization/solver/util/lagrange_multiplier_estimate.hpp

@@ -0,0 +1,30 @@
+// Copyright (c) Sleipnir contributors
+
+#pragma once
+
+#include <Eigen/Core>
+#include <Eigen/SparseCholesky>
+#include <Eigen/SparseCore>
+
+namespace slp {
+
+/// Estimates Lagrange multipliers for SQP.
+///
+/// @tparam Scalar Scalar type.
+/// @param g Cost function gradient ∇f.
+/// @param A_e Equality constraint Jacobian Aₑ(x).
+template <typename Scalar>
+Eigen::Vector<Scalar, Eigen::Dynamic> lagrange_multiplier_estimate(
+    const Eigen::SparseVector<Scalar>& g,
+    const Eigen::SparseMatrix<Scalar>& A_e) {
+  // Lagrange multiplier estimates
+  //
+  //   ∇f − Aₑᵀy = 0
+  //   Aₑᵀy = ∇f
+  //   y = (AₑAₑᵀ)⁻¹Aₑ∇f
+  return Eigen::SimplicialLDLT<Eigen::SparseMatrix<Scalar>>{A_e *
+                                                            A_e.transpose()}
+      .solve(A_e * g);
+}
+
+}  // namespace slp

{sleipnirgroup_jormungandr-0.6.7.dev32 → sleipnirgroup_jormungandr-0.6.7.dev34}/python/src/sleipnir/__init__.py

@@ -2,4 +2,4 @@
 
 from ._sleipnir import *
 
-__version__ = "0.6.7.dev32"
+__version__ = "0.6.7.dev34"

sleipnirgroup_jormungandr-0.6.7.dev32/include/sleipnir/optimization/solver/util/lagrange_multiplier_estimate.hpp

@@ -1,133 +0,0 @@
-// Copyright (c) Sleipnir contributors
-
-#pragma once
-
-#include <algorithm>
-#include <utility>
-
-#include <Eigen/Core>
-#include <Eigen/SparseCholesky>
-#include <Eigen/SparseCore>
-#include <gch/small_vector.hpp>
-
-#include "sleipnir/optimization/solver/util/append_as_triplets.hpp"
-
-namespace slp {
-
-/// Lagrange multiplier estimates.
-///
-/// @tparam Scalar Scalar type.
-template <typename Scalar>
-struct LagrangeMultiplierEstimate {
-  /// Equality constraint dual estimate.
-  Eigen::Vector<Scalar, Eigen::Dynamic> y;
-  /// Inequality constraint dual estimate.
-  Eigen::Vector<Scalar, Eigen::Dynamic> z;
-};
-
-/// Estimates Lagrange multipliers for SQP.
-///
-/// @tparam Scalar Scalar type.
-/// @param g Cost function gradient ∇f.
-/// @param A_e Equality constraint Jacobian Aₑ(x).
-template <typename Scalar>
-Eigen::Vector<Scalar, Eigen::Dynamic> lagrange_multiplier_estimate(
-    const Eigen::SparseVector<Scalar>& g,
-    const Eigen::SparseMatrix<Scalar>& A_e) {
-  // Lagrange multiplier estimates
-  //
-  //   ∇f − Aₑᵀy = 0
-  //   Aₑᵀy = ∇f
-  //   y = (AₑAₑᵀ)⁻¹Aₑ∇f
-  return Eigen::SimplicialLDLT<Eigen::SparseMatrix<Scalar>>{A_e *
-                                                            A_e.transpose()}
-      .solve(A_e * g);
-}
-
-/// Estimates Lagrange multipliers for interior-point method.
-///
-/// @tparam Scalar Scalar type.
-/// @param g Cost function gradient ∇f.
-/// @param A_e Equality constraint Jacobian Aₑ(x).
-/// @param A_i Inequality constraint Jacobian Aᵢ(x).
-/// @param s Inequality constraint slack variables.
-/// @param μ Barrier parameter.
-template <typename Scalar>
-LagrangeMultiplierEstimate<Scalar> lagrange_multiplier_estimate(
-    const Eigen::SparseVector<Scalar>& g,
-    const Eigen::SparseMatrix<Scalar>& A_e,
-    const Eigen::SparseMatrix<Scalar>& A_i,
-    const Eigen::Vector<Scalar, Eigen::Dynamic>& s, Scalar μ) {
-  using DenseVector = Eigen::Vector<Scalar, Eigen::Dynamic>;
-  using SparseMatrix = Eigen::SparseMatrix<Scalar>;
-
-  // Lagrange multiplier estimates
-  //
-  //   ∇f − Aₑᵀy − Aᵢᵀz = 0
-  //   Sz − μe = 0
-  //
-  //   Aₑᵀy + Aᵢᵀz = ∇f
-  //   −Sz = −μe
-  //
-  //   [Aₑᵀ  Aᵢᵀ][y] = [ ∇f]
-  //   [ 0   −S ][z]   [−μe]
-  //
-  //   [Aₑ   0]ᵀ[y] = [ ∇f]
-  //   [Aᵢ  −S] [z]   [−μe]
-  //
-  // Let  = [Aₑ   0]
-  //         [Aᵢ  −S]
-  //
-  //   Âᵀ[y] = [ ∇f]
-  //     [z]   [−μe]
-  //
-  //   [y] = (ÂÂᵀ)⁻¹Â[ ∇f]
-  //   [z]           [−μe]
-
-  gch::small_vector<Eigen::Triplet<Scalar>> triplets;
-
-  // Â = [Aₑ   0]
-  //     [Aᵢ  −S]
-  triplets.reserve(A_e.nonZeros() + A_i.nonZeros() + s.rows());
-  append_as_triplets(triplets, 0, 0, {A_e, A_i});
-  append_diagonal_as_triplets(triplets, A_e.rows(), A_i.cols(), (-s).eval());
-  SparseMatrix A_hat{A_e.rows() + A_i.rows(), A_e.cols() + s.rows()};
-  A_hat.setFromSortedTriplets(triplets.begin(), triplets.end());
-
-  // lhs = ÂÂᵀ
-  SparseMatrix lhs = A_hat * A_hat.transpose();
-
-  // rhs = Â[ ∇f]
-  //        [−μe]
-  DenseVector rhs_temp{g.rows() + s.rows()};
-  rhs_temp.segment(0, g.rows()) = g;
-  rhs_temp.segment(g.rows(), s.rows()).setConstant(-μ);
-  DenseVector rhs = A_hat * rhs_temp;
-
-  Eigen::SimplicialLDLT<SparseMatrix> yz_estimator{lhs};
-  DenseVector sol = yz_estimator.solve(rhs);
-  DenseVector y = sol.segment(0, A_e.rows());
-  DenseVector z = sol.segment(A_e.rows(), s.rows());
-
-  // A requirement for the convergence proof is that the primal-dual barrier
-  // term Hessian Σₖ₊₁ does not deviate arbitrarily much from the primal barrier
-  // term Hessian μSₖ₊₁⁻².
-  //
-  //   Σₖ₊₁ = μSₖ₊₁⁻²
-  //   Sₖ₊₁⁻¹Zₖ₊₁ = μSₖ₊₁⁻²
-  //   Zₖ₊₁ = μSₖ₊₁⁻¹
-  //
-  // We ensure this by resetting
-  //
-  //   zₖ₊₁ = clamp(zₖ₊₁, 1/κ_Σ μ/sₖ₊₁, κ_Σ μ/sₖ₊₁)
-  //
-  // for some fixed κ_Σ ≥ 1 after each step. See equation (16) of [2].
-  for (int row = 0; row < z.rows(); ++row) {
-    constexpr Scalar κ_Σ(1e10);
-    z[row] = std::clamp(z[row], Scalar(1) / κ_Σ * μ / s[row], κ_Σ * μ / s[row]);
-  }
-
-  return {std::move(y), std::move(z)};
-}
-
-}  // namespace slp