#pragma once #include #include #include #include #include #include #include #include #include #include #include #include #include #include #include namespace alpaqa { /// Tuning parameters for the PANOC algorithm. template struct ALPAQA_EXPORT PANOCParams { USING_ALPAQA_CONFIG(Conf); /// Parameters related to the Lipschitz constant estimate and step size. LipschitzEstimateParams Lipschitz; /// Maximum number of inner PANOC iterations. unsigned max_iter = 100; /// Maximum duration. std::chrono::nanoseconds max_time = std::chrono::minutes(5); /// Minimum weight factor between Newton step and projected gradient step. real_t min_linesearch_coefficient = real_t(1. / 256); /// Ignore the line search condition and always accept the accelerated step. /// (For testing purposes only). bool force_linesearch = false; /// Parameter β used in the line search (see Algorithm 2 in /// @cite de_marchi_proximal_2022). @f$ 0 < \beta < 1 @f$ real_t linesearch_strictness_factor = real_t(0.95); /// Minimum Lipschitz constant estimate. real_t L_min = real_t(1e-5); /// Maximum Lipschitz constant estimate. real_t L_max = real_t(1e20); /// What stopping criterion to use. PANOCStopCrit stop_crit = PANOCStopCrit::ApproxKKT; /// Maximum number of iterations without any progress before giving up. unsigned max_no_progress = 10; /// When to print progress. If set to zero, nothing will be printed. /// If set to N != 0, progress is printed every N iterations. unsigned print_interval = 0; /// The precision of the floating point values printed by the solver. int print_precision = std::numeric_limits::max_digits10 / 2; real_t quadratic_upperbound_tolerance_factor = 10 * std::numeric_limits::epsilon(); real_t linesearch_tolerance_factor = 10 * std::numeric_limits::epsilon(); bool update_direction_in_candidate = false; bool recompute_last_prox_step_after_lbfgs_flush = false; }; template struct ALPAQA_EXPORT PANOCStats { USING_ALPAQA_CONFIG(Conf); SolverStatus status = SolverStatus::Busy; real_t ε = inf; std::chrono::nanoseconds elapsed_time{}; std::chrono::nanoseconds time_progress_callback{}; unsigned iterations = 0; unsigned linesearch_failures = 0; unsigned linesearch_backtracks = 0; unsigned stepsize_backtracks = 0; unsigned lbfgs_failures = 0; unsigned lbfgs_rejected = 0; unsigned τ_1_accepted = 0; unsigned count_τ = 0; real_t sum_τ = 0; real_t final_γ = 0; real_t final_ψ = 0; real_t final_h = 0; real_t final_φγ = 0; }; template struct ALPAQA_EXPORT PANOCProgressInfo { USING_ALPAQA_CONFIG(Conf); unsigned k; SolverStatus status; crvec x; crvec p; real_t norm_sq_p; crvec x̂; real_t φγ; real_t ψ; crvec grad_ψ; real_t ψ_hat; crvec grad_ψ_hat; crvec q; real_t L; real_t γ; real_t τ; real_t ε; crvec Σ; crvec y; unsigned outer_iter; const TypeErasedProblem *problem; const PANOCParams *params; }; /// PANOC solver for ALM. /// @ingroup grp_InnerSolvers template class ALPAQA_EXPORT PANOCSolver { public: USING_ALPAQA_CONFIG_TEMPLATE(DirectionT::config_t); using Problem = TypeErasedProblem; using Params = PANOCParams; using Direction = DirectionT; using Stats = PANOCStats; using ProgressInfo = PANOCProgressInfo; using SolveOptions = InnerSolveOptions; PANOCSolver(const Params ¶ms) requires std::default_initializable : params(params) {} PANOCSolver(const Params ¶ms, Direction &&direction) : params(params), direction(std::move(direction)) {} PANOCSolver(const Params ¶ms, const Direction &direction) : params(params), direction(direction) {} Stats operator()(const Problem &problem, // in const SolveOptions &opts, // in rvec x, // inout rvec y, // inout crvec Σ, // in rvec err_z); // out template Stats operator()(const P &problem, const SolveOptions &opts, rvec x, rvec y, crvec Σ, rvec e) { return operator()(Problem::template make

(problem), opts, x, y, Σ, e); } template Stats operator()(const P &problem, const SolveOptions &opts, rvec x) { if (problem.get_m() != 0) throw std::invalid_argument("Missing arguments y, Σ, e"); mvec y{nullptr, 0}, Σ{nullptr, 0}, e{nullptr, 0}; return operator()(problem, opts, x, y, Σ, e); } /// Specify a callable that is invoked with some intermediate results on /// each iteration of the algorithm. /// @see @ref ProgressInfo PANOCSolver & set_progress_callback(std::function cb) { this->progress_cb = cb; return *this; } std::string get_name() const; void stop() { stop_signal.stop(); } const Params &get_params() const { return params; } private: Params params; AtomicStopSignal stop_signal; std::function progress_cb; using Helpers = detail::PANOCHelpers; public: Direction direction; std::ostream *os = &std::cout; }; template struct InnerStatsAccumulator; template struct InnerStatsAccumulator> { USING_ALPAQA_CONFIG(Conf); /// Total elapsed time in the inner solver. std::chrono::nanoseconds elapsed_time{}; /// Total time spent in the user-provided progress callback. std::chrono::nanoseconds time_progress_callback{}; /// Total number of inner PANOC iterations. unsigned iterations = 0; /// Total number of PANOC line search failures. unsigned linesearch_failures = 0; /// Total number of PANOC line search backtracking steps. unsigned linesearch_backtracks = 0; /// Total number of PANOC step size reductions. unsigned stepsize_backtracks = 0; /// Total number of times that the L-BFGS direction was not finite. unsigned lbfgs_failures = 0; /// Total number of times that the L-BFGS update was rejected (i.e. it /// could have resulted in a non-positive definite Hessian estimate). unsigned lbfgs_rejected = 0; /// Total number of times that a line search parameter of @f$ \tau = 1 @f$ /// was accepted (i.e. no backtracking necessary). unsigned τ_1_accepted = 0; /// The total number of line searches performed (used for computing the /// average value of @f$ \tau @f$). unsigned count_τ = 0; /// The sum of the line search parameter @f$ \tau @f$ in all iterations /// (used for computing the average value of @f$ \tau @f$). real_t sum_τ = 0; /// The final PANOC step size γ. real_t final_γ = 0; /// Final value of the smooth cost @f$ \psi(\hat x) @f$. real_t final_ψ = 0; /// Final value of the nonsmooth cost @f$ h(\hat x) @f$. real_t final_h = 0; /// Final value of the forward-backward envelope, @f$ \varphi_\gamma(x) @f$ /// (note that this is in the point @f$ x @f$, not @f$ \hat x @f$). real_t final_φγ = 0; }; template InnerStatsAccumulator> & operator+=(InnerStatsAccumulator> &acc, const PANOCStats &s) { acc.iterations += s.iterations; acc.elapsed_time += s.elapsed_time; acc.time_progress_callback += s.time_progress_callback; acc.linesearch_failures += s.linesearch_failures; acc.linesearch_backtracks += s.linesearch_backtracks; acc.stepsize_backtracks += s.stepsize_backtracks; acc.lbfgs_failures += s.lbfgs_failures; acc.lbfgs_rejected += s.lbfgs_rejected; acc.τ_1_accepted += s.τ_1_accepted; acc.count_τ += s.count_τ; acc.sum_τ += s.sum_τ; acc.final_γ = s.final_γ; acc.final_ψ = s.final_ψ; acc.final_h = s.final_h; acc.final_φγ = s.final_φγ; return acc; } ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCParams, DefaultConfig); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCParams, EigenConfigf); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCParams, EigenConfigd); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCParams, EigenConfigl); #ifdef ALPAQA_WITH_QUAD_PRECISION ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCParams, EigenConfigq); #endif ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCStats, DefaultConfig); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCStats, EigenConfigf); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCStats, EigenConfigd); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCStats, EigenConfigl); #ifdef ALPAQA_WITH_QUAD_PRECISION ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCStats, EigenConfigq); #endif ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCProgressInfo, DefaultConfig); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCProgressInfo, EigenConfigf); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCProgressInfo, EigenConfigd); ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCProgressInfo, EigenConfigl); #ifdef ALPAQA_WITH_QUAD_PRECISION ALPAQA_EXPORT_EXTERN_TEMPLATE(struct, PANOCProgressInfo, EigenConfigq); #endif } // namespace alpaqa