// Copyright (c) 2016, 2017, 2018, 2019 Frank Fischer <frank-fischer@shadow-soft.de>
//
// This program is free software: you can redistribute it and/or
// modify it under the terms of the GNU General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful, but
// WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
//! The main bundle method solver.
use crate::{DVector, Real};
use crate::{Evaluation, FirstOrderProblem, HKWeighter, Update};
use crate::master::{BoxedMasterProblem, Error as MasterProblemError, MasterProblem, UnconstrainedMasterProblem};
use crate::master::{CplexMaster, MinimalMaster};
use log::{debug, info, warn};
use std::error::Error;
use std::f64::{INFINITY, NEG_INFINITY};
use std::fmt;
use std::mem::swap;
use std::result::Result;
use std::time::Instant;
/// A solver error.
#[derive(Debug)]
pub enum SolverError<E> {
/// An error occured during oracle evaluation.
Evaluation(E),
/// An error occured during oracle update.
Update(E),
/// An error has been raised by the master problem.
Master(MasterProblemError),
/// The oracle did not return a minorant.
NoMinorant,
/// The dimension of some data is wrong.
Dimension,
/// Some parameter has an invalid value.
Parameter(ParameterError),
/// The lower bound of a variable is larger than the upper bound.
InvalidBounds { lower: Real, upper: Real },
/// The value of a variable is outside its bounds.
ViolatedBounds { lower: Real, upper: Real, value: Real },
/// The variable index is out of bounds.
InvalidVariable { index: usize, nvars: usize },
/// Iteration limit has been reached.
IterationLimit { limit: usize },
}
impl<E: fmt::Display> fmt::Display for SolverError<E> {
fn fmt(&self, fmt: &mut fmt::Formatter) -> Result<(), fmt::Error> {
use self::SolverError::*;
match self {
Evaluation(err) => write!(fmt, "Oracle evaluation failed: {}", err),
Update(err) => write!(fmt, "Oracle update failed: {}", err),
Master(err) => write!(fmt, "Master problem failed: {}", err),
NoMinorant => write!(fmt, "The oracle did not return a minorant"),
Dimension => write!(fmt, "Dimension of lower bounds does not match number of variables"),
Parameter(msg) => write!(fmt, "Parameter error: {}", msg),
InvalidBounds { lower, upper } => write!(fmt, "Invalid bounds, lower:{}, upper:{}", lower, upper),
ViolatedBounds { lower, upper, value } => write!(
fmt,
"Violated bounds, lower:{}, upper:{}, value:{}",
lower, upper, value
),
InvalidVariable { index, nvars } => {
write!(fmt, "Variable index out of bounds, got:{} must be < {}", index, nvars)
}
IterationLimit { limit } => write!(fmt, "The iteration limit of {} has been reached.", limit),
}
}
}
impl<E: Error> Error for SolverError<E> {
fn cause(&self) -> Option<&Error> {
match self {
SolverError::Evaluation(err) => Some(err),
SolverError::Update(err) => Some(err),
SolverError::Master(err) => Some(err),
_ => None,
}
}
}
impl<E> From<ParameterError> for SolverError<E> {
fn from(err: ParameterError) -> SolverError<E> {
SolverError::Parameter(err)
}
}
impl<E> From<MasterProblemError> for SolverError<E> {
fn from(err: MasterProblemError) -> SolverError<E> {
SolverError::Master(err)
}
}
/**
* The current state of the bundle method.
*
* Captures the current state of the bundle method during the run of
* the algorithm. This state is passed to certain callbacks like
* Terminator or Weighter so that they can compute their result
* depending on the state.
*/
pub struct BundleState<'a> {
/// Current center of stability.
pub cur_y: &'a DVector,
/// Function value in current center.
pub cur_val: Real,
/// Current candidate, point of last evaluation.
pub nxt_y: &'a DVector,
/// Function value in candidate.
pub nxt_val: Real,
/// Model value in candidate.
pub nxt_mod: Real,
/// Cut value of new subgradient in current center.
pub new_cutval: Real,
/// The current aggregated subgradient norm.
pub sgnorm: Real,
/// The expected progress of the current model.
pub expected_progress: Real,
/// Currently used weight of quadratic term.
pub weight: Real,
/**
* The type of the current step.
*
* If the current step is Step::Term, the weighter should be reset.
*/
pub step: Step,
}
impl<'a> BundleState<'a> {}
macro_rules! current_state {
($slf:ident, $step:expr) => {
BundleState {
cur_y: &$slf.cur_y,
cur_val: $slf.cur_val,
nxt_y: &$slf.nxt_y,
nxt_mod: $slf.nxt_mod,
nxt_val: $slf.nxt_val,
new_cutval: $slf.new_cutval,
sgnorm: $slf.sgnorm,
weight: $slf.master.weight(),
step: $step,
expected_progress: $slf.expected_progress,
}
};
}
/**
* Termination predicate.
*
* Given the current state of the bundle method, this function returns
* whether the solution process should be stopped.
*/
pub trait Terminator {
/// Return true if the method should stop.
fn terminate(&mut self, state: &BundleState, params: &SolverParams) -> bool;
}
/**
* Terminates if expected progress is small enough.
*/
pub struct StandardTerminator {
pub termination_precision: Real,
}
impl Terminator for StandardTerminator {
#[allow(unused_variables)]
fn terminate(&mut self, state: &BundleState, params: &SolverParams) -> bool {
assert!(self.termination_precision >= 0.0);
state.expected_progress <= self.termination_precision * (state.cur_val.abs() + 1.0)
}
}
/**
* Bundle weight controller.
*
* Given the current state of the bundle method, this function determines the
* weight factor of the quadratic term for the next iteration.
*/
pub trait Weighter {
/// Return the new weight of the quadratic term.
fn weight(&mut self, state: &BundleState, params: &SolverParams) -> Real;
}
/// An invalid value for some parameter has been passes.
#[derive(Debug)]
pub struct ParameterError(String);
impl fmt::Display for ParameterError {
fn fmt(&self, fmt: &mut fmt::Formatter) -> Result<(), fmt::Error> {
write!(fmt, "{}", self.0)
}
}
impl Error for ParameterError {}
/// Parameters for tuning the solver.
#[derive(Clone, Debug)]
pub struct SolverParams {
/// Maximal individual bundle size.
pub max_bundle_size: usize,
/**
* Factor for doing a descent step.
*
* If the proportion of actual decrease to predicted decrease is
* at least that high, a descent step will be done.
*
* Must be in (0,1).
*/
pub acceptance_factor: Real,
/**
* Factor for doing a null step.
*
* Factor that guarantees a null step. This factor is used to
* compute a bound for the function oracle, that guarantees a null
* step. If the function is evaluated by some iterative method that ensures
* an objective value that is at least as large as this bound, the
* oracle can stop returning an appropriate $\varepsilon$-subgradient.
*
* Must be in (0, acceptance_factor).
*/
pub nullstep_factor: Real,
/// Minimal allowed bundle weight. Must be > 0 and < max_weight.
pub min_weight: Real,
/// Maximal allowed bundle weight. Must be > min_weight,
pub max_weight: Real,
/**
* Maximal number of updates of box multipliers.
*
* This is the maximal number of iterations for updating the box
* multipliers when solving the master problem with box
* constraints. This is a technical parameter that should probably
* never be changed. If you experience an unexpectedly high number
* of inner iterations, consider removing/fixing the corresponding
* variables.
*/
pub max_updates: usize,
}
impl SolverParams {
/// Verify that all parameters are valid.
fn check(&self) -> Result<(), ParameterError> {
if self.max_bundle_size < 2 {
Err(ParameterError(format!(
"max_bundle_size must be >= 2 (got: {})",
self.max_bundle_size
)))
} else if self.acceptance_factor <= 0.0 || self.acceptance_factor >= 1.0 {
Err(ParameterError(format!(
"acceptance_factor must be in (0,1) (got: {})",
self.acceptance_factor
)))
} else if self.nullstep_factor <= 0.0 || self.nullstep_factor > self.acceptance_factor {
Err(ParameterError(format!(
"nullstep_factor must be in (0,acceptance_factor] (got: {}, acceptance_factor:{})",
self.nullstep_factor, self.acceptance_factor
)))
} else if self.min_weight <= 0.0 {
Err(ParameterError(format!(
"min_weight must be in > 0 (got: {})",
self.min_weight
)))
} else if self.max_weight < self.min_weight {
Err(ParameterError(format!(
"max_weight must be in >= min_weight (got: {}, min_weight: {})",
self.max_weight, self.min_weight
)))
} else if self.max_updates == 0 {
Err(ParameterError(format!(
"max_updates must be in > 0 (got: {})",
self.max_updates
)))
} else {
Ok(())
}
}
}
impl Default for SolverParams {
fn default() -> SolverParams {
SolverParams {
max_bundle_size: 50,
nullstep_factor: 0.1,
acceptance_factor: 0.1,
min_weight: 0.01,
max_weight: 1000.0,
max_updates: 50,
}
}
}
/// The step type that has been performed.
#[derive(Clone, Copy, PartialEq, Eq, Debug)]
pub enum Step {
/// A null step has been performed.
Null,
/// A descent step has been performed.
Descent,
/// No step but the algorithm has been terminated.
Term,
}
/// Information about a minorant.
#[derive(Debug, Clone)]
struct MinorantInfo {
/// The minorant's index in the master problem
index: usize,
/// Current multiplier.
multiplier: Real,
}
/// Information about the last iteration.
#[derive(Debug, Clone, Copy, PartialEq)]
pub enum IterationInfo {
NewMinorantTooHigh { new: Real, old: Real },
UpperBoundNullStep,
ShallowCut,
}
/// State information for the update callback.
pub struct UpdateState<'a, Pr: 'a> {
/// Current model minorants.
minorants: &'a [Vec<MinorantInfo>],
/// The primals.
primals: &'a Vec<Option<Pr>>,
/// The last step type.
pub step: Step,
/// Iteration information.
pub iteration_info: &'a [IterationInfo],
/// The current candidate. If the step was a descent step, this is
/// the new center.
pub nxt_y: &'a DVector,
/// The center. IF the step was a descent step, this is the old
/// center.
pub cur_y: &'a DVector,
}
impl<'a, Pr: 'a> UpdateState<'a, Pr> {
pub fn aggregated_primals(&self, subproblem: usize) -> Vec<(Real, &Pr)> {
self.minorants[subproblem]
.iter()
.map(|m| (m.multiplier, self.primals[m.index].as_ref().unwrap()))
.collect()
}
/// Return the last primal for a given subproblem.
///
/// This is the last primal generated by the oracle.
pub fn last_primal(&self, fidx: usize) -> Option<&Pr> {
self.minorants[fidx].last().and_then(|m| self.primals[m.index].as_ref())
}
}
/**
* Implementation of a bundle method.
*/
pub struct Solver<P: FirstOrderProblem> {
/// The first order problem description.
problem: P,
/// The solver parameter.
pub params: SolverParams,
/// Termination predicate.
pub terminator: Box<Terminator>,
/// Weighter heuristic.
pub weighter: Box<Weighter>,
/// Lower and upper bounds of all variables.
bounds: Vec<(Real, Real)>,
/// Current center of stability.
cur_y: DVector,
/// Function value in current point.
cur_val: Real,
/// Model value in current point.
cur_mod: Real,
/// Vector of subproblem function values in current point.
cur_vals: DVector,
/// Vector of model values in current point.
cur_mods: DVector,
/**
* Whether the data of the current center is valid.
*
* This variable is set to false of the problem data changes so
* the function is re-evaluated at the center.
*/
cur_valid: bool,
/// Direction from current center to candidate.
nxt_d: DVector,
/// Current candidate point.
nxt_y: DVector,
/// (Upper bound on) function value in candidate.
nxt_val: Real,
/// Model value in candidate.
nxt_mod: Real,
/// DVector of subproblem function values in candidate.
nxt_vals: DVector,
/// Vector of model values in candidate point.
nxt_mods: DVector,
/// Cut value of new subgradient in current center.
new_cutval: Real,
/// Norm of current aggregated subgradient.
sgnorm: Real,
/// Expected progress.
expected_progress: Real,
/// Number of descent steps.
cnt_descent: usize,
/// Number of null steps.
cnt_null: usize,
/**
* Time when the solution process started.
*
* This is actually the time of the last call to `Solver::init`.
*/
start_time: Instant,
/// The master problem.
master: Box<MasterProblem<MinorantIndex = usize>>,
/// The active minorant indices for each subproblem.
minorants: Vec<Vec<MinorantInfo>>,
/// The primals associated with each global minorant index.
primals: Vec<Option<P::Primal>>,
/// Accumulated information about the last iteration.
iterinfos: Vec<IterationInfo>,
}
impl<P: FirstOrderProblem> Solver<P>
where
P::Err: Into<Box<dyn Error>>,
{
/**
* Create a new solver for the given problem.
*
* Note that the solver owns the problem, so you cannot use the
* same problem description elsewhere as long as it is assigned to
* the solver. However, it is possible to get a reference to the
* internally stored problem using `Solver::problem()`.
*/
pub fn new_params(problem: P, params: SolverParams) -> Result<Solver<P>, SolverError<P::Err>> {
Ok(Solver {
problem,
params,
terminator: Box::new(StandardTerminator {
termination_precision: 1e-3,
}),
weighter: Box::new(HKWeighter::new()),
bounds: vec![],
cur_y: dvec![],
cur_val: 0.0,
cur_mod: 0.0,
cur_vals: dvec![],
cur_mods: dvec![],
cur_valid: false,
nxt_d: dvec![],
nxt_y: dvec![],
nxt_val: 0.0,
nxt_mod: 0.0,
nxt_vals: dvec![],
nxt_mods: dvec![],
new_cutval: 0.0,
sgnorm: 0.0,
expected_progress: 0.0,
cnt_descent: 0,
cnt_null: 0,
start_time: Instant::now(),
master: Box::new(BoxedMasterProblem::new(MinimalMaster::new()?)),
minorants: vec![],
primals: vec![],
iterinfos: vec![],
})
}
/// A new solver with default parameter.
pub fn new(problem: P) -> Result<Solver<P>, SolverError<P::Err>> {
Solver::new_params(problem, SolverParams::default())
}
/**
* Set the first order problem description associated with this
* solver.
*
* Note that the solver owns the problem, so you cannot use the
* same problem description elsewhere as long as it is assigned to
* the solver. However, it is possible to get a reference to the
* internally stored problem using `Solver::problem()`.
*/
pub fn set_problem(&mut self, problem: P) {
self.problem = problem;
}
/// Returns a reference to the solver's current problem.
pub fn problem(&self) -> &P {
&self.problem
}
/// Initialize the solver.
pub fn init(&mut self) -> Result<(), SolverError<P::Err>> {
self.params.check()?;
if self.cur_y.len() != self.problem.num_variables() {
self.cur_valid = false;
self.cur_y.init0(self.problem.num_variables());
}
let lb = self.problem.lower_bounds();
let ub = self.problem.upper_bounds();
self.bounds.clear();
self.bounds.reserve(self.cur_y.len());
for i in 0..self.cur_y.len() {
let lb_i = lb.as_ref().map(|x| x[i]).unwrap_or(NEG_INFINITY);
let ub_i = ub.as_ref().map(|x| x[i]).unwrap_or(INFINITY);
if lb_i > ub_i {
return Err(SolverError::InvalidBounds {
lower: lb_i,
upper: ub_i,
});
}
if self.cur_y[i] < lb_i {
self.cur_valid = false;
self.cur_y[i] = lb_i;
} else if self.cur_y[i] > ub_i {
self.cur_valid = false;
self.cur_y[i] = ub_i;
}
self.bounds.push((lb_i, ub_i));
}
let m = self.problem.num_subproblems();
self.cur_vals.init0(m);
self.cur_mods.init0(m);
self.nxt_vals.init0(m);
self.nxt_mods.init0(m);
self.start_time = Instant::now();
Ok(())
}
/// Solve the problem with at most 10_000 iterations.
///
/// Use `solve_with_limit` for an explicit iteration limit.
pub fn solve(&mut self) -> Result<(), SolverError<P::Err>> {
const LIMIT: usize = 10_000;
self.solve_with_limit(LIMIT)
}
/// Solve the problem with explicit iteration limit.
pub fn solve_with_limit(&mut self, iter_limit: usize) -> Result<(), SolverError<P::Err>> {
// First initialize the internal data structures.
self.init()?;
if self.solve_iter(iter_limit)? {
Ok(())
} else {
Err(SolverError::IterationLimit { limit: iter_limit })
}
}
/// Solve the problem but stop after `niter` iterations.
///
/// The function returns `Ok(true)` if the termination criterion
/// has been satisfied. Otherwise it returns `Ok(false)` or an
/// error code.
///
/// If this function is called again, the solution process is
/// continued from the previous point. Because of this one must
/// call `init()` before the first call to this function.
pub fn solve_iter(&mut self, niter: usize) -> Result<bool, SolverError<P::Err>> {
for _ in 0..niter {
let mut term = self.step()?;
let changed = self.update_problem(term)?;
// do not stop if the problem has been changed
if changed && term == Step::Term {
term = Step::Null
}
self.show_info(term);
if term == Step::Term {
return Ok(true);
}
}
Ok(false)
}
/// Called to update the problem.
///
/// Calling this function typically triggers the problem to
/// separate new constraints depending on the current solution.
fn update_problem(&mut self, term: Step) -> Result<bool, SolverError<P::Err>> {
let updates = {
let state = UpdateState {
minorants: &self.minorants,
primals: &self.primals,
step: term,
iteration_info: &self.iterinfos,
// this is a dirty trick: when updating the center, we
// simply swapped the `cur_*` fields with the `nxt_*`
// fields
cur_y: if term == Step::Descent {
&self.nxt_y
} else {
&self.cur_y
},
nxt_y: if term == Step::Descent {
&self.cur_y
} else {
&self.nxt_y
},
};
self.problem.update(&state).map_err(SolverError::Update)?
};
let mut newvars = Vec::with_capacity(updates.len());
for u in updates {
match u {
Update::AddVariable { lower, upper } => {
if lower > upper {
return Err(SolverError::InvalidBounds { lower, upper });
}
let value = if lower > 0.0 {
lower
} else if upper < 0.0 {
upper
} else {
0.0
};
self.bounds.push((lower, upper));
newvars.push((None, lower - value, upper - value, value));
}
Update::AddVariableValue { lower, upper, value } => {
if lower > upper {
return Err(SolverError::InvalidBounds { lower, upper });
}
if value < lower || value > upper {
return Err(SolverError::ViolatedBounds { lower, upper, value });
}
self.bounds.push((lower, upper));
newvars.push((None, lower - value, upper - value, value));
}
Update::MoveVariable { index, value } => {
if index >= self.bounds.len() {
return Err(SolverError::InvalidVariable {
index,
nvars: self.bounds.len(),
});
}
let (lower, upper) = self.bounds[index];
if value < lower || value > upper {
return Err(SolverError::ViolatedBounds { lower, upper, value });
}
newvars.push((Some(index), lower - value, upper - value, value));
}
}
}
if !newvars.is_empty() {
let problem = &mut self.problem;
let primals = &self.primals;
self.master.add_vars(
&newvars.iter().map(|v| (v.0, v.1, v.2)).collect::<Vec<_>>(),
&mut |_fidx, minidx, vars| {
problem
.extend_subgradient(primals[minidx].as_ref().unwrap(), vars)
.map(DVector)
.map_err(|e| e.into())
},
)?;
// modify moved variables
for (index, val) in newvars.iter().filter_map(|v| v.0.map(|i| (i, v.3))) {
self.cur_y[index] = val;
self.nxt_y[index] = val;
self.nxt_d[index] = 0.0;
}
// add new variables
self.cur_y.extend(newvars.iter().filter(|v| v.0.is_none()).map(|v| v.3));
self.nxt_y.extend(newvars.iter().filter(|v| v.0.is_none()).map(|v| v.3));
self.nxt_d.resize(self.nxt_y.len(), 0.0);
Ok(true)
} else {
Ok(false)
}
}
/// Return the current aggregated primal information for a subproblem.
///
/// This function returns all currently used minorants $x_i$ along
/// with their coefficients $\alpha_i$. The aggregated primal can
/// be computed by combining the minorants $\bar{x} =
/// \sum_{i=1}\^m \alpha_i x_i$.
pub fn aggregated_primals(&self, subproblem: usize) -> Vec<(Real, &P::Primal)> {
self.minorants[subproblem]
.iter()
.map(|m| (m.multiplier, self.primals[m.index].as_ref().unwrap()))
.collect()
}
fn show_info(&self, step: Step) {
let time = self.start_time.elapsed();
info!(
"{} {:0>2}:{:0>2}:{:0>2}.{:0>2} {:4} {:4} {:4}{:1} {:9.4} {:9.4} \
{:12.6e}({:12.6e}) {:12.6e}",
if step == Step::Term { "_endit" } else { "endit " },
time.as_secs() / 3600,
(time.as_secs() / 60) % 60,
time.as_secs() % 60,
time.subsec_nanos() / 10_000_000,
self.cnt_descent,
self.cnt_descent + self.cnt_null,
self.master.cnt_updates(),
if step == Step::Descent { "*" } else { " " },
self.master.weight(),
self.expected_progress,
self.nxt_mod,
self.nxt_val,
self.cur_val
);
}
/// Return the current center of stability.
pub fn center(&self) -> &[Real] {
&self.cur_y
}
/// Return the last candidate point.
pub fn candidate(&self) -> &[Real] {
&self.nxt_y
}
/**
* Initializes the master problem.
*
* The oracle is evaluated once at the initial center and the
* master problem is initialized with the returned subgradient
* information.
*/
fn init_master(&mut self) -> Result<(), SolverError<P::Err>> {
let m = self.problem.num_subproblems();
self.master = if m == 1 && self.params.max_bundle_size == 2 {
debug!("Use minimal master problem");
Box::new(BoxedMasterProblem::new(MinimalMaster::new()?))
} else {
debug!("Use CPLEX master problem");
Box::new(BoxedMasterProblem::new(CplexMaster::new()?))
};
let lb = self.problem.lower_bounds().map(DVector);
let ub = self.problem.upper_bounds().map(DVector);
if lb
.as_ref()
.map(|lb| lb.len() != self.problem.num_variables())
.unwrap_or(false)
{
return Err(SolverError::Dimension);
}
if ub
.as_ref()
.map(|ub| ub.len() != self.problem.num_variables())
.unwrap_or(false)
{
return Err(SolverError::Dimension);
}
self.master.set_num_subproblems(m)?;
self.master.set_vars(self.problem.num_variables(), lb, ub)?;
self.master.set_max_updates(self.params.max_updates)?;
self.minorants = (0..m).map(|_| vec![]).collect();
self.cur_val = 0.0;
for i in 0..m {
let result = self
.problem
.evaluate(i, &self.cur_y, INFINITY, 0.0)
.map_err(SolverError::Evaluation)?;
self.cur_vals[i] = result.objective();
self.cur_val += self.cur_vals[i];
let mut minorants = result.into_iter();
if let Some((minorant, primal)) = minorants.next() {
self.cur_mods[i] = minorant.constant;
self.cur_mod += self.cur_mods[i];
let minidx = self.master.add_minorant(i, minorant)?;
self.minorants[i].push(MinorantInfo {
index: minidx,
multiplier: 0.0,
});
if minidx >= self.primals.len() {
self.primals.resize_with(minidx + 1, || None);
}
self.primals[minidx] = Some(primal);
} else {
return Err(SolverError::NoMinorant);
}
}
self.cur_valid = true;
// Solve the master problem once to compute the initial
// subgradient.
//
// We could compute that subgradient directly by
// adding up the initial minorants, but this would not include
// the eta terms. However, this is a heuristic anyway because
// we assume an initial weight of 1.0, which, in general, will
// *not* be the initial weight for the first iteration.
self.master.set_weight(1.0)?;
self.master.solve(self.cur_val)?;
self.sgnorm = self.master.get_dualoptnorm2().sqrt();
// Compute the real initial weight.
let state = current_state!(self, Step::Term);
let new_weight = self.weighter.weight(&state, &self.params);
self.master.set_weight(new_weight)?;
debug!("Init master completed");
Ok(())
}
/// Solve the model (i.e. master problem) to compute the next candidate.
fn solve_model(&mut self) -> Result<(), SolverError<P::Err>> {
self.master.solve(self.cur_val)?;
self.nxt_d = self.master.get_primopt();
self.nxt_y.add(&self.cur_y, &self.nxt_d);
self.nxt_mod = self.master.get_primoptval();
self.sgnorm = self.master.get_dualoptnorm2().sqrt();
self.expected_progress = self.cur_val - self.nxt_mod;
// update multiplier from master solution
for i in 0..self.problem.num_subproblems() {
for m in &mut self.minorants[i] {
m.multiplier = self.master.multiplier(m.index);
}
}
debug!("Model result");
debug!(" cur_val ={}", self.cur_val);
debug!(" nxt_mod ={}", self.nxt_mod);
debug!(" expected={}", self.expected_progress);
Ok(())
}
/// Reduce size of bundle.
fn compress_bundle(&mut self) -> Result<(), SolverError<P::Err>> {
for i in 0..self.problem.num_subproblems() {
let n = self.master.num_minorants(i);
if n >= self.params.max_bundle_size {
// aggregate minorants with smallest coefficients
self.minorants[i].sort_by_key(|m| -((1e6 * m.multiplier) as isize));
let aggr = self.minorants[i].split_off(self.params.max_bundle_size - 2);
let aggr_sum = aggr.iter().map(|m| m.multiplier).sum();
let (aggr_mins, aggr_primals): (Vec<_>, Vec<_>) = aggr
.into_iter()
.map(|m| (m.index, self.primals[m.index].take().unwrap()))
.unzip();
let (aggr_min, aggr_coeffs) = self.master.aggregate(i, &aggr_mins)?;
// append aggregated minorant
self.minorants[i].push(MinorantInfo {
index: aggr_min,
multiplier: aggr_sum,
});
self.primals[aggr_min] = Some(
self.problem
.aggregate_primals(aggr_coeffs.into_iter().zip(aggr_primals.into_iter()).collect()),
);
}
}
Ok(())
}
/// Perform a descent step.
fn descent_step(&mut self) -> Result<(), SolverError<P::Err>> {
let new_weight = self.weighter.weight(¤t_state!(self, Step::Descent), &self.params);
self.master.set_weight(new_weight)?;
self.cnt_descent += 1;
swap(&mut self.cur_y, &mut self.nxt_y);
swap(&mut self.cur_val, &mut self.nxt_val);
swap(&mut self.cur_mod, &mut self.nxt_mod);
swap(&mut self.cur_vals, &mut self.nxt_vals);
swap(&mut self.cur_mods, &mut self.nxt_mods);
self.master.move_center(1.0, &self.nxt_d);
debug!("Descent Step");
debug!(" dir ={}", self.nxt_d);
debug!(" newy={}", self.cur_y);
Ok(())
}
/// Perform a null step.
fn null_step(&mut self) -> Result<(), SolverError<P::Err>> {
let new_weight = self.weighter.weight(¤t_state!(self, Step::Null), &self.params);
self.master.set_weight(new_weight)?;
self.cnt_null += 1;
debug!("Null Step");
Ok(())
}
/// Perform one bundle iteration.
#[allow(clippy::collapsible_if)]
pub fn step(&mut self) -> Result<Step, SolverError<P::Err>> {
self.iterinfos.clear();
if !self.cur_valid {
// current point needs new evaluation
self.init_master()?;
}
self.solve_model()?;
if self
.terminator
.terminate(¤t_state!(self, Step::Term), &self.params)
{
return Ok(Step::Term);
}
let m = self.problem.num_subproblems();
let descent_bnd = self.get_descent_bound();
let nullstep_bnd = if m == 1 { self.get_nullstep_bound() } else { INFINITY };
let relprec = if m == 1 { self.get_relative_precision() } else { 0.0 };
self.compress_bundle()?;
let mut nxt_lb = 0.0;
let mut nxt_ub = 0.0;
self.new_cutval = 0.0;
for fidx in 0..self.problem.num_subproblems() {
let result = self
.problem
.evaluate(fidx, &self.nxt_y, nullstep_bnd, relprec)
.map_err(SolverError::Evaluation)?;
let fun_ub = result.objective();
let mut minorants = result.into_iter();
let mut nxt_minorant;
let nxt_primal;
match minorants.next() {
Some((m, p)) => {
nxt_minorant = m;
nxt_primal = p;
}
None => return Err(SolverError::NoMinorant),
}
let fun_lb = nxt_minorant.constant;
nxt_lb += fun_lb;
nxt_ub += fun_ub;
self.nxt_vals[fidx] = fun_ub;
// move center of minorant to cur_y
nxt_minorant.move_center(-1.0, &self.nxt_d);
self.new_cutval += nxt_minorant.constant;
let minidx = self.master.add_minorant(fidx, nxt_minorant)?;
self.minorants[fidx].push(MinorantInfo {
index: minidx,
multiplier: 0.0,
});
if minidx >= self.primals.len() {
self.primals.resize_with(minidx + 1, || None);
}
self.primals[minidx] = Some(nxt_primal);
}
if self.new_cutval > self.cur_val + 1e-3 {
warn!(
"New minorant has higher value in center new:{} old:{}",
self.new_cutval, self.cur_val
);
self.cur_val = self.new_cutval;
self.iterinfos.push(IterationInfo::NewMinorantTooHigh {
new: self.new_cutval,
old: self.cur_val,
});
}
self.nxt_val = nxt_ub;
// check for potential problems with relative precision of all kinds
if nxt_lb <= descent_bnd {
// lower bound gives descent step
if nxt_ub > descent_bnd {
// upper bound will produce null-step
if self.cur_val - nxt_lb > (self.cur_val - self.nxt_mod) * self.params.nullstep_factor.max(0.5) {
warn!("Relative precision of returned objective interval enforces null-step.");
self.iterinfos.push(IterationInfo::UpperBoundNullStep);
}
}
} else if self.cur_val - nxt_lb > 0.8 * (self.cur_val - self.nxt_mod) {
// TODO: double check with ConicBundle if this test makes sense.
// lower bound gives already a null step
// subgradient won't yield much improvement
warn!("Shallow cut (subgradient won't yield much improvement)");
self.iterinfos.push(IterationInfo::ShallowCut);
}
debug!("Step");
debug!(" cur_val ={}", self.cur_val);
debug!(" nxt_mod ={}", self.nxt_mod);
debug!(" nxt_ub ={}", self.nxt_val);
debug!(" descent_bnd={}", descent_bnd);
// do a descent step or null step
if nxt_ub <= descent_bnd {
self.descent_step()?;
Ok(Step::Descent)
} else {
self.null_step()?;
Ok(Step::Null)
}
}
/**
* Return the bound on the function value that enforces a
* nullstep.
*
* If the oracle guarantees that $f(\bar{y}) \ge$ this bound, the
* bundle method will perform a nullstep.
*
* This value is $f(\hat{y}) + \varrho' \cdot \Delta$ where
* $\Delta = f(\hat{y}) - \hat{f}(\bar{y})$ is the expected
* progress and $\varrho'$ is the `nullstep_factor`.
*/
fn get_nullstep_bound(&self) -> Real {
self.cur_val - self.params.nullstep_factor * (self.cur_val - self.nxt_mod)
}
/**
* Return the bound the function value must be below of to enforce a descent step.
*
* If the oracle guarantees that $f(\bar{y}) \le$ this bound, the
* bundle method will perform a descent step.
*
* This value is $f(\hat{y}) + \varrho \cdot \Delta$ where
* $\Delta = f(\hat{y}) - \hat{f}(\bar{y})$ is the expected
* progress and $\varrho$ is the `acceptance_factor`.
*/
fn get_descent_bound(&self) -> Real {
self.cur_val - self.params.acceptance_factor * (self.cur_val - self.nxt_mod)
}
/**
* Return the required relative precision for the computation.
*/
fn get_relative_precision(&self) -> Real {
(0.1 * (self.cur_val - self.get_nullstep_bound()) / (self.cur_val.abs() + 1.0)).min(1e-3)
}
}