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#[cfg(feature = "crossbeam")]
use rs_crossbeam::channel::{unbounded as channel, RecvError};
#[cfg(not(feature = "crossbeam"))]
use std::sync::mpsc::{channel, RecvError};
use float_pretty_print::PrettyPrintFloat;
use log::{debug, info, warn};
use num_cpus;
use num_traits::{Float, ToPrimitive};
use num_traits::{Float, ToPrimitive, Zero};
use std::iter::repeat;
use std::sync::Arc;
use std::time::Instant;
use threadpool::ThreadPool;
use crate::{DVector, Real};
use super::channels::{
ChannelResultSender, ChannelUpdateSender, ClientReceiver, ClientSender, EvalResult, Message, Update,
};
use super::masterprocess::{self, MasterConfig, MasterProcess, MasterResponse, Response};
use crate::data::Minorant;
use crate::master::{Builder as MasterBuilder, MasterProblem};
use crate::problem::{FirstOrderProblem, UpdateState};
use crate::terminator::{StandardTerminatable, StandardTerminator, Terminator};
use crate::weighter::{HKWeightable, HKWeighter, Weighter};
mod subzero;
use subzero::SubZero;
pub mod guessmodels;
use guessmodels::{Guess, GuessModel, NearestValue};
/// The default iteration limit.
pub const DEFAULT_ITERATION_LIMIT: usize = 10_000;
/// The default solver.
pub type DefaultSolver<P> = Solver<P, StandardTerminator, HKWeighter, crate::master::FullMasterBuilder>;
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#[derive(Clone, Copy, Debug)]
struct EvalId {
/// The index of the subproblem.
subproblem: usize,
/// The index of the candidate at which the subproblem is evaluated.
candidate_index: usize,
}
/// An evaluation point.
#[derive(Clone)]
pub struct Point {
/// The globally unique index of the evaluation point.
index: usize,
/// The evaluation point itself.
point: Arc<DVector>,
}
impl Point {
fn distance(&self, p: &Point) -> Real {
if self.index != p.index {
let mut d = self.point.as_ref().clone();
d.add_scaled(-1.0, &p.point);
d.norm2()
} else {
Real::zero()
}
}
}
impl Default for Point {
fn default() -> Point {
Point {
index: 0,
point: Arc::new(dvec![]),
}
}
}
/// Parameters for tuning the solver.
#[derive(Debug, Clone)]
pub struct Parameters {
/// The descent step acceptance factors, must be in (0,1).
///
/// The default value is 0.1.
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Descent,
/// No step but the algorithm has been terminated.
Term,
}
pub struct SolverData {
/// Current center of stability.
cur_y: Arc<DVector>,
cur_y: Point,
/// Function value in the current point.
cur_val: Real,
/// Step direction (i.e. nxt_y - cur_y).
nxt_d: Arc<DVector>,
/// Current candidate.
nxt_y: Point,
/// Function value at the current candidate.
nxt_val: Real,
/// Model value at the current candidate.
nxt_mod: Real,
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/// Number of inner model updates.
cnt_updates: usize,
/// Number of descent steps.
cnt_descent: usize,
/// Index of the current center.
center_index: usize,
/// The number of subproblems with insufficient evaluation data.
num_insufficient_candidates: usize,
/// Index of the current candidate.
candidate_index: usize,
/// The number of subproblems that have not been evaluated exactly in the center.
num_inexact_center: usize,
/// The number of subproblems with insufficient evaluation data.
num_insufficient_candidates: usize,
/// Whether the next step should be a forced descent step.
force_descent: bool,
/// Subproblem data.
subs: Vec<SubData>,
/// Step direction (i.e. nxt_y - cur_y).
nxt_d: Arc<DVector>,
/// Current candidate.
nxt_y: Arc<DVector>,
/// The list of all evaluation points.
candidates: Vec<EvalPoint>,
candidates: Vec<Point>,
/// Whether we need a new update
need_update: bool,
/// Whether a problem update is currently in progress.
update_in_progress: bool,
}
impl SolverData {
/// Reset solver data to initial values.
///
/// This means that almost everything is set to +infinity so that
/// a null-step is forced after the first evaluation.
fn init(&mut self, y: DVector) {
fn init(&mut self, y: Point) {
self.cnt_descent = 0;
self.cur_y = Arc::new(y);
self.cur_y = y.clone();
self.cur_val = Real::infinity();
self.nxt_y = y;
self.nxt_val = Real::infinity();
self.nxt_mod = -Real::infinity();
self.nxt_submods = vec![-Real::infinity(); self.nxt_submods.len()];
self.expected_progress = Real::infinity();
self.error_bound = Real::infinity();
self.candidates.clear();
self.candidate_index = 0;
self.sgnorm = Real::infinity();
self.cur_weight = 1.0;
self.num_insufficient_candidates = 0;
self.num_inexact_center = self.nxt_submods.len();
self.force_descent = false;
}
}
impl Default for SolverData {
fn default() -> SolverData {
SolverData {
cur_y: Arc::new(dvec![]),
cur_y: Point::default(),
cur_val: 0.0,
nxt_val: 0.0,
nxt_mod: 0.0,
nxt_submods: vec![],
expected_progress: 0.0,
sgnorm: 0.0,
error_bound: Real::infinity(),
cur_weight: 1.0,
center_index: 0,
candidate_index: 0,
num_insufficient_candidates: 0,
num_inexact_center: 0,
force_descent: false,
candidates: vec![],
max_iter: 0,
cnt_descent: 0,
cnt_updates: 0,
subs: vec![],
nxt_d: Arc::new(dvec![]),
nxt_y: Arc::new(dvec![]),
nxt_y: Point::default(),
need_update: true,
update_in_progress: false,
}
}
}
impl StandardTerminatable for SolverData {
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impl HKWeightable for SolverData {
fn current_weight(&self) -> Real {
self.cur_weight
}
fn center(&self) -> &DVector {
&self.cur_y
&self.cur_y.point
}
fn center_value(&self) -> Real {
self.cur_val
}
fn candidate_value(&self) -> Real {
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}
fn aggregated_primal(&self, i: usize) -> &Pr {
&self.primal_aggrs[i]
}
}
/// Information about an evaluation point.
#[derive(Clone)]
struct EvalPoint {
/// The index of the evaluation point.
index: usize,
/// The evaluation point itself.
point: Arc<DVector>,
/// The current center point.
center: Arc<DVector>,
/// The direction from the current center to the current candidate.
nxt_d: Arc<DVector>,
/// The direction from the current center to this evaluation point.
center_d: DVector,
/// The l2-distance to the current candidate.
candidate_dist: Real,
/// The index of the current center.
center_index: usize,
/// The index of the current candidate.
candidate_index: usize,
}
impl EvalPoint {
fn new(
index: usize,
y: Arc<DVector>,
center_index: usize,
center: &Arc<DVector>,
candidate_index: usize,
candidate: &DVector,
nxt_d: &Arc<DVector>,
) -> EvalPoint {
// Initialize evaluation point with some dummy data.
let mut p = EvalPoint {
index,
point: y,
center: center.clone(),
nxt_d: nxt_d.clone(),
center_d: DVector::default(),
candidate_dist: 0.0,
center_index: center_index + 1, // +1 ensures that the call to `update` will take effect
candidate_index: candidate_index + 1,
};
// Initialize the distances/directions.
p.update(center_index, center, candidate_index, candidate, nxt_d);
p
}
/// Possibly data if center or candidate changes.
fn update(
&mut self,
center_index: usize,
center: &Arc<DVector>,
candidate_index: usize,
candidate: &DVector,
nxt_d: &Arc<DVector>,
) {
// candidate changed -> update candidate_dist = |y - y_cand|
if self.candidate_index != candidate_index {
let mut cand_d = self.point.as_ref().clone();
cand_d.add_scaled(-1.0, candidate);
self.candidate_dist = cand_d.norm2();
}
// center changed -> update direction center_d = y - y_center
if self.center_index != center_index {
self.center_d = self.point.as_ref().clone();
self.center_d.add_scaled(-1.0, center);
self.center = center.clone();
}
// candidate or center changed -> update direction nxt_d = y_cand - y_center
if center_index != self.center_index || candidate_index != self.candidate_index {
self.nxt_d = nxt_d.clone();
}
self.center_index = center_index;
self.candidate_index = candidate_index;
}
}
/// Update of the guess value in the current candidate.
enum SubCandidateUpdate {
Unchanged,
New { dist: Real, value: Real },
Diff { dist: Real, diff: Real },
}
/// Update of the center value in the current candidate.
enum SubCenterUpdate {
Unchanged,
New { value: Real },
Diff { diff: Real },
}
/// A subproblem model for guessing candidate and center values.
trait SubProblem {
/// Add a function value at the given evaluation point.
///
/// ## Parameters
/// - `y`: the evaluation point
/// - `value`: the function value
///
/// The function returns an information update about the model's (estimated)
/// value in the candidate.
fn new_function_value(&mut self, y: &EvalPoint, value: Real) -> SubCandidateUpdate;
/// Add a new minorant at the given evaluation point.
///
/// The minorant is always centered at the current center.
///
/// ## Parameters
/// - `y`: the evaluation point
/// - `minorant`: the new minorant
///
/// The function returns the difference in both, the guess of the
/// current candidate AND the current center lower bound.
fn new_minorant(&mut self, y: &EvalPoint, minorant: &Minorant) -> (SubCenterUpdate, SubCandidateUpdate);
/// Set the new candidate.
///
/// The function gets the index, the candidate point and the model value.
///
/// The function returns an initial guess for the new candidate or `None` if
/// there is no initial guess.
fn set_candidate(
&mut self,
index: usize,
y: &Arc<DVector>,
nxt_d: &Arc<DVector>,
value: Real,
) -> SubCandidateUpdate;
/// Move the new center to the current candidate.
///
/// The function returns an (optional) initial lower bound for the center value.
fn move_center(&mut self, d: &Arc<DVector>) -> Option<Real>;
/// Return the current center guess value of this subproblem.
fn cur_guess_value(&self) -> Real;
/// Return the current center cut value (lower bound) of this subproblem.
fn cur_cut_value(&self) -> Real;
/// Return the distance measure to the current candidate.
fn eval_distance(&self) -> Real;
}
/// Model data of a single subproblem.
///
/// This struct does not handle the subproblem model itself. However, it handles
/// the asynchronous precision data, i.e. the guessed Lipschitz-constant and the
/// distance of the evaluation points to the candidate.
///
/// The concrete model used for computing the guessed values in the candidate
/// and the center must be provided by an implementation of `SubProblem`.
struct SubData {
/// The index associated with this subproblem.
fidx: usize,
/// The subproblem.
sub: Box<dyn SubProblem>,
/// The current candidate index.
candidate_index: usize,
sub: Box<dyn GuessModel>,
/// The current center.
center: Point,
/// The current candidate.
candidate: Point,
/// The last index at which the evaluation has been started.
last_eval_index: usize,
/// Whether a subproblem evaluation is currently running.
is_running: bool,
/// Whether the last evaluation has been sufficiently close.
is_close_enough: bool,
/// The original guess value and its evaluation distance in the current center.
center_guess: Guess,
/// The current guess of the Lipschitz constant.
l_guess: Real,
}
impl SubData {
fn new(fidx: usize, sub: Box<dyn SubProblem>) -> SubData {
fn new(fidx: usize, sub: Box<dyn GuessModel>, y: &Point) -> SubData {
SubData {
fidx,
sub,
last_eval_index: 0,
center: y.clone(),
candidate_index: 0,
candidate: y.clone(),
is_running: false,
is_close_enough: false,
center_guess: Guess::default(),
l_guess: 0.0,
}
}
fn new_function_value(&mut self, y: &EvalPoint, value: Real, accept_factor: Real) -> SubCandidateUpdate {
let update = self.sub.new_function_value(y, value);
self.update_close_enough(&update, y.index, accept_factor);
/// Set the center of this model.
match update {
SubCandidateUpdate::Diff { dist, .. } | SubCandidateUpdate::New { dist, .. } => debug!(
"Improved candidate fidx:{} eval:{} new-dist:{} l:{}",
self.fidx, y.index, dist, self.l_guess
),
_ => (),
};
///
update
}
/// If `update_l_guess` is true also update the guess of the Lipschitz constant.
fn new_minorant(&mut self, y: &EvalPoint, minorant: &Minorant) -> (SubCenterUpdate, SubCandidateUpdate) {
self.sub.new_minorant(y, minorant)
}
fn move_center(&mut self, y: &Point, update_l_guess: bool) {
fn set_candidate(
&mut self,
index: usize,
y: &Arc<DVector>,
nxt_d: &Arc<DVector>,
value: Real,
accept_factor: Real,
) -> SubCandidateUpdate {
let update = self.sub.set_candidate(index, y, nxt_d, value);
let dist = match update {
SubCandidateUpdate::New { dist, .. } | SubCandidateUpdate::Diff { dist, .. } => dist,
_ => 0.0,
};
assert_eq!(y.index, self.candidate.index, "Must move to current candidate");
self.update_close_enough(&update, index, accept_factor);
self.candidate_index = index;
debug!(
"Old evaluation {}sufficient fidx:{} at:{} dist:{}",
if self.is_close_enough { "" } else { "in " },
self.fidx,
index,
dist,
);
// The guess value used in the current (i.e. old) center
update
}
/// Move the center to the current candidate.
let old_guess = self.center_guess;
// The cut value now known for the center.
///
/// If `update_l_guess` is `true`, also update the guess of the Lipschitz
/// constant.
fn move_center(&mut self, d: &Arc<DVector>, update_l_guess: bool) -> Option<Real> {
let eval_dist = self.sub.eval_distance();
let cur_guess_value = self.sub.cur_guess_value();
let cur_cutvalue = self.sub.move_center(d);
let old_cutvalue = self.sub.get_lower_bound(&self.center);
// There has been a previous evaluation, so first update the Lipschitz guess ...
if let Some(cur_cutvalue) = cur_cutvalue {
if update_l_guess && eval_dist > 0.0 {
let new_l_guess = (cur_cutvalue - cur_guess_value) / eval_dist;
if new_l_guess > self.l_guess {
debug!(
"New l_guess fidx:{} old-L:{} L:{}",
self.fidx, self.l_guess, new_l_guess
);
self.l_guess = new_l_guess;
}
}
}
if update_l_guess && old_guess.dist > Real::zero() {
debug!(
"L-guess fidx:{} guess:{} cut:{}",
self.fidx, old_guess.value, old_cutvalue
);
let new_l_guess = if old_guess.dist.is_finite() {
(old_cutvalue - old_guess.value) / old_guess.dist
} else {
Real::zero()
};
if new_l_guess > self.l_guess {
debug!(
"New l_guess fidx:{} old-L:{} L:{}",
self.fidx, self.l_guess, new_l_guess
);
self.l_guess = new_l_guess;
}
}
// Save the new center
self.center = y.clone();
cur_cutvalue
// Save guess value of the candidate/new center
self.center_guess = self.sub.get_guess_value(&self.center);
}
fn update_close_enough(&mut self, update: &SubCandidateUpdate, eval_index: usize, accept_factor: Real) {
match update {
SubCandidateUpdate::New { dist, .. } | SubCandidateUpdate::Diff { dist, .. } => {
self.is_close_enough = eval_index == self.candidate_index || dist * self.l_guess <= accept_factor;
}
_ => (),
}
}
/// Return the current guessed value in the center.
fn cur_guess_value(&self) -> Real {
self.sub.cur_guess_value()
/// Set the candidate of this model.
fn update_candidate(&mut self, y: &Point, accept_factor: Real) {
self.candidate = y.clone();
self.update_close_enough(accept_factor);
}
/// Add a function value to this model.
///
/// The `accept_factor` is a parameter for possibly accepting
/// the candidate guess value as "good enough" (if it has been
/// changed by the new minorant).
fn add_function_value(&mut self, y: &Point, value: Real, accept_factor: Real) {
self.sub.add_function_value(y, value);
self.update_close_enough(accept_factor)
}
/// Add a minorant to this model.
///
/// The `accept_factor` is a parameter for possibly accepting
/// the candidate guess value as "good enough" (if it has been
/// changed by the new minorant).
///
/// The minorant must be centered at the global 0.
fn add_minorant(&mut self, y: &Point, m: &Arc<Minorant>, accept_factor: Real) {
self.sub.add_minorant(y, m);
self.update_close_enough(accept_factor)
}
/// Return the current guess value at the given point.
fn get_guess_value(&mut self, y: &Point) -> Guess {
self.sub.get_guess_value(y)
}
/// Return the lower bound at the given point.
fn get_lower_bound(&mut self, y: &Point) -> Real {
self.sub.get_lower_bound(y)
}
fn update_close_enough(&mut self, accept_factor: Real) {
let g = self.sub.get_guess_value(&self.candidate);
self.is_close_enough = g.is_exact() || g.dist * self.l_guess <= accept_factor
}
/// Return the error estimation in the center.
///
/// This is the difference between the (current) lower bound and the used
/// guess value.
fn error_estimate(&self) -> Real {
self.sub.cur_cut_value() - self.sub.cur_guess_value()
fn error_estimate(&mut self) -> Real {
self.sub.get_lower_bound(&self.center) - self.center_guess.value
}
fn center_guess_value(&self) -> Real {
self.center_guess.value
}
}
/// Implementation of a parallel bundle method.
pub struct Solver<P, T = StandardTerminator, W = HKWeighter, M = crate::master::FullMasterBuilder>
where
P: FirstOrderProblem,
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/// The master problem process.
master_proc: Option<MasterProcess<P, M::MasterProblem>>,
/// Whether there is currently a master computation running.
master_running: bool,
/// Whether the master problem has been changed.
master_need_resolve: bool,
master_has_changed: bool,
/// The channel to receive the evaluation results from subproblems.
client_tx: Option<ClientSender<EvalId, P, M::MasterProblem>>,
/// The channel to receive the evaluation results from subproblems.
client_rx: Option<ClientReceiver<EvalId, P, M::MasterProblem>>,
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weighter: Default::default(),
problem,
data: SolverData::default(),
threadpool: ThreadPool::with_name("Parallel bundle solver".to_string(), ncpus),
master,
master_proc: None,
master_need_resolve: false,
master_has_changed: false,
master_running: false,
client_tx: None,
client_rx: None,
start_time: Instant::now(),
}
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/// This function is automatically called by [`Solver::solve`].
pub fn init(&mut self) -> Result<(), P, M> {
debug!("Initialize solver");
let n = self.problem.num_variables();
let m = self.problem.num_subproblems();
self.data.init(dvec![0.0; n]);
self.data.init(Point {
index: 1,
point: Arc::new(dvec![Real::zero(); n]),
});
let (tx, rx) = channel();
self.client_tx = Some(tx.clone());
self.client_rx = Some(rx);
let master_config = MasterConfig {
num_subproblems: m,
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self.master.build().map_err(Error::BuildMaster)?,
master_config,
tx,
&mut self.threadpool,
));
debug!("Initial problem evaluation");
// The initial evaluation point.
self.data.nxt_y = self.data.cur_y.clone();
// We need an initial evaluation of all oracles for the first center.
self.data.subs = (0..m)
.map(|fidx| SubData::new(fidx, Box::new(SubZero::new())))
.map(|fidx| SubData::new(fidx, Box::new(NearestValue::new()), &self.data.cur_y))
.collect();
self.data.nxt_y = self.data.cur_y.clone();
// The initial evaluation point.
let evalpoint = EvalPoint::new(
self.data.candidate_index,
self.data.nxt_y.clone(),
self.data.candidate_index,
&self.data.cur_y,
self.data.candidate_index,
&self.data.nxt_y,
&self.data.nxt_d,
);
// This could be done better: the initial evaluation has index 1!
self.data.candidates.push(evalpoint.clone());
self.data.candidates.push(evalpoint.clone());
self.data.candidate_index = 1;
self.data.candidates.push(self.data.nxt_y.clone());
self.data.candidates.push(self.data.nxt_y.clone());
for i in 0..m {
match self.data.subs[i].set_candidate(0, &self.data.nxt_y, &self.data.nxt_d, -Real::infinity(), -1.0) {
SubCandidateUpdate::Unchanged => (),
_ => panic!("first candidate must have no guess"),
}
self.evaluate_subproblem(i)?;
}
self.start_time = Instant::now();
// wait for all subproblem evaluations.
let mut cnt_remaining = self.problem.num_subproblems();
let master = self.master_proc.as_mut().ok_or(Error::NotInitialized)?;
let client_rx = self.client_rx.as_ref().ok_or(Error::NotInitialized)?;
self.data.cur_val = 0.0;
self.data.nxt_val = 0.0;
while cnt_remaining > 0 {
let msg = client_rx.recv();
match msg? {
Message::Eval(m) => match m {
EvalResult::ObjectiveValue { index, value } => {
assert_eq!(
index.candidate_index, self.data.candidate_index,
index.candidate_index, self.data.nxt_y.index,
"Receive objective value for unexpected candidate"
);
self.data.nxt_val +=
match self.data.subs[index.subproblem].new_function_value(&evalpoint, value, -1.0) {
self.data.subs[index.subproblem].add_function_value(&self.data.nxt_y, value, 0.0);
SubCandidateUpdate::Unchanged => 0.0,
SubCandidateUpdate::Diff { diff, .. } => diff,
SubCandidateUpdate::New { value, .. } => value,
};
}
EvalResult::Minorant {
index,
minorant,
mut minorant,
primal,
} => {
assert_eq!(
index.candidate_index, self.data.candidate_index,
index.candidate_index, self.data.nxt_y.index,
"Receive objective value for unexpected candidate"
);
match self.data.subs[index.subproblem].new_minorant(&evalpoint, &minorant) {
// Add the minorant to the master problem.
(SubCenterUpdate::New { value }, _) => self.data.cur_val += value,
_ => panic!("unexpected minorant update"),
// The minorant is centered at the candidate == center, so it does
}
master.add_minorant(index.subproblem, minorant, primal)?;
// not need to be moved.
master.add_minorant(index.subproblem, minorant.clone(), primal)?;
self.master_has_changed = true;
// Center the minorant at 0.
minorant.move_center(-1.0, &self.data.nxt_y.point);
self.data.subs[index.subproblem].add_minorant(&self.data.nxt_y, &Arc::new(minorant), 0.0);
}
EvalResult::Done { index } => {
self.data.subs[index.subproblem].is_running = false;
cnt_remaining -= 1;
}
EvalResult::Error { err, index } => {
self.data.subs[index.subproblem].is_running = false;
return Err(Error::Evaluation(err));
}
},
Message::Update(_) => {
unreachable!("Receive update response during initialization");
}
Message::Master(_) => {
unreachable!("Receive master response during initialization");
}
}
}
// Set the initial values.
// For the center this is the current lower bound (cut value),
// for the candidate it is the model candidate value.
//
// Note that both are the same ...
self.data.cur_val = 0.0;
self.data.nxt_val = 0.0;
for s in &mut self.data.subs {
self.data.cur_val += s.get_lower_bound(&self.data.nxt_y);
self.data.nxt_val += s.get_guess_value(&self.data.nxt_y).value;
}
assert!((self.data.cur_val - self.data.nxt_val).abs() < 1e-6);
// This is the first evaluation. We effectively get
// the function value at the current center but
// we do not have a model estimate yet. Hence, we do not know
// a good guess for the weight.
self.data.cur_weight = Real::infinity();
self.data.need_update = true;
self.update_problem(Step::Descent)?;
debug!("First Step");
debug!(" cur_val={}", self.data.cur_val);
self.data.cnt_descent += 1;
// compute the initial candidate
self.update_candidate(true)?;
self.update_candidate()?;
self.show_info(Step::Descent);
debug!("Initialization complete");
Ok(())
}
/// Reset data for new iterations.
fn reset_iteration_data(&mut self, max_iter: usize) {
let num_variables = self.problem.num_variables();
self.data.max_iter = max_iter;
self.data.cnt_updates = 0;
self.data.nxt_d = Arc::new(dvec![0.0; num_variables]);
self.data.nxt_y = self.data.cur_y.clone();
self.data.nxt_y = Arc::new(dvec![]);
self.data.nxt_val = 0.0;
let nxt_y = &self.data.nxt_y;
self.data.nxt_val = self
.data
.subs
.iter_mut()
.map(|s| s.get_guess_value(&nxt_y).value)
.sum::<Real>();
self.data.need_update = true;
self.data.update_in_progress = false;
}
/// Solve the problem with the default maximal iteration limit [`DEFAULT_ITERATION_LIMIT`].
pub fn solve(&mut self) -> Result<(), P, M> {
self.solve_with_limit(DEFAULT_ITERATION_LIMIT)
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|
loop {
let msg = self.client_rx.as_ref().ok_or(Error::NotInitialized)?.recv()?;
match msg {
Message::Eval(m) => {
// Receive a evaluation result
if self.handle_client_response(m)? {
return Ok(false);
return Ok(true);
}
}
Message::Update(msg) => {
debug!("Receive update response");
if self.handle_update_response(msg)? {
// The master problem has been changed so we need a new
// candidate as well.
self.update_candidate(true)?;
self.update_candidate()?;
}
}
Message::Master(mresponse) => {
debug!("Receive master response");
// Receive result (new candidate) from the master
if self.handle_master_response(mresponse)? {
return Ok(true);
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}
}
/// A new objective value has been computed.
fn handle_new_objective(&mut self, id: EvalId, value: Real) -> Result<bool, P, M> {
debug!(
"Receive objective from subproblem:{} candidate:{} current:{} obj:{}",
id.subproblem, id.candidate_index, self.data.candidate_index, value
id.subproblem, id.candidate_index, self.data.nxt_y.index, value
);
// check if new evaluation is closer to the current candidate
let sub = &mut self.data.subs[id.subproblem];
// Whether the subproblem evaluation had been good enough.
let was_close_enough = sub.is_close_enough;
if let Some(evalpoint) = self.data.candidates.get_mut(id.candidate_index) {
if let Some(nxt) = self.data.candidates.get_mut(id.candidate_index) {
let accept_factor =
self.params.imprecision_factor * self.params.acceptance_factor * self.data.expected_progress
/ self.problem.num_subproblems().to_f64().unwrap();
// possibly update internal data of the EvalPoint
evalpoint.update(
self.data.center_index,
&self.data.cur_y,
let old_can_val = sub.get_guess_value(&self.data.nxt_y).value;
let old_cen_val = sub.get_lower_bound(&self.data.cur_y);
self.data.candidate_index,
&self.data.nxt_y,
&self.data.nxt_d,
sub.add_function_value(nxt, value, accept_factor);
let new_can_val = sub.get_guess_value(&self.data.nxt_y).value;
let new_cen_val = sub.get_lower_bound(&self.data.cur_y);
);
match sub.new_function_value(evalpoint, value, accept_factor) {
// candidate is not closer -> ignore
SubCandidateUpdate::Unchanged => return Ok(false),
SubCandidateUpdate::New { value, .. } => self.data.nxt_val += value,
SubCandidateUpdate::Diff { diff, .. } => self.data.nxt_val += diff,
self.data.nxt_val += new_can_val - old_can_val;
self.data.cur_val += new_cen_val - old_cen_val;
};
// This is just a safe-guard: if the function has been evaluated at
// the current candidate, the evaluation *must* be good enough.
assert!(
sub.is_close_enough || sub.last_eval_index < self.data.candidate_index,
"Unexpected insufficiency fidx:{} l:{} dist:{}",
sub.is_close_enough || sub.last_eval_index < self.data.nxt_y.index,
"Unexpected insufficiency fidx:{} l:{}",
id.subproblem,
sub.l_guess,
evalpoint.candidate_dist
);
} else {
// unknown candidate -> ignore objective value
warn!("Ignore unknown candidate index:{}", id.candidate_index);
return Ok(false);
}
// Test if the new candidate is close enough for the asynchronous
// precision test.
if !was_close_enough && sub.is_close_enough {
self.data.num_insufficient_candidates -= 1;
debug!(
"Accept result fidx:{} index:{} candidate:{} (remaining insufficient: {})",
id.subproblem, id.candidate_index, self.data.candidate_index, self.data.num_insufficient_candidates
id.subproblem, id.candidate_index, self.data.nxt_y.index, self.data.num_insufficient_candidates
);
}
// If not all subproblems have reached sufficient precision, stop
// (eventually all subproblems will be evaluated at the center).
if self.data.num_insufficient_candidates > 0 {
return Ok(false);
}
self.do_step()
self.maybe_do_step(false)
}
fn do_step(&mut self) -> Result<bool, P, M> {
let master = self.master_proc.as_mut().ok_or(Error::NotInitialized)?;
let descent_bnd = Self::get_descent_bound(self.params.acceptance_factor, &self.data);
// Test whether we do a descent step
if self.data.nxt_val <= descent_bnd {
debug!("Descent Step");
debug!(" cur_val ={}", self.data.cur_val);
debug!(" nxt_mod ={}", self.data.nxt_mod);
debug!(" nxt_ub ={}", self.data.nxt_val);
debug!(" descent_bnd={}", descent_bnd);
self.data.cnt_descent += 1;
self.data.center_index = self.data.candidate_index;
// Note that we must update the weight *before* we
// change the internal data, so the old information
// that caused the descent step is still available.
self.data.cur_weight = self.weighter.descent_weight(&self.data);
/// Add a new minorant.
///
/// The minorant is added to the submodel as well as the master problem. The modified submodel
/// may then lead to a potential null/descent-step.
self.data.cur_y = self.data.nxt_y.clone();
// The new value in the center is the model value in the candidate.
// In particular, it is a lower bound on the real function value.
//
///
// Note that we do not use the model value `nxt_mod`, but the
// sum of the single model values, because the latter might be higher
/// Return values
// in case of an aggregated model.
self.data.cur_val = self.data.nxt_submods.iter().sum();
self.data.nxt_val = Real::infinity();
// Check if the progress of the last decent step was large enough
/// - `Ok(true)` if the termination criterion has been satisfied,
/// - `Ok(false)` if the termination criterion has not been satisfied,
// when using the lower bound in the center instead of the former
// guess value.
/// - `Err(_)` on error.
let error = self.data.subs.iter().map(SubData::error_estimate).sum::<Real>();
let update_l_guess = error > self.data.error_bound;
fn handle_new_minorant(&mut self, id: EvalId, minorant: Minorant, primal: P::Primal) -> Result<bool, P, M> {
// save new error bound
self.data.error_bound = self.data.expected_progress * self.params.acceptance_factor;
// Move all subproblems.
debug!(
"Receive minorant subproblem:{} candidate:{} current:{} center:{}",
for sub in &mut self.data.subs {
sub.move_center(&self.data.nxt_d, update_l_guess);
}
self.data.need_update = true;
id.subproblem, id.candidate_index, self.data.nxt_y.index, self.data.cur_y.index,
);
master.move_center(1.0, self.data.nxt_d.clone(), self.data.center_index)?;
master.set_weight(self.data.cur_weight)?;
self.show_info(Step::Descent);
self.update_problem(Step::Descent)?;
let accept_factor =
// We need a new candidate.
self.update_candidate(true)?;
Ok(self.data.cnt_descent >= self.data.max_iter)
} else {
// No descent-step, so this is declared a null step
self.data.cur_weight = self.weighter.null_weight(&self.data);
self.show_info(Step::Null);
self.update_problem(Step::Null)?;
self.params.imprecision_factor * self.params.acceptance_factor * self.data.expected_progress
// After a null step we need a new candidate, too. However, in this
// case any new candidate will do, so we only start a new master
// problem evaluation if there is no running computation.
/ self.problem.num_subproblems().to_f64().unwrap();
//
// TODO: does this make sense?
self.update_candidate(false)?;
Ok(false)
}
}
/// Add a new minorant.
let sub = &mut self.data.subs[id.subproblem];
let mut minorant = minorant;
fn handle_new_minorant(&mut self, id: EvalId, minorant: Minorant, primal: P::Primal) -> Result<bool, P, M> {
debug!(
"Receive minorant subproblem:{} candidate:{} current:{} center:{}",
id.subproblem, id.candidate_index, self.data.candidate_index, self.data.center_index,
if let Some(point) = self.data.candidates.get_mut(id.candidate_index) {
// center the minorant at 0
minorant.move_center(-1.0, &point.point);
);
let sub = &mut self.data.subs[id.subproblem];
let mut minorant = minorant;
// add minorant to submodel
if let Some(evalpoint) = self.data.candidates.get_mut(id.candidate_index) {
// possibly update internal data of the EvalPoint
evalpoint.update(
self.data.center_index,
&self.data.cur_y,
let old_can_val = sub.get_guess_value(&self.data.nxt_y).value;
let old_cen_val = sub.get_lower_bound(&self.data.cur_y);
self.data.candidate_index,
&self.data.nxt_y,
&self.data.nxt_d,
sub.add_minorant(&point, &Arc::new(minorant.clone()), accept_factor);
let new_can_val = sub.get_guess_value(&self.data.nxt_y).value;
let new_cen_val = sub.get_lower_bound(&self.data.cur_y);
);
// move center of minorant to cur_y
minorant.move_center(-1.0, &evalpoint.center_d);
// add minorant to submodel
let (cur_cutvalue_diff, nxt_guess_diff) = sub.new_minorant(&evalpoint, &minorant);
self.data.nxt_val += match nxt_guess_diff {
self.data.nxt_val += new_can_val - old_can_val;
self.data.cur_val += new_cen_val - old_cen_val;
SubCandidateUpdate::Diff { diff, .. } => diff,
SubCandidateUpdate::New { value, .. } => value,
SubCandidateUpdate::Unchanged => 0.0,
};
// center the minorant at the current center
self.data.cur_val += match cur_cutvalue_diff {
minorant.move_center(1.0, &self.data.cur_y.point);
SubCenterUpdate::Diff { diff } => diff,
SubCenterUpdate::New { value } => value,
SubCenterUpdate::Unchanged => 0.0,
};
} else {
warn!("Ignore unknown candidate index:{}", id.candidate_index);
return Ok(false);
}
// add minorant to master problem
let master = self.master_proc.as_mut().ok_or(Error::NotInitialized)?;
master.add_minorant(id.subproblem, minorant, primal)?;
self.master_has_changed = true;
Ok(false)
self.maybe_do_step(false)
}
/// Handle a response `master_res` from the master problem process.
///
/// The master response is the new candidate point. The method updates the
/// algorithm state with the data of the new candidate (e.g. the model value
/// `nxt_mod` in the point or the expected progress). Then it tests whether
/// a termination criterion is satisfied. This is only the case if there is
/// no pending problem update.
///
/// Finally the master problem starts the evaluation of all subproblems at
/// the new candidate.
///
/// The new candidate is immediately checked for a potential new test.
///
/// Return values
/// - `Ok(true)` if the termination criterion has been satisfied,
/// - `Ok(false)` if the termination criterion has not been satisfied,
/// - `Err(_)` on error.
fn handle_master_response(&mut self, master_res: MasterResponse<P, M::MasterProblem>) -> Result<bool, P, M> {
match master_res {
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self.data.sgnorm = sgnorm;
self.data.cnt_updates = cnt_updates;
self.data.nxt_submods.clear();
self.data.nxt_submods.extend(nxt_submods);
debug!(
"Master Response current_center:{} current_candidate:{} res_center:{} nxt_mod:{}",
self.data.center_index, self.data.candidate_index, center_index, self.data.nxt_mod
self.data.cur_y.index, self.data.nxt_y.index, center_index, self.data.nxt_mod
);
}
};
self.data.expected_progress = self.data.cur_val - self.data.nxt_mod;
self.master_running = false;
let master = self.master_proc.as_mut().ok_or(Error::NotInitialized)?;
// If this is the very first solution of the model,
// we use its result as to make a good guess for the initial weight
// of the proximal term and resolve.
if self.data.cur_weight.is_infinite() {
self.data.cur_weight = self.weighter.initial_weight(&self.data);
master.set_weight(self.data.cur_weight)?;
self.master_has_changed = true;
self.update_candidate(true)?;
self.update_candidate()?;
return Ok(false);
}
if self.terminator.terminate(&self.data)
&& !self.data.update_in_progress
&& self.data.cnt_descent > 2
&& !self.data.need_update
{
self.show_info(Step::Term);
info!("Termination criterion satisfied");
return Ok(true);
}
// Compress bundle
master.compress()?;
// Compute new candidate.
let mut next_y = dvec![];
self.data.candidate_index += 1;
// Check if new variables had been added. In this case, resize cur_y.
if self.data.nxt_d.len() > self.data.cur_y.len() {
let nnew = self.data.nxt_d.len() - self.data.cur_y.len();
if nnew != self.data.cur_y.len() {
let mut cur_y = self.data.cur_y.as_ref().clone();
if self.data.nxt_d.len() > self.data.cur_y.point.len() {
let nnew = self.data.nxt_d.len() - self.data.cur_y.point.len();
if nnew != self.data.cur_y.point.len() {
let mut cur_y = self.data.cur_y.point.as_ref().clone();
cur_y.extend(repeat(0.0).take(nnew));
self.data.cur_y = Arc::new(cur_y);
self.data.cur_y.point = Arc::new(cur_y);
}
}
// Compute new candidate.
let mut next_y = dvec![];
next_y.add(&self.data.cur_y, &self.data.nxt_d);
next_y.add(&self.data.cur_y.point, &self.data.nxt_d);
#[cfg(debug_assertions)]
{
if self.data.nxt_y.len() == next_y.len() {
let mut diff = self.data.nxt_y.as_ref().clone();
if self.data.nxt_y.point.len() == next_y.len() {
let mut diff = self.data.nxt_y.point.as_ref().clone();
diff.add_scaled(-1.0, &next_y);
debug!("Candidates move distance:{}", diff.norm2());
}
}
self.data.nxt_y.point = Arc::new(next_y);
self.data.nxt_y = Arc::new(next_y);
self.data.nxt_y.index += 1;
// Reset evaluation data.
self.data.nxt_val = 0.0;
// Add the new candidate to the list of candidates.
debug_assert_eq!(self.data.nxt_y.index, self.data.candidates.len());
self.data.candidates.push(self.data.nxt_y.clone());
// Update the candidate in all submodels and
// Compute a new guess for the function value at the new candidate.
// compute first guess value for new candidate.
let accept_factor =
self.params.imprecision_factor * self.params.acceptance_factor * self.data.expected_progress
/ self.problem.num_subproblems().to_f64().unwrap();
self.data.num_insufficient_candidates = 0;
// Create a new evaluation point with the current center and (new) candidate.
let candidate_index = self.data.candidates.len();
self.data.candidates.push(EvalPoint::new(
candidate_index,
self.data.nxt_y.clone(),
self.data.nxt_val = Real::zero();
self.data.center_index,
&self.data.cur_y,
self.data.candidate_index,
&self.data.nxt_y,
&self.data.nxt_d,
));
for (fidx, sub) in self.data.subs.iter_mut().enumerate() {
for sub in self.data.subs.iter_mut() {
self.data.nxt_val += match sub.set_candidate(
self.data.candidate_index,
&self.data.nxt_y,
&self.data.nxt_d,
sub.update_candidate(&self.data.nxt_y, accept_factor);
self.data.nxt_val += sub.get_guess_value(&self.data.nxt_y).value;
self.data.nxt_submods[fidx],
accept_factor,
) {
SubCandidateUpdate::Unchanged => 0.0,
SubCandidateUpdate::New { value, .. } => value,
SubCandidateUpdate::Diff { .. } => todo!("Only `New` is supported currently"),
};
}
if !sub.is_close_enough {
self.data.num_insufficient_candidates += 1;
}
}
debug!(
"Number of insufficient subproblems: {}",
self.data.num_insufficient_candidates
);
// Start evaluation of all subproblems at the new candidate.
for i in 0..self.data.subs.len() {
self.evaluate_subproblem(i)?;
}
self.maybe_do_step(true)
}
/// Do a descent or null step if precision is sufficient.
///
/// Also checks if the termination criterion is satisfied.
///
/// Return values
/// - `Ok(true)` if the termination criterion has been satisfied,
/// - `Ok(false)` if the termination criterion has not been satisfied,
/// - `Err(_)` on error.
fn maybe_do_step(&mut self, check_termination: bool) -> Result<bool, P, M> {
// No step if there is no real new candidate
if self.data.nxt_y.index == self.data.cur_y.index {
return Ok(false);
}
self.data.num_insufficient_candidates = self.data.subs.iter().filter(|s| !s.is_close_enough).count();
let nxt_y = &self.data.nxt_y;
let num_exact = self
.data
.subs
.iter_mut()
.map(|s| s.get_guess_value(nxt_y).is_exact())
.filter(|&is_exact| is_exact)
.count();
let sum_dist = self
.data
.subs
.iter_mut()
.map(|s| s.get_guess_value(nxt_y).dist)
.sum::<Real>();
debug!(
"Number of insufficient subproblems: {} num exact: {} sum dist: {}",
self.data.num_insufficient_candidates, num_exact, sum_dist,
);
// test if we should terminate
if check_termination
&& self.terminator.terminate(&self.data)
&& !self.data.update_in_progress
&& self.data.cnt_descent > 2
&& !self.data.need_update
{
if self.data.num_inexact_center.is_zero() {
self.show_info(Step::Term);
info!("Termination criterion satisfied");
return Ok(true);
}
// The termination criterion has been satisfied, but the current
// center evaluations are not exact. We force the current
// *candidate* evaluations to be exact and do a forced descent step.
// This causes the next center to be exact and hopefully satisfying
// the termination criterion, too.
let num_inexact = self.data.subs.len() - num_exact;
debug!(
"Termination criterion satisfied with {} inexact evaluations",
num_inexact
);
// Current candidate is exact, force a descent step.
self.data.force_descent = true;
if num_inexact.is_zero() {
return self.do_step();
}
// Otherwise just wait for the exact evaluations.
return Ok(false);
}
if check_termination {
self.data.force_descent = false;
}
if self.data.num_insufficient_candidates == 0 {
self.do_step()
} else {
Ok(false)
}
}
/// Do a null-step or descent-step based on the current candidate data.
fn do_step(&mut self) -> Result<bool, P, M> {
let master = self.master_proc.as_mut().ok_or(Error::NotInitialized)?;
let descent_bnd = Self::get_descent_bound(self.params.acceptance_factor, &self.data);
debug!(
"Try step from center:{} to candidate:{}",
self.data.cur_y.index, self.data.nxt_y.index
);
// Test whether we do a descent step
if self.data.nxt_val <= descent_bnd || self.data.force_descent {
debug!("Descent Step{}", if self.data.force_descent { " (forced)" } else { "" });
debug!(" cur_val ={}", self.data.cur_val);
debug!(" nxt_mod ={}", self.data.nxt_mod);
debug!(" nxt_ub ={}", self.data.nxt_val);
debug!(" descent_bnd={}", descent_bnd);
self.data.force_descent = false;
self.data.cnt_descent += 1;
self.data.cur_y = self.data.nxt_y.clone();
let cur_y = &self.data.cur_y;
self.data.num_inexact_center = self
.data
.subs
.iter_mut()
.map(|s| !s.get_guess_value(&cur_y).is_exact())
.filter(|&is_exact| is_exact)
.count();
// Note that we must update the weight *before* we
// change the internal data, so the old information
// that caused the descent step is still available.
self.data.cur_weight = self.weighter.descent_weight(&self.data);
// The new value in the center is the model value in the candidate.
// In particular, it is a lower bound on the real function value.
//
// Note that we do not use the model value `nxt_mod`, but the
// sum of the single model values, because the latter might be higher
// in case of an aggregated model.
self.data.cur_val = self.data.nxt_submods.iter().sum();
// Check if the progress of the last decent step was large enough
// when using the lower bound in the center instead of the former
// guess value.
let error = self.data.subs.iter_mut().map(SubData::error_estimate).sum::<Real>();
let update_l_guess = error > self.data.error_bound;
// save new error bound
self.data.error_bound = self.data.expected_progress * self.params.acceptance_factor;
// Move all subproblems.
self.data.nxt_val = Real::zero();
for sub in &mut self.data.subs {
sub.move_center(&self.data.cur_y, update_l_guess);
self.data.nxt_val += sub.get_guess_value(&self.data.nxt_y).value;
}
self.data.need_update = true;
master.move_center(1.0, self.data.nxt_d.clone(), self.data.cur_y.index)?;
master.set_weight(self.data.cur_weight)?;
self.master_has_changed = true;
self.show_info(Step::Descent);
self.update_problem(Step::Descent)?;
// We need a new candidate.
self.update_candidate()?;
Ok(self.data.cnt_descent >= self.data.max_iter)
} else {
debug!("Null Step nxt_val:{} descent_bnd:{}", self.data.nxt_val, descent_bnd);
// No descent-step, so this is declared a null step
self.data.cur_weight = self.weighter.null_weight(&self.data);
self.show_info(Step::Null);
self.update_problem(Step::Null)?;
// After a null step we need a new candidate, too.
self.update_candidate()?;
Ok(false)
}
}
/// Start evaluation of a subproblem if it is not running.
///
/// The evaluation is started at the current candidate. The candidate
/// is added to the subproblem's candidate list.
///
/// Returns `true` iff a new evaluations has been started.
fn evaluate_subproblem(&mut self, subproblem: usize) -> Result<bool, P, M> {
let sub = &mut self.data.subs[subproblem];
if !sub.is_running && sub.last_eval_index < self.data.candidate_index {
if !sub.is_running && sub.last_eval_index < self.data.nxt_y.index {
sub.is_running = true;
sub.last_eval_index = sub.last_eval_index.max(self.data.candidate_index);
sub.last_eval_index = sub.last_eval_index.max(self.data.nxt_y.index);
self.problem
.evaluate(
subproblem,
self.data.nxt_y.clone(),
self.data.nxt_y.point.clone(),
ChannelResultSender::new(
EvalId {
subproblem,
candidate_index: self.data.candidate_index,
candidate_index: self.data.nxt_y.index,
},
self.client_tx.as_ref().ok_or(Error::NotInitialized)?.clone(),
),
)
.map_err(Error::Evaluation)?;
debug!("Evaluate fidx:{} candidate:{}", subproblem, self.data.candidate_index);
debug!("Evaluate fidx:{} candidate:{}", subproblem, self.data.nxt_y.index);
Ok(true)
} else {
assert!(sub.is_running || sub.is_close_enough);
Ok(false)
}
}
/// Possibly start a new master process computation.
fn update_candidate(&mut self, need_resolve: bool) -> Result<(), P, M> {
fn update_candidate(&mut self) -> Result<(), P, M> {
self.master_need_resolve = self.master_need_resolve || need_resolve;
if !self.master_running && self.master_need_resolve {
if !self.master_running && self.master_has_changed {
debug!("Start master problem");
self.master_running = true;
self.master_has_changed = false;
self.master_proc
.as_mut()
.ok_or(Error::NotInitialized)?
.solve(self.data.cur_val)?;
}
Ok(())
}
|
| ︙ | | |
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|
+
+
+
-
-
+
+
-
+
|
// only one update may be running at the same time
if self.data.update_in_progress {
return Ok(false);
}
// Ok, we are doing a new update now ...
self.data.need_update = false;
// TODO: fix this
return Ok(false);
let master_proc = self.master_proc.as_mut().unwrap();
self.problem
.update(
UpdateData {
cur_y: self.data.cur_y.clone(),
nxt_y: self.data.nxt_y.clone(),
cur_y: self.data.cur_y.point.clone(),
nxt_y: self.data.nxt_y.point.clone(),
step,
primal_aggrs: (0..self.problem.num_subproblems())
.map(|i| {
master_proc
.get_aggregated_primal(i)
.map_err(|_| "get_aggregated_primal".to_string())
.expect("Cannot get aggregated primal from master process")
})
.collect(),
},
ChannelUpdateSender::new(
EvalId {
subproblem: 0,
candidate_index: self.data.center_index,
candidate_index: self.data.cur_y.index,
},
self.client_tx.clone().ok_or(Error::NotInitialized)?,
),
)
.map_err(Error::Update)?;
self.data.update_in_progress = true;
Ok(true)
|
| ︙ | | |
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|
-
+
|
if step == Step::Descent { "*" } else { " " },
PrettyPrintFloat(self.data.cur_weight),
PrettyPrintFloat(self.data.expected_progress()),
PrettyPrintFloat(self.data.cur_val - self.data.nxt_val),
PrettyPrintFloat(self.data.nxt_mod),
PrettyPrintFloat(self.data.nxt_val),
PrettyPrintFloat(self.data.cur_val),
PrettyPrintFloat(self.data.subs.iter().map(|s| s.cur_guess_value()).sum::<Real>()),
PrettyPrintFloat(self.data.subs.iter().map(|s| s.center_guess_value()).sum::<Real>()),
);
}
/// Return the aggregated primal of the given subproblem.
pub fn aggregated_primal(&self, subproblem: usize) -> Result<P::Primal, P, M> {
Ok(self
.master_proc
.as_ref()
.ok_or(Error::NotSolved)?
.get_aggregated_primal(subproblem)?)
}
}
|