lbfgsb-adapter.hpp

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#pragma once
 
#include <alpaqa/config/config.hpp>
#include <alpaqa/inner/inner-solve-options.hpp>
#include <alpaqa/inner/internal/solverstatus.hpp>
#include <alpaqa/lbfgspp-adapter-export.hpp>
#include <alpaqa/problem/type-erased-problem.hpp>
#include <guanaqo/atomic-stop-signal.hpp>
 
#include <chrono>
#include <iostream>
 
#include <LBFGSB.h>
 
namespace alpaqa::lbfgspp {
 
template <Config Conf = DefaultConfig>
struct LBFGSBStats {
    USING_ALPAQA_CONFIG(Conf);
 
    SolverStatus status = SolverStatus::Busy;
    real_t ε            = inf<config_t>;
    std::chrono::nanoseconds elapsed_time{};
    unsigned iterations = 0;
    real_t final_ψ      = 0;
};
 
/// L-BFGS-B solver for ALM.
/// @ingroup    grp_InnerSolvers
template <Config Conf>
class LBFGSBSolver {
  public:
    USING_ALPAQA_CONFIG(Conf);
 
    using Problem      = TypeErasedProblem<config_t>;
    using Params       = ::LBFGSpp::LBFGSBParam<real_t>;
    using Stats        = LBFGSBStats<config_t>;
    using SolveOptions = InnerSolveOptions<config_t>;
 
    LBFGSBSolver(const Params &params) : params(params) {}
 
    Stats operator()(const Problem &problem,   // in
                     const SolveOptions &opts, // in
                     rvec x,                   // inout
                     rvec y,                   // inout
                     crvec Σ,                  // in
                     rvec err_z);              // out
 
    template <class P>
    Stats operator()(const P &problem, const SolveOptions &opts, rvec u, rvec y,
                     crvec Σ, rvec e) {
        return operator()(Problem{&problem}, opts, u, y, Σ, e);
    }
 
    std::string get_name() const;
 
    void stop() { stop_signal.stop(); }
 
    const Params &get_params() const { return params; }
 
  private:
    Params params;
    guanaqo::AtomicStopSignal stop_signal;
 
  public:
    std::ostream *os = &std::cout;
};
 
// clang-format off
ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(struct, LBFGSBStats, EigenConfigd);
ALPAQA_IF_FLOAT(ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(struct, LBFGSBStats, EigenConfigf);)
ALPAQA_IF_LONGD(ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(struct, LBFGSBStats, EigenConfigl);)
ALPAQA_IF_QUADF(ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(struct, LBFGSBStats, EigenConfigq);)
 
ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(class, LBFGSBSolver, EigenConfigd);
ALPAQA_IF_FLOAT(ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(class, LBFGSBSolver, EigenConfigf);)
ALPAQA_IF_LONGD(ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(class, LBFGSBSolver, EigenConfigl);)
ALPAQA_IF_QUADF(ALPAQA_LBFGSPP_EXPORT_EXTERN_TEMPLATE(class, LBFGSBSolver, EigenConfigq);)
// clang-format on
 
} // namespace alpaqa::lbfgspp
 
namespace alpaqa {
 
template <class InnerSolverStats>
struct InnerStatsAccumulator;
 
template <Config Conf>
struct InnerStatsAccumulator<lbfgspp::LBFGSBStats<Conf>> {
    USING_ALPAQA_CONFIG(Conf);
 
    /// Total elapsed time in the inner solver.
    std::chrono::nanoseconds elapsed_time{};
    /// Total number of inner PANOC iterations.
    unsigned iterations = 0;
    /// Final value of the smooth cost @f$ \psi(\hat x) @f$.
    real_t final_ψ = 0;
};
 
template <Config Conf>
InnerStatsAccumulator<lbfgspp::LBFGSBStats<Conf>> &
operator+=(InnerStatsAccumulator<lbfgspp::LBFGSBStats<Conf>> &acc,
           const lbfgspp::LBFGSBStats<Conf> &s) {
    acc.iterations += s.iterations;
    acc.elapsed_time += s.elapsed_time;
    acc.final_ψ = s.final_ψ;
    return acc;
}
 
} // namespace alpaqa