panoc.hpp File Reference

#include <alpaqa/export.hpp>
#include <alpaqa/inner/directions/panoc-direction-update.hpp>
#include <alpaqa/inner/inner-solve-options.hpp>
#include <alpaqa/inner/internal/lipschitz.hpp>
#include <alpaqa/inner/internal/panoc-helpers.hpp>
#include <alpaqa/inner/internal/panoc-stop-crit.hpp>
#include <alpaqa/inner/internal/solverstatus.hpp>
#include <alpaqa/problem/type-erased-problem.hpp>
#include <alpaqa/util/atomic-stop-signal.hpp>
#include <chrono>
#include <iostream>
#include <limits>
#include <stdexcept>
#include <string>
#include <type_traits>

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Classes
struct	PANOCParams< Conf >
	Tuning parameters for the PANOC algorithm. More...
struct	PANOCStats< Conf >
struct	PANOCProgressInfo< Conf >
class	PANOCSolver< DirectionT >
	PANOC solver for ALM. More...
struct	InnerStatsAccumulator< PANOCStats< Conf > >

Namespaces
namespace	alpaqa

Functions
template<Config Conf>
InnerStatsAccumulator< PANOCStats< Conf > > &	operator+= (InnerStatsAccumulator< PANOCStats< Conf > > &acc, const PANOCStats< Conf > &s)

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Class Documentation

alpaqa::PANOCParams

struct alpaqa::PANOCParams

Collaboration diagram for PANOCParams< Conf >:

Class Members
LipschitzEstimateParams< config_t >	Lipschitz	Parameters related to the Lipschitz constant estimate and step size.
unsigned	max_iter = 100	Maximum number of inner PANOC iterations.
nanoseconds	max_time = std::chrono::minutes(5)	Maximum duration.
real_t	min_linesearch_coefficient = real_t(1. / 256)	Minimum weight factor between Newton step and projected gradient step.
bool	force_linesearch = false	Ignore the line search condition and always accept the accelerated step. (For testing purposes only).
real_t	linesearch_strictness_factor = real_t(0.95)	Parameter β used in the line search (see Algorithm 2 in [1]). \( 0 < \beta < 1 \)
real_t	L_min = real_t(1e-5)	Minimum Lipschitz constant estimate.
real_t	L_max = real_t(1e20)	Maximum Lipschitz constant estimate.
PANOCStopCrit	stop_crit = PANOCStopCrit::ApproxKKT	What stopping criterion to use.
unsigned	max_no_progress = 10	Maximum number of iterations without any progress before giving up.
unsigned	print_interval = 0	When to print progress. If set to zero, nothing will be printed. If set to N != 0, progress is printed every N iterations.
int	print_precision = std::numeric_limits<real_t>::max_digits10 / 2	The precision of the floating point values printed by the solver.
real_t	quadratic_upperbound_tolerance_factor
real_t	linesearch_tolerance_factor
bool	update_direction_in_candidate = false
bool	recompute_last_prox_step_after_lbfgs_flush = false
bool	eager_gradient_eval = false	When evaluating ψ(x̂) in a candidate point, always evaluate ∇ψ(x̂) as well. Can be beneficial if computing ∇ψ(x̂) is not much more expensive than computing just ψ(x), and if ∇ψ(x̂) is required in the next iteration (e.g. for the stopping criterion, or when using the NoopDirection).

alpaqa::PANOCStats

struct alpaqa::PANOCStats

Collaboration diagram for PANOCStats< Conf >:

Class Members
SolverStatus	status = SolverStatus::Busy
real_t	ε = inf<config_t>
nanoseconds	elapsed_time {}
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

alpaqa::PANOCProgressInfo

struct alpaqa::PANOCProgressInfo

Collaboration diagram for PANOCProgressInfo< Conf >:

Class Members
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< config_t > *	problem
const PANOCParams< config_t > *	params

alpaqa::InnerStatsAccumulator< PANOCStats< Conf > >

struct alpaqa::InnerStatsAccumulator< PANOCStats< Conf > >

Collaboration diagram for InnerStatsAccumulator< PANOCStats< Conf > >:

Class Members
nanoseconds	elapsed_time {}	Total elapsed time in the inner solver.
nanoseconds	time_progress_callback {}	Total time spent in the user-provided progress callback.
unsigned	iterations = 0	Total number of inner PANOC iterations.
unsigned	linesearch_failures = 0	Total number of PANOC line search failures.
unsigned	linesearch_backtracks = 0	Total number of PANOC line search backtracking steps.
unsigned	stepsize_backtracks = 0	Total number of PANOC step size reductions.
unsigned	lbfgs_failures = 0	Total number of times that the L-BFGS direction was not finite.
unsigned	lbfgs_rejected = 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	τ_1_accepted = 0	Total number of times that a line search parameter of \( \tau = 1 \) was accepted (i.e. no backtracking necessary).
unsigned	count_τ = 0	The total number of line searches performed (used for computing the average value of \( \tau \)).
real_t	sum_τ = 0	The sum of the line search parameter \( \tau \) in all iterations (used for computing the average value of \( \tau \)).
real_t	final_γ = 0	The final PANOC step size γ.
real_t	final_ψ = 0	Final value of the smooth cost \( \psi(\hat x) \).
real_t	final_h = 0	Final value of the nonsmooth cost \( h(\hat x) \).
real_t	final_φγ = 0	Final value of the forward-backward envelope, \( \varphi_\gamma(x) \) (note that this is in the point \( x \), not \( \hat x \)).