decl/alm.hpp File Reference

#include <panoc-alm/inner/decl/panoc-fwd.hpp>
#include <panoc-alm/util/problem.hpp>
#include <panoc-alm/util/solverstatus.hpp>
#include <chrono>
#include <string>

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Classes
struct	ALMParams
	Parameters for the Augmented Lagrangian solver. More...
class	ALMSolver< InnerSolverT >
	Augmented Lagrangian Method solver. More...
struct	ALMSolver< InnerSolverT >::Stats

Namespaces
namespace	pa

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Class Documentation

pa::ALMParams

struct pa::ALMParams

Collaboration diagram for ALMParams:

Class Members
real_t	ε	Primal tolerance.
real_t	δ	Dual tolerance.
real_t	Δ	Factor used in updating the penalty parameters.
real_t	Δ_lower	Factor to reduce ALMParams::Δ when inner convergence fails.
real_t	Σ₀	Initial penalty parameter. When set to zero (which is the default), it is computed automatically, based on the constraint violation in the starting point and the parameter ALMParams::σ₀.
real_t	σ₀	Initial penalty parameter factor. Active if ALMParams::Σ₀ is set to zero.
real_t	Σ₀_lower	Factor to reduce the initial penalty factor by if convergence fails in in the first iteration.
real_t	ε₀	Initial primal tolerance.
real_t	ε₀_increase	Factor to increase the initial primal tolerance if convergence fails in the first iteration.
real_t	ρ	Update factor for primal tolerance.
real_t	ρ_increase	Factor to increase the primal tolerance update factor by if convergence fails.
real_t	θ	Error tolerance for penalty increase.
real_t	M	Lagrange multiplier bound.
real_t	Σ_max	Maximum penalty factor.
real_t	Σ_min	Minimum penalty factor (used during initialization).
unsigned int	max_iter	Maximum number of outer ALM iterations.
microseconds	max_time	Maximum duration.
unsigned	max_num_initial_retries	How many times can the initial penalty ALMParams::Σ₀ or ALMParams::σ₀ and the initial primal tolerance ALMParams::ε₀ be reduced.
unsigned	max_num_retries	How many times can the penalty update factor ALMParams::Δ and the primal tolerance factor ALMParams::ρ be reduced.
unsigned	max_total_num_retries	Combined limit for ALMParams::max_num_initial_retries and ALMParams::max_num_retries.
unsigned	print_interval	When to print progress. If set to zero, nothing will be printed. If set to N != 0, progress is printed every N iterations.
bool	preconditioning	Apply preconditioning to the problem, based on the gradients in the starting point.
bool	single_penalty_factor	Use one penalty factor for all m constraints.

pa::ALMSolver::Stats

struct pa::ALMSolver::Stats

Collaboration diagram for ALMSolver< InnerSolverT >::Stats:

Class Members
unsigned	outer_iterations	Total number of outer ALM iterations (i.e. the number of times that the inner solver was invoked).
microseconds	elapsed_time	Total elapsed time.
unsigned	initial_penalty_reduced	The number of times that the initial penalty factor was reduced by ALMParams::Σ₀_lower and that the initial tolerance was increased by ALMParams::ε₀_increase because the inner solver failed to converge in the first ALM iteration. If this number is greater than zero, consider lowering the initial penalty factor ALMParams::Σ₀ or ALMParams::σ₀ or increasing the initial tolerance ALMParams::ε₀ (or both).
unsigned	penalty_reduced	The number of times that the penalty update factor ALMParams::Δ was reduced, that the tolerance update factor ALMParams::ρ was increased, and that an ALM iteration had to be restarted with a lower penalty factor and a higher tolerance because the inner solver failed to converge (not applicable in the first ALM iteration). If this number is greater than zero, consider lowerering the penalty update factor ALMParams::Δ or increasing the tolerance update factor (or both). Lowering the initial penalty factor could help as well.
unsigned	inner_convergence_failures	The total number of times that the inner solver failed to converge.
real_t	ε	Final primal tolerance that was reached, depends on the stopping criterion used by the inner solver, see for example PANOCStopCrit.
real_t	δ	Final dual tolerance or constraint violation that was reached: \[ \delta = \| \Pi_D\left(g(x^k) + \Sigma^{-1}y\right) \|_\infty \]
real_t	norm_penalty	2-norm of the final penalty factors \( \| \Sigma \|_2 \).
SolverStatus	status	Whether the solver converged or not. See also SolverStatus
InnerStatsAccumulator< typename Stats >	inner	The statistics of the inner solver invocations, accumulated over all ALM iterations.