anderson-acceleration.hpp

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#pragma once
 
#include <panoc-alm/inner/detail/anderson-helpers.hpp>
#include <panoc-alm/inner/directions/decl/panoc-direction-update.hpp>
 
namespace pa {
 
class AndersonAccel {
  public:
    void resize(size_t n, size_t m) {
        size_t m_AA = std::min(n, m); // TODO: support m > n?
        qr.resize(n, m_AA);
        G.resize(n, m_AA);
        rₖ₋₁.resize(n);
        γ_LS.resize(m_AA);
    }
 
    void initialize(crvec g₀, crvec r₀) {
        G.col(0) = g₀;
        rₖ₋₁     = r₀;
    }
 
    void compute(crvec gₖ, crvec rₖ, rvec xₖ_aa) {
        minimize_update_anderson(qr, G, rₖ, rₖ₋₁, gₖ, γ_LS, xₖ_aa);
    }
 
    std::string get_name() const { return "AndersonAccel"; }
 
    void reinitialize(real_t γₖ, real_t old_γₖ) {
        reset();
        // TODO: show mathematically that this is a sensible thing to do:
        rₖ₋₁ *= γₖ / old_γₖ;
    }
 
    void reset() {
        size_t newest_g_idx = qr.ring_tail();
        if (newest_g_idx != 0)
            G.col(0) = G.col(newest_g_idx);
        qr.reset();
    }
 
  private:
    LimitedMemoryQR qr;
    mat G;
    vec rₖ₋₁;
    vec γ_LS;
};
 
template <>
struct PANOCDirection<AndersonAccel> {
 
    static void initialize(AndersonAccel &aa, crvec x₀, crvec x̂₀,
                           crvec p₀, crvec grad₀) {
        aa.initialize(x̂₀, p₀);
        (void)aa;
        (void)x₀;
        (void)grad₀;
    }
 
    static bool update(AndersonAccel &aa, crvec xₖ, crvec xₖ₊₁,
                       crvec pₖ, crvec pₖ₊₁, crvec grad_new,
                       const Box &C, real_t γ_new) {
        (void)aa;
        (void)xₖ;
        (void)xₖ₊₁;
        (void)pₖ;
        (void)pₖ₊₁;
        (void)grad_new;
        (void)C;
        (void)γ_new;
        return true;
    }
 
    static bool apply(AndersonAccel &aa, crvec xₖ, crvec x̂ₖ,
                      crvec pₖ, real_t γ, rvec qₖ) {
        (void)xₖ;
        (void)x̂ₖ;
        (void)γ;
        qₖ = pₖ;
        aa.compute(x̂ₖ, pₖ, qₖ);
        return true;
    }
 
    static void changed_γ(AndersonAccel &aa, real_t γₖ, real_t old_γₖ) {
        // TODO: Do we really want to flush every time γ changes?
        aa.reinitialize(γₖ, old_γₖ);
    }
};
 
} // namespace pa