proxsuite 0.6.7
The Advanced Proximal Optimization Toolbox
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settings.hpp
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1//
2// Copyright (c) 2022 INRIA
3//
7#ifndef PROXSUITE_PROXQP_SETTINGS_HPP
8#define PROXSUITE_PROXQP_SETTINGS_HPP
9
10#include <Eigen/Core>
11#include <proxsuite/proxqp/status.hpp>
12#include <proxsuite/proxqp/dense/views.hpp>
13#include <proxsuite/proxqp/sparse/fwd.hpp>
14
15namespace proxsuite {
16namespace proxqp {
17
18// Sparse backend specifications
19enum struct SparseBackend
20{
21 Automatic, // the solver will select the appropriate sparse backend.
22 SparseCholesky, // sparse cholesky backend.
23 MatrixFree, // iterative matrix free sparse backend.
24};
25// Sparse backend specifications
26enum struct DenseBackend
27{
28 Automatic, // the solver will select the appropriate dense backend.
29 PrimalDualLDLT, // Factorization of the full regularized KKT matrix.
30 PrimalLDLT, // Factorize only the primal Hessian corresponding to H+rho I +
31 // 1/mu AT*A.
32};
33// MERIT FUNCTION
34enum struct MeritFunctionType
35{
36 GPDAL, // Generalized Primal Dual Augmented Lagrangian
37 PDAL, // Primal Dual Augmented Lagrangian
38};
39// COST FUNCTION TYPE
40enum struct HessianType
41{
42 Zero, // Linear Program
43 Dense, // Quadratic Program
44 Diagonal // Quadratic Program with diagonal Hessian
45};
46// Augment the minimal eigen value of H with some regularizer
47enum struct EigenValueEstimateMethodOption
48{
49 PowerIteration, // Process a power iteration algorithm
50 ExactMethod // Use Eigen's method to estimate the minimal eigenvalue
51 // watch out, the last option is only available for dense
52 // matrices!
53};
54inline std::ostream&
55operator<<(std::ostream& os, const SparseBackend& sparse_backend)
56{
57 if (sparse_backend == SparseBackend::Automatic)
58 os << "Automatic";
59 else if (sparse_backend == SparseBackend::SparseCholesky) {
60 os << "SparseCholesky";
61 } else {
62 os << "MatrixFree";
63 }
64 return os;
65}
66inline std::ostream&
67operator<<(std::ostream& os, const DenseBackend& dense_backend)
68{
69 if (dense_backend == DenseBackend::PrimalDualLDLT) {
70 os << "PrimalDualLDLT";
71 } else if (dense_backend == DenseBackend::PrimalLDLT) {
72 os << "PrimalLDLT";
73 } else {
74 os << "Automatic";
75 }
76 return os;
77}
78
83
87template<typename T>
88struct Settings
89{
90
91 T default_rho;
92 T default_mu_eq;
93 T default_mu_in;
94
95 T alpha_bcl;
96 T beta_bcl;
97
98 T refactor_dual_feasibility_threshold;
99 T refactor_rho_threshold;
100
101 T mu_min_eq;
102 T mu_min_in;
103 T mu_max_eq_inv;
104 T mu_max_in_inv;
105
106 T mu_update_factor;
107 T mu_update_inv_factor;
108
109 T cold_reset_mu_eq;
110 T cold_reset_mu_in;
111 T cold_reset_mu_eq_inv;
112 T cold_reset_mu_in_inv;
113 T eps_abs;
114 T eps_rel;
115
116 isize max_iter;
117 isize max_iter_in;
118 isize safe_guard;
119 isize nb_iterative_refinement;
120 T eps_refact;
121
122 bool verbose;
123 InitialGuessStatus initial_guess;
124 bool update_preconditioner;
125 bool compute_preconditioner;
126 bool compute_timings;
127
128 bool check_duality_gap;
129 T eps_duality_gap_abs;
130 T eps_duality_gap_rel;
131
132 isize preconditioner_max_iter;
133 T preconditioner_accuracy;
134 T eps_primal_inf;
135 T eps_dual_inf;
136 bool bcl_update;
137 MeritFunctionType merit_function_type;
138 T alpha_gpdal;
139
140 SparseBackend sparse_backend;
141 bool primal_infeasibility_solving;
142 isize frequence_infeasibility_check;
143 T default_H_eigenvalue_estimate;
213 Settings(
214 DenseBackend dense_backend = DenseBackend::PrimalDualLDLT,
215 T default_mu_eq = 1.E-3,
216 T default_mu_in = 1.E-1,
217 T alpha_bcl = 0.1,
218 T beta_bcl = 0.9,
219 T refactor_dual_feasibility_threshold = 1e-2,
220 T refactor_rho_threshold = 1e-7,
221 T mu_min_eq = 1e-9,
222 T mu_min_in = 1e-8,
223 T mu_max_eq_inv = 1e9,
224 T mu_max_in_inv = 1e8,
225 T mu_update_factor = 0.1,
226 T mu_update_inv_factor = 10,
227 T cold_reset_mu_eq = 1. / 1.1,
228 T cold_reset_mu_in = 1. / 1.1,
229 T cold_reset_mu_eq_inv = 1.1,
230 T cold_reset_mu_in_inv = 1.1,
231 T eps_abs = 1.e-5,
232 T eps_rel = 0,
233 isize max_iter = 10000,
234 isize max_iter_in = 1500,
235 isize safe_guard = 1.E4,
236 isize nb_iterative_refinement = 10,
237 T eps_refact = 1.e-6, // before eps_refact_=1.e-6
238 bool verbose = false,
239 InitialGuessStatus initial_guess = InitialGuessStatus::
240 EQUALITY_CONSTRAINED_INITIAL_GUESS, // default to
241 // EQUALITY_CONSTRAINED_INITIAL_GUESS,
242 // as most often we run only
243 // once a problem
244 bool update_preconditioner = false,
245 bool compute_preconditioner = true,
246 bool compute_timings = false,
247 bool check_duality_gap = false,
248 T eps_duality_gap_abs = 1.e-4,
249 T eps_duality_gap_rel = 0,
250 isize preconditioner_max_iter = 10,
251 T preconditioner_accuracy = 1.e-3,
252 T eps_primal_inf = 1.E-4,
253 T eps_dual_inf = 1.E-4,
254 bool bcl_update = true,
255 MeritFunctionType merit_function_type = MeritFunctionType::GPDAL,
256 T alpha_gpdal = 0.95,
257 SparseBackend sparse_backend = SparseBackend::Automatic,
258 bool primal_infeasibility_solving = false,
259 isize frequence_infeasibility_check = 1,
260 T default_H_eigenvalue_estimate = 0.)
261 : default_mu_eq(default_mu_eq)
262 , default_mu_in(default_mu_in)
263 , alpha_bcl(alpha_bcl)
264 , beta_bcl(beta_bcl)
265 , refactor_dual_feasibility_threshold(refactor_dual_feasibility_threshold)
266 , refactor_rho_threshold(refactor_rho_threshold)
267 , mu_min_eq(mu_min_eq)
268 , mu_min_in(mu_min_in)
269 , mu_max_eq_inv(mu_max_eq_inv)
270 , mu_max_in_inv(mu_max_in_inv)
271 , mu_update_factor(mu_update_factor)
272 , mu_update_inv_factor(mu_update_inv_factor)
273 , cold_reset_mu_eq(cold_reset_mu_eq)
274 , cold_reset_mu_in(cold_reset_mu_in)
275 , cold_reset_mu_eq_inv(cold_reset_mu_eq_inv)
276 , cold_reset_mu_in_inv(cold_reset_mu_in_inv)
277 , eps_abs(eps_abs)
278 , eps_rel(eps_rel)
279 , max_iter(max_iter)
280 , max_iter_in(max_iter_in)
281 , safe_guard(safe_guard)
282 , nb_iterative_refinement(nb_iterative_refinement)
283 , eps_refact(eps_refact)
284 , verbose(verbose)
285 , initial_guess(initial_guess)
286 , update_preconditioner(update_preconditioner)
287 , compute_preconditioner(compute_preconditioner)
288 , compute_timings(compute_timings)
289 , check_duality_gap(check_duality_gap)
290 , eps_duality_gap_abs(eps_duality_gap_abs)
291 , eps_duality_gap_rel(eps_duality_gap_rel)
292 , preconditioner_max_iter(preconditioner_max_iter)
293 , preconditioner_accuracy(preconditioner_accuracy)
294 , eps_primal_inf(eps_primal_inf)
295 , eps_dual_inf(eps_dual_inf)
296 , bcl_update(bcl_update)
297 , merit_function_type(merit_function_type)
298 , alpha_gpdal(alpha_gpdal)
299 , sparse_backend(sparse_backend)
300 , primal_infeasibility_solving(primal_infeasibility_solving)
301 , frequence_infeasibility_check(frequence_infeasibility_check)
302 , default_H_eigenvalue_estimate(default_H_eigenvalue_estimate)
303 {
304 switch (dense_backend) {
305 case DenseBackend::PrimalDualLDLT:
306 default_rho = 1.E-6;
307 break;
308 case DenseBackend::PrimalLDLT:
309 default_rho = 1.E-5;
310 break;
311 case DenseBackend::Automatic:
312 default_rho = 1.E-6;
313 break;
314 }
315 }
316};
317
318template<typename T>
319bool
320operator==(const Settings<T>& settings1, const Settings<T>& settings2)
321{
322 bool value =
323 settings1.default_rho == settings2.default_rho &&
324 settings1.default_mu_eq == settings2.default_mu_eq &&
325 settings1.default_mu_in == settings2.default_mu_in &&
326 settings1.alpha_bcl == settings2.alpha_bcl &&
327 settings1.alpha_bcl == settings2.alpha_bcl &&
328 settings1.refactor_dual_feasibility_threshold ==
329 settings2.refactor_dual_feasibility_threshold &&
330 settings1.refactor_rho_threshold == settings2.refactor_rho_threshold &&
331 settings1.mu_min_eq == settings2.mu_min_eq &&
332 settings1.mu_min_in == settings2.mu_min_in &&
333 settings1.mu_max_eq_inv == settings2.mu_max_eq_inv &&
334 settings1.mu_max_in_inv == settings2.mu_max_in_inv &&
335 settings1.mu_update_factor == settings2.mu_update_factor &&
336 settings1.mu_update_factor == settings2.mu_update_factor &&
337 settings1.cold_reset_mu_eq == settings2.cold_reset_mu_eq &&
338 settings1.cold_reset_mu_in == settings2.cold_reset_mu_in &&
339 settings1.cold_reset_mu_eq_inv == settings2.cold_reset_mu_eq_inv &&
340 settings1.cold_reset_mu_in_inv == settings2.cold_reset_mu_in_inv &&
341 settings1.eps_abs == settings2.eps_abs &&
342 settings1.eps_rel == settings2.eps_rel &&
343 settings1.max_iter == settings2.max_iter &&
344 settings1.max_iter_in == settings2.max_iter_in &&
345 settings1.safe_guard == settings2.safe_guard &&
346 settings1.nb_iterative_refinement == settings2.nb_iterative_refinement &&
347 settings1.eps_refact == settings2.eps_refact &&
348 settings1.verbose == settings2.verbose &&
349 settings1.initial_guess == settings2.initial_guess &&
350 settings1.update_preconditioner == settings2.update_preconditioner &&
351 settings1.compute_preconditioner == settings2.compute_preconditioner &&
352 settings1.compute_timings == settings2.compute_timings &&
353 settings1.check_duality_gap == settings2.check_duality_gap &&
354 settings1.eps_duality_gap_abs == settings2.eps_duality_gap_abs &&
355 settings1.eps_duality_gap_rel == settings2.eps_duality_gap_rel &&
356 settings1.preconditioner_max_iter == settings2.preconditioner_max_iter &&
357 settings1.preconditioner_accuracy == settings2.preconditioner_accuracy &&
358 settings1.eps_primal_inf == settings2.eps_primal_inf &&
359 settings1.eps_dual_inf == settings2.eps_dual_inf &&
360 settings1.bcl_update == settings2.bcl_update &&
361 settings1.merit_function_type == settings2.merit_function_type &&
362 settings1.alpha_gpdal == settings2.alpha_gpdal &&
363 settings1.sparse_backend == settings2.sparse_backend &&
364 settings1.primal_infeasibility_solving ==
365 settings2.primal_infeasibility_solving &&
366 settings1.frequence_infeasibility_check ==
367 settings2.frequence_infeasibility_check &&
368 settings1.default_H_eigenvalue_estimate ==
369 settings2.default_H_eigenvalue_estimate;
370 return value;
371}
372
373template<typename T>
374bool
375operator!=(const Settings<T>& settings1, const Settings<T>& settings2)
376{
377 return !(settings1 == settings2);
378}
379
380} // namespace proxqp
381} // namespace proxsuite
382
383#endif /* end of include guard PROXSUITE_PROXQP_SETTINGS_HPP */
proxsuite::proxqp::operator<<
std::ostream & operator<<(std::ostream &os, const SparseBackend &sparse_backend)
Definition settings.hpp:55
proxsuite::proxqp::operator!=
bool operator!=(const Info< T > &info1, const Info< T > &info2)
Definition results.hpp:228
proxsuite::proxqp::operator==
bool operator==(const Info< T > &info1, const Info< T > &info2)
Definition results.hpp:208
proxsuite::proxqp::Settings
This class defines the settings of PROXQP solvers with sparse and dense backends.
Definition settings.hpp:89
proxsuite::proxqp::Settings::merit_function_type
MeritFunctionType merit_function_type
Definition settings.hpp:137
proxsuite::proxqp::Settings::Settings
Settings(DenseBackend dense_backend=DenseBackend::PrimalDualLDLT, T default_mu_eq=1.E-3, T default_mu_in=1.E-1, T alpha_bcl=0.1, T beta_bcl=0.9, T refactor_dual_feasibility_threshold=1e-2, T refactor_rho_threshold=1e-7, T mu_min_eq=1e-9, T mu_min_in=1e-8, T mu_max_eq_inv=1e9, T mu_max_in_inv=1e8, T mu_update_factor=0.1, T mu_update_inv_factor=10, T cold_reset_mu_eq=1./1.1, T cold_reset_mu_in=1./1.1, T cold_reset_mu_eq_inv=1.1, T cold_reset_mu_in_inv=1.1, T eps_abs=1.e-5, T eps_rel=0, isize max_iter=10000, isize max_iter_in=1500, isize safe_guard=1.E4, isize nb_iterative_refinement=10, T eps_refact=1.e-6, bool verbose=false, InitialGuessStatus initial_guess=InitialGuessStatus::EQUALITY_CONSTRAINED_INITIAL_GUESS, bool update_preconditioner=false, bool compute_preconditioner=true, bool compute_timings=false, bool check_duality_gap=false, T eps_duality_gap_abs=1.e-4, T eps_duality_gap_rel=0, isize preconditioner_max_iter=10, T preconditioner_accuracy=1.e-3, T eps_primal_inf=1.E-4, T eps_dual_inf=1.E-4, bool bcl_update=true, MeritFunctionType merit_function_type=MeritFunctionType::GPDAL, T alpha_gpdal=0.95, SparseBackend sparse_backend=SparseBackend::Automatic, bool primal_infeasibility_solving=false, isize frequence_infeasibility_check=1, T default_H_eigenvalue_estimate=0.)
Definition settings.hpp:213
proxsuite::proxqp::Settings::initial_guess
InitialGuessStatus initial_guess
Definition settings.hpp:123