Enable subsolver tolerances tuning, fix negative tolerance (#93)

* tune inner solver parameters, fix error negative tol * improve tables, change test parameters, modif demos * keep default value bpdn * update tables parameters * update parameters name noredTR
JuliaSmoothOptimizers · Mar 24, 2023 · 2ea2780 · 2ea2780
1 parent a82c768
commit 2ea2780
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Showing 13 changed files with 495 additions and 177 deletions.
diff --git a/benchmarks/tables/bpdn-constr-table.jl b/benchmarks/tables/bpdn-constr-table.jl
@@ -7,51 +7,101 @@ model, nls_model, sol = bpdn_model(compound, bounds = true)
 
 f = LSR1Model(model)
 λ = norm(grad(model, zeros(model.meta.nvar)), Inf) / 10
-h = NormL1(λ)
+h = NormL0(λ)
 
 verbose = 0 # 10
-ϵ = 1.0e-6
+ν = 1.0
+ϵ = 1.0e-5
+ϵi = 1.0e-5
+ϵri = 1.0e-6
 maxIter = 500
-maxIter_inner = 20
+maxIter_inner = 100
 options =
-  ROSolverOptions(ν = 1.0, ϵa = ϵ, ϵr = ϵ, verbose = verbose, maxIter = maxIter, spectral = true)
-options2 = ROSolverOptions(spectral = false, psb = true, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner)
-options3 = ROSolverOptions(spectral = false, psb = false, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner)
-options4 = ROSolverOptions(spectral = true, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner)
-options6 = ROSolverOptions(
-  ν = 1.0,
+  ROSolverOptions(ν = ν, ϵa = ϵ, ϵr = ϵ, verbose = verbose, maxIter = maxIter, spectral = true)
+options_nrTR =
+  ROSolverOptions(ν = ν, ϵa = ϵ, ϵr = ϵ, verbose = verbose, maxIter = maxIter, spectral = true, reduce_TR = false)
+options2 = ROSolverOptions(spectral = false, psb = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner)
+options2_nrTR = ROSolverOptions(spectral = false, psb = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner, reduce_TR = false)
+options3 = ROSolverOptions(spectral = false, psb = false, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner)
+options3_nrTR = ROSolverOptions(spectral = false, psb = false, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner, reduce_TR = false)
+options4 = ROSolverOptions(spectral = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner)
+options4_nrTR =
+  ROSolverOptions(spectral = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner, reduce_TR = false)
+options5 = ROSolverOptions(
+  ν = ν,
   ϵa = ϵ,
   ϵr = ϵ,
   verbose = verbose,
   maxIter = maxIter,
   spectral = false,
-  psb = false,
+  psb = true,
 )
-options5 = ROSolverOptions(
-  ν = 1.0,
+options5_nrTR = ROSolverOptions(
+  ν = ν,
   ϵa = ϵ,
   ϵr = ϵ,
   verbose = verbose,
   maxIter = maxIter,
   spectral = false,
   psb = true,
+  reduce_TR = false,
 )
-options7 = ROSolverOptions(
+options6 = ROSolverOptions(
+  ν = ν,
+  ϵa = ϵ,
+  ϵr = ϵ,
+  verbose = verbose,
+  maxIter = maxIter,
   spectral = false,
-  psb = true,
+  psb = false,
+)
+options6_nrTR = ROSolverOptions(
+  ν = ν,
   ϵa = ϵ,
   ϵr = ϵ,
-  maxIter = maxIter_inner,
+  verbose = verbose,
+  maxIter = maxIter,
+  spectral = false,
+  psb = false,
   reduce_TR = false,
 )
 
-solvers = [:R2, :TRDH, :TRDH, :TRDH, :TR, :TR, :TR, :TR, :TR]
-subsolvers = [:None, :None, :None, :None, :R2, :TRDH, :TRDH, :TRDH, :TRDH]
-solver_options = [options, options, options5, options6, options, options, options, options, options]
-subsolver_options =
-  [options2, options2, options2, options2, options2, options7, options2, options3, options4] # n'importe lequel si subsolver = :None
-
-benchmark_table(
+solvers = [:R2, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH, :TR, :TR, :TR, :TR, :TR, :TR, :TR]
+subsolvers = [:None, :None, :None, :None, :None, :None, :None, :R2, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH]
+solver_options = [
+  options,
+  options,
+  options_nrTR,
+  options5,
+  options5_nrTR,
+  options6,
+  options6_nrTR,
+  options,
+  options,
+  options,
+  options,
+  options,
+  options,
+  options,
+  options,
+]
+subsolver_options = [
+  options2,
+  options2,
+  options2,
+  options2,
+  options2,
+  options2,
+  options2,
+  options2,
+  options2,
+  options2_nrTR,
+  options3,
+  options3_nrTR,
+  options4,
+  options4_nrTR,
+] # n'importe lequel si subsolver = :None
+stats = benchmark_table(
   f,
   1:(f.meta.nvar),
   sol,
@@ -62,4 +112,5 @@ benchmark_table(
   solver_options,
   subsolver_options,
   "BPDN-cstr",
-)
+  tex = false,
+);
diff --git a/benchmarks/tables/bpdn-table.jl b/benchmarks/tables/bpdn-table.jl
@@ -8,64 +8,102 @@ model, nls_model, sol = bpdn_model(compound, bounds = false)
 # parameters
 f = LSR1Model(model)
 λ = norm(grad(model, zeros(model.meta.nvar)), Inf) / 10
-h = NormL1(λ)
+h = NormL0(λ)
 
 verbose = 0 # 10
-ϵ = 1.0e-6
+ν = 1.0
+ϵ = 1.0e-5
+ϵi = 1.0e-5
+ϵri = 1.0e-6
 maxIter = 500
-maxIter_inner = 40
+maxIter_inner = 100
 options =
-  ROSolverOptions(ν = 1.0, ϵa = ϵ, ϵr = ϵ, verbose = verbose, maxIter = maxIter, spectral = true)
-options2 = ROSolverOptions(spectral = false, psb = true, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner)
-options3 = ROSolverOptions(spectral = false, psb = false, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner)
-options4 = ROSolverOptions(spectral = true, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner)
-options6 = ROSolverOptions(
-  ν = 1.0,
+  ROSolverOptions(ν = ν, ϵa = ϵ, ϵr = ϵ, verbose = verbose, maxIter = maxIter, spectral = true)
+options_nrTR =
+  ROSolverOptions(ν = ν, ϵa = ϵ, ϵr = ϵ, verbose = verbose, maxIter = maxIter, spectral = true, reduce_TR = false)
+options2 = ROSolverOptions(spectral = false, psb = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner)
+options2_nrTR = ROSolverOptions(spectral = false, psb = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner, reduce_TR = false)
+options3 = ROSolverOptions(spectral = false, psb = false, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner)
+options3_nrTR = ROSolverOptions(spectral = false, psb = false, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner, reduce_TR = false)
+options4 = ROSolverOptions(spectral = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner)
+options4_nrTR =
+  ROSolverOptions(spectral = true, ϵa = ϵi, ϵr = ϵri, maxIter = maxIter_inner, reduce_TR = false)
+options5 = ROSolverOptions(
+  ν = ν,
   ϵa = ϵ,
   ϵr = ϵ,
   verbose = verbose,
   maxIter = maxIter,
   spectral = false,
-  psb = false,
+  psb = true,
 )
-options5 = ROSolverOptions(
-  ν = 1.0,
+options5_nrTR = ROSolverOptions(
+  ν = ν,
   ϵa = ϵ,
   ϵr = ϵ,
   verbose = verbose,
   maxIter = maxIter,
   spectral = false,
   psb = true,
+  reduce_TR = false,
 )
-options7 = ROSolverOptions(
+options6 = ROSolverOptions(
+  ν = ν,
+  ϵa = ϵ,
+  ϵr = ϵ,
+  verbose = verbose,
+  maxIter = maxIter,
   spectral = false,
-  psb = true,
+  psb = false,
+)
+options6_nrTR = ROSolverOptions(
+  ν = ν,
   ϵa = ϵ,
   ϵr = ϵ,
-  maxIter = maxIter_inner,
+  verbose = verbose,
+  maxIter = maxIter,
+  spectral = false,
+  psb = false,
   reduce_TR = false,
 )
-options8 =
-  ROSolverOptions(spectral = true, ϵa = ϵ, ϵr = ϵ, maxIter = maxIter_inner, reduce_TR = false)
 
-solvers = [:R2, :TRDH, :TRDH, :TRDH, :TR, :TR, :TR, :TR, :TR, :TR]
-subsolvers = [:None, :None, :None, :None, :R2, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH]
-solver_options =
-  [options, options, options5, options6, options, options, options, options, options, options]
+solvers = [:R2, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH, :TR, :TR, :TR, :TR, :TR, :TR, :TR]
+subsolvers = [:None, :None, :None, :None, :None, :None, :None, :R2, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH, :TRDH]
+solver_options = [
+  options,
+  options,
+  options_nrTR,
+  options5,
+  options5_nrTR,
+  options6,
+  options6_nrTR,
+  options,
+  options,
+  options,
+  options,
+  options,
+  options,
+  options,
+  options,
+]
 subsolver_options = [
   options2,
   options2,
   options2,
   options2,
   options2,
-  options7,
   options2,
+  options2,
+  options2,
+  options2,
+  options2_nrTR,
   options3,
+  options3_nrTR,
   options4,
-  options8,
+  options4_nrTR,
 ] # n'importe lequel si subsolver = :None
 
-benchmark_table(
+stats = benchmark_table(
   f,
   1:(f.meta.nvar),
   sol,
@@ -76,4 +114,5 @@ benchmark_table(
   solver_options,
   subsolver_options,
   "BPDN",
-)
+  tex = false,
+);