Lazification as an user setting (#137)

Lazification and lazification tolerance  as a user setting and restructure evaluate node.

src/frank_wolfe_variants.jl

@@ -49,6 +49,7 @@ function solve_frank_wolfe(
     extra_vertex_storage=nothing, 
     callback=nothing,
     lazy=false, 
+    lazy_tolerance=2.0,
     timeout=Inf,
     verbose=false,
     workspace=nothing
@@ -62,7 +63,8 @@ function solve_frank_wolfe(
         max_iteration=max_iteration,
         line_search=line_search,
         callback=callback,
-        lazy=lazy,        
+        lazy=lazy,  
+        lazy_tolerance=lazy_tolerance,      
         timeout=timeout,
         add_dropped_vertices=add_dropped_vertices,
         use_extra_vertex_storage=use_extra_vertex_storage,
@@ -95,6 +97,7 @@ function solve_frank_wolfe(
     extra_vertex_storage=nothing, 
     callback=nothing,
     lazy=false, 
+    lazy_tolerance=2.0,
     timeout=Inf,
     verbose=false,
     workspace=nothing
@@ -113,6 +116,7 @@ function solve_frank_wolfe(
         callback=callback,
         timeout=timeout,
         verbose=verbose,
+        lazy_tolerance=lazy_tolerance,
     )
 
     return x, primal, dual_gap, active_set
@@ -139,6 +143,7 @@ function solve_frank_wolfe(
     extra_vertex_storage=nothing, 
     callback=nothing,
     lazy=false, 
+    lazy_tolerance=2.0,
     timeout=Inf,
     verbose=false,
     workspace=nothing
@@ -156,6 +161,7 @@ function solve_frank_wolfe(
         extra_vertex_storage=extra_vertex_storage,
         callback=callback,
         lazy=lazy,
+        lazy_tolerance=lazy_tolerance,
         timeout=timeout,
         verbose=verbose
     )
@@ -188,6 +194,7 @@ function solve_frank_wolfe(
     extra_vertex_storage=nothing, 
     callback=nothing,
     lazy=false, 
+    lazy_tolerance=2.0,
     timeout=Inf,
     verbose=false,
     workspace=nothing

src/interface.jl

@@ -13,7 +13,14 @@ variant                - variant of FrankWolfe to be used to solve the node prob
                                  AFW  -- Away FrankWolfe
                                  BPCG -- Blended Pairwise Conditional Gradient  
 line_search            - specifies the Line Search method used in the FrankWolfe variant.
-                         Default is the Adaptive Line Search. For other types, check the FrankWolfe.jl package.                               
+                         Default is the Adaptive Line Search. For other types, check the FrankWolfe.jl package. 
+active_set             - can be used to specify a starting point, e.g. if the feasible region is not completely
+                         contained in the domain of the objective. By default, the direction (1,..,n) where n is 
+                         the size of the problem is used to find a start vertex. Beware that the active set may 
+                         only contain actual vertices of the feasible region.   
+lazy                   - specifies whether the lazification shoud be used. Per default true. 
+                         Beware that it has no effect with Vanilla Frank-Wolfe. 
+lazy_tolerance         - decides how much progress is deemed enough to not have to call the LMO.                                                             
 fw_epsilon             - the tolerance for FrankWolfe in the root node.
 verbose                - if true, a log and solution statistics are printed.
 dual_gap               - if this absolute dual gap is reached, the algorithm stops.
@@ -49,6 +56,8 @@ function solve(
     variant::FrankWolfeVariant=BPCG(),
     line_search::FrankWolfe.LineSearchMethod=FrankWolfe.Adaptive(),
     active_set::Union{Nothing, FrankWolfe.ActiveSet} = nothing,
+    lazy=true,
+    lazy_tolerance = 2.0,
     fw_epsilon=1e-2,
     verbose=false,
     dual_gap=1e-6,
@@ -78,6 +87,8 @@ function solve(
         println("\t Branching strategy: ", _value_to_print(branching_strategy))
         println("\t FrankWolfe variant: $(variant)")
         println("\t Line Search Method: $(line_search)")
+        println("\t Lazification: $(lazy)")
+        lazy ? println("\t Lazification Tolerance: $(lazy_tolerance)") : nothing
         @printf("\t Absolute dual gap tolerance: %e\n", dual_gap)
         @printf("\t Relative dual gap tolerance: %e\n", rel_dual_gap)
         @printf("\t Frank-Wolfe subproblem tolerance: %e\n", fw_epsilon)
@@ -201,20 +212,22 @@ function solve(
             ),
             global_tightenings = IntegerBounds(),
             options=Dict{Symbol,Any}(
-                :dual_gap_decay_factor => dual_gap_decay_factor,
+                :domain_oracle => domain_oracle,
                 :dual_gap => dual_gap,
-                :print_iter => print_iter,
-                :max_fw_iter => max_fw_iter,
-                :min_node_fw_epsilon => min_node_fw_epsilon,
-                :time_limit => time_limit,
+                :dual_gap_decay_factor => dual_gap_decay_factor, 
                 :dual_tightening => dual_tightening,
+                :fwVerbose => fw_verbose,
                 :global_dual_tightening => global_dual_tightening,
-                :strong_convexity => strong_convexity,
-                :variant => variant,
+                :lazy => lazy,
+                :lazy_tolerance => lazy_tolerance,
                 :lineSearch => line_search,
-                :domain_oracle => domain_oracle,
+                :min_node_fw_epsilon => min_node_fw_epsilon,
+                :max_fw_iter => max_fw_iter,
+                :print_iter => print_iter,
+                :strong_convexity => strong_convexity,
+                :time_limit => time_limit,
                 :usePostsolve => use_postsolve,
-                :fwVerbose => fw_verbose,
+                :variant => variant,
             ),
         ),
         branch_strategy=branching_strategy,