resolved #54

src/algorithms/admm_one_level.jl

@@ -6,8 +6,8 @@ function admm_one_level(
     info = mod.info
     sol = mod.solution
 
-    sqrt_d = sqrt(mod.nvar)
-    OUTER_TOL = sqrt_d*(par.outer_eps) #adjusted outer loop tolerance
+    info.primtol = par.RELTOL
+    info.dualtol = par.RELTOL
 
     fill!(info, 0)
     info.mismatch = Inf
@@ -27,7 +27,7 @@ function admm_one_level(
                 "Iter", "Objval", "Auglag", "PrimRes", "PrimTol", "DualRes", "DualTol")
 
         @printf("%8d  %10.3e  %10.3e  %10.3e  %10.3e %10.3e  %10.3e\n",
-                info.outer, info.objval, info.auglag, info.mismatch, OUTER_TOL, info.dualres, OUTER_TOL*norm(sol.rho)/sqrt_d)
+                info.outer, info.objval, info.auglag, info.mismatch, info.primtol, info.dualres, info.dualtol)
     end
 
     info.status = :IterationLimit
@@ -56,13 +56,13 @@ function admm_one_level(
                 end
 
                 @printf("%8d  %10.3e  %10.3e  %10.3e  %10.3e %10.3e  %10.3e\n",
-                        info.outer, info.objval, info.auglag, info.mismatch, OUTER_TOL, info.dualres, OUTER_TOL*norm(sol.rho)/sqrt_d)
+                        info.outer, info.objval, info.auglag, info.primres, info.primtol, info.dualres, info.dualtol)
             end
 
         end # while inner
 
         # mismatch: x-xbar
-        if info.mismatch <= OUTER_TOL && info.dualres <= OUTER_TOL*norm(sol.rho, device)/sqrt_d
+        if info.primres <= info.primtol && info.dualres <= info.dualtol
             info.status = :Solved
             break
         end

src/algorithms/admm_two_level.jl

@@ -42,7 +42,7 @@ function admm_two_level(
             admm_update_residual(env, mod, device)
 
             # an adjusting termination criteria for inner loop (i.e., inner loop is not solved to exact)
-            info.eps_pri = sqrt_d / (2500*info.outer)
+            info.eps_pri = min(sqrt_d / (2500*info.outer) * info.primsca, info.primres)
 
             if par.verbose > 0
                 if (info.cumul % 50) == 0

src/models/acopf/acopf_admm_update_residual_cpu.jl

@@ -13,16 +13,27 @@ The primal and dual residuals are stored in `mod.solution.rp` and `mod.solution.
 function admm_update_residual(
     env::AdmmEnv{Float64,Array{Float64,1},Array{Int,1},Array{Float64,2}},
     mod::AbstractOPFModel{Float64,Array{Float64,1},Array{Int,1},Array{Float64,2}},
-    device::Nothing=nothing
+    device::Nothing=nothing;
+    normalized=true
 )
     sol, info, data, par, grid_data = mod.solution, mod.info, env.data, env.params, mod.grid_data
 
     sol.rp .= sol.u_curr .- sol.v_curr .+ sol.z_curr
     sol.rd .= sol.z_curr .- sol.z_prev
     sol.Ax_plus_By .= sol.rp .- sol.z_curr
 
+    info.primsca = max(norm(sol.u_curr), norm(sol.v_curr), norm(sol.z_curr))
+    info.dualsca = norm(sol.l_curr)
     info.primres = norm(sol.rp)
     info.dualres = norm(sol.rd)
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL + par.RELTOL * info.primsca
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL + par.RELTOL * info.dualsca
+    if normalized
+        info.primres /= info.primsca
+        info.dualres /= info.dualsca
+        info.primtol /= info.primsca
+        info.dualtol /= info.dualsca
+    end
     info.norm_z_curr = norm(sol.z_curr)
     info.mismatch = norm(sol.Ax_plus_By)
     info.objval = sum(data.generators[g].coeff[data.generators[g].n-2]*(grid_data.baseMVA*sol.u_curr[mod.gen_start+2*(g-1)])^2 +

src/models/acopf/acopf_admm_update_residual_gpu.jl

@@ -11,7 +11,8 @@ end
 function admm_update_residual(
     env::AdmmEnv{Float64,CuArray{Float64,1},CuArray{Int,1},CuArray{Float64,2}},
     mod::AbstractOPFModel{Float64,CuArray{Float64,1},CuArray{Int,1},CuArray{Float64,2}},
-    device::Nothing=nothing
+    device::Nothing=nothing;
+    normalized=true
 )
     sol, info = mod.solution, mod.info
 
@@ -20,8 +21,18 @@ function admm_update_residual(
     CUDA.synchronize()
     CUDA.@sync @cuda threads=64 blocks=(div(mod.nvar-1, 64)+1) vector_difference(mod.nvar, sol.Ax_plus_By, sol.rp, sol.z_curr)
 
+    info.primsca = max(CUDA.norm(sol.u_curr), CUDA.norm(sol.v_curr), CUDA.norm(sol.z_curr))
+    info.dualsca = CUDA.norm(sol.l_curr)
     info.primres = CUDA.norm(sol.rp)
     info.dualres = CUDA.norm(sol.rd)
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL + par.RELTOL * info.primsca
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL + par.RELTOL * info.dualsca
+    if normalized
+        info.primres /= info.primsca
+        info.dualres /= info.dualsca
+        info.primtol /= info.primsca
+        info.dualtol /= info.dualsca
+    end
     info.norm_z_curr = CUDA.norm(sol.z_curr)
     info.mismatch = CUDA.norm(sol.Ax_plus_By)
 

src/models/acopf/acopf_admm_update_residual_ka.jl

@@ -13,7 +13,8 @@ end
 function admm_update_residual(
     env::AdmmEnv,
     mod::AbstractOPFModel,
-    device
+    device;
+    normalized=true
 )
     sol, info = mod.solution, mod.info
     nblk_nvar = div(mod.nvar-1, 64)+1
@@ -30,8 +31,18 @@ function admm_update_residual(
     )
     KA.synchronize(device)
 
+    info.primsca = max(norm(sol.u_curr, device), norm(sol.v_curr, device), norm(sol.z_curr, device))
+    info.dualsca = norm(sol.l_curr, device)
     info.primres = norm(sol.rp, device)
     info.dualres = norm(sol.rd, device)
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL + par.RELTOL * info.primsca
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL + par.RELTOL * info.dualsca
+    if normalized
+        info.primres /= info.primsca
+        info.dualres /= info.dualsca
+        info.primtol /= info.primsca
+        info.dualtol /= info.dualsca
+    end
     info.norm_z_curr = norm(sol.z_curr, device)
     info.mismatch = norm(sol.Ax_plus_By, device)
 

src/models/mpacopf/mpacopf_admm_update_residual_cpu.jl

@@ -7,11 +7,15 @@ function admm_update_residual(
 
     info.primres = 0.0
     info.dualres = 0.0
+    info.primsca = 0.0
+    info.dualsca = 0.0
     info.norm_z_curr = 0.0
     info.mismatch = 0.0
 
     for i=1:mod.len_horizon
-        admm_update_residual(env, mod.models[i])
+        admm_update_residual(env, mod.models[i], normalized = false)
+        info.primsca = max(info.primsca, mod.models[i].info.primsca)
+        info.dualsca = max(info.dualsca, mod.models[i].info.dualsca)
     #=
         info.primres += mod.models[i].info.primres^2
         info.dualres += mod.models[i].info.dualres^2
@@ -31,6 +35,8 @@ function admm_update_residual(
         mod.models[i].info.dualres = sqrt(mod.models[i].info.dualres^2 + norm(sol_ramp.rd)^2)
         mod.models[i].info.norm_z_curr = sqrt(mod.models[i].info.norm_z_curr^2 + norm(sol_ramp.z_curr)^2)
         mod.models[i].info.mismatch = sqrt(mod.models[i].info.mismatch^2 + norm(sol_ramp.Ax_plus_By)^2)
+        info.primsca = max(info.primsca, norm(sol_ramp.u_curr), norm(v_curr), norm(sol_ramp.z_curr))
+        info.dualsca = max(info.dualsca, norm(sol_ramp.l_curr))
     #=
         info.primres += norm(sol_ramp.rp)^2
         info.dualres += norm(sol_ramp.rd)^2
@@ -45,6 +51,10 @@ function admm_update_residual(
         info.norm_z_curr = max(info.norm_z_curr, mod.models[i].info.norm_z_curr)
         info.mismatch = max(info.mismatch, mod.models[i].info.mismatch)
     end
+    info.primres /= info.primsca
+    info.dualres /= info.dualsca
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL / info.primsca + par.RELTOL
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL / info.dualsca + par.RELTOL
 
     #=
     info.primres = sqrt(info.primres)

src/models/mpacopf/mpacopf_admm_update_residual_gpu.jl

@@ -20,11 +20,15 @@ function admm_update_residual(
 
     info.primres = 0.0
     info.dualres = 0.0
+    info.primsca = 0.0
+    info.dualsca = 0.0
     info.norm_z_curr = 0.0
     info.mismatch = 0.0
 
     for i=1:mod.len_horizon
-        admm_update_residual(env, mod.models[i])
+        admm_update_residual(env, mod.models[i], normalized = false)
+        info.primsca = max(info.primsca, mod.models[i].info.primsca)
+        info.dualsca = max(info.dualsca, mod.models[i].info.dualsca)
     #=
         info.primres += mod.models[i].info.primres^2
         info.dualres += mod.models[i].info.dualres^2
@@ -44,6 +48,8 @@ function admm_update_residual(
         mod.models[i].info.dualres = sqrt(mod.models[i].info.dualres^2 + CUDA.norm(sol_ramp.rd)^2)
         mod.models[i].info.norm_z_curr = sqrt(mod.models[i].info.norm_z_curr^2 + CUDA.norm(sol_ramp.z_curr)^2)
         mod.models[i].info.mismatch = sqrt(mod.models[i].info.mismatch^2 + CUDA.norm(sol_ramp.Ax_plus_By)^2)
+        info.primsca = max(info.primsca, CUDA.norm(sol_ramp.u_curr), CUDA.norm(v_curr), CUDA.norm(sol_ramp.z_curr))
+        info.dualsca = max(info.dualsca, CUDA.norm(sol_ramp.l_curr))
     #=
         info.primres += norm(sol_ramp.rp)^2
         info.dualres += norm(sol_ramp.rd)^2
@@ -58,6 +64,10 @@ function admm_update_residual(
         info.norm_z_curr = max(info.norm_z_curr, mod.models[i].info.norm_z_curr)
         info.mismatch = max(info.mismatch, mod.models[i].info.mismatch)
     end
+    info.primres /= info.primsca
+    info.dualres /= info.dualsca
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL / info.primsca + par.RELTOL
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL / info.dualsca + par.RELTOL
 
     #=
     info.primres = sqrt(info.primres)

src/models/qpsub/qpsub_admm_update_residual_cpu.jl

@@ -19,8 +19,12 @@ function admm_update_residual(
     sol.rd .= sol.rho .* (sol.v_curr - mod.v_prev)#from Boyd's single-level admm
     sol.Ax_plus_By .= sol.rp #x-xbar
 
-    info.primres = norm(sol.rp)
-    info.dualres = norm(sol.rd)
+    info.primsca = max(norm(sol.u_curr), norm(sol.v_curr))
+    info.dualsca = norm(sol.l_curr)
+    info.primres = norm(sol.rp) / info.primsca
+    info.dualres = norm(sol.rd) / info.dualsca
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL / info.primsca + par.RELTOL
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL / info.dualsca + par.RELTOL
     info.mismatch = norm(sol.Ax_plus_By)
 
 

src/models/qpsub/qpsub_admm_update_residual_gpu.jl

@@ -42,11 +42,12 @@ function admm_update_residual(
 
     @cuda threads=64 blocks=(div(mod.nvar-1, 64)+1) copy_data_kernel(mod.nvar, sol.Ax_plus_By, sol.rp) # from gpu utility
 
-
-    info.primres = CUDA.norm(sol.rp)
-
-    info.dualres = CUDA.norm(sol.rd)
-
+    info.primsca = max(CUDA.norm(sol.u_curr), CUDA.norm(sol.v_curr))
+    info.dualsca = CUDA.norm(sol.l_curr)
+    info.primres = CUDA.norm(sol.rp) / info.primsca
+    info.dualres = CUDA.norm(sol.rd) / info.dualsca
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL / info.primsca + par.RELTOL
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL / info.dualsca + par.RELTOL
     info.mismatch = CUDA.norm(sol.Ax_plus_By)
 
     return

src/models/qpsub/qpsub_admm_update_residual_ka.jl

@@ -51,11 +51,12 @@ function admm_update_residual(
     ) # from gpu utility
     KA.synchronize(device)
 
-
-    info.primres = norm(sol.rp, device)
-
-    info.dualres = norm(sol.rd, device)
-
+    info.primsca = max(norm(sol.u_curr, device), norm(sol.v_curr, device))
+    info.dualsca = norm(sol.l_curr, device)
+    info.primres = norm(sol.rp, device) / info.primsca
+    info.dualres = norm(sol.rd, device) / info.dualsca
+    info.primtol = sqrt(mod.nvar) * par.ABSTOL / info.primsca + par.RELTOL
+    info.dualtol = sqrt(mod.nvar) * par.ABSTOL / info.dualsca + par.RELTOL
     info.mismatch = norm(sol.Ax_plus_By, device)
 
     return

src/utils/environment.jl

@@ -333,6 +333,10 @@ mutable struct IterationInformation{U}
     objval::Float64
     primres::Float64
     dualres::Float64
+    primtol::Float64 # normalized primal tolerance; this may be redundant to eps_pri below.
+    dualtol::Float64 # normalized dual tolerance
+    primsca::Float64 # primal normalization scalar
+    dualsca::Float64 # primal normalization scalar
     mismatch::Float64
     auglag::Float64
     eps_pri::Float64
@@ -365,6 +369,10 @@ function Base.fill!(info::IterationInformation, val)
     info.objval = val
     info.primres = val
     info.dualres = val
+    info.primtol = val
+    info.dualtol = val
+    info.primsca = val
+    info.dualsca = val
     info.mismatch = val
     info.auglag = val
     info.eps_pri = val
@@ -389,6 +397,10 @@ function Base.copy(ref::IterationInformation{ComponentInformation})
     info.objval = ref.objval
     info.primres = ref.primres
     info.dualres = ref.dualres
+    info.primtol = ref.primtol
+    info.dualtol = ref.dualtol
+    info.primsca = ref.primsca
+    info.dualsca = ref.dualsca
     info.mismatch = ref.mismatch
     info.auglag = ref.auglag
     info.eps_pri = ref.eps_pri