JSO Compliance: TR & TRDH

Project.toml

@@ -4,9 +4,11 @@ author = ["Robert Baraldi <rbaraldi@uw.edu> and Dominique Orban <dominique.orban
 version = "0.1.0"
 
 [deps]
+Arpack = "7d9fca2a-8960-54d3-9f78-7d1dccf2cb97"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 LinearOperators = "5c8ed15e-5a4c-59e4-a42b-c7e8811fb125"
 Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
+ManualNLPModels = "30dfa513-9b2f-4fb3-9796-781eabac1617"
 NLPModels = "a4795742-8479-5a88-8948-cc11e1c8c1a6"
 NLPModelsModifiers = "e01155f1-5c6f-4375-a9d8-616dd036575f"
 Percival = "01435c0c-c90d-11e9-3788-63660f8fbccc"
@@ -15,18 +17,18 @@ ProximalOperators = "a725b495-10eb-56fe-b38b-717eba820537"
 RegularizedProblems = "ea076b23-609f-44d2-bb12-a4ae45328278"
 ShiftedProximalOperators = "d4fd37fa-580c-4e43-9b30-361c21aae263"
 SolverCore = "ff4d7338-4cf1-434d-91df-b86cb86fb843"
-Arpack = "7d9fca2a-8960-54d3-9f78-7d1dccf2cb97"
 
 [compat]
+Arpack = "0.5"
 LinearOperators = "2.10.0"
+ManualNLPModels = "0.2.0"
 NLPModels = "0.19, 0.20, 0.21"
 NLPModelsModifiers = "0.7"
 Percival = "0.7.2"
 ProximalOperators = "0.15"
 RegularizedProblems = "0.1.1"
 ShiftedProximalOperators = "0.2"
 SolverCore = "0.3.0"
-Arpack = "0.5"
 julia = "^1.6.0"
 
 [extras]

src/RegularizedOptimization.jl

@@ -8,9 +8,38 @@ using Arpack, ProximalOperators
 
 # dependencies from us
 using LinearOperators,
-  NLPModels, NLPModelsModifiers, RegularizedProblems, ShiftedProximalOperators, SolverCore
+  ManualNLPModels, NLPModels, NLPModelsModifiers, RegularizedProblems, ShiftedProximalOperators, SolverCore
 using Percival: AugLagModel, update_y!, update_μ!
 
+const callback_docstring = "
+The callback is called at each iteration.
+The expected signature of the callback is `callback(nlp, solver, stats)`, and its output is ignored.
+Changing any of the input arguments will affect the subsequent iterations.
+In particular, setting `stats.status = :user` will stop the algorithm.
+All relevant information should be available in `nlp` and `solver`.
+Notably, you can access, and modify, the following:
+- `solver.xk`: current iterate;
+- `solver.∇fk`: current gradient;
+- `stats`: structure holding the output of the algorithm (`GenericExecutionStats`), which contains, among other things:
+  - `stats.iter`: current iteration counter;
+  - `stats.objective`: current objective function value;
+  - `stats.solver_specific[:smooth_obj]`: current value of the smooth part of the objective function;
+  - `stats.solver_specific[:nonsmooth_obj]`: current value of the nonsmooth part of the objective function;
+  - `stats.status`: current status of the algorithm. Should be `:unknown` unless the algorithm has attained a stopping criterion. Changing this to anything other than `:unknown` will stop the algorithm, but you should use `:user` to properly indicate the intention;
+  - `stats.elapsed_time`: elapsed time in seconds.
+"
+
+# update l_bound_k and u_bound_k
+function update_bounds!(l_bound_k, u_bound_k, is_subsolver, l_bound, u_bound, xk, Δ)
+  if is_subsolver
+    @. l_bound_k = max(xk - Δ, l_bound)
+    @. u_bound_k = min(xk + Δ, u_bound)
+  else
+    @. l_bound_k = max(-Δ, l_bound - xk)
+    @. u_bound_k = min(Δ, u_bound - xk)
+  end
+end
+
 include("utils.jl")
 include("input_struct.jl")
 include("PG_alg.jl")