start adding initial central point finding

Author: chriscoey

examples/robustgeomprog/JuMP.jl

@@ -28,7 +28,7 @@ example_tests(::Type{RobustGeomProgJuMP{Float64}}, ::FastInstances) = begin
     options = (tol_feas = 1e-6, tol_rel_opt = 1e-6, tol_abs_opt = 1e-6)
     return [
     ((5, 10), nothing, options),
-    ((5, 10), ClassicConeOptimizer), nothing, options),
+    ((5, 10), ClassicConeOptimizer, options),
     ((10, 20), nothing, options),
     ((20, 40), nothing, options),
     ((40, 80),),

src/Cones/Cones.jl

@@ -100,7 +100,7 @@ function update_hess_fact(cone::Cone{T}; recover::Bool = true) where {T <: Real}
         recover || return false
         # TODO if Chol, try adding sqrt(eps(T)) to diag and re-factorize
         if T <: BlasReal && cone.hess_fact_cache isa DensePosDefCache{T}
-            @warn("switching Hessian cache from Cholesky to Bunch Kaufman")
+            # @warn("switching Hessian cache from Cholesky to Bunch Kaufman")
             cone.hess_fact_cache = DenseSymCache{T}()
             load_matrix(cone.hess_fact_cache, cone.hess)
         else
@@ -253,6 +253,50 @@ end
 #     # return (nbhd < T(0.5))
 # end
 
+# newton for central initial point
+# TODO don't run if cone has known central initial point
+# TODO remove allocs
+function set_central_point(cone::Cone{T}) where {T <: Real}
+    tol = cbrt(eps(T)) # TODO adjust
+    max_iter = 10 # TODO make it depend on sqrt(nu)?
+    damp_tol = 0.2 # TODO tune
+    nu = get_nu(cone)
+
+    curr = zeros(T, dimension(cone))
+    set_initial_point(curr, cone)
+    curr .*= sqrt(nu / sum(abs2, curr)) # rescale norm as a heuristic
+
+    dir = similar(curr)
+    iter = 0
+    while iter < max_iter
+        load_point(cone, curr)
+        reset_data(cone)
+        @assert is_feas(cone)
+        g = grad(cone)
+
+        tmp = -curr - g
+        # @show norm(tmp)
+        if norm(tmp, Inf) < tol # TODO tune
+            iter > 0 && println("final iter $iter, $(norm(tmp, Inf))")
+            break
+        end
+
+        dir .= cholesky!(Symmetric(hess(cone) + I)) \ tmp # TODO make more efficient, maybe add to cone.hess directly and use hess fact
+        # inv_hess_prod!(dir, tmp, cone) # cannot use
+
+        nnorm = dot(tmp, dir)
+        @assert nnorm > 0
+        alpha = (abs(nnorm) > damp_tol ? inv(1 + abs(nnorm)) : one(T))
+        # @show alpha
+        # @show nnorm
+
+        curr = curr + alpha * dir
+        iter += 1
+    end
+    # @show norm(curr + grad(cone))
+
+    return curr
+end
 
 # utilities for arrays
 

src/Solvers/initialize.jl

@@ -9,17 +9,28 @@ function initialize_cone_point(cones::Vector{Cones.Cone{T}}, cone_idxs::Vector{U
     q = isempty(cones) ? 0 : sum(Cones.dimension, cones)
     point = Models.Point(T[], T[], zeros(T, q), zeros(T, q), cones, cone_idxs)
 
+    # TODO cleanup
+    use_newton = true
+    # use_newton = false
+
     for (k, cone_k) in enumerate(cones)
         Cones.setup_data(cone_k)
         Cones.set_timer(cone_k, timer)
         primal_k = point.primal_views[k]
-        Cones.set_initial_point(primal_k, cone_k)
+        if use_newton
+            primal_k .= Cones.set_central_point(cone_k) # TODO pass in arg?
+        else
+            Cones.set_initial_point(primal_k, cone_k)
+        end
         Cones.load_point(cone_k, primal_k)
         dual_k = point.dual_views[k]
         @assert Cones.is_feas(cone_k)
         g = Cones.grad(cone_k)
         @. dual_k = -g
-        Cones.load_dual_point(cone_k, dual_k)
+        # if use_newton
+        #     @show norm(primal_k - dual_k)
+        #     # @assert primal_k ≈ dual_k rtol=eps(T)^0.25 # TODO delete
+        # end
         hasfield(typeof(cone_k), :hess_fact_cache) && @assert Cones.update_hess_fact(cone_k)
     end
 

src/Solvers/stepper.jl

@@ -386,8 +386,8 @@ function update_rhs_predcorr(stepper::CombinedStepper{T}, solver::Solver{T}) whe
         # end
         if corr_viol < 0.001
             @. stepper.s_rhs_k[k] += H_prim_dir_k + corr_k
-        else
-            println("skip pred-corr: $corr_viol")
+        # else
+        #     println("skip pred-corr: $corr_viol")
         end
     end
 
@@ -444,8 +444,8 @@ function update_rhs_centcorr(stepper::CombinedStepper{T}, solver::Solver{T}) whe
         # end
         if corr_viol < 0.001
             stepper.s_rhs_k[k] .+= corr_k
-        else
-            println("skip cent-corr: $corr_viol")
+        # else
+        #     println("skip cent-corr: $corr_viol")
         end
     end