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The Riemannian Interior Point Newton Method #399

Merged
merged 267 commits into from
Aug 2, 2024
Merged

The Riemannian Interior Point Newton Method #399

merged 267 commits into from
Aug 2, 2024

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kellertuer
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@kellertuer kellertuer commented Jun 28, 2024 •
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This is my (third) summer project: This is initial code for a Riemannian Interior Point Newton method based on the master thesis of @mstokkenes, where of course documentation and testing are not part of master theses, but exploring how this algorithms works and illustrating that is works.
A Matlab code for the same idea this is based on (and from the authors of the original paper) is https://github.com/GALVINLAI/RIPM, though here the notation is already much closer to that of Manopt.jl

🛣️ Roadmap

  • 🛠️ refactor code to VectorialHessianFunctions, which are newer than the original code base
  • 🛠️ Refactor is_feasible to work in a more general sense than just for RIPM and (re-)introduce DebugFeasibility()
  • 🛠️ rework KKT vector field, Jacobian and the merit function (incl. documentation)
  • 🛠️ store the merit function and its gradient as the stepsize_objective and for the additional check use centrality_condition
  • 🛠️ debug and refactor Conjugate residual
  • 🔎 carefully check the condensed KKT system
  • 🔎 carefully debug the parameters ρ and σ (Section 8.1 YL) and their update
  • ⚠️ for now the IPNewton performs one or two steps very well, then the gradient seems not be a descent direction (but I am also not yet 100% through with documentation and testing)
  • 📚extend all new documentation strings
  • fix Refine storage of subsolver states #403 on all solvers that have a subsolver.
  • 📈 ensure proper test coverage

mstokkenes and others added 30 commits April 20, 2024 18:56
@mstokkenes
Reworked structure of code
5c7e985 
Now more similar to rest of Manopt
@mstokkenes
Implemented conjugate residual method as abstract solver
820e7dc 
step_solver! for interior point Newton now employs conjugate_gradient!, and interior_point_Newton! converges unless first iterate is not feasible
@kellertuer
add one comment to the new subsolver.
c6726f3
@mstokkenes
Update conjugate_residual.jl
8557459
@mstokkenes
Modified step_solver! for conjugate residual method
51d04a9 
Also changed AbstractManoptProblem inputs to AbstractManoptProblem{<:TangentSpace}
@mstokkenes
Test commit
4269640
@mstokkenes
Combined LHS and RHS function into one function get_Newtons
2007d63 
Also added possibility for plotting results for visualization purposes. Added  comments throughout code.
@mstokkenes
Minor formatting improvements
b4a1270
@kellertuer
Add a few comments from todays meeting.
63a4be9
@mstokkenes
Added subsolver flexibility
4a3adeb
@kellertuer
Add a few comments to discuss tomorrow.
6b396e5
@kellertuer
add a few more comments.
937a907
@kellertuer
A bit of a rework and some comments.
8832bd1
@kellertuer
Add a new idea to the rework to simplify things, that are then less h…
bafac3e 
…irarchical maybe (at least seen from the main solver).
@kellertuer
Start structural rework on constraint objectives.
56eb725
@kellertuer
Sketch the idea of a unified vector function objective.
147cf4e
@mstokkenes
Updating subproblem now works more generically
f56727d
@kellertuer
Rename the VectorialObjective to a VectorGradientFunction and start i…
bde4510 
…mplementing accessors.
@kellertuer
Reduce duplicate text.
40235f4
@kellertuer
Finish most of the desugn and basic documentation work.
c060302
@kellertuer @mateuszbaran
Apply suggestions from code review
88d81f1 
Co-authored-by: Mateusz Baran <[email protected]>
@kellertuer
Merge branch 'master' into kellertuer/structural_rework_constraints
6862c92
@kellertuer
sketch all variants of the (full) access get_gradients and get_gradie…
bd3fec3 
…nts!
@mstokkenes
Made sure code runs before meeting :)
8dcd677
@mateuszbaran
Merge branch 'master' into kellertuer/structural_rework_constraints
879e94a
@mateuszbaran
minor fixes
4b6eac7
@mateuszbaran @github-actions
Update src/plans/constrained_plan.jl
7826cd4 
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
@kellertuer
Fix a few typos and improve code a bit.
f4cc60a
@kellertuer
Improve test a bit.
a9d15b6
@kellertuer
Get arguments to full generality.
8c5f0f6
kellertuer and others added 7 commits August 1, 2024 20:01
@kellertuer
Adapt CBM.
2d06668 
its a bit like knitting – one can nearly do that while watching a documentation.
@kellertuer
Just missed Aqua.
d89a75a
@kellertuer
Adapt PBM.
9b963bd
@mateuszbaran
adapt DC
63ee28f
@kellertuer
Adapt ARC.
d9961ab
@kellertuer
Merge branch 'kellertuer/riemannian-interior-point' of github.com:Jul…
b333d6f 
…iaManifolds/Manopt.jl into kellertuer/riemannian-interior-point

# Conflicts:
#	src/solvers/difference_of_convex_algorithm.jl
@kellertuer
fix Aqua DC.
ab0bb15
@kellertuer
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Oh TR looks a bit more involved, the code is quite old and might also benefit from a bit of improvements anyways. Do you want to do that or shall I?

@mateuszbaran
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I can adapt TR.

@kellertuer
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We have all others and proper code cov.

@kellertuer
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Oh, I introduced an ambiguity? Why did that not happen for the other solvers? I do not directly se how to resolve that.

@mateuszbaran
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I've adapted TR and resolved the ambiguity.

@kellertuer
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I am not so sure where we lost the 2 lines on TR, but the rest seems to be fine.

@kellertuer
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Yay! I'd call this finished, but would be happy if you could approve it as well.
We can also wait until tomorrow with merging.

@mateuszbaran
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I would like to take one more look at this PR tomorrow, mostly to check if there are any major performance issues or some small documentation improvements.

@kellertuer
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Sure, If you find something and do a commit, you can also adapt the date in the changelog.
I can check back here tomorrow afternoon then, since I will be on a hike tomorrow (one we can also do when you are here).

mateuszbaran
mateuszbaran approved these changes Aug 2, 2024
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Performance is not great but to improve that I need to extend PowerManifold a bit first. I think this would be better suited for a separate PR.

mateuszbaran
mateuszbaran reviewed Aug 2, 2024
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@kellertuer
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Performance is not great but to improve that I need to extend PowerManifold a bit first. I think this would be better suited for a separate PR.

I think s well, this took quite a while to get done, so working is my first goal here, performance a next one.
I did work through most of the access functions used for constraints and used the single access ones for performance for example.

@kellertuer
Fix the changelog.
d69a90b
@kellertuer
Merge branch 'kellertuer/riemannian-interior-point' of github.com:Jul…
21535f1 
…iaManifolds/Manopt.jl into kellertuer/riemannian-interior-point
@kellertuer kellertuer merged commit 0b05c8c into master Aug 2, 2024
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Refine storage of subsolver states
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@kellertuer @mateuszbaran @mstokkenes