From 8c6809351fd8cc870ce181f85b1db0a33e6f8a3d Mon Sep 17 00:00:00 2001 From: Vaibhav Dixit Date: Sun, 24 Sep 2023 00:02:50 -0400 Subject: [PATCH] Initial attempt --- lib/OptimizationAccelerated/Manifest.toml | 1490 +++++++++++++++++ lib/OptimizationAccelerated/Project.toml | 11 + .../src/OptimizationAccelerated.jl | 79 + lib/OptimizationAccelerated/test/runtests.jl | 17 + 4 files changed, 1597 insertions(+) create mode 100644 lib/OptimizationAccelerated/Manifest.toml create mode 100644 lib/OptimizationAccelerated/Project.toml create mode 100644 lib/OptimizationAccelerated/src/OptimizationAccelerated.jl create mode 100644 lib/OptimizationAccelerated/test/runtests.jl diff --git a/lib/OptimizationAccelerated/Manifest.toml b/lib/OptimizationAccelerated/Manifest.toml new file mode 100644 index 000000000..6d2665096 --- /dev/null +++ b/lib/OptimizationAccelerated/Manifest.toml @@ -0,0 +1,1490 @@ +# This file is machine-generated - editing it directly is not advised + +julia_version = "1.9.2" 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b/lib/OptimizationAccelerated/src/OptimizationAccelerated.jl new file mode 100644 index 000000000..c183ef9c0 --- /dev/null +++ b/lib/OptimizationAccelerated/src/OptimizationAccelerated.jl @@ -0,0 +1,79 @@ +module OptimizationAccelerated +using Optimization, Optimization.SciMLBase, LinearAlgebra +using OptimizationMOI, OSQP, ModelingToolkit + +struct AcceleratedOpt + β::Float64 + δ::Float64 + Tₖ::Float64 + α::Float64 + ϵ::Float64 + ϵ_sol::Float64 + ϵ_const::Float64 +end + +SciMLBase.supports_opt_cache_interface(opt::AcceleratedOpt) = true +SciMLBase.allowsconstraints(::AcceleratedOpt) = true +SciMLBase.requiresconstraints(::AcceleratedOpt) = true + +function SciMLBase.__solve(cache::OptimizationCache{ + F, + RC, + LB, + UB, + LC, + UC, + S, + O, + D, + P, + C, +}) where { + F, + RC, + LB, + UB, + LC, + UC, + S, + O <: AcceleratedOpt, + D, + P, + C, +} + β, δ, Tₖ, α, ϵ, ϵ_sol, ϵ_const = cache.opt.β, cache.opt.δ, cache.opt.Tₖ, cache.opt.α, cache.opt.ϵ, cache.opt.ϵ_sol, cache.opt.ϵ_const + + xₖ = cache.u0 + uₖ = zeros(eltype(xₖ), length(xₖ)) + gradcache = zeros(eltype(xₖ), length(xₖ)) + conscache = zeros(eltype(xₖ), length(cache.lcons)) + consjaccache = zeros(eltype(xₖ), length(cache.lcons), length(xₖ)) + for i in 1:cache.solver_args.maxiters + gradcache .= zero(eltype(xₖ)) + cache.f.grad(gradcache, xₖ + β*uₖ) + rₖ = uₖ - 2*δ*Tₖ*uₖ - gradcache*Tₖ + w = [] + W = [] + conscache .= zero(eltype(xₖ)) + cache.f.cons(conscache, xₖ) + consjaccache .= zero(eltype(xₖ)) + cache.f.cons_j(consjaccache, xₖ) + for j in 1:length(cache.lcons) + if conscache[j] < 0 + push!(w, -α*conscache[j] - ϵ*min(dot(consjaccache[j,:], uₖ) + α*conscache[j], 0)) + push!(W, consjaccache[j,:]) + end + end + quadprob = OptimizationProblem(OptimizationFunction((v, p =nothing) -> (v - rₖ).^2, Optimization.AutoModelingToolkit(), cons = (res, v, p = nothing) -> res .= W .* v - w), uₖ, lcons = zeros(length(w))) + + uₖ = solve(quadprob, OSQP.Optimizer()).u + xₖ = xₖ + Tₖ*uₖ + if norm(uₖ, 1) < ϵ_sol + break + end + end + + return SciMLBase.build_solution(cache, cache.opt, xₖ, opt.f(xₖ)) +end + +end \ No newline at end of file diff --git a/lib/OptimizationAccelerated/test/runtests.jl b/lib/OptimizationAccelerated/test/runtests.jl new file mode 100644 index 000000000..42d6890cc --- /dev/null +++ b/lib/OptimizationAccelerated/test/runtests.jl @@ -0,0 +1,17 @@ +using OptimizationAccelerated, Optimization +using ReverseDiff + +function rosenbrock(x, p=nothing) + (1 - x[1])^2 + 100 * (x[2] - x[1]^2)^2 +end + +function con2_c(res, x, p) + res .= [x[1]^2 + x[2]^2, x[2] * sin(x[1]) - x[1]] +end + +x0 = zeros(2) +l1 = rosenbrock(x0, nothing) +optprob = OptimizationFunction(rosenbrock, Optimization.AutoReverseDiff(), cons = cons2_c) +prob = Optimization.OptimizationProblem(optprob, x0) + +sol = solve(prob, OptimizationAccelerated.AcceleratedOpt(0.5, 0.5, 1.0, 0.5, 1e-6, 1e-6, 1e-6))