Implement additional plot for infeasibility

examples/alm_sdp.jl

@@ -44,13 +44,17 @@ end
 
 labels = ["Full", "Cyclic", "Stochastic"]
 
+println(trajectories[1][1])
+
 fp = plot_trajectories(
     trajectories,
     labels,
     legend_position=:best,
     xscalelog=true,
     reduce_size=true,
     marker_shapes=[:dtriangle, :rect, :circle, :dtriangle, :rect, :circle],
+    extra_plot=true,
+    extra_plot_label="infeasibility",
 )
 
 display(fp)

examples/plot_utils.jl

@@ -259,6 +259,8 @@ function plot_trajectories(
     primal_offset=1e-8,
     line_width=1.3,
     empty_marker=false,
+    extra_plot=false,
+    extra_plot_label="",
 )
     # theme(:dark)
     # theme(:vibrant)
@@ -325,8 +327,15 @@ function plot_trajectories(
     dit = sub_plot(1, 4; xlabel="Iterations", ylabel="FW gap")
     dti = sub_plot(5, 4; xlabel="Time (s)")
 
-    fp = plot(pit, pti, dit, dti, layout=(2, 2)) # layout = @layout([A{0.01h}; [B C; D E]]))
-    plot!(size=(600, 400))
+    if extra_plot
+        iit = sub_plot(1, 6; ylabel=extra_plot_label)
+        iti = sub_plot(5, 6)
+        fp = plot(pit, pti, iit, iti, dit, dti, layout=(3, 2)) # layout = @layout([A{0.01h}; [B C; D E]]))
+        plot!(size=(600, 600))
+    else        
+        fp = plot(pit, pti, dit, dti, layout=(2, 2)) # layout = @layout([A{0.01h}; [B C; D E]]))
+        plot!(size=(600, 400))
+    end
     if filename !== nothing
         savefig(fp, filename)
     end

src/alternating_methods.jl

@@ -51,6 +51,7 @@ function alternating_linear_minimization(
     x0::Tuple{Vararg{Any,N}};
     lambda=1.0,
     verbose=false,
+    trajectory=false,
     callback=nothing,
     print_iter=1e3,
     kwargs...,
@@ -74,6 +75,21 @@ function alternating_linear_minimization(
 
     f_bc(x) = sum(f(x.blocks[i]) for i in 1:N) + lambda * infeasibility(x)
 
+    infeasibilities = []
+    if trajectory
+        function make_infeasibitly_callback(callback)
+            return function callback_infeasibility(state, args...)
+                push!(infeasibilities, infeasibility(state.x))
+                if callback === nothing
+                    return true
+                end
+                return callback(state, args...)
+            end
+        end
+
+        callback = make_infeasibitly_callback(callback)
+    end
+
     if verbose
         println("\nAlternating Linear Minimization (ALM).")
         print("LAMBDA: $lambda")
@@ -97,12 +113,18 @@ function alternating_linear_minimization(
         prod_lmo,
         x0_bc;
         verbose=verbose,
+        trajectory=trajectory,
         callback=callback,
         print_iter=print_iter,
         kwargs...,
     )
 
-    return x, v, primal, dual_gap, infeasibility(x), traj_data
+    if trajectory
+        traj_data = [(t...,infeasibilities[i]) for (i,t) in enumerate(traj_data)]
+        return x, v, primal, dual_gap, infeasibility(x), traj_data
+    else
+        return x, v, primal, dual_gap, infeasibility(x), traj_data
+    end
 end