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Improve HPM efficiency #68

Merged
merged 2 commits into from
Aug 12, 2024
Merged

Improve HPM efficiency #68

merged 2 commits into from
Aug 12, 2024

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zjwegert
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@zjwegert zjwegert commented Jul 26, 2024

For cases where we are not using auto diff, there are some minor algorithmic improvements that can be made to ensure we are not wasting compute time due to an additional forward solve. When we are using auto diff we solve an adjoint problem for each constraint when computing the sensitivity. This is costly (and wasteful) if done at each iteration of the line search.

In addition, we slightly adjust the default parameters for the line search. Now it is only enforced once the constraints are within a set tolerance. This generally leads to better optimisation histories, especially for problems where constraints are far from saturation and the objective must decrease to improve the constraints.

We address these improvements above in this PR.

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codecov bot commented Jul 26, 2024

Codecov Report

Attention: Patch coverage is 88.37209% with 5 lines in your changes missing coverage. Please review.

Project coverage is 63.24%. Comparing base (d1ff2ce) to head (c327239).

Files Patch % Lines
src/Optimisers/HilbertianProjection.jl 88.37% 5 Missing ⚠️
Additional details and impacted files
@@            Coverage Diff             @@
##             main      #68      +/-   ##
==========================================
+ Coverage   62.79%   63.24%   +0.45%     
==========================================
  Files          15       15              
  Lines        1489     1521      +32     
==========================================
+ Hits          935      962      +27     
- Misses        554      559       +5     

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@zjwegert zjwegert merged commit 404f4f1 into main Aug 12, 2024
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@zjwegert zjwegert deleted the dev-hpm-spdup branch August 12, 2024 04:56
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