feature: trust region support in DIOM - #1103
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amontoison
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regularization ---> reorthogonalization? |
When applied to Hermitian A, DIOM coincides with CG in exact arithmetic. However, in finite precision, DIOM acts as a form of regularization that can significantly improve upon CG's robustness in the presence of ill conditioning. This commit introduces the trust-region constraint management in DIOM so it can be used as a drop-in replacement of CG in a trust-region solver such as trunk. Summary: - Add shared DiomCgStats struct for CG/DIOM to store quadratic objective - Add quadratic objective computation in DIOM and CG if radius > 0 (O(1)/iteration) - Compute residual at trust-region boundary for diom - Add unit tests for quadratic problem with and without trust region.
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@amontoison, the changes have been made! Thanks for your comments! |
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amontoison
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I like the modifications but more work is still needed.
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I like the modifications but more work is still needed.
Codecov Report❌ Patch coverage is
Additional details and impacted files@@ Coverage Diff @@
## main #1103 +/- ##
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+ Coverage 94.68% 97.73% +3.05%
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Files 45 50 +5
Lines 8027 10130 +2103
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+ Hits 7600 9901 +2301
+ Misses 427 229 -198 ☔ View full report in Codecov by Harness. 🚀 New features to boost your workflow:
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…ic. However, in finite precision, DIOM acts as a form of reorthogonalization that can significantly improve upon CG's robustness in the presence of ill conditioning. This commit introduces the trust-region constraint management in DIOM so it can be used as a drop-in replacement of CG in a trust-region solver such as trunk. Summary: Update SimpleStats to store quadratic objective Add quadratic objective computation in DIOM and CG if radius > 0 (O(1)/iteration) Compute residual at trust-region boundary for diom Add unit tests for quadratic problem with and without trust region.
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When applied to Hermitian A, DIOM coincides with CG in exact arithmetic. However, in finite precision, DIOM acts as a form of reorthogonalization that can significantly improve upon CG's robustness in the presence of ill conditioning.
This commit introduces the trust-region constraint management in DIOM so it can be used as a drop-in replacement of CG in a trust-region solver such as trunk.
Summary: