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[WIP] Upgrade from 4 to 8 ingredients#137

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cvanaret wants to merge 46 commits intomainfrom
subproblem
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[WIP] Upgrade from 4 to 8 ingredients#137
cvanaret wants to merge 46 commits intomainfrom
subproblem

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@cvanaret cvanaret commented Dec 12, 2024 •
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The goal of this PR is to upgrade from 4 to 8 ingredients:

  • reformulation layer:
    • constraint relaxation strategy
    • inequality handling method
  • subproblem layer:
    • local model
    • hessian model
    • regularization strategy
  • subproblem solver layer
    • subproblem solver
  • globalization layer:
    • globalization strategy
    • globalization mechanism.

Steps:

  • introduce a LagrangeNewtonSubproblem ingredient
  • introduce InequalityHandlingMethod ingredient
  • introduce HessianModel ingredient
  • introduce RegularizationStrategy ingredient
  • pass LagrangeNewtonSubproblem to QP/LP subproblem solvers
  • pass LagrangeNewtonSubproblem to linear solvers
  • defer the Hessian computation of the Model to the HessianModel
  • pass LagrangeNewtonSubproblem to globalization strategy
  • rename QPSolver and SymmetricLinearSolver into InequalityQPSolver and EqualityQPSolver
  • merge classes QPMethod and LPMethod into class InequalityConstrainedMethod
  • handle InequalityQPSolver and LPSolver in InequalityConstrainedMethod
  • fix computation of least-square multipliers
  • allocate and store the linear solver required in PrimalRegularization and PrimalDualRegularization
  • allocate memory for matrices only in subproblem solvers
  • create matrix views in subproblem solvers for evaluation of Hessian and Jacobian
  • compute number of Hessian nonzeros for memory allocation
  • restore unused ScaledModel

@cvanaret cvanaret changed the title Introduce the new ingredient LagrangeNewtonSubproblem [WIP] Introduce the new ingredient LagrangeNewtonSubproblem Jan 30, 2025
@cvanaret cvanaret changed the title [WIP] Introduce the new ingredient LagrangeNewtonSubproblem [WIP] Upgrade from 4 to 8 ingredients Mar 3, 2025
cvanaret added 25 commits March 13, 2025 15:32
@cvanaret
Fixed InequalityHandlingMethodFactory.cpp
a03f633
@cvanaret
Introduced LagrangeNewtonSubproblem class that is created in QPMethod…
3d59d58 
…/LPMethod and passed on to the QP/LP solver
@cvanaret
Small refactoring
20e9f58
@cvanaret
Cleaned up CMakeLists
c4d5197
@cvanaret
Removed unused members and functions
815fd8c
@cvanaret
Passed LagrangeNewtonSubproblem to linear solver MA57. Functional but…
3b94da0 
… can be optimized (allocate a unique matrix and fill submatrices). Preprocessing disabled, MA27 and MUMPS were also disabled
@cvanaret
Made corresponding changes to MA27Solver
820ce83
@cvanaret
MA27Solver: fixed type inconsistency in assert()
e7e1ab7
@cvanaret
Restored Preprocessing::compute_least_square_multipliers (uses a new …
43934fb 
…IdentityMatrix)
@cvanaret
Copied fixes from MA57 to MA27
9f23bf8
@cvanaret
Temporarily changed logger to INFO in runtests.jl
033b6d6
@cvanaret
runtests.jl: specified ipopt preset
0476445
@cvanaret
Temporary set logger to INFO in runtests.jl
57ce2c6
@cvanaret
Implemented refactoring changes to MUMPSSolver
49850c3
@cvanaret
Minor changes [skip ci]
dbbed44
@cvanaret
Introduced regularization strategies and started to integrate them
6ad743a
@cvanaret
Added regularization strategies in filterslp and funnelsqp presets
f90ccfe
@cvanaret
Minor change in destructor definition in RegularizationStrategy.hpp
94e9232
@cvanaret
Pass the TR radius as a parameter of the solve() functions, instead o…
9dbe8b0 
…f setting it as member of InequalityHandlingMethod
@cvanaret
Cleaned up creation of InequalityHandlingMethod + removed Convexified…
825e6fe 
…Hessian (this will be done in PrimalRegularization)
@cvanaret
Added hessian_model in presets + cleaned up unused includes
afa8dc8
@cvanaret
Cleaned up the initialization of Statistics in Hessian models and reg…
636da1a 
…ularization strategies
@cvanaret
Removed regularization strategy hardcoded in linear solvers and used …
ca42017 
…that of LagrangeNewtonSubproblem instead + cleaned up a bit
@cvanaret
Minor cleanup
3951d82
@cvanaret
Defer the Hessian evaluation of the model to the HessianModel (model …
9ddf612 
…is not used if Hessian is identity or zero)
@cvanaret cvanaret mentioned this pull request Mar 14, 2025
Merged
cvanaret added 16 commits March 14, 2025 12:21
@cvanaret
Moved common code from MA57/MA27/MUMPS to LagrangeNewtonSubproblem
3223586
@cvanaret
Moved set_up_subproblem in MA57/MA27/MUMPS to LagrangeNewtonSubproblem
ad7f209
@cvanaret
Merged QPMethod and LPMethod into InequalityConstrainedMethod + intro…
693d45d 
…duced InequalityQPSolver class + moved BQPD subproblem creation into LagrangeNewtonSubproblem class
@cvanaret
Introduced EqualityQPSolver class (MA27, MA57, MUMPS, BQPD) + pass di…
366a105 
…rection_primals, direction_multipliers and subproblem_objective to the solve() functions
@cvanaret
Removed dependency to non-existing class
ff899ca
@cvanaret
Connected the LP solvers. TODO: compute the correct number of Hessian…
9a8ad10 
… NNZ
@cvanaret
Removed hardcoded branching + cleaned up
89439ed
@cvanaret
Made EqualityQPSolver and InequalityQPSolver subclasses of abstract c…
26d13d7 
…lass LagrangeNewtonSolver (TBD)
@cvanaret
Removed LagrangeNewtonSolver (unsure about the right design) + added …
53d1f7f 
…compute_number_hessian_nonzeros() in Subproblem components + removed current_multipliers from IPM reformulation (use current iterate instead)
@cvanaret
Preprocessing: read SubproblemStatus and added an assertion
0bbf06d
@cvanaret
Fixed HIGHS_DIR variable in build_tarballs_yggdrasil.jl
5bee236
@cvanaret
Restoring build_tarballs_yggdrasil.jl. The error will be fixed in the…
5fba139 
… next HiGHS release
@cvanaret
Temporarily removed dependency to HiGHS_jll
eec2aa5
@cvanaret
Computation of correct number of Hessian nonzeros
f5ba2db
@cvanaret
Removed unused files [skip ci]
0ff7f60
@cvanaret
Reintroduced Matrix.hpp [skip ci]
ed6e713
@cvanaret cvanaret self-assigned this Apr 17, 2025
@cvanaret cvanaret closed this May 10, 2025
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cvanaret commented Aug 9, 2025 •
edited
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This PR was closed because too ambitious. Most of the changes were incrementally merged in subsequent PRs and published in v2.0.0.

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