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Added Augmented Lagrangian options #66

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merged 6 commits into from Jan 9, 2019

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@lukasmack0
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commented Jan 6, 2019

Added optionality to set the L-BFGS iterations, the penalty update factor and the sigma update factor in the augmented Lagrangian class. Kept defaults the same as the originally hardcoded values.

* the penalty threshold to the penalty multplied by this factor. The
* default value of 0.25 is is taken from Burer and Monteiro (2002).
* @param sigmaUpdateFactor When sigma is updated multiply sigma by this
* value. The default value of 10 is taken from Burer and Monteiro (2002).

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@rcurtin

rcurtin Jan 6, 2019

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It's really nice to provide customizable values for these. My experiences working with the AugLagrangian optimizer when solving LRSDPs indicated that it can be really sensitive to these parameters, but for whatever reason I did not make them customizable when I wrote it. So this is a nice improvement. 👍

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commented Jan 8, 2019

Looks good to me, but I think that some of the things that used AugLagrangian need to be updated since the build is failing: https://travis-ci.org/mlpack/ensmallen/jobs/476513780

If you can fix that please then I think it is ready for merge. 👍

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commented Jan 8, 2019

Looks like all builds are passing now 👍

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rcurtin approved these changes Jan 9, 2019

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Really nice improvements. Thanks so much for the contribution! 👍

If you'd like, we can mail you some mlpack stickers that you can put on your laptop (we don't have any ensmallen stickers... (yet?)). If you want some, just send an email with your mailing address to ryan@ratml.org and I will put them in an envelope and get them sent. We can also add your name to the list of contributors if you like---just let me know.

@rcurtin rcurtin merged commit 269b658 into mlpack:master Jan 9, 2019

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