Better convergence assessment. (#244)

* Better convergence assessment.

* Move nan-check out of assess.

src/nlsolve/utils.jl

@@ -8,17 +8,14 @@ function assess_convergence(x,
                             xtol,
                             ftol)
     x_converged, f_converged = false, false
-    if !any(isnan, x_previous) && norm(x-x_previous) <= xtol
+    if norm(x-x_previous) <= xtol
         x_converged = true
     end
-
     if maximum(abs, f) <= ftol
         f_converged = true
     end
 
-    converged = x_converged || f_converged
-
-    return x_converged, f_converged, converged
+    return x_converged, f_converged
 end
 
 function check_isfinite(x::AbstractArray)

src/solvers/anderson.jl

@@ -96,7 +96,11 @@ end
         end
 
         # check convergence
-        x_converged, f_converged, converged = assess_convergence(cache.g, cache.x, fx, xtol, ftol)
+        x_converged, f_converged = assess_convergence(cache.g, cache.x, fx, xtol, ftol)
+        if any(isnan, cache.x) || any(isnan, value(df))
+          break
+        end
+        converged = x_converged || f_converged
         converged && break
 
         # update current iterate

src/solvers/broyden.jl

@@ -46,13 +46,13 @@ function broyden_(df::Union{NonDifferentiable, OnceDifferentiable},
     Jinv = Matrix{T}(I, n, n)
     check_isfinite(value(df))
     it = 0
-    x_converged, f_converged, converged = assess_convergence(value(df), ftol)
+    x_converged, f_converged = assess_convergence(x, xold, value(df), NaN, ftol)
+    stopped = any(isnan, x) || any(isnan, value(df)) ? true : false
 
-    # FIXME: How should this flag be set?
-    mayterminate = false
+    converged = x_converged || f_converged
 
     # Maintain a cache for line search results
-  #  lsr = LineSearches.LineSearchResults(T)
+    #  lsr = LineSearches.LineSearchResults(T)
 
     tr = SolverTrace()
     tracing = store_trace || show_trace || extended_trace
@@ -61,7 +61,7 @@ function broyden_(df::Union{NonDifferentiable, OnceDifferentiable},
     maybe_stuck = false
     max_resets = 3
     resets = 0
-    while !converged && it < iterations
+    while !stopped && !converged && it < iterations
 
         it += 1
 
@@ -99,8 +99,10 @@ function broyden_(df::Union{NonDifferentiable, OnceDifferentiable},
         end
 
         if !maybe_stuck
-            x_converged, f_converged, converged = assess_convergence(x, xold, value(df), xtol, ftol)
+            x_converged, f_converged = assess_convergence(x, xold, value(df), xtol, ftol)
+            converged = x_converged || f_converged
         end
+        stopped = any(isnan, x) || any(isnan, value(df)) ? true : false
 
         maybe_stuck = false
         @broydentrace sqeuclidean(x, xold)

src/solvers/newton.jl

@@ -49,7 +49,10 @@ function newton_(df::OnceDifferentiable,
     check_isfinite(value(df))
     vecvalue = vec(value(df))
     it = 0
-    x_converged, f_converged, converged = assess_convergence(value(df), ftol)
+    x_converged, f_converged = assess_convergence(initial_x, cache.xold, value(df), NaN, ftol)
+    stopped = any(isnan, cache.x) || any(isnan, value(df)) ? true : false
+
+    converged = x_converged || f_converged
     x_ls = copy(cache.x)
     tr = SolverTrace()
     tracing = store_trace || show_trace || extended_trace
@@ -79,7 +82,7 @@ function newton_(df::OnceDifferentiable,
     end
     dfo = OnceDifferentiable(fo, go!, fgo!, cache.x, zero(real(T)))
 
-    while !converged && it < iterations
+    while !stopped && !converged && it < iterations
 
         it += 1
 
@@ -117,8 +120,10 @@ function newton_(df::OnceDifferentiable,
         end
         # fvec is here also updated in the linesearch so no need to call f again.
         copyto!(cache.x, x_ls)
-        x_converged, f_converged, converged = assess_convergence(cache.x, cache.xold, value(df), xtol, ftol)
+        x_converged, f_converged = assess_convergence(cache.x, cache.xold, value(df), xtol, ftol)
+        stopped = any(isnan, cache.x) || any(isnan, value(df)) ? true : false
 
+        converged = x_converged || f_converged
         newtontrace(sqeuclidean(cache.x, cache.xold), tracing, extended_trace, cache, df, it, tr, store_trace, show_trace)
     end
     return SolverResults("Newton with line-search",

src/solvers/trust_region.jl

@@ -121,7 +121,10 @@ function trust_region_(df::OnceDifferentiable,
     check_isfinite(cache.r)
 
     it = 0
-    x_converged, f_converged, converged = assess_convergence(value(df), ftol)
+    x_converged, f_converged = assess_convergence(initial_x, cache.xold, value(df), NaN, ftol)
+    stopped = any(isnan, cache.x) || any(isnan, value(df)) ? true : false
+
+    converged = x_converged || f_converged
     delta = convert(real(T), NaN)
     rho = convert(real(T), NaN)
     if converged
@@ -160,7 +163,7 @@ function trust_region_(df::OnceDifferentiable,
 
     eta = convert(real(T), 1e-4)
 
-    while !converged && it < iterations
+    while !stopped && !converged && it < iterations
         it += 1
 
         # Compute proposed iteration step
@@ -187,10 +190,12 @@ function trust_region_(df::OnceDifferentiable,
                 end
             end
 
-            x_converged, f_converged, converged = assess_convergence(cache.x, cache.xold, cache.r, xtol, ftol)
+            x_converged, f_converged = assess_convergence(cache.x, cache.xold, cache.r, xtol, ftol)
+            converged = x_converged || f_converged
         else
             cache.x .-= cache.p
             x_converged, converged = false, false
+
         end
 
         @trustregiontrace euclidean(cache.x, cache.xold)
@@ -203,6 +208,7 @@ function trust_region_(df::OnceDifferentiable,
         elseif rho >= 0.5
             delta = max(delta, 2 * wnorm(cache.d, cache.p))
         end
+        stopped = any(isnan, cache.x) || any(isnan, value(df)) ? true : false
     end
 
     name = "Trust-region with dogleg"