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Use the new residuals handling in CG #408

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Jan 22, 2024
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Use the new residuals handling in CG #408

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79 changes: 30 additions & 49 deletions argmin/src/solver/conjugategradient/cg.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -32,8 +32,6 @@ use serde::{Deserialize, Serialize};
pub struct ConjugateGradient<P, F> {
/// b (right hand side of `A * x = b`)
b: P,
/// Residual
r: Option<P>,
/// p
p: Option<P>,
/// previous p
Expand All @@ -60,7 +58,6 @@ where
pub fn new(b: P) -> Self {
ConjugateGradient {
b,
r: None,
p: None,
p_prev: None,
rtr: F::nan(),
Expand All @@ -87,24 +84,20 @@ where
}
}

impl<P, O, F> Solver<O, IterState<P, (), (), (), (), F>> for ConjugateGradient<P, F>
impl<P, O, R, F> Solver<O, IterState<P, (), (), (), R, F>> for ConjugateGradient<P, F>
where
O: Operator<Param = P, Output = P>,
P: Clone
+ ArgminDot<P, F>
+ ArgminSub<P, P>
+ ArgminScaledAdd<P, F, P>
+ ArgminConj
+ ArgminMul<F, P>,
P: Clone + ArgminDot<P, F> + ArgminSub<P, R> + ArgminScaledAdd<P, F, P> + ArgminConj,
R: ArgminMul<F, R> + ArgminMul<F, P> + ArgminConj + ArgminDot<R, F> + ArgminScaledAdd<P, F, R>,
F: ArgminFloat + ArgminL2Norm<F>,
{
const NAME: &'static str = "Conjugate Gradient";

fn init(
&mut self,
problem: &mut Problem<O>,
state: IterState<P, (), (), (), (), F>,
) -> Result<(IterState<P, (), (), (), (), F>, Option<KV>), Error> {
state: IterState<P, (), (), (), R, F>,
) -> Result<(IterState<P, (), (), (), R, F>, Option<KV>), Error> {
let init_param = state.get_param().ok_or_else(argmin_error_closure!(
NotInitialized,
concat!(
Expand All @@ -113,26 +106,25 @@ where
)
))?;
let ap = problem.apply(init_param)?;
let r0 = self.b.sub(&ap).mul(&(float!(-1.0)));
let r0: R = self.b.sub(&ap).mul(&(float!(-1.0)));
self.p = Some(r0.mul(&(float!(-1.0))));
self.rtr = r0.dot(&r0.conj());
self.r = Some(r0);
Ok((state, None))
Ok((state.residuals(r0), None))
}

/// Perform one iteration of CG algorithm
fn next_iter(
&mut self,
problem: &mut Problem<O>,
state: IterState<P, (), (), (), (), F>,
) -> Result<(IterState<P, (), (), (), (), F>, Option<KV>), Error> {
mut state: IterState<P, (), (), (), R, F>,
) -> Result<(IterState<P, (), (), (), R, F>, Option<KV>), Error> {
let p = self.p.take().ok_or_else(argmin_error_closure!(
PotentialBug,
"`ConjugateGradient`: Field `p` not set"
))?;
let r = self.r.as_ref().ok_or_else(argmin_error_closure!(
let r = state.take_residuals().ok_or_else(argmin_error_closure!(
PotentialBug,
"`ConjugateGradient`: Field `r` not set"
"`ConjugateGradient`: Residuals in `state` not set"
))?;

let apk = problem.apply(&p)?;
Expand All @@ -146,15 +138,14 @@ where
let rtr_n = r.dot(&r.conj());
let beta = rtr_n.div(self.rtr);
self.rtr = rtr_n;
let p_n = r.mul(&(float!(-1.0))).scaled_add(&beta, &p);
let p_n = <R as ArgminMul<F, P>>::mul(&r, &(float!(-1.0))).scaled_add(&beta, &p);
let norm = r.dot(&r.conj()).l2_norm();

self.p = Some(p_n);
self.p_prev = Some(p);
self.r = Some(r);

Ok((
state.param(new_param).cost(norm),
state.param(new_param).residuals(r).cost(norm),
Some(kv!("alpha" => alpha; "beta" => beta;)),
))
}
Expand All @@ -172,16 +163,9 @@ mod tests {
#[test]
fn test_new() {
let cg: ConjugateGradient<_, f64> = ConjugateGradient::new(vec![1.0f64, 2.0]);
let ConjugateGradient {
b,
r,
p,
p_prev,
rtr,
} = cg;
let ConjugateGradient { b, p, p_prev, rtr } = cg;
assert_eq!(b[0].to_ne_bytes(), 1.0f64.to_ne_bytes());
assert_eq!(b[1].to_ne_bytes(), 2.0f64.to_ne_bytes());
assert!(r.is_none());
assert!(p.is_none());
assert!(p_prev.is_none());
assert!(rtr.is_nan());
Expand Down Expand Up @@ -226,28 +210,28 @@ mod tests {
#[test]
fn test_init() {
let mut cg: ConjugateGradient<_, f64> = ConjugateGradient::new(vec![1.0f64, 2.0]);
let state: IterState<Vec<f64>, (), (), (), (), f64> =
let state: IterState<Vec<f64>, (), (), (), Vec<f64>, f64> =
IterState::new().param(vec![3.0, 4.0]);
let (state_out, kv) = cg
.init(&mut Problem::new(TestProblem::new()), state.clone())
.unwrap();
assert!(kv.is_none());
// State remains unchanged in `init`.
assert_eq!(state_out, state);

let ConjugateGradient {
b,
r,
p,
p_prev,
rtr,
} = cg;
let ConjugateGradient { b, p, p_prev, rtr } = cg;

assert_relative_eq!(b[0], 1.0, epsilon = f64::EPSILON);
assert_relative_eq!(b[1], 2.0, epsilon = f64::EPSILON);
let r0 = [2.0f64, 2.0];
assert_relative_eq!(r0[0], r.as_ref().unwrap()[0], epsilon = f64::EPSILON);
assert_relative_eq!(r0[1], r.as_ref().unwrap()[1], epsilon = f64::EPSILON);
assert_relative_eq!(
r0[0],
state_out.get_residuals().as_ref().unwrap()[0],
epsilon = f64::EPSILON
);
assert_relative_eq!(
r0[1],
state_out.get_residuals().as_ref().unwrap()[1],
epsilon = f64::EPSILON
);
let pp = [-2.0f64, -2.0];
assert_relative_eq!(pp[0], p.as_ref().unwrap()[0], epsilon = f64::EPSILON);
assert_relative_eq!(pp[1], p.as_ref().unwrap()[1], epsilon = f64::EPSILON);
Expand All @@ -259,7 +243,6 @@ mod tests {
fn test_next_iter_p_not_set() {
let mut cg: ConjugateGradient<_, f64> = ConjugateGradient::new(vec![1.0f64, 2.0]);
let state = IterState::new().param(vec![1.0f64]);
cg.r = Some(vec![]);
assert!(cg.p.is_none());
let res = cg.next_iter(&mut Problem::new(TestProblem::new()), state);
assert_error!(
Expand All @@ -278,14 +261,13 @@ mod tests {
let mut cg: ConjugateGradient<_, f64> = ConjugateGradient::new(vec![1.0f64, 2.0]);
let state = IterState::new().param(vec![1.0f64]);
cg.p = Some(vec![]);
assert!(cg.r.is_none());
let res = cg.next_iter(&mut Problem::new(TestProblem::new()), state);
assert_error!(
res,
ArgminError,
concat!(
"Potential bug: \"`ConjugateGradient`: ",
"Field `r` not set\". This is potentially a bug. ",
"Residuals in `state` not set\". This is potentially a bug. ",
"Please file a report on https://github.com/argmin-rs/argmin/issues"
)
);
Expand All @@ -294,9 +276,8 @@ mod tests {
#[test]
fn test_next_iter_state_param_not_set() {
let mut cg: ConjugateGradient<_, f64> = ConjugateGradient::new(vec![1.0f64, 2.0]);
let state = IterState::new();
let state = IterState::new().residuals(vec![]);
cg.p = Some(vec![]);
cg.r = Some(vec![]);
assert!(state.param.is_none());
let res = cg.next_iter(&mut Problem::new(TestProblem::new()), state);
assert_error!(
Expand All @@ -318,7 +299,7 @@ mod tests {
let (state, _) = cg.init(&mut problem, state).unwrap();
let rtr = cg.rtr;
let p = cg.p.clone().unwrap()[0];
let r = cg.r.clone().unwrap()[0];
let r = state.get_residuals().unwrap()[0];

let apk = p;
let alpha = rtr / (p * apk);
Expand All @@ -332,7 +313,7 @@ mod tests {
let (state, kv) = cg.next_iter(&mut problem, state).unwrap();
assert!(kv.is_some());

assert_relative_eq!(r, cg.r.as_ref().unwrap()[0]);
assert_relative_eq!(r, state.get_residuals().unwrap()[0]);
assert_relative_eq!(p_n, cg.p.as_ref().unwrap()[0]);
assert_relative_eq!(p, cg.p_prev.as_ref().unwrap()[0]);
assert_relative_eq!(rtr_n, cg.rtr);
Expand Down