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Some tweak for ADMM and POGM #314

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Some tweak for ADMM and POGM #314

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fa79e0f
fix: use correct formulation for cost admm.
paquiteau Jul 26, 2023
c182d44
Merge branch 'develop' into admm
paquiteau Jul 26, 2023
ca43103
feat: an another memory trick in POGM.
paquiteau Oct 17, 2023
4eaf95b
Merge branch 'develop' into admm
paquiteau Nov 15, 2023
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7 changes: 5 additions & 2 deletions modopt/opt/algorithms/admm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -38,7 +38,10 @@ def __init__(self, cost_funcs, A, B, b, tau, **kwargs):
self.B = B
self.b = b
self.tau = tau

if self.A is self.B:
self.AuplusBv = lambda u, v: self.A.op(u + v)
else:
self.AuplusBv = lambda u, v: self.A.op(u) + self.B.op(v)
def _calc_cost(self, u, v, **kwargs):
"""Calculate the cost.

Expand All @@ -60,7 +63,7 @@ def _calc_cost(self, u, v, **kwargs):
xp = get_array_module(u)
cost = self.cost_funcs[0](u)
cost += self.cost_funcs[1](v)
cost += self.tau * xp.linalg.norm(self.A.op(u) + self.B.op(v) - self.b)
cost += self.tau * xp.linalg.norm(self.AuplusBv(u,v) - self.b)
return cost


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6 changes: 5 additions & 1 deletion modopt/opt/algorithms/forward_backward.py
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Original file line number Diff line number Diff line change
Expand Up @@ -955,7 +955,11 @@ def _update(self):
t_shifted_ratio = (self._t_old - 1) / self._t_new
sigma_t_ratio = self._sigma * self._t_old / self._t_new
beta_xi_t_shifted_ratio = t_shifted_ratio * self._beta / self._xi
self._z = - beta_xi_t_shifted_ratio * (self._x_old - self._z)

#self._z = - beta_xi_t_shifted_ratio * (self._x_old - self._z)
self._z -= self._x_old
self._z *= beta_xi_t_shifted_ratio

self._z += self._u_new
self._z += t_shifted_ratio * (self._u_new - self._u_old)
self._z += sigma_t_ratio * (self._u_new - self._x_old)
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