Upgrade to ProximalAlgorithms v0.5

* drop support for ForwardBackward optimizer;
* add support for PANOCplus;
* make PANOCplus the default optimizer;
* stabilize unstable unit test.

Author: dhanak

Project.toml

@@ -1,6 +1,6 @@
 name = "StructuredOptimization"
 uuid = "46cd3e9d-64ff-517d-a929-236bc1a1fc9d"
-version = "0.3.0"
+version = "0.4.0-ci+20230622"
 
 [deps]
 AbstractOperators = "d9c5613a-d543-52d8-9afd-8f241a8c3f1c"
@@ -15,8 +15,8 @@ RecursiveArrayTools = "731186ca-8d62-57ce-b412-fbd966d074cd"
 AbstractOperators = "0.1 - 0.2"
 DSP = "0.5.1 - 0.6"
 FFTW = "1"
-ProximalAlgorithms = "0.3 - 0.4"
-ProximalOperators = "0.8 - 0.14"
+ProximalAlgorithms = "0.5"
+ProximalOperators = "0.15"
 RecursiveArrayTools = "1 - 2"
 julia = "1.4"
 

docs/src/solvers.md

@@ -23,9 +23,9 @@ You can pick the algorithm to use as `Solver` object from the
 package. Currently, the following algorithms are supported.
 
 ```@docs
-ForwardBackward
 ZeroFPR
 PANOC
+PANOCplus
 ```
 
 

src/StructuredOptimization.jl

@@ -6,8 +6,8 @@ using AbstractOperators
 using ProximalOperators
 using ProximalAlgorithms
 
-import ProximalAlgorithms:ForwardBackward, ZeroFPR, PANOC
-export ForwardBackward, ZeroFPR, PANOC
+import ProximalAlgorithms: ZeroFPR, PANOC, PANOCplus
+export ZeroFPR, PANOC, PANOCplus
 
 include("syntax/syntax.jl")
 include("calculus/precomposeNonlinear.jl") # TODO move to ProximalOperators?

src/arraypartition.jl

@@ -2,7 +2,7 @@ import ProximalOperators
 import RecursiveArrayTools
 
 @inline function ProximalOperators.prox(
-    h::ProximalOperators.ProximableFunction,
+    h,
     x::RecursiveArrayTools.ArrayPartition,
     gamma...
 )
@@ -13,7 +13,7 @@ import RecursiveArrayTools
 end
 
 @inline function ProximalOperators.gradient(
-    h::ProximalOperators.ProximableFunction,
+    h,
     x::RecursiveArrayTools.ArrayPartition
 )
     # unwrap
@@ -24,13 +24,13 @@ end
 
 @inline ProximalOperators.prox!(
     y::RecursiveArrayTools.ArrayPartition,
-    h::ProximalOperators.ProximableFunction,
+    h,
     x::RecursiveArrayTools.ArrayPartition,
     gamma...
 ) = ProximalOperators.prox!(y.x, h, x.x, gamma...)
 
 @inline ProximalOperators.gradient!(
     y::RecursiveArrayTools.ArrayPartition,
-    h::ProximalOperators.ProximableFunction,
+    h,
     x::RecursiveArrayTools.ArrayPartition
 ) = ProximalOperators.gradient!(y.x, h, x.x)

src/calculus/precomposeNonlinear.jl

@@ -2,19 +2,19 @@ import ProximalOperators: gradient!, gradient # this can be removed when moved t
 
 export PrecomposeNonlinear
 
-struct PrecomposeNonlinear{P <: ProximableFunction, 
+struct PrecomposeNonlinear{P,
                            T <: AbstractOperator,
-                           D <: AbstractArray, 
+                           D <: AbstractArray,
                            C <: AbstractArray
-                          } <: ProximableFunction
-	g::P
+                          }
+    g::P
   G::T
   bufD::D
   bufC::C
   bufC2::C
 end
 
-function PrecomposeNonlinear(g::P, G::T) where {P, T} 
+function PrecomposeNonlinear(g::P, G::T) where {P, T}
   t, s = domainType(G), size(G,2)
   bufD = eltype(s) <: Int ? zeros(t,s) : ArrayPartition(zeros.(t,s))
   t, s = codomainType(G), size(G,1)

src/solvers/build_solve.jl

@@ -18,7 +18,7 @@ julia> A, b = randn(10,4), randn(10);
 
 julia> p = problem( ls(A*x - b ) , norm(x) <= 1 );
 
-julia> StructuredOptimization.parse_problem(p, ForwardBackward());
+julia> StructuredOptimization.parse_problem(p, PANOCplus());
 ```
 """
 function parse_problem(terms::Tuple, solver::T) where T <: ForwardBackwardSolver
@@ -65,14 +65,14 @@ julia> A, b = randn(10,4), randn(10);
 
 julia> p = problem(ls(A*x - b ), norm(x) <= 1);
 
-julia> solve(p, ForwardBackward());
+julia> solve(p, PANOCplus());
 
 julia> ~x
 ```
 """
 function solve(terms::Tuple, solver::ForwardBackwardSolver)
     x, kwargs = parse_problem(terms, solver)
-    x_star, it = solver(~x; kwargs...)
+    x_star, it = solver(; x0 = ~x, kwargs...)
     ~x .= x_star
     return x, it
 end

src/solvers/minimize.jl

@@ -20,7 +20,7 @@ julia> @minimize ls(A*x-b) st x >= 0.;
 
 julia> ~x  # access array with solution
 
-julia> @minimize ls(A*x-b) st norm(x) == 2.0 with ForwardBackward(fast=true);
+julia> @minimize ls(A*x-b) st norm(x) == 2.0 with PANOCplus();
 
 julia> ~x  # access array with solution
 ```
@@ -29,28 +29,28 @@ Returns as output a tuple containing the optimization variables and the number
 of iterations spent by the solver algorithm.
 """
 macro minimize(cf::Union{Expr, Symbol})
-	cost = esc(cf)
+    cost = esc(cf)
     return :(solve(problem($(cost)), default_solver()))
 end
 
 macro minimize(cf::Union{Expr, Symbol}, s::Symbol, cstr::Union{Expr, Symbol})
-	cost = esc(cf)
-	if s == :(st)
-		constraints = esc(cstr)
-		return :(solve(problem($(cost), $(constraints)), default_solver()))
-	elseif s == :(with)
-		solver = esc(cstr)
+    cost = esc(cf)
+    if s == :(st)
+        constraints = esc(cstr)
+        return :(solve(problem($(cost), $(constraints)), default_solver()))
+    elseif s == :(with)
+        solver = esc(cstr)
         return :(solve(problem($(cost)), $(solver)))
-	else
-		error("wrong symbol after cost function! use `st` or `with`")
-	end
+    else
+        error("wrong symbol after cost function! use `st` or `with`")
+    end
 end
 
 macro minimize(cf::Union{Expr, Symbol}, s::Symbol, cstr::Union{Expr, Symbol}, w::Symbol, slv::Union{Expr, Symbol})
-	cost = esc(cf)
-	s != :(st) && error("wrong symbol after cost function! use `st`")
-	constraints = esc(cstr)
-	w != :(with) && error("wrong symbol after constraints! use `with`")
-	solver = esc(slv)
+    cost = esc(cf)
+    s != :(st) && error("wrong symbol after cost function! use `st`")
+    constraints = esc(cstr)
+    w != :(with) && error("wrong symbol after constraints! use `with`")
+    solver = esc(slv)
     return :(solve(problem($(cost), $(constraints)), $(solver)))
 end

src/solvers/solvers_options.jl

@@ -1,9 +1,5 @@
 using ProximalAlgorithms
 
-const ForwardBackwardSolver = Union{
-    ProximalAlgorithms.ForwardBackward,
-    ProximalAlgorithms.ZeroFPR,
-    ProximalAlgorithms.PANOC,
-}
+const ForwardBackwardSolver = ProximalAlgorithms.IterativeAlgorithm
 
-const default_solver = ProximalAlgorithms.PANOC
+const default_solver = ProximalAlgorithms.PANOCplus