Tutorial 1: Example of a fixed point algorithm

Stopping can also be used for fixed point methods Example here concerns the AlternatingDirections Algorithm to find a feasible point in the intersection of 2 convex sets A and B. This algorithm relies on a fixed point argument, hence it stopped if it finds a fixed point.

Example: A={ (x,y) | x=y} and B = {(x,y) | y=0} Clearly the unique intersection point is (0,0)

Note that in this case the projection on A and the projection on B are trivial

Takeaway: the 2nd scenario illustrates a situation where the algorithm stalls as it reached a personal success, i.e. optimal_sub_pb is true.

using ADNLPModels, LinearAlgebra, NLPModels, Stopping, Test

Main algorithm

function AlternatingDirections(stp)

 xk = stp.current_state.x
 OK = update_and_start!(stp, cx = cons(stp.pb, x0))

 while !OK

  #First projection
  xk1 = 0.5 * (xk[1] + xk[2]) * ones(2)
  #Second projection
  xk2 = [xk1[1],0.0]

  #check if we have a fixed point
  Fix = dot(xk-xk2,xk-xk2)
  if Fix <= min(eps(Float64),stp.meta.atol) stp.meta.suboptimal = true end
  #call the stopping
  OK = update_and_stop!(stp, x = xk2, cx = cons(stp.pb, xk2))

  xk = xk2
 end

 return stp
end

We model the problem using the NLPModels without objective function Formulate the problem with NLPModels

c(x) = [x[1] - x[2], x[2]]
lcon = [0.0, 0.0]
ucon = [0.0, 0.0]
nlp = ADNLPModel(x->0.0, zeros(2), c, lcon, ucon)

1st scenario: we solve the problem

printstyled("1st scenario:\n")
#Prepare the Stopping
x0 = [0.0, 5.0]
state = NLPAtX(x0)

Recall that for the optimality_check function x is the pb and y is the state Here we take the infinite norm of the residual.

stop = NLPStopping(nlp, state, optimality_check = (x,y) -> norm(y.cx, Inf))

AlternatingDirections(stop)
@test status(stop) == :Optimal

2nd scenario: the user gives an irrealistic optimality condition

printstyled("2nd scenario:\n")
reinit!(stop, rstate = true, x = x0)
stop.meta.optimality_check = (x, y) -> norm(y.cx, Inf) + 0.5

AlternatingDirections(stop)

In this scenario, the algorithm stops because it attains a fixed point Hence, status is :SubOptimal.

@test status(stop) == :SubOptimal

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