HW5 Done

yarkin06 · Jul 21, 2022 · a7edfa9 · a7edfa9
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commit a7edfa9
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Showing 12 changed files with 39 additions and 14 deletions.
diff --git a/HW5/__pycache__/LLTSolver.cpython-39.pyc b/HW5/__pycache__/LLTSolver.cpython-39.pyc
diff --git a/HW5/__pycache__/PrecCGSolver.cpython-39.pyc b/HW5/__pycache__/PrecCGSolver.cpython-39.pyc
diff --git a/HW5/__pycache__/augmentedLagrangianDescent.cpython-39.pyc b/HW5/__pycache__/augmentedLagrangianDescent.cpython-39.pyc
diff --git a/HW5/__pycache__/augmentedLagrangianObjective.cpython-39.pyc b/HW5/__pycache__/augmentedLagrangianObjective.cpython-39.pyc
diff --git a/HW5/__pycache__/benchmarkObjective.cpython-39.pyc b/HW5/__pycache__/benchmarkObjective.cpython-39.pyc
diff --git a/HW5/__pycache__/incompleteCholesky.cpython-39.pyc b/HW5/__pycache__/incompleteCholesky.cpython-39.pyc
diff --git a/HW5/__pycache__/projectedBacktrackingSearch.cpython-39.pyc b/HW5/__pycache__/projectedBacktrackingSearch.cpython-39.pyc
diff --git a/HW5/__pycache__/projectedNewtonDescent.cpython-39.pyc b/HW5/__pycache__/projectedNewtonDescent.cpython-39.pyc
diff --git a/HW5/__pycache__/projectionInBox.cpython-39.pyc b/HW5/__pycache__/projectionInBox.cpython-39.pyc
diff --git a/HW5/__pycache__/quadraticObjective.cpython-39.pyc b/HW5/__pycache__/quadraticObjective.cpython-39.pyc
diff --git a/HW5/augmentedLagrangianDescent.py b/HW5/augmentedLagrangianDescent.py
@@ -64,7 +64,7 @@
 
 def matrnr():
     # set your matriculation number here
-    matrnr = 0
+    matrnr = 23062789
     return matrnr
 
 
@@ -79,17 +79,42 @@ def augmentedLagrangianDescent(f, P, h, x0: np.array, alpha0=0, eps=1.0e-3, delt
         print('Start augmentedLagrangianDescent...')
 
     countIter = 0
-    xp = MISSING
-    alphak =  MISSING
-
-
-    while MISSING STATEMENT:
-        MISSING CODE
-
+    xk = P.project(x0)
+    hk = h.objective(xk)
+    alphak = alpha0
+    gammak = 10
+    epsk = 1 / gammak
+    deltak = epsk**0.1
+    Ak = AO.augmentedLagrangianObjective(f, h, alphak, gammak)
+    # Ak_obj = Ak.objective(xk)
+    Ak_grad = Ak.gradient(xk)
+
+
+    while np.linalg.norm(xk - P.project(xk-Ak_grad)) > eps or np.linalg.norm(hk) > delta:
+        xmin = PD.projectedNewtonDescent(Ak, P, xk, epsk)
+        xk = xmin
+        # Ak_obj = Ak.objective(xk)
+        Ak_grad = Ak.gradient(xk)
+        hk = h.objective(xk)
+        if np.linalg.norm(hk) <= deltak:
+            alphak = alphak + gammak*h.objective(xk)
+            epsk = max(epsk/gammak,eps)
+            deltak = max(deltak/gammak**0.9,delta)
+        else:
+            gammak = max(10,np.sqrt(gammak))*gammak
+            epsk = 1/gammak
+            deltak = epsk**0.1
+
+        Ak = AO.augmentedLagrangianObjective(f, h, alphak, gammak)
+        # Ak_obj = Ak.objective(xk)
+        Ak_grad = Ak.gradient(xk)
+
         countIter = countIter + 1
 
+    xp = xk
+    alphap = alphak
 
     if verbose:
-        print('augmentedLagrangianDescent terminated after ', countIter, ' steps)
+        print('augmentedLagrangianDescent terminated after ', countIter, ' steps')
 
-    return [xp, alphak]
+    return [xp, alphap]
diff --git a/HW5/augmentedLagrangianObjective.py b/HW5/augmentedLagrangianObjective.py
@@ -41,7 +41,7 @@
 
 def matrnr():
     # set your matriculation number here
-    matrnr = 0
+    matrnr = 23062789
     return matrnr
 
 
@@ -58,18 +58,18 @@ def __init__(self, f, h, alpha, gamma):
 
     def objective(self, x: np.array):
 
-        myObjective = MISSING
+        myObjective = self.f.objective(x) + self.alpha*self.h.objective(x) + 0.5*self.gamma*self.h.objective(x)**2
 
         return myObjective
 
     def gradient(self, x: np.array):
 
-        myGradient = MISSING
+        myGradient = self.f.gradient(x) + self.alpha*self.h.gradient(x) + 0.5*self.gamma*2*self.h.gradient(x)*self.h.objective(x)
 
         return myGradient
 
     def hessian(self, x: np.array):
 
-        myHessian = MISSING
+        myHessian = self.f.hessian(x) + self.alpha*self.h.hessian(x) + 0.5*self.gamma*(2*self.h.objective(x)*self.h.hessian(x)+2*self.h.gradient(x)*self.h.gradient(x).T)
 
         return myHessian