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Non-monotone iterations in TRDH #108

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geoffroyleconte
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The int parameter Mmonotone is used as a memory size. If it is 0, then this keeps the existing behaviour.

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codecov bot commented Jun 27, 2023

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 59.46%. Comparing base (19a26b2) to head (80dc0f5).
Report is 14 commits behind head on master.

Current head 80dc0f5 differs from pull request most recent head 11a5636

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Additional details and impacted files
@@            Coverage Diff             @@
##           master     #108      +/-   ##
==========================================
- Coverage   63.39%   59.46%   -3.94%     
==========================================
  Files          11       11              
  Lines        1295     1231      -64     
==========================================
- Hits          821      732      -89     
- Misses        474      499      +25     

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Here are the
demos-results

@@ -263,7 +266,8 @@ function TRDH(
hkn = h(xkn[selected])
hkn == -Inf && error("nonsmooth term is not proper")

Δobj = fk + hk - (fkn + hkn) + max(1, abs(fk + hk)) * 10 * eps()
fhmax = Mmonotone > 0 ? maximum(FHobj_hist) : fk + hk
Δobj = fhmax - (fkn + hkn) + max(1, abs(fhmax)) * 10 * eps()
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I think the denominator of $\rho_k$ also changes and becomes $(f+h)_{\max} - m_k(s_k; x_k)$.

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@dpo dpo Apr 17, 2024

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No, in fact, the denominator is ok, but that is a little bit by chance. I was on a wrong lead. The comment above is correct.

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Yes, that is probably why I could not prove the convergence and get decent results... I'll rebase with my branch linked the paper.

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