termination.h

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// Copyright 2010-2022 Google LLC
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
//     http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
 
#ifndef PDLP_TERMINATION_H_
#define PDLP_TERMINATION_H_
 
#include <atomic>
#include <optional>
 
#include "ortools/pdlp/solve_log.pb.h"
#include "ortools/pdlp/solvers.pb.h"
 
namespace operations_research::pdlp {
 
struct TerminationReasonAndPointType {
  TerminationReason reason;
  PointType type;
};
 
// Information about the quadratic program's primal and dual bounds that are
// needed to evaluate relative convergence criteria.
struct QuadraticProgramBoundNorms {
  double l2_norm_primal_linear_objective;
  double l2_norm_constraint_bounds;
  double l_inf_norm_primal_linear_objective;
  double l_inf_norm_constraint_bounds;
};
 
// Computes the effective optimality criteria for a `TerminationCriteria`.
TerminationCriteria::DetailedOptimalityCriteria EffectiveOptimalityCriteria(
    const TerminationCriteria& termination_criteria);
 
// Like the previous overload but takes a `SimpleOptimalityCriteria`. Useful in
// unit tests where no `TerminationCriteria` is naturally available.
TerminationCriteria::DetailedOptimalityCriteria EffectiveOptimalityCriteria(
    const TerminationCriteria::SimpleOptimalityCriteria& simple_criteria);
 
// Checks if any of the simple termination criteria are satisfied by `stats`,
// and returns a termination reason if so, and nullopt otherwise. The "simple"
// termination criteria are `time_sec_limit`, `iteration_limit`,
// `kkt_matrix_pass_limit`, and `interrupt_solve`. The corresponding fields of
// `stats` (`cumulative_time_sec`, `iteration_number`,
// `cumulative_kkt_matrix_passes`) are the only ones accessed. If returning a
// termination reason, the `PointType` will be set to `POINT_TYPE_NONE`.
std::optional<TerminationReasonAndPointType> CheckSimpleTerminationCriteria(
    const TerminationCriteria& criteria, const IterationStats& stats,
    const std::atomic<bool>* interrupt_solve = nullptr);
 
// Checks if any iterate-based termination criteria (i.e., the criteria not
// checked by `CheckSimpleTerimationCriteria()`) are satisfied by the solution
// state described by `stats` (see definitions of termination criteria in
// solvers.proto). `bound_norms` provides the instance-dependent data required
// for the relative convergence criteria. Returns a termination reason and a
// point type if so (if multiple criteria are satisfied, the optimality and
// infeasibility conditions are checked first). If `force_numerical_termination`
// is true, returns `TERMINATION_REASON_NUMERICAL_ERROR` if no other criteria
// are satisfied. The return value is empty in any other case. If the output is
// not empty, the `PointType` indicates which entry prompted termination. If no
// entry prompted termination, e.g. `TERMINATION_REASON_NUMERICAL_ERROR` is
// returned, then the `PointType` is set to `POINT_TYPE_NONE`. NOTE: This
// function assumes that the solution used to compute the stats satisfies the
// primal and dual variable bounds; see
// https://developers.google.com/optimization/lp/pdlp_math#dual_variable_bounds.
std::optional<TerminationReasonAndPointType> CheckIterateTerminationCriteria(
    const TerminationCriteria& criteria, const IterationStats& stats,
    const QuadraticProgramBoundNorms& bound_norms,
    bool force_numerical_termination = false);
 
// Extracts the norms needed for the termination criteria from the full problem
// `stats`.
QuadraticProgramBoundNorms BoundNormsFromProblemStats(
    const QuadraticProgramStats& stats);
 
// Returns `epsilon_absolute / epsilon_relative`, returning 1.0 if
// `epsilon_absolute` and `epsilon_relative` are equal (even if they are both
// 0.0 or infinity, which would normally yield NAN).
double EpsilonRatio(double epsilon_absolute, double epsilon_relative);
 
// Metrics for tracking progress when relative convergence criteria are used.
// These depend on the `ConvergenceInformation`, the problem data, and the
// convergence tolerances.
struct RelativeConvergenceInformation {
  // Relative versions of the residuals, defined as
  //   relative_residual = residual / (eps_ratio + norm),
  // where
  //   eps_ratio = `eps_optimal_absolute / eps_optimal_relative`
  //   residual = one of the residuals (l{2,_inf}_{primal,dual}_residual)
  //   norm = the relative norm (l{2,_inf} norm of
  //          {constraint_bounds,primal_linear_objective} respectively).
  // If `eps_optimal_relative == eps_optimal_absolute`, eps_ratio will be 1.0
  // (even if `eps_optimal_relative` == 0.0 or inf). Otherwise, if
  // `eps_optimal_relative == 0.0`, these will all be 0.0.
  //
  // If `eps_optimal_relative > 0.0`, the absolute and relative termination
  // criteria translate to relative_residual <= `eps_optimal_relative`.
  double relative_l_inf_primal_residual = 0;
  double relative_l2_primal_residual = 0;
  double relative_l_inf_dual_residual = 0;
  double relative_l2_dual_residual = 0;
 
  // Relative optimality gap:
  //   (primal_objective - dual_objective) /
  //   (eps_ratio + |primal_objective| + |dual_objective|)
  double relative_optimality_gap = 0;
};
 
RelativeConvergenceInformation ComputeRelativeResiduals(
    const TerminationCriteria::DetailedOptimalityCriteria& optimality_criteria,
    const ConvergenceInformation& stats,
    const QuadraticProgramBoundNorms& bound_norms);
 
bool ObjectiveGapMet(
    const TerminationCriteria::DetailedOptimalityCriteria& optimality_criteria,
    const ConvergenceInformation& stats);
 
// Determines if the optimality criteria are met.
bool OptimalityCriteriaMet(
    const TerminationCriteria::DetailedOptimalityCriteria& optimality_criteria,
    const ConvergenceInformation& stats, OptimalityNorm optimality_norm,
    const QuadraticProgramBoundNorms& bound_norms);
 
}  // namespace operations_research::pdlp
 
#endif  // PDLP_TERMINATION_H_