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fix computation of ν in TRDH and LMTR #295

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fix computation of ν in TRDH and LMTR #295

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6991ca3
fix step computations
MaxenceGollier Feb 20, 2026
17b9d26
remove TRDH with bound test
MaxenceGollier Feb 20, 2026
0cd0cf4
Merge branch 'JuliaSmoothOptimizers:master' into patch-step
MaxenceGollier Feb 27, 2026
0118a02
fix xi computation bug in TRDH
MaxenceGollier Feb 27, 2026
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4 changes: 2 additions & 2 deletions src/LMTR_alg.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -275,7 +275,7 @@ function SolverCore.solve!(

σmax, found_σ = opnorm(solver.subpb.model.J)
found_σ || error("operator norm computation failed")
ν = α * Δk / (1 + σmax^2 * (α * Δk + 1))
ν = 1 / (σmax^2 + 1 / (α * Δk))
@. mν∇fk = -∇fk * ν
sqrt_ξ1_νInv = one(T)

Expand Down Expand Up @@ -449,7 +449,7 @@ function SolverCore.solve!(
set_time!(stats, time() - start_time)
set_solver_specific!(stats, :prox_evals, prox_evals + 1)

ν = α * Δk / (1 + σmax^2 * (α * Δk + 1))
ν = 1 / (σmax^2 + 1 / (α * Δk))
@. mν∇fk = -∇fk * ν

prox!(s, ψ, mν∇fk, ν)
Expand Down
20 changes: 6 additions & 14 deletions src/TRDH_alg.jl
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Expand Up @@ -332,7 +332,7 @@ function SolverCore.solve!(
dk .= D.d
DNorm = norm(D.d, Inf)

ν = (α * Δk)/(DNorm + one(T))
ν = 1 / (DNorm + 1 / (α * Δk))
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@dpo dpo Feb 25, 2026

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I agree, thank you. In addition, DNorm can be computed as norm(max.(D.d, 0), Inf) (although that allocates). That was a late update to the convergence theory; it looks like it didn't make it into the paper.

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@MaxenceGollier MaxenceGollier Feb 26, 2026

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Can be or should be ?

sqrt_ξ_νInv = one(T)

@. mν∇fk = -ν * ∇fk
Expand All @@ -345,13 +345,6 @@ function SolverCore.solve!(
set_solver_specific!(stats, :nonsmooth_obj, hk)

# models
φ1 = let ∇fk = ∇fk
d -> dot(∇fk, d)
end
mk1 = let ψ = ψ
d -> φ1(d) + ψ(d)::T
end

φ = let ∇fk = ∇fk, dk = dk
d -> begin
result = zero(T)
Expand All @@ -368,7 +361,7 @@ function SolverCore.solve!(

if reduce_TR
prox!(s, ψ, mν∇fk, ν)
mks = mk1(s)
mks = mk(s)

ξ1 = hk - mks + max(1, abs(hk)) * 10 * eps()
sqrt_ξ_νInv = ξ1 ≥ 0 ? sqrt(ξ1 / ν) : sqrt(-ξ1 / ν)
Expand Down Expand Up @@ -484,24 +477,23 @@ function SolverCore.solve!(
set_iter!(stats, stats.iter + 1)
set_time!(stats, time() - start_time)

ν = reduce_TR ? (α * Δk)/(DNorm + one(T)) : α / (DNorm + one(T))
ν = reduce_TR ? 1 / (DNorm + 1 / (α * Δk)) : 1 / (DNorm + 1 / α)
mν∇fk .= -ν .* ∇fk

if reduce_TR
prox!(s, ψ, mν∇fk, ν)
ξ1 = hk - mk1(s) + max(1, abs(hk)) * 10 * eps()
ξ1 = hk - mk(s) + max(1, abs(hk)) * 10 * eps()
sqrt_ξ_νInv = ξ1 ≥ 0 ? sqrt(ξ1 / ν) : sqrt(-ξ1 / ν)
solved = (ξ1 < 0 && sqrt_ξ_νInv ≤ neg_tol) || (ξ1 ≥ 0 && sqrt_ξ_νInv < atol)
(ξ1 < 0 && sqrt_ξ_νInv > neg_tol) &&
error("TRDH: prox-gradient step should produce a decrease but ξ = $(ξ)")
end

iprox!(s, ψ, ∇fk, dk)

ξ = hk - mk(s) + max(1, abs(hk)) * 10 * eps()
sNorm = χ(s)

if !reduce_TR
ξ = hk - mk(s) + max(1, abs(hk)) * 10 * eps()
if !reduce_TR
sqrt_ξ_νInv = ξ ≥ 0 ? sqrt(ξ / ν) : sqrt(-ξ / ν)
solved = (ξ < 0 && sqrt_ξ_νInv ≤ neg_tol) || (ξ ≥ 0 && sqrt_ξ_νInv < atol)
(ξ < 0 && sqrt_ξ_νInv > neg_tol) &&
Expand Down
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