#ifndef AA_H_GUARD #define AA_H_GUARD #ifdef __cplusplus extern "C" { #endif #include "glbopts.h" #include #include #include typedef scs_float aa_float; typedef scs_int aa_int; typedef struct ACCEL_WORK AaWork; /** * Initialize Anderson Acceleration, allocates memory. * * @param dim the dimension of the variable for AA * @param mem the memory (number of past iterations used) for AA * @param type1 if True use type 1 AA, otherwise use type 2 * @param regularization type-I and type-II different, for type-I: 1e-8 works * well, type-II: more stable can use 1e-12 often * @param relaxation float in [0,2], mixing parameter (1.0 is vanilla) * @param safeguard_factor factor that controls safeguarding checks * larger is more aggressive but less stable * @param max_weight_norm float, maximum norm of AA weights * @param verbosity if greater than 0 prints out various info * * @return pointer to AA workspace * */ AaWork *aa_init(aa_int dim, aa_int mem, aa_int type1, aa_float regularization, aa_float relaxation, aa_float safeguard_factor, aa_float max_weight_norm, aa_int verbosity); /** * Apply Anderson Acceleration. The usage pattern should be as follows: * * - for i = 0 .. N: * - if (i > 0): aa_apply(x, x_prev, a) * - x_prev = x.copy() * - x = F(x) * - aa_safeguard(x, x_prev, a) // optional but helps stability * * Here F is the map we are trying to find the fixed point for. We put the AA * before the map so that any properties of the map are maintained at the end. * Eg if the map contains a projection onto a set then the output is guaranteed * to be in the set. * * * @param f output of map at current iteration, overwritten with AA output * @param x input to map at current iteration * @param a workspace from aa_init * * @return (+ or -) norm of AA weights vector. If positive then update * was accepted and f contains new point, if negative then update was * rejected and f is unchanged * */ aa_float aa_apply(aa_float *f, const aa_float *x, AaWork *a); /** * Apply safeguarding. * * This step is optional but can improve stability. * * @param f_new output of map after AA step * @param x_new AA output that is input to the map * @param a workspace from aa_init * * @returns 0 if AA step is accepted otherwise -1, if AA step is rejected then * this overwrites f_new and x_new with previous values * */ aa_int aa_safeguard(aa_float *f_new, aa_float *x_new, AaWork *a); /** * Finish Anderson Acceleration, clears memory. * * @param a AA workspace from aa_init * */ void aa_finish(AaWork *a); /** * Reset Anderson Acceleration. * * Resets AA as if at the first iteration, reuses original memory allocations. * * @param a AA workspace from aa_init * */ void aa_reset(AaWork *a); #ifdef __cplusplus } #endif #endif