initial commit ripm and ripmdh

benchmarks/tables/nnmf-table.jl

@@ -1,4 +1,5 @@
 include("regulopt-tables.jl")
+include("regulopt-plots.jl")
 
 random_seed = 1234
 Random.seed!(random_seed)
@@ -138,3 +139,17 @@ benchmark_table(
   random_seed,
   tex = false,
 );
+
+p = benchmark_plot(
+  f,
+  selected,
+  h,
+  solvers[subset],
+  subsolvers[subset],
+  solver_options[subset],
+  subsolver_options[subset],
+  random_seed;
+  measured = :grad,
+  xmode = "linear",
+  ymode = "log", 
+);

benchmarks/tables/regulopt-plots.jl

@@ -0,0 +1,124 @@
+using PGFPlotsX
+using Colors
+using LaTeXStrings
+using PrettyTables, LaTeXStrings
+using Random
+using LinearAlgebra
+using ProximalOperators
+using NLPModels,
+  NLPModelsModifiers,
+  RegularizedProblems,
+  RegularizedOptimization,
+  ShiftedProximalOperators,
+  SolverBenchmark
+using Printf
+
+# utils for extracting stats / display table
+modelname(nlp::LSR1Model) = "LSR1"
+modelname(nlp::LBFGSModel) = "LBFGS"
+modelname(nlp::SpectralGradientModel) = "SpectralGradient"
+modelname(nlp::DiagonalQNModel) = "DiagonalQN"
+subsolvername(subsolver::Symbol) = subsolver == :None ? "" : string("-", subsolver)
+function options_str(
+  options::ROSolverOptions,
+  solver::Symbol,
+  subsolver_options::ROSolverOptions,
+  subsolver::Symbol,
+)
+  if solver == :TRDH
+    out_str = !options.spectral ? (options.psb ? "-PSB" : "-Andrei") : "-Spec"
+    out_str = (options.reduce_TR) ? out_str : string(out_str, "-noredTR")
+  elseif solver == :TR && subsolver == :TRDH
+    out_str = !subsolver_options.spectral ? (subsolver_options.psb ? "-PSB" : "-Andrei") : "-Spec"
+    out_str = (subsolver_options.reduce_TR) ? out_str : string(out_str, "-noredTR")
+  else
+    out_str = ""
+  end
+  return out_str
+end
+
+function benchmark_plot(
+  f::AbstractNLPModel,
+  selected,
+  h,
+  solvers,
+  subsolvers,
+  solver_options,
+  subsolver_options,
+  random_seed::Int;
+  measured::Symbol = :obj, # set to :grad to eval grad
+  xmode::String = "log",
+  ymode::String = "log",
+)
+  solver_names = [
+    "$(solver)$(subsolvername(subsolver))$(options_str(opt, solver, subsolver_opt, subsolver))"
+    for (solver, opt, subsolver, subsolver_opt) in
+    zip(solvers, solver_options, subsolvers, subsolver_options)
+  ]
+  n_solvers = length(solver_names)
+  objdecs = Vector{Float64}[] 
+  coords = Coordinates{2}[]
+  obj_min = Float64(Inf)
+
+  reset!(f)
+  for (solver, subsolver, opt, sub_opt) in
+      zip(solvers, subsolvers, solver_options, subsolver_options)
+    @info " using $solver with subsolver = $subsolver"
+    args = solver == :R2 ? () : (NormLinf(1.0),)
+    Random.seed!(random_seed)
+    if subsolver == :None
+      solver_out = eval(solver)(f, h, args..., opt, x0 = f.meta.x0, selected = selected)
+    else
+      solver_out = eval(solver)(
+        f,
+        h,
+        args...,
+        opt,
+        x0 = f.meta.x0,
+        subsolver = eval(subsolver),
+        subsolver_options = sub_opt,
+        selected = selected,
+      )
+    end
+    objdec = solver_out.solver_specific[:Fhist] + solver_out.solver_specific[:Hhist]
+    measured == :grad && (objdec = objdec[solver_out.solver_specific[:IterSucc]])
+    obj_min = min(minimum(objdec), obj_min)
+    objdec[end] = obj(f, solver_out.solution) + h(solver_out.solution[selected])
+    push!(objdecs, objdec)
+    reset!(f)
+  end
+  for i in 1:length(objdecs)
+    objdec = objdecs[i]
+    println(length(objdec))
+    push!(
+      coords,
+      # Coordinates([(k, objdec[k] - obj_min) for k in 1:length(objdec)]),
+      Coordinates([(k, objdec[k] - obj_min) for k in 1:length(objdec)][1:10:end]),
+    )
+  end
+
+  colors = distinguishable_colors(
+    n_solvers,
+    [RGB(1, 0, 0), RGB(0, 0, 1), RGB(0, 1, 0), RGB(0, 0, 0)],#, RGB(1, 0, 1)],
+    dropseed = false,
+  )
+  l_plots = [@pgf Plot({color = colors[i]}, coords[i]) for i in 1:n_solvers]
+
+  @pgf Axis(
+    {
+      xlabel = "iterations",
+      ylabel = L"$(f + h)(x_k)$",
+      ymode = ymode,
+      xmode = xmode,
+      no_markers,
+      legend_style = {
+        nodes={scale=0.8},
+        font = "\\tiny",
+      },
+      legend_pos="south west",
+      # legend_pos="south east",
+    },
+    Tuple(l_plots)...,
+    Legend(solver_names),
+  )
+end