Add apply_step! option for Newton method #284
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If using `method=:newton` with `linesearch=LineSearches.Static()` (the default linesearch), an additional argument `project_region!` (default value `(x)->(nothing)`) can be used to define a function to modify the proposed new `x` value after each Newton iteration. For example, `project_region! = (x) -> (x .= max.(x, 1e-80))` will enforce a constraint `x[i] >= 1e-80`.
If `method = :newton` and `linesearch=LineSearches.Static()` (the default),
an additional argument `apply_step!` (default value `(x, x_old, newton_step)->(x .= x_old .+ newton_step)`)
can be used to define a function to modify the proposed new `x` value after the Newton iteration.
eg
`apply_step! = (x, x_old, newton_step)->(x .= x_old .+ newton_step; x .= max.(x, 1e-80))`
will enforce a constraint `x[i] >= 1e-80`.
sjdaines
changed the title
|
+1 for this - it would be fantastic! |
From updated README.md: If the optional parameter `always_step = false` (the default), no Newton iteration is performed if the solution is already converged for the supplied initial `x` values, and the supplied initial `x` is returned in the `zero` field of `SolverResults`. If `always_step = true`, a Newton step is performed before testing for convergence.
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If using
method = :newtonwithlinesearch=LineSearches.Static(), adds an option to supply a function to modify Newton steps eg to restrict step length or to restrict to a region. This makes it possible to include problem-specific constraints (eg from a physical or chemical system) to increase robustness.Adds an additional argument
apply_step!(default value(x, x_old, newton_step)->(x .= x_old .+ newton_step)) todefine the function used to update the
xvalue after the Newton iteration.For example,
apply_step! = (x, x_old, newton_step)->(x .= x_old .+ newton_step; x .= max.(x, 1e-80))will enforce a constraint
x[i] >= 1e-80to maintain positive concentrations for a chemical kinetics problem.