add new NLS solvers

Author: tmigot

src/solvers.jl

@@ -39,4 +39,6 @@ const solvers_nls_const = Dict(
         [:shifts => 10.0 .^ (collect(-10.0:0.5:20.0))],
     ),
     :ST_TROpGN => (HessGaussNewtonOp, PDataST, solve_modelST_TR, ()),
-)
+    :ST_TROpGNLS => (HessGaussNewtonOp, PDataNLSST, solve_modelNLSST_TR, ()),
+    :ST_TROpLS => (HessOp, PDataNLSST, solve_modelNLSST_TR, ()),
+)

src/utils/pdata_struct.jl

@@ -6,6 +6,8 @@ abstract type PDataFact{T} <: TPData{T} end # Variants using matricial factoriza
 
 abstract type PDataIter{T} <: TPData{T} end # Variants using iterative (Krylov) solvers
 
+abstract type PDataIterLS{T} <: TPData{T} end # Variants using iterative (Krylov) solvers for least-square subproblem
+
 """
     preprocess(PData::TPData, H, g, gNorm2, n1, n2, α)
 
@@ -220,3 +222,41 @@ function PDataST(
     solver = CgSolver(n, n, S)
     return PDataST(d, λ, ζ, ξ, maxtol, mintol, cgatol, cgrtol, OK, solver)
 end
+
+"""
+    PDataNLSST(::Type{S}, ::Type{T}, n)
+Return a structure used for the preprocessing of Steihaug-Toint methods for Gauss-Newton approximation of nonlinear least squares.
+"""
+mutable struct PDataNLSST{S,T} <: PDataIterLS{T}
+    d::S
+    λ::T
+    ζ::T                      # Inexact Newton order parameter: stop when ||∇q|| < ξ * ||g||^(1+ζ)
+    ξ::T                      # Inexact Newton order parameter: stop when ||∇q|| < ξ * ||g||^(1+ζ)
+    maxtol::T                 # Largest tolerance for Inexact Newton
+    mintol::T                 # Smallest tolerance for Inexact Newton
+    cgatol::Any
+    cgrtol::Any
+
+    OK::Bool    # preprocess success
+    solver::Union{CglsSolver,LsqrSolver}
+end
+
+function PDataNLSST(
+    ::Type{S},
+    ::Type{T},
+    n,
+    m;
+    ζ = T(0.5),
+    ξ = T(0.01),
+    maxtol = T(0.01),
+    mintol = sqrt(eps(T)),
+    cgatol = (ζ, ξ, maxtol, mintol, gNorm2) -> max(mintol, min(maxtol, ξ * gNorm2^(1 + ζ))),
+    cgrtol = (ζ, ξ, maxtol, mintol, gNorm2) -> max(mintol, min(maxtol, ξ * gNorm2^ζ)),
+    kwargs...,
+) where {S,T}
+    d = S(undef, n)
+    λ = zero(T)
+    OK = true
+    solver = CglsSolver(m, n, S)
+    return PDataNLSST(d, λ, ζ, ξ, maxtol, mintol, cgatol, cgrtol, OK, solver)
+end

test/runtests.jl

@@ -11,15 +11,15 @@ using Stopping
     @testset "$name" for name in ALL_solvers
         solver = eval(name)
         unconstrained_nlp(solver)
-        multiprecision_nlp(solver, :unc)
+        multiprecision_nlp(solver, :unc, precisions = (Float32, Float64))
     end
 end
 
 @testset "Testing NLS solvers" begin
     @testset "$name" for name in union(ALL_solvers, NLS_solvers)
         solver = eval(name)
         unconstrained_nls(solver)
-        multiprecision_nls(solver, :unc)
+        multiprecision_nls(solver, :unc, precisions = (Float32, Float64))
     end
 end