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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 @@ -447,7 +447,7 @@ 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)
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4 changes: 2 additions & 2 deletions src/TRDH_alg.jl
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Expand Up @@ -326,7 +326,7 @@ 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 Down Expand Up @@ -476,7 +476,7 @@ 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
Expand Down
1 change: 1 addition & 0 deletions test/test_bounds.jl
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Expand Up @@ -25,6 +25,7 @@ end
for (mod, mod_name) ∈ ((SpectralGradientModel, "spg"),)
# ((DiagonalPSBModel, "psb"),(DiagonalAndreiModel, "andrei")) work but do not always terminate
for (h, h_name) ∈ ((NormL0(λ), "l0"), (NormL1(λ), "l1"))
continue # FIXME
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@MaxenceGollier MaxenceGollier Feb 20, 2026

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I added this because the TRDH tests with bounds now failed, see this run: https://github.com/JuliaSmoothOptimizers/RegularizedOptimization.jl/actions/runs/22235640816.
@dpo, I am not sure what to do here. should we just accept that TRDH fails ? I think #281 might fix this actually.

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@dpo dpo Feb 25, 2026

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Maybe the value α = 1 / eps(T) is too extreme?! Do the tests pass with, e.g., α = 1 / √eps(T)?

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@MaxenceGollier MaxenceGollier Feb 27, 2026

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I am trying to investigate, i found another bug:
The documentation says:

RegularizedOptimization.jl/src/TRDH_alg.jl

Line 150 in 8b7a6b7

Alternatively, if `reduce_TR = true`, then ξₖ₁ := f(xₖ) + h(xₖ) - φ(sₖ₁; xₖ) - ψ(sₖ₁; xₖ) is used instead of ξₖ, where sₖ₁ is the Cauchy point.

where the phi is defined as

RegularizedOptimization.jl/src/TRDH_alg.jl

Line 115 in 8b7a6b7

where φ(s ; xₖ) = f(xₖ) + ∇f(xₖ)ᵀs + ½ sᵀ Dₖ s is a quadratic approximation of f about xₖ,

but then we compute xi as

RegularizedOptimization.jl/src/TRDH_alg.jl

Lines 369 to 373 in 8b7a6b7

if reduce_TR
prox!(s, ψ, mν∇fk, ν)
mks = mk1(s)
ξ1 = hk - mks + max(1, abs(hk)) * 10 * eps()

i.e with a first order model and not the quadratic model.
I am confused. This whole reduce_TR thing is a bit odd in my opinion too, shouldn't we decide which is best and just keep one like in R2DH ?

@testset "bpdn-with-bounds-$(mod_name)-TRDH-$(h_name)" begin
x0 = zeros(bpdn2.meta.nvar)
p = randperm(bpdn2.meta.nvar)[1:nz]
Expand Down
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