split dulity gap relative stopping criterion into separate terms

Author: Bambade

include/proxsuite/proxqp/dense/solver.hpp

@@ -1087,8 +1087,8 @@ qp_solve( //
         qpresults.info.rho = rho_new;
       }
       if (is_dual_feasible) {
-        if (qpresults.info.duality_gap <=
-            qpsettings.eps_abs * rhs_duality_gap) {
+        if (qpresults.info.duality_gap <= qpsettings.eps_abs + 
+           (qpsettings.eps_abs + qpsettings.eps_rel) * rhs_duality_gap) {
           qpresults.info.status = QPSolverOutput::PROXQP_SOLVED;
           break;
         }
@@ -1169,8 +1169,8 @@ qp_solve( //
              std::max(dual_feasibility_rhs_1, qpwork.dual_feasibility_rhs_2)));
 
       if (is_dual_feasible) {
-        if (qpresults.info.duality_gap <=
-            qpsettings.eps_abs * rhs_duality_gap) {
+        if (qpresults.info.duality_gap <= qpsettings.eps_abs +
+            (qpsettings.eps_abs + qpsettings.eps_rel) * rhs_duality_gap) {
           qpresults.info.status = QPSolverOutput::PROXQP_SOLVED;
           break;
         }

include/proxsuite/proxqp/dense/utils.hpp

@@ -415,7 +415,6 @@ global_dual_residual(const Results<T>& qpresults,
   duality_gap += zl;
   ruiz.scale_dual_in_place_in(VectorViewMut<T>{ from_eigen, qpresults.z });
   duality_gap /= sqrt_max_dim; // in order to get an a-dimensional duality gap
-  rhs_duality_gap += 1.;
 }
 
 } // namespace dense

include/proxsuite/proxqp/sparse/solver.hpp

@@ -839,7 +839,7 @@ qp_solve(Results<T>& results,
       }
       if (is_primal_feasible(primal_feasibility_lhs) &&
           is_dual_feasible(dual_feasibility_lhs)) {
-        if (results.info.duality_gap <= settings.eps_abs * rhs_duality_gap) {
+        if (results.info.duality_gap <= settings.eps_abs + (settings.eps_rel+settings.eps_abs)* rhs_duality_gap) {
           results.info.pri_res = primal_feasibility_lhs;
           results.info.dua_res = dual_feasibility_lhs;
           results.info.status = QPSolverOutput::PROXQP_SOLVED;
@@ -1230,7 +1230,7 @@ qp_solve(Results<T>& results,
 
       if (is_primal_feasible(primal_feasibility_lhs_new) &&
           is_dual_feasible(dual_feasibility_lhs_new)) {
-        if (results.info.duality_gap <= settings.eps_abs * rhs_duality_gap) {
+        if (results.info.duality_gap <= settings.eps_abs + (settings.eps_abs+settings.eps_rel) * rhs_duality_gap) {
           results.info.pri_res = primal_feasibility_lhs_new;
           results.info.dua_res = dual_feasibility_lhs_new;
           results.info.status = QPSolverOutput::PROXQP_SOLVED;

include/proxsuite/proxqp/sparse/utils.hpp

@@ -678,7 +678,6 @@ unscaled_primal_dual_residual(
     precond.scale_dual_in_place_in({ proxsuite::proxqp::from_eigen, z_e });
     results.info.duality_gap /=
       sqrt_max_dim; // in order to get an a-dimensional duality gap
-    rhs_duality_gap += 1.;
   }
 
   {