Upgrade ensmallen to 1.13.0 (#8)

* Upgrade ensmallen to 1.13.0

* Add NEWS entry for 1.13.0

* Bump description

* Add changelog

* Change initialization order.

* No comments...

Author: coatless

ChangeLog

@@ -1,3 +1,12 @@
+2019-01-20  James Balamuta  <[email protected]>
+
+	* DESCRIPTION (Version, Date): Release 1.13.0
+
+	* NEWS.md: Update for Ensmallen release 1.13.0
+
+	* inst/include/ensmallen_bits: Upgraded to Ensmallen 1.13.0
+	* inst/include/ensmallen.hpp: ditto
+
 2018-12-30  James Balamuta  <[email protected]>
 
 	* DESCRIPTION (Version, Date): Release 1.12.0

DESCRIPTION

@@ -1,6 +1,6 @@
 Package: RcppEnsmallen
 Title: Header-Only C++ Mathematical Optimization Library for 'Armadillo'
-Version: 0.1.12.0.1
+Version: 0.1.13.0.1
 Authors@R: c(
     person("James Joseph", "Balamuta", email = "[email protected]", 
            role = c("aut", "cre", "cph"), 

NEWS.md

@@ -1,3 +1,12 @@
+# RcppEnsmallen 0.1.13.0.1
+
+- Upgraded to ensmallen release 1.13.0 "Coronavirus Invasion" (2019-01-14)
+   - Enhance options for AugLagrangian optimizer (#66).
+   - Add SPSA optimizer (#69).
+   - Fix list of contributors.
+   - Make sure all files end with newlines.
+- Reordered SPSA parameters to quiet initialization error surfaced with `-Wreorder`.
+
 # RcppEnsmallen 0.1.12.0.1
 
 - Upgraded to ensmallen release 1.12.0 "New Year's Party" (2018-12-30)

cran-comments.md

@@ -7,5 +7,3 @@
 ## R CMD check results
 
 0 errors | 0 warnings | 0 note
-
-- This release fixes the line ending note given on the package's check page.

inst/include/ensmallen.hpp

@@ -98,6 +98,7 @@
 #include "ensmallen_bits/sgdr/snapshot_sgdr.hpp"
 #include "ensmallen_bits/smorms3/smorms3.hpp"
 #include "ensmallen_bits/spalera_sgd/spalera_sgd.hpp"
+#include "ensmallen_bits/spsa/spsa.hpp"
 #include "ensmallen_bits/svrg/svrg.hpp"
 #include "ensmallen_bits/swats/swats.hpp"
 #include "ensmallen_bits/wn_grad/wn_grad.hpp"

inst/include/ensmallen_bits/aug_lagrangian/aug_lagrangian.hpp

@@ -34,11 +34,19 @@ class AugLagrangian
 {
  public:
   /**
-   * Initialize the Augmented Lagrangian with the default L-BFGS optimizer.  We
-   * limit the number of L-BFGS iterations to 1000, rather than the unlimited
-   * default L-BFGS.
+   * Initialize the Augmented Lagrangian with the default L-BFGS optimizer.
+   * @param penaltyThresholdFactor When the penalty threshold is updated set
+   *    the penalty threshold to the penalty multplied by this factor. The
+   *    default value of 0.25 is is taken from Burer and Monteiro (2002).
+   * @param sigmaUpdateFactor When sigma is updated  multiply sigma by this
+   *    value. The default value of 10 is taken from Burer and Monteiro (2002).
+   * @param maxIterations Maximum number of iterations of the Augmented
+   *     Lagrangian algorithm.  0 indicates no maximum.
    */
-  AugLagrangian();
+  AugLagrangian(const size_t maxIterations = 1000,
+                const double penaltyThresholdFactor = 0.25,
+                const double sigmaUpdateFactor = 10.0,
+                const L_BFGS& lbfgs = L_BFGS());
 
   /**
    * Optimize the function.  The value '1' is used for the initial value of each
@@ -49,13 +57,10 @@ class AugLagrangian
    *     class.
    * @param function The function to optimize.
    * @param coordinates Output matrix to store the optimized coordinates in.
-   * @param maxIterations Maximum number of iterations of the Augmented
-   *     Lagrangian algorithm.  0 indicates no maximum.
    */
   template<typename LagrangianFunctionType>
   bool Optimize(LagrangianFunctionType& function,
-                arma::mat& coordinates,
-                const size_t maxIterations = 1000);
+                arma::mat& coordinates);
 
   /**
    * Optimize the function, giving initial estimates for the Lagrange
@@ -69,15 +74,12 @@ class AugLagrangian
    * @param initLambda Vector of initial Lagrange multipliers.  Should have
    *     length equal to the number of constraints.
    * @param initSigma Initial penalty parameter.
-   * @param maxIterations Maximum number of iterations of the Augmented
-   *     Lagrangian algorithm.  0 indicates no maximum.
    */
   template<typename LagrangianFunctionType>
   bool Optimize(LagrangianFunctionType& function,
                 arma::mat& coordinates,
                 const arma::vec& initLambda,
-                const double initSigma,
-                const size_t maxIterations = 1000);
+                const double initSigma);
 
   //! Get the L-BFGS object used for the actual optimization.
   const L_BFGS& LBFGS() const { return lbfgs; }
@@ -94,12 +96,33 @@ class AugLagrangian
   //! Modify the penalty parameter.
   double& Sigma() { return sigma; }
 
+  //! Get the maximum iterations
+  size_t MaxIterations() const { return maxIterations; }
+  //! Modify the maximum iterations
+  size_t& MaxIterations() { return maxIterations; }
+
+  //! Get the penalty threshold updating parameter
+  double PenaltyThresholdFactor() const { return penaltyThresholdFactor; }
+  //! Modify the penalty threshold updating parameter
+  double& PenaltyThresholdFactor() { return penaltyThresholdFactor; }
+
+  //! Get the sigma update factor
+  double SigmaUpdateFactor() const { return sigmaUpdateFactor; }
+  //! Modify the sigma update factor
+  double& SigmaUpdateFactor() { return sigmaUpdateFactor; }
+
  private:
-  //! If the user did not pass an L_BFGS object, we'll use our own internal one.
-  L_BFGS lbfgsInternal;
+  //! Maximum number of iterations.
+  size_t maxIterations;
+
+  //! Parameter for updating the penalty threshold
+  double penaltyThresholdFactor;
+
+  //! Parameter for updating sigma
+  double sigmaUpdateFactor;
 
   //! The L-BFGS optimizer that we will use.
-  L_BFGS& lbfgs;
+  L_BFGS lbfgs;
 
   //! Lagrange multipliers.
   arma::vec lambda;
@@ -112,8 +135,7 @@ class AugLagrangian
    */
   template<typename LagrangianFunctionType>
   bool Optimize(AugLagrangianFunction<LagrangianFunctionType>& augfunc,
-                arma::mat& coordinates,
-                const size_t maxIterations);
+                arma::mat& coordinates);
 };
 
 } // namespace ens

inst/include/ensmallen_bits/aug_lagrangian/aug_lagrangian_impl.hpp

@@ -19,54 +19,54 @@
 
 namespace ens {
 
-inline AugLagrangian::AugLagrangian() :
-    lbfgsInternal(),
-    lbfgs(lbfgsInternal)
+inline AugLagrangian::AugLagrangian(const size_t maxIterations,
+                                    const double penaltyThresholdFactor,
+                                    const double sigmaUpdateFactor,
+                                    const L_BFGS& lbfgs) :
+    maxIterations(maxIterations),
+    penaltyThresholdFactor(penaltyThresholdFactor),
+    sigmaUpdateFactor(sigmaUpdateFactor),
+    lbfgs(lbfgs)
 {
-  lbfgs.MaxIterations() = 1000;
 }
 
 template<typename LagrangianFunctionType>
 bool AugLagrangian::Optimize(LagrangianFunctionType& function,
                              arma::mat& coordinates,
                              const arma::vec& initLambda,
-                             const double initSigma,
-                             const size_t maxIterations)
+                             const double initSigma)
 {
   lambda = initLambda;
   sigma = initSigma;
 
   AugLagrangianFunction<LagrangianFunctionType> augfunc(function,
       lambda, sigma);
 
-  return Optimize(augfunc, coordinates, maxIterations);
+  return Optimize(augfunc, coordinates);
 }
 
 template<typename LagrangianFunctionType>
 bool AugLagrangian::Optimize(LagrangianFunctionType& function,
-                             arma::mat& coordinates,
-                             const size_t maxIterations)
+                             arma::mat& coordinates)
 {
   // If the user did not specify the right size for sigma and lambda, we will
   // use defaults.
   if (!lambda.is_empty())
   {
-    AugLagrangianFunction<LagrangianFunctionType> augfunc(function, lambda,
-        sigma);
-    return Optimize(augfunc, coordinates, maxIterations);
+    AugLagrangianFunction<LagrangianFunctionType> augfunc(function, lambda, sigma);
+    return Optimize(augfunc, coordinates);
   }
   else
   {
     AugLagrangianFunction<LagrangianFunctionType> augfunc(function);
-    return Optimize(augfunc, coordinates, maxIterations);
+    return Optimize(augfunc, coordinates);
   }
 }
 
 template<typename LagrangianFunctionType>
 bool AugLagrangian::Optimize(
     AugLagrangianFunction<LagrangianFunctionType>& augfunc,
-    arma::mat& coordinates,
-    const size_t maxIterations)
+    arma::mat& coordinates)
 {
   traits::CheckConstrainedFunctionTypeAPI<LagrangianFunctionType>();
 
@@ -133,17 +133,14 @@ bool AugLagrangian::Optimize(
             function.EvaluateConstraint(i, coordinates);
 
       // We also update the penalty threshold to be a factor of the current
-      // penalty.  TODO: this factor should be a parameter (from CLI).  The
-      // value of 0.25 is taken from Burer and Monteiro (2002).
-      penaltyThreshold = 0.25 * penalty;
+      // penalty.
+      penaltyThreshold = penaltyThresholdFactor * penalty;
       Info << "Lagrange multiplier estimates updated." << std::endl;
     }
     else
     {
-      // We multiply sigma by a constant value.  TODO: this factor should be a
-      // parameter (from CLI).  The value of 10 is taken from Burer and Monteiro
-      // (2002).
-      augfunc.Sigma() *= 10;
+      // We multiply sigma by a constant value.
+      augfunc.Sigma() *= sigmaUpdateFactor;
       Info << "Updated sigma to " << augfunc.Sigma() << "." << std::endl;
     }
   }

inst/include/ensmallen_bits/ens_version.hpp

@@ -15,13 +15,13 @@
 #define ENS_VERSION_MAJOR 1
 // The minor version is two digits so regular numerical comparisons of versions
 // work right.  The first minor version of a release is always 10.
-#define ENS_VERSION_MINOR 12
+#define ENS_VERSION_MINOR 13
 #define ENS_VERSION_PATCH 0
 // If this is a release candidate, it will be reflected in the version name
 // (i.e. the version name will be "RC1", "RC2", etc.).  Otherwise the version
 // name will typically be a seemingly arbitrary set of words that does not
 // contain the capitalized string "RC".
-#define ENS_VERSION_NAME "New Year's Party"
+#define ENS_VERSION_NAME "Coronavirus Invasion"
 
 namespace ens {
 

inst/include/ensmallen_bits/sdp/lrsdp_impl.hpp

@@ -30,7 +30,8 @@ template <typename SDPType>
 double LRSDP<SDPType>::Optimize(arma::mat& coordinates)
 {
   augLag.Sigma() = 10;
-  augLag.Optimize(function, coordinates, maxIterations);
+  augLag.MaxIterations() = maxIterations;
+  augLag.Optimize(function, coordinates);
 
   return function.Evaluate(coordinates);
 }