Fast panoc implementation

demos/demo_panoc.m

@@ -0,0 +1,30 @@
+% Only use this demo after installing the panoc library. This is only
+% supported on Windows right now. Run ./external_library/setup.m to
+% install panoc.
+
+clear all;
+%%
+f=@rosen;
+g=indBox(-4,4);
+x0=[0;0];
+aff=0; % not supported with panoc
+opts.solver='panoc';
+opts.tol=1e-12;
+opts.maxit=200;
+
+% g.name='blah'; % uncomment this line if you want to use the Matlab function constraint
+tic
+out = forbes(f, g, x0, aff, [], opts) % this problem should take 20 iterations
+toc
+
+% double check the results
+if(out.iterations~=20)
+    disp(['Error: not solved in 20 iterations as expected but in ' ...
+        num2str(out.iterations) 'iterations'] );
+end
+
+theoretical_solution = [1;1];
+if(norm(out.x-theoretical_solution)>opts.tol)
+    disp(['Error: solution not [1;1] as expected but[' ...
+        num2str(out.x(1)) ';' num2str(out.x(2)) ']' ]);
+end

demos/rosen.m

@@ -0,0 +1,9 @@
+function [function_value,gradient] = rosen(initial_point)
+    a=1;
+    b=100;
+    function_value =(a-initial_point(1))^2 + b*(initial_point(2)-initial_point(1))^2;
+
+    if nargout > 1
+       gradient = [-2*(a-(b+1)*initial_point(1)+b*initial_point(2)); 2*b*(initial_point(2)-initial_point(1)) ];
+    end
+end

external_library/forbes_panoc/bin/.gitignore

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+panoc.mexw64

external_library/forbes_panoc/bin/readme.md

@@ -0,0 +1,2 @@
+# build folder panoc
+This folder contains binary's of the draft panoc library: https://github.com/Zilleplus/draf_panoc.

external_library/setup.m

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+% install external libs
+lib_path = pwd;
+
+%% install panoc
+
+
+if ismac
+    disp('Using mex interface Mac os');
+    mex_file_location=fullfile(lib_path,'forbes_panoc','bin','PANOC_Mac64_clang.mexmaci64');
+    mex_file_destination = fullfile(lib_path,'forbes_panoc','bin','panoc.mexmaci64');
+elseif isunix
+    disp('Using mex interface Linux');
+    mex_file_location=fullfile(lib_path,'forbes_panoc','bin','PANOC_linux64_gcc.mexa64');
+    mex_file_destination = fullfile(lib_path,'forbes_panoc','bin','panoc.mexa64');
+elseif ispc
+    disp('Using mex interface Windows');
+    mex_file_location=fullfile(lib_path,'forbes_panoc','bin','panoc_Windows64VStudio.mexw64');
+else
+    disp('Platform not supported')
+end
+copyfile(mex_file_location,mex_file_destination);
+
+
+%% add paths to path and save
+addpath(fullfile(lib_path,'forbes_panoc','bin'));
+addpath(fullfile(lib_path,'src_Matlab'));
+savepath;% write away path variable
+

external_library/src_Matlab/readme.md

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+#Matlab code that links external library's with forbes

external_library/src_Matlab/solve_panoc.m

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+function [ out ] = solve_panoc( f, g ,opt , intial_solution )
+    %SOLVE_PANOC Solve problem with panoc lib
+
+    if(~isfield(g,'name'))
+        g.name='costum';
+    end
+
+    % parse the options into the panoc format
+    problem.dimension = length(intial_solution);
+
+    if(strcmp(g.name,'box'))
+        problem.constraint_type = 'box';
+
+        problem.upper_bound=g.upper_bound;
+        problem.lower_bound=g.lower_bound;
+    else % unknown function, use the matlab version provided by the user
+        disp(['WARNING: No C implementation found of the constraint ' ... 
+                'function using the matlab implementation,'...
+                ' this may impact performance.']);
+        problem.constraint_type = 'costum';
+
+        % convert the function into the right format and set gamma=0
+        g_function = g.makeprox();
+        constraint = @(x,gamma) g_function(x,gamma);
+        problem.constraint = constraint;
+    end
+
+    solver_params.tolerance = opt.tol;
+    solver_params.buffer_size = 20;
+    solver_params.max_iterations = opt.maxit;
+
+    % Solve the problem with panoc,
+    % copy over by value the initial position.
+    solution=zeros(problem.dimension,1);
+    for i=1:problem.dimension
+        solution(i)=intial_solution(i);
+    end
+
+    panoc('init',problem,solver_params);
+    number_of_iterations = panoc('solve',solution,f);
+    panoc('cleanup');
+
+    out.x=solution;
+    out.iterations=number_of_iterations;
+end

forbes.m

@@ -105,27 +105,33 @@
     if nargin < 4, aff = []; end
     if nargin < 5, constr = []; end
     if nargin < 6, opt = []; end
+
+    if(strcmp(opt.solver,'panoc'))
+        disp('WARNING: Using external lib, not all options are supported here.');
+        % constr is not supported by panoc, ignore it
+        out=solve_panoc( fs, gs ,opt , init );
+    else
+        [prob, id] = Process_Problem(fs, gs, init, aff, constr);
+        opt = Process_Options(opt);
+        lsopt = Process_LineSearchOptions(opt);
 
-    [prob, id] = Process_Problem(fs, gs, init, aff, constr);
-    opt = Process_Options(opt);
-    lsopt = Process_LineSearchOptions(opt);
-
-    preprocess = toc(t0);
+        preprocess = toc(t0);
 
-    out_solver = opt.solverfun(prob, opt, lsopt);
+        out_solver = opt.solverfun(prob, opt, lsopt);
 
-    out.message = out_solver.message;
-    out.flag = out_solver.flag;
-    if id == 1
-        out.x = out_solver.x;
-    else
-        [out.x1, out.x2, out.z] = prob.Get_DualPoints(out_solver.x, out_solver.gam);
-        out.y = out_solver.x;
+        out.message = out_solver.message;
+        out.flag = out_solver.flag;
+        if id == 1
+            out.x = out_solver.x;
+        else
+            [out.x1, out.x2, out.z] = prob.Get_DualPoints(out_solver.x, out_solver.gam);
+            out.y = out_solver.x;
+        end
+        out.solver = out_solver;
+        out.prob = prob;
+        out.opt = opt;
+        out.lsopt = lsopt;
+        out.preprocess = preprocess;
+        out.time = toc(t0);
     end
-    out.solver = out_solver;
-    out.prob = prob;
-    out.opt = opt;
-    out.lsopt = lsopt;
-    out.preprocess = preprocess;
-    out.time = toc(t0);
 end

library/indBox.m

@@ -29,6 +29,9 @@
 function obj = indBox(lower, upper)
     obj.isConvex = 1;
     obj.makeprox = @() @(x, gam) call_indBox_prox(x, lower, upper);
+    obj.name='box';
+    obj.upper_bound=upper;
+    obj.lower_bound=lower;
 end
 
 function [prox, val] = call_indBox_prox(x, lower, upper)