0.5 release

Author: fabianp

copt/__init__.py

@@ -1,4 +1,4 @@
-__version__ = '0.4.0-dev'
+__version__ = '0.5.0'
 
 from .proxgrad import minimize_PGD, minimize_APGD
 from .splitting import minimize_TOS, minimize_PDHG

copt/datasets.py

@@ -294,7 +294,7 @@ def load_kdd12(md5_check=True, verbose=0):
     if not os.path.exists(DATA_DIR):
         os.makedirs(DATA_DIR)
     if not os.path.exists(file_path):
-        print('URL dataset is not present in data folder. Downloading it ...')
+        print('KDD12 dataset is not present in data folder. Downloading it ...')
         url = 'https://www.csie.ntu.edu.tw/~cjlin/libsvmtools/datasets/binary/kdd12.bz2'
         urllib.request.urlretrieve(url, file_path)
         print('Finished downloading')

copt/frank_wolfe.py

@@ -8,25 +8,6 @@
 from . import utils
 
 
-def _backtrack(
-        f_t, f_grad, x_t, d_t, g_t, L_t,
-        gamma_max=1, ratio_increase=2., ratio_decrease=0.999,
-        max_iter=100):
-    # could be included inside minimize_FW
-    d2_t = splinalg.norm(d_t) ** 2
-    for i in range(max_iter):
-        step_size = min(g_t / (d2_t * L_t), gamma_max)
-        rhs = f_t - step_size * g_t + 0.5 * (step_size**2) * L_t * d2_t
-        f_next, grad_next = f_grad(x_t + step_size * d_t)
-        if f_next <= rhs:
-            if i == 0:
-                L_t *= ratio_decrease
-            break
-    else:
-        L_t *= ratio_increase
-    return step_size, L_t, f_next, grad_next
-
-
 def minimize_FW(
         f_grad, lmo, x0, L=None, max_iter=1000, tol=1e-12,
         backtracking=True, callback=None, verbose=0):
@@ -55,11 +36,21 @@ def minimize_FW(
             g_t = g_t[0]
         if g_t <= tol:
             break
+        d2_t = splinalg.norm(d_t) ** 2
         if backtracking:
-            step_size, L_t, f_next, grad_next = _backtrack(
-                f_t, f_grad, x_t, d_t, g_t, L_t)
+            ratio_decrease = 0.999
+            ratio_increase = 2
+            for i in range(max_iter):
+                step_size = min(g_t / (d2_t * L_t), 1)
+                rhs = f_t - step_size * g_t + 0.5 * (step_size**2) * L_t * d2_t
+                f_next, grad_next = f_grad(x_t + step_size * d_t)
+                if f_next <= rhs + 1e-6:
+                    if i == 0:
+                        L_t *= ratio_decrease
+                    break
+                else:
+                    L_t *= ratio_increase
         else:
-            d2_t = splinalg.norm(d_t) ** 2
             step_size = min(g_t / (d2_t * L_t), 1)
             f_next, grad_next = f_grad(x_t + step_size * d_t)
         x_t += step_size * d_t

copt/utils.py

@@ -32,13 +32,15 @@ def __call__(self, x):
 def init_lipschitz(f_grad, x0):
     L0 = 1e-3
     f0, grad0 = f_grad(x0)
-    if sparse.issparse(grad0):
+    if sparse.issparse(grad0) and not sparse.issparse(x0):
         x0 = sparse.csc_matrix(x0).T
-    elif sparse.issparse(x0):
+    elif sparse.issparse(x0) and not sparse.issparse(grad0):
         grad0 = sparse.csc_matrix(grad0).T
     x_tilde = x0 - (1./L0)*grad0
     f_tilde = f_grad(x_tilde)[0]
-    while f_tilde > f0:
+    for _ in range(100):
+        if f_tilde <= f0:
+            break
         L0 *= 10
         x_tilde = x0 - (1./L0)*grad0
         f_tilde = f_grad(x_tilde)[0]
@@ -182,6 +184,7 @@ def lipschitz(self):
         s = splinalg.svds(self.A, k=1, return_singular_vectors=False)[0]
         return (s * s) / self.A.shape[0] + self.alpha
 
+
 class HuberLoss:
     """Huber loss"""
     def __init__(self, A, b, alpha=0, delta=1):
@@ -205,7 +208,7 @@ def f_grad(self, x, return_gradient=True):
         grad = self.A[idx].T.dot(z[idx]) / self.A.shape[0] + self.alpha * x.T
         grad = np.asarray(grad)
         grad += self.A[~idx].T.dot(self.delta * np.sign(z[~idx]))/ self.A.shape[0]
-        return loss, grad
+        return loss, np.asarray(grad).ravel()
 
     def lipschitz(self):
         s = splinalg.svds(self.A, k=1, return_singular_vectors=False)[0]