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WIP: sketch out outer prod oracle #651

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52 changes: 50 additions & 2 deletions src/Cones/hypogeomean.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -21,6 +21,7 @@ mutable struct HypoGeoMean{T <: Real} <: Cone{T}
feas_updated::Bool
grad_updated::Bool
hess_updated::Bool
hess_aux_updated::Bool
inv_hess_updated::Bool
hess_fact_updated::Bool
is_feas::Bool
Expand Down Expand Up @@ -49,6 +50,8 @@ end

use_heuristic_neighborhood(cone::HypoGeoMean) = false

reset_data(cone::HypoGeoMean) = (cone.feas_updated = cone.grad_updated = cone.hess_updated = cone.inv_hess_updated = cone.hess_fact_updated = cone.hess_aux_updated = false)

function setup_extra_data(cone::HypoGeoMean{T}) where {T <: Real}
dim = cone.dim
cone.hess = Symmetric(zeros(T, dim, dim), :U)
Expand Down Expand Up @@ -111,8 +114,17 @@ function update_grad(cone::HypoGeoMean)
return cone.grad
end

function update_hess_aux(cone::HypoGeoMean)
H = cone.hess.data
H[1, 1] = abs2(cone.grad[1])
@. @views H[1, 2:end] = -cone.wgeo / d / z
cone.hess_aux_updated = true
return
end

function update_hess(cone::HypoGeoMean)
@assert cone.grad_updated
update_hess_aux(cone)
u = cone.point[1]
@views w = cone.point[2:end]
z = cone.z
Expand All @@ -122,12 +134,12 @@ function update_hess(cone::HypoGeoMean)
constww = wgeoz * (1 + wgeozm1) + 1
H = cone.hess.data

H[1, 1] = abs2(cone.grad[1])
# H[1, 1] = abs2(cone.grad[1])
@inbounds for j in eachindex(w)
j1 = j + 1
wj = w[j]
wgeozwj = wgeoz / wj
H[1, j1] = -wgeozwj / z
# H[1, j1] = -wgeozwj / z
wgeozwj2 = wgeozwj * wgeozm1
@inbounds for i in 1:(j - 1)
H[i + 1, j1] = wgeozwj2 / w[i]
Expand Down Expand Up @@ -163,6 +175,42 @@ function hess_prod!(prod::AbstractVecOrMat{T}, arr::AbstractVecOrMat{T}, cone::H
return prod
end

# TODO figure out where to store temp_np_np, when to allocate
function hess_outer_prod!(prod::AbstractVecOrMat{T}, arr::AbstractVecOrMat{T}, cone::HypoGeoMean{T}) where T
@assert cone.grad_updated
update_hess_aux(cone)
u = cone.point[1]
@views w = cone.point[2:end]
z = cone.z
d = cone.wdim
wgeo = cone.wgeo
temp_np = zeros(T, size(arr 1)) # TODO
temp_np_np = zeros(T, size(arr)...) # TODO

@views A_u = arr[:, 1]
@views A_w = arr[:, 2:end]
A_wt = A_w'

@. temp_np = A_u / z
mul!(res, temp_np, temp_np')

@views mul!(temp_np, A_w, cone.hess[1, 2:end])
mul!(temp_np_np, temp_np, A_u')
@. prod += temp_np_np
@. prod += temp_np_np'

ldiv!(temp_np, Diagonal(w), A_w)
@. temp_np /= d * z
mul!(prod, temp_np, temp_np', wgeo * u, true)

temp_sd_np = zeros(T, d, size(arr, 1)) # TODO
@. @views temp_sd_np = A_wt / w

mul!(prod, temp_sd_np', temp_sd_np, wgeo / d / z + 1, true)

return prod
end

function update_inv_hess(cone::HypoGeoMean{T}) where T
@assert !cone.inv_hess_updated
u = cone.point[1]
Expand Down