inexact arithmetic comparison in line search

meco-group · Sep 17, 2024 · 622b556 · 622b556
1 parent bcf259d
commit 622b556
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Showing 3 changed files with 8 additions and 2 deletions.
diff --git a/fatrop/auxiliary/Common.cpp b/fatrop/auxiliary/Common.cpp
@@ -29,4 +29,9 @@ namespace fatrop
         double mach_eps = std::numeric_limits<double>::epsilon();
         return (lhs - rhs <= 10. * mach_eps * std::max(std::abs(rhs), std::abs(lhs)));
     }
+    bool CompareLessEqual(double lhs, double rhs, double ref)
+    {
+        double mach_eps = std::numeric_limits<double>::epsilon();
+        return (lhs - rhs <= 10. * mach_eps * std::abs(ref));
+    }
 }
diff --git a/fatrop/auxiliary/Common.hpp b/fatrop/auxiliary/Common.hpp
@@ -29,5 +29,6 @@
 namespace fatrop
 {
     bool CompareLessEqual(double lhs, double rhs);
+    bool CompareLessEqual(double lhs, double rhs, double ref);
 } // namespace fatrop
 #endif //  COMMONINCLUDED
diff --git a/fatrop/solver/LineSearch.cpp b/fatrop/solver/LineSearch.cpp
@@ -170,7 +170,7 @@ LineSearchInfo BackTrackingLineSearch::find_acceptable_trial_point(double mu, bo
         {
             // cout << filter_->GetSize() << endl;
             bool switch_cond = (lin_decr_curr < 0) && (alpha_primal_accent * pow(-lin_decr_curr, s_phi) >= delta * pow(cv_curr, s_theta));
-            bool armijo = CompareLessEqual(obj_next - obj_curr, eta_phi * alpha_primal_accent * lin_decr_curr);
+            bool armijo = CompareLessEqual(obj_next - obj_curr, eta_phi * alpha_primal_accent * lin_decr_curr, obj_next);
             if (switch_cond && (cv_curr <= theta_min))
             {
                 // f-step
@@ -188,7 +188,7 @@ LineSearchInfo BackTrackingLineSearch::find_acceptable_trial_point(double mu, bo
             {
                 // h-step
                 // check sufficient decrease wrt current iterate
-                if (CompareLessEqual(cv_next, (1.0 - gamma_theta) * cv_curr) || CompareLessEqual(obj_next, obj_curr - gamma_phi * cv_curr))
+                if (CompareLessEqual(cv_next, (1.0 - gamma_theta) * cv_curr, cv_curr) || CompareLessEqual(obj_next, obj_curr - gamma_phi * cv_curr, obj_curr))
                 {
                     if (!switch_cond || !(armijo))
                     {