Add linear program solver based on the restarted Halpern primal-dual hybrid gradient (rHPDHG) algorithm.

Author: carlosgmartin

.pylintrc

@@ -129,6 +129,7 @@ disable=R,
         wrong-import-order,
         xrange-builtin,
         zip-builtin-not-iterating,
+        invalid-name,
 
 
 [REPORTS]

docs/api/linprog.rst

@@ -0,0 +1,12 @@
+Linear programming
+==================
+
+.. currentmodule:: optax.linprog
+
+.. autosummary::
+    rhpdhg
+
+
+Restarted Halpern primal-dual hybrid gradient method
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+.. autofunction:: rhpdhg

docs/gallery.rst

@@ -209,7 +209,7 @@
 .. only:: html
 
   .. image:: /images/examples/linear_assignment_problem.png
-    :alt:
+    :alt: Linear assignment problem.
 
   :doc:`_collections/examples/linear_assignment_problem`
 
@@ -219,6 +219,23 @@
     </div>
 
 
+.. raw:: html
+
+    <div class="sphx-glr-thumbcontainer" tooltip="Linear programming.">
+
+.. only:: html
+
+  .. image:: /images/examples/linear_programming.png
+     :alt: Linear programming.
+
+  :doc:`_collections/examples/linear_programming`
+
+.. raw:: html
+
+      <div class="sphx-glr-thumbnail-title">Linear programming.</div>
+    </div>
+
+
 .. raw:: html
 
     </div>

docs/images/examples/linear_programming.png

@@ -54,6 +54,7 @@ for instructions on installing JAX.
    :caption: 📖 Reference
    :maxdepth: 2
 
+   api/linprog
    api/assignment
    api/optimizers
    api/transformations

docs/index.rst

@@ -19,6 +19,7 @@
 
 from optax import assignment
 from optax import contrib
+from optax import linprog
 from optax import losses
 from optax import monte_carlo
 from optax import perturbations
@@ -364,6 +365,7 @@
     "lion",
     "linear_onecycle_schedule",
     "linear_schedule",
+    "linprog",
     "log_cosh",
     "lookahead",
     "LookaheadParams",

examples/linear_programming.ipynb

@@ -2482,7 +2482,7 @@ def lbfgs(
     ...   )
     ...   params = optax.apply_updates(params, updates)
     ...   print('Objective function: ', f(params))
-    Objective function:  7.5166864
+    Objective function:  7.516686...
     Objective function:  7.460699e-14
     Objective function:  2.6505726e-28
     Objective function:  0.0

optax/__init__.py

@@ -0,0 +1,19 @@
+# Copyright 2024 DeepMind Technologies Limited. All Rights Reserved.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+# ==============================================================================
+"""The linear programming sub-package."""
+
+# pylint:disable=g-importing-member
+
+from optax.linprog._rhpdhg import solve_general as rhpdhg

optax/_src/alias.py

@@ -0,0 +1,211 @@
+# Copyright 2024 DeepMind Technologies Limited. All Rights Reserved.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+# ==============================================================================
+"""The restarted Halpern primal-dual hybrid gradient method."""
+
+from jax import lax, numpy as jnp
+from optax import tree_utils as otu
+
+
+def solve_canonical(
+  c, A, b, iters, reflect=True, restarts=True, tau=None, sigma=None
+):
+  r"""Solves a linear program using the restarted Halpern primal-dual hybrid
+  gradient (RHPDHG) method.
+
+  Minimizes :math:`c \cdot x` subject to :math:`A x = b` and :math:`x \geq 0`.
+
+  See also `MPAX <https://github.com/MIT-Lu-Lab/MPAX>`_.
+
+  Args:
+    c: Cost vector.
+    A: Equality constraint matrix.
+    b: Equality constraint vector.
+    iters: Number of iterations to run the solver for.
+    reflect: Use reflection. See paper for details.
+    restarts: Use restarts. See paper for details.
+    tau: Primal step size. See paper for details.
+    sigma: Dual step size. See paper for details.
+
+  Returns:
+    A dictionary whose entries are as follows:
+      - primal: The final primal solution.
+      - dual: The final dual solution.
+      - primal_iterates: The primal iterates.
+      - dual_iterates: The dual iterates.
+
+  Examples:
+    >>> from jax import numpy as jnp
+    >>> import optax
+    >>> c = -jnp.array([2, 1])
+    >>> A = jnp.zeros([0, 2])
+    >>> b = jnp.zeros(0)
+    >>> G = jnp.array([[3, 1], [1, 1], [1, 4]])
+    >>> h = jnp.array([21, 9, 24])
+    >>> x = optax.linprog.rhpdhg(c, A, b, G, h, 1_000_000)['primal']
+    >>> print(x[0])
+    5.99...
+    >>> print(x[1])
+    2.99...
+
+  References:
+    Haihao Lu, Jinwen Yang, `Restarted Halpern PDHG for Linear Programming
+    <https://arxiv.org/abs/2407.16144>`_, 2024
+  """
+
+  if tau is None or sigma is None:
+    A_norm = jnp.linalg.norm(A, axis=(0, 1), ord=2)
+    if tau is None:
+      tau = 1 / (2 * A_norm)
+    if sigma is None:
+      sigma = 1 / (2 * A_norm)
+
+  def T(z):
+    # primal dual hybrid gradient (PDHG)
+    x, y = z
+    xn = x + tau * (y @ A - c)
+    xn = xn.clip(min=0)
+    yn = y + sigma * (b - A @ (2 * xn - x))
+    return xn, yn
+
+  def H(z, k, z0):
+    # Halpern PDHG
+    Tz = T(z)
+    if reflect:
+      zc = otu.tree_sub(otu.tree_scalar_mul(2, Tz), z)
+    else:
+      zc = Tz
+    kp2 = k + 2
+    zn = otu.tree_add(
+      otu.tree_scalar_mul((k + 1) / kp2, zc),
+      otu.tree_scalar_mul(1 / kp2, z0),
+    )
+    return zn, Tz
+
+  def update(carry, _):
+    z, k, z0, d0 = carry
+    zn, Tz = H(z, k, z0)
+
+    if restarts:
+      d = otu.tree_l2_norm(otu.tree_sub(z, Tz), squared=True)
+      restart = d <= d0 * jnp.exp(-2)
+      new_carry = otu.tree_where(
+        restart,
+        (zn, 0, zn, d),
+        (zn, k + 1, z0, d0),
+      )
+    else:
+      new_carry = zn, k + 1, z0, d0
+
+    return new_carry, z
+
+  def run():
+    m, n = A.shape
+    x = jnp.zeros(n)
+    y = jnp.zeros(m)
+    z0 = x, y
+    d0 = otu.tree_l2_norm(otu.tree_sub(z0, T(z0)), squared=True)
+    (z, _, _, _), zs = lax.scan(update, (z0, 0, z0, d0), length=iters)
+    x, y = z
+    xs, ys = zs
+    return {
+      "primal": x,
+      "dual": y,
+      "primal_iterates": xs,
+      "dual_iterates": ys,
+    }
+
+  return run()
+
+
+def general_to_canonical(c, A, b, G, h):
+  """Converts a linear program from general form to canonical form.
+
+  The solution to the new linear program will consist of the concatenation of
+    - the positive part of x
+    - the negative part of x
+    - slacks
+
+  That is, we go from
+
+    Minimize c · x subject to
+      A x = b
+      G x ≤ h
+
+  to
+
+    Minimize c · (x⁺ - x⁻) subject to
+      A (x⁺ - x⁻) = b
+      G (x⁺ - x⁻) + s = h
+      x⁺, x⁻, s ≥ 0
+
+  Args:
+    c: Cost vector.
+    A: Equality constraint matrix.
+    b: Equality constraint vector.
+    G: Inequality constraint matrix.
+    h: Inequality constraint vector.
+
+  Returns:
+    A triple (c', A', b') representing the corresponding canonical form.
+  """
+  c_can = jnp.concatenate([c, -c, jnp.zeros(h.size)])
+  G_ = jnp.concatenate([G, -G, jnp.eye(h.size)], 1)
+  A_ = jnp.concatenate([A, -A, jnp.zeros([b.size, h.size])], 1)
+  A_can = jnp.concatenate([A_, G_], 0)
+  b_can = jnp.concatenate([b, h])
+  return c_can, A_can, b_can
+
+
+def solve_general(
+  c, A, b, G, h, iters, reflect=True, restarts=True, tau=None, sigma=None
+):
+  r"""Solves a linear program using the restarted Halpern primal-dual hybrid
+  gradient (RHPDHG) method.
+
+  Minimizes :math:`c \cdot x` subject to :math:`A x = b` and :math:`G x \leq h`.
+
+  See also `MPAX <https://github.com/MIT-Lu-Lab/MPAX>`_.
+
+  Args:
+    c: Cost vector.
+    A: Equality constraint matrix.
+    b: Equality constraint vector.
+    G: Inequality constraint matrix.
+    h: Inequality constraint vector.
+    iters: Number of iterations to run the solver for.
+    reflect: Use reflection. See paper for details.
+    restarts: Use restarts. See paper for details.
+    tau: Primal step size. See paper for details.
+    sigma: Dual step size. See paper for details.
+
+  Returns:
+    A dictionary whose entries are as follows:
+      - primal: The final primal solution.
+      - slacks: The final primal slack values.
+      - canonical_result: The result for the canonical program that was used
+        internally to find this solution. See paper for details.
+
+  References:
+    Haihao Lu, Jinwen Yang, `Restarted Halpern PDHG for Linear Programming
+    <https://arxiv.org/abs/2407.16144>`_, 2024
+  """
+  canonical = general_to_canonical(c, A, b, G, h)
+  result = solve_canonical(*canonical, iters, reflect, restarts, tau, sigma)
+  x_pos, x_neg, slacks = jnp.split(result["primal"], [c.size, c.size * 2])
+  return {
+    "primal": x_pos - x_neg,
+    "slacks": slacks,
+    "canonical_result": result,
+  }