Augmented Lagrangian Method: Rust implementation

[alphaville]

Ready to be merged into dev/alm/main --- total number of unit tests in Rust (without examples): 96

About this Pull Request

This is a pull request to merge dev/alm/rust into dev/alm/main. The "main" branch is for developments related to the augmented Lagrangian method in the whole OpEn, while dev/alm/rust is for developments in Rust (only the core solver, not code generation). There will be further pull requests to merge other branches into dev/alm/main.

The main objective is the development of an ALM solver in Rust.

Important TODOs

• [x] :warning: Once we merge the other PRs into master, we need to merge master into dev/alm.
• :warning: ~I deactivated the Python tests for now; we need to re-enabled them later~ (let us do it before we merge alm/rust/main into master; I have not modified the Python code or the old Penalty Method code in Rust on this branch)

Steps towards complete Rust implementation

Rust implementation (basic steps):

• [x] Define problem
• [x] Define ALM/PM cache
• [x] Define AlmOptimizer interface
• [x] Project on Y
• [x] Solve inner problem using PANOC
• [x] Update Lagrange multiplier vector
• [x] Compute quantities for termination criteria
• [x] Termination criteria
• [x] Gradual decrease of tolerance
• [x] Update penalty parameter
• Unit tests of the components of the algorithm
  • [x] compute_alm_infeasibility
  • [x] compute_pm_infeasibility
  • [x] update_lagrange_multipliers
  • [x] project_on_set_y
  • [x] solve_inner_problem
  • [x] is_exit_criterion_satisfied
  • [x] is_penalty_stall_criterion
  • [x] update_penalty_parameter
  • [x] update_inner_akkt_tolerance
  • [x] final_cache_update
• [x] Outer loop
• Return solver status
  • [x] solve time
  • [x] total inner iterations
  • [x] number of outer iterations
  • [x] Lagrange multipliers
  • [x] last penalty parameter
  • [x] last norm of FPR for the inner problem
• [x] Check whether there is available time
• Numerical unit tests
  • [x] basic numerical test (just F1)
  • [x] generic mock framework
  • [x] test with both F1 and F2
  • [x] test without F1 and F2
• [x] remove #![allow(dead_code)]

[alphaville]

I did a lot of small notes which you can use as TODOs :) I think we should add the crate level attribute ![deny(missing_docs)] so the compiler complains for us

I added a #![deny(missing_docs)] in alm/mod.rs. It would be a good idea to do that project-wide (but in a different branch). I'll create an issue.

[korken89]

Thanks for fixes!