added moving limits options in Quasi-Newton solver

src/Optimization/hiopAlgFilterIPM.cpp

@@ -1192,7 +1192,12 @@ hiopSolveStatus hiopAlgFilterIPMQuasiNewton::run()
     nlp->runStats.tmSolverInternal.start();
 
     //maximum  step
-    bret = it_curr->fractionToTheBdry(*dir, _tau, _alpha_primal, _alpha_dual); assert(bret);
+    bret = it_curr->fractionToTheBdry(*dir, _tau, _alpha_primal, _alpha_dual);
+    assert(bret);
+    //Step `_alpha_primal` may be reduced when option 'moving_lim_abs' or 'moving_lim_rel' is active.
+    //Return bool indicates if reduction was done.
+    bret = ensure_moving_lims(*it_curr, *dir, _alpha_primal);
+
     double theta = onenorm_pr_curr_ = resid->get_theta(); //at it_curr
     double theta_trial;
     nlp->runStats.tmSolverInternal.stop();
@@ -2496,6 +2501,42 @@ void hiopAlgFilterIPMNewton::outputIteration(int lsStatus, int lsNum, int use_so
   }
 }
 
+bool hiopAlgFilterIPMBase::ensure_moving_lims(const hiopIterate& it, const hiopIterate& dir, double& alpha_pr)
+{
+  auto moving_lim_rel = nlp->options->GetNumeric("moving_lim_rel");
+  if(moving_lim_rel>0) {
+    const auto alpha_pr_in = alpha_pr;
+    alpha_pr = moving_lim_rel * alpha_pr;
+    nlp->log->printf(hovLinesearch,
+                     "Moving lim (relative, [%7.3e]): step reduced: %7.3e -> %7.3e.\n",
+                     moving_lim_rel,
+                     alpha_pr_in,
+                     alpha_pr);
+    return true;
+  }
+
+  auto moving_lim_abs = nlp->options->GetNumeric("moving_lim_abs");
+  if(moving_lim_abs>0) {
+    const auto alpha_pr_in = alpha_pr;
+    auto x_nrm = dir.get_x()->infnorm();
+    auto step_nrm = alpha_pr*x_nrm;
+    if(step_nrm>moving_lim_abs) {
+      alpha_pr = moving_lim_abs / step_nrm;
+      nlp->log->printf(hovLinesearch,
+                       "Moving lim (absolute, [%7.3e]): step reduced: %7.3e -> %7.3e.\n",
+                       moving_lim_abs,
+                       alpha_pr_in,
+                       alpha_pr);      
+    } else {
+      nlp->log->printf(hovLinesearch,
+                       "Moving lim (absolute, [%7.3e]) satisfied, step (norm %7.3e) not reduced.\n",
+                       moving_lim_abs,
+                       step_nrm);    
+    }
+  } // end of moving lim abs 
+  return false;
+}
+
 
 int hiopAlgFilterIPMBase::accept_line_search_conditions(const double theta_curr,
                                                         const double theta_trial,

src/Optimization/hiopAlgFilterIPM.hpp

@@ -183,7 +183,7 @@ class hiopAlgFilterIPMBase {
                                  const bool& elastic_mode_on,
                                  double& mu_new,
                                  double& tau_new);
-
+protected:
   // second order correction
   virtual int apply_second_order_correction(hiopKKTLinSys* kkt,
                                             const double theta_curr,
@@ -198,7 +198,9 @@ class hiopAlgFilterIPMBase {
                                             const double alpha_primal,
                                             bool &grad_phi_dx_computed,
                                             double &grad_phi_dx);
-
+  /// @brief Step-length `alpha_pr` may be reduced when option 'moving_lim_abs' or 'moving_lim_rel' is active.
+  bool ensure_moving_lims(const hiopIterate& it, const hiopIterate& dir, double& alpha_pr);
+public:
   /// @brief do feasibility restoration
   virtual bool apply_feasibility_restoration(hiopKKTLinSys* kkt);
   virtual bool solve_soft_feasibility_restoration(hiopKKTLinSys* kkt);

src/Utils/hiopLogger.cpp

@@ -155,8 +155,14 @@ void hiopLogger::printf_error(hiopOutVerbosity v, const char* format, ...)
   char buff[4096];
   va_list args;
   va_start (args, format);
-  vsnprintf(buff,4096,format, args);
-  fprintf(stderr,"%s",buff);
+  vsnprintf(buff, 4096, format, args);
+  if(v<=hovError) {
+    fprintf(stderr, "ERROR: %s", buff);
+  } else if(v<=hovWarning) {
+    fprintf(stderr, "WARNING: %s", buff);
+  } else {
+    fprintf(stderr, "%s", buff);
+  }
   va_end (args);
 };
 

src/Utils/hiopOptions.cpp

@@ -677,6 +677,7 @@ void hiopOptionsNLP::register_options()
                       0.,
                       1e+7,
                       "Initial value of the initial multiplier of the identity in the secant approximation (default 1.0)");
+  //step length controls
   {
     vector<string> range(2); range[0] = "no"; range[1] = "yes";
     register_str_option("accept_every_trial_step", "no", range, "Disable line-search and take close-to-boundary step");
@@ -688,18 +689,26 @@ void hiopOptionsNLP::register_options()
                         "Minimum step size allowed in line-search (default 1e-16). If step size is less than this number, " 
                         "feasibility restoration problem is activated.");
 
+    auto d_abs = "Max allowed update of the 'x' primal variables after the line-search. Primal step-length may be reduced "
+                 "so that the inf norm of the 'x' update is less or equal with the option's value. Default value: 0 (disabled).";
+    register_num_option("moving_lim_abs", 0, 0.0, 1e+8, d_abs);
+
+    auto d_rel = "Max allowed update of the primal variables relative to fraction-to-boundary (FTB) step. Line-search "
+                 "will be started using the FTB step scaled by the option's value. Default value: 0 (disabled).";
+    register_num_option("moving_lim_rel", 0, 0.0, 1., d_rel);
+
     register_num_option("theta_max_fact",
                         1e+4,
                         0.0,
                         1e+7,
-                        "Maximum constraint violation (theta_max) is scaled by this fact before using in the fileter line-search "
+                        "Maximum constraint violation (theta_max) is scaled by this factor before using in the filter line-search "
                         "algorithm (default 1e+4). (eqn (21) in Filt-IPM paper)");
 
     register_num_option("theta_min_fact",
                         1e-4,
                         0.0,
                         1e+7,
-                        "Minimum constraint violation (theta_min) is scaled by this fact before using in the fileter line-search "
+                        "Minimum constraint violation (theta_min) is scaled by this factor before using in the filter line-search "
                         "algorithm (default 1e-4). (eqn (21) in Filt-IPM paper)");
   }
   {
@@ -1532,6 +1541,15 @@ void hiopOptionsNLP::ensure_consistence()
       set_val("fact_acceptor", "inertia_free");
     }
   }
+
+  if(0 != GetNumeric("moving_lim_rel") * GetNumeric("moving_lim_abs")) {
+    if(is_user_defined("moving_lim_rel") || is_user_defined("moving_lim_abs")) {
+      log_printf(hovWarning,
+                 "Options 'moving_lim_rel' and 'moving_lim_rel' are both active, which is not supported. "
+                 "Option 'moving_lim_rel' will be disabled.\n");
+    }
+    set_val("moving_lim_rel", 0.);
+  }
 }
 
 /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////