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Update kkt_errors! #21

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6d1f495
update dual objective to use `lᵀ|y|⁺ - uᵀ|y|⁻` convention
klamike Feb 13, 2026
e0c8c22
[skip ci] typo
klamike Feb 13, 2026
f6133bf
store `c - Aᵀy` in `scratch.x`
klamike Feb 13, 2026
da12642
rename `scratch.r` to `scratch.z`
klamike Feb 13, 2026
9549c0c
finish rename
klamike Feb 13, 2026
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2 changes: 1 addition & 1 deletion src/algorithms/pdhg.jl
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Expand Up @@ -47,7 +47,7 @@ function initialize(
η = fixed_stepsize(milp, algo.step_size)
ω = one(η)
step_sizes = StepSizes(; η, ω)
scratch = Scratch(; x = similar(sol.x), y = similar(sol.y), r = similar(sol.x))
scratch = Scratch(sol)
stats = ConvergenceStats(T; starting_time)
state = PDHGState(; sol, sol_last, step_sizes, scratch, stats)
return state
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2 changes: 1 addition & 1 deletion src/algorithms/pdlp.jl
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Expand Up @@ -55,7 +55,7 @@ function initialize(
η = fixed_stepsize(milp, algo.step_size)
ω = primal_weight_init(milp, algo.step_size)
step_sizes = StepSizes(; η, ω)
scratch = Scratch(; x = similar(sol.x), y = similar(sol.y), r = similar(sol.x))
scratch = Scratch(sol)
iteration = IterationCounter(0, 0, 0)
restart_stats = RestartStats(T)
stats = ConvergenceStats(T; starting_time)
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22 changes: 14 additions & 8 deletions src/components/errors.jl
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Expand Up @@ -71,31 +71,37 @@ function kkt_errors!(
(; c, lv, uv, A, At, lc, uc, D1, D2) = milp

A_x = mul!(scratch.y, A, x)
At_y = mul!(scratch.x, At, y)
r = @. scratch.r = proj_multiplier(c - At_y, lv, uv)
c_At_y = c - mul!(scratch.x, At, y)
z = @. scratch.z = proj_multiplier(c_At_y, lv, uv)

primal_diff = @. scratch.y = inv(D1.diag) * (A_x - proj_box(A_x, lc, uc))
primal = norm(primal_diff)

rescaled_combined_bounds = @. scratch.y = inv(D1.diag) * combine(lc, uc)
primal_scale = one(T) + norm(rescaled_combined_bounds)

dual_diff = @. scratch.x = inv(D2.diag) * (c - At_y - r)
dual_diff = @. scratch.x = inv(D2.diag) * (c_At_y - z)
dual = norm(dual_diff)

rescaled_obj = @. scratch.x = inv(D2.diag) * c
dual_scale = one(T) + norm(rescaled_obj)

# dual objective: lᵀ|y|⁺ - uᵀ|y|⁻ + lᵥᵀ|z|⁺ - uᵥᵀ|z|⁻
# We reformulate to ∑ⱼ (l⋅|y|⁺ - u⋅|y|⁻)ⱼ + ∑ᵢ (lᵥ⋅|z|⁺ - uᵥ⋅|z|⁻)ᵢ
# where pc = (l⋅|y|⁺ - u⋅|y|⁻) and pv = (lᵥ⋅|z|⁺ - uᵥ⋅|z|⁻)
pc = @. scratch.y = (
safeprod_left(uc, positive_part(-y)) - safeprod_left(lc, negative_part(-y))
safeprod_left(lc, positive_part(y)) - safeprod_left(uc, negative_part(y))
)
pv = @. scratch.r = (
safeprod_left(uv, positive_part(-r)) - safeprod_left(lv, negative_part(-r))
pv = @. scratch.z = (
safeprod_left(lv, positive_part(z)) - safeprod_left(uv, negative_part(z))
)
pc_sum = sum(pc)
pv_sum = sum(pv)
cx = dot(c, x)
dobj = pc_sum + pv_sum

gap = abs(cx + pc_sum + pv_sum)
gap_scale = one(T) + abs(pc_sum + pv_sum) + abs(cx)
gap = abs(cx - dobj)
gap_scale = one(T) + abs(dobj) + abs(cx)

err = KKTErrors(;
primal,
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2 changes: 1 addition & 1 deletion src/components/scratch.jl
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Expand Up @@ -4,7 +4,7 @@
"dual scratch (length `ncons`)"
y::V
"dual scratch (length `nvar`)"
r::V
z::V
end

Scratch(sol::PrimalDualSolution) = Scratch(similar(sol.x), similar(sol.y), similar(sol.x))
6 changes: 3 additions & 3 deletions test/components/errors.jl
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Expand Up @@ -7,7 +7,7 @@ function p(y, l, u)
y⁻ = CoolPDLP.negative_part.(y)
u_noinf = CoolPDLP.safe.(u)
l_noinf = CoolPDLP.safe.(l)
return dot(y⁺, u_noinf) - dot(y⁻, l_noinf)
return dot(y⁺, l_noinf) - dot(y⁻, u_noinf)
end

milp, sol = CoolPDLP.random_milp_and_sol(100, 200, 0.4)
Expand All @@ -27,10 +27,10 @@ err_p = CoolPDLP.kkt_errors!(scratch, sol_p, milp_p)
@testset "Correct KKT errors" begin
@test err.primal ≈ norm(A * x - CoolPDLP.proj_box.(A * x, lc, uc))
@test err.dual ≈ norm(c - At * y - r)
@test err.gap ≈ abs(dot(c, x) + p(-y, lc, uc) + p(-r, lv, uv))
@test err.gap ≈ abs(dot(c, x) - (p(y, lc, uc) + p(r, lv, uv)))
@test err.primal_scale ≈ 1 + norm(CoolPDLP.combine.(lc, uc))
@test err.dual_scale ≈ 1 + norm(c)
@test err.gap_scale ≈ 1 + abs(dot(c, x)) + abs(p(-y, lc, uc) + p(-r, lv, uv))
@test err.gap_scale ≈ 1 + abs(dot(c, x)) + abs(p(y, lc, uc) + p(r, lv, uv))
end

@testset "Invariance by preconditioning" begin
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