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Explain how to set up SDPLRPlus to be closer to SDPLR #58

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blegat merged 1 commit into from
Aug 1, 2025
Merged

Explain how to set up SDPLRPlus to be closer to SDPLR #58

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14 changes: 11 additions & 3 deletions examples/holy.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -121,15 +121,22 @@ solve_time(lr)
# and exploit the fact that the lagrangian is a degree-4 polynomial to streamline
# the linesearch.
# We need to use `square_scalars` as SDPLRPlus only supports free variables.
# The default value of SDPLR for `rho_f` is `1e-5`. In SDPLRPlus
# the corresponding setting is `ptol` so we set it `1e-5` as well.
# SDPLRPlus also checks the duality gap to automatically update the rank.
# We can disable this by setting `objtol` to `Inf`
# Since we set the `objtol` to `Inf`, no need to find a trace bound to set
# to `prior_trace_bound`

import SDPLRPlus
set_optimizer(cl, dual_optimizer(LRO.Optimizer))
set_attribute(cl, "solver", LRO.BurerMonteiro.Solver)
set_attribute(cl, "sub_solver", SDPLRPlus.Solver)
set_attribute(cl, "ranks", [15])
set_attribute(cl, "maxmajoriter", 5)
set_attribute(lr, "ptol", 1e-5)
set_attribute(lr, "objtol", Inf)
set_attribute(lr, "maxmajoriter", 100)
set_attribute(cl, "square_scalars", true)
set_attribute(cl, "prior_trace_bound", 10.0)
optimize!(cl)

# We can speed it up with sparse low-rank constraints:
Expand All @@ -138,9 +145,10 @@ set_optimizer(lr, dual_optimizer(LRO.Optimizer))
set_attribute(lr, "solver", LRO.BurerMonteiro.Solver)
set_attribute(lr, "sub_solver", SDPLRPlus.Solver)
set_attribute(lr, "ranks", [15])
set_attribute(lr, "ptol", 1e-5)
set_attribute(lr, "objtol", Inf)
set_attribute(lr, "maxmajoriter", 100)
set_attribute(lr, "square_scalars", true)
set_attribute(lr, "prior_trace_bound", 10.0)
optimize!(lr)
termination_status(lr)
objective_value(lr)
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