This is the first CRAN release of arcopt. The
headline feature is the tri-modal solver shipped in v0.2.0 (cubic /
trust-region fallback / quasi-Newton polish), wrapped with the tiered
control surface documented under ?arcopt (Tier 1) and
?arcopt_advanced_controls (Tier 2). See the v0.2.0 entry
below for the full feature description.
Cubic solver now reuses its eigendecomposition at end-of-iteration detector checks, removing redundant work and trimming roughly 0.3% of total runtime on large-scale benchmarks.
Added benchmarking and profiling scaffolding under
benchmarks/ for identifying C++ port candidates. Excluded
from the package build; available in the GitHub source tree.
This release reduces the user-facing control surface and the
return-list clutter without changing default optimization behavior on
any tested problem. The arcopt(x0, fn, gr, hess) core
signature is unchanged.
The ?arcopt help page now documents only the seven
Tier 1 controls: maxit, gtol_abs,
ftol_abs, xtol_abs, trace,
verbose, and use_qn. All other tunable
parameters are documented on a new
?arcopt_advanced_controls topic, organized by subsystem
(cubic regularization, trust-region fallback, quasi-Newton polish,
quasi-Newton variant). They remain settable via
control = list(...) exactly as before.
New verbose = FALSE Tier 1 control: when
TRUE, prints one line per iteration to the console
(iter, f, ||g||_inf,
rho, regularization scale, mode). Orthogonal to
trace, which still controls the depth of data captured into
result$trace.
arcopt_qn() is no longer publicly exported. It
remains an internal function reachable via
control$use_qn = TRUE from the main arcopt()
entry point. The internal documentation is still browsable via
?arcopt_qn.
The mode-dispatch diagnostic fields previously returned at the
top level of the result list — solver_mode_final,
ridge_switches, radius_final,
qn_polish_switches, qn_polish_reverts, and
hess_evals_at_polish_switch — are now nested under
result$diagnostics. Update downstream code from
result$solver_mode_final to
result$diagnostics$solver_mode_final, etc.
arcopt_qn() runs additionally place
qn_updates, qn_skips,
qn_restarts, and qn_fd_refreshes inside the
same diagnostics sublist (previously top-level).
use_momentum, momentum_tau,
momentum_alpha1, momentum_alpha2 and the
associated bisection-search code (~70 LOC of Gao et al. 2022 ARCm) have
been removed. The mechanism showed mixed empirical results in our test
suite and was off by default. If you need it, recover the v0.1.1
implementation from git history.
cubic_solver is no longer accepted as a documented
control. The internal dispatcher always selects the eigendecomposition
solver (Algorithm 5a). The dispatcher itself is preserved as an internal
extensibility hook for the deferred large-scale Algorithm 5b.
arcopt() now supports an opt-in bidirectional cubic
<-> qn_polish transition (control$qn_polish_enabled,
default FALSE) that replaces the cubic subproblem with a
Wolfe line search along the BFGS-approximated Newton direction once the
iterate has entered the quadratic attraction basin of a strict local
minimum. At the switch, the current exact Hessian \(H_k\) warmstarts the BFGS approximation
\(B_0\); subsequent iterations do not
call hess() unless we revert.
Motivation: near a strict minimum where \(\sigma\) has decayed to its floor, the
cubic penalty is numerically inactive yet arcopt keeps evaluating
hess(). For expensive Hessians (AD via Stan, FD) the
per-iteration cost dominates the polish phase. QN-polish skips these
evaluations and preserves Newton’s local quadratic convergence via the
exact-H warm start plus BFGS’s superlinear updates.
Healthy-basin detector fires when all five signals hold over a sliding window (default width 5): Newton step accepted every iteration, \(\rho_k \ge 0.9\), \(\lambda_{\min}(H_k) \ge 10^{-3}\) (strict well-conditioned PD), superlinear gradient decay (\(\|g_k\|_\infty / \|g_{k-1}\|_\infty \le 0.5\)), and \(\|g_0\|_\infty\) above a convergence floor (\(10^{-8}\)).
Bidirectional: if BFGS drifts non-PD (Cholesky fails), the search
direction is not descent, or the Wolfe line search fails on
qn_polish_max_fail consecutive iterations (default 3), the
solver reverts to cubic mode, recomputes \(H(x_k)\), and enters a cooldown period
(qn_polish_reenter_delay, default 5 cubic iterations)
before qn_polish may re-fire. Prevents ping-ponging while letting the
detector catch the basin signal if cubic re-stabilizes.
New control parameters: qn_polish_enabled,
qn_polish_window, qn_polish_rho,
qn_polish_lambda_min, qn_polish_g_decay,
qn_polish_g_inf_floor, qn_polish_c1,
qn_polish_c2, qn_polish_alpha_max,
qn_polish_max_ls_iter, qn_polish_max_fail,
qn_polish_reenter_delay,
qn_polish_curv_eps.
New return fields: qn_polish_switches (count of
cubic->qn_polish transitions), qn_polish_reverts (count
of reversions), hess_evals_at_polish_switch (Hessian-eval
count at first switch; difference with final
evaluations$hess quantifies savings).
solver_mode_final now includes "qn_polish" as
a possible value.
New internal functions: wolfe_line_search() (Nocedal
& Wright 2006, Algorithms 3.5 + 3.6),
init_healthy_basin_state(),
update_healthy_basin_state(),
check_healthy_basin_trigger().
Empirical: on a smooth non-quadratic convex problem (\(f(x) = \sum (0.5 x_i^2 + x_i^4/12)\), \(n=5\), \(x_0 = 10 \cdot \mathbf{1}\)) polish mode with default thresholds reduces Hessian evaluations from 9 to 6 (33%); with loose thresholds (\(W=3\), \(\rho_{\text{polish}}=0.3\)) from 9 to 4 (56%). On Rosenbrock the detector does not fire under default settings because the banana-valley iterations produce intermittent \(\rho\) dips; Rosenbrock converges as before via the cubic-only path.
arcopt() and arcopt_qn() now include a
one-way cubic-to-trust-region fallback that activates when the
cubic-regularization subproblem stalls in a near-singular
positive-definite regime (“flat ridge”). The switch fires when all four
runtime signals hold for a sliding window: (i) \(\sigma_k\) pinned at its floor, (ii) \(|\rho_k - 1|\) small (model is accurate),
(iii) \(\|g_k\|_\infty\) stagnant
across the window, and (iv) the smallest Hessian eigenvalue strictly
positive but below tr_fallback_tol_ridge. The detector is
an empirical proxy for violation of the local-error-bound (EB) condition
under which cubic regularization is guaranteed to converge quadratically
(Yue, Zhou & So 2018); when all four fire, convergence theory for
pure cubic regularization has no teeth, and a trust-region step-norm
constraint is a principled alternative.
New control parameters (all tunable, sensible defaults):
tr_fallback_enabled (default TRUE) —
one-way cubic->TR switch.tr_fallback_window (default 10),
tr_fallback_tol_ridge (default 1e-3),
tr_fallback_rho_tol (default 0.1),
tr_fallback_grad_decrease_max (default 0.9),
tr_fallback_g_inf_floor (default 1e-6) —
detector parameters.tr_rmax (default 1e6),
tr_eta1 (default 0.25), tr_eta2
(default 0.75), tr_gamma_shrink (default
0.25), tr_gamma_grow (default
2.0) — trust-region update parameters.New return fields: solver_mode_final
("cubic" or "tr"), ridge_switches
(count of cubic->TR transitions, 0 or 1 in v1),
radius_final (final trust-region radius if the solver
switched to TR mode).
New internal functions: solve_tr_eigen()
(trust-region subproblem via eigendecomposition, mirrors
solve_cubic_eigen()), init_flat_ridge_state(),
update_flat_ridge_state(),
check_flat_ridge_trigger() (detector state
machine).
solve_tr_eigen() uses stats::uniroot on
\(\phi(\lambda) = \|s(\lambda)\| - r\)
for the easy-case secular equation rather than plain Newton. Plain
Newton was numerically unstable on ill-conditioned indefinite Hessians
(overshoots into the lower-bound neighborhood where \(\|s(\lambda)\|\) blows up);
uniroot is unconditionally stable given a valid
bracket.
Signal 4 of the flat-ridge detector was broadened from \(0 < \lambda_{\min}(H) < \texttt{tol\_ridge}\) to \(\lambda_{\min}(H) < \texttt{tol\_ridge}\) — the detector now fires on both the classical flat-ridge (small positive \(\lambda_{\min}\)) and stuck-at-indefinite-saddle (negative \(\lambda_{\min}\)) regimes, since cubic regularization loses its grip in both.
The \(\sigma \leftrightarrow r\)
duality between cubic regularization and trust-region step bounds is
formally established in Dussault (2018; ARCq) and Martínez & Raydan
(2017); this release’s adaptive switch between the two subproblem
formulations appears to be novel. See
todo/tr-fallback-hybrid-briefing.md for design and
literature context.
arcopt_qn() now seeds the initial Hessian
approximation \(B_0\) with a one-time
finite-difference Hessian computed from the supplied gradient when no
hess function is provided (previously seeded with the
identity matrix). Costs \(2n\) gradient
evaluations at startup but dramatically improves saddle-escape behavior.
To recover the classical identity-init BFGS convention, pass
hess = function(x) diag(length(x)).
qn_method = "hybrid" now uses state-aware routing
between SR1-first and BFGS-first update priorities. The mode switches
based on (i) the smallest eigenvalue of the current \(B_k\) (Cholesky inertia) and
qn_route_demote_rho (default 0.25): \(\rho\) below this counts as a bad
step.qn_route_promote_rho (default 0.5): \(\rho\) above this counts as a good
step.qn_route_demote_k (default 2): consecutive bad steps in
"pd" mode trigger demotion to
"indefinite".qn_route_promote_k (default 3): consecutive good PD
steps in "indefinite" mode trigger promotion to
"pd".Two FD-Hessian refresh triggers rebuild \(B_k\) from a fresh finite-difference
Hessian when the iteration is stuck in "indefinite"
mode:
qn_fd_refresh_k (default 3): \(\rho_k\) below
qn_route_demote_rho for this many consecutive steps signals
SR1 drift.qn_stuck_refresh_k (default 100): iteration has spent
this many steps in "indefinite" mode without promoting,
indicating a secondary-saddle stall where per-step \(\rho\) is acceptable but global progress
has halted.The result list from arcopt_qn() now includes
qn_fd_refreshes, the number of FD Hessian refreshes
performed during optimization.
Empirical: on a 6-parameter growth-mixture-model symmetric
saddle, qn_method = "hybrid" now reaches a proper local
minimum on 50/50 (100%) of seeds, matching the full-Hessian solvers
nlminb, trust, and arcopt with analytic
Hessian. Identity-seeded BFGS in optim() reaches 29/50
(58%) on the same benchmark.
arcopt() and arcopt_qn() now accept
... arguments that are passed through to fn,
gr, and hess, matching the
optim() convention. Tests cover both direct calls and the
control = list(use_qn = TRUE) dispatch.
DESCRIPTION: removed the “linear equality
constraints” claim; these are now listed in the future-work roadmap.
Added trust and marqLevAlg to
Suggests: to support the comparative benchmarks in the
manuscript and package vignettes.
Removed the limited-memory quasi-Newton methods
("lbfgs", "lsr1", "lhybrid") and
the Woodbury-identity cubic subproblem solver
(R/cubic_woodbury.R). These variants were intended to scale
to larger problems, but the cubic subproblem solver is still
O(n^3) through the eigendecomposition path, so the
limited-memory B_k did not deliver a scalability advantage
in practice. The removal keeps arcopt_qn() focused on the
2-500 parameter regime documented in the package philosophy.
Valid qn_method values are now "bfgs",
"sr1", and "hybrid".
The full limited-memory implementation, including the Woodbury
solver and matching tests, is preserved on the scalable-arc
branch for future work on matrix-free / large-scale ARC (see
design/scalable-arcs.qmd).
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