[WIP] Nearest Extreme Point Oracle variant

.gitignore

@@ -9,3 +9,4 @@ test/bug.jl
 before.pdf
 after.pdf
 *.pdf
+prof.txt

examples/largeScale.jl

@@ -1,8 +1,8 @@
 import FrankWolfe
 using LinearAlgebra
 
-n = Int(1e9)
-k = 1000
+n = Int(1e5)
+k = 10000
 
 xpi = rand(n);
 total = sum(xpi);
@@ -16,7 +16,7 @@ end
 # better for memory consumption as we do coordinate-wise ops
 
 function cf(x, xp)
-    return norm(x .- xp)^2
+    return LinearAlgebra.norm(x .- xp)^2
 end
 
 function cgrad!(storage, x, xp)
@@ -33,6 +33,8 @@ FrankWolfe.benchmark_oracles(x -> cf(x, xp), (str, x) -> cgrad!(str, x, xp), lmo
     (str, x) -> cgrad!(str, x, xp),
     lmo,
     x0,
+    nep=false,
+    L=2,
     max_iteration=k,
     line_search=FrankWolfe.agnostic,
     print_iter=k / 10,

src/FrankWolfe.jl

@@ -56,6 +56,7 @@ function fw(
     verbose=false,
     linesearch_tol=1e-7,
     emphasis::Emphasis=blas,
+    nep=false,
     gradient=nothing
 )
     function print_header(data)
@@ -103,7 +104,7 @@ function fw(
     trajData = []
     time_start = time_ns()
 
-    if (line_search === shortstep || line_search === adaptive) && L == Inf
+    if (line_search === shortstep || line_search === adaptive  || nep === true ) && L == Inf
         println("FATAL: Lipschitz constant not set. Prepare to blow up spectacularly.")
     end
 
@@ -146,7 +147,7 @@ function fw(
             @emphasis(emphasis, gradient = (momentum * gradient) + (1 - momentum) * gtemp)
         end
         first_iter = false
-
+        
         v = compute_extreme_point(lmo, gradient)
 
         # go easy on the memory - only compute if really needed
@@ -165,6 +166,14 @@ function fw(
                 (t, primal, primal - dual_gap, dual_gap, (time_ns() - time_start) / 1.0e9),
             )
         end
+
+        # build-in NEP here
+        if nep === true
+            # argmin_v v^T(1-2y)
+            # y = x_t - 1/L * (t+1)/2 * gradient
+            @. gradient = 1 - 2 * (x - 1 / (L * 2 / (t+1)) * gradient)
+            v = compute_extreme_point(lmo, gradient)
+        end
 
         if line_search === agnostic
             gamma = 2 // (2 + t)