use recursive MMA as fallback in case of problems with dual solution

darcs-hash:20080824200820-c8de0-9a6ae641efe8267ea62a60c77a5b5a421733770c.gz

diff --git a/mma/mma.c b/mma/mma.c
index 19b9f1b73e442beb533406b7712252c876d25710..aae87ebad683157a125dba4a28659b9d06085c5a 100644 (file)
--- a/mma/mma.c
+++ b/mma/mma.c
@@ -200,11 +200,22 @@ nlopt_result mma_minimize(int n, nlopt_func f, void *f_data,
 
               /* solve dual problem */
               dd.rho = rho; dd.count = 0;
+         dual_solution:
               reti = nlopt_minimize(
                    dual_alg, m, dual_func, &dd,
                    dual_lb, dual_ub, y, &min_dual,
                    -HUGE_VAL, dual_tolrel,0., 0.,NULL, dual_maxeval,
                    stop->maxtime - (nlopt_seconds() - stop->start));
+              if (reti == NLOPT_FAILURE && dual_alg != NLOPT_LD_MMA) {
+                   /* LBFGS etc. converge quickly but are sometimes
+                      very finicky if there are any rounding errors in
+                      the gradient, etcetera; if it fails, try again
+                      with MMA called recursively for the dual */
+                   dual_alg = NLOPT_LD_MMA;
+                   if (mma_verbose)
+                        printf("MMA: switching to recursive MMA for dual\n");
+                   goto dual_solution;
+              }
               if (reti < 0 || reti == NLOPT_MAXTIME_REACHED) {
                    ret = reti;
                    goto done;