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Puzzling behavior with constrained optimization #252

Answered by Algue-Rythme
vivien000 asked this question in Q&A
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Good catch. I see two unrelated problems here.

Problem 1

Currently, projection_affine_set relies on EqualityConstrainedQP which is known to be instable in some circumstances - specially in float32 with large magnitude on w_init as it is the case here: the value of the objective is above 1e4 initially.

I see one easy hot fix : switch to float64 by adding jax.config.update("jax_enable_x64", True) at the beginning of the program.

Ideally, one would want to control hyper-parameters tol and refine_regularization=1e-3 in call to EqualityConstrainedQP solver within projection_affine_set : see here

But currently you need to re-implement projection_affine_set yourself to add those modifications.

I…

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