Merge pull request #391 from bknueven/lagrangian_subgradient

add subgradient option to lagrangian

Author: bknueven

Diff for: doc/src/secretmenu.rst

@@ -48,3 +48,11 @@ hub definition dictionary is called ``hub_dict`` you would add
    hub_dict["opt_kwargs"]["PHoptions"]["initial_proximal_cut_count"] = 4
 
 before passing ``hub_dict`` to ``spin_the_wheel``.
+
+
+subgradient_while_waiting
+-------------------------
+
+The Lagrangian spoke has an additional argument, `subgradient_while_waiting`,
+which will compute subgradient steps while it is waiting on new W's from the
+hub.

Diff for: mpisppy/cylinders/lagrangian_bounder.py

@@ -58,6 +58,7 @@ def main(self):
         if hasattr(self.opt, 'rho_setter'):
             rho_setter = self.opt.rho_setter
         extensions = self.opt.extensions is not None
+        verbose = self.opt.options['verbose']
 
         self.lagrangian_prep()
 
@@ -86,3 +87,10 @@ def main(self):
                 if extensions:
                     self.opt.extobject.enditer_after_sync()
                 self.dk_iter += 1
+            elif self.opt.options.get("subgradient_while_waiting", False):
+                # compute a subgradient step
+                self.opt.Compute_Xbar(verbose)
+                self.opt.Update_W(verbose)
+                bound = self.lagrangian()
+                if bound is not None:
+                    self.bound = bound