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8 changes: 5 additions & 3 deletions doc/src/grad_rho.rst
Original file line number Diff line number Diff line change
@@ -1,6 +1,8 @@
.. _grad_rho:

Gradient-based Rho
==================

Gradient-based rho documentation has been consolidated into
:ref:`rho_setting`. See the "Gradient-based Rho" and "Dynamic Rho Updates"
sections there.
For the user-facing options that drive gradient-based rho, see the
"Gradient-based Rho" and "Dynamic Rho Updates" sections of
:ref:`rho_setting`.
40 changes: 36 additions & 4 deletions doc/src/rho_setting.rst
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Expand Up @@ -41,6 +41,12 @@ Uses the separation between scenario solutions to set rho. Enabled with:

--sep-rho

.. note::
``--sep-rho`` is scheduled for deprecation; its functionality is
expected to be subsumed into ``--grad-rho``. Instantiating ``SepRho``
now emits a ``DeprecationWarning``. See
`issue #673 <https://github.com/Pyomo/mpi-sppy/issues/673>`_.

Coefficient-based Rho (``--coeff-rho``)
----------------------------------------

Expand Down Expand Up @@ -76,19 +82,45 @@ Sets rho based on reduced costs from LP relaxations. Enabled with:

Like ``--sensi-rho``, this will use existing rho values if available.

.. note::
``--reduced-costs-rho`` is scheduled for deprecation; reduced-cost
rho has not been demonstrated to be effective in practice.
Instantiating ``ReducedCostsRho`` now emits a ``DeprecationWarning``.
See `issue #673 <https://github.com/Pyomo/mpi-sppy/issues/673>`_.

Gradient-based Rho (``--grad-rho``)
------------------------------------

Uses gradient information to set rho values. Enabled with:
Uses per-variable gradient information from the scenario subproblems
to set rho. Enabled with:

.. code-block:: bash

--grad-rho

A detailed example is in ``examples.farmer.CI.farmer_rho_demo.py``.

The ``--grad-rho-multiplier`` option provides a cumulative multiplier
applied when rho is set or updated.
See :ref:`grad_rho` for the algorithmic description (forthcoming).

Options:

- ``--grad-rho-multiplier`` (default ``1.0``): scalar multiplier
applied to every computed rho.
- ``--grad-order-stat`` (default ``0.5``): order statistic across
scenarios used to combine per-scenario rho values into one. ``0``
selects the min, ``1`` the max, ``0.5`` the mean; values in
``(0, 0.5)`` interpolate min-to-mean and values in ``(0.5, 1)``
interpolate mean-to-max.
- ``--grad-rho-relative-bound`` (default ``100``): floor on the
primal-residual denominator relative to the consensus value (xbar).
Prevents tiny ``|x − xbar|`` from inflating rho when a variable is
near consensus.
- ``--eval-at-xhat`` (default off): when an xhat-producing spoke is
present (e.g. ``--xhatshuffle``), evaluate the gradient at the best
xhat seen so far instead of at the latest subproblem iterate values.
Falls back to the iterate values until the first xhat arrives.
- ``--indep-denom`` (default off): use a single
probability-weighted, MPI-Allreduced denominator across all
scenarios instead of a per-scenario denominator.

Dynamic Rho Updates
-------------------
Expand Down
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