osqp 0.1.0

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data/CHANGELOG.md

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+## 0.1.0 (2019-11-16)
+
+- First release

data/LICENSE.txt

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+Copyright (c) 2019 Andrew Kane
+
+MIT License
+
+Permission is hereby granted, free of charge, to any person obtaining
+a copy of this software and associated documentation files (the
+"Software"), to deal in the Software without restriction, including
+without limitation the rights to use, copy, modify, merge, publish,
+distribute, sublicense, and/or sell copies of the Software, and to
+permit persons to whom the Software is furnished to do so, subject to
+the following conditions:
+
+The above copyright notice and this permission notice shall be
+included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

data/README.md

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+# OSQP
+
+The [OSQP](https://osqp.org/) (Operator Splitting Quadratic Program) solver for Ruby
+
+## Installation
+
+Add this line to your application’s Gemfile:
+
+```ruby
+gem 'osqp'
+```
+
+## Getting Started
+
+Prep the problem - here’s how it should be [setup](https://osqp.org/docs/examples/setup-and-solve.html)
+
+```ruby
+p = [[4, 1], [0, 2]]
+q = [1, 1]
+a = [[1, 1], [1, 0], [0, 1]]
+l = [1, 0, 0]
+u = [1, 0.7, 0.7]
+```
+
+And solve it
+
+```ruby
+solver = OSQP::Solver.new
+solver.solve(p, q, a, l, u, alpha: 1.0)
+```
+
+All of [these settings](https://osqp.org/docs/interfaces/solver_settings.html#solver-settings) are supported.
+
+Warm start
+
+```ruby
+solver.warm_start(x, y)
+```
+
+## Data
+
+Arrays and matrices can be Ruby arrays
+
+```ruby
+[[1, 2, 3], [4, 5, 6]]
+```
+
+Or a Numo NArrays
+
+```ruby
+Numo::DFloat.new(3, 2).seq
+```
+
+## Resources
+
+- [OSQP: An Operator Splitting Solver for Quadratic Programs](https://arxiv.org/pdf/1711.08013.pdf)
+- [Benchmarks](https://github.com/oxfordcontrol/osqp_benchmarks)
+- [Status values and errors](https://osqp.org/docs/interfaces/status_values.html)
+
+## Credits
+
+This library is modeled after the OSQP [Python API](https://osqp.org/docs/interfaces/python.html).
+
+## History
+
+View the [changelog](https://github.com/ankane/osqp/blob/master/CHANGELOG.md)
+
+## Contributing
+
+Everyone is encouraged to help improve this project. Here are a few ways you can help:
+
+- [Report bugs](https://github.com/ankane/osqp/issues)
+- Fix bugs and [submit pull requests](https://github.com/ankane/osqp/pulls)
+- Write, clarify, or fix documentation
+- Suggest or add new features
+
+To get started with development and testing:
+
+```sh
+git clone https://github.com/ankane/osqp.git
+cd osqp
+bundle install
+bundle exec rake test
+```

data/lib/osqp.rb

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+# stdlib
+require "fiddle/import"
+
+# modules
+require "osqp/ffi"
+require "osqp/solver"
+require "osqp/version"
+
+module OSQP
+  class Error < StandardError; end
+
+  def self.lib_version
+    FFI.osqp_version.to_s
+  end
+end

data/lib/osqp/ffi.rb

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+module FFI
+  extend Fiddle::Importer
+
+  lib =
+    if Gem.win_platform?
+      "libosqp.dll"
+    elsif RbConfig::CONFIG["host_os"] =~ /darwin/i
+      "libosqp.dylib"
+    else
+      "libosqp.so"
+    end
+
+  dlload File.expand_path("../../vendor/#{lib}", __dir__)
+
+  typealias "c_float", "double"
+  typealias "c_int", "long long"
+  typealias "enum", "int"
+
+  Data = struct [
+    "c_int n",
+    "c_int m",
+    "csc *p",
+    "csc *a",
+    "c_float *q",
+    "c_float *l",
+    "c_float *u"
+  ]
+
+  Settings = struct [
+    "c_float rho",
+    "c_float sigma",
+    "c_int scaling",
+    "c_int adaptive_rho",
+    "c_int adaptive_rho_interval",
+    "c_float adaptive_rho_tolerance",
+    "c_float adaptive_rho_fraction",
+    "c_int max_iter",
+    "c_float eps_abs",
+    "c_float eps_rel",
+    "c_float eps_prim_inf",
+    "c_float eps_dual_inf",
+    "c_float alpha",
+    "enum linsys_solver_type linsys_solver",
+    "c_float delta",
+    "c_int polish",
+    "c_int polish_refine_iter",
+    "c_int verbose",
+    "c_int scaled_termination",
+    "c_int check_termination",
+    "c_int warm_start",
+    "c_float time_limit"
+  ]
+
+  Info = struct [
+    "c_int iter",
+    "char status[32]",
+    "c_int status_val",
+    "c_int status_polish",
+    "c_float obj_val",
+    "c_float pri_res",
+    "c_float dua_res",
+    "c_float setup_time",
+    "c_float solve_time",
+    "c_float update_time",
+    "c_float polish_time",
+    "c_float run_time",
+    "c_int   rho_updates",
+    "c_float rho_estimate"
+  ]
+
+  Workspace = struct [
+    "OSQPData *data",
+    "LinSysSolver *linsys_solver",
+    "OSQPPolish *pol",
+    "c_float *rho_vec",
+    "c_float *rho_inv_vec",
+    "c_int *constr_type",
+    "c_float *x",
+    "c_float *y",
+    "c_float *z",
+    "c_float *xz_tilde",
+    "c_float *x_prev",
+    "c_float *z_prev",
+    "c_float *Ax",
+    "c_float *Px",
+    "c_float *Aty",
+    "c_float *delta_y",
+    "c_float *Atdelta_y",
+    "c_float *delta_x",
+    "c_float *Pdelta_x",
+    "c_float *Adelta_x",
+    "c_float *D_temp",
+    "c_float *D_temp_A",
+    "c_float *E_temp",
+    "OSQPSettings *settings",
+    "OSQPScaling  *scaling",
+    "OSQPSolution *solution",
+    "OSQPInfo *info",
+    "OSQPTimer *timer",
+    "c_int first_run",
+    "c_int clear_update_time",
+    "c_int rho_update_from_solve",
+    "c_int summary_printed"
+  ]
+
+  # cs.h
+  extern "csc* csc_matrix(c_int m, c_int n, c_int nzmax, c_float *x, c_int *i, c_int *p)"
+
+  # osqp.h
+  extern "void osqp_set_default_settings(OSQPSettings *settings)"
+  extern "c_int osqp_setup(OSQPWorkspace** workp, OSQPData* data, OSQPSettings* settings)"
+  extern "c_int osqp_solve(OSQPWorkspace *work)"
+  extern "c_int osqp_cleanup(OSQPWorkspace *work)"
+  extern "c_int osqp_update_lin_cost(OSQPWorkspace *work, c_float *q_new)"
+  extern "c_int osqp_update_bounds(OSQPWorkspace *work, c_float *l_new, c_float *u_new)"
+  extern "c_int osqp_update_lower_bound(OSQPWorkspace *work, c_float *l_new)"
+  extern "c_int osqp_update_upper_bound(OSQPWorkspace *work, c_float *u_new)"
+  extern "c_int osqp_warm_start(OSQPWorkspace *work, c_float *x, c_float *y)"
+  extern "c_int osqp_warm_start_x(OSQPWorkspace *work, c_float *x)"
+  extern "c_int osqp_warm_start_y(OSQPWorkspace *work, c_float *y)"
+  extern "c_int osqp_update_P(OSQPWorkspace *work, c_float *Px_new, c_int *Px_new_idx, c_int P_new_n)"
+  extern "c_int osqp_update_A(OSQPWorkspace *work, c_float *Ax_new, c_int *Ax_new_idx, c_int A_new_n)"
+  extern "c_int osqp_update_P_A(OSQPWorkspace *work, c_float *Px_new, c_int *Px_new_idx, c_int P_new_n, c_float *Ax_new, c_int *Ax_new_idx, c_int A_new_n)"
+  extern "c_int osqp_update_rho(OSQPWorkspace *work, c_float rho_new)"
+  extern "c_int osqp_update_max_iter(OSQPWorkspace *work, c_int max_iter_new)"
+  extern "c_int osqp_update_eps_abs(OSQPWorkspace *work, c_float eps_abs_new)"
+  extern "c_int osqp_update_eps_rel(OSQPWorkspace *work, c_float eps_rel_new)"
+  extern "c_int osqp_update_eps_prim_inf(OSQPWorkspace *work, c_float eps_prim_inf_new)"
+  extern "c_int osqp_update_eps_dual_inf(OSQPWorkspace *work, c_float eps_dual_inf_new)"
+  extern "c_int osqp_update_alpha(OSQPWorkspace *work, c_float alpha_new)"
+  extern "c_int osqp_update_warm_start(OSQPWorkspace *work, c_int warm_start_new)"
+  extern "c_int osqp_update_scaled_termination(OSQPWorkspace *work, c_int scaled_termination_new)"
+  extern "c_int osqp_update_check_termination(OSQPWorkspace *work, c_int check_termination_new)"
+  extern "c_int osqp_update_delta(OSQPWorkspace *work, c_float delta_new)"
+  extern "c_int osqp_update_polish(OSQPWorkspace *work, c_int polish_new)"
+  extern "c_int osqp_update_polish_refine_iter(OSQPWorkspace *work, c_int polish_refine_iter_new)"
+  extern "c_int osqp_update_verbose(OSQPWorkspace *work, c_int verbose_new)"
+  extern "c_int osqp_update_time_limit(OSQPWorkspace *work, c_float time_limit_new)"
+
+  # util.h
+  extern "const char* osqp_version(void)"
+end

data/lib/osqp/solver.rb

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+module OSQP
+  class Solver
+    def setup(p, q, a, l, u, **settings)
+      # settings
+      set = FFI::Settings.malloc
+      FFI.osqp_set_default_settings(set)
+
+      # hack for setting members with []=
+      # safer than send("#{k}=", v)
+      entity = set.to_ptr
+      settings.each do |k, v|
+        entity[k.to_s] = settings_value(v)
+      end
+
+      m, n = shape(a)
+
+      # data
+      data = FFI::Data.malloc
+      data.n = n
+      data.m = m
+      data.p = csc_matrix(p)
+      data.q = float_array(q)
+      data.a = csc_matrix(a)
+      data.l = float_array(l)
+      data.u = float_array(u)
+
+      # work
+      work = Fiddle::Pointer.malloc(Fiddle::SIZEOF_VOIDP)
+      check_result FFI.osqp_setup(work.ref, data, set)
+
+      @work = work
+    end
+
+    def solve(*args, **settings)
+      setup(*args, **settings) if args.any? || settings.any?
+
+      check_result FFI.osqp_solve(@work)
+      workspace = FFI::Workspace.new(@work)
+
+      # data
+      data = FFI::Data.new(workspace.data)
+      x = read_float_array(workspace.x, data.n)
+      y = read_float_array(workspace.y, data.m)
+
+      # info
+      info = FFI::Info.new(workspace.info)
+      status = info.status
+      idx = status.index { |v| v == 0 }
+
+      # TODO prim_inf_cert and dual_inf_cert
+      {
+        x: x,
+        y: y,
+        iter: info.iter,
+        status: status[0, idx].map(&:chr).join,
+        status_val: info.status_val,
+        status_polish: info.status_polish,
+        obj_val: info.obj_val,
+        pri_res: info.pri_res,
+        dua_res: info.dua_res,
+        setup_time: info.setup_time,
+        solve_time: info.solve_time,
+        update_time: info.update_time,
+        polish_time: info.polish_time,
+        run_time: info.run_time,
+        rho_estimate: info.rho_estimate,
+        rho_updates: info.rho_updates
+      }
+    end
+
+    def warm_start(x, y)
+      # check dimensions
+      workspace = FFI::Workspace.new(@work)
+      data = FFI::Data.new(workspace.data)
+      raise Error, "Expected x to be size #{data.n}, got #{x.size}" if x && x.size != data.n
+      raise Error, "Expected y to be size #{data.m}, got #{y.size}" if y && y.size != data.m
+
+      if x && y
+        check_result FFI.osqp_warm_start(@work, float_array(x), float_array(y))
+      elsif x
+        check_result FFI.osqp_warm_start_x(@work, float_array(x))
+      elsif y
+        check_result FFI.osqp_warm_start_y(@work, float_array(y))
+      else
+        raise Error, "Must set x or y"
+      end
+    end
+
+    private
+
+    def check_result(ret)
+      if ret != 0
+        # keep similar to official messages to make it easier to search online
+        # https://osqp.org/docs/interfaces/status_values.html
+        message =
+          case ret
+          when 1
+            "Data validation error"
+          when 2
+            "Settings validation error"
+          when 3
+            "Linear system solver loading error"
+          when 4
+            "Linear system solver initialization error"
+          when 5
+            "Non-convex problem"
+          when 6
+            "Memory allocation error"
+          when 7
+            "Workspace not initialized"
+          else
+            "Error code #{ret}"
+          end
+
+        raise Error, message
+      end
+    end
+
+    def float_array(arr)
+      # OSQP float = double
+      Fiddle::Pointer[arr.to_a.pack("d*")]
+    end
+
+    def int_array(arr)
+      # OSQP int = long long
+      Fiddle::Pointer[arr.to_a.pack("q*")]
+    end
+
+    def read_float_array(ptr, size)
+      # OSQP float = double
+      ptr[0, size * Fiddle::SIZEOF_DOUBLE].unpack("d*")
+    end
+
+    # TODO add support sparse matrices
+    # TODO convert to upper triangle like Python
+    def csc_matrix(mtx)
+      mtx = mtx.to_a
+
+      m, n = shape(mtx)
+
+      cx = []
+      ci = []
+      cp = []
+
+      # CSC format
+      # https://www.gormanalysis.com/blog/sparse-matrix-storage-formats/
+      cp << 0
+      n.times do |i|
+        mtx.each_with_index do |row, j|
+          if row[i] != 0
+            cx << row[i]
+            ci << j
+          end
+        end
+        # cumulative column values
+        cp << cx.size
+      end
+
+      nnz = cx.size
+      cx = float_array(cx)
+      ci = int_array(ci)
+      cp = int_array(cp)
+
+      FFI.csc_matrix(m, n, nnz, cx, ci, cp)
+    end
+
+    def shape(a)
+      if defined?(Matrix) && a.is_a?(Matrix)
+        [a.row_count, a.column_count]
+      elsif defined?(Numo::NArray) && a.is_a?(Numo::NArray)
+        a.shape
+      else
+        [a.size, a.first.size]
+      end
+    end
+
+    # handle booleans
+    def settings_value(v)
+      case v
+      when true
+        1
+      when false
+        0
+      else
+        v
+      end
+    end
+  end
+end

data/lib/osqp/version.rb

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+module OSQP
+  VERSION = "0.1.0"
+end

data/vendor/LICENSE

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+      whether in tort (including negligence), contract, or otherwise,
+      unless required by applicable law (such as deliberate and grossly
+      negligent acts) or agreed to in writing, shall any Contributor be
+      liable to You for damages, including any direct, indirect, special,
+      incidental, or consequential damages of any character arising as a
+      result of this License or out of the use or inability to use the
+      Work (including but not limited to damages for loss of goodwill,
+      work stoppage, computer failure or malfunction, or any and all
+      other commercial damages or losses), even if such Contributor
+      has been advised of the possibility of such damages.
+
+   9. Accepting Warranty or Additional Liability. While redistributing
+      the Work or Derivative Works thereof, You may choose to offer,
+      and charge a fee for, acceptance of support, warranty, indemnity,
+      or other liability obligations and/or rights consistent with this
+      License. However, in accepting such obligations, You may act only
+      on Your own behalf and on Your sole responsibility, not on behalf
+      of any other Contributor, and only if You agree to indemnify,
+      defend, and hold each Contributor harmless for any liability
+      incurred by, or claims asserted against, such Contributor by reason
+      of your accepting any such warranty or additional liability.
+
+   END OF TERMS AND CONDITIONS
+
+   APPENDIX: How to apply the Apache License to your work.
+
+      To apply the Apache License to your work, attach the following
+      boilerplate notice, with the fields enclosed by brackets "{}"
+      replaced with your own identifying information. (Don't include
+      the brackets!)  The text should be enclosed in the appropriate
+      comment syntax for the file format. We also recommend that a
+      file or class name and description of purpose be included on the
+      same "printed page" as the copyright notice for easier
+      identification within third-party archives.
+
+   Copyright 2019 Bartolomeo Stellato, Goran Banjac, Paul Goulart, Stephen Boyd
+
+   Licensed under the Apache License, Version 2.0 (the "License");
+   you may not use this file except in compliance with the License.
+   You may obtain a copy of the License at
+
+       http://www.apache.org/licenses/LICENSE-2.0
+
+   Unless required by applicable law or agreed to in writing, software
+   distributed under the License is distributed on an "AS IS" BASIS,
+   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+   See the License for the specific language governing permissions and
+   limitations under the License.

data/vendor/NOTICE

@@ -0,0 +1,14 @@
+OSQP
+Copyright (c) 2019 Bartolomeo Stellato, Goran Banjac, Paul Goulart, Stephen Boyd
+
+This product includes software developed at Stanford University and at the University of Oxford.
+
+
+The following external modules are included in this software library
+
+QDLDL
+Copyright (c) 2018, Paul Goulart, Bartolomeo Stellato, Goran Banjac.
+
+AMD
+Copyright (c) 1996-2015, Timothy A. Davis, Patrick R. Amestoy, and Iain S. Duff.
+

metadata

@@ -0,0 +1,110 @@
+--- !ruby/object:Gem::Specification
+name: osqp
+version: !ruby/object:Gem::Version
+  version: 0.1.0
+platform: ruby
+authors:
+- Andrew Kane
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2019-11-16 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: minitest
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '5'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '5'
+- !ruby/object:Gem::Dependency
+  name: numo-narray
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+description: 
+email: andrew@chartkick.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- CHANGELOG.md
+- LICENSE.txt
+- README.md
+- lib/osqp.rb
+- lib/osqp/ffi.rb
+- lib/osqp/solver.rb
+- lib/osqp/version.rb
+- vendor/LICENSE
+- vendor/NOTICE
+- vendor/libosqp.dll
+- vendor/libosqp.dylib
+- vendor/libosqp.so
+homepage: https://github.com/ankane/osqp
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '2.4'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.0.6
+signing_key: 
+specification_version: 4
+summary: OSQP (Operator Splitting Quadratic Program) solver for Ruby
+test_files: []