scs 0.2.0 → 0.3.0

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data/CHANGELOG.md

@@ -1,3 +1,20 @@
+## 0.3.0 (2021-10-05)
+
+- Updated SCS to 3.0.0
+
+## 0.2.3 (2021-09-09)
+
+- Updated SCS to 2.1.4
+
+## 0.2.2 (2020-07-21)
+
+- Updated SCS to 2.1.2
+
+## 0.2.1 (2019-11-29)
+
+- Fixed installation on Windows
+- Removed dependency on rake for installation
+
 ## 0.2.0 (2019-11-16)
 
 - First release

data/LICENSE.txt

@@ -1,22 +1,22 @@
-Copyright (c) 2019 Andrew Kane
+The MIT License (MIT)
 
-MIT License
+Copyright (c) 2012 Brendan O'Donoghue (bodonoghue85@gmail.com)
+Copyright (c) 2019-2021 Andrew Kane
 
-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:
+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 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.
+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

@@ -4,6 +4,8 @@
 
 :fire: Supports many different [problem types](https://www.cvxpy.org/tutorial/advanced/index.html#choosing-a-solver)
 
+[![Build Status](https://github.com/ankane/scs/workflows/build/badge.svg?branch=master)](https://github.com/ankane/scs/actions)
+
 ## Installation
 
 Add this line to your application’s Gemfile:
@@ -12,6 +14,8 @@ Add this line to your application’s Gemfile:
 gem 'scs'
 ```
 
+If installation fails, you may need to install [dependencies](#dependencies).
+
 ## Getting Started
 
 Prep the problem
@@ -25,7 +29,7 @@ And solve it
 
 ```ruby
 solver = SCS::Solver.new
-result = solver.solve(data, cone)
+solver.solve(data, cone)
 ```
 
 ## Settings
@@ -35,16 +39,21 @@ Default values shown
 ```ruby
 solver.solve(data, cone, {
   normalize: true,            # heuristic data rescaling
-  scale: 1.0,                 # if normalized, rescales by this factor
-  rho_x: 1e-3,                # x equality constraint scaling
-  max_iters: 5000,            # maximum iterations to take
-  eps: 1e-5,                  # convergence tolerance
+  scale: 0.1,                 # if normalized, rescales by this factor
+  adaptive_scale: true,       # heuristically adapt dual scale through the solve
+  rho_x: 1e-6,                # x equality constraint scaling
+  max_iters: 1e5,             # maximum iterations to take
+  eps_abs: 1e-4,              # absolute feasibility tolerance
+  eps_rel: 1e-4,              # relative feasibility tolerance
+  eps_infeas: 1e-7,           # infeasibility tolerance
   alpha: 1.5,                 # relaxation parameter
-  cg_rate: 2.0,               # for indirect, tolerance goes down like (1/iter)^cg_rate
+  time_limit_secs: nil,       # time limit for solve run in seconds
   verbose: true,              # write out progress
   warm_start: false,          # warm start
   acceleration_lookback: 10,  # memory for acceleration
-  write_data_filename: nil    # filename to write data if set
+  acceleration_interval: 10,  # iterations to run Anderson acceleration
+  write_data_filename: nil,   # filename to write data if set
+  log_csv_filename: nil       # write csv logs of various quantities
 })
 ```
 
@@ -56,6 +65,16 @@ SCS comes with two solvers: a direct solver which uses a cached LDL factorizatio
 SCS::Solver.new(indirect: true)
 ```
 
+## Dependencies
+
+BLAS and LAPACK are required for SCS.
+
+```sh
+sudo apt-get install libblas-dev liblapack-dev
+```
+
+On Heroku, use the [heroku-apt-buildpack](https://github.com/heroku/heroku-buildpack-apt).
+
 ## Resources
 
 - [Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding](https://web.stanford.edu/~boyd/papers/scs.html)
@@ -73,10 +92,10 @@ Everyone is encouraged to help improve this project. Here are a few ways you can
 - Write, clarify, or fix documentation
 - Suggest or add new features
 
-To get started with development and testing:
+To get started with development:
 
 ```sh
-git clone https://github.com/ankane/scs.git
+git clone --recursive https://github.com/ankane/scs.git
 cd scs
 bundle install
 bundle exec rake compile

data/ext/scs/extconf.rb

@@ -0,0 +1,29 @@
+require "mkmf"
+
+def run(command)
+  puts ">> #{command}"
+  unless system(command)
+    raise "Command failed"
+  end
+end
+
+def inreplace(file, pattern, replacement)
+  contents = File.read(file)
+  File.write(file, contents.gsub(pattern, replacement))
+end
+
+arch = RbConfig::CONFIG["arch"]
+puts "Arch: #{arch}"
+
+scs = File.expand_path("../../vendor/scs", __dir__)
+Dir.chdir(scs) do
+  case arch
+  when /mingw/
+    inreplace("scs.mk", "USE_LAPACK = 1", "USE_LAPACK = 0")
+    run "ridk exec make"
+  else
+    run "make"
+  end
+end
+
+File.write("Makefile", dummy_makefile("scs").join)

data/lib/scs/ffi.rb

@@ -41,14 +41,17 @@ module SCS
           "scs_int m",
           "scs_int n",
           "ScsMatrix *a",
+          "ScsMatrix *p",
           "scs_float *b",
           "scs_float *c",
-          "ScsSettings *stgs"
         ]
 
         m::Cone = struct [
-          "scs_int f",
+          "scs_int z",
           "scs_int l",
+          "scs_float *bu",
+          "scs_float *bl",
+          "scs_int *bsize",
           "scs_int *q",
           "scs_int qsize",
           "scs_int *s",
@@ -67,31 +70,45 @@ module SCS
 
         m::Info = struct [
           "scs_int iter",
-          "char status[32]",
+          "char status[128]",
           "scs_int status_val",
+          "scs_int scale_updates",
           "scs_float pobj",
           "scs_float dobj",
           "scs_float res_pri",
           "scs_float res_dual",
+          "scs_float gap",
           "scs_float res_infeas",
-          "scs_float res_unbdd",
-          "scs_float rel_gap",
+          "scs_float res_unbdd_a",
+          "scs_float res_unbdd_p",
           "scs_float setup_time",
-          "scs_float solve_time"
+          "scs_float solve_time",
+          "scs_float scale",
+          "scs_float comp_slack",
+          "scs_int rejected_accel_steps",
+          "scs_int accepted_accel_steps",
+          "scs_float lin_sys_time",
+          "scs_float cone_time",
+          "scs_float accel_time"
         ]
 
         m::Settings = struct [
           "scs_int normalize",
           "scs_float scale",
+          "scs_int adaptive_scale",
           "scs_float rho_x",
           "scs_int max_iters",
-          "scs_float eps",
+          "scs_float eps_abs",
+          "scs_float eps_rel",
+          "scs_float eps_infeas",
           "scs_float alpha",
-          "scs_float cg_rate",
+          "scs_float time_limit_secs",
           "scs_int verbose",
           "scs_int warm_start",
           "scs_int acceleration_lookback",
-          "const char* write_data_filename"
+          "scs_int acceleration_interval",
+          "const char* write_data_filename",
+          "const char *log_csv_filename"
         ]
 
         m::Matrix = struct [
@@ -103,14 +120,14 @@ module SCS
         ]
 
         # scs.h
-        extern "ScsWork *scs_init(const ScsData *d, const ScsCone *k, ScsInfo *info)"
-        extern "scs_int scs_solve(ScsWork *w, const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsInfo *info)"
+        extern "ScsWork *scs_init(const ScsData *d, const ScsCone *k, const ScsSettings *stgs)"
+        extern "scs_int scs_solve(ScsWork *w, ScsSolution *sol, ScsInfo *info)"
         extern "void scs_finish(ScsWork *w)"
-        extern "scs_int scs(const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsInfo *info)"
+        extern "scs_int scs(const ScsData *d, const ScsCone *k, const ScsSettings *stgs, ScsSolution *sol, ScsInfo *info)"
         extern "const char *scs_version(void)"
 
         # utils.h
-        extern "void scs_set_default_settings(ScsData *d)"
+        extern "void scs_set_default_settings(ScsSettings *stgs)"
       end
     end
   end

data/lib/scs/solver.rb

@@ -6,13 +6,13 @@ module SCS
 
     def solve(data, cone, **settings)
       cdata = create_data(data)
-      set_settings(cdata, settings)
+      settings = create_settings(settings)
       ccone = create_cone(cone)
 
       solution = calloc(ffi::Solution.size) # alloc clear memory
       info = ffi::Info.malloc
 
-      ffi.scs(cdata, ccone, solution, info)
+      ffi.scs(cdata, ccone, settings, solution, info)
 
       solution = ffi::Solution.new(solution)
       x = read_float_array(solution.x, cdata.n)
@@ -26,15 +26,24 @@ module SCS
         iter: info.iter,
         status: read_string(info.status),
         status_val: info.status_val,
+        scale_updates: info.scale_updates,
         pobj: info.pobj,
         dobj: info.dobj,
         res_pri: info.res_pri,
         res_dual: info.res_dual,
+        gap: info.gap,
         res_infeas: info.res_infeas,
-        res_unbdd: info.res_unbdd,
-        rel_gap: info.rel_gap,
+        res_unbdd_a: info.res_unbdd_a,
+        res_unbdd_p: info.res_unbdd_p,
         setup_time: info.setup_time,
-        solve_time: info.solve_time
+        solve_time: info.solve_time,
+        scale: info.scale,
+        comp_slack: info.comp_slack,
+        rejected_accel_steps: info.rejected_accel_steps,
+        accepted_accel_steps: info.accepted_accel_steps,
+        lin_sys_time: info.lin_sys_time,
+        cone_time: info.cone_time,
+        accel_time: info.accel_time
       }
     end
 
@@ -44,11 +53,6 @@ module SCS
       raise Error, "Error code #{ret}" if ret != 0
     end
 
-    def read_string(char_ptr)
-      idx = char_ptr.index { |v| v == 0 }
-      char_ptr[0, idx].map(&:chr).join
-    end
-
     def float_array(arr)
       # SCS float = double
       Fiddle::Pointer[arr.to_a.pack("d*")]
@@ -119,15 +123,30 @@ module SCS
       cdata.m = m
       cdata.n = n
       cdata.a = csc_matrix(data[:a])
+
+      if data[:p]
+        raise ArgumentError, "Bad p shape" if shape(data[:p]) != [n, n]
+        cdata.p = csc_matrix(data[:p])
+      end
+
+      raise ArgumentError, "Bad b size" if data[:b].to_a.size != m
       cdata.b = float_array(data[:b])
+
+      raise ArgumentError, "Bad c size" if data[:c].to_a.size != n
       cdata.c = float_array(data[:c])
       cdata
     end
 
     def create_cone(cone)
       ccone = ffi::Cone.malloc
-      ccone.f = cone[:f].to_i
+      ccone.z = cone[:z].to_i
       ccone.l = cone[:l].to_i
+      ccone.bu = float_array(cone[:bu])
+      ccone.bl = float_array(cone[:bl])
+      if cone[:bu].to_a.size != cone[:bl].to_a.size
+        raise ArgumentError, "Expected bu and bl size to match"
+      end
+      ccone.bsize = cone[:bu].to_a.size
       ccone.q = int_array(cone[:q])
       ccone.qsize = cone[:q].to_a.size
       ccone.s = int_array(cone[:s])
@@ -139,10 +158,9 @@ module SCS
       ccone
     end
 
-    def set_settings(data, settings)
+    def create_settings(settings)
       set = ffi::Settings.malloc
-      data.stgs = set
-      ffi.scs_set_default_settings(data)
+      ffi.scs_set_default_settings(set)
 
       # hack for setting members with []=
       # safer than send("#{k}=", v)

data/lib/scs/version.rb

@@ -1,3 +1,3 @@
 module SCS
-  VERSION = "0.2.0"
+  VERSION = "0.3.0"
 end

data/vendor/scs/CITATION.cff

@@ -0,0 +1,39 @@
+cff-version: 1.2.0
+message: "If you use this software, please cite it as below."
+authors:
+- family-names: "O'Donoghue"
+  given-names: "Brendan"
+- family-names: "Chu"
+  given-names: "Eric"
+- family-names: "Parikh"
+  given-names: "Neal"
+- family-names: "Boyd"
+  given-names: "Stephen"
+title: "SCS: Spltting Conic Solver"
+version: 3.0.0
+date-released: 2021
+url: "https://github.com/cvxgrp/scs"
+
+# Original SCS paper:
+preferred-citation:
+  type: article
+  authors:
+  - family-names: "O'Donoghue"
+    given-names: "Brendan"
+  - family-names: "Chu"
+    given-names: "Eric"
+  - family-names: "Parikh"
+    given-names: "Neal"
+  - family-names: "Boyd"
+    given-names: "Stephen"
+  journal: "Journal of Optimization Theory and Applications"
+  month: 6
+  start: 1042  # Start pages
+  end: 1068  # End pages
+  title: "Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding"
+  issue: 3
+  volume: 169
+  year: 2016
+  doi: 10.1007/s10957-016-0892-3
+  url: https://dx.doi.org/10.1007/s10957-016-0892-3
+