scs 0.2.2 → 0.3.2

data/vendor/scs/src/ctrlc.c

@@ -22,9 +22,13 @@ void scs_start_interrupt_listener(void) {
   istate = (int)utSetInterruptEnabled(true);
 }
 
-void scs_end_interrupt_listener(void) { utSetInterruptEnabled((bool)istate); }
+void scs_end_interrupt_listener(void) {
+  utSetInterruptEnabled((bool)istate);
+}
 
-int scs_is_interrupted(void) { return (int)utIsInterruptPending(); }
+int scs_is_interrupted(void) {
+  return (int)utIsInterruptPending();
+}
 
 #elif (defined _WIN32 || _WIN64 || defined _WINDLL)
 #include <windows.h>
@@ -47,14 +51,18 @@ void scs_end_interrupt_listener(void) {
   SetConsoleCtrlHandler(scs_handle_ctrlc, FALSE);
 }
 
-int scs_is_interrupted(void) { return int_detected; }
+int scs_is_interrupted(void) {
+  return int_detected;
+}
 
 #else /* Unix */
 
 #include <signal.h>
 static int int_detected;
 struct sigaction oact;
-static void scs_handle_ctrlc(int dummy) { int_detected = dummy ? dummy : -1; }
+static void scs_handle_ctrlc(int dummy) {
+  int_detected = dummy ? dummy : -1;
+}
 
 void scs_start_interrupt_listener(void) {
   struct sigaction act;
@@ -70,7 +78,9 @@ void scs_end_interrupt_listener(void) {
   sigaction(SIGINT, &oact, &act);
 }
 
-int scs_is_interrupted(void) { return int_detected; }
+int scs_is_interrupted(void) {
+  return int_detected;
+}
 
 #endif /* END IF MATLAB_MEX_FILE / WIN32 */
 

data/vendor/scs/src/linalg.c

@@ -1,17 +1,40 @@
 #include "linalg.h"
+#include "scs_blas.h"
 #include <math.h>
 
-/* x = b*a */
-void SCS(set_as_scaled_array)(scs_float *x, const scs_float *a,
-                              const scs_float b, scs_int len) {
+/* these routines do not have BLAS implementations (that I can find at least) */
+
+scs_float SCS(norm_diff)(const scs_float *a, const scs_float *b, scs_int len) {
+  scs_float nm_diff = 0.0, tmp;
   scs_int i;
-  for (i = 0; i < len; ++i) x[i] = b * a[i];
+  for (i = 0; i < len; ++i) {
+    tmp = (a[i] - b[i]);
+    nm_diff += tmp * tmp;
+  }
+  return SQRTF(nm_diff);
 }
 
+scs_float SCS(norm_inf_diff)(const scs_float *a, const scs_float *b,
+                             scs_int len) {
+  scs_float tmp, max = 0.0;
+  scs_int i;
+  for (i = 0; i < len; ++i) {
+    tmp = ABS(a[i] - b[i]);
+    if (tmp > max) {
+      max = tmp;
+    }
+  }
+  return max;
+}
+
+#ifndef USE_LAPACK
+/* Self-rolled basic linear algebra routines */
+
 /* a *= b */
 void SCS(scale_array)(scs_float *a, const scs_float b, scs_int len) {
   scs_int i;
-  for (i = 0; i < len; ++i) a[i] *= b;
+  for (i = 0; i < len; ++i)
+    a[i] *= b;
 }
 
 /* x'*y */
@@ -35,14 +58,14 @@ scs_float SCS(norm_sq)(const scs_float *v, scs_int len) {
 }
 
 /* ||v||_2 */
-scs_float SCS(norm)(const scs_float *v, scs_int len) {
+scs_float SCS(norm_2)(const scs_float *v, scs_int len) {
   return SQRTF(SCS(norm_sq)(v, len));
 }
 
-scs_float SCS(norm_inf)(const scs_float *a, scs_int l) {
+scs_float SCS(norm_inf)(const scs_float *a, scs_int len) {
   scs_float tmp, max = 0.0;
   scs_int i;
-  for (i = 0; i < l; ++i) {
+  for (i = 0; i < len; ++i) {
     tmp = ABS(a[i]);
     if (tmp > max) {
       max = tmp;
@@ -51,7 +74,7 @@ scs_float SCS(norm_inf)(const scs_float *a, scs_int l) {
   return max;
 }
 
-/* saxpy a += sc*b */
+/* axpy a += sc*b */
 void SCS(add_scaled_array)(scs_float *a, const scs_float *b, scs_int n,
                            const scs_float sc) {
   scs_int i;
@@ -60,25 +83,83 @@ void SCS(add_scaled_array)(scs_float *a, const scs_float *b, scs_int n,
   }
 }
 
-scs_float SCS(norm_diff)(const scs_float *a, const scs_float *b, scs_int l) {
-  scs_float nm_diff = 0.0, tmp;
+scs_float SCS(mean)(const scs_float *x, scs_int n) {
   scs_int i;
-  for (i = 0; i < l; ++i) {
-    tmp = (a[i] - b[i]);
-    nm_diff += tmp * tmp;
+  scs_float mean = 0.;
+  for (i = 0; i < n; ++i) {
+    mean += x[i];
   }
-  return SQRTF(nm_diff);
+  return mean / n;
 }
 
-scs_float SCS(norm_inf_diff)(const scs_float *a, const scs_float *b,
-                             scs_int l) {
-  scs_float tmp, max = 0.0;
-  scs_int i;
-  for (i = 0; i < l; ++i) {
-    tmp = ABS(a[i] - b[i]);
-    if (tmp > max) {
-      max = tmp;
-    }
-  }
-  return max;
+#else
+/* If we have BLAS / LAPACK we may as well use them */
+
+#ifdef __cplusplus
+extern "C" {
+#endif
+
+scs_float BLAS(nrm2)(blas_int *n, const scs_float *x, blas_int *incx);
+scs_float BLAS(dot)(const blas_int *n, const scs_float *x, const blas_int *incx,
+                    const scs_float *y, const blas_int *incy);
+scs_float BLAS(lange)(const char *norm, const blas_int *m, const blas_int *n,
+                      const scs_float *a, blas_int *lda, scs_float *work);
+void BLAS(axpy)(blas_int *n, const scs_float *a, const scs_float *x,
+                blas_int *incx, scs_float *y, blas_int *incy);
+void BLAS(scal)(const blas_int *n, const scs_float *sa, scs_float *sx,
+                const blas_int *incx);
+
+#ifdef __cplusplus
+}
+#endif
+
+/* a *= b */
+void SCS(scale_array)(scs_float *a, const scs_float b, scs_int len) {
+  blas_int bone = 1;
+  blas_int blen = (blas_int)len;
+  BLAS(scal)(&blen, &b, a, &bone);
+}
+
+/* x'*y */
+scs_float SCS(dot)(const scs_float *x, const scs_float *y, scs_int len) {
+  blas_int bone = 1;
+  blas_int blen = (blas_int)len;
+  return BLAS(dot)(&blen, x, &bone, y, &bone);
 }
+
+/* ||v||_2^2 */
+scs_float SCS(norm_sq)(const scs_float *v, scs_int len) {
+  scs_float nrm = SCS(norm_2)(v, len);
+  return nrm * nrm;
+}
+
+/* ||v||_2 */
+scs_float SCS(norm_2)(const scs_float *v, scs_int len) {
+  blas_int bone = 1;
+  blas_int blen = (blas_int)len;
+  return BLAS(nrm2)(&blen, v, &bone);
+}
+
+scs_float SCS(norm_inf)(const scs_float *a, scs_int len) {
+  blas_int bone = 1;
+  blas_int blen = (blas_int)len;
+  return BLAS(lange)("Max", &blen, &bone, a, &bone, SCS_NULL);
+}
+
+/* axpy a += sc*b */
+void SCS(add_scaled_array)(scs_float *a, const scs_float *b, scs_int len,
+                           const scs_float sc) {
+  blas_int bone = 1;
+  blas_int blen = (blas_int)len;
+  BLAS(axpy)(&blen, &sc, b, &bone, a, &bone);
+}
+
+scs_float SCS(mean)(const scs_float *x, scs_int n) {
+  blas_int bone = 1;
+  blas_int bzero = 0;
+  blas_int blen = (blas_int)n;
+  scs_float y = 1.0;
+  return BLAS(dot)(&blen, x, &bone, &y, &bzero) / n;
+}
+
+#endif

data/vendor/scs/src/normalize.c

@@ -1,93 +1,51 @@
 #include "normalize.h"
+
 #include "linalg.h"
 #include "scs.h"
 
-#define MIN_SCALE (1e-6)
-
-void SCS(normalize_b_c)(ScsWork *w) {
+/* needed for normalizing the warm-start */
+void SCS(normalize_sol)(ScsScaling *scal, ScsSolution *sol) {
   scs_int i;
-  scs_float nm, *D = w->scal->D, *E = w->scal->E, *b = w->b, *c = w->c;
-  /* scale b */
-  for (i = 0; i < w->m; ++i) {
-    b[i] /= D[i];
+  scs_float *D = scal->D;
+  scs_float *E = scal->E;
+  for (i = 0; i < scal->n; ++i) {
+    sol->x[i] /= (E[i] / scal->dual_scale);
+  }
+  for (i = 0; i < scal->m; ++i) {
+    sol->y[i] /= (D[i] / scal->primal_scale);
   }
-  nm = SCS(norm)(b, w->m);
-  w->sc_b = w->scal->mean_norm_col_a / MAX(nm, MIN_SCALE);
-  /* scale c */
-  for (i = 0; i < w->n; ++i) {
-    c[i] /= E[i];
+  for (i = 0; i < scal->m; ++i) {
+    sol->s[i] *= (D[i] * scal->dual_scale);
   }
-  nm = SCS(norm)(c, w->n);
-  w->sc_c = w->scal->mean_norm_row_a / MAX(nm, MIN_SCALE);
-  SCS(scale_array)(b, w->sc_b * w->stgs->scale, w->m);
-  SCS(scale_array)(c, w->sc_c * w->stgs->scale, w->n);
 }
 
-void SCS(calc_scaled_resids)(ScsWork *w, ScsResiduals *r) {
-  scs_float *D = w->scal->D;
-  scs_float *E = w->scal->E;
-  scs_float *u = w->u;
-  scs_float *u_t = w->u_t;
-  scs_float *u_prev = w->u_prev;
-  scs_float tmp;
-  scs_int i, n = w->n, m = w->m;
-
-  r->res_pri = 0;
-  for (i = 0; i < n; ++i) {
-    tmp = (u[i] - u_t[i]) / (E[i] * w->sc_b);
-    r->res_pri += tmp * tmp;
+void SCS(un_normalize_sol)(ScsScaling *scal, ScsSolution *sol) {
+  scs_int i;
+  scs_float *D = scal->D;
+  scs_float *E = scal->E;
+  for (i = 0; i < scal->n; ++i) {
+    sol->x[i] *= (E[i] / scal->dual_scale);
   }
-  for (i = 0; i < m; ++i) {
-    tmp = (u[i + n] - u_t[i + n]) / (D[i] * w->sc_c);
-    r->res_pri += tmp * tmp;
+  for (i = 0; i < scal->m; ++i) {
+    sol->y[i] *= (D[i] / scal->primal_scale);
   }
-  tmp = u[n + m] - u_t[n + m];
-  r->res_pri += tmp * tmp;
-  r->res_pri = sqrt(r->res_pri);
-
-  r->res_dual = 0;
-  for (i = 0; i < n; ++i) {
-    tmp = (u[i] - u_prev[i]) * E[i] / w->sc_b;
-    r->res_dual += tmp * tmp;
+  for (i = 0; i < scal->m; ++i) {
+    sol->s[i] /= (D[i] * scal->dual_scale);
   }
-  for (i = 0; i < m; ++i) {
-    tmp = (u[i + n] - u_prev[i + n]) * D[i] / w->sc_c;
-    r->res_dual += tmp * tmp;
-  }
-  tmp = u[n + m] - u_t[n + m];
-  r->res_dual += tmp * tmp;
-  r->res_dual = sqrt(r->res_dual);
 }
 
-void SCS(normalize_warm_start)(ScsWork *w) {
+void SCS(un_normalize_primal)(ScsScaling *scal, scs_float *r) {
   scs_int i;
-  scs_float *D = w->scal->D;
-  scs_float *E = w->scal->E;
-  scs_float *x = w->u;
-  scs_float *y = &(w->u[w->n]);
-  scs_float *s = &(w->v[w->n]);
-  for (i = 0; i < w->n; ++i) {
-    x[i] *= (E[i] * w->sc_b);
-  }
-  for (i = 0; i < w->m; ++i) {
-    y[i] *= (D[i] * w->sc_c);
-  }
-  for (i = 0; i < w->m; ++i) {
-    s[i] /= (D[i] / (w->sc_b * w->stgs->scale));
+  scs_float *D = scal->D;
+  for (i = 0; i < scal->m; ++i) {
+    r[i] /= (D[i] * scal->dual_scale);
   }
 }
 
-void SCS(un_normalize_sol)(ScsWork *w, ScsSolution *sol) {
+void SCS(un_normalize_dual)(ScsScaling *scal, scs_float *r) {
   scs_int i;
-  scs_float *D = w->scal->D;
-  scs_float *E = w->scal->E;
-  for (i = 0; i < w->n; ++i) {
-    sol->x[i] /= (E[i] * w->sc_b);
-  }
-  for (i = 0; i < w->m; ++i) {
-    sol->y[i] /= (D[i] * w->sc_c);
-  }
-  for (i = 0; i < w->m; ++i) {
-    sol->s[i] *= D[i] / (w->sc_b * w->stgs->scale);
+  scs_float *E = scal->E;
+  for (i = 0; i < scal->n; ++i) {
+    r[i] /= (E[i] * scal->primal_scale);
   }
 }