scs 0.2.2 → 0.3.2
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- checksums.yaml +4 -4
- data/CHANGELOG.md +16 -0
- data/LICENSE.txt +18 -18
- data/README.md +19 -14
- data/lib/scs/ffi.rb +31 -20
- data/lib/scs/solver.rb +32 -9
- data/lib/scs/version.rb +1 -1
- data/vendor/scs/CITATION.cff +39 -0
- data/vendor/scs/CMakeLists.txt +320 -0
- data/vendor/scs/Makefile +32 -23
- data/vendor/scs/README.md +9 -218
- data/vendor/scs/include/aa.h +67 -23
- data/vendor/scs/include/cones.h +22 -19
- data/vendor/scs/include/glbopts.h +107 -79
- data/vendor/scs/include/linalg.h +3 -4
- data/vendor/scs/include/linsys.h +58 -44
- data/vendor/scs/include/normalize.h +6 -5
- data/vendor/scs/include/rw.h +8 -2
- data/vendor/scs/include/scs.h +257 -141
- data/vendor/scs/include/scs_types.h +34 -0
- data/vendor/scs/include/scs_work.h +83 -0
- data/vendor/scs/include/util.h +3 -15
- data/vendor/scs/linsys/cpu/direct/private.c +241 -232
- data/vendor/scs/linsys/cpu/direct/private.h +13 -7
- data/vendor/scs/linsys/cpu/indirect/private.c +194 -118
- data/vendor/scs/linsys/cpu/indirect/private.h +7 -4
- data/vendor/scs/linsys/csparse.c +87 -0
- data/vendor/scs/linsys/csparse.h +34 -0
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.c +6 -6
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.h +6 -1
- data/vendor/scs/linsys/external/amd/amd_internal.h +1 -1
- data/vendor/scs/linsys/external/amd/amd_order.c +5 -5
- data/vendor/scs/linsys/external/qdldl/changes +2 -0
- data/vendor/scs/linsys/external/qdldl/qdldl.c +29 -46
- data/vendor/scs/linsys/external/qdldl/qdldl.h +33 -41
- data/vendor/scs/linsys/external/qdldl/qdldl_types.h +11 -3
- data/vendor/scs/linsys/gpu/gpu.c +58 -21
- data/vendor/scs/linsys/gpu/gpu.h +70 -35
- data/vendor/scs/linsys/gpu/indirect/private.c +394 -157
- data/vendor/scs/linsys/gpu/indirect/private.h +27 -12
- data/vendor/scs/linsys/scs_matrix.c +478 -0
- data/vendor/scs/linsys/scs_matrix.h +70 -0
- data/vendor/scs/scs.mk +14 -10
- data/vendor/scs/src/aa.c +394 -110
- data/vendor/scs/src/cones.c +497 -359
- data/vendor/scs/src/ctrlc.c +15 -5
- data/vendor/scs/src/linalg.c +107 -26
- data/vendor/scs/src/normalize.c +30 -72
- data/vendor/scs/src/rw.c +202 -27
- data/vendor/scs/src/scs.c +769 -571
- data/vendor/scs/src/scs_version.c +11 -3
- data/vendor/scs/src/util.c +37 -106
- data/vendor/scs/test/minunit.h +22 -8
- data/vendor/scs/test/problem_utils.h +180 -25
- data/vendor/scs/test/problems/degenerate.h +130 -0
- data/vendor/scs/test/problems/hs21_tiny_qp.h +124 -0
- data/vendor/scs/test/problems/hs21_tiny_qp_rw.h +116 -0
- data/vendor/scs/test/problems/infeasible_tiny_qp.h +100 -0
- data/vendor/scs/test/problems/qafiro_tiny_qp.h +199 -0
- data/vendor/scs/test/problems/random_prob +0 -0
- data/vendor/scs/test/problems/random_prob.h +45 -0
- data/vendor/scs/test/problems/rob_gauss_cov_est.h +188 -31
- data/vendor/scs/test/problems/small_lp.h +14 -13
- data/vendor/scs/test/problems/small_qp.h +352 -0
- data/vendor/scs/test/problems/test_validation.h +43 -0
- data/vendor/scs/test/problems/unbounded_tiny_qp.h +82 -0
- data/vendor/scs/test/random_socp_prob.c +54 -53
- data/vendor/scs/test/rng.h +109 -0
- data/vendor/scs/test/run_from_file.c +20 -11
- data/vendor/scs/test/run_tests.c +35 -2
- metadata +29 -98
- data/vendor/scs/linsys/amatrix.c +0 -305
- data/vendor/scs/linsys/amatrix.h +0 -36
- data/vendor/scs/linsys/amatrix.o +0 -0
- data/vendor/scs/linsys/cpu/direct/private.o +0 -0
- data/vendor/scs/linsys/cpu/indirect/private.o +0 -0
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_1.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_2.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_aat.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_control.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_defaults.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_dump.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_global.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_info.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_order.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_post_tree.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_postorder.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_preprocess.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_valid.o +0 -0
- data/vendor/scs/linsys/external/qdldl/qdldl.o +0 -0
- data/vendor/scs/src/aa.o +0 -0
- data/vendor/scs/src/cones.o +0 -0
- data/vendor/scs/src/ctrlc.o +0 -0
- data/vendor/scs/src/linalg.o +0 -0
- data/vendor/scs/src/normalize.o +0 -0
- data/vendor/scs/src/rw.o +0 -0
- data/vendor/scs/src/scs.o +0 -0
- data/vendor/scs/src/scs_version.o +0 -0
- data/vendor/scs/src/util.o +0 -0
- data/vendor/scs/test/data/small_random_socp +0 -0
- data/vendor/scs/test/problems/small_random_socp.h +0 -33
- data/vendor/scs/test/run_tests +0 -2
data/vendor/scs/src/scs.c
CHANGED
@@ -1,5 +1,4 @@
|
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1
1
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#include "scs.h"
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2
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-
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3
2
|
#include "aa.h"
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4
3
|
#include "ctrlc.h"
|
5
4
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#include "glbopts.h"
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@@ -7,88 +6,105 @@
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|
7
6
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#include "linsys.h"
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8
7
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#include "normalize.h"
|
9
8
|
#include "rw.h"
|
9
|
+
#include "scs_matrix.h"
|
10
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+
#include "scs_work.h"
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10
11
|
#include "util.h"
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11
12
|
|
12
|
-
SCS(timer) global_timer;
|
13
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-
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14
13
|
/* printing header */
|
15
14
|
static const char *HEADER[] = {
|
16
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-
"
|
17
|
-
"
|
15
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+
" iter ", " pri res ", " dua res ", " gap ",
|
16
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+
" obj ", " scale ", " time (s)",
|
18
17
|
};
|
19
18
|
static const scs_int HSPACE = 9;
|
20
|
-
static const scs_int HEADER_LEN =
|
21
|
-
static const scs_int LINE_LEN =
|
22
|
-
|
23
|
-
static
|
19
|
+
static const scs_int HEADER_LEN = 7;
|
20
|
+
static const scs_int LINE_LEN = 66;
|
21
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+
|
22
|
+
static void free_residuals(ScsResiduals *r) {
|
23
|
+
if (r) {
|
24
|
+
scs_free(r->ax);
|
25
|
+
scs_free(r->ax_s);
|
26
|
+
scs_free(r->px);
|
27
|
+
scs_free(r->aty);
|
28
|
+
scs_free(r->ax_s_btau);
|
29
|
+
scs_free(r->px_aty_ctau);
|
30
|
+
scs_free(r);
|
31
|
+
}
|
32
|
+
}
|
24
33
|
|
25
34
|
static void free_work(ScsWork *w) {
|
26
35
|
if (w) {
|
27
36
|
scs_free(w->u);
|
28
|
-
scs_free(w->u_best);
|
29
37
|
scs_free(w->u_t);
|
30
|
-
scs_free(w->
|
31
|
-
|
32
|
-
|
33
|
-
scs_free(w->v_best);
|
34
|
-
scs_free(w->v_prev);
|
35
|
-
*/
|
38
|
+
scs_free(w->v);
|
39
|
+
scs_free(w->v_prev);
|
40
|
+
scs_free(w->rsk);
|
36
41
|
scs_free(w->h);
|
37
42
|
scs_free(w->g);
|
38
|
-
scs_free(w->
|
39
|
-
scs_free(w->
|
40
|
-
scs_free(w->
|
41
|
-
scs_free(w->
|
43
|
+
scs_free(w->b_normalized);
|
44
|
+
scs_free(w->c_normalized);
|
45
|
+
scs_free(w->lin_sys_warm_start);
|
46
|
+
scs_free(w->diag_r);
|
42
47
|
if (w->scal) {
|
43
48
|
scs_free(w->scal->D);
|
44
49
|
scs_free(w->scal->E);
|
45
50
|
scs_free(w->scal);
|
46
51
|
}
|
52
|
+
SCS(free_sol)(w->xys_orig);
|
53
|
+
free_residuals(w->r_orig);
|
54
|
+
if (w->stgs && w->stgs->normalize) {
|
55
|
+
SCS(free_sol)(w->xys_normalized);
|
56
|
+
free_residuals(w->r_normalized);
|
57
|
+
}
|
47
58
|
scs_free(w);
|
48
59
|
}
|
49
60
|
}
|
50
61
|
|
51
|
-
static void print_init_header(const ScsData *d, const ScsCone *k
|
62
|
+
static void print_init_header(const ScsData *d, const ScsCone *k,
|
63
|
+
const ScsSettings *stgs) {
|
52
64
|
scs_int i;
|
53
|
-
ScsSettings *stgs = d->stgs;
|
54
65
|
char *cone_str = SCS(get_cone_header)(k);
|
55
|
-
char *lin_sys_method = SCS(get_lin_sys_method)(
|
66
|
+
const char *lin_sys_method = SCS(get_lin_sys_method)();
|
56
67
|
#ifdef USE_LAPACK
|
57
68
|
scs_int acceleration_lookback = stgs->acceleration_lookback;
|
69
|
+
scs_int acceleration_interval = stgs->acceleration_interval;
|
58
70
|
#else
|
59
71
|
scs_int acceleration_lookback = 0;
|
72
|
+
scs_int acceleration_interval = 0;
|
60
73
|
#endif
|
61
74
|
for (i = 0; i < LINE_LEN; ++i) {
|
62
75
|
scs_printf("-");
|
63
76
|
}
|
64
|
-
scs_printf(
|
65
|
-
|
66
|
-
|
67
|
-
SCS(version)());
|
77
|
+
scs_printf("\n\t SCS v%s - Splitting Conic Solver\n\t(c) Brendan "
|
78
|
+
"O'Donoghue, Stanford University, 2012\n",
|
79
|
+
scs_version());
|
68
80
|
for (i = 0; i < LINE_LEN; ++i) {
|
69
81
|
scs_printf("-");
|
70
82
|
}
|
71
83
|
scs_printf("\n");
|
72
|
-
|
73
|
-
|
74
|
-
scs_free(lin_sys_method);
|
75
|
-
}
|
76
|
-
if (stgs->normalize) {
|
77
|
-
scs_printf(
|
78
|
-
"eps = %.2e, alpha = %.2f, max_iters = %i, normalize = %i, "
|
79
|
-
"scale = %2.2f\nacceleration_lookback = %i, rho_x = %.2e\n",
|
80
|
-
stgs->eps, stgs->alpha, (int)stgs->max_iters, (int)stgs->normalize,
|
81
|
-
stgs->scale, (int)acceleration_lookback, stgs->rho_x);
|
82
|
-
} else {
|
83
|
-
scs_printf(
|
84
|
-
"eps = %.2e, alpha = %.2f, max_iters = %i, normalize = %i\n"
|
85
|
-
"acceleration_lookback = %i, rho_x = %.2e\n",
|
86
|
-
stgs->eps, stgs->alpha, (int)stgs->max_iters, (int)stgs->normalize,
|
87
|
-
(int)acceleration_lookback, stgs->rho_x);
|
88
|
-
}
|
89
|
-
scs_printf("Variables n = %i, constraints m = %i\n", (int)d->n, (int)d->m);
|
84
|
+
scs_printf("problem: variables n: %i, constraints m: %i\n", (int)d->n,
|
85
|
+
(int)d->m);
|
90
86
|
scs_printf("%s", cone_str);
|
91
87
|
scs_free(cone_str);
|
88
|
+
scs_printf("settings: eps_abs: %.1e, eps_rel: %.1e, eps_infeas: %.1e\n"
|
89
|
+
"\t alpha: %.2f, scale: %.2e, adaptive_scale: %i\n"
|
90
|
+
"\t max_iters: %i, normalize: %i, warm_start: %i\n",
|
91
|
+
/*, rho_x: %.2e\n", */
|
92
|
+
stgs->eps_abs, stgs->eps_rel, stgs->eps_infeas, stgs->alpha,
|
93
|
+
stgs->scale, (int)stgs->adaptive_scale, (int)stgs->max_iters,
|
94
|
+
(int)stgs->normalize, (int)stgs->warm_start);
|
95
|
+
/* , stgs->rho_x); */
|
96
|
+
if (stgs->acceleration_lookback != 0) {
|
97
|
+
scs_printf("\t acceleration_lookback: %i, acceleration_interval: %i\n",
|
98
|
+
(int)acceleration_lookback, (int)acceleration_interval);
|
99
|
+
}
|
100
|
+
if (stgs->time_limit_secs) {
|
101
|
+
scs_printf("\t time_limit_secs: %.2e\n", stgs->time_limit_secs);
|
102
|
+
}
|
103
|
+
if (lin_sys_method) {
|
104
|
+
scs_printf("lin-sys: %s\n\t nnz(A): %li, nnz(P): %li\n", lin_sys_method,
|
105
|
+
(long)d->A->p[d->A->n], d->P ? (long)d->P->p[d->P->n] : 0l);
|
106
|
+
}
|
107
|
+
|
92
108
|
#ifdef MATLAB_MEX_FILE
|
93
109
|
mexEvalString("drawnow;");
|
94
110
|
#endif
|
@@ -98,7 +114,7 @@ static void populate_on_failure(scs_int m, scs_int n, ScsSolution *sol,
|
|
98
114
|
ScsInfo *info, scs_int status_val,
|
99
115
|
const char *msg) {
|
100
116
|
if (info) {
|
101
|
-
info->
|
117
|
+
info->gap = NAN;
|
102
118
|
info->res_pri = NAN;
|
103
119
|
info->res_dual = NAN;
|
104
120
|
info->pobj = NAN;
|
@@ -111,17 +127,17 @@ static void populate_on_failure(scs_int m, scs_int n, ScsSolution *sol,
|
|
111
127
|
if (sol) {
|
112
128
|
if (n > 0) {
|
113
129
|
if (!sol->x) {
|
114
|
-
sol->x = (scs_float *)
|
130
|
+
sol->x = (scs_float *)scs_calloc(n, sizeof(scs_float));
|
115
131
|
}
|
116
132
|
SCS(scale_array)(sol->x, NAN, n);
|
117
133
|
}
|
118
134
|
if (m > 0) {
|
119
135
|
if (!sol->y) {
|
120
|
-
sol->y = (scs_float *)
|
136
|
+
sol->y = (scs_float *)scs_calloc(m, sizeof(scs_float));
|
121
137
|
}
|
122
138
|
SCS(scale_array)(sol->y, NAN, m);
|
123
139
|
if (!sol->s) {
|
124
|
-
sol->s = (scs_float *)
|
140
|
+
sol->s = (scs_float *)scs_calloc(m, sizeof(scs_float));
|
125
141
|
}
|
126
142
|
SCS(scale_array)(sol->s, NAN, m);
|
127
143
|
}
|
@@ -138,70 +154,89 @@ static scs_int failure(ScsWork *w, scs_int m, scs_int n, ScsSolution *sol,
|
|
138
154
|
return status;
|
139
155
|
}
|
140
156
|
|
141
|
-
|
142
|
-
|
143
|
-
|
144
|
-
|
145
|
-
|
146
|
-
|
147
|
-
w->
|
148
|
-
|
149
|
-
#ifndef NOVALIDATE
|
150
|
-
for (i = 0; i < n + m + 1; ++i) {
|
151
|
-
if (scs_isnan(w->u[i])) {
|
152
|
-
w->u[i] = 0;
|
153
|
-
}
|
154
|
-
if (scs_isnan(w->v[i])) {
|
155
|
-
w->v[i] = 0;
|
156
|
-
}
|
157
|
+
/* given x,y,s warm start, set v = [x; s / R + y; 1]
|
158
|
+
*/
|
159
|
+
static void warm_start_vars(ScsWork *w, ScsSolution *sol) {
|
160
|
+
scs_int n = w->n, m = w->m, i;
|
161
|
+
scs_float *v = w->v;
|
162
|
+
/* normalize the warm-start */
|
163
|
+
if (w->stgs->normalize) {
|
164
|
+
SCS(normalize_sol)(w->scal, sol);
|
157
165
|
}
|
158
|
-
|
166
|
+
memcpy(v, sol->x, n * sizeof(scs_float));
|
167
|
+
for (i = 0; i < m; ++i) {
|
168
|
+
v[i + n] = sol->y[i] + sol->s[i] / w->diag_r[i + n];
|
169
|
+
}
|
170
|
+
v[n + m] = 1.0; /* tau = 1 */
|
171
|
+
/* un-normalize so sol unchanged */
|
159
172
|
if (w->stgs->normalize) {
|
160
|
-
SCS(
|
173
|
+
SCS(un_normalize_sol)(w->scal, sol);
|
161
174
|
}
|
162
175
|
}
|
163
176
|
|
164
|
-
static
|
165
|
-
|
166
|
-
|
167
|
-
|
168
|
-
|
169
|
-
|
170
|
-
|
171
|
-
|
172
|
-
|
173
|
-
for (i = 0; i < w->m; ++i) {
|
174
|
-
scale = w->stgs->normalize ? w->scal->D[i] / (w->sc_b * w->stgs->scale) : 1;
|
175
|
-
scale = scale * scale;
|
176
|
-
*nm_axs += (pr[i] * pr[i]) * scale;
|
177
|
-
pres += (pr[i] - w->b[i] * tau) * (pr[i] - w->b[i] * tau) * scale;
|
178
|
-
}
|
179
|
-
*nm_axs = SQRTF(*nm_axs);
|
180
|
-
return SQRTF(pres); /* SCS(norm)(Ax + s - b * tau) */
|
181
|
-
}
|
182
|
-
|
183
|
-
static scs_float calc_dual_resid(ScsWork *w, const scs_float *y,
|
184
|
-
const scs_float tau, scs_float *nm_a_ty) {
|
185
|
-
scs_int i;
|
186
|
-
scs_float dres = 0, scale, *dr = w->dr;
|
187
|
-
*nm_a_ty = 0;
|
188
|
-
memset(dr, 0, w->n * sizeof(scs_float));
|
189
|
-
SCS(accum_by_atrans)(w->A, w->p, y, dr); /* dr = A'y */
|
190
|
-
for (i = 0; i < w->n; ++i) {
|
191
|
-
scale = w->stgs->normalize ? w->scal->E[i] / (w->sc_c * w->stgs->scale) : 1;
|
192
|
-
scale = scale * scale;
|
193
|
-
*nm_a_ty += (dr[i] * dr[i]) * scale;
|
194
|
-
dres += (dr[i] + w->c[i] * tau) * (dr[i] + w->c[i] * tau) * scale;
|
177
|
+
static void compute_residuals(ScsResiduals *r, scs_int m, scs_int n) {
|
178
|
+
r->res_pri = SAFEDIV_POS(NORM(r->ax_s_btau, m), r->tau);
|
179
|
+
r->res_dual = SAFEDIV_POS(NORM(r->px_aty_ctau, n), r->tau);
|
180
|
+
r->res_unbdd_a = NAN;
|
181
|
+
r->res_unbdd_p = NAN;
|
182
|
+
r->res_infeas = NAN;
|
183
|
+
if (r->ctx_tau < 0) {
|
184
|
+
r->res_unbdd_a = SAFEDIV_POS(NORM(r->ax_s, m), -r->ctx_tau);
|
185
|
+
r->res_unbdd_p = SAFEDIV_POS(NORM(r->px, n), -r->ctx_tau);
|
195
186
|
}
|
196
|
-
|
197
|
-
|
187
|
+
if (r->bty_tau < 0) {
|
188
|
+
r->res_infeas = SAFEDIV_POS(NORM(r->aty, n), -r->bty_tau);
|
189
|
+
}
|
190
|
+
}
|
191
|
+
|
192
|
+
static void unnormalize_residuals(ScsWork *w) {
|
193
|
+
ScsResiduals *r_n = w->r_normalized; /* normalized residuals */
|
194
|
+
ScsResiduals *r = w->r_orig; /* original problem residuals */
|
195
|
+
scs_float pd = w->scal->primal_scale * w->scal->dual_scale;
|
196
|
+
|
197
|
+
/* copy vars */
|
198
|
+
r->last_iter = r_n->last_iter;
|
199
|
+
r->tau = r_n->tau;
|
200
|
+
|
201
|
+
/* mem copy arrays */
|
202
|
+
memcpy(r->ax, r_n->ax, w->m * sizeof(scs_float));
|
203
|
+
memcpy(r->ax_s, r_n->ax_s, w->m * sizeof(scs_float));
|
204
|
+
memcpy(r->ax_s_btau, r_n->ax_s_btau, w->m * sizeof(scs_float));
|
205
|
+
memcpy(r->aty, r_n->aty, w->n * sizeof(scs_float));
|
206
|
+
memcpy(r->px, r_n->px, w->n * sizeof(scs_float));
|
207
|
+
memcpy(r->px_aty_ctau, r_n->px_aty_ctau, w->n * sizeof(scs_float));
|
208
|
+
|
209
|
+
/* unnormalize */
|
210
|
+
r->kap = r_n->kap / pd;
|
211
|
+
r->bty_tau = r_n->bty_tau / pd;
|
212
|
+
r->ctx_tau = r_n->ctx_tau / pd;
|
213
|
+
r->xt_p_x_tau = r_n->xt_p_x_tau / pd;
|
214
|
+
r->xt_p_x = r_n->xt_p_x / pd;
|
215
|
+
r->ctx = r_n->ctx / pd;
|
216
|
+
r->bty = r_n->bty / pd;
|
217
|
+
r->pobj = r_n->pobj / pd;
|
218
|
+
r->dobj = r_n->dobj / pd;
|
219
|
+
r->gap = r_n->gap / pd;
|
220
|
+
|
221
|
+
SCS(un_normalize_primal)(w->scal, r->ax);
|
222
|
+
SCS(un_normalize_primal)(w->scal, r->ax_s);
|
223
|
+
SCS(un_normalize_primal)(w->scal, r->ax_s_btau);
|
224
|
+
SCS(un_normalize_dual)(w->scal, r->aty);
|
225
|
+
SCS(un_normalize_dual)(w->scal, r->px);
|
226
|
+
SCS(un_normalize_dual)(w->scal, r->px_aty_ctau);
|
227
|
+
|
228
|
+
compute_residuals(r, w->m, w->n);
|
198
229
|
}
|
199
230
|
|
200
|
-
/* calculates un-normalized quantities */
|
201
|
-
|
202
|
-
|
203
|
-
scs_float nmpr_tau, nmdr_tau, nm_axs_tau, nm_a_ty_tau, ct_x, bt_y;
|
231
|
+
/* calculates un-normalized residual quantities */
|
232
|
+
/* this is somewhat slow but not a bottleneck */
|
233
|
+
static void populate_residual_struct(ScsWork *w, scs_int iter) {
|
204
234
|
scs_int n = w->n, m = w->m;
|
235
|
+
/* normalized x,y,s terms */
|
236
|
+
scs_float *x = w->xys_normalized->x;
|
237
|
+
scs_float *y = w->xys_normalized->y;
|
238
|
+
scs_float *s = w->xys_normalized->s;
|
239
|
+
ScsResiduals *r = w->r_normalized; /* normalized residuals */
|
205
240
|
|
206
241
|
/* checks if the residuals are unchanged by checking iteration */
|
207
242
|
if (r->last_iter == iter) {
|
@@ -209,272 +244,326 @@ static void calc_residuals(ScsWork *w, ScsResiduals *r, scs_int iter) {
|
|
209
244
|
}
|
210
245
|
r->last_iter = iter;
|
211
246
|
|
247
|
+
memcpy(x, w->u, n * sizeof(scs_float));
|
248
|
+
memcpy(y, &(w->u[n]), m * sizeof(scs_float));
|
249
|
+
memcpy(s, &(w->rsk[n]), m * sizeof(scs_float));
|
250
|
+
|
212
251
|
r->tau = ABS(w->u[n + m]);
|
213
|
-
r->kap = ABS(w->
|
214
|
-
|
252
|
+
r->kap = ABS(w->rsk[n + m]);
|
253
|
+
|
254
|
+
/**************** PRIMAL *********************/
|
255
|
+
memset(r->ax, 0, m * sizeof(scs_float));
|
256
|
+
/* ax = Ax */
|
257
|
+
SCS(accum_by_a)(w->A, x, r->ax);
|
258
|
+
|
259
|
+
memcpy(r->ax_s, r->ax, m * sizeof(scs_float));
|
260
|
+
/* ax_s = Ax + s */
|
261
|
+
SCS(add_scaled_array)(r->ax_s, s, m, 1.);
|
262
|
+
|
263
|
+
memcpy(r->ax_s_btau, r->ax_s, m * sizeof(scs_float));
|
264
|
+
/* ax_s_btau = Ax + s - b * tau */
|
265
|
+
SCS(add_scaled_array)(r->ax_s_btau, w->b_normalized, m, -r->tau);
|
266
|
+
|
267
|
+
/**************** DUAL *********************/
|
268
|
+
memset(r->px, 0, n * sizeof(scs_float));
|
269
|
+
if (w->P) {
|
270
|
+
/* px = Px */
|
271
|
+
SCS(accum_by_p)(w->P, x, r->px);
|
272
|
+
r->xt_p_x_tau = SCS(dot)(r->px, x, n);
|
273
|
+
} else {
|
274
|
+
r->xt_p_x_tau = 0.;
|
275
|
+
}
|
215
276
|
|
216
|
-
|
217
|
-
|
277
|
+
memset(r->aty, 0, n * sizeof(scs_float));
|
278
|
+
/* aty = A'y */
|
279
|
+
SCS(accum_by_atrans)(w->A, y, r->aty);
|
218
280
|
|
219
|
-
r->
|
220
|
-
|
221
|
-
|
222
|
-
r->
|
223
|
-
|
224
|
-
|
281
|
+
/* r->px_aty_ctau = Px */
|
282
|
+
memcpy(r->px_aty_ctau, r->px, n * sizeof(scs_float));
|
283
|
+
/* r->px_aty_ctau = Px + A'y */
|
284
|
+
SCS(add_scaled_array)(r->px_aty_ctau, r->aty, n, 1.);
|
285
|
+
/* r->px_aty_ctau = Px + A'y + c * tau */
|
286
|
+
SCS(add_scaled_array)(r->px_aty_ctau, w->c_normalized, n, r->tau);
|
225
287
|
|
226
|
-
|
227
|
-
|
228
|
-
r->
|
229
|
-
r->ct_x_by_tau < 0 ? w->nm_c * nm_axs_tau / -r->ct_x_by_tau : NAN;
|
288
|
+
/**************** OTHERS *****************/
|
289
|
+
r->bty_tau = SCS(dot)(y, w->b_normalized, m);
|
290
|
+
r->ctx_tau = SCS(dot)(x, w->c_normalized, n);
|
230
291
|
|
231
|
-
|
232
|
-
|
292
|
+
r->bty = SAFEDIV_POS(r->bty_tau, r->tau);
|
293
|
+
r->ctx = SAFEDIV_POS(r->ctx_tau, r->tau);
|
294
|
+
r->xt_p_x = SAFEDIV_POS(r->xt_p_x_tau, r->tau * r->tau);
|
233
295
|
|
234
|
-
r->
|
235
|
-
r->
|
236
|
-
r->
|
296
|
+
r->gap = ABS(r->xt_p_x + r->ctx + r->bty);
|
297
|
+
r->pobj = r->xt_p_x / 2. + r->ctx;
|
298
|
+
r->dobj = -r->xt_p_x / 2. - r->bty;
|
299
|
+
|
300
|
+
compute_residuals(r, m, n);
|
301
|
+
|
302
|
+
if (w->stgs->normalize) {
|
303
|
+
memcpy(w->xys_orig->x, w->xys_normalized->x, n * sizeof(scs_float));
|
304
|
+
memcpy(w->xys_orig->y, w->xys_normalized->y, m * sizeof(scs_float));
|
305
|
+
memcpy(w->xys_orig->s, w->xys_normalized->s, m * sizeof(scs_float));
|
306
|
+
SCS(un_normalize_sol)(w->scal, w->xys_orig);
|
307
|
+
unnormalize_residuals(w);
|
308
|
+
}
|
237
309
|
}
|
238
310
|
|
239
311
|
static void cold_start_vars(ScsWork *w) {
|
240
312
|
scs_int l = w->n + w->m + 1;
|
241
|
-
memset(w->u, 0, l * sizeof(scs_float));
|
242
313
|
memset(w->v, 0, l * sizeof(scs_float));
|
243
|
-
w->
|
244
|
-
w->v[l - 1] = SQRTF((scs_float)l);
|
314
|
+
w->v[l - 1] = 1.;
|
245
315
|
}
|
246
316
|
|
247
|
-
/*
|
248
|
-
static
|
249
|
-
|
250
|
-
|
251
|
-
|
252
|
-
|
253
|
-
|
254
|
-
|
255
|
-
|
256
|
-
|
257
|
-
SCS(add_scaled_array)(w->u_t, w->h, l - 1, -w->u_t[l - 1]);
|
258
|
-
SCS(add_scaled_array)
|
259
|
-
(w->u_t, w->h, l - 1, -SCS(dot)(w->u_t, w->g, l - 1) / (w->g_th + 1));
|
260
|
-
SCS(scale_array)(&(w->u_t[n]), -1, m);
|
261
|
-
|
262
|
-
status = SCS(solve_lin_sys)(w->A, w->stgs, w->p, w->u_t, w->u, iter);
|
317
|
+
/* utility function that computes x'Ry */
|
318
|
+
static inline scs_float dot_r(ScsWork *w, const scs_float *x,
|
319
|
+
const scs_float *y) {
|
320
|
+
scs_int i;
|
321
|
+
scs_float ip = 0.0;
|
322
|
+
for (i = 0; i < w->n + w->m; ++i) {
|
323
|
+
ip += x[i] * y[i] * w->diag_r[i];
|
324
|
+
}
|
325
|
+
return ip;
|
326
|
+
}
|
263
327
|
|
264
|
-
|
328
|
+
static scs_float root_plus(ScsWork *w, scs_float *p, scs_float *mu,
|
329
|
+
scs_float eta) {
|
330
|
+
scs_float a, b, c, tau_scale = w->diag_r[w->n + w->m];
|
331
|
+
a = tau_scale + dot_r(w, w->g, w->g);
|
332
|
+
b = dot_r(w, mu, w->g) - 2 * dot_r(w, p, w->g) - eta * tau_scale;
|
333
|
+
c = dot_r(w, p, p) - dot_r(w, p, mu);
|
334
|
+
return (-b + SQRTF(MAX(b * b - 4 * a * c, 0.))) / (2 * a);
|
335
|
+
}
|
265
336
|
|
337
|
+
/* status < 0 indicates failure */
|
338
|
+
static scs_int project_lin_sys(ScsWork *w, scs_int iter) {
|
339
|
+
scs_int n = w->n, m = w->m, l = n + m + 1, status, i;
|
340
|
+
scs_float *warm_start = SCS_NULL;
|
341
|
+
scs_float tol = -1.0; /* only used for indirect methods, overridden later */
|
342
|
+
memcpy(w->u_t, w->v, l * sizeof(scs_float));
|
343
|
+
for (i = 0; i < l - 1; ++i) {
|
344
|
+
w->u_t[i] *= (i < n ? 1 : -1) * w->diag_r[i];
|
345
|
+
}
|
346
|
+
#if INDIRECT > 0
|
347
|
+
/* compute warm start using the cone projection output */
|
348
|
+
warm_start = w->lin_sys_warm_start;
|
349
|
+
memcpy(warm_start, w->u, (l - 1) * sizeof(scs_float));
|
350
|
+
/* warm_start = u[:n] + tau * g[:n] */
|
351
|
+
SCS(add_scaled_array)(warm_start, w->g, l - 1, w->u[l - 1]);
|
352
|
+
/* use normalized residuals to compute tolerance */
|
353
|
+
tol = MIN(CG_NORM(w->r_normalized->ax_s_btau, w->m),
|
354
|
+
CG_NORM(w->r_normalized->px_aty_ctau, w->n));
|
355
|
+
/* tol ~ O(1/k^(1+eps)) guarantees convergence */
|
356
|
+
/* use warm-start to calculate tolerance rather than w->u_t, since warm_start
|
357
|
+
* should be approximately equal to the true solution */
|
358
|
+
tol = CG_TOL_FACTOR * MIN(tol, CG_NORM(warm_start, w->n) /
|
359
|
+
POWF((scs_float)iter + 1, CG_RATE));
|
360
|
+
tol = MAX(CG_BEST_TOL, tol);
|
361
|
+
#endif
|
362
|
+
status = SCS(solve_lin_sys)(w->p, w->u_t, warm_start, tol);
|
363
|
+
if (iter < FEASIBLE_ITERS) {
|
364
|
+
w->u_t[l - 1] = 1.;
|
365
|
+
} else {
|
366
|
+
w->u_t[l - 1] = root_plus(w, w->u_t, w->v, w->v[l - 1]);
|
367
|
+
}
|
368
|
+
SCS(add_scaled_array)(w->u_t, w->g, l - 1, -w->u_t[l - 1]);
|
266
369
|
return status;
|
267
370
|
}
|
268
371
|
|
372
|
+
/* Compute the [r;s;kappa] iterate
|
373
|
+
*
|
374
|
+
* rsk^{k+1} = R ( u^{k+1} + v^k - 2 * u_t^{k+1} )
|
375
|
+
*
|
376
|
+
* uses Moreau decomposition to get projection onto dual cone
|
377
|
+
* since it depends on v^k MUST be called before update_dual_vars is done
|
378
|
+
* (no effect of w->stgs->alpha here).
|
379
|
+
*/
|
380
|
+
static void compute_rsk(ScsWork *w) {
|
381
|
+
scs_int i, l = w->m + w->n + 1;
|
382
|
+
for (i = 0; i < l; ++i) {
|
383
|
+
w->rsk[i] = (w->v[i] + w->u[i] - 2 * w->u_t[i]) * w->diag_r[i];
|
384
|
+
}
|
385
|
+
}
|
386
|
+
|
269
387
|
static void update_dual_vars(ScsWork *w) {
|
270
|
-
scs_int i,
|
271
|
-
|
272
|
-
|
273
|
-
w->v[i] += (w->u[i] - w->stgs->alpha * w->u_t[i] -
|
274
|
-
(1.0 - w->stgs->alpha) * w->u_prev[i]);
|
388
|
+
scs_int i, l = w->n + w->m + 1;
|
389
|
+
for (i = 0; i < l; ++i) {
|
390
|
+
w->v[i] += w->stgs->alpha * (w->u[i] - w->u_t[i]);
|
275
391
|
}
|
276
392
|
}
|
277
393
|
|
278
394
|
/* status < 0 indicates failure */
|
279
395
|
static scs_int project_cones(ScsWork *w, const ScsCone *k, scs_int iter) {
|
280
|
-
scs_int i, n = w->n, l = n + w->m + 1, status;
|
281
|
-
|
282
|
-
|
283
|
-
w->u[i] = w->u_t[i] - w->v[i];
|
284
|
-
}
|
285
|
-
for (i = n; i < l; ++i) {
|
286
|
-
w->u[i] = w->stgs->alpha * w->u_t[i] + (1 - w->stgs->alpha) * w->u_prev[i] -
|
287
|
-
w->v[i];
|
396
|
+
scs_int i, n = w->n, l = w->n + w->m + 1, status;
|
397
|
+
for (i = 0; i < l; ++i) {
|
398
|
+
w->u[i] = 2 * w->u_t[i] - w->v[i];
|
288
399
|
}
|
289
400
|
/* u = [x;y;tau] */
|
290
401
|
status =
|
291
|
-
SCS(proj_dual_cone)(&(w->u[n]),
|
292
|
-
if (
|
293
|
-
w->u[l - 1] =
|
402
|
+
SCS(proj_dual_cone)(&(w->u[n]), w->cone_work, w->scal, &(w->diag_r[n]));
|
403
|
+
if (iter < FEASIBLE_ITERS) {
|
404
|
+
w->u[l - 1] = 1.0;
|
405
|
+
} else {
|
406
|
+
w->u[l - 1] = MAX(w->u[l - 1], 0.);
|
294
407
|
}
|
295
|
-
|
296
408
|
return status;
|
297
409
|
}
|
298
410
|
|
299
|
-
static
|
300
|
-
strcpy(info->status, "Indeterminate");
|
301
|
-
SCS(scale_array)(sol->x, NAN, w->n);
|
302
|
-
SCS(scale_array)(sol->y, NAN, w->m);
|
303
|
-
SCS(scale_array)(sol->s, NAN, w->m);
|
304
|
-
return SCS_INDETERMINATE;
|
305
|
-
}
|
306
|
-
|
307
|
-
static void sety(ScsWork *w, ScsSolution *sol) {
|
411
|
+
static void sety(const ScsWork *w, ScsSolution *sol) {
|
308
412
|
if (!sol->y) {
|
309
|
-
sol->y = (scs_float *)
|
413
|
+
sol->y = (scs_float *)scs_calloc(w->m, sizeof(scs_float));
|
310
414
|
}
|
311
415
|
memcpy(sol->y, &(w->u[w->n]), w->m * sizeof(scs_float));
|
312
416
|
}
|
313
417
|
|
314
|
-
|
418
|
+
/* s is contained in rsk */
|
419
|
+
static void sets(const ScsWork *w, ScsSolution *sol) {
|
315
420
|
if (!sol->s) {
|
316
|
-
sol->s = (scs_float *)
|
421
|
+
sol->s = (scs_float *)scs_calloc(w->m, sizeof(scs_float));
|
317
422
|
}
|
318
|
-
memcpy(sol->s, &(w->
|
423
|
+
memcpy(sol->s, &(w->rsk[w->n]), w->m * sizeof(scs_float));
|
319
424
|
}
|
320
425
|
|
321
|
-
static void setx(ScsWork *w, ScsSolution *sol) {
|
426
|
+
static void setx(const ScsWork *w, ScsSolution *sol) {
|
322
427
|
if (!sol->x) {
|
323
|
-
sol->x = (scs_float *)
|
428
|
+
sol->x = (scs_float *)scs_calloc(w->n, sizeof(scs_float));
|
324
429
|
}
|
325
430
|
memcpy(sol->x, w->u, w->n * sizeof(scs_float));
|
326
431
|
}
|
327
432
|
|
328
|
-
static
|
329
|
-
|
330
|
-
|
331
|
-
|
332
|
-
|
333
|
-
|
334
|
-
|
335
|
-
|
336
|
-
|
337
|
-
|
338
|
-
|
339
|
-
if (w->best_max_residual < get_max_residual(r)) {
|
340
|
-
r->last_iter = -1; /* Forces residual recomputation. */
|
341
|
-
copy_from_best_iterate(w);
|
342
|
-
calc_residuals(w, r, iter);
|
343
|
-
setx(w, sol);
|
344
|
-
sety(w, sol);
|
345
|
-
sets(w, sol);
|
346
|
-
}
|
347
|
-
SCS(scale_array)(sol->x, SAFEDIV_POS(1.0, r->tau), w->n);
|
348
|
-
SCS(scale_array)(sol->y, SAFEDIV_POS(1.0, r->tau), w->m);
|
349
|
-
SCS(scale_array)(sol->s, SAFEDIV_POS(1.0, r->tau), w->m);
|
350
|
-
if (info->status_val == 0) {
|
351
|
-
strcpy(info->status, "Solved/Inaccurate");
|
352
|
-
return SCS_SOLVED_INACCURATE;
|
353
|
-
}
|
354
|
-
strcpy(info->status, "Solved");
|
355
|
-
return SCS_SOLVED;
|
433
|
+
static void set_solved(const ScsWork *w, ScsSolution *sol, ScsInfo *info) {
|
434
|
+
SCS(scale_array)(sol->x, SAFEDIV_POS(1.0, w->r_orig->tau), w->n);
|
435
|
+
SCS(scale_array)(sol->y, SAFEDIV_POS(1.0, w->r_orig->tau), w->m);
|
436
|
+
SCS(scale_array)(sol->s, SAFEDIV_POS(1.0, w->r_orig->tau), w->m);
|
437
|
+
info->gap = w->r_orig->gap;
|
438
|
+
info->res_pri = w->r_orig->res_pri;
|
439
|
+
info->res_dual = w->r_orig->res_dual;
|
440
|
+
info->pobj = w->r_orig->xt_p_x / 2. + w->r_orig->ctx;
|
441
|
+
info->dobj = -w->r_orig->xt_p_x / 2. - w->r_orig->bty;
|
442
|
+
strcpy(info->status, "solved");
|
443
|
+
info->status_val = SCS_SOLVED;
|
356
444
|
}
|
357
445
|
|
358
|
-
static
|
359
|
-
|
360
|
-
SCS(scale_array)(sol->y, -1 / bt_y, w->m);
|
446
|
+
static void set_infeasible(const ScsWork *w, ScsSolution *sol, ScsInfo *info) {
|
447
|
+
SCS(scale_array)(sol->y, -1 / w->r_orig->bty_tau, w->m);
|
361
448
|
SCS(scale_array)(sol->x, NAN, w->n);
|
362
449
|
SCS(scale_array)(sol->s, NAN, w->m);
|
363
|
-
|
364
|
-
|
365
|
-
|
366
|
-
|
367
|
-
|
368
|
-
|
450
|
+
info->gap = NAN;
|
451
|
+
info->res_pri = NAN;
|
452
|
+
info->res_dual = NAN;
|
453
|
+
info->pobj = INFINITY;
|
454
|
+
info->dobj = INFINITY;
|
455
|
+
strcpy(info->status, "infeasible");
|
456
|
+
info->status_val = SCS_INFEASIBLE;
|
369
457
|
}
|
370
458
|
|
371
|
-
static
|
372
|
-
|
373
|
-
SCS(scale_array)(sol->
|
374
|
-
SCS(scale_array)(sol->s, -1 / ct_x, w->m);
|
459
|
+
static void set_unbounded(const ScsWork *w, ScsSolution *sol, ScsInfo *info) {
|
460
|
+
SCS(scale_array)(sol->x, -1 / w->r_orig->ctx_tau, w->n);
|
461
|
+
SCS(scale_array)(sol->s, -1 / w->r_orig->ctx_tau, w->m);
|
375
462
|
SCS(scale_array)(sol->y, NAN, w->m);
|
376
|
-
|
377
|
-
|
378
|
-
|
379
|
-
|
380
|
-
|
381
|
-
|
382
|
-
|
383
|
-
|
384
|
-
static scs_int is_solved_status(scs_int status) {
|
385
|
-
return status == SCS_SOLVED || status == SCS_SOLVED_INACCURATE;
|
386
|
-
}
|
387
|
-
|
388
|
-
static scs_int is_infeasible_status(scs_int status) {
|
389
|
-
return status == SCS_INFEASIBLE || status == SCS_INFEASIBLE_INACCURATE;
|
463
|
+
info->gap = NAN;
|
464
|
+
info->res_pri = NAN;
|
465
|
+
info->res_dual = NAN;
|
466
|
+
info->pobj = -INFINITY;
|
467
|
+
info->dobj = -INFINITY;
|
468
|
+
strcpy(info->status, "unbounded");
|
469
|
+
info->status_val = SCS_UNBOUNDED;
|
390
470
|
}
|
391
471
|
|
392
|
-
|
393
|
-
|
394
|
-
|
395
|
-
|
396
|
-
|
397
|
-
|
398
|
-
|
399
|
-
|
400
|
-
|
401
|
-
|
402
|
-
info->
|
403
|
-
|
404
|
-
|
405
|
-
|
406
|
-
info->
|
407
|
-
} else if (
|
408
|
-
info->
|
409
|
-
|
410
|
-
|
411
|
-
info->pobj = -INFINITY;
|
412
|
-
info->dobj = -INFINITY;
|
413
|
-
} else if (is_infeasible_status(info->status_val)) {
|
414
|
-
info->rel_gap = NAN;
|
415
|
-
info->res_pri = NAN;
|
416
|
-
info->res_dual = NAN;
|
417
|
-
info->pobj = INFINITY;
|
418
|
-
info->dobj = INFINITY;
|
472
|
+
/* not yet converged, take best guess */
|
473
|
+
static void set_unfinished(const ScsWork *w, ScsSolution *sol, ScsInfo *info) {
|
474
|
+
if (w->r_orig->tau > w->r_orig->kap) {
|
475
|
+
set_solved(w, sol, info);
|
476
|
+
info->status_val = SCS_SOLVED_INACCURATE;
|
477
|
+
} else if (w->r_orig->bty_tau < w->r_orig->ctx_tau) {
|
478
|
+
set_infeasible(w, sol, info);
|
479
|
+
info->status_val = SCS_INFEASIBLE_INACCURATE;
|
480
|
+
} else {
|
481
|
+
set_unbounded(w, sol, info);
|
482
|
+
info->status_val = SCS_UNBOUNDED_INACCURATE;
|
483
|
+
}
|
484
|
+
/* Append inaccurate to the status string */
|
485
|
+
if (w->time_limit_reached) {
|
486
|
+
strcat(info->status, " (inaccurate - reached time_limit_secs)");
|
487
|
+
} else if (info->iter >= w->stgs->max_iters) {
|
488
|
+
strcat(info->status, " (inaccurate - reached max_iters)");
|
489
|
+
} else {
|
490
|
+
scs_printf("ERROR: should not be in this state (1).\n");
|
419
491
|
}
|
420
492
|
}
|
421
493
|
|
422
494
|
/* sets solutions, re-scales by inner prods if infeasible or unbounded */
|
423
|
-
static void
|
424
|
-
|
425
|
-
scs_int l = w->n + w->m + 1;
|
426
|
-
calc_residuals(w, r, iter);
|
495
|
+
static void finalize(ScsWork *w, ScsSolution *sol, ScsInfo *info,
|
496
|
+
scs_int iter) {
|
427
497
|
setx(w, sol);
|
428
498
|
sety(w, sol);
|
429
499
|
sets(w, sol);
|
430
|
-
if (info->status_val == SCS_UNFINISHED) {
|
431
|
-
/* not yet converged, take best guess */
|
432
|
-
if (r->tau > INDETERMINATE_TOL && r->tau > r->kap) {
|
433
|
-
info->status_val = solved(w, sol, info, r, iter);
|
434
|
-
} else if (SCS(norm)(w->u, l) < INDETERMINATE_TOL * SQRTF((scs_float)l)) {
|
435
|
-
info->status_val = indeterminate(w, sol, info);
|
436
|
-
} else if (r->bt_y_by_tau < r->ct_x_by_tau) {
|
437
|
-
info->status_val = infeasible(w, sol, info, r->bt_y_by_tau);
|
438
|
-
} else {
|
439
|
-
info->status_val = unbounded(w, sol, info, r->ct_x_by_tau);
|
440
|
-
}
|
441
|
-
} else if (is_solved_status(info->status_val)) {
|
442
|
-
info->status_val = solved(w, sol, info, r, iter);
|
443
|
-
} else if (is_infeasible_status(info->status_val)) {
|
444
|
-
info->status_val = infeasible(w, sol, info, r->bt_y_by_tau);
|
445
|
-
} else {
|
446
|
-
info->status_val = unbounded(w, sol, info, r->ct_x_by_tau);
|
447
|
-
}
|
448
500
|
if (w->stgs->normalize) {
|
449
|
-
SCS(un_normalize_sol)(w, sol);
|
501
|
+
SCS(un_normalize_sol)(w->scal, sol);
|
502
|
+
}
|
503
|
+
populate_residual_struct(w, iter);
|
504
|
+
info->setup_time = w->setup_time;
|
505
|
+
info->iter = iter;
|
506
|
+
info->res_infeas = w->r_orig->res_infeas;
|
507
|
+
info->res_unbdd_a = w->r_orig->res_unbdd_a;
|
508
|
+
info->res_unbdd_p = w->r_orig->res_unbdd_p;
|
509
|
+
info->scale = w->scale;
|
510
|
+
info->scale_updates = w->scale_updates;
|
511
|
+
info->rejected_accel_steps = w->rejected_accel_steps;
|
512
|
+
info->accepted_accel_steps = w->accepted_accel_steps;
|
513
|
+
info->comp_slack = ABS(SCS(dot)(sol->s, sol->y, w->m));
|
514
|
+
if (info->comp_slack >
|
515
|
+
1e-5 * MAX(SCS(norm_inf)(sol->s, w->m), SCS(norm_inf)(sol->y, w->m))) {
|
516
|
+
scs_printf("WARNING - large complementary slackness residual: %f\n",
|
517
|
+
info->comp_slack);
|
518
|
+
}
|
519
|
+
switch (info->status_val) {
|
520
|
+
case SCS_SOLVED:
|
521
|
+
set_solved(w, sol, info);
|
522
|
+
break;
|
523
|
+
case SCS_INFEASIBLE:
|
524
|
+
set_infeasible(w, sol, info);
|
525
|
+
break;
|
526
|
+
case SCS_UNBOUNDED:
|
527
|
+
set_unbounded(w, sol, info);
|
528
|
+
break;
|
529
|
+
case SCS_UNFINISHED: /* When SCS reaches max_iters or time_limit_secs */
|
530
|
+
set_unfinished(w, sol, info);
|
531
|
+
break;
|
532
|
+
default:
|
533
|
+
scs_printf("ERROR: should not be in this state (2).\n");
|
450
534
|
}
|
451
|
-
get_info(w, sol, info, r, iter);
|
452
535
|
}
|
453
536
|
|
454
|
-
static void print_summary(ScsWork *w, scs_int i,
|
455
|
-
|
537
|
+
static void print_summary(ScsWork *w, scs_int i, SCS(timer) * solve_timer) {
|
538
|
+
ScsResiduals *r = w->r_orig;
|
456
539
|
scs_printf("%*i|", (int)strlen(HEADER[0]), (int)i);
|
457
540
|
scs_printf("%*.2e ", (int)HSPACE, r->res_pri);
|
458
541
|
scs_printf("%*.2e ", (int)HSPACE, r->res_dual);
|
459
|
-
scs_printf("%*.2e ", (int)HSPACE, r->
|
460
|
-
|
461
|
-
scs_printf("%*.2e ", (int)HSPACE,
|
462
|
-
scs_printf("%*.2e ", (int)HSPACE,
|
542
|
+
scs_printf("%*.2e ", (int)HSPACE, r->gap);
|
543
|
+
/* report mid point of primal and dual objective values */
|
544
|
+
scs_printf("%*.2e ", (int)HSPACE, 0.5 * (r->pobj + r->dobj));
|
545
|
+
scs_printf("%*.2e ", (int)HSPACE, w->scale);
|
463
546
|
scs_printf("%*.2e ", (int)HSPACE, SCS(tocq)(solve_timer) / 1e3);
|
464
547
|
scs_printf("\n");
|
465
548
|
|
466
|
-
#if
|
467
|
-
scs_printf("Norm u = %4f, ", SCS(
|
468
|
-
scs_printf("Norm u_t = %4f, ", SCS(
|
469
|
-
scs_printf("Norm v = %4f, ", SCS(
|
549
|
+
#if VERBOSITY > 0
|
550
|
+
scs_printf("Norm u = %4f, ", SCS(norm_2)(w->u, w->n + w->m + 1));
|
551
|
+
scs_printf("Norm u_t = %4f, ", SCS(norm_2)(w->u_t, w->n + w->m + 1));
|
552
|
+
scs_printf("Norm v = %4f, ", SCS(norm_2)(w->v, w->n + w->m + 1));
|
553
|
+
scs_printf("Norm rsk = %4f, ", SCS(norm_2)(w->rsk, w->n + w->m + 1));
|
554
|
+
scs_printf("Norm x = %4f, ", SCS(norm_2)(w->xys_orig->x, w->n));
|
555
|
+
scs_printf("Norm y = %4f, ", SCS(norm_2)(w->xys_orig->y, w->m));
|
556
|
+
scs_printf("Norm s = %4f, ", SCS(norm_2)(w->xys_orig->s, w->m));
|
557
|
+
scs_printf("Norm |Ax + s| = %1.2e, ", SCS(norm_2)(r->ax_s, w->m));
|
470
558
|
scs_printf("tau = %4f, ", w->u[w->n + w->m]);
|
471
|
-
scs_printf("kappa = %4f, ", w->
|
472
|
-
scs_printf("|u - u_prev| = %1.2e, ",
|
473
|
-
SCS(norm_diff)(w->u, w->u_prev, w->n + w->m + 1));
|
559
|
+
scs_printf("kappa = %4f, ", w->rsk[w->n + w->m]);
|
474
560
|
scs_printf("|u - u_t| = %1.2e, ",
|
475
561
|
SCS(norm_diff)(w->u, w->u_t, w->n + w->m + 1));
|
476
562
|
scs_printf("res_infeas = %1.2e, ", r->res_infeas);
|
477
|
-
scs_printf("
|
563
|
+
scs_printf("res_unbdd_a = %1.2e, ", r->res_unbdd_a);
|
564
|
+
scs_printf("res_unbdd_p = %1.2e, ", r->res_unbdd_p);
|
565
|
+
scs_printf("ctx_tau = %1.2e, ", r->ctx_tau);
|
566
|
+
scs_printf("bty_tau = %1.2e\n", r->bty_tau);
|
478
567
|
#endif
|
479
568
|
|
480
569
|
#ifdef MATLAB_MEX_FILE
|
@@ -484,9 +573,6 @@ static void print_summary(ScsWork *w, scs_int i, ScsResiduals *r,
|
|
484
573
|
|
485
574
|
static void print_header(ScsWork *w, const ScsCone *k) {
|
486
575
|
scs_int i;
|
487
|
-
if (w->stgs->warm_start) {
|
488
|
-
scs_printf("SCS using variable warm-starting\n");
|
489
|
-
}
|
490
576
|
for (i = 0; i < LINE_LEN; ++i) {
|
491
577
|
scs_printf("-");
|
492
578
|
}
|
@@ -504,118 +590,37 @@ static void print_header(ScsWork *w, const ScsCone *k) {
|
|
504
590
|
#endif
|
505
591
|
}
|
506
592
|
|
507
|
-
static
|
508
|
-
ScsConeWork *c, scs_int m) {
|
509
|
-
scs_float dist;
|
510
|
-
scs_float *t = (scs_float *)scs_malloc(sizeof(scs_float) * m);
|
511
|
-
memcpy(t, y, m * sizeof(scs_float));
|
512
|
-
SCS(proj_dual_cone)(t, k, c, SCS_NULL, -1);
|
513
|
-
dist = SCS(norm_inf_diff)(t, y, m);
|
514
|
-
#if EXTRA_VERBOSE > 0
|
515
|
-
SCS(print_array)(y, m, "y");
|
516
|
-
SCS(print_array)(t, m, "proj_y");
|
517
|
-
scs_printf("dist = %4f\n", dist);
|
518
|
-
#endif
|
519
|
-
scs_free(t);
|
520
|
-
return dist;
|
521
|
-
}
|
522
|
-
|
523
|
-
/* via moreau */
|
524
|
-
static scs_float get_pri_cone_dist(const scs_float *s, const ScsCone *k,
|
525
|
-
ScsConeWork *c, scs_int m) {
|
526
|
-
scs_float dist;
|
527
|
-
scs_float *t = (scs_float *)scs_malloc(sizeof(scs_float) * m);
|
528
|
-
memcpy(t, s, m * sizeof(scs_float));
|
529
|
-
SCS(scale_array)(t, -1.0, m);
|
530
|
-
SCS(proj_dual_cone)(t, k, c, SCS_NULL, -1);
|
531
|
-
dist = SCS(norm_inf)(t, m); /* ||s - Pi_c(s)|| = ||Pi_c*(-s)|| */
|
532
|
-
#if EXTRA_VERBOSE > 0
|
533
|
-
SCS(print_array)(s, m, "s");
|
534
|
-
SCS(print_array)(t, m, "(s - proj_s)");
|
535
|
-
scs_printf("dist = %4f\n", dist);
|
536
|
-
#endif
|
537
|
-
scs_free(t);
|
538
|
-
return dist;
|
539
|
-
}
|
540
|
-
|
541
|
-
static char *get_accel_summary(ScsInfo *info, scs_float total_accel_time) {
|
542
|
-
char *str = (char *)scs_malloc(sizeof(char) * 64);
|
543
|
-
sprintf(str, "\tAcceleration: avg step time: %1.2es\n",
|
544
|
-
total_accel_time / (info->iter + 1) / 1e3);
|
545
|
-
return str;
|
546
|
-
}
|
547
|
-
|
548
|
-
static void print_footer(const ScsData *d, const ScsCone *k, ScsSolution *sol,
|
549
|
-
ScsWork *w, ScsInfo *info,
|
550
|
-
scs_float total_accel_time) {
|
593
|
+
static void print_footer(ScsInfo *info) {
|
551
594
|
scs_int i;
|
552
|
-
|
553
|
-
char *cone_str = SCS(get_cone_summary)(info, w->cone_work);
|
554
|
-
char *accel_str = get_accel_summary(info, total_accel_time);
|
595
|
+
|
555
596
|
for (i = 0; i < LINE_LEN; ++i) {
|
556
597
|
scs_printf("-");
|
557
598
|
}
|
558
|
-
scs_printf("\
|
559
|
-
|
560
|
-
|
561
|
-
|
562
|
-
|
563
|
-
|
564
|
-
|
565
|
-
|
566
|
-
if (lin_sys_str) {
|
567
|
-
scs_printf("%s", lin_sys_str);
|
568
|
-
scs_free(lin_sys_str);
|
569
|
-
}
|
570
|
-
|
571
|
-
if (cone_str) {
|
572
|
-
scs_printf("%s", cone_str);
|
573
|
-
scs_free(cone_str);
|
574
|
-
}
|
575
|
-
|
576
|
-
if (accel_str) {
|
577
|
-
scs_printf("%s", accel_str);
|
578
|
-
scs_free(accel_str);
|
579
|
-
}
|
599
|
+
scs_printf("\n");
|
600
|
+
scs_printf("status: %s\n", info->status);
|
601
|
+
scs_printf("timings: total: %1.2es = setup: %1.2es + solve: %1.2es\n",
|
602
|
+
(info->setup_time + info->solve_time) / 1e3,
|
603
|
+
info->setup_time / 1e3, info->solve_time / 1e3);
|
604
|
+
scs_printf("\t lin-sys: %1.2es, cones: %1.2es, accel: %1.2es\n",
|
605
|
+
info->lin_sys_time / 1e3, info->cone_time / 1e3,
|
606
|
+
info->accel_time / 1e3);
|
580
607
|
|
581
608
|
for (i = 0; i < LINE_LEN; ++i) {
|
582
609
|
scs_printf("-");
|
583
610
|
}
|
584
611
|
scs_printf("\n");
|
585
|
-
|
586
|
-
|
587
|
-
|
588
|
-
|
589
|
-
|
590
|
-
|
591
|
-
scs_printf("
|
592
|
-
|
593
|
-
scs_printf("Certificate of dual infeasibility:\n");
|
594
|
-
scs_printf("dist(s, K) = %.4e\n",
|
595
|
-
get_pri_cone_dist(sol->s, k, w->cone_work, d->m));
|
596
|
-
scs_printf("|Ax + s|_2 * |c|_2 = %.4e\n", info->res_unbdd);
|
597
|
-
scs_printf("c'x = %.4f\n", SCS(dot)(d->c, sol->x, d->n));
|
598
|
-
} else {
|
599
|
-
scs_printf("Error metrics:\n");
|
600
|
-
scs_printf("dist(s, K) = %.4e, dist(y, K*) = %.4e, s'y/|s||y| = %.4e\n",
|
601
|
-
get_pri_cone_dist(sol->s, k, w->cone_work, d->m),
|
602
|
-
get_dual_cone_dist(sol->y, k, w->cone_work, d->m),
|
603
|
-
SCS(dot)(sol->s, sol->y, d->m) / SCS(norm)(sol->s, d->m) /
|
604
|
-
SCS(norm)(sol->y, d->m));
|
605
|
-
scs_printf("primal res: |Ax + s - b|_2 / (1 + |b|_2) = %.4e\n",
|
606
|
-
info->res_pri);
|
607
|
-
scs_printf("dual res: |A'y + c|_2 / (1 + |c|_2) = %.4e\n",
|
608
|
-
info->res_dual);
|
609
|
-
scs_printf("rel gap: |c'x + b'y| / (1 + |c'x| + |b'y|) = %.4e\n",
|
610
|
-
info->rel_gap);
|
611
|
-
for (i = 0; i < LINE_LEN; ++i) {
|
612
|
-
scs_printf("-");
|
613
|
-
}
|
612
|
+
/* report mid point of primal and dual objective values */
|
613
|
+
scs_printf("objective = %.6f", 0.5 * (info->pobj + info->dobj));
|
614
|
+
switch (info->status_val) {
|
615
|
+
case SCS_SOLVED_INACCURATE:
|
616
|
+
case SCS_UNBOUNDED_INACCURATE:
|
617
|
+
case SCS_INFEASIBLE_INACCURATE:
|
618
|
+
scs_printf(" (inaccurate)");
|
619
|
+
default:
|
614
620
|
scs_printf("\n");
|
615
|
-
scs_printf("c'x = %.4f, -b'y = %.4f\n", info->pobj, info->dobj);
|
616
621
|
}
|
617
622
|
for (i = 0; i < LINE_LEN; ++i) {
|
618
|
-
scs_printf("
|
623
|
+
scs_printf("-");
|
619
624
|
}
|
620
625
|
scs_printf("\n");
|
621
626
|
#ifdef MATLAB_MEX_FILE
|
@@ -623,35 +628,55 @@ static void print_footer(const ScsData *d, const ScsCone *k, ScsSolution *sol,
|
|
623
628
|
#endif
|
624
629
|
}
|
625
630
|
|
626
|
-
static scs_int has_converged(ScsWork *w,
|
627
|
-
scs_float
|
628
|
-
|
629
|
-
|
630
|
-
|
631
|
+
static scs_int has_converged(ScsWork *w, scs_int iter) {
|
632
|
+
scs_float eps_abs = w->stgs->eps_abs;
|
633
|
+
scs_float eps_rel = w->stgs->eps_rel;
|
634
|
+
scs_float eps_infeas = w->stgs->eps_infeas;
|
635
|
+
scs_float grl, prl, drl;
|
636
|
+
|
637
|
+
ScsResiduals *r = w->r_orig;
|
638
|
+
scs_float *b = w->b_orig;
|
639
|
+
scs_float *c = w->c_orig;
|
640
|
+
scs_float *s = w->xys_orig->s;
|
641
|
+
|
642
|
+
if (r->tau > 0.) {
|
643
|
+
/* xt_p_x, ctx, bty already have tau divided out */
|
644
|
+
grl = MAX(MAX(ABS(r->xt_p_x), ABS(r->ctx)), ABS(r->bty));
|
645
|
+
/* s, ax, px, aty do *not* have tau divided out, so need to divide */
|
646
|
+
prl = MAX(MAX(NORM(b, w->m) * r->tau, NORM(s, w->m)), NORM(r->ax, w->m)) /
|
647
|
+
r->tau;
|
648
|
+
drl = MAX(MAX(NORM(c, w->n) * r->tau, NORM(r->px, w->n)),
|
649
|
+
NORM(r->aty, w->n)) /
|
650
|
+
r->tau;
|
651
|
+
if (isless(r->res_pri, eps_abs + eps_rel * prl) &&
|
652
|
+
isless(r->res_dual, eps_abs + eps_rel * drl) &&
|
653
|
+
isless(r->gap, eps_abs + eps_rel * grl)) {
|
654
|
+
return SCS_SOLVED;
|
655
|
+
}
|
631
656
|
}
|
632
|
-
|
633
|
-
|
634
|
-
if (isless(r->res_unbdd, eps) && iter > 0) {
|
657
|
+
if (isless(r->res_unbdd_a, eps_infeas) &&
|
658
|
+
isless(r->res_unbdd_p, eps_infeas)) {
|
635
659
|
return SCS_UNBOUNDED;
|
636
660
|
}
|
637
|
-
if (isless(r->res_infeas,
|
661
|
+
if (isless(r->res_infeas, eps_infeas)) {
|
638
662
|
return SCS_INFEASIBLE;
|
639
663
|
}
|
640
664
|
return 0;
|
641
665
|
}
|
642
666
|
|
643
|
-
|
644
|
-
|
667
|
+
#if NOVALIDATE == 0
|
668
|
+
static scs_int validate(const ScsData *d, const ScsCone *k,
|
669
|
+
const ScsSettings *stgs) {
|
645
670
|
if (d->m <= 0 || d->n <= 0) {
|
646
671
|
scs_printf("m and n must both be greater than 0; m = %li, n = %li\n",
|
647
672
|
(long)d->m, (long)d->n);
|
648
673
|
return -1;
|
649
674
|
}
|
650
675
|
if (d->m < d->n) {
|
651
|
-
scs_printf("WARN: m less than n, problem likely degenerate\n");
|
676
|
+
/* scs_printf("WARN: m less than n, problem likely degenerate\n"); */
|
652
677
|
/* return -1; */
|
653
678
|
}
|
654
|
-
if (SCS(validate_lin_sys)(d->A) < 0) {
|
679
|
+
if (SCS(validate_lin_sys)(d->A, d->P) < 0) {
|
655
680
|
scs_printf("invalid linear system input data\n");
|
656
681
|
return -1;
|
657
682
|
}
|
@@ -663,8 +688,16 @@ static scs_int validate(const ScsData *d, const ScsCone *k) {
|
|
663
688
|
scs_printf("max_iters must be positive\n");
|
664
689
|
return -1;
|
665
690
|
}
|
666
|
-
if (stgs->
|
667
|
-
scs_printf("
|
691
|
+
if (stgs->eps_abs < 0) {
|
692
|
+
scs_printf("eps_abs tolerance must be positive\n");
|
693
|
+
return -1;
|
694
|
+
}
|
695
|
+
if (stgs->eps_rel < 0) {
|
696
|
+
scs_printf("eps_rel tolerance must be positive\n");
|
697
|
+
return -1;
|
698
|
+
}
|
699
|
+
if (stgs->eps_infeas < 0) {
|
700
|
+
scs_printf("eps_infeas tolerance must be positive\n");
|
668
701
|
return -1;
|
669
702
|
}
|
670
703
|
if (stgs->alpha <= 0 || stgs->alpha >= 2) {
|
@@ -679,238 +712,411 @@ static scs_int validate(const ScsData *d, const ScsCone *k) {
|
|
679
712
|
scs_printf("scale must be positive (1 works well).\n");
|
680
713
|
return -1;
|
681
714
|
}
|
715
|
+
if (stgs->acceleration_interval <= 0) {
|
716
|
+
scs_printf("acceleration_interval must be positive (10 works well).\n");
|
717
|
+
return -1;
|
718
|
+
}
|
682
719
|
return 0;
|
683
720
|
}
|
721
|
+
#endif
|
722
|
+
|
723
|
+
static ScsResiduals *init_residuals(const ScsData *d) {
|
724
|
+
ScsResiduals *r = (ScsResiduals *)scs_calloc(1, sizeof(ScsResiduals));
|
725
|
+
r->last_iter = -1;
|
726
|
+
r->ax = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
727
|
+
r->ax_s = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
728
|
+
r->ax_s_btau = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
729
|
+
r->px = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
730
|
+
r->aty = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
731
|
+
r->px_aty_ctau = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
732
|
+
return r;
|
733
|
+
}
|
684
734
|
|
685
|
-
|
735
|
+
/* Sets the diag_r vector, given the scale parameters in work */
|
736
|
+
static void set_diag_r(ScsWork *w) {
|
737
|
+
scs_int i;
|
738
|
+
for (i = 0; i < w->n; ++i) {
|
739
|
+
w->diag_r[i] = w->stgs->rho_x;
|
740
|
+
}
|
741
|
+
/* use cone information to set R_y */
|
742
|
+
SCS(set_r_y)(w->cone_work, w->scale, &(w->diag_r[w->n]));
|
743
|
+
/* if modified need to SCS(enforce_cone_boundaries)(...) */
|
744
|
+
w->diag_r[w->n + w->m] = TAU_FACTOR; /* TODO: is this the best choice? */
|
745
|
+
}
|
746
|
+
|
747
|
+
static ScsWork *init_work(const ScsData *d, const ScsCone *k,
|
748
|
+
const ScsSettings *stgs) {
|
686
749
|
ScsWork *w = (ScsWork *)scs_calloc(1, sizeof(ScsWork));
|
687
750
|
scs_int l = d->n + d->m + 1;
|
688
|
-
if (
|
689
|
-
print_init_header(d, k);
|
751
|
+
if (stgs->verbose) {
|
752
|
+
print_init_header(d, k, stgs);
|
690
753
|
}
|
691
754
|
if (!w) {
|
692
755
|
scs_printf("ERROR: allocating work failure\n");
|
693
756
|
return SCS_NULL;
|
694
757
|
}
|
695
758
|
/* get settings and dims from data struct */
|
696
|
-
w->
|
759
|
+
w->d = d;
|
760
|
+
w->k = k;
|
761
|
+
w->stgs = stgs;
|
762
|
+
w->scale = stgs->scale; /* initial scale, may be updated */
|
697
763
|
w->m = d->m;
|
698
764
|
w->n = d->n;
|
699
|
-
w->
|
765
|
+
w->last_scale_update_iter = 0;
|
766
|
+
w->sum_log_scale_factor = 0.;
|
767
|
+
w->n_log_scale_factor = 0;
|
768
|
+
w->scale_updates = 0;
|
769
|
+
w->time_limit_reached = 0;
|
700
770
|
/* allocate workspace: */
|
701
|
-
|
702
|
-
w->
|
703
|
-
w->
|
704
|
-
w->
|
705
|
-
w->
|
706
|
-
w->h = (scs_float *)
|
707
|
-
w->g = (scs_float *)
|
708
|
-
w->
|
709
|
-
w->
|
710
|
-
|
711
|
-
w->
|
712
|
-
|
713
|
-
|
771
|
+
w->u = (scs_float *)scs_calloc(l, sizeof(scs_float));
|
772
|
+
w->u_t = (scs_float *)scs_calloc(l, sizeof(scs_float));
|
773
|
+
w->v = (scs_float *)scs_calloc(l, sizeof(scs_float));
|
774
|
+
w->v_prev = (scs_float *)scs_calloc(l, sizeof(scs_float));
|
775
|
+
w->rsk = (scs_float *)scs_calloc(l, sizeof(scs_float));
|
776
|
+
w->h = (scs_float *)scs_calloc((l - 1), sizeof(scs_float));
|
777
|
+
w->g = (scs_float *)scs_calloc((l - 1), sizeof(scs_float));
|
778
|
+
w->lin_sys_warm_start = (scs_float *)scs_calloc((l - 1), sizeof(scs_float));
|
779
|
+
w->diag_r = (scs_float *)scs_calloc(l, sizeof(scs_float));
|
780
|
+
/* x,y,s struct */
|
781
|
+
w->xys_orig = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
782
|
+
w->xys_orig->x = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
783
|
+
w->xys_orig->s = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
784
|
+
w->xys_orig->y = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
785
|
+
w->r_orig = init_residuals(d);
|
786
|
+
|
787
|
+
w->A = d->A;
|
788
|
+
w->P = d->P;
|
789
|
+
|
790
|
+
w->b_orig = d->b;
|
791
|
+
w->c_orig = d->c;
|
792
|
+
w->b_normalized = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
793
|
+
w->c_normalized = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
794
|
+
memcpy(w->b_normalized, w->b_orig, w->m * sizeof(scs_float));
|
795
|
+
memcpy(w->c_normalized, w->c_orig, w->n * sizeof(scs_float));
|
796
|
+
|
797
|
+
if (!(w->cone_work = SCS(init_cone)(k, w->m))) {
|
798
|
+
scs_printf("ERROR: init_cone failure\n");
|
799
|
+
return SCS_NULL;
|
800
|
+
}
|
801
|
+
set_diag_r(w);
|
802
|
+
|
803
|
+
if (!w->c_normalized) {
|
714
804
|
scs_printf("ERROR: work memory allocation failure\n");
|
715
805
|
return SCS_NULL;
|
716
806
|
}
|
717
|
-
|
718
|
-
w->v = &(w->u[l]);
|
719
|
-
w->v_best = &(w->u_best[l]);
|
720
|
-
w->v_prev = &(w->u_prev[l]);
|
721
|
-
w->A = d->A;
|
807
|
+
|
722
808
|
if (w->stgs->normalize) {
|
809
|
+
w->xys_normalized = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
810
|
+
w->xys_normalized->x = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
811
|
+
w->xys_normalized->s = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
812
|
+
w->xys_normalized->y = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
813
|
+
w->r_normalized = init_residuals(d);
|
814
|
+
|
723
815
|
#ifdef COPYAMATRIX
|
724
|
-
if (!SCS(
|
816
|
+
if (!SCS(copy_matrix)(&(w->A), d->A)) {
|
725
817
|
scs_printf("ERROR: copy A matrix failed\n");
|
726
818
|
return SCS_NULL;
|
727
819
|
}
|
820
|
+
if (w->P && !SCS(copy_matrix)(&(w->P), d->P)) {
|
821
|
+
scs_printf("ERROR: copy P matrix failed\n");
|
822
|
+
return SCS_NULL;
|
823
|
+
}
|
728
824
|
#endif
|
729
|
-
|
730
|
-
SCS(
|
731
|
-
|
732
|
-
SCS(print_array)(w->scal->D, d->m, "D");
|
733
|
-
scs_printf("SCS(norm) D = %4f\n", SCS(norm)(w->scal->D, d->m));
|
734
|
-
SCS(print_array)(w->scal->E, d->n, "E");
|
735
|
-
scs_printf("SCS(norm) E = %4f\n", SCS(norm)(w->scal->E, d->n));
|
736
|
-
#endif
|
825
|
+
/* this allocates memory that must be freed */
|
826
|
+
w->scal = SCS(normalize_a_p)(w->P, w->A, w->b_normalized, w->c_normalized,
|
827
|
+
w->cone_work);
|
737
828
|
} else {
|
829
|
+
w->xys_normalized = w->xys_orig;
|
830
|
+
w->r_normalized = w->r_orig;
|
738
831
|
w->scal = SCS_NULL;
|
739
832
|
}
|
740
|
-
if (!(w->
|
741
|
-
scs_printf("ERROR: init_cone failure\n");
|
742
|
-
return SCS_NULL;
|
743
|
-
}
|
744
|
-
if (!(w->p = SCS(init_lin_sys_work)(w->A, w->stgs))) {
|
833
|
+
if (!(w->p = SCS(init_lin_sys_work)(w->A, w->P, w->diag_r))) {
|
745
834
|
scs_printf("ERROR: init_lin_sys_work failure\n");
|
746
835
|
return SCS_NULL;
|
747
836
|
}
|
748
|
-
|
749
|
-
|
750
|
-
|
751
|
-
|
752
|
-
|
837
|
+
/* Acceleration */
|
838
|
+
w->rejected_accel_steps = 0;
|
839
|
+
w->accepted_accel_steps = 0;
|
840
|
+
if (w->stgs->acceleration_lookback) {
|
841
|
+
/* TODO(HACK!) negative acceleration_lookback interpreted as type-II */
|
842
|
+
if (!(w->accel = aa_init(l, ABS(w->stgs->acceleration_lookback),
|
843
|
+
w->stgs->acceleration_lookback > 0,
|
844
|
+
w->stgs->acceleration_lookback > 0
|
845
|
+
? AA_REGULARIZATION_TYPE_1
|
846
|
+
: AA_REGULARIZATION_TYPE_2,
|
847
|
+
AA_RELAXATION, AA_SAFEGUARD_FACTOR,
|
848
|
+
AA_MAX_WEIGHT_NORM, VERBOSITY))) {
|
849
|
+
if (w->stgs->verbose) {
|
850
|
+
scs_printf("WARN: aa_init returned NULL, no acceleration applied.\n");
|
851
|
+
}
|
753
852
|
}
|
853
|
+
} else {
|
854
|
+
w->accel = SCS_NULL;
|
754
855
|
}
|
755
856
|
return w;
|
756
857
|
}
|
757
858
|
|
758
|
-
static
|
759
|
-
|
859
|
+
static void update_work_cache(ScsWork *w) {
|
860
|
+
/* g = (I + M)^{-1} h */
|
861
|
+
memcpy(w->g, w->h, (w->n + w->m) * sizeof(scs_float));
|
862
|
+
SCS(scale_array)(&(w->g[w->n]), -1., w->m);
|
863
|
+
SCS(solve_lin_sys)(w->p, w->g, SCS_NULL, CG_BEST_TOL);
|
864
|
+
return;
|
865
|
+
}
|
866
|
+
|
867
|
+
static scs_int update_work(const ScsData *d, ScsWork *w, ScsSolution *sol) {
|
760
868
|
/* before normalization */
|
761
869
|
scs_int n = d->n;
|
762
870
|
scs_int m = d->m;
|
763
|
-
|
764
|
-
w->nm_b = SCS(norm)(d->b, m);
|
765
|
-
w->nm_c = SCS(norm)(d->c, n);
|
766
|
-
memcpy(w->b, d->b, d->m * sizeof(scs_float));
|
767
|
-
memcpy(w->c, d->c, d->n * sizeof(scs_float));
|
768
|
-
|
769
|
-
#if EXTRA_VERBOSE > 0
|
770
|
-
SCS(print_array)(w->b, m, "b");
|
771
|
-
scs_printf("pre-normalized norm b = %4f\n", SCS(norm)(w->b, m));
|
772
|
-
SCS(print_array)(w->c, n, "c");
|
773
|
-
scs_printf("pre-normalized norm c = %4f\n", SCS(norm)(w->c, n));
|
774
|
-
#endif
|
775
|
-
if (w->stgs->normalize) {
|
776
|
-
SCS(normalize_b_c)(w);
|
777
|
-
#if EXTRA_VERBOSE > 0
|
778
|
-
SCS(print_array)(w->b, m, "bn");
|
779
|
-
scs_printf("sc_b = %4f\n", w->sc_b);
|
780
|
-
scs_printf("post-normalized norm b = %4f\n", SCS(norm)(w->b, m));
|
781
|
-
SCS(print_array)(w->c, n, "cn");
|
782
|
-
scs_printf("sc_c = %4f\n", w->sc_c);
|
783
|
-
scs_printf("post-normalized norm c = %4f\n", SCS(norm)(w->c, n));
|
784
|
-
#endif
|
785
|
-
}
|
786
871
|
if (w->stgs->warm_start) {
|
787
872
|
warm_start_vars(w, sol);
|
788
873
|
} else {
|
789
874
|
cold_start_vars(w);
|
790
875
|
}
|
791
|
-
|
792
|
-
|
793
|
-
memcpy(w->
|
794
|
-
|
795
|
-
|
796
|
-
w->g_th = SCS(dot)(w->h, w->g, n + m);
|
876
|
+
|
877
|
+
/* h = [c;b] */
|
878
|
+
memcpy(w->h, w->c_normalized, n * sizeof(scs_float));
|
879
|
+
memcpy(&(w->h[n]), w->b_normalized, m * sizeof(scs_float));
|
880
|
+
update_work_cache(w);
|
797
881
|
return 0;
|
798
882
|
}
|
799
883
|
|
800
|
-
|
801
|
-
|
802
|
-
|
803
|
-
scs_float v_norm_difference = SCS(norm_diff)(w->v, w->v_prev, l);
|
804
|
-
scs_float norm = SQRTF(SCS(norm_sq)(w->u, l) + SCS(norm_sq)(w->v, l));
|
805
|
-
scs_float norm_diff = SQRTF(u_norm_difference * u_norm_difference +
|
806
|
-
v_norm_difference * v_norm_difference);
|
807
|
-
return norm_diff / norm;
|
884
|
+
/* will update if the factor is outside of range */
|
885
|
+
scs_int should_update_r(scs_float factor, scs_int iter) {
|
886
|
+
return (factor > SQRTF(10.) || factor < 1. / SQRTF(10.));
|
808
887
|
}
|
809
888
|
|
810
|
-
static void
|
811
|
-
|
812
|
-
|
813
|
-
|
814
|
-
|
815
|
-
|
889
|
+
static void update_scale(ScsWork *w, const ScsCone *k, scs_int iter) {
|
890
|
+
scs_int i;
|
891
|
+
scs_float factor, new_scale;
|
892
|
+
|
893
|
+
ScsResiduals *r = w->r_orig;
|
894
|
+
ScsSolution *xys = w->xys_orig;
|
895
|
+
scs_float *b = w->b_orig;
|
896
|
+
scs_float *c = w->c_orig;
|
897
|
+
|
898
|
+
scs_int iters_since_last_update = iter - w->last_scale_update_iter;
|
899
|
+
/* ||Ax + s - b * tau|| */
|
900
|
+
scs_float relative_res_pri =
|
901
|
+
SAFEDIV_POS(SCALE_NORM(r->ax_s_btau, w->m),
|
902
|
+
MAX(MAX(SCALE_NORM(r->ax, w->m), SCALE_NORM(xys->s, w->m)),
|
903
|
+
SCALE_NORM(b, w->m) * r->tau));
|
904
|
+
/* ||Px + A'y + c * tau|| */
|
905
|
+
scs_float relative_res_dual =
|
906
|
+
SAFEDIV_POS(SCALE_NORM(r->px_aty_ctau, w->n),
|
907
|
+
MAX(MAX(SCALE_NORM(r->px, w->n), SCALE_NORM(r->aty, w->n)),
|
908
|
+
SCALE_NORM(c, w->n) * r->tau));
|
909
|
+
|
910
|
+
/* higher scale makes res_pri go down faster, so increase if res_pri larger */
|
911
|
+
w->sum_log_scale_factor += log(relative_res_pri) - log(relative_res_dual);
|
912
|
+
w->n_log_scale_factor++;
|
913
|
+
|
914
|
+
/* geometric mean */
|
915
|
+
factor =
|
916
|
+
SQRTF(exp(w->sum_log_scale_factor / (scs_float)(w->n_log_scale_factor)));
|
917
|
+
|
918
|
+
/* need at least RESCALING_MIN_ITERS since last update */
|
919
|
+
if (iters_since_last_update < RESCALING_MIN_ITERS) {
|
920
|
+
return;
|
921
|
+
}
|
922
|
+
new_scale = MIN(MAX(w->scale * factor, MIN_SCALE_VALUE), MAX_SCALE_VALUE);
|
923
|
+
if (new_scale == w->scale) {
|
924
|
+
return;
|
925
|
+
}
|
926
|
+
if (should_update_r(factor, iters_since_last_update)) {
|
927
|
+
w->scale_updates++;
|
928
|
+
w->sum_log_scale_factor = 0;
|
929
|
+
w->n_log_scale_factor = 0;
|
930
|
+
w->last_scale_update_iter = iter;
|
931
|
+
w->scale = new_scale;
|
932
|
+
|
933
|
+
/* update diag r vector */
|
934
|
+
set_diag_r(w);
|
935
|
+
|
936
|
+
/* update linear systems */
|
937
|
+
SCS(update_lin_sys_diag_r)(w->p, w->diag_r);
|
938
|
+
|
939
|
+
/* update pre-solved quantities */
|
940
|
+
update_work_cache(w);
|
941
|
+
|
942
|
+
/* reset acceleration so that old iterates aren't affecting new values */
|
943
|
+
if (w->accel) {
|
944
|
+
aa_reset(w->accel);
|
945
|
+
}
|
946
|
+
/* update v, using fact that rsk, u, u_t vectors should be the same */
|
947
|
+
/* solve: R^+ (v^+ + u - 2u_t) = rsk = R(v + u - 2u_t)
|
948
|
+
* => v^+ = R+^-1 rsk + 2u_t - u
|
949
|
+
*/
|
950
|
+
for (i = 0; i < w->n + w->m + 1; i++) {
|
951
|
+
w->v[i] = w->rsk[i] / w->diag_r[i] + 2 * w->u_t[i] - w->u[i];
|
952
|
+
}
|
816
953
|
}
|
817
954
|
}
|
818
955
|
|
819
|
-
|
820
|
-
|
956
|
+
/* scs is homogeneous so scale the iterate to keep norm reasonable */
|
957
|
+
static inline void normalize_v(scs_float *v, scs_int len) {
|
958
|
+
scs_float v_norm = SCS(norm_2)(v, len); /* always l2 norm */
|
959
|
+
SCS(scale_array)(v, SQRTF((scs_float)len) * ITERATE_NORM / v_norm, len);
|
960
|
+
}
|
961
|
+
|
962
|
+
scs_int scs_solve(ScsWork *w, ScsSolution *sol, ScsInfo *info) {
|
821
963
|
scs_int i;
|
822
|
-
SCS(timer) solve_timer, accel_timer;
|
823
|
-
scs_float total_accel_time = 0.0,
|
824
|
-
|
825
|
-
|
826
|
-
|
827
|
-
scs_printf("ERROR: SCS_NULL input\n");
|
964
|
+
SCS(timer) solve_timer, lin_sys_timer, cone_timer, accel_timer;
|
965
|
+
scs_float total_accel_time = 0.0, total_cone_time = 0.0,
|
966
|
+
total_lin_sys_time = 0.0;
|
967
|
+
if (!sol || !w || !info) {
|
968
|
+
scs_printf("ERROR: missing ScsWork, ScsSolution or ScsInfo input\n");
|
828
969
|
return SCS_FAILED;
|
829
970
|
}
|
971
|
+
scs_int l = w->m + w->n + 1;
|
972
|
+
const ScsData *d = w->d;
|
973
|
+
const ScsCone *k = w->k;
|
974
|
+
const ScsSettings *stgs = w->stgs;
|
830
975
|
/* initialize ctrl-c support */
|
831
976
|
scs_start_interrupt_listener();
|
832
977
|
SCS(tic)(&solve_timer);
|
978
|
+
strcpy(info->lin_sys_solver, SCS(get_lin_sys_method)());
|
833
979
|
info->status_val = SCS_UNFINISHED; /* not yet converged */
|
834
|
-
r.last_iter = -1;
|
835
980
|
update_work(d, w, sol);
|
836
981
|
|
837
982
|
if (w->stgs->verbose) {
|
838
983
|
print_header(w, k);
|
839
984
|
}
|
840
|
-
|
985
|
+
|
986
|
+
/* SCS */
|
841
987
|
for (i = 0; i < w->stgs->max_iters; ++i) {
|
842
|
-
/*
|
988
|
+
/* Accelerate here so that last step always projection onto cone */
|
843
989
|
/* this ensures the returned iterates always satisfy conic constraints */
|
844
|
-
|
845
|
-
|
846
|
-
|
847
|
-
|
848
|
-
|
849
|
-
|
850
|
-
|
990
|
+
if (w->accel) {
|
991
|
+
SCS(tic)(&accel_timer);
|
992
|
+
if (i > 0 && i % w->stgs->acceleration_interval == 0) {
|
993
|
+
/* v overwritten with AA output here */
|
994
|
+
w->aa_norm = aa_apply(w->v, w->v_prev, w->accel);
|
995
|
+
}
|
996
|
+
total_accel_time += SCS(tocq)(&accel_timer);
|
851
997
|
}
|
852
|
-
total_accel_time += SCS(tocq)(&accel_timer);
|
853
998
|
|
854
|
-
|
855
|
-
|
856
|
-
|
857
|
-
|
999
|
+
if (i >= FEASIBLE_ITERS) {
|
1000
|
+
/* normalize v *after* applying any acceleration */
|
1001
|
+
/* the input to the DR step should be normalized */
|
1002
|
+
normalize_v(w->v, l);
|
1003
|
+
}
|
858
1004
|
|
859
|
-
|
1005
|
+
/* store v_prev = v, *after* normalizing */
|
860
1006
|
memcpy(w->v_prev, w->v, l * sizeof(scs_float));
|
861
1007
|
|
1008
|
+
/******************* linear system solve ********************/
|
1009
|
+
SCS(tic)(&lin_sys_timer);
|
862
1010
|
if (project_lin_sys(w, i) < 0) {
|
863
1011
|
return failure(w, w->m, w->n, sol, info, SCS_FAILED,
|
864
|
-
"error in project_lin_sys", "
|
1012
|
+
"error in project_lin_sys", "failure");
|
865
1013
|
}
|
1014
|
+
total_lin_sys_time += SCS(tocq)(&lin_sys_timer);
|
1015
|
+
|
1016
|
+
/****************** project onto the cones ******************/
|
1017
|
+
SCS(tic)(&cone_timer);
|
866
1018
|
if (project_cones(w, k, i) < 0) {
|
867
1019
|
return failure(w, w->m, w->n, sol, info, SCS_FAILED,
|
868
|
-
"error in project_cones", "
|
1020
|
+
"error in project_cones", "failure");
|
869
1021
|
}
|
1022
|
+
total_cone_time += SCS(tocq)(&cone_timer);
|
870
1023
|
|
871
|
-
|
1024
|
+
/* compute [r;s;kappa], must be before dual var update */
|
1025
|
+
/* since Moreau decomp logic relies on v at start */
|
1026
|
+
compute_rsk(w);
|
872
1027
|
|
873
|
-
if (
|
874
|
-
|
875
|
-
|
876
|
-
|
877
|
-
|
878
|
-
|
879
|
-
if ((info->status_val = has_converged(w,
|
1028
|
+
if (i % CONVERGED_INTERVAL == 0) {
|
1029
|
+
if (scs_is_interrupted()) {
|
1030
|
+
return failure(w, w->m, w->n, sol, info, SCS_SIGINT, "interrupted",
|
1031
|
+
"interrupted");
|
1032
|
+
}
|
1033
|
+
populate_residual_struct(w, i);
|
1034
|
+
if ((info->status_val = has_converged(w, i)) != 0) {
|
880
1035
|
break;
|
881
1036
|
}
|
882
|
-
|
1037
|
+
if (w->stgs->time_limit_secs) {
|
1038
|
+
if (SCS(tocq)(&solve_timer) > 1000. * w->stgs->time_limit_secs) {
|
1039
|
+
w->time_limit_reached = 1;
|
1040
|
+
break;
|
1041
|
+
}
|
1042
|
+
}
|
883
1043
|
}
|
884
1044
|
|
1045
|
+
/* Compute residuals. */
|
885
1046
|
if (w->stgs->verbose && i % PRINT_INTERVAL == 0) {
|
886
|
-
|
887
|
-
|
888
|
-
|
1047
|
+
populate_residual_struct(w, i);
|
1048
|
+
print_summary(w, i, &solve_timer);
|
1049
|
+
}
|
1050
|
+
|
1051
|
+
/* If residuals are fresh then maybe compute new scale. */
|
1052
|
+
if (w->stgs->adaptive_scale && i == w->r_orig->last_iter) {
|
1053
|
+
update_scale(w, k, i);
|
1054
|
+
}
|
1055
|
+
|
1056
|
+
/****************** dual variable step **********************/
|
1057
|
+
/* do this after update_scale due to remapping that happens there */
|
1058
|
+
update_dual_vars(w);
|
1059
|
+
|
1060
|
+
/* AA safeguard check.
|
1061
|
+
* Perform safeguarding *after* convergence check to prevent safeguard
|
1062
|
+
* overwriting converged iterate, since safeguard is on `v` and convergence
|
1063
|
+
* is on `u`.
|
1064
|
+
*/
|
1065
|
+
if (w->accel && i % w->stgs->acceleration_interval == 0 && w->aa_norm > 0) {
|
1066
|
+
if (aa_safeguard(w->v, w->v_prev, w->accel) < 0) {
|
1067
|
+
/* TODO should we copy u from u_prev here too? Then move above, possibly
|
1068
|
+
* better residual calculation and scale updating. */
|
1069
|
+
w->rejected_accel_steps++;
|
1070
|
+
} else {
|
1071
|
+
w->accepted_accel_steps++;
|
1072
|
+
}
|
1073
|
+
}
|
1074
|
+
|
1075
|
+
/* Log *after* updating scale so residual recalc does not affect alg */
|
1076
|
+
if (w->stgs->log_csv_filename) {
|
1077
|
+
/* calc residuals every iter if logging to csv */
|
1078
|
+
populate_residual_struct(w, i);
|
1079
|
+
SCS(log_data_to_csv)(d, k, stgs, w, i, &solve_timer);
|
889
1080
|
}
|
890
1081
|
}
|
1082
|
+
|
1083
|
+
/* Final logging after full run */
|
1084
|
+
if (w->stgs->log_csv_filename) {
|
1085
|
+
populate_residual_struct(w, i);
|
1086
|
+
SCS(log_data_to_csv)(d, k, stgs, w, i, &solve_timer);
|
1087
|
+
}
|
1088
|
+
|
891
1089
|
if (w->stgs->verbose) {
|
892
|
-
|
893
|
-
print_summary(w, i, &
|
1090
|
+
populate_residual_struct(w, i);
|
1091
|
+
print_summary(w, i, &solve_timer);
|
894
1092
|
}
|
1093
|
+
|
895
1094
|
/* populate solution vectors (unnormalized) and info */
|
896
|
-
|
1095
|
+
finalize(w, sol, info, i);
|
1096
|
+
|
1097
|
+
/* populate timings */
|
897
1098
|
info->solve_time = SCS(tocq)(&solve_timer);
|
1099
|
+
info->lin_sys_time = total_lin_sys_time;
|
1100
|
+
info->cone_time = total_cone_time;
|
1101
|
+
info->accel_time = total_accel_time;
|
898
1102
|
|
899
1103
|
if (w->stgs->verbose) {
|
900
|
-
print_footer(
|
1104
|
+
print_footer(info);
|
901
1105
|
}
|
1106
|
+
|
902
1107
|
scs_end_interrupt_listener();
|
903
1108
|
return info->status_val;
|
904
1109
|
}
|
905
1110
|
|
906
|
-
void
|
1111
|
+
void scs_finish(ScsWork *w) {
|
907
1112
|
if (w) {
|
908
1113
|
SCS(finish_cone)(w->cone_work);
|
909
1114
|
if (w->stgs && w->stgs->normalize) {
|
910
1115
|
#ifndef COPYAMATRIX
|
911
|
-
SCS(
|
1116
|
+
SCS(un_normalize_a_p)(w->A, w->P, w->scal);
|
912
1117
|
#else
|
913
|
-
SCS(
|
1118
|
+
SCS(free_scs_matrix)(w->A);
|
1119
|
+
SCS(free_scs_matrix)(w->P);
|
914
1120
|
#endif
|
915
1121
|
}
|
916
1122
|
if (w->p) {
|
@@ -923,56 +1129,48 @@ void SCS(finish)(ScsWork *w) {
|
|
923
1129
|
}
|
924
1130
|
}
|
925
1131
|
|
926
|
-
ScsWork *
|
927
|
-
#if EXTRA_VERBOSE > 1
|
928
|
-
SCS(tic)(&global_timer);
|
929
|
-
#endif
|
1132
|
+
ScsWork *scs_init(const ScsData *d, const ScsCone *k, const ScsSettings *stgs) {
|
930
1133
|
ScsWork *w;
|
931
1134
|
SCS(timer) init_timer;
|
932
1135
|
scs_start_interrupt_listener();
|
933
|
-
if (!d || !k
|
934
|
-
scs_printf("ERROR: Missing ScsData
|
1136
|
+
if (!d || !k) {
|
1137
|
+
scs_printf("ERROR: Missing ScsData or ScsCone input\n");
|
935
1138
|
return SCS_NULL;
|
936
1139
|
}
|
937
|
-
#if
|
938
|
-
|
939
|
-
SCS(print_cone_data)(k);
|
940
|
-
#endif
|
941
|
-
#ifndef NOVALIDATE
|
942
|
-
if (validate(d, k) < 0) {
|
1140
|
+
#if NOVALIDATE == 0
|
1141
|
+
if (validate(d, k, stgs) < 0) {
|
943
1142
|
scs_printf("ERROR: Validation returned failure\n");
|
944
1143
|
return SCS_NULL;
|
945
1144
|
}
|
946
1145
|
#endif
|
947
1146
|
SCS(tic)(&init_timer);
|
948
|
-
if (
|
949
|
-
SCS(write_data)(d, k);
|
1147
|
+
if (stgs->write_data_filename) {
|
1148
|
+
SCS(write_data)(d, k, stgs);
|
950
1149
|
}
|
951
|
-
w = init_work(d, k);
|
952
|
-
|
953
|
-
|
954
|
-
scs_printf("Setup time: %1.2es\n", info->setup_time / 1e3);
|
1150
|
+
w = init_work(d, k, stgs);
|
1151
|
+
if (w) {
|
1152
|
+
w->setup_time = SCS(tocq)(&init_timer);
|
955
1153
|
}
|
956
1154
|
scs_end_interrupt_listener();
|
957
1155
|
return w;
|
958
1156
|
}
|
959
1157
|
|
960
|
-
/* this just calls
|
961
|
-
scs_int scs(const ScsData *d, const ScsCone *k,
|
962
|
-
ScsInfo *info) {
|
1158
|
+
/* this just calls scs_init, scs_solve, and scs_finish */
|
1159
|
+
scs_int scs(const ScsData *d, const ScsCone *k, const ScsSettings *stgs,
|
1160
|
+
ScsSolution *sol, ScsInfo *info) {
|
963
1161
|
scs_int status;
|
964
|
-
ScsWork *w =
|
965
|
-
#if
|
1162
|
+
ScsWork *w = scs_init(d, k, stgs);
|
1163
|
+
#if VERBOSITY > 0
|
966
1164
|
scs_printf("size of scs_int = %lu, size of scs_float = %lu\n",
|
967
1165
|
sizeof(scs_int), sizeof(scs_float));
|
968
1166
|
#endif
|
969
1167
|
if (w) {
|
970
|
-
|
1168
|
+
scs_solve(w, sol, info);
|
971
1169
|
status = info->status_val;
|
972
1170
|
} else {
|
973
1171
|
status = failure(SCS_NULL, d ? d->m : -1, d ? d->n : -1, sol, info,
|
974
|
-
SCS_FAILED, "could not initialize work", "
|
1172
|
+
SCS_FAILED, "could not initialize work", "failure");
|
975
1173
|
}
|
976
|
-
|
1174
|
+
scs_finish(w);
|
977
1175
|
return status;
|
978
1176
|
}
|