scs 0.2.2 → 0.3.2

data/vendor/scs/test/problems/test_validation.h

@@ -0,0 +1,43 @@
+#include "glbopts.h"
+#include "minunit.h"
+#include "problem_utils.h"
+#include "scs.h"
+#include "util.h"
+
+static const char *test_validation(void) {
+  scs_printf("Testing that SCS handles bad inputs correctly:\n");
+
+  ScsCone *k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
+  ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
+  ScsSettings *stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
+  ScsSolution *sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
+  ScsSolution *opt_sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
+  ScsInfo info = {0};
+  scs_float p_f = 0.1;
+  int seed = 1234;
+  scs_int n = 1;
+  scs_int m = 3;
+  scs_int col_nnz = (scs_int)ceil(sqrt(n));
+  scs_int nnz = n * col_nnz;
+  scs_int exitflag;
+
+  k->z = (scs_int)floor(m * p_f);
+  k->l = m - k->z;
+
+  d->m = m;
+  d->n = n;
+  gen_random_prob_data(nnz, col_nnz, d, k, opt_sol, seed);
+  scs_set_default_settings(stgs);
+
+  /* TODO test more failure modes */
+  stgs->eps_abs = -1;
+
+  exitflag = scs(d, k, stgs, sol, &info);
+
+  mu_assert("test_fails: SCS failed to produce outputflag SCS_FAILED",
+            exitflag == SCS_FAILED);
+  SCS(free_data)(d, k, stgs);
+  SCS(free_sol)(sol);
+  SCS(free_sol)(opt_sol);
+  return 0;
+}

data/vendor/scs/test/problems/unbounded_tiny_qp.h

@@ -0,0 +1,82 @@
+#include "glbopts.h"
+#include "linalg.h"
+#include "minunit.h"
+#include "scs.h"
+#include "scs_matrix.h"
+#include "util.h"
+
+static const char *unbounded_tiny_qp(void) {
+  ScsCone *k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
+  ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
+  ScsSettings *stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
+  ScsSolution *sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
+  ScsInfo info = {0};
+  scs_int exitflag;
+  const char *fail;
+
+  /* data */
+  scs_float Ax[] = {
+      -0.04101197, 1.68314201,  0.5543439,   -0.96712378, 0.19370457,
+      -1.15055711, 1.13315795,  -1.05910693, 1.24512977,  -0.70999048,
+      -0.89976326, -0.41373294, -0.73848186, 0.08663554,  -0.1681749,
+      -0.42711619, -0.90501247, -0.490446,   -0.67124734, 1.67772257,
+      0.39924394,  0.16330292,  0.55609205,  -1.22088238, -0.25891675,
+      -3.07159984, -1.84102417, 1.5621635,   -1.13771529, 0.56067264,
+      -0.0854747,  0.31024722,  -0.07437118, -0.20711534, -0.35241366,
+      -0.98965142, -1.91488894, 1.01591507,  0.45387459,  1.43709968,
+      -0.0482982,  -0.32447,    -0.91433399, 0.49750765,  0.09150015,
+      0.69164184,  0.51064936,  -1.35009809, -1.35403213, 1.51897627};
+  scs_int Ai[] = {0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6,
+                  7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3,
+                  4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9};
+  scs_int Ap[] = {0, 10, 20, 30, 40, 50};
+
+  scs_float b[] = {1.4672744,   0.36190605, -0.5548082,  -0.35039932,
+                   -1.12765224, 0.51012137, -0.24927975, -1.45270362,
+                   -1.94080389, -0.0189713};
+  scs_float c[] = {0.17547329, -0.11983635, -0.11791039, 0.12099476,
+                   0.61931906};
+
+  scs_int m = 10;
+  scs_int n = 5;
+
+  scs_int l = m;
+
+  /* end data */
+
+  d->m = m;
+  d->n = n;
+  d->b = b;
+  d->c = c;
+
+  d->A = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix));
+
+  d->A->m = m;
+  d->A->n = n;
+
+  d->A->x = Ax;
+  d->A->i = Ai;
+  d->A->p = Ap;
+
+  k->l = l;
+
+  scs_set_default_settings(stgs);
+  stgs->eps_abs = 1e-6;
+  stgs->eps_rel = 1e-6;
+  stgs->eps_infeas = 1e-7;
+
+  exitflag = scs(d, k, stgs, sol, &info);
+
+  mu_assert("unbounded_tiny_qp: SCS failed to produce outputflag SCS_UNBOUNDED",
+            exitflag == SCS_UNBOUNDED);
+
+  fail = verify_solution_correct(d, k, stgs, &info, sol, exitflag);
+
+  SCS(free_sol)(sol);
+  scs_free(d->A);
+  scs_free(d->P);
+  scs_free(k);
+  scs_free(stgs);
+  scs_free(d);
+  return fail;
+}

data/vendor/scs/test/random_socp_prob.c

@@ -1,7 +1,7 @@
-#include <time.h> /* to seed random */
-#include "amatrix.h"
 #include "problem_utils.h"
 #include "scs.h"
+#include "scs_matrix.h"
+#include <time.h> /* to seed random */
 
 /*
  create data for problem:
@@ -11,7 +11,7 @@
 
  where K is a product of zero, linear, and second-order cones. A is a sparse
  matrix in
- CSC format. A is 3n by n with about sqrt(n) nonzeros per column.
+ CSC format. A is factor * n by n with about sqrt(n) nonzeros per column.
 
  Construct data in such a way that the problem is primal and dual
  feasible and thus bounded.
@@ -21,9 +21,11 @@ int main(int argc, char **argv) {
   scs_int n, m, col_nnz, nnz, i, q_total, q_num_rows, max_q;
   ScsCone *k;
   ScsData *d;
+  ScsSettings *stgs;
   ScsSolution *sol, *opt_sol;
   ScsInfo info = {0};
   scs_float p_f, p_l;
+  scs_int factor = 4;
   int seed = 0;
 
   /* default parameters */
@@ -32,68 +34,64 @@ int main(int argc, char **argv) {
   seed = time(SCS_NULL);
 
   switch (argc) {
-    case 5:
-      seed = atoi(argv[4]);
-    /* no break */
-    case 4:
-      p_f = atof(argv[2]);
-      p_l = atof(argv[3]);
-    /* no break */
-    case 2:
-      n = atoi(argv[1]);
-      break;
-    default:
-      scs_printf(
-          "usage:\t%s n p_f p_l s\n"
-          "\tcreates an SOCP with n variables where p_f fraction of "
-          "rows correspond\n"
-          "\tto equality constraints, p_l fraction of rows correspond "
-          "to LP constraints,\n"
-          "\tand the remaining percentage of rows are involved in "
-          "second-order\n"
-          "\tcone constraints. the random number generator is seeded "
-          "with s.\n"
-          "\tnote that p_f + p_l should be less than or equal to 1, "
-          "and that\n"
-          "\tp_f should be less than .33, since that corresponds to "
-          "as many equality\n"
-          "\tconstraints as variables.\n",
-          argv[0]);
-      scs_printf(
-          "\nusage:\t%s n p_f p_l\n"
-          "\tdefaults the seed to the system time\n",
-          argv[0]);
-      scs_printf(
-          "\nusage:\t%s n\n"
-          "\tdefaults to using p_f = 0.1 and p_l = 0.3\n",
-          argv[0]);
-      return 0;
+  case 5:
+    seed = atoi(argv[4]);
+  /* no break */
+  case 4:
+    p_f = atof(argv[2]);
+    p_l = atof(argv[3]);
+  /* no break */
+  case 2:
+    n = atoi(argv[1]);
+    break;
+  default:
+    scs_printf("usage:\t%s n p_f p_l s\n"
+               "\tcreates an SOCP with n variables where p_f fraction of "
+               "rows correspond\n"
+               "\tto equality constraints, p_l fraction of rows correspond "
+               "to LP constraints,\n"
+               "\tand the remaining percentage of rows are involved in "
+               "second-order\n"
+               "\tcone constraints. the random number generator is seeded "
+               "with s.\n"
+               "\tnote that p_f + p_l should be less than or equal to 1, "
+               "and that\n"
+               "\tp_f should be less than .33, since that corresponds to "
+               "as many equality\n"
+               "\tconstraints as variables.\n",
+               argv[0]);
+    scs_printf("\nusage:\t%s n p_f p_l\n"
+               "\tdefaults the seed to the system time\n",
+               argv[0]);
+    scs_printf("\nusage:\t%s n\n"
+               "\tdefaults to using p_f = 0.1 and p_l = 0.3\n",
+               argv[0]);
+    return 0;
   }
-  srand(seed);
   scs_printf("seed : %i\n", seed);
 
   k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
   d = (ScsData *)scs_calloc(1, sizeof(ScsData));
-  d->stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
+  stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
   sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
   opt_sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
 
-  m = 3 * n;
+  m = factor * n;
   col_nnz = (int)ceil(sqrt(n));
   nnz = n * col_nnz;
 
-  max_q = (scs_int)ceil(3 * n / log(3 * n));
+  max_q = (scs_int)ceil(factor * n / log(factor * n));
 
   if (p_f + p_l > 1.0) {
     printf("error: p_f + p_l > 1.0!\n");
     return 1;
   }
 
-  k->f = (scs_int)floor(3 * n * p_f);
-  k->l = (scs_int)floor(3 * n * p_l);
+  k->z = (scs_int)floor(factor * n * p_f);
+  k->l = (scs_int)floor(factor * n * p_l);
 
   k->qsize = 0;
-  q_num_rows = 3 * n - k->f - k->l;
+  q_num_rows = factor * n - k->z - k->l;
   k->q = (scs_int *)scs_malloc(q_num_rows * sizeof(scs_int));
 
   while (q_num_rows > max_q) {
@@ -117,6 +115,9 @@ int main(int argc, char **argv) {
   k->ssize = 0;
   k->ep = 0;
   k->ed = 0;
+  k->bsize = 0;
+  k->bu = SCS_NULL;
+  k->bl = SCS_NULL;
 
   scs_printf("\nA is %ld by %ld, with %ld nonzeros per column.\n", (long)m,
              (long)n, (long)col_nnz);
@@ -130,7 +131,7 @@ int main(int argc, char **argv) {
              ((scs_float)n * sizeof(scs_int)) / POWF(2, 30));
 
   printf("ScsCone information:\n");
-  printf("Zero cone rows: %ld\n", (long)k->f);
+  printf("Zero cone rows: %ld\n", (long)k->z);
   printf("LP cone rows: %ld\n", (long)k->l);
   printf("Number of second-order cones: %ld, covering %ld rows, with sizes\n[",
          (long)k->qsize, (long)q_total);
@@ -139,20 +140,20 @@ int main(int argc, char **argv) {
   }
   printf("]\n");
   printf("Number of rows covered is %ld out of %ld.\n\n",
-         (long)(q_total + k->f + k->l), (long)m);
+         (long)(q_total + k->z + k->l), (long)m);
 
   /* set up SCS structures */
   d->m = m;
   d->n = n;
-  gen_random_prob_data(nnz, col_nnz, d, k, opt_sol);
-  SCS(set_default_settings)(d);
+  gen_random_prob_data(nnz, col_nnz, d, k, opt_sol, seed);
+  scs_set_default_settings(stgs);
 
-  /* d->stgs->write_data_filename = "random_socp_prob"; */
+  /* stgs->write_data_filename = "random_socp_prob"; */
 
   scs_printf("true pri opt = %4f\n", SCS(dot)(d->c, opt_sol->x, d->n));
   scs_printf("true dua opt = %4f\n", -SCS(dot)(d->b, opt_sol->y, d->m));
   /* solve! */
-  scs(d, k, sol, &info);
+  scs(d, k, stgs, sol, &info);
   scs_printf("true pri opt = %4f\n", SCS(dot)(d->c, opt_sol->x, d->n));
   scs_printf("true dua opt = %4f\n", -SCS(dot)(d->b, opt_sol->y, d->m));
 
@@ -163,7 +164,7 @@ int main(int argc, char **argv) {
     scs_printf("scs dua obj = %4f\n", -SCS(dot)(d->b, sol->y, d->m));
   }
 
-  SCS(free_data)(d, k);
+  SCS(free_data)(d, k, stgs);
   SCS(free_sol)(sol);
   SCS(free_sol)(opt_sol);
 

data/vendor/scs/test/rng.h

@@ -0,0 +1,109 @@
+/*    This program by D E Knuth is in the public domain and freely copyable
+ *    AS LONG AS YOU MAKE ABSOLUTELY NO CHANGES!
+ *    It is explained in Seminumerical Algorithms, 3rd edition, Section 3.6
+ *    (or in the errata to the 2nd edition --- see
+ *        http://www-cs-faculty.stanford.edu/~knuth/taocp.html
+ *    in the changes to Volume 2 on pages 171 and following).              */
+
+/*    N.B. The MODIFICATIONS introduced in the 9th printing (2002) are
+      included here; there's no backwards compatibility with the original. */
+
+/*    This version also adopts Brendan McKay's suggestion to
+      accommodate naive users who forget to call ran_start(seed).          */
+
+/*    If you find any bugs, please report them immediately to
+ *                 taocp@cs.stanford.edu
+ *    (and you will be rewarded if the bug is genuine). Thanks!            */
+
+/************ see the book for explanations and caveats! *******************/
+/************ in particular, you need two's complement arithmetic **********/
+
+#define KK 100                                  /* the long lag */
+#define LL 37                                   /* the short lag */
+#define MM (1L << 30)                           /* the modulus */
+#define mod_diff(x, y) (((x) - (y)) & (MM - 1)) /* subtraction mod MM */
+
+long ran_x[KK]; /* the generator state */
+
+#ifdef __STDC__
+void ran_array(long aa[], int n)
+#else
+void ran_array(aa, n) /* put n new random numbers in aa */
+    long *aa;         /* destination */
+int n;                /* array length (must be at least KK) */
+#endif
+{
+  register int i, j;
+  for (j = 0; j < KK; j++)
+    aa[j] = ran_x[j];
+  for (; j < n; j++)
+    aa[j] = mod_diff(aa[j - KK], aa[j - LL]);
+  for (i = 0; i < LL; i++, j++)
+    ran_x[i] = mod_diff(aa[j - KK], aa[j - LL]);
+  for (; i < KK; i++, j++)
+    ran_x[i] = mod_diff(aa[j - KK], ran_x[i - LL]);
+}
+
+/* the following routines are from exercise 3.6--15 */
+/* after calling ran_start, get new randoms by, e.g., "x=ran_arr_next()" */
+
+#define QUALITY 1009 /* recommended quality level for high-res use */
+long ran_arr_buf[QUALITY];
+long ran_arr_dummy = -1, ran_arr_started = -1;
+long *ran_arr_ptr = &ran_arr_dummy; /* the next random number, or -1 */
+
+#define TT 70             /* guaranteed separation between streams */
+#define is_odd(x) ((x)&1) /* units bit of x */
+
+#ifdef __STDC__
+void ran_start(long seed)
+#else
+void ran_start(seed)  /* do this before using ran_array */
+    long seed;        /* selector for different streams */
+#endif
+{
+  register int t, j;
+  long x[KK + KK - 1]; /* the preparation buffer */
+  register long ss = (seed + 2) & (MM - 2);
+  for (j = 0; j < KK; j++) {
+    x[j] = ss; /* bootstrap the buffer */
+    ss <<= 1;
+    if (ss >= MM)
+      ss -= MM - 2; /* cyclic shift 29 bits */
+  }
+  x[1]++; /* make x[1] (and only x[1]) odd */
+  for (ss = seed & (MM - 1), t = TT - 1; t;) {
+    for (j = KK - 1; j > 0; j--)
+      x[j + j] = x[j], x[j + j - 1] = 0; /* "square" */
+    for (j = KK + KK - 2; j >= KK; j--)
+      x[j - (KK - LL)] = mod_diff(x[j - (KK - LL)], x[j]),
+                  x[j - KK] = mod_diff(x[j - KK], x[j]);
+    if (is_odd(ss)) { /* "multiply by z" */
+      for (j = KK; j > 0; j--)
+        x[j] = x[j - 1];
+      x[0] = x[KK]; /* shift the buffer cyclically */
+      x[LL] = mod_diff(x[LL], x[KK]);
+    }
+    if (ss)
+      ss >>= 1;
+    else
+      t--;
+  }
+  for (j = 0; j < LL; j++)
+    ran_x[j + KK - LL] = x[j];
+  for (; j < KK; j++)
+    ran_x[j - LL] = x[j];
+  for (j = 0; j < 10; j++)
+    ran_array(x, KK + KK - 1); /* warm things up */
+  ran_arr_ptr = &ran_arr_started;
+}
+
+#define ran_arr_next() (*ran_arr_ptr >= 0 ? *ran_arr_ptr++ : ran_arr_cycle())
+long ran_arr_cycle(void) {
+  if (ran_arr_ptr == &ran_arr_dummy)
+    ran_start(314159L); /* the user forgot to initialize */
+  ran_array(ran_arr_buf, QUALITY);
+  ran_arr_buf[KK] = -1;
+  ran_arr_ptr = ran_arr_buf + 1;
+  return ran_arr_buf[0];
+}

data/vendor/scs/test/run_from_file.c

@@ -12,16 +12,24 @@ scs_int override_setting(ScsSettings *s, char *param, char *val) {
     s->rho_x = atof(val);
   } else if (strcmp(param, "max_iters") == 0) {
     s->max_iters = atoi(val);
-  } else if (strcmp(param, "eps") == 0) {
-    s->eps = atof(val);
+  } else if (strcmp(param, "eps_abs") == 0) {
+    s->eps_abs = atof(val);
+  } else if (strcmp(param, "eps_rel") == 0) {
+    s->eps_rel = atof(val);
+  } else if (strcmp(param, "eps_infeas") == 0) {
+    s->eps_infeas = atof(val);
   } else if (strcmp(param, "alpha") == 0) {
     s->alpha = atof(val);
-  } else if (strcmp(param, "cg_rate") == 0) {
-    s->cg_rate = atof(val);
   } else if (strcmp(param, "verbose") == 0) {
     s->verbose = atoi(val);
   } else if (strcmp(param, "acceleration_lookback") == 0) {
     s->acceleration_lookback = atoi(val);
+  } else if (strcmp(param, "acceleration_interval") == 0) {
+    s->acceleration_interval = atoi(val);
+  } else if (strcmp(param, "adaptive_scale") == 0) {
+    s->adaptive_scale = atoi(val);
+  } else if (strcmp(param, "log_csv_filename") == 0) {
+    s->log_csv_filename = val;
   } else {
     return -1;
   }
@@ -36,6 +44,7 @@ int main(int argc, char **argv) {
   scs_int read_status;
   ScsData *d;
   ScsCone *k;
+  ScsSettings *stgs;
   ScsSolution *sol;
   ScsInfo info = {0};
   scs_int i;
@@ -44,7 +53,7 @@ int main(int argc, char **argv) {
     return -1;
   }
   filename = argv[1];
-  read_status = SCS(read_data)(filename, &d, &k);
+  read_status = SCS(read_data)(filename, &d, &k, &stgs);
   if (read_status < 0) {
     scs_printf("Data read failure, exit.\n");
     return -1;
@@ -52,18 +61,18 @@ int main(int argc, char **argv) {
   for (i = 2; i < argc; i += 2) {
     if (argc < i + 2) {
       scs_printf("Incorrect number of arguments supplied\n.");
-      SCS(free_data)(d, k);
+      SCS(free_data)(d, k, stgs);
       return -1;
     }
-    if (override_setting(d->stgs, argv[i], argv[i + 1]) < 0) {
+    if (override_setting(stgs, argv[i], argv[i + 1]) < 0) {
       scs_printf("Unrecognized setting %s\n", argv[i]);
-      SCS(free_data)(d, k);
+      SCS(free_data)(d, k, stgs);
       return -1;
     }
   }
-  sol = scs_calloc(1, sizeof(ScsSolution));
-  scs(d, k, sol, &info);
-  SCS(free_data)(d, k);
+  sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
+  scs(d, k, stgs, sol, &info);
+  SCS(free_data)(d, k, stgs);
   SCS(free_sol)(sol);
   return 0;
 }

data/vendor/scs/test/run_tests.c

@@ -6,16 +6,49 @@
 #include "scs.h"
 
 /* Include Tests */
+#include "problems/degenerate.h"
+#include "problems/hs21_tiny_qp.h"
+#include "problems/hs21_tiny_qp_rw.h"
+#include "problems/infeasible_tiny_qp.h"
+#include "problems/qafiro_tiny_qp.h"
 #include "problems/small_lp.h"
+#include "problems/small_qp.h"
+#include "problems/test_validation.h"
+#include "problems/unbounded_tiny_qp.h"
+
+#define _SKIP(problem)                                                         \
+  char *problem(void) {                                                        \
+    scs_printf("skipped\n");                                                   \
+    return 0;                                                                  \
+  }
+
+#ifdef USE_LAPACK /* solve SDPs, requires blas / lapack */
 #include "problems/rob_gauss_cov_est.h"
-#include "problems/small_random_socp.h"
+#else
+_SKIP(rob_gauss_cov_est)
+#endif
+
+/* TODO: this reads a file written with 32bit ints */
+#if defined(USE_LAPACK) && !defined(DLONG)
+#include "problems/random_prob.h"
+#else
+_SKIP(random_prob)
+#endif
 
 int tests_run = 0;
 
 static const char *all_tests(void) {
+  mu_run_test(test_validation);
+  mu_run_test(degenerate);
   mu_run_test(small_lp);
+  mu_run_test(small_qp);
   mu_run_test(rob_gauss_cov_est);
-  mu_run_test(small_random_socp);
+  mu_run_test(hs21_tiny_qp);
+  mu_run_test(hs21_tiny_qp_rw);
+  mu_run_test(qafiro_tiny_qp);
+  mu_run_test(infeasible_tiny_qp);
+  mu_run_test(unbounded_tiny_qp);
+  mu_run_test(random_prob);
   return 0;
 }