scs 0.2.2
Sign up to get free protection for your applications and to get access to all the features.
- checksums.yaml +7 -0
- data/CHANGELOG.md +12 -0
- data/LICENSE.txt +22 -0
- data/README.md +98 -0
- data/ext/scs/extconf.rb +29 -0
- data/lib/scs.rb +17 -0
- data/lib/scs/ffi.rb +117 -0
- data/lib/scs/solver.rb +173 -0
- data/lib/scs/version.rb +3 -0
- data/vendor/scs/LICENSE.txt +21 -0
- data/vendor/scs/Makefile +164 -0
- data/vendor/scs/README.md +222 -0
- data/vendor/scs/include/aa.h +56 -0
- data/vendor/scs/include/cones.h +46 -0
- data/vendor/scs/include/ctrlc.h +33 -0
- data/vendor/scs/include/glbopts.h +177 -0
- data/vendor/scs/include/linalg.h +26 -0
- data/vendor/scs/include/linsys.h +64 -0
- data/vendor/scs/include/normalize.h +18 -0
- data/vendor/scs/include/rw.h +17 -0
- data/vendor/scs/include/scs.h +161 -0
- data/vendor/scs/include/scs_blas.h +51 -0
- data/vendor/scs/include/util.h +65 -0
- data/vendor/scs/linsys/amatrix.c +305 -0
- data/vendor/scs/linsys/amatrix.h +36 -0
- data/vendor/scs/linsys/amatrix.o +0 -0
- data/vendor/scs/linsys/cpu/direct/private.c +366 -0
- data/vendor/scs/linsys/cpu/direct/private.h +26 -0
- data/vendor/scs/linsys/cpu/direct/private.o +0 -0
- data/vendor/scs/linsys/cpu/indirect/private.c +256 -0
- data/vendor/scs/linsys/cpu/indirect/private.h +31 -0
- data/vendor/scs/linsys/cpu/indirect/private.o +0 -0
- data/vendor/scs/linsys/external/amd/LICENSE.txt +934 -0
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.c +469 -0
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.h +254 -0
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.o +0 -0
- data/vendor/scs/linsys/external/amd/amd.h +400 -0
- data/vendor/scs/linsys/external/amd/amd_1.c +180 -0
- data/vendor/scs/linsys/external/amd/amd_1.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_2.c +1842 -0
- data/vendor/scs/linsys/external/amd/amd_2.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_aat.c +184 -0
- data/vendor/scs/linsys/external/amd/amd_aat.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_control.c +64 -0
- data/vendor/scs/linsys/external/amd/amd_control.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_defaults.c +37 -0
- data/vendor/scs/linsys/external/amd/amd_defaults.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_dump.c +179 -0
- data/vendor/scs/linsys/external/amd/amd_dump.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_global.c +16 -0
- data/vendor/scs/linsys/external/amd/amd_global.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_info.c +119 -0
- data/vendor/scs/linsys/external/amd/amd_info.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_internal.h +304 -0
- data/vendor/scs/linsys/external/amd/amd_order.c +199 -0
- data/vendor/scs/linsys/external/amd/amd_order.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_post_tree.c +120 -0
- data/vendor/scs/linsys/external/amd/amd_post_tree.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_postorder.c +206 -0
- data/vendor/scs/linsys/external/amd/amd_postorder.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_preprocess.c +118 -0
- data/vendor/scs/linsys/external/amd/amd_preprocess.o +0 -0
- data/vendor/scs/linsys/external/amd/amd_valid.c +92 -0
- data/vendor/scs/linsys/external/amd/amd_valid.o +0 -0
- data/vendor/scs/linsys/external/amd/changes +11 -0
- data/vendor/scs/linsys/external/qdldl/LICENSE +201 -0
- data/vendor/scs/linsys/external/qdldl/README.md +120 -0
- data/vendor/scs/linsys/external/qdldl/changes +4 -0
- data/vendor/scs/linsys/external/qdldl/qdldl.c +298 -0
- data/vendor/scs/linsys/external/qdldl/qdldl.h +177 -0
- data/vendor/scs/linsys/external/qdldl/qdldl.o +0 -0
- data/vendor/scs/linsys/external/qdldl/qdldl_types.h +21 -0
- data/vendor/scs/linsys/gpu/gpu.c +41 -0
- data/vendor/scs/linsys/gpu/gpu.h +85 -0
- data/vendor/scs/linsys/gpu/indirect/private.c +304 -0
- data/vendor/scs/linsys/gpu/indirect/private.h +36 -0
- data/vendor/scs/scs.mk +181 -0
- data/vendor/scs/src/aa.c +224 -0
- data/vendor/scs/src/aa.o +0 -0
- data/vendor/scs/src/cones.c +802 -0
- data/vendor/scs/src/cones.o +0 -0
- data/vendor/scs/src/ctrlc.c +77 -0
- data/vendor/scs/src/ctrlc.o +0 -0
- data/vendor/scs/src/linalg.c +84 -0
- data/vendor/scs/src/linalg.o +0 -0
- data/vendor/scs/src/normalize.c +93 -0
- data/vendor/scs/src/normalize.o +0 -0
- data/vendor/scs/src/rw.c +167 -0
- data/vendor/scs/src/rw.o +0 -0
- data/vendor/scs/src/scs.c +978 -0
- data/vendor/scs/src/scs.o +0 -0
- data/vendor/scs/src/scs_version.c +5 -0
- data/vendor/scs/src/scs_version.o +0 -0
- data/vendor/scs/src/util.c +196 -0
- data/vendor/scs/src/util.o +0 -0
- data/vendor/scs/test/data/small_random_socp +0 -0
- data/vendor/scs/test/minunit.h +13 -0
- data/vendor/scs/test/problem_utils.h +93 -0
- data/vendor/scs/test/problems/rob_gauss_cov_est.h +85 -0
- data/vendor/scs/test/problems/small_lp.h +50 -0
- data/vendor/scs/test/problems/small_random_socp.h +33 -0
- data/vendor/scs/test/random_socp_prob.c +171 -0
- data/vendor/scs/test/run_from_file.c +69 -0
- data/vendor/scs/test/run_tests +2 -0
- data/vendor/scs/test/run_tests.c +32 -0
- metadata +203 -0
@@ -0,0 +1,46 @@
|
|
1
|
+
#ifndef CONES_H_GUARD
|
2
|
+
#define CONES_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include "glbopts.h"
|
9
|
+
#include "scs.h"
|
10
|
+
#include "scs_blas.h"
|
11
|
+
|
12
|
+
/* private data to help cone projection step */
|
13
|
+
struct SCS_CONE_WORK {
|
14
|
+
scs_float total_cone_time;
|
15
|
+
#ifdef USE_LAPACK
|
16
|
+
/* workspace for eigenvector decompositions: */
|
17
|
+
scs_float *Xs, *Z, *e, *work;
|
18
|
+
blas_int *iwork, lwork, liwork;
|
19
|
+
#endif
|
20
|
+
};
|
21
|
+
|
22
|
+
/*
|
23
|
+
* boundaries will contain array of indices of rows of A corresponding to
|
24
|
+
* cone boundaries, boundaries[0] is starting index for cones of size larger
|
25
|
+
* than 1
|
26
|
+
* returns length of boundaries array, boundaries malloc-ed here so should be
|
27
|
+
* freed
|
28
|
+
*/
|
29
|
+
scs_int SCS(get_cone_boundaries)(const ScsCone *k, scs_int **boundaries);
|
30
|
+
|
31
|
+
ScsConeWork *SCS(init_cone)(const ScsCone *k);
|
32
|
+
char *SCS(get_cone_header)(const ScsCone *k);
|
33
|
+
scs_int SCS(validate_cones)(const ScsData *d, const ScsCone *k);
|
34
|
+
|
35
|
+
/* pass in iter to control how accurate the cone projection
|
36
|
+
with iteration, set iter < 0 for exact projection, warm_start contains guess
|
37
|
+
of solution, can be SCS_NULL*/
|
38
|
+
scs_int SCS(proj_dual_cone)(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
39
|
+
const scs_float *warm_start, scs_int iter);
|
40
|
+
void SCS(finish_cone)(ScsConeWork *c);
|
41
|
+
char *SCS(get_cone_summary)(const ScsInfo *info, ScsConeWork *c);
|
42
|
+
|
43
|
+
#ifdef __cplusplus
|
44
|
+
}
|
45
|
+
#endif
|
46
|
+
#endif
|
@@ -0,0 +1,33 @@
|
|
1
|
+
/*
|
2
|
+
* Interface for SCS signal handling.
|
3
|
+
*/
|
4
|
+
|
5
|
+
#ifndef CTRLC_H_GUARD
|
6
|
+
#define CTRLC_H_GUARD
|
7
|
+
|
8
|
+
#ifdef __cplusplus
|
9
|
+
extern "C" {
|
10
|
+
#endif
|
11
|
+
|
12
|
+
#if CTRLC > 0
|
13
|
+
|
14
|
+
void scs_start_interrupt_listener(void);
|
15
|
+
void scs_end_interrupt_listener(void);
|
16
|
+
int scs_is_interrupted(void);
|
17
|
+
|
18
|
+
#else /* CTRLC = 0 */
|
19
|
+
|
20
|
+
/* Simply to suppress empty translation unit warnings. */
|
21
|
+
typedef int scs_make_iso_compilers_happy;
|
22
|
+
|
23
|
+
/* No signal handling. */
|
24
|
+
#define scs_start_interrupt_listener()
|
25
|
+
#define scs_end_interrupt_listener()
|
26
|
+
#define scs_is_interrupted() 0
|
27
|
+
|
28
|
+
#endif /* END IF CTRLC > 0 */
|
29
|
+
|
30
|
+
#ifdef __cplusplus
|
31
|
+
}
|
32
|
+
#endif
|
33
|
+
#endif
|
@@ -0,0 +1,177 @@
|
|
1
|
+
#ifndef GLB_H_GUARD
|
2
|
+
#define GLB_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include <math.h>
|
9
|
+
|
10
|
+
#ifndef SCS
|
11
|
+
#define SCS(x) scs_##x
|
12
|
+
#endif
|
13
|
+
|
14
|
+
/* SCS VERSION NUMBER ---------------------------------------------- */
|
15
|
+
#define SCS_VERSION \
|
16
|
+
("2.1.2") /* string literals automatically null-terminated */
|
17
|
+
|
18
|
+
/* SCS returns one of the following integers: */
|
19
|
+
#define SCS_INFEASIBLE_INACCURATE (-7)
|
20
|
+
#define SCS_UNBOUNDED_INACCURATE (-6)
|
21
|
+
#define SCS_SIGINT (-5)
|
22
|
+
#define SCS_FAILED (-4)
|
23
|
+
#define SCS_INDETERMINATE (-3)
|
24
|
+
#define SCS_INFEASIBLE (-2) /* primal infeasible, dual unbounded */
|
25
|
+
#define SCS_UNBOUNDED (-1) /* primal unbounded, dual infeasible */
|
26
|
+
#define SCS_UNFINISHED (0) /* never returned, used as placeholder */
|
27
|
+
#define SCS_SOLVED (1)
|
28
|
+
#define SCS_SOLVED_INACCURATE (2)
|
29
|
+
|
30
|
+
/* DEFAULT SOLVER PARAMETERS AND SETTINGS -------------------------- */
|
31
|
+
#define MAX_ITERS (5000)
|
32
|
+
#define EPS (1E-5)
|
33
|
+
#define ALPHA (1.5)
|
34
|
+
#define RHO_X (1E-3)
|
35
|
+
#define SCALE (1.0)
|
36
|
+
#define CG_RATE (2.0)
|
37
|
+
#define VERBOSE (1)
|
38
|
+
#define NORMALIZE (1)
|
39
|
+
#define WARM_START (0)
|
40
|
+
#define ACCELERATION_LOOKBACK (10)
|
41
|
+
#define WRITE_DATA_FILENAME (0)
|
42
|
+
|
43
|
+
/* redefine printfs and memory allocators as needed */
|
44
|
+
#ifdef MATLAB_MEX_FILE
|
45
|
+
#include "mex.h"
|
46
|
+
#define scs_printf mexPrintf
|
47
|
+
#define _scs_free mxFree
|
48
|
+
#define _scs_malloc mxMalloc
|
49
|
+
#define _scs_calloc mxCalloc
|
50
|
+
#define _scs_realloc mxRealloc
|
51
|
+
#elif defined PYTHON
|
52
|
+
#include <Python.h>
|
53
|
+
#include <stdlib.h>
|
54
|
+
#define scs_printf(...) \
|
55
|
+
{ \
|
56
|
+
PyGILState_STATE gilstate = PyGILState_Ensure(); \
|
57
|
+
PySys_WriteStdout(__VA_ARGS__); \
|
58
|
+
PyGILState_Release(gilstate); \
|
59
|
+
}
|
60
|
+
#define _scs_printf printf
|
61
|
+
#define _scs_free free
|
62
|
+
#define _scs_malloc malloc
|
63
|
+
#define _scs_calloc calloc
|
64
|
+
#define _scs_realloc realloc
|
65
|
+
#elif (defined(USING_R))
|
66
|
+
#include <R_ext/Print.h> /* Rprintf etc */
|
67
|
+
#include <stdio.h>
|
68
|
+
#include <stdlib.h>
|
69
|
+
#define scs_printf Rprintf
|
70
|
+
#define _scs_free free
|
71
|
+
#define _scs_malloc malloc
|
72
|
+
#define _scs_calloc calloc
|
73
|
+
#define _scs_realloc realloc
|
74
|
+
#else
|
75
|
+
#include <stdio.h>
|
76
|
+
#include <stdlib.h>
|
77
|
+
#define scs_printf printf
|
78
|
+
#define _scs_free free
|
79
|
+
#define _scs_malloc malloc
|
80
|
+
#define _scs_calloc calloc
|
81
|
+
#define _scs_realloc realloc
|
82
|
+
#endif
|
83
|
+
|
84
|
+
/* Only required for SuiteSparse compatibility: */
|
85
|
+
#ifndef _scs_printf
|
86
|
+
#define _scs_printf scs_printf
|
87
|
+
#endif
|
88
|
+
|
89
|
+
#define scs_free(x) \
|
90
|
+
_scs_free(x); \
|
91
|
+
x = SCS_NULL
|
92
|
+
#define scs_malloc(x) _scs_malloc(x)
|
93
|
+
#define scs_calloc(x, y) _scs_calloc(x, y)
|
94
|
+
#define scs_realloc(x, y) _scs_realloc(x, y)
|
95
|
+
|
96
|
+
#ifdef DLONG
|
97
|
+
#ifdef _WIN64
|
98
|
+
#include <stdint.h>
|
99
|
+
typedef int64_t scs_int;
|
100
|
+
/* typedef long scs_int; */
|
101
|
+
#else
|
102
|
+
typedef long scs_int;
|
103
|
+
#endif
|
104
|
+
#else
|
105
|
+
typedef int scs_int;
|
106
|
+
#endif
|
107
|
+
|
108
|
+
#ifndef SFLOAT
|
109
|
+
typedef double scs_float;
|
110
|
+
#ifndef NAN
|
111
|
+
#define NAN ((scs_float)0x7ff8000000000000)
|
112
|
+
#endif
|
113
|
+
#ifndef INFINITY
|
114
|
+
#define INFINITY NAN
|
115
|
+
#endif
|
116
|
+
#else
|
117
|
+
typedef float scs_float;
|
118
|
+
#ifndef NAN
|
119
|
+
#define NAN ((float)0x7fc00000)
|
120
|
+
#endif
|
121
|
+
#ifndef INFINITY
|
122
|
+
#define INFINITY NAN
|
123
|
+
#endif
|
124
|
+
#endif
|
125
|
+
|
126
|
+
#define SCS_NULL 0
|
127
|
+
|
128
|
+
#ifndef MAX
|
129
|
+
#define MAX(a, b) (((a) > (b)) ? (a) : (b))
|
130
|
+
#endif
|
131
|
+
|
132
|
+
#ifndef MIN
|
133
|
+
#define MIN(a, b) (((a) < (b)) ? (a) : (b))
|
134
|
+
#endif
|
135
|
+
|
136
|
+
#ifndef ABS
|
137
|
+
#define ABS(x) (((x) < 0) ? -(x) : (x))
|
138
|
+
#endif
|
139
|
+
|
140
|
+
#ifndef POWF
|
141
|
+
#ifdef SFLOAT
|
142
|
+
#define POWF powf
|
143
|
+
#else
|
144
|
+
#define POWF pow
|
145
|
+
#endif
|
146
|
+
#endif
|
147
|
+
|
148
|
+
#ifndef SQRTF
|
149
|
+
#ifdef SFLOAT
|
150
|
+
#define SQRTF sqrtf
|
151
|
+
#else
|
152
|
+
#define SQRTF sqrt
|
153
|
+
#endif
|
154
|
+
#endif
|
155
|
+
|
156
|
+
#define EPS_TOL (1E-18)
|
157
|
+
#define SAFEDIV_POS(X, Y) ((Y) < EPS_TOL ? ((X) / EPS_TOL) : (X) / (Y))
|
158
|
+
|
159
|
+
#if EXTRA_VERBOSE > 0
|
160
|
+
#define PRINT_INTERVAL (1)
|
161
|
+
#define CONVERGED_INTERVAL (1)
|
162
|
+
#else
|
163
|
+
/* print summary output every this num iterations */
|
164
|
+
#define PRINT_INTERVAL (100)
|
165
|
+
/* check for convergence every this num iterations */
|
166
|
+
#define CONVERGED_INTERVAL (20)
|
167
|
+
#endif
|
168
|
+
|
169
|
+
/* tolerance at which we declare problem indeterminate */
|
170
|
+
#define INDETERMINATE_TOL (1e-9)
|
171
|
+
/* maintain the iterates at this l2 norm (due to homogeneity) */
|
172
|
+
#define ITERATE_NORM (10.)
|
173
|
+
|
174
|
+
#ifdef __cplusplus
|
175
|
+
}
|
176
|
+
#endif
|
177
|
+
#endif
|
@@ -0,0 +1,26 @@
|
|
1
|
+
#ifndef LINALG_H_GUARD
|
2
|
+
#define LINALG_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include <math.h>
|
9
|
+
#include "scs.h"
|
10
|
+
|
11
|
+
void SCS(set_as_scaled_array)(scs_float *x, const scs_float *a,
|
12
|
+
const scs_float b, scs_int len);
|
13
|
+
void SCS(scale_array)(scs_float *a, const scs_float b, scs_int len);
|
14
|
+
scs_float SCS(dot)(const scs_float *x, const scs_float *y, scs_int len);
|
15
|
+
scs_float SCS(norm_sq)(const scs_float *v, scs_int len);
|
16
|
+
scs_float SCS(norm)(const scs_float *v, scs_int len);
|
17
|
+
scs_float SCS(norm_inf)(const scs_float *a, scs_int l);
|
18
|
+
void SCS(add_scaled_array)(scs_float *a, const scs_float *b, scs_int n,
|
19
|
+
const scs_float sc);
|
20
|
+
scs_float SCS(norm_diff)(const scs_float *a, const scs_float *b, scs_int l);
|
21
|
+
scs_float SCS(norm_inf_diff)(const scs_float *a, const scs_float *b, scs_int l);
|
22
|
+
|
23
|
+
#ifdef __cplusplus
|
24
|
+
}
|
25
|
+
#endif
|
26
|
+
#endif
|
@@ -0,0 +1,64 @@
|
|
1
|
+
#ifndef LINSYS_H_GUARD
|
2
|
+
#define LINSYS_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include "scs.h"
|
9
|
+
|
10
|
+
/* YOUR LINEAR SYSTEM SOLVER MUST IMPLEMENT THESE METHODS AND SCS_LIN_SYS_WORK
|
11
|
+
* STRUCT */
|
12
|
+
|
13
|
+
/* initialize ScsLinSysWork structure and perform any necessary preprocessing */
|
14
|
+
ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
|
15
|
+
const ScsSettings *stgs);
|
16
|
+
/* solves [d->RHO_X * I A' ; A -I] x = b for x, stores result in b, s contains
|
17
|
+
* warm-start, iter is current scs iteration count */
|
18
|
+
scs_int SCS(solve_lin_sys)(const ScsMatrix *A, const ScsSettings *stgs,
|
19
|
+
ScsLinSysWork *p, scs_float *b, const scs_float *s,
|
20
|
+
scs_int iter);
|
21
|
+
/* frees ScsLinSysWork structure and allocated memory in ScsLinSysWork */
|
22
|
+
void SCS(free_lin_sys_work)(ScsLinSysWork *p);
|
23
|
+
|
24
|
+
/* forms y += A'*x */
|
25
|
+
void SCS(accum_by_atrans)(const ScsMatrix *A, ScsLinSysWork *p,
|
26
|
+
const scs_float *x, scs_float *y);
|
27
|
+
/* forms y += A*x */
|
28
|
+
void SCS(accum_by_a)(const ScsMatrix *A, ScsLinSysWork *p, const scs_float *x,
|
29
|
+
scs_float *y);
|
30
|
+
|
31
|
+
/* returns negative num if input data is invalid */
|
32
|
+
scs_int SCS(validate_lin_sys)(const ScsMatrix *A);
|
33
|
+
|
34
|
+
/* returns string describing method, can return null, if not null free will be
|
35
|
+
* called on output */
|
36
|
+
char *SCS(get_lin_sys_method)(const ScsMatrix *A, const ScsSettings *stgs);
|
37
|
+
/* returns string containing summary information about linear system solves, can
|
38
|
+
* return null, if not null free will be called on output */
|
39
|
+
char *SCS(get_lin_sys_summary)(ScsLinSysWork *p, const ScsInfo *info);
|
40
|
+
|
41
|
+
/* Normalization routines, used if d->NORMALIZE is true */
|
42
|
+
/* normalizes A matrix, sets w->E and w->D diagonal scaling matrices, Anew =
|
43
|
+
* d->SCALE * (D^-1)*A*(E^-1) (different to paper which is D*A*E)
|
44
|
+
* D and E must be all positive entries, D must satisfy cone boundaries
|
45
|
+
* must set (w->mean_norm_row_a = mean of norms of rows of normalized A) THEN
|
46
|
+
* scale
|
47
|
+
* resulting A by d->SCALE */
|
48
|
+
void SCS(normalize_a)(ScsMatrix *A, const ScsSettings *stgs, const ScsCone *k,
|
49
|
+
ScsScaling *scal);
|
50
|
+
/* unnormalizes A matrix, unnormalizes by w->D and w->E and d->SCALE */
|
51
|
+
void SCS(un_normalize_a)(ScsMatrix *A, const ScsSettings *stgs,
|
52
|
+
const ScsScaling *scal);
|
53
|
+
/* to free the memory allocated in ScsMatrix */
|
54
|
+
void SCS(free_a_matrix)(ScsMatrix *A);
|
55
|
+
|
56
|
+
/* copies A (instead of in-place normalization), returns 0 for failure,
|
57
|
+
* allocates memory for dstp */
|
58
|
+
scs_int SCS(copy_a_matrix)(ScsMatrix **dstp, const ScsMatrix *src);
|
59
|
+
|
60
|
+
#ifdef __cplusplus
|
61
|
+
}
|
62
|
+
#endif
|
63
|
+
|
64
|
+
#endif
|
@@ -0,0 +1,18 @@
|
|
1
|
+
#ifndef NORMALIZE_H_GUARD
|
2
|
+
#define NORMALIZE_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include "scs.h"
|
9
|
+
|
10
|
+
void SCS(normalize_b_c)(ScsWork *w);
|
11
|
+
void SCS(calc_scaled_resids)(ScsWork *w, ScsResiduals *r);
|
12
|
+
void SCS(normalize_warm_start)(ScsWork *w);
|
13
|
+
void SCS(un_normalize_sol)(ScsWork *w, ScsSolution *sol);
|
14
|
+
|
15
|
+
#ifdef __cplusplus
|
16
|
+
}
|
17
|
+
#endif
|
18
|
+
#endif
|
@@ -0,0 +1,17 @@
|
|
1
|
+
#ifndef RW_H_GUARD
|
2
|
+
#define RW_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include "glbopts.h"
|
9
|
+
#include "scs.h"
|
10
|
+
|
11
|
+
void SCS(write_data)(const ScsData *d, const ScsCone *k);
|
12
|
+
scs_int SCS(read_data)(const char * filename, ScsData **d, ScsCone **k);
|
13
|
+
|
14
|
+
#ifdef __cplusplus
|
15
|
+
}
|
16
|
+
#endif
|
17
|
+
#endif
|
@@ -0,0 +1,161 @@
|
|
1
|
+
#ifndef SCS_H_GUARD
|
2
|
+
#define SCS_H_GUARD
|
3
|
+
|
4
|
+
#ifdef __cplusplus
|
5
|
+
extern "C" {
|
6
|
+
#endif
|
7
|
+
|
8
|
+
#include <string.h>
|
9
|
+
#include "glbopts.h"
|
10
|
+
#include "aa.h"
|
11
|
+
|
12
|
+
/* private data structs (that you define) containing any necessary data to solve
|
13
|
+
* linear system, etc. this defines the matrix A, only the linear system solver
|
14
|
+
* interacts with this struct */
|
15
|
+
typedef struct SCS_A_DATA_MATRIX ScsMatrix;
|
16
|
+
/* stores the necessary private workspace, only the linear system solver
|
17
|
+
* interacts with this struct */
|
18
|
+
typedef struct SCS_LIN_SYS_WORK ScsLinSysWork;
|
19
|
+
|
20
|
+
typedef struct SCS_PROBLEM_DATA ScsData;
|
21
|
+
typedef struct SCS_SETTINGS ScsSettings;
|
22
|
+
typedef struct SCS_SOL_VARS ScsSolution;
|
23
|
+
typedef struct SCS_INFO ScsInfo;
|
24
|
+
typedef struct SCS_SCALING ScsScaling;
|
25
|
+
typedef struct SCS_WORK ScsWork;
|
26
|
+
typedef struct SCS_RESIDUALS ScsResiduals;
|
27
|
+
typedef struct SCS_CONE ScsCone;
|
28
|
+
typedef struct SCS_ACCEL_WORK ScsAccelWork;
|
29
|
+
typedef struct SCS_CONE_WORK ScsConeWork;
|
30
|
+
|
31
|
+
/* struct containing problem data */
|
32
|
+
struct SCS_PROBLEM_DATA {
|
33
|
+
/* these cannot change for multiple runs for the same call to SCS(init) */
|
34
|
+
scs_int m, n; /* A has m rows, n cols */
|
35
|
+
ScsMatrix *A; /* A is supplied in data format specified by linsys solver */
|
36
|
+
|
37
|
+
/* these can change for multiple runs for the same call to SCS(init) */
|
38
|
+
scs_float *b, *c; /* dense arrays for b (size m), c (size n) */
|
39
|
+
|
40
|
+
ScsSettings *stgs; /* contains solver settings specified by user */
|
41
|
+
};
|
42
|
+
|
43
|
+
/* ScsSettings struct */
|
44
|
+
struct SCS_SETTINGS {
|
45
|
+
/* settings parameters: default suggested input */
|
46
|
+
|
47
|
+
/* these *cannot* change for multiple runs with the same call to SCS(init) */
|
48
|
+
scs_int normalize; /* boolean, heuristic data rescaling: 1 */
|
49
|
+
scs_float scale; /* if normalized, rescales by this factor: 5 */
|
50
|
+
scs_float rho_x; /* x equality constraint scaling: 1e-3 */
|
51
|
+
|
52
|
+
/* these can change for multiple runs with the same call to SCS(init) */
|
53
|
+
scs_int max_iters; /* maximum iterations to take: 2500 */
|
54
|
+
scs_float eps; /* convergence tolerance: 1e-3 */
|
55
|
+
scs_float alpha; /* relaxation parameter: 1.8 */
|
56
|
+
scs_float cg_rate; /* for indirect, tolerance goes down like
|
57
|
+
(1/iter)^cg_rate: 2 */
|
58
|
+
scs_int verbose; /* boolean, write out progress: 1 */
|
59
|
+
scs_int warm_start; /* boolean, warm start (put initial guess in ScsSolution
|
60
|
+
struct): 0 */
|
61
|
+
scs_int acceleration_lookback; /* memory for acceleration */
|
62
|
+
const char* write_data_filename; /* string, if set will dump data */
|
63
|
+
};
|
64
|
+
|
65
|
+
/* NB: rows of data matrix A must be specified in this exact order */
|
66
|
+
struct SCS_CONE {
|
67
|
+
scs_int f; /* number of linear equality constraints */
|
68
|
+
scs_int l; /* length of LP cone */
|
69
|
+
scs_int *q; /* array of second-order cone constraints */
|
70
|
+
scs_int qsize; /* length of SOC array */
|
71
|
+
scs_int *s; /* array of SD constraints */
|
72
|
+
scs_int ssize; /* length of SD array */
|
73
|
+
scs_int ep; /* number of primal exponential cone triples */
|
74
|
+
scs_int ed; /* number of dual exponential cone triples */
|
75
|
+
scs_float *p; /* array of power cone params, must be \in [-1, 1],
|
76
|
+
negative values are interpreted as specifying the
|
77
|
+
dual cone */
|
78
|
+
scs_int psize; /* number of (primal and dual) power cone triples */
|
79
|
+
};
|
80
|
+
|
81
|
+
/* contains primal-dual solution arrays */
|
82
|
+
struct SCS_SOL_VARS {
|
83
|
+
scs_float *x, *y, *s;
|
84
|
+
};
|
85
|
+
|
86
|
+
/* contains terminating information */
|
87
|
+
struct SCS_INFO {
|
88
|
+
scs_int iter; /* number of iterations taken */
|
89
|
+
char status[32]; /* status string, e.g. 'Solved' */
|
90
|
+
scs_int status_val; /* status as scs_int, defined in glbopts.h */
|
91
|
+
scs_float pobj; /* primal objective */
|
92
|
+
scs_float dobj; /* dual objective */
|
93
|
+
scs_float res_pri; /* primal equality residual */
|
94
|
+
scs_float res_dual; /* dual equality residual */
|
95
|
+
scs_float res_infeas; /* infeasibility cert residual */
|
96
|
+
scs_float res_unbdd; /* unbounded cert residual */
|
97
|
+
scs_float rel_gap; /* relative duality gap */
|
98
|
+
scs_float setup_time; /* time taken for setup phase (milliseconds) */
|
99
|
+
scs_float solve_time; /* time taken for solve phase (milliseconds) */
|
100
|
+
};
|
101
|
+
|
102
|
+
/* contains normalization variables */
|
103
|
+
struct SCS_SCALING {
|
104
|
+
scs_float *D, *E; /* for normalization */
|
105
|
+
scs_float mean_norm_row_a, mean_norm_col_a;
|
106
|
+
};
|
107
|
+
|
108
|
+
/*
|
109
|
+
* main library api's:
|
110
|
+
* SCS(init): allocates memory etc (e.g., factorize matrix [I A; A^T -I])
|
111
|
+
* SCS(solve): can be called many times with different b,c data per init call
|
112
|
+
* SCS(finish): cleans up the memory (one per init call)
|
113
|
+
*/
|
114
|
+
ScsWork *SCS(init)(const ScsData *d, const ScsCone *k, ScsInfo *info);
|
115
|
+
scs_int SCS(solve)(ScsWork *w, const ScsData *d, const ScsCone *k,
|
116
|
+
ScsSolution *sol, ScsInfo *info);
|
117
|
+
void SCS(finish)(ScsWork *w);
|
118
|
+
/* scs calls SCS(init), SCS(solve), and SCS(finish) */
|
119
|
+
scs_int scs(const ScsData *d, const ScsCone *k, ScsSolution *sol,
|
120
|
+
ScsInfo *info);
|
121
|
+
|
122
|
+
const char *SCS(version)(void);
|
123
|
+
size_t SCS(sizeof_int)(void);
|
124
|
+
size_t SCS(sizeof_float)(void);
|
125
|
+
|
126
|
+
/* the following structs are not exposed to user */
|
127
|
+
|
128
|
+
/* workspace for SCS */
|
129
|
+
struct SCS_WORK {
|
130
|
+
/* x_prev = x from previous iteration */
|
131
|
+
scs_float *u, *u_best, *v, *v_best, *u_t, *u_prev, *v_prev;
|
132
|
+
scs_float *h, *g, *pr, *dr;
|
133
|
+
scs_float g_th, sc_b, sc_c, nm_b, nm_c, best_max_residual;
|
134
|
+
scs_float *b, *c; /* (possibly normalized) b and c vectors */
|
135
|
+
scs_int m, n; /* A has m rows, n cols */
|
136
|
+
ScsMatrix *A; /* (possibly normalized) A matrix */
|
137
|
+
ScsLinSysWork *p; /* struct populated by linear system solver */
|
138
|
+
ScsSettings *stgs; /* contains solver settings specified by user */
|
139
|
+
ScsScaling *scal; /* contains the re-scaling data */
|
140
|
+
ScsConeWork *cone_work; /* workspace for the cone projection step */
|
141
|
+
AaWork *accel; /* Struct for acceleration workspace */
|
142
|
+
};
|
143
|
+
|
144
|
+
/* to hold residual information (unnormalized) */
|
145
|
+
struct SCS_RESIDUALS {
|
146
|
+
scs_int last_iter;
|
147
|
+
scs_float res_dual;
|
148
|
+
scs_float res_pri;
|
149
|
+
scs_float res_infeas;
|
150
|
+
scs_float res_unbdd;
|
151
|
+
scs_float rel_gap;
|
152
|
+
scs_float ct_x_by_tau; /* not divided by tau */
|
153
|
+
scs_float bt_y_by_tau; /* not divided by tau */
|
154
|
+
scs_float tau;
|
155
|
+
scs_float kap;
|
156
|
+
};
|
157
|
+
|
158
|
+
#ifdef __cplusplus
|
159
|
+
}
|
160
|
+
#endif
|
161
|
+
#endif
|