scs 0.2.3 → 0.3.0
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- checksums.yaml +4 -4
- data/CHANGELOG.md +4 -0
- data/README.md +11 -6
- data/lib/scs/ffi.rb +30 -13
- 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 +7 -8
- data/vendor/scs/Makefile +24 -15
- data/vendor/scs/README.md +5 -263
- data/vendor/scs/include/aa.h +67 -23
- data/vendor/scs/include/cones.h +17 -17
- data/vendor/scs/include/glbopts.h +98 -32
- data/vendor/scs/include/linalg.h +2 -4
- data/vendor/scs/include/linsys.h +58 -44
- data/vendor/scs/include/normalize.h +3 -3
- data/vendor/scs/include/rw.h +8 -2
- data/vendor/scs/include/scs.h +293 -133
- data/vendor/scs/include/util.h +3 -15
- data/vendor/scs/linsys/cpu/direct/private.c +220 -224
- data/vendor/scs/linsys/cpu/direct/private.h +13 -7
- data/vendor/scs/linsys/cpu/direct/private.o +0 -0
- data/vendor/scs/linsys/cpu/indirect/private.c +177 -110
- data/vendor/scs/linsys/cpu/indirect/private.h +8 -4
- data/vendor/scs/linsys/cpu/indirect/private.o +0 -0
- data/vendor/scs/linsys/csparse.c +87 -0
- data/vendor/scs/linsys/csparse.h +34 -0
- data/vendor/scs/linsys/csparse.o +0 -0
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.c +1 -1
- 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_internal.h +1 -1
- 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/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.o +0 -0
- data/vendor/scs/linsys/external/qdldl/qdldl_types.h +11 -3
- data/vendor/scs/linsys/gpu/gpu.c +31 -33
- data/vendor/scs/linsys/gpu/gpu.h +48 -31
- data/vendor/scs/linsys/gpu/indirect/private.c +338 -232
- data/vendor/scs/linsys/gpu/indirect/private.h +23 -14
- data/vendor/scs/linsys/scs_matrix.c +498 -0
- data/vendor/scs/linsys/scs_matrix.h +70 -0
- data/vendor/scs/linsys/scs_matrix.o +0 -0
- data/vendor/scs/scs.mk +13 -9
- data/vendor/scs/src/aa.c +384 -109
- data/vendor/scs/src/aa.o +0 -0
- data/vendor/scs/src/cones.c +440 -353
- data/vendor/scs/src/cones.o +0 -0
- data/vendor/scs/src/ctrlc.c +15 -5
- data/vendor/scs/src/ctrlc.o +0 -0
- data/vendor/scs/src/linalg.c +84 -28
- data/vendor/scs/src/linalg.o +0 -0
- data/vendor/scs/src/normalize.c +22 -64
- data/vendor/scs/src/normalize.o +0 -0
- data/vendor/scs/src/rw.c +160 -21
- data/vendor/scs/src/rw.o +0 -0
- data/vendor/scs/src/scs.c +767 -563
- data/vendor/scs/src/scs.o +0 -0
- data/vendor/scs/src/scs_indir.o +0 -0
- data/vendor/scs/src/scs_version.c +9 -3
- data/vendor/scs/src/scs_version.o +0 -0
- data/vendor/scs/src/util.c +37 -106
- data/vendor/scs/src/util.o +0 -0
- data/vendor/scs/test/minunit.h +17 -8
- data/vendor/scs/test/problem_utils.h +176 -14
- 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 +13 -14
- data/vendor/scs/test/problems/test_fails.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 +19 -10
- data/vendor/scs/test/run_tests.c +27 -3
- metadata +20 -8
- 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/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
@@ -1,47 +1,141 @@
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#include "amatrix.h"
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#include "glbopts.h"
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#include "linalg.h"
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#include "minunit.h"
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#include "scs.h"
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#include "scs_matrix.h"
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#include "util.h"
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static scs_float Ax[] = {-1.0, -0.25035003149, -0.214684983694, -0.0013696512491, -1.0, -1.0, 0.0941450010301, -0.0929840802212, 0.0143905024814, -1.0, -1.41421356237, -1.0, 0.0941450010301, -0.0929840802212, 0.0143905024814, 1.0, -1.0, -0.0354035554388, -0.0402731435884, -0.151196563215, -1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, 1.0, -1.0, 1.0, 1.0, -1.41421356237, 1.0, -1.41421356237, 1.0, -1.41421356237, 1.0, -1.0, 1.0, -1.41421356237, 1.0, -1.41421356237, 1.0, -1.0, 1.0, 1.0, -1.41421356237, 1.0, -1.0, -1.0, -1.0, 1.0, -1.0, -1.0, -1.0, -1.0, 1.0, -1.0, -1.0, 1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0};
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static scs_int Ai[] = {11, 15, 16, 17, 36, 12, 15, 16, 17, 18, 37, 13, 15, 16, 17, 18, 14, 15, 16, 17, 38, 15, 19, 16, 20, 17, 21, 19, 20, 21, 25, 19, 20, 21, 19, 22, 20, 23, 21, 24, 3, 26, 4, 5, 27, 7, 28, 9, 29, 6, 30, 8, 31, 10, 32, 11, 33, 12, 13, 34, 14, 35, 1, 7, 0, 8, 9, 2, 10, 1, 3, 41, 2, 6, 44, 25, 39, 25, 42};
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static scs_int Ap[] = {0, 5, 11, 16, 21, 23, 25, 27, 31, 34, 36, 38, 40, 42, 45, 47, 49, 51, 53, 55, 57, 60, 62, 64, 66, 67, 69, 72, 75, 77, 79};
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static scs_float b[] = {-0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, 1.0, -0.0, -0.0, 1.0, -0.0};
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static scs_float c[] ={0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 2.0, 1.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0};
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static scs_int m = 45;
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static scs_int n = 30;
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static scs_int f = 19;
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static scs_int l = 7;
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static scs_int *q = SCS_NULL;
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static scs_int qsize = 0;
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static scs_int s[] = {4, 2};
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static scs_int ssize = 2;
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static scs_int ep = 2;
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static scs_int ed = 0;
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static scs_float *p = SCS_NULL;
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static scs_int psize = 0;
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static scs_float opt = -4.8912;
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8
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static const char *rob_gauss_cov_est(void) {
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ScsCone *k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
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ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
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ScsSettings *stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
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ScsSolution *sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
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ScsInfo info = {0};
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scs_int exitflag;
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scs_float perr, derr;
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scs_int success;
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const char *fail;
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/* data */
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scs_float Ax[] = {-1.0,
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-0.25035003149,
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-0.214684983694,
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-0.0013696512491,
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-1.0,
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-1.0,
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0.0941450010301,
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-0.0929840802212,
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0.0143905024814,
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-1.0,
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-1.41421356237,
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-1.0,
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0.0941450010301,
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-0.0929840802212,
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0.0143905024814,
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1.0,
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-1.0,
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-0.0354035554388,
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-0.0402731435884,
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-0.151196563215,
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-1.0,
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1.0,
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1.0,
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1.0,
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1.0,
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1.0,
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1.0,
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1.0,
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1.0,
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1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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1.0,
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-1.0,
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1.0,
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1.0,
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-1.41421356237,
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1.0,
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-1.41421356237,
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1.0,
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-1.41421356237,
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1.0,
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-1.0,
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1.0,
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-1.41421356237,
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1.0,
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-1.41421356237,
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1.0,
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-1.0,
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1.0,
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1.0,
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-1.41421356237,
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1.0,
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-1.0,
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-1.0,
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-1.0,
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1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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1.0,
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-1.0,
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-1.0,
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1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0,
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-1.0};
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scs_int Ai[] = {11, 15, 16, 17, 36, 12, 15, 16, 17, 18, 37, 13, 15, 16,
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17, 18, 14, 15, 16, 17, 38, 15, 19, 16, 20, 17, 21, 19,
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20, 21, 25, 19, 20, 21, 19, 22, 20, 23, 21, 24, 3, 26,
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4, 5, 27, 7, 28, 9, 29, 6, 30, 8, 31, 10, 32, 11,
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33, 12, 13, 34, 14, 35, 1, 7, 0, 8, 9, 2, 10, 1,
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3, 41, 2, 6, 44, 25, 39, 25, 42};
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scs_int Ap[] = {0, 5, 11, 16, 21, 23, 25, 27, 31, 34, 36,
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38, 40, 42, 45, 47, 49, 51, 53, 55, 57, 60,
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62, 64, 66, 67, 69, 72, 75, 77, 79};
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scs_float b[] = {-0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0,
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-0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0,
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-0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0,
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-0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0, -0.0,
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-0.0, -0.0, -0.0, -0.0, 1.0, -0.0, -0.0, 1.0, -0.0};
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scs_float c[] = {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 2.0, 1.0,
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1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
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0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0};
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scs_int m = 45;
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scs_int n = 30;
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scs_int z = 19;
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scs_int l = 7;
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scs_int *q = SCS_NULL;
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scs_int qsize = 0;
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scs_int s[] = {4, 2};
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scs_int ssize = 2;
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scs_int ep = 2;
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scs_int ed = 0;
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scs_float *p = SCS_NULL;
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scs_int psize = 0;
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scs_float opt = -4.8912;
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/* end data */
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d->m = m;
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d->n = n;
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d->b = b;
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d->c = c;
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d->stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
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d->A = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix));
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d->A->m = m;
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@@ -50,7 +144,7 @@ static const char *rob_gauss_cov_est(void) {
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144
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d->A->i = Ai;
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d->A->p = Ap;
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k->
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k->z = z;
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k->l = l;
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k->q = q;
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k->qsize = qsize;
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@@ -61,9 +155,12 @@ static const char *rob_gauss_cov_est(void) {
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155
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k->p = p;
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156
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k->psize = psize;
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SCS(set_default_settings)(
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SCS(set_default_settings)(stgs);
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stgs->eps_abs = 1e-6;
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stgs->eps_rel = 1e-6;
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stgs->eps_infeas = 1e-9;
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exitflag = scs(d, k, sol, &info);
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exitflag = scs(d, k, stgs, sol, &info);
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perr = SCS(dot)(d->c, sol->x, d->n) - opt;
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derr = -SCS(dot)(d->b, sol->y, d->m) - opt;
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@@ -73,13 +170,73 @@ static const char *rob_gauss_cov_est(void) {
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170
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success = ABS(perr) < 1e-4 && ABS(derr) < 1e-4 && exitflag == SCS_SOLVED;
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SCS
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mu_assert("rob_gauss_cov_est: SCS failed to produce outputflag SCS_SOLVED",
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success);
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fail = verify_solution_correct(d, k, stgs, &info, sol, exitflag);
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/* test warm-starting */
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stgs->warm_start = 1;
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exitflag = scs(d, k, stgs, sol, &info);
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/* 100 iters should be enough if warm-started */
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+
mu_assert("rob_gauss_cov_est: warm-start failure", info.iter <= 100);
|
182
|
+
success = ABS(perr) < 1e-4 && ABS(derr) < 1e-4 && exitflag == SCS_SOLVED;
|
183
|
+
|
184
|
+
mu_assert("rob_gauss_cov_est: SCS failed to produce outputflag SCS_SOLVED",
|
185
|
+
success);
|
186
|
+
|
187
|
+
/* test read / write */
|
188
|
+
stgs->write_data_filename = "rob_gauss_cov_est";
|
189
|
+
stgs->max_iters = 1;
|
190
|
+
|
191
|
+
exitflag = scs(d, k, stgs, sol, &info);
|
192
|
+
|
193
|
+
/* kill data */
|
77
194
|
scs_free(d->A);
|
78
195
|
scs_free(k);
|
79
|
-
scs_free(
|
196
|
+
scs_free(stgs);
|
80
197
|
scs_free(d);
|
81
198
|
|
82
|
-
|
199
|
+
SCS(read_data)("rob_gauss_cov_est", &d, &k, &stgs);
|
200
|
+
stgs->max_iters = 1000;
|
201
|
+
/* solve with read data */
|
202
|
+
exitflag = scs(d, k, stgs, sol, &info);
|
203
|
+
|
204
|
+
perr = info.pobj - opt;
|
205
|
+
derr = info.dobj - opt;
|
206
|
+
|
207
|
+
scs_printf("primal obj error %4e\n", perr);
|
208
|
+
scs_printf("dual obj error %4e\n", derr);
|
209
|
+
|
210
|
+
success = ABS(perr) < 1e-4 && ABS(derr) < 1e-4 && exitflag == SCS_SOLVED;
|
211
|
+
|
212
|
+
mu_assert("rob_gauss_cov_est_rw: SCS failed to produce outputflag SCS_SOLVED",
|
83
213
|
success);
|
84
|
-
|
214
|
+
fail = verify_solution_correct(d, k, stgs, &info, sol, exitflag);
|
215
|
+
|
216
|
+
/* test other settings */
|
217
|
+
stgs->warm_start = 0;
|
218
|
+
stgs->normalize = 0;
|
219
|
+
stgs->adaptive_scale = 0;
|
220
|
+
stgs->acceleration_lookback = 10;
|
221
|
+
stgs->acceleration_interval = 10;
|
222
|
+
stgs->write_data_filename = SCS_NULL;
|
223
|
+
stgs->max_iters = 1000;
|
224
|
+
stgs->log_csv_filename = "rob_gauss_cov_est.csv";
|
225
|
+
|
226
|
+
exitflag = scs(d, k, stgs, sol, &info);
|
227
|
+
|
228
|
+
perr = info.pobj - opt;
|
229
|
+
derr = info.dobj - opt;
|
230
|
+
|
231
|
+
scs_printf("primal obj error %4e\n", perr);
|
232
|
+
scs_printf("dual obj error %4e\n", derr);
|
233
|
+
|
234
|
+
success = ABS(perr) < 1e-4 && ABS(derr) < 1e-4 && exitflag == SCS_SOLVED;
|
235
|
+
|
236
|
+
mu_assert("rob_gauss_cov_est_rw: SCS failed to produce outputflag SCS_SOLVED",
|
237
|
+
success);
|
238
|
+
|
239
|
+
SCS(free_sol)(sol);
|
240
|
+
SCS(free_data)(d, k, stgs);
|
241
|
+
return fail;
|
85
242
|
}
|
@@ -7,6 +7,7 @@
|
|
7
7
|
static const char *small_lp(void) {
|
8
8
|
ScsCone *k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
|
9
9
|
ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
|
10
|
+
ScsSettings *stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
|
10
11
|
ScsSolution *sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
11
12
|
ScsSolution *opt_sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
12
13
|
ScsInfo info = {0};
|
@@ -19,22 +20,19 @@ static const char *small_lp(void) {
|
|
19
20
|
scs_int exitflag;
|
20
21
|
scs_float perr, derr;
|
21
22
|
scs_int success;
|
23
|
+
const char *fail;
|
22
24
|
|
23
|
-
|
24
|
-
k->
|
25
|
-
k->l = m - k->f;
|
26
|
-
|
27
|
-
srand(seed);
|
25
|
+
k->z = (scs_int)floor(m * p_f);
|
26
|
+
k->l = m - k->z;
|
28
27
|
|
29
28
|
d->m = m;
|
30
29
|
d->n = n;
|
31
|
-
gen_random_prob_data(nnz, col_nnz, d, k, opt_sol);
|
32
|
-
SCS(set_default_settings)(
|
33
|
-
|
34
|
-
|
35
|
-
d->stgs->acceleration_lookback = 20;
|
30
|
+
gen_random_prob_data(nnz, col_nnz, d, k, opt_sol, seed);
|
31
|
+
SCS(set_default_settings)(stgs);
|
32
|
+
stgs->eps_abs = 1e-5;
|
33
|
+
stgs->eps_rel = 1e-5;
|
36
34
|
|
37
|
-
exitflag = scs(d, k, sol, &info);
|
35
|
+
exitflag = scs(d, k, stgs, sol, &info);
|
38
36
|
perr = SCS(dot)(d->c, sol->x, d->n) - SCS(dot)(d->c, opt_sol->x, d->n);
|
39
37
|
derr = -SCS(dot)(d->b, sol->y, d->m) + SCS(dot)(d->b, opt_sol->y, d->m);
|
40
38
|
scs_printf("primal obj error %4e\n", perr);
|
@@ -42,9 +40,10 @@ static const char *small_lp(void) {
|
|
42
40
|
|
43
41
|
success = ABS(perr) < 1e-4 && ABS(derr) < 1e-4 && exitflag == SCS_SOLVED;
|
44
42
|
|
45
|
-
SCS
|
43
|
+
mu_assert("small_lp: SCS failed to produce outputflag SCS_SOLVED", success);
|
44
|
+
fail = verify_solution_correct(d, k, stgs, &info, sol, exitflag);
|
45
|
+
SCS(free_data)(d, k, stgs);
|
46
46
|
SCS(free_sol)(sol);
|
47
47
|
SCS(free_sol)(opt_sol);
|
48
|
-
|
49
|
-
return 0;
|
48
|
+
return fail;
|
50
49
|
}
|
@@ -0,0 +1,43 @@
|
|
1
|
+
#include "glbopts.h"
|
2
|
+
#include "minunit.h"
|
3
|
+
#include "problem_utils.h"
|
4
|
+
#include "scs.h"
|
5
|
+
#include "util.h"
|
6
|
+
|
7
|
+
static const char *test_fails(void) {
|
8
|
+
scs_printf("Testing that SCS handles bad inputs correctly:");
|
9
|
+
|
10
|
+
ScsCone *k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
|
11
|
+
ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
|
12
|
+
ScsSettings *stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
|
13
|
+
ScsSolution *sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
14
|
+
ScsSolution *opt_sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
15
|
+
ScsInfo info = {0};
|
16
|
+
scs_float p_f = 0.1;
|
17
|
+
int seed = 1234;
|
18
|
+
scs_int n = 1;
|
19
|
+
scs_int m = 3;
|
20
|
+
scs_int col_nnz = (scs_int)ceil(sqrt(n));
|
21
|
+
scs_int nnz = n * col_nnz;
|
22
|
+
scs_int exitflag;
|
23
|
+
|
24
|
+
k->z = (scs_int)floor(m * p_f);
|
25
|
+
k->l = m - k->z;
|
26
|
+
|
27
|
+
d->m = m;
|
28
|
+
d->n = n;
|
29
|
+
gen_random_prob_data(nnz, col_nnz, d, k, opt_sol, seed);
|
30
|
+
SCS(set_default_settings)(stgs);
|
31
|
+
|
32
|
+
/* TODO test more failure modes */
|
33
|
+
stgs->eps_abs = -1;
|
34
|
+
|
35
|
+
exitflag = scs(d, k, stgs, sol, &info);
|
36
|
+
|
37
|
+
mu_assert("test_fails: SCS failed to produce outputflag SCS_FAILED",
|
38
|
+
exitflag == SCS_FAILED);
|
39
|
+
SCS(free_data)(d, k, stgs);
|
40
|
+
SCS(free_sol)(sol);
|
41
|
+
SCS(free_sol)(opt_sol);
|
42
|
+
return 0;
|
43
|
+
}
|
@@ -0,0 +1,82 @@
|
|
1
|
+
#include "glbopts.h"
|
2
|
+
#include "linalg.h"
|
3
|
+
#include "minunit.h"
|
4
|
+
#include "scs.h"
|
5
|
+
#include "scs_matrix.h"
|
6
|
+
#include "util.h"
|
7
|
+
|
8
|
+
static const char *unbounded_tiny_qp(void) {
|
9
|
+
ScsCone *k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
|
10
|
+
ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
|
11
|
+
ScsSettings *stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
|
12
|
+
ScsSolution *sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
13
|
+
ScsInfo info = {0};
|
14
|
+
scs_int exitflag;
|
15
|
+
const char *fail;
|
16
|
+
|
17
|
+
/* data */
|
18
|
+
scs_float Ax[] = {
|
19
|
+
-0.04101197, 1.68314201, 0.5543439, -0.96712378, 0.19370457,
|
20
|
+
-1.15055711, 1.13315795, -1.05910693, 1.24512977, -0.70999048,
|
21
|
+
-0.89976326, -0.41373294, -0.73848186, 0.08663554, -0.1681749,
|
22
|
+
-0.42711619, -0.90501247, -0.490446, -0.67124734, 1.67772257,
|
23
|
+
0.39924394, 0.16330292, 0.55609205, -1.22088238, -0.25891675,
|
24
|
+
-3.07159984, -1.84102417, 1.5621635, -1.13771529, 0.56067264,
|
25
|
+
-0.0854747, 0.31024722, -0.07437118, -0.20711534, -0.35241366,
|
26
|
+
-0.98965142, -1.91488894, 1.01591507, 0.45387459, 1.43709968,
|
27
|
+
-0.0482982, -0.32447, -0.91433399, 0.49750765, 0.09150015,
|
28
|
+
0.69164184, 0.51064936, -1.35009809, -1.35403213, 1.51897627};
|
29
|
+
scs_int Ai[] = {0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6,
|
30
|
+
7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3,
|
31
|
+
4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9};
|
32
|
+
scs_int Ap[] = {0, 10, 20, 30, 40, 50};
|
33
|
+
|
34
|
+
scs_float b[] = {1.4672744, 0.36190605, -0.5548082, -0.35039932,
|
35
|
+
-1.12765224, 0.51012137, -0.24927975, -1.45270362,
|
36
|
+
-1.94080389, -0.0189713};
|
37
|
+
scs_float c[] = {0.17547329, -0.11983635, -0.11791039, 0.12099476,
|
38
|
+
0.61931906};
|
39
|
+
|
40
|
+
scs_int m = 10;
|
41
|
+
scs_int n = 5;
|
42
|
+
|
43
|
+
scs_int l = m;
|
44
|
+
|
45
|
+
/* end data */
|
46
|
+
|
47
|
+
d->m = m;
|
48
|
+
d->n = n;
|
49
|
+
d->b = b;
|
50
|
+
d->c = c;
|
51
|
+
|
52
|
+
d->A = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix));
|
53
|
+
|
54
|
+
d->A->m = m;
|
55
|
+
d->A->n = n;
|
56
|
+
|
57
|
+
d->A->x = Ax;
|
58
|
+
d->A->i = Ai;
|
59
|
+
d->A->p = Ap;
|
60
|
+
|
61
|
+
k->l = l;
|
62
|
+
|
63
|
+
SCS(set_default_settings)(stgs);
|
64
|
+
stgs->eps_abs = 1e-6;
|
65
|
+
stgs->eps_rel = 1e-6;
|
66
|
+
stgs->eps_infeas = 1e-7;
|
67
|
+
|
68
|
+
exitflag = scs(d, k, stgs, sol, &info);
|
69
|
+
|
70
|
+
mu_assert("unbounded_tiny_qp: SCS failed to produce outputflag SCS_UNBOUNDED",
|
71
|
+
exitflag == SCS_UNBOUNDED);
|
72
|
+
|
73
|
+
fail = verify_solution_correct(d, k, stgs, &info, sol, exitflag);
|
74
|
+
|
75
|
+
SCS(free_sol)(sol);
|
76
|
+
scs_free(d->A);
|
77
|
+
scs_free(d->P);
|
78
|
+
scs_free(k);
|
79
|
+
scs_free(stgs);
|
80
|
+
scs_free(d);
|
81
|
+
return fail;
|
82
|
+
}
|
@@ -1,7 +1,7 @@
|
|
1
|
-
#include <time.h> /* to seed random */
|
2
|
-
#include "amatrix.h"
|
3
1
|
#include "problem_utils.h"
|
4
2
|
#include "scs.h"
|
3
|
+
#include "scs_matrix.h"
|
4
|
+
#include <time.h> /* to seed random */
|
5
5
|
|
6
6
|
/*
|
7
7
|
create data for problem:
|
@@ -11,7 +11,7 @@
|
|
11
11
|
|
12
12
|
where K is a product of zero, linear, and second-order cones. A is a sparse
|
13
13
|
matrix in
|
14
|
-
CSC format. A is
|
14
|
+
CSC format. A is factor * n by n with about sqrt(n) nonzeros per column.
|
15
15
|
|
16
16
|
Construct data in such a way that the problem is primal and dual
|
17
17
|
feasible and thus bounded.
|
@@ -21,9 +21,11 @@ int main(int argc, char **argv) {
|
|
21
21
|
scs_int n, m, col_nnz, nnz, i, q_total, q_num_rows, max_q;
|
22
22
|
ScsCone *k;
|
23
23
|
ScsData *d;
|
24
|
+
ScsSettings *stgs;
|
24
25
|
ScsSolution *sol, *opt_sol;
|
25
26
|
ScsInfo info = {0};
|
26
27
|
scs_float p_f, p_l;
|
28
|
+
scs_int factor = 4;
|
27
29
|
int seed = 0;
|
28
30
|
|
29
31
|
/* default parameters */
|
@@ -32,68 +34,64 @@ int main(int argc, char **argv) {
|
|
32
34
|
seed = time(SCS_NULL);
|
33
35
|
|
34
36
|
switch (argc) {
|
35
|
-
|
36
|
-
|
37
|
-
|
38
|
-
|
39
|
-
|
40
|
-
|
41
|
-
|
42
|
-
|
43
|
-
|
44
|
-
|
45
|
-
|
46
|
-
|
47
|
-
|
48
|
-
|
49
|
-
|
50
|
-
|
51
|
-
|
52
|
-
|
53
|
-
|
54
|
-
|
55
|
-
|
56
|
-
|
57
|
-
|
58
|
-
|
59
|
-
|
60
|
-
|
61
|
-
|
62
|
-
|
63
|
-
|
64
|
-
|
65
|
-
|
66
|
-
|
67
|
-
|
68
|
-
"\tdefaults to using p_f = 0.1 and p_l = 0.3\n",
|
69
|
-
argv[0]);
|
70
|
-
return 0;
|
37
|
+
case 5:
|
38
|
+
seed = atoi(argv[4]);
|
39
|
+
/* no break */
|
40
|
+
case 4:
|
41
|
+
p_f = atof(argv[2]);
|
42
|
+
p_l = atof(argv[3]);
|
43
|
+
/* no break */
|
44
|
+
case 2:
|
45
|
+
n = atoi(argv[1]);
|
46
|
+
break;
|
47
|
+
default:
|
48
|
+
scs_printf("usage:\t%s n p_f p_l s\n"
|
49
|
+
"\tcreates an SOCP with n variables where p_f fraction of "
|
50
|
+
"rows correspond\n"
|
51
|
+
"\tto equality constraints, p_l fraction of rows correspond "
|
52
|
+
"to LP constraints,\n"
|
53
|
+
"\tand the remaining percentage of rows are involved in "
|
54
|
+
"second-order\n"
|
55
|
+
"\tcone constraints. the random number generator is seeded "
|
56
|
+
"with s.\n"
|
57
|
+
"\tnote that p_f + p_l should be less than or equal to 1, "
|
58
|
+
"and that\n"
|
59
|
+
"\tp_f should be less than .33, since that corresponds to "
|
60
|
+
"as many equality\n"
|
61
|
+
"\tconstraints as variables.\n",
|
62
|
+
argv[0]);
|
63
|
+
scs_printf("\nusage:\t%s n p_f p_l\n"
|
64
|
+
"\tdefaults the seed to the system time\n",
|
65
|
+
argv[0]);
|
66
|
+
scs_printf("\nusage:\t%s n\n"
|
67
|
+
"\tdefaults to using p_f = 0.1 and p_l = 0.3\n",
|
68
|
+
argv[0]);
|
69
|
+
return 0;
|
71
70
|
}
|
72
|
-
srand(seed);
|
73
71
|
scs_printf("seed : %i\n", seed);
|
74
72
|
|
75
73
|
k = (ScsCone *)scs_calloc(1, sizeof(ScsCone));
|
76
74
|
d = (ScsData *)scs_calloc(1, sizeof(ScsData));
|
77
|
-
|
75
|
+
stgs = (ScsSettings *)scs_calloc(1, sizeof(ScsSettings));
|
78
76
|
sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
79
77
|
opt_sol = (ScsSolution *)scs_calloc(1, sizeof(ScsSolution));
|
80
78
|
|
81
|
-
m =
|
79
|
+
m = factor * n;
|
82
80
|
col_nnz = (int)ceil(sqrt(n));
|
83
81
|
nnz = n * col_nnz;
|
84
82
|
|
85
|
-
max_q = (scs_int)ceil(
|
83
|
+
max_q = (scs_int)ceil(factor * n / log(factor * n));
|
86
84
|
|
87
85
|
if (p_f + p_l > 1.0) {
|
88
86
|
printf("error: p_f + p_l > 1.0!\n");
|
89
87
|
return 1;
|
90
88
|
}
|
91
89
|
|
92
|
-
k->
|
93
|
-
k->l = (scs_int)floor(
|
90
|
+
k->z = (scs_int)floor(factor * n * p_f);
|
91
|
+
k->l = (scs_int)floor(factor * n * p_l);
|
94
92
|
|
95
93
|
k->qsize = 0;
|
96
|
-
q_num_rows =
|
94
|
+
q_num_rows = factor * n - k->z - k->l;
|
97
95
|
k->q = (scs_int *)scs_malloc(q_num_rows * sizeof(scs_int));
|
98
96
|
|
99
97
|
while (q_num_rows > max_q) {
|
@@ -117,6 +115,9 @@ int main(int argc, char **argv) {
|
|
117
115
|
k->ssize = 0;
|
118
116
|
k->ep = 0;
|
119
117
|
k->ed = 0;
|
118
|
+
k->bsize = 0;
|
119
|
+
k->bu = SCS_NULL;
|
120
|
+
k->bl = SCS_NULL;
|
120
121
|
|
121
122
|
scs_printf("\nA is %ld by %ld, with %ld nonzeros per column.\n", (long)m,
|
122
123
|
(long)n, (long)col_nnz);
|
@@ -130,7 +131,7 @@ int main(int argc, char **argv) {
|
|
130
131
|
((scs_float)n * sizeof(scs_int)) / POWF(2, 30));
|
131
132
|
|
132
133
|
printf("ScsCone information:\n");
|
133
|
-
printf("Zero cone rows: %ld\n", (long)k->
|
134
|
+
printf("Zero cone rows: %ld\n", (long)k->z);
|
134
135
|
printf("LP cone rows: %ld\n", (long)k->l);
|
135
136
|
printf("Number of second-order cones: %ld, covering %ld rows, with sizes\n[",
|
136
137
|
(long)k->qsize, (long)q_total);
|
@@ -139,20 +140,20 @@ int main(int argc, char **argv) {
|
|
139
140
|
}
|
140
141
|
printf("]\n");
|
141
142
|
printf("Number of rows covered is %ld out of %ld.\n\n",
|
142
|
-
(long)(q_total + k->
|
143
|
+
(long)(q_total + k->z + k->l), (long)m);
|
143
144
|
|
144
145
|
/* set up SCS structures */
|
145
146
|
d->m = m;
|
146
147
|
d->n = n;
|
147
|
-
gen_random_prob_data(nnz, col_nnz, d, k, opt_sol);
|
148
|
-
SCS(set_default_settings)(
|
148
|
+
gen_random_prob_data(nnz, col_nnz, d, k, opt_sol, seed);
|
149
|
+
SCS(set_default_settings)(stgs);
|
149
150
|
|
150
|
-
/*
|
151
|
+
/* stgs->write_data_filename = "random_socp_prob"; */
|
151
152
|
|
152
153
|
scs_printf("true pri opt = %4f\n", SCS(dot)(d->c, opt_sol->x, d->n));
|
153
154
|
scs_printf("true dua opt = %4f\n", -SCS(dot)(d->b, opt_sol->y, d->m));
|
154
155
|
/* solve! */
|
155
|
-
scs(d, k, sol, &info);
|
156
|
+
scs(d, k, stgs, sol, &info);
|
156
157
|
scs_printf("true pri opt = %4f\n", SCS(dot)(d->c, opt_sol->x, d->n));
|
157
158
|
scs_printf("true dua opt = %4f\n", -SCS(dot)(d->b, opt_sol->y, d->m));
|
158
159
|
|
@@ -163,7 +164,7 @@ int main(int argc, char **argv) {
|
|
163
164
|
scs_printf("scs dua obj = %4f\n", -SCS(dot)(d->b, sol->y, d->m));
|
164
165
|
}
|
165
166
|
|
166
|
-
SCS(free_data)(d, k);
|
167
|
+
SCS(free_data)(d, k, stgs);
|
167
168
|
SCS(free_sol)(sol);
|
168
169
|
SCS(free_sol)(opt_sol);
|
169
170
|
|