scs 0.2.3 → 0.3.0

data/vendor/scs/linsys/gpu/indirect/private.c

@@ -1,71 +1,89 @@
 #include "private.h"
+#include "linsys.h"
 
-#define CG_BEST_TOL 1e-9
-#define CG_MIN_TOL 1e-1
-
-/* do not use within pcg, reuses memory */
-void SCS(accum_by_atrans)(const ScsMatrix *A, ScsLinSysWork *p,
-                          const scs_float *x, scs_float *y) {
-  scs_float *v_m = p->tmp_m;
-  scs_float *v_n = p->r;
-  cudaMemcpy(v_m, x, A->m * sizeof(scs_float), cudaMemcpyHostToDevice);
-  cudaMemcpy(v_n, y, A->n * sizeof(scs_float), cudaMemcpyHostToDevice);
-
-  cusparseDnVecSetValues(p->dn_vec_m, (void *) v_m);
-  cusparseDnVecSetValues(p->dn_vec_n, (void *) v_n);
-  SCS(_accum_by_atrans_gpu)(
-    p->Ag, p->dn_vec_m, p->dn_vec_n, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
-
-  cudaMemcpy(y, v_n, A->n * sizeof(scs_float), cudaMemcpyDeviceToHost);
-}
-
-/* do not use within pcg, reuses memory */
-void SCS(accum_by_a)(const ScsMatrix *A, ScsLinSysWork *p, const scs_float *x,
-                     scs_float *y) {
-  scs_float *v_m = p->tmp_m;
-  scs_float *v_n = p->r;
-  cudaMemcpy(v_n, x, A->n * sizeof(scs_float), cudaMemcpyHostToDevice);
-  cudaMemcpy(v_m, y, A->m * sizeof(scs_float), cudaMemcpyHostToDevice);
+/* norm to use when deciding convergence */
+/* should be consistent with CG_NORM in glbopts.h */
+#define USE_L2_NORM (0)
 
-  cusparseDnVecSetValues(p->dn_vec_m, (void *) v_m);
-  cusparseDnVecSetValues(p->dn_vec_n, (void *) v_n);
-#if GPU_TRANSPOSE_MAT > 0
-  SCS(_accum_by_atrans_gpu)(
-    p->Agt, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
+static scs_float cg_gpu_norm(cublasHandle_t cublas_handle, scs_float *r,
+                             scs_int n) {
+#if USE_L2_NORM > 0
+  scs_float nrm;
+  CUBLAS(nrm2)(cublas_handle, n, r, 1, &nrm);
 #else
-  SCS(_accum_by_a_gpu)(
-    p->Ag, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
+  scs_int idx;
+  scs_float nrm;
+  CUBLASI(amax)(cublas_handle, n, r, 1, &idx);
+  /* NOTE: we take idx -1 here since the routine above returns Fortran idxs */
+  cudaMemcpy(&nrm, &(r[idx - 1]), sizeof(scs_float), cudaMemcpyDeviceToHost);
+  nrm = ABS(nrm);
 #endif
-
-  cudaMemcpy(y, v_m, A->m * sizeof(scs_float), cudaMemcpyDeviceToHost);
+  return nrm;
 }
 
-char *SCS(get_lin_sys_method)(const ScsMatrix *A, const ScsSettings *stgs) {
-  char *str = (char *)scs_malloc(sizeof(char) * 128);
-  sprintf(str, "sparse-indirect GPU, nnz in A = %li, CG tol ~ 1/iter^(%2.2f)",
-          (long)A->p[A->n], stgs->cg_rate);
-  return str;
+const char *SCS(get_lin_sys_method)() {
+  return "sparse-indirect GPU";
 }
 
+/*
 char *SCS(get_lin_sys_summary)(ScsLinSysWork *p, const ScsInfo *info) {
   char *str = (char *)scs_malloc(sizeof(char) * 128);
-  sprintf(str,
-          "\tLin-sys: avg # CG iterations: %2.2f, avg solve time: %1.2es\n",
-          (scs_float)p->tot_cg_its / (info->iter + 1),
-          p->total_solve_time / (info->iter + 1) / 1e3);
+  sprintf(str, "lin-sys: avg cg its: %2.2f\n",
+          (scs_float)p->tot_cg_its / (info->iter + 1));
   p->tot_cg_its = 0;
-  p->total_solve_time = 0;
   return str;
 }
+*/
+
+/* set M = inv ( diag ( rho_x * I + P + A' R_y^{-1} A ) ) */
+static void set_preconditioner(ScsLinSysWork *p, scs_float *rho_y_vec) {
+  scs_int i, k;
+  const ScsMatrix *A = p->A;
+  const ScsMatrix *P = p->P;
+  scs_float *M = (scs_float *)scs_calloc(A->n, sizeof(scs_float));
+
+#if VERBOSITY > 0
+  scs_printf("getting pre-conditioner\n");
+#endif
+
+  for (i = 0; i < A->n; ++i) { /* cols */
+    M[i] = p->rho_x;
+    /* diag(A' R_y^{-1} A) */
+    for (k = A->p[i]; k < A->p[i + 1]; ++k) {
+      /* A->i[k] is row of entry k with value A->x[k] */
+      M[i] += A->x[k] * A->x[k] / rho_y_vec[A->i[k]];
+    }
+    if (P) {
+      for (k = P->p[i]; k < P->p[i + 1]; k++) {
+        /* diagonal element only */
+        if (P->i[k] == i) { /* row == col */
+          M[i] += P->x[k];
+          break;
+        }
+      }
+    }
+    M[i] = 1. / M[i];
+  }
+  cudaMemcpy(p->M, M, A->n * sizeof(scs_float), cudaMemcpyHostToDevice);
+  scs_free(M);
+#if VERBOSITY > 0
+  scs_printf("finished getting pre-conditioner\n");
+#endif
+}
+
+/* no need to update anything in this case */
+void SCS(update_lin_sys_rho_y_vec)(ScsLinSysWork *p, scs_float *rho_y_vec) {
+  scs_int i;
+  for (i = 0; i < p->m; ++i)
+    p->inv_rho_y_vec[i] = 1. / rho_y_vec[i];
+  cudaMemcpy(p->inv_rho_y_vec_gpu, p->inv_rho_y_vec, p->m * sizeof(scs_float),
+             cudaMemcpyHostToDevice);
+  set_preconditioner(p, rho_y_vec);
+}
 
 void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
   if (p) {
+    scs_free(p->inv_rho_y_vec);
     cudaFree(p->p);
     cudaFree(p->r);
     cudaFree(p->Gp);
@@ -73,6 +91,11 @@ void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
     cudaFree(p->tmp_m);
     cudaFree(p->z);
     cudaFree(p->M);
+    cudaFree(p->inv_rho_y_vec_gpu);
+    if (p->Pg) {
+      SCS(free_gpu_matrix)(p->Pg);
+      scs_free(p->Pg);
+    }
     if (p->Ag) {
       SCS(free_gpu_matrix)(p->Ag);
       scs_free(p->Ag);
@@ -86,6 +109,7 @@ void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
     }
     cusparseDestroyDnVec(p->dn_vec_m);
     cusparseDestroyDnVec(p->dn_vec_n);
+    cusparseDestroyDnVec(p->dn_vec_n_p);
     cusparseDestroy(p->cusparse_handle);
     cublasDestroy(p->cublas_handle);
     /* Don't reset because it interferes with other GPU programs. */
@@ -94,80 +118,105 @@ void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
   }
 }
 
-/*y = (RHO_X * I + A'A)x */
-static void mat_vec(const ScsGpuMatrix *A, const ScsSettings *s,
-                    ScsLinSysWork *p, const scs_float *x, scs_float *y) {
+/* z = M * z elementwise in place, assumes M, z on GPU */
+static void scale_by_diag(cublasHandle_t cublas_handle, scs_float *M,
+                          scs_float *z, scs_int n) {
+  CUBLAS(tbmv)
+  (cublas_handle, CUBLAS_FILL_MODE_LOWER, CUBLAS_OP_N, CUBLAS_DIAG_NON_UNIT, n,
+   0, M, 1, z, 1);
+}
+
+/* y = (rho_x * I + P + A' R_y^{-1} A) x */
+static void mat_vec(ScsLinSysWork *p, const scs_float *x, scs_float *y) {
   /* x and y MUST already be loaded to GPU */
-  scs_float *tmp_m = p->tmp_m; /* temp memory */
-  cudaMemset(tmp_m, 0, A->m * sizeof(scs_float));
+  scs_float *z = p->tmp_m; /* temp memory */
+  cudaMemset(y, 0, p->n * sizeof(scs_float));
+  cudaMemset(z, 0, p->m * sizeof(scs_float));
+
+  cusparseDnVecSetValues(p->dn_vec_m, (void *)z);
+  cusparseDnVecSetValues(p->dn_vec_n, (void *)x);
+  cusparseDnVecSetValues(p->dn_vec_n_p, (void *)y);
+
+  /* y = rho_x * x */
+  CUBLAS(axpy)(p->cublas_handle, p->n, &(p->rho_x), x, 1, y, 1);
+
+  if (p->Pg) {
+    /* y = rho_x * x + Px */
+    SCS(accum_by_p_gpu)
+    (p->Pg, p->dn_vec_n, p->dn_vec_n_p, p->cusparse_handle, &p->buffer_size,
+     &p->buffer);
+  }
 
-  cusparseDnVecSetValues(p->dn_vec_m, (void *) tmp_m);
-  cusparseDnVecSetValues(p->dn_vec_n, (void *) x);
+  /* z = Ax */
 #if GPU_TRANSPOSE_MAT > 0
-  SCS(_accum_by_atrans_gpu)(
-    p->Agt, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
+  SCS(accum_by_atrans_gpu)
+  (p->Agt, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle, &p->buffer_size,
+   &p->buffer);
 #else
-  SCS(_accum_by_a_gpu)(
-    A, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
+  SCS(accum_by_a_gpu)
+  (p->Ag, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle, &p->buffer_size,
+   &p->buffer);
 #endif
+  /* z = R_y^{-1} A x */
+  scale_by_diag(p->cublas_handle, p->inv_rho_y_vec_gpu, z, p->m);
 
-  cudaMemset(y, 0, A->n * sizeof(scs_float));
-
-  cusparseDnVecSetValues(p->dn_vec_m, (void *) tmp_m);
-  cusparseDnVecSetValues(p->dn_vec_n, (void *) y);
-  SCS(_accum_by_atrans_gpu)(
-    A, p->dn_vec_m, p->dn_vec_n, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
-
-  CUBLAS(axpy)(p->cublas_handle, A->n, &(s->rho_x), x, 1, y, 1);
+  /* y += A'z => y = rho_x * x + Px + A' R_y^{-1} Ax */
+  SCS(accum_by_atrans_gpu)
+  (p->Ag, p->dn_vec_m, p->dn_vec_n_p, p->cusparse_handle, &p->buffer_size,
+   &p->buffer);
 }
 
-/* M = inv ( diag ( RHO_X * I + A'A ) ) */
-static void get_preconditioner(const ScsMatrix *A, const ScsSettings *stgs,
-                               ScsLinSysWork *p) {
-  scs_int i;
-  scs_float *M = (scs_float *)scs_malloc(A->n * sizeof(scs_float));
-
-#if EXTRA_VERBOSE > 0
-  scs_printf("getting pre-conditioner\n");
-#endif
-
-  for (i = 0; i < A->n; ++i) {
-    M[i] = 1 / (stgs->rho_x +
-                SCS(norm_sq)(&(A->x[A->p[i]]), A->p[i + 1] - A->p[i]));
-    /* M[i] = 1; */
+/* P comes in upper triangular, expand to full
+ * First compute triplet version of full matrix, then compress to csc
+ * */
+static csc *fill_p_matrix(const ScsMatrix *P) {
+  scs_int i, j, k, kk;
+  scs_int Pnzmax = 2 * P->p[P->n]; /* upper bound */
+  csc *P_tmp = SCS(cs_spalloc)(P->n, P->n, Pnzmax, 1, 1);
+  csc *P_full;
+  kk = 0;
+  for (j = 0; j < P->n; j++) { /* cols */
+    for (k = P->p[j]; k < P->p[j + 1]; k++) {
+      i = P->i[k]; /* row */
+      if (i > j) { /* only upper triangular needed */
+        break;
+      }
+      P_tmp->i[kk] = i;
+      P_tmp->p[kk] = j;
+      P_tmp->x[kk] = P->x[k];
+      kk++;
+      if (i == j) { /* diagonal */
+        continue;
+      }
+      P_tmp->i[kk] = j;
+      P_tmp->p[kk] = i;
+      P_tmp->x[kk] = P->x[k];
+      kk++;
+    }
   }
-  cudaMemcpy(p->M, M, A->n * sizeof(scs_float), cudaMemcpyHostToDevice);
-  scs_free(M);
-
-#if EXTRA_VERBOSE > 0
-  scs_printf("finished getting pre-conditioner\n");
-#endif
+  P_tmp->nz = kk; /* set number of nonzeros */
+  P_full = SCS(cs_compress)(P_tmp, SCS_NULL);
+  SCS(cs_spfree)(P_tmp);
+  return P_full;
 }
 
-ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
-                                      const ScsSettings *stgs) {
+ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
+                                      scs_float *rho_y_vec, scs_float rho_x) {
   cudaError_t err;
+  scs_int i;
+  csc *P_full;
   ScsLinSysWork *p = (ScsLinSysWork *)scs_calloc(1, sizeof(ScsLinSysWork));
-  ScsGpuMatrix *Ag = (ScsGpuMatrix *)scs_malloc(sizeof(ScsGpuMatrix));
-  
-  /* Used for initializing dense vectors */
-  scs_float *tmp_null_n = SCS_NULL;
-  scs_float *tmp_null_m = SCS_NULL;
+  ScsGpuMatrix *Ag = (ScsGpuMatrix *)scs_calloc(1, sizeof(ScsGpuMatrix));
+  ScsGpuMatrix *Pg = SCS_NULL;
 
 #if GPU_TRANSPOSE_MAT > 0
   size_t new_buffer_size = 0;
 #endif
 
+  p->rho_x = rho_x;
   p->cublas_handle = 0;
   p->cusparse_handle = 0;
 
-  p->total_solve_time = 0;
   p->tot_cg_its = 0;
 
   p->buffer_size = 0;
@@ -181,13 +230,8 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
 
   Ag->n = A->n;
   Ag->m = A->m;
-  Ag->Annz = A->p[A->n];
+  Ag->nnz = A->p[A->n];
   Ag->descr = 0;
-  /* Matrix description */
-
-  p->Ag = Ag;
-  p->Agt = SCS_NULL;
-
   cudaMalloc((void **)&Ag->i, (A->p[A->n]) * sizeof(scs_int));
   cudaMalloc((void **)&Ag->p, (A->n + 1) * sizeof(scs_int));
   cudaMalloc((void **)&Ag->x, (A->p[A->n]) * sizeof(scs_float));
@@ -196,10 +240,10 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
   cudaMalloc((void **)&p->r, A->n * sizeof(scs_float));
   cudaMalloc((void **)&p->Gp, A->n * sizeof(scs_float));
   cudaMalloc((void **)&p->bg, (A->n + A->m) * sizeof(scs_float));
-  cudaMalloc((void **)&p->tmp_m,
-             A->m * sizeof(scs_float)); /* intermediate result */
+  cudaMalloc((void **)&p->tmp_m, A->m * sizeof(scs_float));
   cudaMalloc((void **)&p->z, A->n * sizeof(scs_float));
   cudaMalloc((void **)&p->M, A->n * sizeof(scs_float));
+  cudaMalloc((void **)&p->inv_rho_y_vec_gpu, A->m * sizeof(scs_float));
 
   cudaMemcpy(Ag->i, A->i, (A->p[A->n]) * sizeof(scs_int),
              cudaMemcpyHostToDevice);
@@ -207,25 +251,59 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
   cudaMemcpy(Ag->x, A->x, (A->p[A->n]) * sizeof(scs_float),
              cudaMemcpyHostToDevice);
 
-  cusparseCreateCsr
-  (&Ag->descr, Ag->n, Ag->m, Ag->Annz, Ag->p, Ag->i, Ag->x,
-    SCS_CUSPARSE_INDEX, SCS_CUSPARSE_INDEX,
-    CUSPARSE_INDEX_BASE_ZERO, SCS_CUDA_FLOAT);
+  p->inv_rho_y_vec = (scs_float *)scs_malloc(A->m * sizeof(scs_float));
+  for (i = 0; i < A->m; ++i)
+    p->inv_rho_y_vec[i] = 1. / rho_y_vec[i];
+  cudaMemcpy(p->inv_rho_y_vec_gpu, p->inv_rho_y_vec, A->m * sizeof(scs_float),
+             cudaMemcpyHostToDevice);
 
-  cudaMalloc((void **)&tmp_null_n, A->n * sizeof(scs_float));
-  cudaMalloc((void **)&tmp_null_m, A->m * sizeof(scs_float));
-  cusparseCreateDnVec(&p->dn_vec_n, Ag->n, tmp_null_n, SCS_CUDA_FLOAT);
-  cusparseCreateDnVec(&p->dn_vec_m, Ag->m, tmp_null_m, SCS_CUDA_FLOAT);
-  cudaFree(tmp_null_n);
-  cudaFree(tmp_null_m);
+  cusparseCreateCsr(&Ag->descr, Ag->n, Ag->m, Ag->nnz, Ag->p, Ag->i, Ag->x,
+                    SCS_CUSPARSE_INDEX, SCS_CUSPARSE_INDEX,
+                    CUSPARSE_INDEX_BASE_ZERO, SCS_CUDA_FLOAT);
+
+  if (P) {
+    Pg = (ScsGpuMatrix *)scs_calloc(1, sizeof(ScsGpuMatrix));
+    P_full = fill_p_matrix(P);
+    Pg->n = P_full->n;
+    Pg->m = P_full->m;
+    Pg->nnz = P_full->p[P_full->n];
+    Pg->descr = 0;
+    cudaMalloc((void **)&Pg->i, (P_full->p[P_full->n]) * sizeof(scs_int));
+    cudaMalloc((void **)&Pg->p, (P_full->n + 1) * sizeof(scs_int));
+    cudaMalloc((void **)&Pg->x, (P_full->p[P_full->n]) * sizeof(scs_float));
+
+    cudaMemcpy(Pg->i, P_full->i, (P_full->p[P_full->n]) * sizeof(scs_int),
+               cudaMemcpyHostToDevice);
+    cudaMemcpy(Pg->p, P_full->p, (P_full->n + 1) * sizeof(scs_int),
+               cudaMemcpyHostToDevice);
+    cudaMemcpy(Pg->x, P_full->x, (P_full->p[P_full->n]) * sizeof(scs_float),
+               cudaMemcpyHostToDevice);
+
+    cusparseCreateCsr(&Pg->descr, Pg->n, Pg->m, Pg->nnz, Pg->p, Pg->i, Pg->x,
+                      SCS_CUSPARSE_INDEX, SCS_CUSPARSE_INDEX,
+                      CUSPARSE_INDEX_BASE_ZERO, SCS_CUDA_FLOAT);
+
+    SCS(cs_spfree)(P_full);
+  } else {
+    Pg = SCS_NULL;
+  }
 
-  get_preconditioner(A, stgs, p);
+  p->Ag = Ag;
+  p->Pg = Pg;
+  p->Agt = SCS_NULL;
+
+  /* we initialize with tmp_m but always overwrite it so it doesn't matter */
+  cusparseCreateDnVec(&p->dn_vec_n, Ag->n, p->tmp_m, SCS_CUDA_FLOAT);
+  cusparseCreateDnVec(&p->dn_vec_n_p, Ag->n, p->tmp_m, SCS_CUDA_FLOAT);
+  cusparseCreateDnVec(&p->dn_vec_m, Ag->m, p->tmp_m, SCS_CUDA_FLOAT);
+
+  set_preconditioner(p, rho_y_vec);
 
 #if GPU_TRANSPOSE_MAT > 0
   p->Agt = (ScsGpuMatrix *)scs_malloc(sizeof(ScsGpuMatrix));
   p->Agt->n = A->m;
   p->Agt->m = A->n;
-  p->Agt->Annz = A->p[A->n];
+  p->Agt->nnz = A->p[A->n];
   p->Agt->descr = 0;
   /* Matrix description */
 
@@ -234,13 +312,10 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
   cudaMalloc((void **)&p->Agt->x, (A->p[A->n]) * sizeof(scs_float));
   /* transpose Ag into Agt for faster multiplies */
   /* TODO: memory intensive, could perform transpose in CPU and copy to GPU */
-  cusparseCsr2cscEx2_bufferSize
-  (p->cusparse_handle, A->n, A->m, A->p[A->n],
-    Ag->x, Ag->p, Ag->i,
-    p->Agt->x, p->Agt->p, p->Agt->i,
-    SCS_CUDA_FLOAT, CUSPARSE_ACTION_NUMERIC,
-    CUSPARSE_INDEX_BASE_ZERO, SCS_CSR2CSC_ALG,
-    &new_buffer_size);
+  cusparseCsr2cscEx2_bufferSize(
+      p->cusparse_handle, A->n, A->m, A->p[A->n], Ag->x, Ag->p, Ag->i,
+      p->Agt->x, p->Agt->p, p->Agt->i, SCS_CUDA_FLOAT, CUSPARSE_ACTION_NUMERIC,
+      CUSPARSE_INDEX_BASE_ZERO, SCS_CSR2CSC_ALG, &new_buffer_size);
 
   if (new_buffer_size > p->buffer_size) {
     if (p->buffer != SCS_NULL) {
@@ -250,24 +325,20 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
     p->buffer_size = new_buffer_size;
   }
 
-  cusparseCsr2cscEx2
-  (p->cusparse_handle, A->n, A->m, A->p[A->n],
-    Ag->x, Ag->p, Ag->i,
-    p->Agt->x, p->Agt->p, p->Agt->i,
-    SCS_CUDA_FLOAT, CUSPARSE_ACTION_NUMERIC,
-    CUSPARSE_INDEX_BASE_ZERO, SCS_CSR2CSC_ALG,
-    p->buffer);
-
-  cusparseCreateCsr
-  (&p->Agt->descr, p->Agt->n, p->Agt->m, p->Agt->Annz,
-    p->Agt->p, p->Agt->i, p->Agt->x,
-    SCS_CUSPARSE_INDEX, SCS_CUSPARSE_INDEX,
-    CUSPARSE_INDEX_BASE_ZERO, SCS_CUDA_FLOAT);
+  cusparseCsr2cscEx2(p->cusparse_handle, A->n, A->m, A->p[A->n], Ag->x, Ag->p,
+                     Ag->i, p->Agt->x, p->Agt->p, p->Agt->i, SCS_CUDA_FLOAT,
+                     CUSPARSE_ACTION_NUMERIC, CUSPARSE_INDEX_BASE_ZERO,
+                     SCS_CSR2CSC_ALG, p->buffer);
+
+  cusparseCreateCsr(&p->Agt->descr, p->Agt->n, p->Agt->m, p->Agt->nnz,
+                    p->Agt->p, p->Agt->i, p->Agt->x, SCS_CUSPARSE_INDEX,
+                    SCS_CUSPARSE_INDEX, CUSPARSE_INDEX_BASE_ZERO,
+                    SCS_CUDA_FLOAT);
 #endif
 
   err = cudaGetLastError();
   if (err != cudaSuccess) {
-    printf("%s:%d:%s\nERROR_CUDA: %s\n", __FILE__, __LINE__, __func__,
+    printf("%s:%d:%s\nERROR_CUDA (*): %s\n", __FILE__, __LINE__, __func__,
            cudaGetErrorString(err));
     SCS(free_lin_sys_work)(p);
     return SCS_NULL;
@@ -275,138 +346,173 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A,
   return p;
 }
 
-static void apply_pre_conditioner(cublasHandle_t cublas_handle, scs_float *M,
-                                  scs_float *z, scs_float *r, scs_int n) {
-  cudaMemcpy(z, r, n * sizeof(scs_float), cudaMemcpyDeviceToDevice);
-  CUBLAS(tbmv)
-  (cublas_handle, CUBLAS_FILL_MODE_LOWER, CUBLAS_OP_N, CUBLAS_DIAG_NON_UNIT, n,
-   0, M, 1, z, 1);
-}
-
-/* solves (I+A'A)x = b, s warm start, solution stored in bg (on GPU) */
-static scs_int pcg(const ScsGpuMatrix *A, const ScsSettings *stgs,
-                   ScsLinSysWork *pr, const scs_float *s, scs_float *bg,
+/* solves (rho_x * I + P + A' R_y^{-1} A)x = b, s warm start, solution stored in
+ * b */
+/* on GPU */
+static scs_int pcg(ScsLinSysWork *pr, const scs_float *s, scs_float *bg,
                    scs_int max_its, scs_float tol) {
-  scs_int i, n = A->n;
-  scs_float alpha, nrm_r, p_gp, neg_alpha, beta, ipzr, ipzr_old;
+  scs_int i, n = pr->n;
+  scs_float ztr, ztr_prev, alpha, ptGp, beta, neg_alpha;
   scs_float onef = 1.0, neg_onef = -1.0;
   scs_float *p = pr->p;   /* cg direction */
   scs_float *Gp = pr->Gp; /* updated CG direction */
   scs_float *r = pr->r;   /* cg residual */
   scs_float *z = pr->z;   /* preconditioned */
-  scs_float *M = pr->M;   /* preconditioner */
   cublasHandle_t cublas_handle = pr->cublas_handle;
 
-  if (s == SCS_NULL) {
+  if (!s) {
+    /* take s = 0 */
+    /* r = b */
     cudaMemcpy(r, bg, n * sizeof(scs_float), cudaMemcpyDeviceToDevice);
+    /* b = 0 */
     cudaMemset(bg, 0, n * sizeof(scs_float));
   } else {
     /* p contains bg temporarily */
     cudaMemcpy(p, bg, n * sizeof(scs_float), cudaMemcpyDeviceToDevice);
-    /* bg contains s */
+    /* bg = s */
     cudaMemcpy(bg, s, n * sizeof(scs_float), cudaMemcpyHostToDevice);
-    mat_vec(A, stgs, pr, bg, r);
+    /* r = Mat * s */
+    mat_vec(pr, bg, r);
+    /* r = Mat * s - b */
     CUBLAS(axpy)(cublas_handle, n, &neg_onef, p, 1, r, 1);
+    /* r = b - Mat * s  */
     CUBLAS(scal)(cublas_handle, n, &neg_onef, r, 1);
   }
 
-  /* for some reason nrm2 is VERY slow */
-  /* CUBLAS(nrm2)(cublas_handle, n, r, 1, &nrm_r); */
-  CUBLAS(dot)(cublas_handle, n, r, 1, r, 1, &nrm_r);
-  nrm_r = SQRTF(nrm_r);
   /* check to see if we need to run CG at all */
-  if (nrm_r < MIN(tol, 1e-18)) {
+  if (cg_gpu_norm(cublas_handle, r, n) < tol) {
     return 0;
   }
 
-  apply_pre_conditioner(cublas_handle, M, z, r, n);
-  CUBLAS(dot)(cublas_handle, n, r, 1, z, 1, &ipzr);
-  /* put z in p, replacing temp mem */
+  /* z = M r */
+  cudaMemcpy(z, r, n * sizeof(scs_float), cudaMemcpyDeviceToDevice);
+  scale_by_diag(cublas_handle, pr->M, z, n);
+  /* ztr = z'r */
+  CUBLAS(dot)(cublas_handle, n, r, 1, z, 1, &ztr);
+  /* p = z */
   cudaMemcpy(p, z, n * sizeof(scs_float), cudaMemcpyDeviceToDevice);
 
   for (i = 0; i < max_its; ++i) {
-    mat_vec(A, stgs, pr, p, Gp);
-
-    CUBLAS(dot)(cublas_handle, n, p, 1, Gp, 1, &p_gp);
-
-    alpha = ipzr / p_gp;
+    /* Gp = Mat * p */
+    mat_vec(pr, p, Gp);
+    /* ptGp = p'Gp */
+    CUBLAS(dot)(cublas_handle, n, p, 1, Gp, 1, &ptGp);
+    /* alpha = z'r / p'G p */
+    alpha = ztr / ptGp;
     neg_alpha = -alpha;
-
+    /* b += alpha * p */
     CUBLAS(axpy)(cublas_handle, n, &alpha, p, 1, bg, 1);
+    /* r -= alpha * G p */
     CUBLAS(axpy)(cublas_handle, n, &neg_alpha, Gp, 1, r, 1);
 
-    /* for some reason nrm2 is VERY slow */
-    /* CUBLAS(nrm2)(cublas_handle, n, r, 1, &nrm_r); */
-    CUBLAS(dot)(cublas_handle, n, r, 1, r, 1, &nrm_r);
-    nrm_r = SQRTF(nrm_r);
-    if (nrm_r < tol) {
-      i++;
-      break;
-    }
-    ipzr_old = ipzr;
-    apply_pre_conditioner(cublas_handle, M, z, r, n);
-    CUBLAS(dot)(cublas_handle, n, r, 1, z, 1, &ipzr);
+#if VERBOSITY > 3
+    scs_printf("tol: %.4e, resid: %.4e, iters: %li\n", tol,
+               cg_gpu_norm(cublas_handle, r, n), (long)i + 1);
+#endif
 
-    beta = ipzr / ipzr_old;
+    if (cg_gpu_norm(cublas_handle, r, n) < tol) {
+      return i + 1;
+    }
+    /* z = M r */
+    cudaMemcpy(z, r, n * sizeof(scs_float), cudaMemcpyDeviceToDevice);
+    scale_by_diag(cublas_handle, pr->M, z, n);
+    ztr_prev = ztr;
+    /* ztr = z'r */
+    CUBLAS(dot)(cublas_handle, n, r, 1, z, 1, &ztr);
+    beta = ztr / ztr_prev;
+    /* p = beta * p, where beta = ztr / ztr_prev */
     CUBLAS(scal)(cublas_handle, n, &beta, p, 1);
+    /* p = z + beta * p */
     CUBLAS(axpy)(cublas_handle, n, &onef, z, 1, p, 1);
   }
-#if EXTRA_VERBOSE > 0
-  scs_printf("tol: %.4e, resid: %.4e, iters: %li\n", tol, nrm_r, (long)i + 1);
-#endif
   return i;
 }
 
-scs_int SCS(solve_lin_sys)(const ScsMatrix *A, const ScsSettings *stgs,
-                           ScsLinSysWork *p, scs_float *b, const scs_float *s,
-                           scs_int iter) {
-  scs_int cg_its;
-  SCS(timer) linsys_timer;
-  scs_float *bg = p->bg;
+/* solves Mx = b, for x but stores result in b */
+/* s contains warm-start (if available) */
+/*
+ * [x] = [rho_x I + P     A' ]^{-1} [rx]
+ * [y]   [     A        -R_y ]      [ry]
+ *
+ * R_y = diag(rho_y_vec)
+ *
+ * becomes:
+ *
+ * x = (rho_x I + P + A' R_y^{-1} A)^{-1} (rx + A' R_y^{-1} ry)
+ * y = R_y^{-1} (Ax - ry)
+ *
+ */
+scs_int SCS(solve_lin_sys)(ScsLinSysWork *p, scs_float *b, const scs_float *s,
+                           scs_float tol) {
+  scs_int cg_its, max_iters;
   scs_float neg_onef = -1.0;
+
+  /* these are on GPU */
+  scs_float *bg = p->bg;
+  scs_float *tmp_m = p->tmp_m;
   ScsGpuMatrix *Ag = p->Ag;
-  scs_float cg_tol =
-      SCS(norm)(b, Ag->n) *
-      (iter < 0 ? CG_BEST_TOL
-                : CG_MIN_TOL / POWF((scs_float)iter + 1., stgs->cg_rate));
-  SCS(tic)(&linsys_timer);
-  /* all on GPU */
-  cudaMemcpy(bg, b, (Ag->n + Ag->m) * sizeof(scs_float), cudaMemcpyHostToDevice);
-
-  cusparseDnVecSetValues(p->dn_vec_m, (void *) &(bg[Ag->n]));
-  cusparseDnVecSetValues(p->dn_vec_n, (void *) bg);
-  SCS(_accum_by_atrans_gpu)(
-    Ag, p->dn_vec_m, p->dn_vec_n, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
-
-  /* solves (I+A'A)x = b, s warm start, solution stored in b */
-  cg_its = pcg(p->Ag, stgs, p, s, bg, Ag->n, MAX(cg_tol, CG_BEST_TOL));
+  ScsGpuMatrix *Pg = p->Pg;
+
+  if (CG_NORM(b, p->n + p->m) <= 1e-12) {
+    memset(b, 0, (p->n + p->m) * sizeof(scs_float));
+    return 0;
+  }
+
+  if (tol <= 0.) {
+    scs_printf("Warning: tol = %4f <= 0, likely compiled without setting "
+               "INDIRECT flag.\n",
+               tol);
+  }
+
+  /* bg = b = [rx; ry] */
+  cudaMemcpy(bg, b, (Ag->n + Ag->m) * sizeof(scs_float),
+             cudaMemcpyHostToDevice);
+  /* tmp = ry */
+  cudaMemcpy(tmp_m, &(bg[Ag->n]), Ag->m * sizeof(scs_float),
+             cudaMemcpyDeviceToDevice);
+  /* tmp = R_y^{-1} * tmp = R_y^{-1} * ry */
+  scale_by_diag(p->cublas_handle, p->inv_rho_y_vec_gpu, tmp_m, p->Ag->m);
+
+  cusparseDnVecSetValues(p->dn_vec_m, (void *)tmp_m); /* R * ry */
+  cusparseDnVecSetValues(p->dn_vec_n, (void *)bg);    /* rx */
+  /* bg[:n] = rx + A' R ry */
+  SCS(accum_by_atrans_gpu)
+  (Ag, p->dn_vec_m, p->dn_vec_n, p->cusparse_handle, &p->buffer_size,
+   &p->buffer);
+
+  /* set max_iters to 10 * n (though in theory n is enough for any tol) */
+  max_iters = 10 * Ag->n;
+
+  /* solves (rho_x I + P + A' R_y^{-1} A)x = bg, s warm start, solution stored
+   * in bg */
+  cg_its = pcg(p, s, bg, max_iters, tol); /* bg[:n] = x */
+
+  /* bg[n:] = -ry */
   CUBLAS(scal)(p->cublas_handle, Ag->m, &neg_onef, &(bg[Ag->n]), 1);
+  cusparseDnVecSetValues(p->dn_vec_m, (void *)&(bg[Ag->n])); /* -ry */
+  cusparseDnVecSetValues(p->dn_vec_n, (void *)bg);           /* x */
 
-  cusparseDnVecSetValues(p->dn_vec_m, (void *) &(bg[Ag->n]));
-  cusparseDnVecSetValues(p->dn_vec_n, (void *) bg);
+  /* b[n:] = Ax - ry */
 #if GPU_TRANSPOSE_MAT > 0
-  SCS(_accum_by_atrans_gpu)(
-    p->Agt, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
+  SCS(accum_by_atrans_gpu)
+  (p->Agt, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle, &p->buffer_size,
+   &p->buffer);
 #else
-  SCS(_accum_by_a_gpu)(
-    Ag, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle,
-    &p->buffer_size, &p->buffer
-  );
+  SCS(accum_by_a_gpu)
+  (Ag, p->dn_vec_n, p->dn_vec_m, p->cusparse_handle, &p->buffer_size,
+   &p->buffer);
 #endif
 
-  cudaMemcpy(b, bg, (Ag->n + Ag->m) * sizeof(scs_float), cudaMemcpyDeviceToHost);
-
-  if (iter >= 0) {
-    p->tot_cg_its += cg_its;
-  }
+  /* bg[n:] = R_y^{-1} bg[n:] = R_y^{-1} (Ax - ry) = y */
+  scale_by_diag(p->cublas_handle, p->inv_rho_y_vec_gpu, &(bg[p->n]), p->Ag->m);
 
-  p->total_solve_time += SCS(tocq)(&linsys_timer);
-#if EXTRAVERBOSE > 0
-  scs_printf("linsys solve time: %1.2es\n", SCS(tocq)(&linsys_timer) / 1e3);
+  /* copy bg = [x; y] back to b */
+  cudaMemcpy(b, bg, (Ag->n + Ag->m) * sizeof(scs_float),
+             cudaMemcpyDeviceToHost);
+  p->tot_cg_its += cg_its;
+#if VERBOSITY > 1
+  scs_printf("tol %.3e\n", tol);
+  scs_printf("cg_its %i\n", (int)cg_its);
 #endif
   return 0;
 }