scs 0.3.1 → 0.3.2
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- checksums.yaml +4 -4
- data/CHANGELOG.md +4 -0
- data/README.md +8 -8
- data/lib/scs/ffi.rb +1 -7
- data/lib/scs/version.rb +1 -1
- data/vendor/scs/CITATION.cff +1 -1
- data/vendor/scs/CMakeLists.txt +55 -7
- data/vendor/scs/Makefile +9 -9
- data/vendor/scs/README.md +2 -1
- data/vendor/scs/include/aa.h +1 -1
- data/vendor/scs/include/cones.h +14 -11
- data/vendor/scs/include/glbopts.h +26 -64
- data/vendor/scs/include/linalg.h +2 -1
- data/vendor/scs/include/linsys.h +13 -13
- data/vendor/scs/include/normalize.h +6 -5
- data/vendor/scs/include/scs.h +43 -87
- data/vendor/scs/include/scs_types.h +34 -0
- data/vendor/scs/include/scs_work.h +83 -0
- data/vendor/scs/linsys/cpu/direct/private.c +86 -73
- data/vendor/scs/linsys/cpu/direct/private.h +2 -2
- data/vendor/scs/linsys/cpu/indirect/private.c +42 -33
- data/vendor/scs/linsys/cpu/indirect/private.h +1 -2
- data/vendor/scs/linsys/csparse.c +3 -3
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.c +6 -6
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.h +6 -1
- data/vendor/scs/linsys/external/amd/amd_order.c +5 -5
- data/vendor/scs/linsys/gpu/gpu.h +8 -11
- data/vendor/scs/linsys/gpu/indirect/private.c +72 -49
- data/vendor/scs/linsys/gpu/indirect/private.h +14 -13
- data/vendor/scs/linsys/scs_matrix.c +26 -46
- data/vendor/scs/linsys/scs_matrix.h +4 -4
- data/vendor/scs/scs.mk +1 -1
- data/vendor/scs/src/aa.c +13 -4
- data/vendor/scs/src/cones.c +143 -92
- data/vendor/scs/src/linalg.c +25 -0
- data/vendor/scs/src/normalize.c +26 -26
- data/vendor/scs/src/rw.c +48 -12
- data/vendor/scs/src/scs.c +104 -110
- data/vendor/scs/src/scs_version.c +8 -6
- data/vendor/scs/src/util.c +1 -1
- data/vendor/scs/test/minunit.h +6 -1
- data/vendor/scs/test/problem_utils.h +28 -35
- data/vendor/scs/test/problems/degenerate.h +1 -1
- data/vendor/scs/test/problems/hs21_tiny_qp.h +1 -1
- data/vendor/scs/test/problems/hs21_tiny_qp_rw.h +1 -1
- data/vendor/scs/test/problems/infeasible_tiny_qp.h +1 -1
- data/vendor/scs/test/problems/qafiro_tiny_qp.h +3 -3
- data/vendor/scs/test/problems/random_prob.h +1 -1
- data/vendor/scs/test/problems/rob_gauss_cov_est.h +1 -1
- data/vendor/scs/test/problems/small_lp.h +3 -1
- data/vendor/scs/test/problems/small_qp.h +352 -0
- data/vendor/scs/test/problems/{test_fails.h → test_validation.h} +3 -3
- data/vendor/scs/test/problems/unbounded_tiny_qp.h +1 -1
- data/vendor/scs/test/random_socp_prob.c +1 -1
- data/vendor/scs/test/run_from_file.c +1 -1
- data/vendor/scs/test/run_tests.c +23 -14
- metadata +8 -5
data/vendor/scs/src/cones.c
CHANGED
@@ -10,18 +10,15 @@
|
|
10
10
|
#define BOX_CONE_MAX_ITERS (25)
|
11
11
|
#define POW_CONE_MAX_ITERS (20)
|
12
12
|
|
13
|
-
/* In the box cone projection we penalize the `t` term additionally by this
|
14
|
-
* factor. This encourages the `t` term to stay close to the incoming `t` term,
|
15
|
-
* which should provide better convergence since typically the `t` term does
|
16
|
-
* not appear in the linear system other than `t = 1`. Setting to 1 is
|
17
|
-
* the vanilla projection.
|
18
|
-
*/
|
19
|
-
#define BOX_T_SCALE (1.)
|
20
|
-
|
21
13
|
/* Box cone limits (+ or -) taken to be INF */
|
22
14
|
#define MAX_BOX_VAL (1e15)
|
23
15
|
|
24
16
|
#ifdef USE_LAPACK
|
17
|
+
|
18
|
+
#ifdef __cplusplus
|
19
|
+
extern "C" {
|
20
|
+
#endif
|
21
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+
|
25
22
|
void BLAS(syev)(const char *jobz, const char *uplo, blas_int *n, scs_float *a,
|
26
23
|
blas_int *lda, scs_float *w, scs_float *work, blas_int *lwork,
|
27
24
|
blas_int *info);
|
@@ -31,34 +28,43 @@ blas_int BLAS(syrk)(const char *uplo, const char *trans, const blas_int *n,
|
|
31
28
|
const scs_float *beta, scs_float *c, const blas_int *ldc);
|
32
29
|
void BLAS(scal)(const blas_int *n, const scs_float *sa, scs_float *sx,
|
33
30
|
const blas_int *incx);
|
31
|
+
|
32
|
+
#ifdef __cplusplus
|
33
|
+
}
|
34
|
+
#endif
|
35
|
+
|
34
36
|
#endif
|
35
37
|
|
36
38
|
/* set the vector of rho y terms, based on scale and cones */
|
37
|
-
void SCS(
|
38
|
-
|
39
|
-
|
40
|
-
|
41
|
-
for (i = 0; i < k->z; ++i) {
|
39
|
+
void SCS(set_r_y)(const ScsConeWork *c, scs_float scale, scs_float *r_y) {
|
40
|
+
scs_int i;
|
41
|
+
/* z cone */
|
42
|
+
for (i = 0; i < c->k->z; ++i) {
|
42
43
|
/* set rho_y small for z, similar to rho_x term, since z corresponds to
|
43
44
|
* dual free cone, this effectively decreases penalty on those entries
|
44
45
|
* and lets them be determined almost entirely by the linear system solve
|
45
46
|
*/
|
46
|
-
|
47
|
+
r_y[i] = 1.0 / (1000. * scale);
|
47
48
|
}
|
48
|
-
count += k->z;
|
49
49
|
/* others */
|
50
|
-
for (i =
|
51
|
-
|
50
|
+
for (i = c->k->z; i < c->m; ++i) {
|
51
|
+
r_y[i] = 1.0 / scale;
|
52
52
|
}
|
53
|
+
}
|
53
54
|
|
54
|
-
|
55
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-
|
56
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-
|
57
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-
|
58
|
-
|
59
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-
|
60
|
-
|
61
|
-
|
55
|
+
/* the function f aggregates the entries within each cone */
|
56
|
+
void SCS(enforce_cone_boundaries)(const ScsConeWork *c, scs_float *vec,
|
57
|
+
scs_float (*f)(const scs_float *, scs_int)) {
|
58
|
+
scs_int i, j, delta;
|
59
|
+
scs_int count = c->cone_boundaries[0];
|
60
|
+
scs_float wrk;
|
61
|
+
for (i = 1; i < c->cone_boundaries_len; ++i) {
|
62
|
+
delta = c->cone_boundaries[i];
|
63
|
+
wrk = f(&(vec[count]), delta);
|
64
|
+
for (j = count; j < count + delta; ++j) {
|
65
|
+
vec[j] = wrk;
|
66
|
+
}
|
67
|
+
count += delta;
|
62
68
|
}
|
63
69
|
}
|
64
70
|
|
@@ -71,7 +77,7 @@ static inline scs_int get_sd_cone_size(scs_int s) {
|
|
71
77
|
* cone boundaries, boundaries[0] is starting index for cones of size strictly
|
72
78
|
* larger than 1, boundaries malloc-ed here so should be freed.
|
73
79
|
*/
|
74
|
-
|
80
|
+
void set_cone_boundaries(const ScsCone *k, ScsConeWork *c) {
|
75
81
|
scs_int i, s_cone_sz, count = 0;
|
76
82
|
scs_int cone_boundaries_len =
|
77
83
|
1 + k->qsize + k->ssize + k->ed + k->ep + k->psize;
|
@@ -99,8 +105,8 @@ scs_int SCS(set_cone_boundaries)(const ScsCone *k, scs_int **cone_boundaries) {
|
|
99
105
|
}
|
100
106
|
count += k->psize;
|
101
107
|
/* other cones */
|
102
|
-
|
103
|
-
|
108
|
+
c->cone_boundaries = b;
|
109
|
+
c->cone_boundaries_len = cone_boundaries_len;
|
104
110
|
}
|
105
111
|
|
106
112
|
static scs_int get_full_cone_dims(const ScsCone *k) {
|
@@ -121,7 +127,7 @@ static scs_int get_full_cone_dims(const ScsCone *k) {
|
|
121
127
|
if (k->ep) {
|
122
128
|
c += 3 * k->ep;
|
123
129
|
}
|
124
|
-
if (k->
|
130
|
+
if (k->psize) {
|
125
131
|
c += 3 * k->psize;
|
126
132
|
}
|
127
133
|
return c;
|
@@ -216,6 +222,9 @@ void SCS(finish_cone)(ScsConeWork *c) {
|
|
216
222
|
scs_free(c->work);
|
217
223
|
}
|
218
224
|
#endif
|
225
|
+
if (c->cone_boundaries) {
|
226
|
+
scs_free(c->cone_boundaries);
|
227
|
+
}
|
219
228
|
if (c->s) {
|
220
229
|
scs_free(c->s);
|
221
230
|
}
|
@@ -484,7 +493,7 @@ static scs_int proj_semi_definite_cone(scs_float *X, const scs_int n,
|
|
484
493
|
/* Solve eigenproblem, reuse workspaces */
|
485
494
|
BLAS(syev)("Vectors", "Lower", &nb, Xs, &nb, e, work, &lwork, &info);
|
486
495
|
if (info != 0) {
|
487
|
-
scs_printf("WARN: LAPACK syev error, info = %i\n", info);
|
496
|
+
scs_printf("WARN: LAPACK syev error, info = %i\n", (int)info);
|
488
497
|
if (info < 0) {
|
489
498
|
return info;
|
490
499
|
}
|
@@ -587,36 +596,40 @@ static void normalize_box_cone(ScsConeWork *c, scs_float *D, scs_int bsize) {
|
|
587
596
|
}
|
588
597
|
}
|
589
598
|
|
590
|
-
/*
|
591
|
-
tx = [t; s], total length = bsize
|
592
|
-
uses Moreau since \Pi_K*(tx) = \Pi_K(-tx) + tx
|
599
|
+
/* Project onto { (t, s) | t * l <= s <= t * u, t >= 0 }, Newton's method on t
|
600
|
+
tx = [t; s], total length = bsize, under Euclidean metric 1/r_box.
|
593
601
|
*/
|
594
602
|
static scs_float proj_box_cone(scs_float *tx, const scs_float *bl,
|
595
603
|
const scs_float *bu, scs_int bsize,
|
596
|
-
scs_float t_warm_start) {
|
604
|
+
scs_float t_warm_start, scs_float *r_box) {
|
597
605
|
scs_float *x, gt, ht, t_prev, t = t_warm_start;
|
606
|
+
scs_float rho_t = 1, *rho = SCS_NULL, r;
|
598
607
|
scs_int iter, j;
|
599
608
|
|
600
609
|
if (bsize == 1) { /* special case */
|
601
610
|
tx[0] = MAX(tx[0], 0.0);
|
602
611
|
return tx[0];
|
603
612
|
}
|
604
|
-
|
605
613
|
x = &(tx[1]);
|
606
614
|
|
615
|
+
if (r_box) {
|
616
|
+
rho_t = 1.0 / r_box[0];
|
617
|
+
rho = &(r_box[1]);
|
618
|
+
}
|
619
|
+
|
607
620
|
/* should only require about 5 or so iterations, 1 or 2 if warm-started */
|
608
621
|
for (iter = 0; iter < BOX_CONE_MAX_ITERS; iter++) {
|
609
622
|
t_prev = t;
|
610
|
-
|
611
|
-
|
612
|
-
ht = BOX_T_SCALE; /* hessian */
|
623
|
+
gt = rho_t * (t - tx[0]); /* gradient */
|
624
|
+
ht = rho_t; /* hessian */
|
613
625
|
for (j = 0; j < bsize - 1; j++) {
|
626
|
+
r = rho ? 1.0 / rho[j] : 1.;
|
614
627
|
if (x[j] > t * bu[j]) {
|
615
|
-
gt += (t * bu[j] - x[j]) * bu[j]; /* gradient */
|
616
|
-
ht += bu[j] * bu[j]; /* hessian */
|
628
|
+
gt += r * (t * bu[j] - x[j]) * bu[j]; /* gradient */
|
629
|
+
ht += r * bu[j] * bu[j]; /* hessian */
|
617
630
|
} else if (x[j] < t * bl[j]) {
|
618
|
-
gt += (t * bl[j] - x[j]) * bl[j]; /* gradient */
|
619
|
-
ht += bl[j] * bl[j]; /* hessian */
|
631
|
+
gt += r * (t * bl[j] - x[j]) * bl[j]; /* gradient */
|
632
|
+
ht += r * bl[j] * bl[j]; /* hessian */
|
620
633
|
}
|
621
634
|
}
|
622
635
|
t = MAX(t - gt / MAX(ht, 1e-8), 0.); /* newton step */
|
@@ -647,6 +660,7 @@ static scs_float proj_box_cone(scs_float *tx, const scs_float *bl,
|
|
647
660
|
/* x[j] unchanged otherwise */
|
648
661
|
}
|
649
662
|
tx[0] = t;
|
663
|
+
|
650
664
|
#if VERBOSITY > 3
|
651
665
|
scs_printf("box cone iters %i\n", (int)iter + 1);
|
652
666
|
#endif
|
@@ -718,18 +732,23 @@ static void proj_power_cone(scs_float *v, scs_float a) {
|
|
718
732
|
}
|
719
733
|
|
720
734
|
/* project onto the primal K cone in the paper */
|
735
|
+
/* the r_y vector determines the INVERSE metric, ie, project under the
|
736
|
+
* diag(r_y)^-1 norm.
|
737
|
+
*/
|
721
738
|
static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
722
|
-
scs_int normalize) {
|
739
|
+
scs_int normalize, scs_float *r_y) {
|
723
740
|
scs_int i, status;
|
724
741
|
scs_int count = 0;
|
742
|
+
scs_float *r_box = SCS_NULL;
|
743
|
+
scs_float *bu, *bl;
|
725
744
|
|
726
|
-
if (k->z) {
|
745
|
+
if (k->z) { /* doesn't use r_y */
|
727
746
|
/* project onto primal zero / dual free cone */
|
728
747
|
memset(x, 0, k->z * sizeof(scs_float));
|
729
748
|
count += k->z;
|
730
749
|
}
|
731
750
|
|
732
|
-
if (k->l) {
|
751
|
+
if (k->l) { /* doesn't use r_y */
|
733
752
|
/* project onto positive orthant */
|
734
753
|
for (i = count; i < count + k->l; ++i) {
|
735
754
|
x[i] = MAX(x[i], 0.0);
|
@@ -737,19 +756,19 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
737
756
|
count += k->l;
|
738
757
|
}
|
739
758
|
|
740
|
-
if (k->bsize) {
|
741
|
-
|
742
|
-
|
743
|
-
c->box_t_warm_start = proj_box_cone(&(x[count]), c->bl, c->bu, k->bsize,
|
744
|
-
c->box_t_warm_start);
|
745
|
-
} else {
|
746
|
-
c->box_t_warm_start = proj_box_cone(&(x[count]), k->bl, k->bu, k->bsize,
|
747
|
-
c->box_t_warm_start);
|
759
|
+
if (k->bsize) { /* DOES use r_y */
|
760
|
+
if (r_y) {
|
761
|
+
r_box = &(r_y[count]);
|
748
762
|
}
|
763
|
+
/* project onto box cone */
|
764
|
+
bu = normalize ? c->bu : k->bu;
|
765
|
+
bl = normalize ? c->bl : k->bl;
|
766
|
+
c->box_t_warm_start = proj_box_cone(&(x[count]), bl, bu, k->bsize,
|
767
|
+
c->box_t_warm_start, r_box);
|
749
768
|
count += k->bsize; /* since b = (t,s), len(s) = bsize - 1 */
|
750
769
|
}
|
751
770
|
|
752
|
-
if (k->qsize && k->q) {
|
771
|
+
if (k->qsize && k->q) { /* doesn't use r_y */
|
753
772
|
/* project onto second-order cones */
|
754
773
|
for (i = 0; i < k->qsize; ++i) {
|
755
774
|
proj_soc(&(x[count]), k->q[i]);
|
@@ -757,7 +776,7 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
757
776
|
}
|
758
777
|
}
|
759
778
|
|
760
|
-
if (k->ssize && k->s) {
|
779
|
+
if (k->ssize && k->s) { /* doesn't use r_y */
|
761
780
|
/* project onto PSD cones */
|
762
781
|
for (i = 0; i < k->ssize; ++i) {
|
763
782
|
status = proj_semi_definite_cone(&(x[count]), k->s[i], c);
|
@@ -768,13 +787,13 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
768
787
|
}
|
769
788
|
}
|
770
789
|
|
771
|
-
if (k->ep) {
|
772
|
-
|
773
|
-
|
774
|
-
|
775
|
-
|
776
|
-
|
777
|
-
|
790
|
+
if (k->ep) { /* doesn't use r_y */
|
791
|
+
/*
|
792
|
+
* exponential cone is not self dual, if s \in K
|
793
|
+
* then y \in K^* and so if K is the primal cone
|
794
|
+
* here we project onto K^*, via Moreau
|
795
|
+
* \Pi_C^*(y) = y + \Pi_C(-y)
|
796
|
+
*/
|
778
797
|
#ifdef _OPENMP
|
779
798
|
#pragma omp parallel for
|
780
799
|
#endif
|
@@ -784,7 +803,8 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
784
803
|
count += 3 * k->ep;
|
785
804
|
}
|
786
805
|
|
787
|
-
|
806
|
+
/* dual exponential cone */
|
807
|
+
if (k->ed) { /* doesn't use r_y */
|
788
808
|
/*
|
789
809
|
* exponential cone is not self dual, if s \in K
|
790
810
|
* then y \in K^* and so if K is the primal cone
|
@@ -812,7 +832,7 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
812
832
|
count += 3 * k->ed;
|
813
833
|
}
|
814
834
|
|
815
|
-
if (k->psize && k->p) {
|
835
|
+
if (k->psize && k->p) { /* doesn't use r_y */
|
816
836
|
scs_float v[3];
|
817
837
|
scs_int idx;
|
818
838
|
/* don't use openmp for power cone
|
@@ -820,7 +840,7 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
820
840
|
pragma omp parallel for private(v, idx)
|
821
841
|
endif
|
822
842
|
*/
|
823
|
-
for (i = 0; i < k->psize; ++i) {
|
843
|
+
for (i = 0; i < k->psize; ++i) { /* doesn't use r_y */
|
824
844
|
idx = count + 3 * i;
|
825
845
|
if (k->p[i] >= 0) {
|
826
846
|
/* primal power cone */
|
@@ -844,11 +864,23 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
|
|
844
864
|
return 0;
|
845
865
|
}
|
846
866
|
|
847
|
-
ScsConeWork *SCS(init_cone)(const ScsCone *k,
|
848
|
-
scs_int cone_len) {
|
867
|
+
ScsConeWork *SCS(init_cone)(const ScsCone *k, scs_int m) {
|
849
868
|
ScsConeWork *c = (ScsConeWork *)scs_calloc(1, sizeof(ScsConeWork));
|
850
|
-
c->
|
851
|
-
c->
|
869
|
+
c->k = k;
|
870
|
+
c->m = m;
|
871
|
+
c->scaled_cones = 0;
|
872
|
+
set_cone_boundaries(k, c);
|
873
|
+
c->s = (scs_float *)scs_calloc(m, sizeof(scs_float));
|
874
|
+
if (k->ssize && k->s) {
|
875
|
+
if (set_up_sd_cone_work_space(c, k) < 0) {
|
876
|
+
SCS(finish_cone)(c);
|
877
|
+
return SCS_NULL;
|
878
|
+
}
|
879
|
+
}
|
880
|
+
return c;
|
881
|
+
}
|
882
|
+
|
883
|
+
void scale_box_cone(const ScsCone *k, ScsConeWork *c, ScsScaling *scal) {
|
852
884
|
if (k->bsize && k->bu && k->bl) {
|
853
885
|
c->box_t_warm_start = 1.;
|
854
886
|
if (scal) {
|
@@ -857,33 +889,52 @@ ScsConeWork *SCS(init_cone)(const ScsCone *k, const ScsScaling *scal,
|
|
857
889
|
memcpy(c->bu, k->bu, (k->bsize - 1) * sizeof(scs_float));
|
858
890
|
memcpy(c->bl, k->bl, (k->bsize - 1) * sizeof(scs_float));
|
859
891
|
/* also does some sanitizing */
|
860
|
-
normalize_box_cone(c,
|
861
|
-
k->bsize);
|
862
|
-
}
|
863
|
-
}
|
864
|
-
if (k->ssize && k->s) {
|
865
|
-
if (set_up_sd_cone_work_space(c, k) < 0) {
|
866
|
-
SCS(finish_cone)(c);
|
867
|
-
return SCS_NULL;
|
892
|
+
normalize_box_cone(c, &(scal->D[k->z + k->l]), k->bsize);
|
868
893
|
}
|
869
894
|
}
|
870
|
-
return c;
|
871
895
|
}
|
872
896
|
|
873
|
-
/*
|
874
|
-
|
875
|
-
|
897
|
+
/* Outward facing cone projection routine, performs projection in-place.
|
898
|
+
If normalize > 0 then will use normalized (equilibrated) cones if applicable.
|
899
|
+
|
900
|
+
Moreau decomposition for R-norm projections:
|
901
|
+
|
902
|
+
`x + R^{-1} \Pi_{C^*}^{R^{-1}} ( - R x ) = \Pi_C^R ( x )`
|
903
|
+
|
904
|
+
where \Pi^R_C is the projection onto C under the R-norm:
|
905
|
+
|
906
|
+
`||x||_R = \sqrt{x ' R x}`.
|
907
|
+
|
876
908
|
*/
|
877
|
-
scs_int SCS(proj_dual_cone)(scs_float *x,
|
878
|
-
|
879
|
-
scs_int status;
|
880
|
-
|
881
|
-
|
882
|
-
|
883
|
-
|
884
|
-
|
885
|
-
|
886
|
-
|
887
|
-
|
909
|
+
scs_int SCS(proj_dual_cone)(scs_float *x, ScsConeWork *c, ScsScaling *scal,
|
910
|
+
scs_float *r_y) {
|
911
|
+
scs_int status, i;
|
912
|
+
const ScsCone *k = c->k;
|
913
|
+
|
914
|
+
if (!c->scaled_cones) {
|
915
|
+
scale_box_cone(k, c, scal);
|
916
|
+
c->scaled_cones = 1;
|
917
|
+
}
|
918
|
+
|
919
|
+
/* copy s = x */
|
920
|
+
memcpy(c->s, x, c->m * sizeof(scs_float));
|
921
|
+
|
922
|
+
/* x -> - Rx */
|
923
|
+
for (i = 0; i < c->m; ++i) {
|
924
|
+
x[i] *= r_y ? -r_y[i] : -1;
|
925
|
+
}
|
926
|
+
|
927
|
+
/* project -x onto cone, x -> \Pi_{C^*}^{R^{-1}}(-x) under r_y metric */
|
928
|
+
status = proj_cone(x, k, c, scal ? 1 : 0, r_y);
|
929
|
+
|
930
|
+
/* return x + R^{-1} \Pi_{C^*}^{R^{-1}} ( -x ) */
|
931
|
+
for (i = 0; i < c->m; ++i) {
|
932
|
+
if (r_y) {
|
933
|
+
x[i] = x[i] / r_y[i] + c->s[i];
|
934
|
+
} else {
|
935
|
+
x[i] += c->s[i];
|
936
|
+
}
|
937
|
+
}
|
938
|
+
|
888
939
|
return status;
|
889
940
|
}
|
data/vendor/scs/src/linalg.c
CHANGED
@@ -83,9 +83,22 @@ void SCS(add_scaled_array)(scs_float *a, const scs_float *b, scs_int n,
|
|
83
83
|
}
|
84
84
|
}
|
85
85
|
|
86
|
+
scs_float SCS(mean)(const scs_float *x, scs_int n) {
|
87
|
+
scs_int i;
|
88
|
+
scs_float mean = 0.;
|
89
|
+
for (i = 0; i < n; ++i) {
|
90
|
+
mean += x[i];
|
91
|
+
}
|
92
|
+
return mean / n;
|
93
|
+
}
|
94
|
+
|
86
95
|
#else
|
87
96
|
/* If we have BLAS / LAPACK we may as well use them */
|
88
97
|
|
98
|
+
#ifdef __cplusplus
|
99
|
+
extern "C" {
|
100
|
+
#endif
|
101
|
+
|
89
102
|
scs_float BLAS(nrm2)(blas_int *n, const scs_float *x, blas_int *incx);
|
90
103
|
scs_float BLAS(dot)(const blas_int *n, const scs_float *x, const blas_int *incx,
|
91
104
|
const scs_float *y, const blas_int *incy);
|
@@ -96,6 +109,10 @@ void BLAS(axpy)(blas_int *n, const scs_float *a, const scs_float *x,
|
|
96
109
|
void BLAS(scal)(const blas_int *n, const scs_float *sa, scs_float *sx,
|
97
110
|
const blas_int *incx);
|
98
111
|
|
112
|
+
#ifdef __cplusplus
|
113
|
+
}
|
114
|
+
#endif
|
115
|
+
|
99
116
|
/* a *= b */
|
100
117
|
void SCS(scale_array)(scs_float *a, const scs_float b, scs_int len) {
|
101
118
|
blas_int bone = 1;
|
@@ -137,4 +154,12 @@ void SCS(add_scaled_array)(scs_float *a, const scs_float *b, scs_int len,
|
|
137
154
|
BLAS(axpy)(&blen, &sc, b, &bone, a, &bone);
|
138
155
|
}
|
139
156
|
|
157
|
+
scs_float SCS(mean)(const scs_float *x, scs_int n) {
|
158
|
+
blas_int bone = 1;
|
159
|
+
blas_int bzero = 0;
|
160
|
+
blas_int blen = (blas_int)n;
|
161
|
+
scs_float y = 1.0;
|
162
|
+
return BLAS(dot)(&blen, x, &bone, &y, &bzero) / n;
|
163
|
+
}
|
164
|
+
|
140
165
|
#endif
|
data/vendor/scs/src/normalize.c
CHANGED
@@ -4,48 +4,48 @@
|
|
4
4
|
#include "scs.h"
|
5
5
|
|
6
6
|
/* needed for normalizing the warm-start */
|
7
|
-
void SCS(normalize_sol)(
|
7
|
+
void SCS(normalize_sol)(ScsScaling *scal, ScsSolution *sol) {
|
8
8
|
scs_int i;
|
9
|
-
scs_float *D =
|
10
|
-
scs_float *E =
|
11
|
-
for (i = 0; i <
|
12
|
-
sol->x[i] /= (E[i] /
|
9
|
+
scs_float *D = scal->D;
|
10
|
+
scs_float *E = scal->E;
|
11
|
+
for (i = 0; i < scal->n; ++i) {
|
12
|
+
sol->x[i] /= (E[i] / scal->dual_scale);
|
13
13
|
}
|
14
|
-
for (i = 0; i <
|
15
|
-
sol->y[i] /= (D[i] /
|
14
|
+
for (i = 0; i < scal->m; ++i) {
|
15
|
+
sol->y[i] /= (D[i] / scal->primal_scale);
|
16
16
|
}
|
17
|
-
for (i = 0; i <
|
18
|
-
sol->s[i] *= (D[i] *
|
17
|
+
for (i = 0; i < scal->m; ++i) {
|
18
|
+
sol->s[i] *= (D[i] * scal->dual_scale);
|
19
19
|
}
|
20
20
|
}
|
21
21
|
|
22
|
-
void SCS(un_normalize_sol)(
|
22
|
+
void SCS(un_normalize_sol)(ScsScaling *scal, ScsSolution *sol) {
|
23
23
|
scs_int i;
|
24
|
-
scs_float *D =
|
25
|
-
scs_float *E =
|
26
|
-
for (i = 0; i <
|
27
|
-
sol->x[i] *= (E[i] /
|
24
|
+
scs_float *D = scal->D;
|
25
|
+
scs_float *E = scal->E;
|
26
|
+
for (i = 0; i < scal->n; ++i) {
|
27
|
+
sol->x[i] *= (E[i] / scal->dual_scale);
|
28
28
|
}
|
29
|
-
for (i = 0; i <
|
30
|
-
sol->y[i] *= (D[i] /
|
29
|
+
for (i = 0; i < scal->m; ++i) {
|
30
|
+
sol->y[i] *= (D[i] / scal->primal_scale);
|
31
31
|
}
|
32
|
-
for (i = 0; i <
|
33
|
-
sol->s[i] /= (D[i] *
|
32
|
+
for (i = 0; i < scal->m; ++i) {
|
33
|
+
sol->s[i] /= (D[i] * scal->dual_scale);
|
34
34
|
}
|
35
35
|
}
|
36
36
|
|
37
|
-
void SCS(un_normalize_primal)(
|
37
|
+
void SCS(un_normalize_primal)(ScsScaling *scal, scs_float *r) {
|
38
38
|
scs_int i;
|
39
|
-
scs_float *D =
|
40
|
-
for (i = 0; i <
|
41
|
-
r[i] /= (D[i] *
|
39
|
+
scs_float *D = scal->D;
|
40
|
+
for (i = 0; i < scal->m; ++i) {
|
41
|
+
r[i] /= (D[i] * scal->dual_scale);
|
42
42
|
}
|
43
43
|
}
|
44
44
|
|
45
|
-
void SCS(un_normalize_dual)(
|
45
|
+
void SCS(un_normalize_dual)(ScsScaling *scal, scs_float *r) {
|
46
46
|
scs_int i;
|
47
|
-
scs_float *E =
|
48
|
-
for (i = 0; i <
|
49
|
-
r[i] /= (E[i] *
|
47
|
+
scs_float *E = scal->E;
|
48
|
+
for (i = 0; i < scal->n; ++i) {
|
49
|
+
r[i] /= (E[i] * scal->primal_scale);
|
50
50
|
}
|
51
51
|
}
|
data/vendor/scs/src/rw.c
CHANGED
@@ -33,20 +33,20 @@ static ScsCone *read_scs_cone(FILE *fin) {
|
|
33
33
|
fread(&(k->z), sizeof(scs_int), 1, fin);
|
34
34
|
fread(&(k->l), sizeof(scs_int), 1, fin);
|
35
35
|
fread(&(k->bsize), sizeof(scs_int), 1, fin);
|
36
|
-
k->bl = scs_calloc(MAX(k->bsize - 1, 0), sizeof(scs_float));
|
37
|
-
k->bu = scs_calloc(MAX(k->bsize - 1, 0), sizeof(scs_float));
|
36
|
+
k->bl = (scs_float *)scs_calloc(MAX(k->bsize - 1, 0), sizeof(scs_float));
|
37
|
+
k->bu = (scs_float *)scs_calloc(MAX(k->bsize - 1, 0), sizeof(scs_float));
|
38
38
|
fread(k->bl, sizeof(scs_float), MAX(k->bsize - 1, 0), fin);
|
39
39
|
fread(k->bu, sizeof(scs_float), MAX(k->bsize - 1, 0), fin);
|
40
40
|
fread(&(k->qsize), sizeof(scs_int), 1, fin);
|
41
|
-
k->q = scs_calloc(k->qsize, sizeof(scs_int));
|
41
|
+
k->q = (scs_int *)scs_calloc(k->qsize, sizeof(scs_int));
|
42
42
|
fread(k->q, sizeof(scs_int), k->qsize, fin);
|
43
43
|
fread(&(k->ssize), sizeof(scs_int), 1, fin);
|
44
|
-
k->s = scs_calloc(k->ssize, sizeof(scs_int));
|
44
|
+
k->s = (scs_int *)scs_calloc(k->ssize, sizeof(scs_int));
|
45
45
|
fread(k->s, sizeof(scs_int), k->ssize, fin);
|
46
46
|
fread(&(k->ep), sizeof(scs_int), 1, fin);
|
47
47
|
fread(&(k->ed), sizeof(scs_int), 1, fin);
|
48
48
|
fread(&(k->psize), sizeof(scs_int), 1, fin);
|
49
|
-
k->p = scs_calloc(k->psize, sizeof(scs_float));
|
49
|
+
k->p = (scs_float *)scs_calloc(k->psize, sizeof(scs_float));
|
50
50
|
fread(k->p, sizeof(scs_float), k->psize, fin);
|
51
51
|
return k;
|
52
52
|
}
|
@@ -103,11 +103,11 @@ static ScsMatrix *read_amatrix(FILE *fin) {
|
|
103
103
|
ScsMatrix *A = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix));
|
104
104
|
fread(&(A->m), sizeof(scs_int), 1, fin);
|
105
105
|
fread(&(A->n), sizeof(scs_int), 1, fin);
|
106
|
-
A->p = scs_calloc(A->n + 1, sizeof(scs_int));
|
106
|
+
A->p = (scs_int *)scs_calloc(A->n + 1, sizeof(scs_int));
|
107
107
|
fread(A->p, sizeof(scs_int), A->n + 1, fin);
|
108
108
|
Anz = A->p[A->n];
|
109
|
-
A->x = scs_calloc(Anz, sizeof(scs_float));
|
110
|
-
A->i = scs_calloc(Anz, sizeof(scs_int));
|
109
|
+
A->x = (scs_float *)scs_calloc(Anz, sizeof(scs_float));
|
110
|
+
A->i = (scs_int *)scs_calloc(Anz, sizeof(scs_int));
|
111
111
|
fread(A->x, sizeof(scs_float), Anz, fin);
|
112
112
|
fread(A->i, sizeof(scs_int), Anz, fin);
|
113
113
|
return A;
|
@@ -132,8 +132,8 @@ static ScsData *read_scs_data(FILE *fin) {
|
|
132
132
|
ScsData *d = (ScsData *)scs_calloc(1, sizeof(ScsData));
|
133
133
|
fread(&(d->m), sizeof(scs_int), 1, fin);
|
134
134
|
fread(&(d->n), sizeof(scs_int), 1, fin);
|
135
|
-
d->b = scs_calloc(d->m, sizeof(scs_float));
|
136
|
-
d->c = scs_calloc(d->n, sizeof(scs_float));
|
135
|
+
d->b = (scs_float *)scs_calloc(d->m, sizeof(scs_float));
|
136
|
+
d->c = (scs_float *)scs_calloc(d->n, sizeof(scs_float));
|
137
137
|
fread(d->b, sizeof(scs_float), d->m, fin);
|
138
138
|
fread(d->c, sizeof(scs_float), d->n, fin);
|
139
139
|
d->A = read_amatrix(fin);
|
@@ -146,8 +146,8 @@ static ScsData *read_scs_data(FILE *fin) {
|
|
146
146
|
void SCS(write_data)(const ScsData *d, const ScsCone *k,
|
147
147
|
const ScsSettings *stgs) {
|
148
148
|
FILE *fout = fopen(stgs->write_data_filename, "wb");
|
149
|
-
uint32_t scs_int_sz = (uint32_t)
|
150
|
-
uint32_t scs_float_sz = (uint32_t)
|
149
|
+
uint32_t scs_int_sz = (uint32_t)sizeof(scs_int);
|
150
|
+
uint32_t scs_float_sz = (uint32_t)sizeof(scs_float);
|
151
151
|
const char *scs_version = SCS_VERSION;
|
152
152
|
uint32_t scs_version_sz = (uint32_t)strlen(scs_version);
|
153
153
|
scs_printf("writing data to %s\n", stgs->write_data_filename);
|
@@ -213,6 +213,8 @@ void SCS(log_data_to_csv)(const ScsData *d, const ScsCone *k,
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scs_int iter, SCS(timer) * solve_timer) {
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214
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ScsResiduals *r = w->r_orig;
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215
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ScsResiduals *r_n = w->r_normalized;
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216
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+
ScsSolution *sol = w->xys_orig;
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+
ScsSolution *sol_n = w->xys_normalized;
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/* if iter 0 open to write, else open to append */
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FILE *fout = fopen(stgs->log_csv_filename, iter == 0 ? "w" : "a");
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if (!fout) {
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@@ -227,6 +229,18 @@ void SCS(log_data_to_csv)(const ScsData *d, const ScsCone *k,
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227
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"res_pri,"
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228
230
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"res_dual,"
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229
231
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"gap,"
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232
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+
"x_nrm_inf,"
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233
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+
"y_nrm_inf,"
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234
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+
"s_nrm_inf,"
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235
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+
"x_nrm_2,"
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236
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+
"y_nrm_2,"
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237
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+
"s_nrm_2,"
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238
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+
"x_nrm_inf_normalized,"
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239
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+
"y_nrm_inf_normalized,"
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240
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+
"s_nrm_inf_normalized,"
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241
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+
"x_nrm_2_normalized,"
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242
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+
"y_nrm_2_normalized,"
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243
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+
"s_nrm_2_normalized,"
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230
244
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"ax_s_btau_nrm_inf,"
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231
245
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"px_aty_ctau_nrm_inf,"
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232
246
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"ax_s_btau_nrm_2,"
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@@ -252,6 +266,11 @@ void SCS(log_data_to_csv)(const ScsData *d, const ScsCone *k,
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252
266
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"dobj_normalized,"
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253
267
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"tau_normalized,"
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254
268
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"kap_normalized,"
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269
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+
"ax_nrm_inf,"
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270
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+
"px_nrm_inf,"
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271
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+
"aty_nrm_inf,"
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272
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+
"b_nrm_inf,"
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273
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+
"c_nrm_inf,"
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255
274
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"scale,"
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256
275
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"diff_u_ut_nrm_2,"
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257
276
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"diff_v_v_prev_nrm_2,"
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@@ -267,6 +286,18 @@ void SCS(log_data_to_csv)(const ScsData *d, const ScsCone *k,
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267
286
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fprintf(fout, "%.16e,", r->res_pri);
|
268
287
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fprintf(fout, "%.16e,", r->res_dual);
|
269
288
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fprintf(fout, "%.16e,", r->gap);
|
289
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+
fprintf(fout, "%.16e,", SCS(norm_inf)(sol->x, w->n));
|
290
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(sol->y, w->m));
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291
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(sol->s, w->m));
|
292
|
+
fprintf(fout, "%.16e,", SCS(norm_2)(sol->x, w->n));
|
293
|
+
fprintf(fout, "%.16e,", SCS(norm_2)(sol->y, w->m));
|
294
|
+
fprintf(fout, "%.16e,", SCS(norm_2)(sol->s, w->m));
|
295
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(sol_n->x, w->n));
|
296
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(sol_n->y, w->m));
|
297
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(sol_n->s, w->m));
|
298
|
+
fprintf(fout, "%.16e,", SCS(norm_2)(sol_n->x, w->n));
|
299
|
+
fprintf(fout, "%.16e,", SCS(norm_2)(sol_n->y, w->m));
|
300
|
+
fprintf(fout, "%.16e,", SCS(norm_2)(sol_n->s, w->m));
|
270
301
|
fprintf(fout, "%.16e,", SCS(norm_inf)(r->ax_s_btau, w->m));
|
271
302
|
fprintf(fout, "%.16e,", SCS(norm_inf)(r->px_aty_ctau, w->n));
|
272
303
|
fprintf(fout, "%.16e,", SCS(norm_2)(r->ax_s_btau, w->m));
|
@@ -292,6 +323,11 @@ void SCS(log_data_to_csv)(const ScsData *d, const ScsCone *k,
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|
292
323
|
fprintf(fout, "%.16e,", r_n->dobj);
|
293
324
|
fprintf(fout, "%.16e,", r_n->tau);
|
294
325
|
fprintf(fout, "%.16e,", r_n->kap);
|
326
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(r->ax, w->m));
|
327
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(r->px, w->n));
|
328
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(r->aty, w->n));
|
329
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(w->b_orig, w->m));
|
330
|
+
fprintf(fout, "%.16e,", SCS(norm_inf)(w->c_orig, w->n));
|
295
331
|
fprintf(fout, "%.16e,", w->scale);
|
296
332
|
fprintf(fout, "%.16e,", SCS(norm_diff)(w->u, w->u_t, l));
|
297
333
|
fprintf(fout, "%.16e,", SCS(norm_diff)(w->v, w->v_prev, l));
|