scs 0.3.2 → 0.4.1

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Files changed (66) hide show
  1. checksums.yaml +4 -4
  2. data/CHANGELOG.md +10 -0
  3. data/LICENSE.txt +1 -1
  4. data/README.md +35 -6
  5. data/lib/scs/matrix.rb +72 -0
  6. data/lib/scs/solver.rb +19 -26
  7. data/lib/scs/version.rb +1 -1
  8. data/lib/scs.rb +1 -0
  9. data/vendor/scs/CITATION.cff +2 -2
  10. data/vendor/scs/CMakeLists.txt +285 -169
  11. data/vendor/scs/Makefile +43 -18
  12. data/vendor/scs/README.md +3 -1
  13. data/vendor/scs/include/cones.h +5 -3
  14. data/vendor/scs/include/glbopts.h +35 -17
  15. data/vendor/scs/include/linsys.h +8 -8
  16. data/vendor/scs/include/normalize.h +1 -0
  17. data/vendor/scs/include/rw.h +3 -3
  18. data/vendor/scs/include/scs.h +51 -24
  19. data/vendor/scs/include/scs_types.h +3 -1
  20. data/vendor/scs/include/scs_work.h +13 -15
  21. data/vendor/scs/include/util.h +4 -2
  22. data/vendor/scs/linsys/cpu/direct/private.c +32 -153
  23. data/vendor/scs/linsys/cpu/direct/private.h +6 -6
  24. data/vendor/scs/linsys/cpu/indirect/private.c +9 -22
  25. data/vendor/scs/linsys/cpu/indirect/private.h +4 -2
  26. data/vendor/scs/linsys/csparse.c +140 -12
  27. data/vendor/scs/linsys/csparse.h +10 -17
  28. data/vendor/scs/linsys/external/amd/LICENSE.txt +0 -897
  29. data/vendor/scs/linsys/external/amd/SuiteSparse_config.c +4 -2
  30. data/vendor/scs/linsys/external/amd/SuiteSparse_config.h +0 -5
  31. data/vendor/scs/linsys/gpu/gpu.c +4 -4
  32. data/vendor/scs/linsys/gpu/gpu.h +1 -1
  33. data/vendor/scs/linsys/gpu/indirect/private.c +15 -26
  34. data/vendor/scs/linsys/mkl/direct/private.c +182 -0
  35. data/vendor/scs/linsys/mkl/direct/private.h +38 -0
  36. data/vendor/scs/linsys/scs_matrix.c +49 -72
  37. data/vendor/scs/linsys/scs_matrix.h +4 -3
  38. data/vendor/scs/scs.mk +39 -30
  39. data/vendor/scs/src/aa.c +0 -4
  40. data/vendor/scs/src/cones.c +78 -184
  41. data/vendor/scs/src/exp_cone.c +399 -0
  42. data/vendor/scs/src/normalize.c +51 -0
  43. data/vendor/scs/src/rw.c +139 -76
  44. data/vendor/scs/src/scs.c +275 -202
  45. data/vendor/scs/src/util.c +36 -13
  46. data/vendor/scs/test/minunit.h +2 -1
  47. data/vendor/scs/test/problem_utils.h +5 -4
  48. data/vendor/scs/test/problems/degenerate.h +1 -0
  49. data/vendor/scs/test/problems/hs21_tiny_qp.h +2 -1
  50. data/vendor/scs/test/problems/hs21_tiny_qp_rw.h +13 -4
  51. data/vendor/scs/test/problems/infeasible_tiny_qp.h +1 -0
  52. data/vendor/scs/test/problems/max_ent +0 -0
  53. data/vendor/scs/test/problems/max_ent.h +8 -0
  54. data/vendor/scs/test/problems/qafiro_tiny_qp.h +2 -1
  55. data/vendor/scs/test/problems/random_prob.h +2 -39
  56. data/vendor/scs/test/problems/rob_gauss_cov_est.h +15 -3
  57. data/vendor/scs/test/problems/small_lp.h +4 -1
  58. data/vendor/scs/test/problems/small_qp.h +42 -7
  59. data/vendor/scs/test/problems/test_exp_cone.h +84 -0
  60. data/vendor/scs/test/problems/test_prob_from_data_file.h +57 -0
  61. data/vendor/scs/test/problems/test_validation.h +4 -1
  62. data/vendor/scs/test/problems/unbounded_tiny_qp.h +3 -3
  63. data/vendor/scs/test/random_socp_prob.c +3 -1
  64. data/vendor/scs/test/run_from_file.c +22 -4
  65. data/vendor/scs/test/run_tests.c +22 -9
  66. metadata +12 -4
@@ -50,7 +50,9 @@
50
50
 
51
51
  struct SuiteSparse_config_struct SuiteSparse_config =
52
52
  {
53
- scs_malloc, scs_calloc, scs_realloc, scs_free, _scs_printf,
53
+ scs_malloc, scs_calloc, scs_realloc, scs_free,
54
+ /* Disable printing */
55
+ SCS_NULL,
54
56
  SuiteSparse_hypot,
55
57
  SuiteSparse_divcomplex
56
58
 
@@ -79,7 +81,7 @@ void SuiteSparse_start ( void )
79
81
  SuiteSparse_config.calloc_func = scs_calloc ;
80
82
  SuiteSparse_config.realloc_func = scs_realloc ;
81
83
  SuiteSparse_config.free_func = scs_free ;
82
- SuiteSparse_config.printf_func = _scs_printf ;
84
+ SuiteSparse_config.printf_func = SCS_NULL;
83
85
  /* math functions */
84
86
  SuiteSparse_config.hypot_func = SuiteSparse_hypot ;
85
87
  SuiteSparse_config.divcomplex_func = SuiteSparse_divcomplex ;
@@ -71,11 +71,6 @@ extern "C" {
71
71
  #define SuiteSparse_long_id "%" SuiteSparse_long_idd
72
72
  #endif
73
73
 
74
- #ifndef _scs_printf
75
- #define _scs_printf scs_printf
76
- #endif
77
-
78
-
79
74
  /* ========================================================================== */
80
75
  /* === SuiteSparse_config parameters and functions ========================== */
81
76
  /* ========================================================================== */
@@ -19,13 +19,13 @@ void SCS(accum_by_atrans_gpu)(const ScsGpuMatrix *Ag,
19
19
  if (*buffer != SCS_NULL) {
20
20
  cudaFree(*buffer);
21
21
  }
22
- cudaMalloc(buffer, *buffer_size);
22
+ cudaMalloc(buffer, new_buffer_size);
23
23
  *buffer_size = new_buffer_size;
24
24
  }
25
25
 
26
26
  CUSPARSE_GEN(SpMV)
27
27
  (cusparse_handle, CUSPARSE_OPERATION_NON_TRANSPOSE, &onef, Ag->descr, x,
28
- &onef, y, SCS_CUDA_FLOAT, SCS_CSRMV_ALG, buffer);
28
+ &onef, y, SCS_CUDA_FLOAT, SCS_CSRMV_ALG, *buffer);
29
29
  }
30
30
 
31
31
  /* this is slow, use trans routine if possible */
@@ -48,13 +48,13 @@ void SCS(accum_by_a_gpu)(const ScsGpuMatrix *Ag, const cusparseDnVecDescr_t x,
48
48
  if (*buffer != SCS_NULL) {
49
49
  cudaFree(*buffer);
50
50
  }
51
- cudaMalloc(buffer, *buffer_size);
51
+ cudaMalloc(buffer, new_buffer_size);
52
52
  *buffer_size = new_buffer_size;
53
53
  }
54
54
 
55
55
  CUSPARSE_GEN(SpMV)
56
56
  (cusparse_handle, CUSPARSE_OPERATION_TRANSPOSE, &onef, Ag->descr, x, &onef, y,
57
- SCS_CUDA_FLOAT, SCS_CSRMV_ALG, buffer);
57
+ SCS_CUDA_FLOAT, SCS_CSRMV_ALG, *buffer);
58
58
  }
59
59
 
60
60
  /* This assumes that P has been made full (ie not triangular) and uses the
@@ -74,7 +74,7 @@ extern "C" {
74
74
  #define SCS_CUSPARSE_INDEX CUSPARSE_INDEX_64I
75
75
  #endif
76
76
 
77
- #define SCS_CSRMV_ALG CUSPARSE_CSRMV_ALG1
77
+ #define SCS_CSRMV_ALG CUSPARSE_SPMV_CSR_ALG1
78
78
  #define SCS_CSR2CSC_ALG CUSPARSE_CSR2CSC_ALG1
79
79
 
80
80
  /*
@@ -21,20 +21,10 @@ static scs_float cg_gpu_norm(cublasHandle_t cublas_handle, scs_float *r,
21
21
  return nrm;
22
22
  }
23
23
 
24
- const char *SCS(get_lin_sys_method)() {
24
+ const char *scs_get_lin_sys_method() {
25
25
  return "sparse-indirect GPU";
26
26
  }
27
27
 
28
- /*
29
- char *SCS(get_lin_sys_summary)(ScsLinSysWork *p, const ScsInfo *info) {
30
- char *str = (char *)scs_malloc(sizeof(char) * 128);
31
- sprintf(str, "lin-sys: avg cg its: %2.2f\n",
32
- (scs_float)p->tot_cg_its / (info->iter + 1));
33
- p->tot_cg_its = 0;
34
- return str;
35
- }
36
- */
37
-
38
28
  /* Not possible to do this on the fly due to M_ii += a_i' (R_y)^-1 a_i */
39
29
  /* set M = inv ( diag ( R_x + P + A' R_y^{-1} A ) ) */
40
30
  static void set_preconditioner(ScsLinSysWork *p, const scs_float *diag_r) {
@@ -76,7 +66,7 @@ static void set_preconditioner(ScsLinSysWork *p, const scs_float *diag_r) {
76
66
  }
77
67
 
78
68
  /* no need to update anything in this case */
79
- void SCS(update_lin_sys_diag_r)(ScsLinSysWork *p, const scs_float *diag_r) {
69
+ void scs_update_lin_sys_diag_r(ScsLinSysWork *p, const scs_float *diag_r) {
80
70
  scs_int i;
81
71
 
82
72
  /* R_x to gpu */
@@ -93,7 +83,7 @@ void SCS(update_lin_sys_diag_r)(ScsLinSysWork *p, const scs_float *diag_r) {
93
83
  set_preconditioner(p, diag_r);
94
84
  }
95
85
 
96
- void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
86
+ void scs_free_lin_sys_work(ScsLinSysWork *p) {
97
87
  if (p) {
98
88
  scs_free(p->M);
99
89
  scs_free(p->inv_r_y);
@@ -182,13 +172,13 @@ static void mat_vec(ScsLinSysWork *p, const scs_float *x, scs_float *y) {
182
172
  }
183
173
 
184
174
  /* P comes in upper triangular, expand to full
185
- * First compute triplet version of full matrix, then compress to csc
175
+ * First compute triplet version of full matrix, then compress to CSC
186
176
  * */
187
- static csc *fill_p_matrix(const ScsMatrix *P) {
177
+ static ScsMatrix *fill_p_matrix(const ScsMatrix *P) {
188
178
  scs_int i, j, k, kk;
189
179
  scs_int Pnzmax = 2 * P->p[P->n]; /* upper bound */
190
- csc *P_tmp = SCS(cs_spalloc)(P->n, P->n, Pnzmax, 1, 1);
191
- csc *P_full;
180
+ ScsMatrix *P_tmp = SCS(cs_spalloc)(P->n, P->n, Pnzmax, 1, 1);
181
+ ScsMatrix *P_full;
192
182
  kk = 0;
193
183
  for (j = 0; j < P->n; j++) { /* cols */
194
184
  for (k = P->p[j]; k < P->p[j + 1]; k++) {
@@ -209,16 +199,15 @@ static csc *fill_p_matrix(const ScsMatrix *P) {
209
199
  kk++;
210
200
  }
211
201
  }
212
- P_tmp->nz = kk; /* set number of nonzeros */
213
- P_full = SCS(cs_compress)(P_tmp, SCS_NULL);
202
+ P_full = SCS(cs_compress)(P_tmp, kk, SCS_NULL);
214
203
  SCS(cs_spfree)(P_tmp);
215
204
  return P_full;
216
205
  }
217
206
 
218
- ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
219
- const scs_float *diag_r) {
207
+ ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
208
+ const scs_float *diag_r) {
220
209
  cudaError_t err;
221
- csc *P_full;
210
+ ScsMatrix *P_full;
222
211
  ScsLinSysWork *p = SCS_NULL;
223
212
  ScsGpuMatrix *Ag = SCS_NULL;
224
213
  ScsGpuMatrix *Pg = SCS_NULL;
@@ -324,7 +313,7 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
324
313
  cusparseCreateDnVec(&p->dn_vec_m, Ag->m, p->tmp_m, SCS_CUDA_FLOAT);
325
314
 
326
315
  /* Form preconditioner and copy R_x, 1/R_y to gpu */
327
- SCS(update_lin_sys_diag_r)(p, diag_r);
316
+ scs_update_lin_sys_diag_r(p, diag_r);
328
317
 
329
318
  #if GPU_TRANSPOSE_MAT > 0
330
319
  p->Agt = (ScsGpuMatrix *)scs_malloc(sizeof(ScsGpuMatrix));
@@ -367,7 +356,7 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
367
356
  if (err != cudaSuccess) {
368
357
  printf("%s:%d:%s\nERROR_CUDA (*): %s\n", __FILE__, __LINE__, __func__,
369
358
  cudaGetErrorString(err));
370
- SCS(free_lin_sys_work)(p);
359
+ scs_free_lin_sys_work(p);
371
360
  return SCS_NULL;
372
361
  }
373
362
  return p;
@@ -466,8 +455,8 @@ static scs_int pcg(ScsLinSysWork *pr, const scs_float *s, scs_float *bg,
466
455
  * y = R_y^{-1} (Ax - ry)
467
456
  *
468
457
  */
469
- scs_int SCS(solve_lin_sys)(ScsLinSysWork *p, scs_float *b, const scs_float *s,
470
- scs_float tol) {
458
+ scs_int scs_solve_lin_sys(ScsLinSysWork *p, scs_float *b, const scs_float *s,
459
+ scs_float tol) {
471
460
  scs_int cg_its, max_iters;
472
461
  scs_float neg_onef = -1.0;
473
462
 
@@ -0,0 +1,182 @@
1
+ #include "private.h"
2
+
3
+ #define PARDISO_SYMBOLIC (11)
4
+ #define PARDISO_NUMERIC (22)
5
+ #define PARDISO_SOLVE (33)
6
+ #define PARDISO_CLEANUP (-1)
7
+
8
+ /* TODO: is it necessary to use pardiso_64 and MKL_Set_Interface_Layer ? */
9
+ /*
10
+ #define MKL_INTERFACE_LP64 0
11
+ #define MKL_INTERFACE_ILP64 1
12
+ */
13
+ #ifdef DLONG
14
+ #define _PARDISO pardiso_64
15
+ #else
16
+ #define _PARDISO pardiso
17
+ #endif
18
+
19
+ /* Prototypes for Pardiso functions */
20
+ void _PARDISO(void **pt, const scs_int *maxfct, const scs_int *mnum,
21
+ const scs_int *mtype, const scs_int *phase, const scs_int *n,
22
+ const scs_float *a, const scs_int *ia, const scs_int *ja,
23
+ scs_int *perm, const scs_int *nrhs, scs_int *iparm,
24
+ const scs_int *msglvl, scs_float *b, scs_float *x,
25
+ scs_int *error);
26
+ /* scs_int MKL_Set_Interface_Layer(scs_int); */
27
+
28
+ const char *scs_get_lin_sys_method() {
29
+ return "sparse-direct-mkl-pardiso";
30
+ }
31
+
32
+ void scs_free_lin_sys_work(ScsLinSysWork *p) {
33
+ if (p) {
34
+ p->phase = PARDISO_CLEANUP;
35
+ _PARDISO(p->pt, &(p->maxfct), &(p->mnum), &(p->mtype), &(p->phase),
36
+ &(p->n_plus_m), SCS_NULL, p->kkt->p, p->kkt->i, SCS_NULL,
37
+ &(p->nrhs), p->iparm, &(p->msglvl), SCS_NULL, SCS_NULL,
38
+ &(p->error));
39
+ if (p->error != 0) {
40
+ scs_printf("Error during MKL Pardiso cleanup: %d", (int)p->error);
41
+ }
42
+ if (p->kkt)
43
+ SCS(cs_spfree)(p->kkt);
44
+ if (p->sol)
45
+ scs_free(p->sol);
46
+ if (p->diag_r_idxs)
47
+ scs_free(p->diag_r_idxs);
48
+ if (p->diag_p)
49
+ scs_free(p->diag_p);
50
+ scs_free(p);
51
+ }
52
+ }
53
+
54
+ ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
55
+ const scs_float *diag_r) {
56
+ scs_int i;
57
+ ScsLinSysWork *p = scs_calloc(1, sizeof(ScsLinSysWork));
58
+
59
+ /* TODO: is this necessary with pardiso_64? */
60
+ /* Set MKL interface layer */
61
+ /*
62
+ #ifdef DLONG
63
+ MKL_Set_Interface_Layer(MKL_INTERFACE_ILP64);
64
+ #else
65
+ MKL_Set_Interface_Layer(MKL_INTERFACE_LP64);
66
+ #endif
67
+ */
68
+ p->n = A->n;
69
+ p->m = A->m;
70
+ p->n_plus_m = p->n + p->m;
71
+
72
+ /* Even though we overwrite rhs with sol pardiso requires the memory */
73
+ p->sol = (scs_float *)scs_malloc(sizeof(scs_float) * p->n_plus_m);
74
+ p->diag_r_idxs = (scs_int *)scs_calloc(p->n_plus_m, sizeof(scs_int));
75
+ p->diag_p = (scs_float *)scs_calloc(p->n, sizeof(scs_float));
76
+
77
+ /* MKL pardiso requires upper triangular CSR matrices. The KKT matrix stuffed
78
+ * as CSC lower triangular is equivalent. Pass upper=0. */
79
+ p->kkt = SCS(form_kkt)(A, P, p->diag_p, diag_r, p->diag_r_idxs, 0);
80
+ if (!(p->kkt)) {
81
+ scs_printf("Error in forming KKT matrix");
82
+ scs_free_lin_sys_work(p);
83
+ return SCS_NULL;
84
+ }
85
+
86
+ for (i = 0; i < 64; i++) {
87
+ p->iparm[i] = 0; /* Setup Pardiso control parameters */
88
+ p->pt[i] = 0; /* Initialize the internal solver memory pointer */
89
+ }
90
+
91
+ /* Set Pardiso variables */
92
+ p->mtype = -2; /* Real symmetric indefinite matrix */
93
+ p->nrhs = 1; /* Number of right hand sides */
94
+ p->maxfct = 1; /* Maximum number of numerical factorizations */
95
+ p->mnum = 1; /* Which factorization to use */
96
+ p->error = 0; /* Initialize error flag */
97
+ p->msglvl = VERBOSITY; /* Printing information */
98
+
99
+ /* For all iparm vars see MKL documentation */
100
+ p->iparm[0] = 1; /* Parsido must inspect iparm */
101
+ p->iparm[1] = 3; /* Fill-in reordering from OpenMP */
102
+ p->iparm[5] = 1; /* Write solution into b */
103
+ p->iparm[7] = 0; /* Automatic iterative refinement calculation */
104
+ p->iparm[9] = 8; /* Perturb the pivot elements with 1E-8 */
105
+ p->iparm[34] = 1; /* Use C-style indexing for indices */
106
+ /* p->iparm[36] = -80; */ /* Form block sparse matrices */
107
+
108
+ #ifdef SFLOAT
109
+ p->iparm[27] = 1; /* 1 is single precision, 0 is double */
110
+ #endif
111
+
112
+ /* Permutation and symbolic factorization */
113
+ scs_int phase = PARDISO_SYMBOLIC;
114
+ _PARDISO(p->pt, &(p->maxfct), &(p->mnum), &(p->mtype), &phase, &(p->n_plus_m),
115
+ p->kkt->x, p->kkt->p, p->kkt->i, SCS_NULL, &(p->nrhs), p->iparm,
116
+ &(p->msglvl), SCS_NULL, SCS_NULL, &(p->error));
117
+
118
+ if (p->error != 0) {
119
+ scs_printf("Error during symbolic factorization: %d", (int)p->error);
120
+ scs_free_lin_sys_work(p);
121
+ return SCS_NULL;
122
+ }
123
+
124
+ /* Numerical factorization */
125
+ p->phase = PARDISO_NUMERIC;
126
+ _PARDISO(p->pt, &(p->maxfct), &(p->mnum), &(p->mtype), &(p->phase),
127
+ &(p->n_plus_m), p->kkt->x, p->kkt->p, p->kkt->i, SCS_NULL,
128
+ &(p->nrhs), p->iparm, &(p->msglvl), SCS_NULL, SCS_NULL, &(p->error));
129
+
130
+ if (p->error) {
131
+ scs_printf("Error during numerical factorization: %d", (int)p->error);
132
+ scs_free_lin_sys_work(p);
133
+ return SCS_NULL;
134
+ }
135
+
136
+ if (p->iparm[21] < p->n) {
137
+ scs_printf("KKT matrix has < n positive eigenvalues. P not PSD.");
138
+ return SCS_NULL;
139
+ }
140
+
141
+ return p;
142
+ }
143
+
144
+ /* Returns solution to linear system Ax = b with solution stored in b */
145
+ scs_int scs_solve_lin_sys(ScsLinSysWork *p, scs_float *b, const scs_float *ws,
146
+ scs_float tol) {
147
+ /* Back substitution and iterative refinement */
148
+ p->phase = PARDISO_SOLVE;
149
+ _PARDISO(p->pt, &(p->maxfct), &(p->mnum), &(p->mtype), &(p->phase),
150
+ &(p->n_plus_m), p->kkt->x, p->kkt->p, p->kkt->i, SCS_NULL,
151
+ &(p->nrhs), p->iparm, &(p->msglvl), b, p->sol, &(p->error));
152
+ if (p->error != 0) {
153
+ scs_printf("Error during linear system solution: %d", (int)p->error);
154
+ }
155
+ return p->error;
156
+ }
157
+
158
+ /* Update factorization when R changes */
159
+ void scs_update_lin_sys_diag_r(ScsLinSysWork *p, const scs_float *diag_r) {
160
+ scs_int i;
161
+
162
+ for (i = 0; i < p->n; ++i) {
163
+ /* top left is R_x + P, bottom right is -R_y */
164
+ p->kkt->x[p->diag_r_idxs[i]] = p->diag_p[i] + diag_r[i];
165
+ }
166
+ for (i = p->n; i < p->n + p->m; ++i) {
167
+ /* top left is R_x + P, bottom right is -R_y */
168
+ p->kkt->x[p->diag_r_idxs[i]] = -diag_r[i];
169
+ }
170
+
171
+ /* Perform numerical factorization */
172
+ p->phase = PARDISO_NUMERIC;
173
+ _PARDISO(p->pt, &(p->maxfct), &(p->mnum), &(p->mtype), &(p->phase),
174
+ &(p->n_plus_m), p->kkt->x, p->kkt->p, p->kkt->i, SCS_NULL,
175
+ &(p->nrhs), p->iparm, &(p->msglvl), SCS_NULL, SCS_NULL, &(p->error));
176
+
177
+ if (p->error != 0) {
178
+ scs_printf("Error in PARDISO factorization when updating: %d.\n",
179
+ (int)p->error);
180
+ scs_free_lin_sys_work(p);
181
+ }
182
+ }
@@ -0,0 +1,38 @@
1
+ #ifndef PRIV_H_GUARD
2
+ #define PRIV_H_GUARD
3
+
4
+ #ifdef __cplusplus
5
+ extern "C" {
6
+ #endif
7
+
8
+ #include "csparse.h"
9
+ #include "linsys.h"
10
+
11
+ struct SCS_LIN_SYS_WORK {
12
+ ScsMatrix *kkt; /* Upper triangular KKT matrix (in CSR format) */
13
+ scs_float *sol; /* solution to the KKT system */
14
+ scs_int n; /* number of QP variables */
15
+ scs_int m; /* number of QP constraints */
16
+
17
+ /* Pardiso variables */
18
+ void *pt[64]; /* internal solver memory pointer pt */
19
+ scs_int iparm[64]; /* Pardiso control parameters */
20
+ scs_int n_plus_m; /* dimension of the linear system */
21
+ scs_int mtype; /* matrix type (-2 for real and symmetric indefinite) */
22
+ scs_int nrhs; /* number of right-hand sides (1) */
23
+ scs_int maxfct; /* maximum number of factors (1) */
24
+ scs_int mnum; /* indicates matrix for the solution phase (1) */
25
+ scs_int phase; /* control the execution phases of the solver */
26
+ scs_int error; /* the error indicator (0 for no error) */
27
+ scs_int msglvl; /* Message level information (0 for no output) */
28
+
29
+ /* These are required for matrix updates */
30
+ scs_int *diag_r_idxs; /* indices where R appears */
31
+ scs_float *diag_p; /* Diagonal values of P */
32
+ };
33
+
34
+ #ifdef __cplusplus
35
+ }
36
+ #endif
37
+
38
+ #endif
@@ -10,6 +10,10 @@
10
10
  #define NUM_L2_PASSES (1) /* do one or zero, not more since not stable */
11
11
 
12
12
  scs_int SCS(copy_matrix)(ScsMatrix **dstp, const ScsMatrix *src) {
13
+ if (!src) {
14
+ *dstp = SCS_NULL;
15
+ return 1;
16
+ }
13
17
  scs_int Anz = src->p[src->n];
14
18
  ScsMatrix *A = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix));
15
19
  if (!A) {
@@ -41,6 +45,8 @@ scs_int SCS(validate_lin_sys)(const ScsMatrix *A, const ScsMatrix *P) {
41
45
  }
42
46
  /* detects some errors in A col ptrs: */
43
47
  Anz = A->p[A->n];
48
+ /* Disable this check which is slowish and typically just produces noise. */
49
+ /*
44
50
  if (Anz > 0) {
45
51
  for (i = 0; i < A->n; ++i) {
46
52
  if (A->p[i] == A->p[i + 1]) {
@@ -53,6 +59,7 @@ scs_int SCS(validate_lin_sys)(const ScsMatrix *A, const ScsMatrix *P) {
53
59
  }
54
60
  }
55
61
  }
62
+ */
56
63
  if (((scs_float)Anz / A->m > A->n) || (Anz < 0)) {
57
64
  scs_printf("Anz (nonzeros in A) = %li, outside of valid range\n",
58
65
  (long)Anz);
@@ -106,18 +113,18 @@ static inline scs_float apply_limit(scs_float x) {
106
113
  return x;
107
114
  }
108
115
 
109
- static void compute_ruiz_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b,
110
- scs_float *c, scs_float *Dt, scs_float *Et,
111
- scs_float *s, ScsConeWork *cone) {
116
+ static void compute_ruiz_mats(ScsMatrix *P, ScsMatrix *A, scs_float *Dt,
117
+ scs_float *Et, ScsConeWork *cone) {
112
118
  scs_int i, j, kk;
113
119
  scs_float wrk;
120
+ scs_float nm_a_col;
114
121
 
115
122
  /**************************** D ****************************/
116
123
 
117
124
  /* initialize D */
118
125
  for (i = 0; i < A->m; ++i) {
119
- /* Dt[i] = 0.; */
120
- Dt[i] = ABS(b[i]);
126
+ Dt[i] = 0.;
127
+ /* Dt[i] = ABS(b[i]); */
121
128
  }
122
129
 
123
130
  /* calculate row norms */
@@ -132,15 +139,16 @@ static void compute_ruiz_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b,
132
139
 
133
140
  /* invert temporary vec to form D */
134
141
  for (i = 0; i < A->m; ++i) {
135
- Dt[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(Dt[i])));
142
+ Dt[i] = SQRTF(apply_limit(Dt[i]));
143
+ Dt[i] = SAFEDIV_POS(1.0, Dt[i]);
136
144
  }
137
145
 
138
146
  /**************************** E ****************************/
139
147
 
140
148
  /* initialize E */
141
149
  for (i = 0; i < A->n; ++i) {
142
- /* Et[i] = 0.; */
143
- Et[i] = ABS(c[i]);
150
+ Et[i] = 0.;
151
+ /* Et[i] = ABS(c[i]); */
144
152
  }
145
153
 
146
154
  /* TODO: test not using P to determine scaling */
@@ -163,27 +171,24 @@ static void compute_ruiz_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b,
163
171
 
164
172
  /* calculate col norms, E */
165
173
  for (i = 0; i < A->n; ++i) {
166
- Et[i] = MAX(Et[i], SCS(norm_inf)(&(A->x[A->p[i]]), A->p[i + 1] - A->p[i]));
167
- Et[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(Et[i])));
174
+ nm_a_col = SCS(norm_inf)(&(A->x[A->p[i]]), A->p[i + 1] - A->p[i]);
175
+ Et[i] = MAX(Et[i], nm_a_col);
176
+ Et[i] = SQRTF(apply_limit(Et[i]));
177
+ Et[i] = SAFEDIV_POS(1.0, Et[i]);
168
178
  }
169
-
170
- /* calculate s value */
171
- *s = MAX(SCS(norm_inf)(c, A->n), SCS(norm_inf)(b, A->m));
172
- *s = SAFEDIV_POS(1.0, SQRTF(apply_limit(*s)));
173
179
  }
174
180
 
175
- static void compute_l2_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b,
176
- scs_float *c, scs_float *Dt, scs_float *Et,
177
- scs_float *s, ScsConeWork *cone) {
181
+ static void compute_l2_mats(ScsMatrix *P, ScsMatrix *A, scs_float *Dt,
182
+ scs_float *Et, ScsConeWork *cone) {
178
183
  scs_int i, j, kk;
179
- scs_float wrk, norm_c, norm_b;
184
+ scs_float wrk;
180
185
 
181
186
  /**************************** D ****************************/
182
187
 
183
188
  /* initialize D */
184
189
  for (i = 0; i < A->m; ++i) {
185
- /* Dt[i] = 0.; */
186
- Dt[i] = b[i] * b[i];
190
+ Dt[i] = 0.;
191
+ /* Dt[i] = b[i] * b[i]; */
187
192
  }
188
193
 
189
194
  /* calculate row norms */
@@ -200,15 +205,16 @@ static void compute_l2_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b,
200
205
  SCS(enforce_cone_boundaries)(cone, Dt, &SCS(mean));
201
206
 
202
207
  for (i = 0; i < A->m; ++i) {
203
- Dt[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(Dt[i])));
208
+ Dt[i] = SQRTF(apply_limit(Dt[i]));
209
+ Dt[i] = SAFEDIV_POS(1.0, Dt[i]);
204
210
  }
205
211
 
206
212
  /**************************** E ****************************/
207
213
 
208
214
  /* initialize E */
209
215
  for (i = 0; i < A->n; ++i) {
210
- /* Et[i] = 0.; */
211
- Et[i] = c[i] * c[i];
216
+ Et[i] = 0.;
217
+ /* Et[i] = c[i] * c[i]; */
212
218
  }
213
219
 
214
220
  /* TODO: test not using P to determine scaling */
@@ -232,19 +238,13 @@ static void compute_l2_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b,
232
238
  /* calculate col norms, E */
233
239
  for (i = 0; i < A->n; ++i) {
234
240
  Et[i] += SCS(norm_sq)(&(A->x[A->p[i]]), A->p[i + 1] - A->p[i]);
235
- Et[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(SQRTF(Et[i]))));
241
+ Et[i] = SQRTF(apply_limit(SQRTF(Et[i])));
242
+ Et[i] = SAFEDIV_POS(1.0, Et[i]);
236
243
  }
237
-
238
- /* calculate s value */
239
- norm_c = SCS(norm_2)(c, A->n);
240
- norm_b = SCS(norm_2)(b, A->m);
241
- *s = SQRTF(norm_c * norm_c + norm_b * norm_b);
242
- *s = SAFEDIV_POS(1.0, SQRTF(apply_limit(*s)));
243
244
  }
244
245
 
245
- static void rescale(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c,
246
- scs_float *Dt, scs_float *Et, scs_float s, ScsScaling *scal,
247
- ScsConeWork *cone) {
246
+ static void rescale(ScsMatrix *P, ScsMatrix *A, scs_float *Dt, scs_float *Et,
247
+ ScsScaling *scal, ScsConeWork *cone) {
248
248
  scs_int i, j;
249
249
  /* scale the rows of A with D */
250
250
  for (i = 0; i < A->n; ++i) {
@@ -271,15 +271,6 @@ static void rescale(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c,
271
271
  }
272
272
  }
273
273
 
274
- /* scale c */
275
- for (i = 0; i < A->n; ++i) {
276
- c[i] *= Et[i];
277
- }
278
- /* scale b */
279
- for (i = 0; i < A->m; ++i) {
280
- b[i] *= Dt[i];
281
- }
282
-
283
274
  /* Accumulate scaling */
284
275
  for (i = 0; i < A->m; ++i) {
285
276
  scal->D[i] *= Dt[i];
@@ -288,53 +279,39 @@ static void rescale(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c,
288
279
  scal->E[i] *= Et[i];
289
280
  }
290
281
 
291
- /* Apply scaling */
292
- SCS(scale_array)(c, s, A->n);
293
- SCS(scale_array)(b, s, A->m);
294
- /* no need to scale P since primal_scale = dual_scale */
282
+ /* no need to scale P since later primal_scale = dual_scale */
295
283
  /*
296
284
  if (P) {
297
285
  SCS(scale_array)(P->x, primal_scale, P->p[P->n]);
298
286
  SCS(scale_array)(P->x, 1.0 / dual_scale, P->p[P->n]);
299
287
  }
300
288
  */
301
-
302
- /* Accumulate scaling */
303
- scal->primal_scale *= s;
304
- scal->dual_scale *= s;
305
289
  }
306
290
 
307
- /* Will rescale as P -> EPE, A -> DAE, c -> sEc, b -> sDb, in-place.
291
+ /* Will rescale as P -> EPE, A -> DAE in-place.
308
292
  * Essentially trying to rescale this matrix:
309
293
  *
310
- * [P A' c] with [E 0 0] on both sides (D, E diagonal)
311
- * [A 0 b] [0 D 0]
312
- * [c' b' 0] [0 0 s]
294
+ * [P A'] with [E 0 ] on both sides (D, E diagonal)
295
+ * [A 0 ] [0 D ]
313
296
  *
314
297
  * which results in:
315
298
  *
316
- * [ EPE EA'D sEc ]
317
- * [ DAE 0 sDb ]
318
- * [ sc'E sb'D 0 ]
299
+ * [ EPE EA'D ]
300
+ * [ DAE 0 ]
319
301
  *
320
- * In other words D rescales the rows of A, b
321
- * E rescales the cols of A and rows/cols of P, c'
302
+ * In other words D rescales the rows of A
303
+ * E rescales the cols of A and rows/cols of P
322
304
  *
323
- * will repeatedly set: D^-1 ~ norm of rows of [ A b ]
305
+ * will repeatedly set: D^-1 ~ norm of rows of [ A ]
324
306
  *
325
307
  * E^-1 ~ norm of cols of [ P ]
326
308
  * [ A ]
327
- * [ c']
328
- *
329
- * `s` is incorporated into dual_scale and primal_scale
330
309
  *
331
310
  * The main complication is that D has to respect cone boundaries.
332
311
  *
333
312
  */
334
- ScsScaling *SCS(normalize_a_p)(ScsMatrix *P, ScsMatrix *A, scs_float *b,
335
- scs_float *c, ScsConeWork *cone) {
313
+ ScsScaling *SCS(normalize_a_p)(ScsMatrix *P, ScsMatrix *A, ScsConeWork *cone) {
336
314
  scs_int i;
337
- scs_float s;
338
315
  ScsScaling *scal = (ScsScaling *)scs_calloc(1, sizeof(ScsScaling));
339
316
  scs_float *Dt = (scs_float *)scs_calloc(A->m, sizeof(scs_float));
340
317
  scs_float *Et = (scs_float *)scs_calloc(A->n, sizeof(scs_float));
@@ -359,12 +336,12 @@ ScsScaling *SCS(normalize_a_p)(ScsMatrix *P, ScsMatrix *A, scs_float *b,
359
336
  scal->primal_scale = 1.;
360
337
  scal->dual_scale = 1.;
361
338
  for (i = 0; i < NUM_RUIZ_PASSES; ++i) {
362
- compute_ruiz_mats(P, A, b, c, Dt, Et, &s, cone);
363
- rescale(P, A, b, c, Dt, Et, s, scal, cone);
339
+ compute_ruiz_mats(P, A, Dt, Et, cone);
340
+ rescale(P, A, Dt, Et, scal, cone);
364
341
  }
365
342
  for (i = 0; i < NUM_L2_PASSES; ++i) {
366
- compute_l2_mats(P, A, b, c, Dt, Et, &s, cone);
367
- rescale(P, A, b, c, Dt, Et, s, scal, cone);
343
+ compute_l2_mats(P, A, Dt, Et, cone);
344
+ rescale(P, A, Dt, Et, scal, cone);
368
345
  }
369
346
  scs_free(Dt);
370
347
  scs_free(Et);
@@ -378,14 +355,13 @@ ScsScaling *SCS(normalize_a_p)(ScsMatrix *P, ScsMatrix *A, scs_float *b,
378
355
  }
379
356
  scs_printf("primal_scale %g\n", scal->primal_scale);
380
357
  scs_printf("dual_scale %g\n", scal->dual_scale);
381
- scs_printf("norm_b %g\n", SCS(norm_inf)(b, A->m));
382
- scs_printf("norm_c %g\n", SCS(norm_inf)(c, A->n));
383
358
  scs_printf("norm D %g\n", SCS(norm_inf)(scal->D, A->m));
384
359
  scs_printf("norm E %g\n", SCS(norm_inf)(scal->E, A->n));
385
360
  #endif
386
361
  return scal;
387
362
  }
388
363
 
364
+ /*
389
365
  void SCS(un_normalize_a_p)(ScsMatrix *A, ScsMatrix *P, const ScsScaling *scal) {
390
366
  scs_int i, j;
391
367
  scs_float *D = scal->D;
@@ -411,6 +387,7 @@ void SCS(un_normalize_a_p)(ScsMatrix *A, ScsMatrix *P, const ScsScaling *scal) {
411
387
  }
412
388
  }
413
389
  }
390
+ */
414
391
 
415
392
  void SCS(accum_by_atrans)(const ScsMatrix *A, const scs_float *x,
416
393
  scs_float *y) {