scs 0.3.2 → 0.4.1
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/CHANGELOG.md +10 -0
- data/LICENSE.txt +1 -1
- data/README.md +35 -6
- data/lib/scs/matrix.rb +72 -0
- data/lib/scs/solver.rb +19 -26
- data/lib/scs/version.rb +1 -1
- data/lib/scs.rb +1 -0
- data/vendor/scs/CITATION.cff +2 -2
- data/vendor/scs/CMakeLists.txt +285 -169
- data/vendor/scs/Makefile +43 -18
- data/vendor/scs/README.md +3 -1
- data/vendor/scs/include/cones.h +5 -3
- data/vendor/scs/include/glbopts.h +35 -17
- data/vendor/scs/include/linsys.h +8 -8
- data/vendor/scs/include/normalize.h +1 -0
- data/vendor/scs/include/rw.h +3 -3
- data/vendor/scs/include/scs.h +51 -24
- data/vendor/scs/include/scs_types.h +3 -1
- data/vendor/scs/include/scs_work.h +13 -15
- data/vendor/scs/include/util.h +4 -2
- data/vendor/scs/linsys/cpu/direct/private.c +32 -153
- data/vendor/scs/linsys/cpu/direct/private.h +6 -6
- data/vendor/scs/linsys/cpu/indirect/private.c +9 -22
- data/vendor/scs/linsys/cpu/indirect/private.h +4 -2
- data/vendor/scs/linsys/csparse.c +140 -12
- data/vendor/scs/linsys/csparse.h +10 -17
- data/vendor/scs/linsys/external/amd/LICENSE.txt +0 -897
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.c +4 -2
- data/vendor/scs/linsys/external/amd/SuiteSparse_config.h +0 -5
- data/vendor/scs/linsys/gpu/gpu.c +4 -4
- data/vendor/scs/linsys/gpu/gpu.h +1 -1
- data/vendor/scs/linsys/gpu/indirect/private.c +15 -26
- data/vendor/scs/linsys/mkl/direct/private.c +182 -0
- data/vendor/scs/linsys/mkl/direct/private.h +38 -0
- data/vendor/scs/linsys/scs_matrix.c +49 -72
- data/vendor/scs/linsys/scs_matrix.h +4 -3
- data/vendor/scs/scs.mk +39 -30
- data/vendor/scs/src/aa.c +0 -4
- data/vendor/scs/src/cones.c +78 -184
- data/vendor/scs/src/exp_cone.c +399 -0
- data/vendor/scs/src/normalize.c +51 -0
- data/vendor/scs/src/rw.c +139 -76
- data/vendor/scs/src/scs.c +275 -202
- data/vendor/scs/src/util.c +36 -13
- data/vendor/scs/test/minunit.h +2 -1
- data/vendor/scs/test/problem_utils.h +5 -4
- data/vendor/scs/test/problems/degenerate.h +1 -0
- data/vendor/scs/test/problems/hs21_tiny_qp.h +2 -1
- data/vendor/scs/test/problems/hs21_tiny_qp_rw.h +13 -4
- data/vendor/scs/test/problems/infeasible_tiny_qp.h +1 -0
- data/vendor/scs/test/problems/max_ent +0 -0
- data/vendor/scs/test/problems/max_ent.h +8 -0
- data/vendor/scs/test/problems/qafiro_tiny_qp.h +2 -1
- data/vendor/scs/test/problems/random_prob.h +2 -39
- data/vendor/scs/test/problems/rob_gauss_cov_est.h +15 -3
- data/vendor/scs/test/problems/small_lp.h +4 -1
- data/vendor/scs/test/problems/small_qp.h +42 -7
- data/vendor/scs/test/problems/test_exp_cone.h +84 -0
- data/vendor/scs/test/problems/test_prob_from_data_file.h +57 -0
- data/vendor/scs/test/problems/test_validation.h +4 -1
- data/vendor/scs/test/problems/unbounded_tiny_qp.h +3 -3
- data/vendor/scs/test/random_socp_prob.c +3 -1
- data/vendor/scs/test/run_from_file.c +22 -4
- data/vendor/scs/test/run_tests.c +22 -9
- metadata +12 -4
@@ -50,7 +50,9 @@
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struct SuiteSparse_config_struct SuiteSparse_config =
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{
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scs_malloc, scs_calloc, scs_realloc, scs_free,
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scs_malloc, scs_calloc, scs_realloc, scs_free,
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/* Disable printing */
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SCS_NULL,
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SuiteSparse_hypot,
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SuiteSparse_divcomplex
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@@ -79,7 +81,7 @@ void SuiteSparse_start ( void )
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SuiteSparse_config.calloc_func = scs_calloc ;
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SuiteSparse_config.realloc_func = scs_realloc ;
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SuiteSparse_config.free_func = scs_free ;
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SuiteSparse_config.printf_func =
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SuiteSparse_config.printf_func = SCS_NULL;
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/* math functions */
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SuiteSparse_config.hypot_func = SuiteSparse_hypot ;
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SuiteSparse_config.divcomplex_func = SuiteSparse_divcomplex ;
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@@ -71,11 +71,6 @@ extern "C" {
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#define SuiteSparse_long_id "%" SuiteSparse_long_idd
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#endif
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-
#ifndef _scs_printf
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#define _scs_printf scs_printf
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#endif
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-
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/* ========================================================================== */
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/* === SuiteSparse_config parameters and functions ========================== */
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/* ========================================================================== */
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data/vendor/scs/linsys/gpu/gpu.c
CHANGED
@@ -19,13 +19,13 @@ void SCS(accum_by_atrans_gpu)(const ScsGpuMatrix *Ag,
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if (*buffer != SCS_NULL) {
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cudaFree(*buffer);
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}
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cudaMalloc(buffer,
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cudaMalloc(buffer, new_buffer_size);
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*buffer_size = new_buffer_size;
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}
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CUSPARSE_GEN(SpMV)
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(cusparse_handle, CUSPARSE_OPERATION_NON_TRANSPOSE, &onef, Ag->descr, x,
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&onef, y, SCS_CUDA_FLOAT, SCS_CSRMV_ALG, buffer);
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&onef, y, SCS_CUDA_FLOAT, SCS_CSRMV_ALG, *buffer);
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}
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/* this is slow, use trans routine if possible */
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@@ -48,13 +48,13 @@ void SCS(accum_by_a_gpu)(const ScsGpuMatrix *Ag, const cusparseDnVecDescr_t x,
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if (*buffer != SCS_NULL) {
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cudaFree(*buffer);
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}
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cudaMalloc(buffer,
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cudaMalloc(buffer, new_buffer_size);
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*buffer_size = new_buffer_size;
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}
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CUSPARSE_GEN(SpMV)
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(cusparse_handle, CUSPARSE_OPERATION_TRANSPOSE, &onef, Ag->descr, x, &onef, y,
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SCS_CUDA_FLOAT, SCS_CSRMV_ALG, buffer);
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SCS_CUDA_FLOAT, SCS_CSRMV_ALG, *buffer);
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}
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/* This assumes that P has been made full (ie not triangular) and uses the
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data/vendor/scs/linsys/gpu/gpu.h
CHANGED
@@ -21,20 +21,10 @@ static scs_float cg_gpu_norm(cublasHandle_t cublas_handle, scs_float *r,
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return nrm;
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}
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const char *
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const char *scs_get_lin_sys_method() {
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return "sparse-indirect GPU";
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}
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/*
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char *SCS(get_lin_sys_summary)(ScsLinSysWork *p, const ScsInfo *info) {
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char *str = (char *)scs_malloc(sizeof(char) * 128);
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sprintf(str, "lin-sys: avg cg its: %2.2f\n",
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(scs_float)p->tot_cg_its / (info->iter + 1));
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p->tot_cg_its = 0;
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return str;
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}
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*/
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-
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/* Not possible to do this on the fly due to M_ii += a_i' (R_y)^-1 a_i */
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/* set M = inv ( diag ( R_x + P + A' R_y^{-1} A ) ) */
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static void set_preconditioner(ScsLinSysWork *p, const scs_float *diag_r) {
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@@ -76,7 +66,7 @@ static void set_preconditioner(ScsLinSysWork *p, const scs_float *diag_r) {
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}
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/* no need to update anything in this case */
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void
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void scs_update_lin_sys_diag_r(ScsLinSysWork *p, const scs_float *diag_r) {
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scs_int i;
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/* R_x to gpu */
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@@ -93,7 +83,7 @@ void SCS(update_lin_sys_diag_r)(ScsLinSysWork *p, const scs_float *diag_r) {
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set_preconditioner(p, diag_r);
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}
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void
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void scs_free_lin_sys_work(ScsLinSysWork *p) {
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if (p) {
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scs_free(p->M);
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scs_free(p->inv_r_y);
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@@ -182,13 +172,13 @@ static void mat_vec(ScsLinSysWork *p, const scs_float *x, scs_float *y) {
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}
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/* P comes in upper triangular, expand to full
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* First compute triplet version of full matrix, then compress to
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* First compute triplet version of full matrix, then compress to CSC
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* */
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static
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static ScsMatrix *fill_p_matrix(const ScsMatrix *P) {
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scs_int i, j, k, kk;
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scs_int Pnzmax = 2 * P->p[P->n]; /* upper bound */
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ScsMatrix *P_tmp = SCS(cs_spalloc)(P->n, P->n, Pnzmax, 1, 1);
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ScsMatrix *P_full;
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kk = 0;
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for (j = 0; j < P->n; j++) { /* cols */
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for (k = P->p[j]; k < P->p[j + 1]; k++) {
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@@ -209,16 +199,15 @@ static csc *fill_p_matrix(const ScsMatrix *P) {
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kk++;
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}
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}
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P_full = SCS(cs_compress)(P_tmp, SCS_NULL);
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P_full = SCS(cs_compress)(P_tmp, kk, SCS_NULL);
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SCS(cs_spfree)(P_tmp);
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return P_full;
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}
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ScsLinSysWork *
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ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
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const scs_float *diag_r) {
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cudaError_t err;
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ScsMatrix *P_full;
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ScsLinSysWork *p = SCS_NULL;
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ScsGpuMatrix *Ag = SCS_NULL;
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ScsGpuMatrix *Pg = SCS_NULL;
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@@ -324,7 +313,7 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
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cusparseCreateDnVec(&p->dn_vec_m, Ag->m, p->tmp_m, SCS_CUDA_FLOAT);
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/* Form preconditioner and copy R_x, 1/R_y to gpu */
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scs_update_lin_sys_diag_r(p, diag_r);
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#if GPU_TRANSPOSE_MAT > 0
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p->Agt = (ScsGpuMatrix *)scs_malloc(sizeof(ScsGpuMatrix));
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@@ -367,7 +356,7 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
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if (err != cudaSuccess) {
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printf("%s:%d:%s\nERROR_CUDA (*): %s\n", __FILE__, __LINE__, __func__,
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cudaGetErrorString(err));
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-
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scs_free_lin_sys_work(p);
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return SCS_NULL;
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}
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return p;
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@@ -466,8 +455,8 @@ static scs_int pcg(ScsLinSysWork *pr, const scs_float *s, scs_float *bg,
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* y = R_y^{-1} (Ax - ry)
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*
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*/
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scs_int
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scs_int scs_solve_lin_sys(ScsLinSysWork *p, scs_float *b, const scs_float *s,
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scs_float tol) {
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scs_int cg_its, max_iters;
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scs_float neg_onef = -1.0;
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@@ -0,0 +1,182 @@
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#include "private.h"
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#define PARDISO_SYMBOLIC (11)
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#define PARDISO_NUMERIC (22)
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#define PARDISO_SOLVE (33)
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#define PARDISO_CLEANUP (-1)
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/* TODO: is it necessary to use pardiso_64 and MKL_Set_Interface_Layer ? */
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/*
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#define MKL_INTERFACE_LP64 0
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#define MKL_INTERFACE_ILP64 1
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*/
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#ifdef DLONG
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#define _PARDISO pardiso_64
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#else
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#define _PARDISO pardiso
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#endif
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/* Prototypes for Pardiso functions */
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void _PARDISO(void **pt, const scs_int *maxfct, const scs_int *mnum,
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const scs_int *mtype, const scs_int *phase, const scs_int *n,
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const scs_float *a, const scs_int *ia, const scs_int *ja,
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scs_int *perm, const scs_int *nrhs, scs_int *iparm,
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const scs_int *msglvl, scs_float *b, scs_float *x,
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scs_int *error);
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/* scs_int MKL_Set_Interface_Layer(scs_int); */
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const char *scs_get_lin_sys_method() {
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return "sparse-direct-mkl-pardiso";
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}
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void scs_free_lin_sys_work(ScsLinSysWork *p) {
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if (p) {
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p->phase = PARDISO_CLEANUP;
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_PARDISO(p->pt, &(p->maxfct), &(p->mnum), &(p->mtype), &(p->phase),
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&(p->n_plus_m), SCS_NULL, p->kkt->p, p->kkt->i, SCS_NULL,
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&(p->nrhs), p->iparm, &(p->msglvl), SCS_NULL, SCS_NULL,
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&(p->error));
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if (p->error != 0) {
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scs_printf("Error during MKL Pardiso cleanup: %d", (int)p->error);
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}
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if (p->kkt)
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SCS(cs_spfree)(p->kkt);
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if (p->sol)
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scs_free(p->sol);
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if (p->diag_r_idxs)
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scs_free(p->diag_r_idxs);
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if (p->diag_p)
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scs_free(p->diag_p);
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scs_free(p);
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}
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}
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ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
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const scs_float *diag_r) {
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scs_int i;
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ScsLinSysWork *p = scs_calloc(1, sizeof(ScsLinSysWork));
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/* TODO: is this necessary with pardiso_64? */
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/* Set MKL interface layer */
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/*
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#ifdef DLONG
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MKL_Set_Interface_Layer(MKL_INTERFACE_ILP64);
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#else
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MKL_Set_Interface_Layer(MKL_INTERFACE_LP64);
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#endif
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*/
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p->n = A->n;
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p->m = A->m;
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p->n_plus_m = p->n + p->m;
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/* Even though we overwrite rhs with sol pardiso requires the memory */
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p->sol = (scs_float *)scs_malloc(sizeof(scs_float) * p->n_plus_m);
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p->diag_r_idxs = (scs_int *)scs_calloc(p->n_plus_m, sizeof(scs_int));
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p->diag_p = (scs_float *)scs_calloc(p->n, sizeof(scs_float));
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/* MKL pardiso requires upper triangular CSR matrices. The KKT matrix stuffed
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* as CSC lower triangular is equivalent. Pass upper=0. */
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p->kkt = SCS(form_kkt)(A, P, p->diag_p, diag_r, p->diag_r_idxs, 0);
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if (!(p->kkt)) {
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scs_printf("Error in forming KKT matrix");
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scs_free_lin_sys_work(p);
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return SCS_NULL;
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}
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for (i = 0; i < 64; i++) {
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p->iparm[i] = 0; /* Setup Pardiso control parameters */
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p->pt[i] = 0; /* Initialize the internal solver memory pointer */
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}
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/* Set Pardiso variables */
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p->mtype = -2; /* Real symmetric indefinite matrix */
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p->nrhs = 1; /* Number of right hand sides */
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p->maxfct = 1; /* Maximum number of numerical factorizations */
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95
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+
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 *
|
110
|
-
scs_float *
|
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
|
-
|
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] =
|
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
|
-
|
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
|
-
|
167
|
-
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 *
|
176
|
-
scs_float *
|
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
|
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
|
-
|
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] =
|
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
|
-
|
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] =
|
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 *
|
246
|
-
|
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
|
-
/*
|
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
|
291
|
+
/* Will rescale as P -> EPE, A -> DAE in-place.
|
308
292
|
* Essentially trying to rescale this matrix:
|
309
293
|
*
|
310
|
-
* [P A'
|
311
|
-
* [A 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
|
317
|
-
* [ DAE 0
|
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
|
321
|
-
* E rescales the cols of A and rows/cols of P
|
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
|
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,
|
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,
|
363
|
-
rescale(P, A,
|
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,
|
367
|
-
rescale(P, A,
|
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) {
|