scs 0.3.2 → 0.4.1

data/vendor/scs/src/exp_cone.c

@@ -0,0 +1,399 @@
+#include "cones.h"
+#include "glbopts.h"
+#include "linalg.h"
+#include "scs.h"
+
+#define EXP_CONE_INFINITY_VALUE (1E15)
+
+/*
+ * Exponential cone projection routines, from:
+ *
+ * Projection onto the exponential cone: a univariate root-finding problem,
+ *    by Henrik A. Friberg, 2021.
+ *
+ */
+
+static inline scs_int _isfinite(scs_float x) {
+  return ABS(x) < EXP_CONE_INFINITY_VALUE;
+}
+
+static inline scs_float _clip(scs_float x, scs_float l, scs_float u) {
+  return MAX(l, MIN(u, x));
+}
+
+/* As defined in Friberg, 2021 (multiplied by positive polynomial) */
+static void hfun(const scs_float *v0, scs_float rho, scs_float *f,
+                 scs_float *df) {
+  scs_float t0 = v0[2], s0 = v0[1], r0 = v0[0];
+  scs_float exprho = exp(rho);
+  scs_float expnegrho = exp(-rho);
+  /* function value at v0 */
+  *f = ((rho - 1) * r0 + s0) * exprho - (r0 - rho * s0) * expnegrho -
+       (rho * (rho - 1) + 1) * t0;
+  /* gradient of function at v0 */
+  *df = (rho * r0 + s0) * exprho + (r0 - (rho - 1) * s0) * expnegrho -
+        (2 * rho - 1) * t0;
+}
+
+/* Binary search for the root of the hfun function */
+static scs_float root_search_binary(const scs_float *v0, scs_float xl,
+                                    scs_float xu, scs_float x) {
+#if VERBOSITY > 0
+  scs_printf("Exp cone: Newton method failed, resorting to binary search.\n");
+#endif
+  const scs_float EPS = 1e-12; /* expensive so loosen tol */
+  const scs_int MAXITER = 40;
+  scs_int i;
+  scs_float x_plus = x, f, df;
+  for (i = 0; i < MAXITER; i++) {
+    hfun(v0, x, &f, &df);
+    if (f < 0.0) {
+      xl = x;
+    } else {
+      xu = x;
+    }
+    /* binary search step */
+    x_plus = 0.5 * (xl + xu);
+    if (ABS(x_plus - x) <= EPS * MAX(1., ABS(x_plus)) || (x_plus == xl) ||
+        (x_plus == xu)) {
+      break;
+    }
+    x = x_plus;
+  }
+  return x_plus;
+}
+
+/* Use damped Newton's to find the root of the hfun function */
+static scs_float root_search_newton(const scs_float *v0, scs_float xl,
+                                    scs_float xu, scs_float x) {
+  /* params taken from Friberg code */
+  const scs_float EPS = 1e-15;
+  const scs_float DFTOL = 1e-13; /* pow(EPS, 6.0 / 7.0) */
+  const scs_int MAXITER = 20;
+  const scs_float LODAMP = 0.05;
+  const scs_float HIDAMP = 0.95;
+
+  scs_float x_plus, f, df;
+  scs_int i;
+
+  for (i = 0; i < MAXITER; i++) {
+    hfun(v0, x, &f, &df);
+
+    if (ABS(f) <= EPS) { /* root found */
+      break;
+    }
+
+    if (f < 0.0) {
+      xl = x;
+    } else {
+      xu = x;
+    }
+
+    if (xu <= xl) {
+      xu = 0.5 * (xu + xl);
+      xl = xu;
+      break;
+    }
+
+    if (!_isfinite(f) || df < DFTOL) {
+      break;
+    }
+
+    /* Newton step */
+    x_plus = x - f / df;
+
+    if (ABS(x_plus - x) <= EPS * MAX(1., ABS(x_plus))) {
+      break;
+    }
+
+    if (x_plus >= xu) {
+      x = MIN(LODAMP * x + HIDAMP * xu, xu);
+    } else if (x_plus <= xl) {
+      x = MAX(LODAMP * x + HIDAMP * xl, xl);
+    } else {
+      x = x_plus;
+    }
+  }
+  if (i < MAXITER) { /* Newton's method converged */
+#if VERBOSITY > 0
+    scs_printf("Exp cone: Newton iters:%i, f:%.4e, df:%.4e\n", (int)i, f, df);
+#endif
+    return _clip(x, xl, xu);
+  }
+  /* Fall back to binary search if Newton failed */
+  return root_search_binary(v0, xl, xu, x);
+}
+
+/* try heuristic (cheap) projection */
+static scs_float proj_primal_exp_cone_heuristic(const scs_float *v0,
+                                                scs_float *vp) {
+  scs_float t0 = v0[2], s0 = v0[1], r0 = v0[0];
+  scs_float dist, tp, newdist;
+  /* perspective boundary */
+  vp[2] = MAX(t0, 0);
+  vp[1] = 0.0;
+  vp[0] = MIN(r0, 0);
+  dist = SCS(norm_diff)(v0, vp, 3);
+
+  /* perspective interior */
+  if (s0 > 0.0) {
+    tp = MAX(t0, s0 * exp(r0 / s0));
+    newdist = tp - t0;
+    if (newdist < dist) {
+      vp[2] = tp;
+      vp[1] = s0;
+      vp[0] = r0;
+      dist = newdist;
+    }
+  }
+  return dist;
+}
+
+/* try heuristic (cheap) projection */
+static scs_float proj_polar_exp_cone_heuristic(const scs_float *v0,
+                                               scs_float *vd) {
+  scs_float t0 = v0[2], s0 = v0[1], r0 = v0[0];
+  scs_float dist, td, newdist;
+  /* perspective boundary */
+  vd[2] = MIN(t0, 0);
+  vd[1] = MIN(s0, 0);
+  vd[0] = 0.0;
+  dist = SCS(norm_diff)(v0, vd, 3);
+
+  /* perspective interior */
+  if (r0 > 0.0) {
+    td = MIN(t0, -r0 * exp(s0 / r0 - 1));
+    newdist = t0 - td;
+    if (newdist < dist) {
+      vd[2] = td;
+      vd[1] = s0;
+      vd[0] = r0;
+      dist = newdist;
+    }
+  }
+  return dist;
+}
+
+static scs_float ppsi(const scs_float *v0) {
+  scs_float s0 = v0[1], r0 = v0[0];
+  scs_float psi;
+
+  if (r0 > s0) {
+    psi = (r0 - s0 + sqrt(r0 * r0 + s0 * s0 - r0 * s0)) / r0;
+  } else {
+    psi = -s0 / (r0 - s0 - sqrt(r0 * r0 + s0 * s0 - r0 * s0));
+  }
+
+  return ((psi - 1) * r0 + s0) / (psi * (psi - 1) + 1);
+}
+
+static scs_float pomega(scs_float rho) {
+  scs_float val = exp(rho) / (rho * (rho - 1) + 1);
+
+  if (rho < 2.0) {
+    val = MIN(val, exp(2.0) / 3);
+  }
+
+  return val;
+}
+
+static scs_float dpsi(const scs_float *v0) {
+  scs_float s0 = v0[1], r0 = v0[0];
+  scs_float psi;
+
+  if (s0 > r0) {
+    psi = (r0 - sqrt(r0 * r0 + s0 * s0 - r0 * s0)) / s0;
+  } else {
+    psi = (r0 - s0) / (r0 + sqrt(r0 * r0 + s0 * s0 - r0 * s0));
+  }
+
+  return (r0 - psi * s0) / (psi * (psi - 1) + 1);
+}
+
+static scs_float domega(scs_float rho) {
+  scs_float val = -exp(-rho) / (rho * (rho - 1) + 1);
+
+  if (rho > -1.0) {
+    val = MAX(val, -exp(1.0) / 3);
+  }
+
+  return val;
+}
+
+/* Generate upper and lower search bounds for root of hfun */
+static void exp_search_bracket(const scs_float *v0, scs_float pdist,
+                               scs_float ddist, scs_float *low_out,
+                               scs_float *upr_out) {
+  scs_float t0 = v0[2], s0 = v0[1], r0 = v0[0];
+  scs_float baselow = -EXP_CONE_INFINITY_VALUE,
+            baseupr = EXP_CONE_INFINITY_VALUE;
+  scs_float low = -EXP_CONE_INFINITY_VALUE, upr = EXP_CONE_INFINITY_VALUE;
+
+  scs_float Dp = SQRTF(pdist * pdist - MIN(s0, 0) * MIN(s0, 0));
+  scs_float Dd = SQRTF(ddist * ddist - MIN(r0, 0) * MIN(r0, 0));
+
+  scs_float curbnd, fl, fu, df, tpu, tdl;
+
+  if (t0 > 0) {
+    curbnd = log(t0 / ppsi(v0));
+    low = MAX(low, curbnd);
+  } else if (t0 < 0) {
+    curbnd = -log(-t0 / dpsi(v0));
+    upr = MIN(upr, curbnd);
+  }
+
+  if (r0 > 0) {
+    baselow = 1 - s0 / r0;
+    low = MAX(low, baselow);
+    tpu = MAX(1e-12, MIN(Dd, Dp + t0));
+    curbnd = MAX(low, baselow + tpu / r0 / pomega(low));
+    upr = MIN(upr, curbnd);
+  }
+
+  if (s0 > 0) {
+    baseupr = r0 / s0;
+    upr = MIN(upr, baseupr);
+    tdl = -MAX(1e-12, MIN(Dp, Dd - t0));
+    curbnd = MIN(upr, baseupr - tdl / s0 / domega(upr));
+    low = MAX(low, curbnd);
+  }
+
+  /* Guarantee valid bracket */
+  /* TODO do we need these 2 lines? */
+  low = _clip(MIN(low, upr), baselow, baseupr);
+  upr = _clip(MAX(low, upr), baselow, baseupr);
+
+  if (low != upr) {
+    hfun(v0, low, &fl, &df);
+    hfun(v0, upr, &fu, &df);
+
+    if (fl * fu > 0) {
+      if (ABS(fl) < ABS(fu)) {
+        upr = low;
+      } else {
+        low = upr;
+      }
+    }
+  }
+
+  *low_out = low;
+  *upr_out = upr;
+}
+
+/* convert from rho to primal projection */
+static scs_float proj_sol_primal_exp_cone(const scs_float *v0, scs_float rho,
+                                          scs_float *vp) {
+  scs_float linrho = (rho - 1) * v0[0] + v0[1];
+  scs_float exprho = exp(rho);
+  scs_float quadrho, dist;
+  if (linrho > 0 && _isfinite(exprho)) {
+    quadrho = rho * (rho - 1) + 1;
+    vp[2] = exprho * linrho / quadrho;
+    vp[1] = linrho / quadrho;
+    vp[0] = rho * linrho / quadrho;
+    dist = SCS(norm_diff)(vp, v0, 3);
+  } else {
+    vp[2] = EXP_CONE_INFINITY_VALUE;
+    vp[1] = 0.0;
+    vp[0] = 0.0;
+    dist = EXP_CONE_INFINITY_VALUE;
+  }
+  return dist;
+}
+
+/* convert from rho to polar projection */
+static scs_float proj_sol_polar_exp_cone(const scs_float *v0, scs_float rho,
+                                         scs_float *vd) {
+  scs_float linrho = v0[0] - rho * v0[1];
+  scs_float exprho = exp(-rho);
+  scs_float quadrho, dist;
+  if (linrho > 0 && _isfinite(exprho)) {
+    quadrho = rho * (rho - 1) + 1;
+    vd[2] = -exprho * linrho / quadrho;
+    vd[1] = (1 - rho) * linrho / quadrho;
+    vd[0] = linrho / quadrho;
+    dist = SCS(norm_diff)(v0, vd, 3);
+  } else {
+    vd[2] = -EXP_CONE_INFINITY_VALUE;
+    vd[1] = 0.0;
+    vd[0] = 0.0;
+    dist = EXP_CONE_INFINITY_VALUE;
+  }
+  return dist;
+}
+
+static inline void _copy(scs_float *dest, scs_float *src) {
+  dest[0] = src[0];
+  dest[1] = src[1];
+  dest[2] = src[2];
+}
+
+/* Project onto primal or dual exponential cone, performed in-place.
+ * If `primal=0` then project on the dual cone, otherwise project
+ * onto primal. Taken from algorithm in Friberg, 2021.
+ */
+scs_float SCS(proj_pd_exp_cone)(scs_float *v0, scs_int primal) {
+  scs_float TOL = 1e-8; /* pow(1e-10, 2.0 / 3.0); */
+  scs_float xl, xh, pdist, ddist, err, rho, dist_hat;
+  scs_float vp[3], vd[3], v_hat[3];
+  scs_int opt;
+  if (!primal) {
+    /* This routine actually projects onto primal and polar cones
+     * simultaneously. So to make it project onto dual, use this:
+     * Pi_{C^*}(v0) = -Pi_{C^polar}(-v0)
+     */
+    v0[0] *= -1.;
+    v0[1] *= -1.;
+    v0[2] *= -1.;
+  }
+
+  pdist = proj_primal_exp_cone_heuristic(v0, vp);
+  ddist = proj_polar_exp_cone_heuristic(v0, vd);
+
+  err = ABS(vp[0] + vd[0] - v0[0]);
+  err = MAX(err, ABS(vp[1] + vd[1] - v0[1]));
+  err = MAX(err, ABS(vp[2] + vd[2] - v0[2]));
+
+  /* Skip root search if presolve rules apply
+   * or optimality conditions are satisfied
+   */
+  opt = (v0[1] <= 0 && v0[0] <= 0);
+  opt |= (MIN(pdist, ddist) <= TOL);
+  opt |= (err <= TOL && SCS(dot)(vp, vd, 3) <= TOL);
+  if (opt) {
+    if (primal) {
+      _copy(v0, vp);
+      return pdist;
+    }
+    /* polar cone -> dual cone */
+    v0[0] = -vd[0];
+    v0[1] = -vd[1];
+    v0[2] = -vd[2];
+    return ddist;
+  }
+
+  exp_search_bracket(v0, pdist, ddist, &xl, &xh);
+  rho = root_search_newton(v0, xl, xh, 0.5 * (xl + xh));
+
+  if (primal) {
+    /* primal cone projection */
+    dist_hat = proj_sol_primal_exp_cone(v0, rho, v_hat);
+    if (dist_hat <= pdist) {
+      _copy(vp, v_hat);
+      pdist = dist_hat;
+    }
+    _copy(v0, vp);
+    return pdist;
+  }
+  /* polar cone projection */
+  dist_hat = proj_sol_polar_exp_cone(v0, rho, v_hat);
+  if (dist_hat <= ddist) {
+    _copy(vd, v_hat);
+    ddist = dist_hat;
+  }
+  /* polar cone -> dual cone */
+  v0[0] = -vd[0];
+  v0[1] = -vd[1];
+  v0[2] = -vd[2];
+  return ddist;
+}

data/vendor/scs/src/normalize.c

@@ -3,6 +3,57 @@
 #include "linalg.h"
 #include "scs.h"
 
+/* copied from linsys/scs_matrix.c */
+#define MIN_NORMALIZATION_FACTOR (1e-4)
+#define MAX_NORMALIZATION_FACTOR (1e4)
+
+/* Given D, E in scaling normalize b, c and compute primal / dual scales.
+ *
+ * Recall that	the normalization routine is performing:
+ *
+ * [P  A' c]   with   [E  0  0] on both sides (D, E diagonal)
+ * [A  0  b]          [0  D  0]
+ * [c' b' 0]          [0  0  s]
+ *
+ * which results in:
+ *
+ * [ EPE   EA'D  sEc ]
+ * [ DAE    0    sDb ]
+ * [ sc'E  sb'D   0  ]
+ *
+ * `s` is incorporated into dual_scale and primal_scale
+ *
+ */
+void SCS(normalize_b_c)(ScsScaling *scal, scs_float *b, scs_float *c) {
+  scs_int i;
+  scs_float sigma, nm_c, nm_b;
+
+  /* scale c */
+  for (i = 0; i < scal->n; ++i) {
+    c[i] *= scal->E[i];
+  }
+  /* scale b */
+  for (i = 0; i < scal->m; ++i) {
+    b[i] *= scal->D[i];
+  }
+
+  /* calculate primal and dual scales */
+  nm_c = SCS(norm_inf)(c, scal->n);
+  nm_b = SCS(norm_inf)(b, scal->m);
+  sigma = MAX(nm_c, nm_b);
+  sigma = sigma < MIN_NORMALIZATION_FACTOR ? 1.0 : sigma;
+  sigma = sigma > MAX_NORMALIZATION_FACTOR ? MAX_NORMALIZATION_FACTOR : sigma;
+  sigma = SAFEDIV_POS(1.0, sigma);
+
+  /* Scale b, c */
+  SCS(scale_array)(c, sigma, scal->n);
+  SCS(scale_array)(b, sigma, scal->m);
+
+  /* We assume that primal_scale = dual_scale, otherwise need to refactorize */
+  scal->primal_scale = sigma;
+  scal->dual_scale = sigma;
+}
+
 /* needed for normalizing the warm-start */
 void SCS(normalize_sol)(ScsScaling *scal, ScsSolution *sol) {
   scs_int i;