scs 0.4.0 → 0.4.1
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- checksums.yaml +4 -4
- data/CHANGELOG.md +4 -0
- data/LICENSE.txt +1 -1
- data/README.md +1 -1
- data/lib/scs/version.rb +1 -1
- data/vendor/scs/CITATION.cff +2 -2
- data/vendor/scs/CMakeLists.txt +284 -168
- data/vendor/scs/Makefile +43 -18
- data/vendor/scs/README.md +1 -1
- data/vendor/scs/include/glbopts.h +32 -13
- data/vendor/scs/include/linsys.h +8 -8
- data/vendor/scs/include/scs.h +6 -2
- data/vendor/scs/include/scs_types.h +3 -1
- data/vendor/scs/include/scs_work.h +9 -8
- data/vendor/scs/include/util.h +1 -1
- 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/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 +11 -5
- data/vendor/scs/scs.mk +39 -26
- data/vendor/scs/src/cones.c +15 -159
- data/vendor/scs/src/exp_cone.c +399 -0
- data/vendor/scs/src/normalize.c +4 -2
- data/vendor/scs/src/rw.c +93 -38
- data/vendor/scs/src/scs.c +83 -52
- data/vendor/scs/src/util.c +12 -3
- data/vendor/scs/test/minunit.h +2 -1
- data/vendor/scs/test/problem_utils.h +2 -1
- data/vendor/scs/test/problems/hs21_tiny_qp.h +1 -1
- data/vendor/scs/test/problems/hs21_tiny_qp_rw.h +8 -3
- data/vendor/scs/test/problems/max_ent +0 -0
- data/vendor/scs/test/problems/max_ent.h +8 -0
- data/vendor/scs/test/problems/random_prob.h +2 -43
- data/vendor/scs/test/problems/rob_gauss_cov_est.h +7 -2
- 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/run_from_file.c +7 -1
- data/vendor/scs/test/run_tests.c +22 -9
- metadata +10 -3
data/vendor/scs/Makefile
CHANGED
@@ -1,7 +1,7 @@
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1
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# MAKEFILE for scs
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2
2
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include scs.mk
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3
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4
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-
SCS_OBJECTS = src/util.o src/cones.o src/aa.o src/rw.o src/linalg.o src/ctrlc.o src/scs_version.o src/normalize.o
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4
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+
SCS_OBJECTS = src/util.o src/cones.o src/exp_cone.o src/aa.o src/rw.o src/linalg.o src/ctrlc.o src/scs_version.o src/normalize.o
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SCS_O = src/scs.o
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SCS_INDIR_O = src/scs_indir.o
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7
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@@ -19,7 +19,7 @@ TARGETS = $(OUT)/demo_socp_indirect $(OUT)/demo_socp_direct $(OUT)/run_from_file
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default: $(TARGETS) $(OUT)/libscsdir.a $(OUT)/libscsindir.a $(OUT)/libscsdir.$(SHARED) $(OUT)/libscsindir.$(SHARED)
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@echo "****************************************************************************************"
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@echo "Successfully compiled scs, copyright Brendan O'Donoghue 2012."
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-
@echo "To test,
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@echo "To test, run 'make test' and then '$(OUT)/run_tests_direct'."
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@echo "**********************************************************************************"
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ifneq ($(USE_LAPACK), 0)
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@echo "Compiled with blas and lapack, can solve LPs, SOCPs, SDPs, ECPs, and PCPs"
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@@ -41,6 +41,7 @@ $(SCS_INDIR_O): src/scs.c $(INC_FILES)
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src/util.o : src/util.c $(INC_FILES)
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src/cones.o : src/cones.c $(INC_FILES)
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src/exp_cone.o : src/exp_cone.c $(INC_FILES)
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src/aa.o : src/aa.c $(INC_FILES)
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src/rw.o : src/rw.c $(INC_FILES)
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src/linalg.o: src/linalg.c $(INC_FILES)
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@@ -49,6 +50,7 @@ src/scs_version.o: src/scs_version.c $(INC_FILES)
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$(DIRSRC)/private.o: $(DIRSRC)/private.c $(DIRSRC)/private.h
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$(INDIRSRC)/indirect/private.o: $(INDIRSRC)/private.c $(INDIRSRC)/private.h
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$(MKLSRC)/private.o: $(MKLSRC)/private.c $(MKLSRC)/private.h
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$(LINSYS)/scs_matrix.o: $(LINSYS)/scs_matrix.c $(LINSYS)/scs_matrix.h
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$(LINSYS)/csparse.o: $(LINSYS)/csparse.c $(LINSYS)/csparse.h
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@@ -62,45 +64,68 @@ $(OUT)/libscsindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINS
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$(ARCHIVE) $@ $^
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- $(RANLIB) $@
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$(OUT)/libscsmkl.a: $(SCS_O) $(SCS_OBJECTS) $(MKLSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
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mkdir -p $(OUT)
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$(ARCHIVE) $@ $^
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- $(RANLIB) $@
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$(OUT)/libscsdir.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(DIRSRC)/private.o $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
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mkdir -p $(OUT)
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-
$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS)
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$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
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$(OUT)/libscsindir.$(SHARED): $(SCS_INDIR_O) $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
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mkdir -p $(OUT)
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-
$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS)
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$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
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$(OUT)/libscsmkl.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(MKLSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
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mkdir -p $(OUT)
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$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(MKLFLAGS)
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$(OUT)/demo_socp_direct: test/random_socp_prob.c $(OUT)/libscsdir.a
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-
$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
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$(OUT)/demo_socp_indirect: test/random_socp_prob.c $(OUT)/libscsindir.a
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
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$(OUT)/demo_socp_mkl: test/random_socp_prob.c $(OUT)/libscsmkl.a
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(MKLFLAGS)
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$(OUT)/run_from_file_direct: test/run_from_file.c $(OUT)/libscsdir.a
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
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$(OUT)/run_from_file_indirect: test/run_from_file.c $(OUT)/libscsindir.a
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
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$(OUT)/run_from_file_gpu_indirect: test/run_from_file.c $(OUT)/libscsgpuindir.a
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-
$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
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# basic testing
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.PHONY: test
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test: $(OUT)/run_tests_indirect $(OUT)/run_tests_direct
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$(OUT)/run_tests_indirect: test/run_tests.c $(OUT)/libscsindir.a
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-
$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) -Itest
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) -Itest
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$(OUT)/run_tests_direct: test/run_tests.c $(OUT)/libscsdir.a
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-
$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) -Itest
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) -Itest
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$(OUT)/run_tests_mkl: test/run_tests.c $(OUT)/libscsmkl.a
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(MKLFLAGS) -Itest
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.PHONY: test_gpu
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test_gpu: $(OUT)/run_tests_gpu_indirect # $(OUT)/run_tests_gpu_direct
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.PHONY: mkl
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mkl: mklroot $(OUT)/libscsmkl.a $(OUT)/libscsmkl.$(SHARED) $(OUT)/run_tests_mkl $(OUT)/demo_socp_mkl
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mklroot:
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ifndef MKLROOT
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$(error MKLROOT is undefined, set MKLROOT to the MKL install location)
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endif
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$(OUT)/run_tests_gpu_indirect: test/run_tests.c $(OUT)/libscsgpuindir.a
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-
$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS) -Itest
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS) -Itest
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# $(OUT)/run_tests_gpu_direct: test/run_tests.c $(OUT)/libscsgpudir.a
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-
# $(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS) -Itest
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# $(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS) -Itest
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# REQUIRES GPU AND CUDA INSTALLED
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gpu: gpu_indirect # gpu_direct
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@@ -119,7 +144,7 @@ $(GPUINDIR)/private.o: $(GPUINDIR)/private.c
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# $(OUT)/libscsgpudir.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(GPUDIR)/private.o $(AMD_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/gpu/gpu.o
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# mkdir -p $(OUT)
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-
# $(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
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# $(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
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# $(OUT)/libscsgpudir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUDIR)/private.o $(AMD_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/gpu/gpu.o
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# mkdir -p $(OUT)
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@@ -128,7 +153,7 @@ $(GPUINDIR)/private.o: $(GPUINDIR)/private.c
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$(OUT)/libscsgpuindir.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o $(LINSYS)/gpu/gpu.o
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mkdir -p $(OUT)
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-
$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
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$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
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$(OUT)/libscsgpuindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o $(LINSYS)/gpu/gpu.o
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mkdir -p $(OUT)
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@@ -136,14 +161,14 @@ $(OUT)/libscsgpuindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(L
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- $(RANLIB) $@
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# $(OUT)/demo_socp_gpu_direct: test/random_socp_prob.c $(OUT)/libscsgpudir.a
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-
# $(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
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# $(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
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$(OUT)/demo_socp_gpu_indirect: test/random_socp_prob.c $(OUT)/libscsgpuindir.a
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
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$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
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.PHONY: clean purge
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clean:
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-
@rm -rf $(TARGETS) $(SCS_O) $(SCS_INDIR_O) $(SCS_OBJECTS) $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/*.o $(DIRSRC)/*.o $(INDIRSRC)/*.o $(GPUDIR)/*.o $(GPUINDIR)/*.o $(LINSYS)/gpu/*.o
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@rm -rf $(TARGETS) $(SCS_O) $(SCS_INDIR_O) $(SCS_OBJECTS) $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/*.o $(DIRSRC)/*.o $(INDIRSRC)/*.o $(MKLSRC)/*.o $(GPUDIR)/*.o $(GPUINDIR)/*.o $(LINSYS)/gpu/*.o
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@rm -rf $(OUT)/*.dSYM
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@rm -rf matlab/*.mex*
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@rm -rf .idea
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data/vendor/scs/README.md
CHANGED
@@ -8,7 +8,7 @@
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SCS (`splitting conic solver`) is a numerical optimization package for solving
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large-scale convex cone problems. The current version is `3.2.
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large-scale convex cone problems. The current version is `3.2.3`.
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The full documentation is available [here](https://www.cvxgrp.org/scs/).
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@@ -12,16 +12,17 @@ extern "C" {
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#define SCS(x) _scs_##x
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#endif
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-
/* SCS VERSION NUMBER ----------------------------------------------
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/* SCS VERSION NUMBER ---------------------------------------------- */
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/* string literals automatically null-terminated */
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-
#define SCS_VERSION ("3.2.
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#define SCS_VERSION ("3.2.3")
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/* verbosity level */
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#ifndef VERBOSITY
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#define VERBOSITY (0)
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#endif
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/* DEFAULT SOLVER PARAMETERS AND SETTINGS --------------------------
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/* DEFAULT SOLVER PARAMETERS AND SETTINGS -------------------------- */
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/* If you update any of these you must update the documentation manually */
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#define MAX_ITERS (100000)
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#define EPS_REL (1E-4)
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#define EPS_ABS (1E-4)
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@@ -39,14 +40,13 @@ extern "C" {
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#define LOG_CSV_FILENAME (0)
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#define TIME_LIMIT_SECS (0.)
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-
/* redefine printfs
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/* redefine printfs as needed */
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#if NO_PRINTING > 0 /* Disable all printing */
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#define scs_printf(...) /* No-op */
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#else
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#ifdef MATLAB_MEX_FILE
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#include "mex.h"
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#define scs_printf mexPrintf
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-
#define scs_free mxFree
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-
#define scs_malloc mxMalloc
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-
#define scs_calloc mxCalloc
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#define scs_realloc mxRealloc
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#elif defined PYTHON
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#include <Python.h>
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/* see:
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@@ -58,6 +58,27 @@ extern "C" {
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PySys_WriteStdout(__VA_ARGS__); \
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PyGILState_Release(gilstate); \
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}
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#elif defined R_LANG
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#include <R_ext/Print.h> /* Rprintf etc */
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#include <stdio.h>
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#include <stdlib.h>
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#define scs_printf Rprintf
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#else
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#include <stdio.h>
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#include <stdlib.h>
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#define scs_printf printf
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#endif
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#endif
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/* redefine memory allocators as needed */
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#ifdef MATLAB_MEX_FILE
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#include "mex.h"
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#define scs_free mxFree
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#define scs_malloc mxMalloc
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#define scs_calloc mxCalloc
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#define scs_realloc mxRealloc
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#elif defined PYTHON
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#include <Python.h>
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#if PY_MAJOR_VERSION >= 3
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#define scs_free PyMem_RawFree
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#define scs_malloc PyMem_RawMalloc
|
@@ -74,10 +95,8 @@ static inline void *scs_calloc(size_t count, size_t size) {
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}
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#endif
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#elif defined R_LANG
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-
#include <R_ext/Print.h> /* Rprintf etc */
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#include <stdio.h>
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#include <stdlib.h>
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-
#define scs_printf Rprintf
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#define scs_free free
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#define scs_malloc malloc
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#define scs_calloc calloc
|
@@ -85,7 +104,6 @@ static inline void *scs_calloc(size_t count, size_t size) {
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#else
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#include <stdio.h>
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#include <stdlib.h>
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-
#define scs_printf printf
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#define scs_free free
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#define scs_malloc malloc
|
91
109
|
#define scs_calloc calloc
|
@@ -144,8 +162,9 @@ static inline void *scs_calloc(size_t count, size_t size) {
|
|
144
162
|
/* how many iterations between heuristic residual rescaling */
|
145
163
|
#define RESCALING_MIN_ITERS (100)
|
146
164
|
|
147
|
-
#define
|
148
|
-
#define SAFEDIV_POS(X, Y)
|
165
|
+
#define _DIV_EPS_TOL (1E-18)
|
166
|
+
#define SAFEDIV_POS(X, Y) \
|
167
|
+
((Y) < _DIV_EPS_TOL ? ((X) / _DIV_EPS_TOL) : (X) / (Y))
|
149
168
|
|
150
169
|
#if VERBOSITY > 0
|
151
170
|
#define PRINT_INTERVAL (1)
|
data/vendor/scs/include/linsys.h
CHANGED
@@ -23,15 +23,15 @@ extern "C" {
|
|
23
23
|
* @return Linear system solver workspace.
|
24
24
|
*
|
25
25
|
*/
|
26
|
-
ScsLinSysWork *
|
27
|
-
|
26
|
+
ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
|
27
|
+
const scs_float *diag_r);
|
28
28
|
|
29
29
|
/**
|
30
30
|
* Frees `ScsLinSysWork` structure and associated allocated memory.
|
31
31
|
*
|
32
32
|
* @param w Linear system private workspace.
|
33
33
|
*/
|
34
|
-
void
|
34
|
+
void scs_free_lin_sys_work(ScsLinSysWork *w);
|
35
35
|
|
36
36
|
/**
|
37
37
|
* Solves the linear system as required by SCS at each iteration:
|
@@ -48,11 +48,11 @@ void SCS(free_lin_sys_work)(ScsLinSysWork *w);
|
|
48
48
|
* @param b Right hand side, contains solution at the end.
|
49
49
|
* @param s Contains warm-start (may be NULL).
|
50
50
|
* @param tol Tolerance required for the system solve.
|
51
|
-
* @return status
|
51
|
+
* @return status != 0 indicates failure.
|
52
52
|
*
|
53
53
|
*/
|
54
|
-
scs_int
|
55
|
-
|
54
|
+
scs_int scs_solve_lin_sys(ScsLinSysWork *w, scs_float *b, const scs_float *s,
|
55
|
+
scs_float tol);
|
56
56
|
/**
|
57
57
|
* Update the linsys workspace when `R` is changed. For example, a
|
58
58
|
* direct method for solving the linear system might need to update the
|
@@ -62,14 +62,14 @@ scs_int SCS(solve_lin_sys)(ScsLinSysWork *w, scs_float *b, const scs_float *s,
|
|
62
62
|
* @param new_diag_r Updated `diag_r`, diagonal entries of R.
|
63
63
|
*
|
64
64
|
*/
|
65
|
-
void
|
65
|
+
void scs_update_lin_sys_diag_r(ScsLinSysWork *w, const scs_float *new_diag_r);
|
66
66
|
|
67
67
|
/**
|
68
68
|
* Name of the linear solver.
|
69
69
|
*
|
70
70
|
* @return name of method.
|
71
71
|
*/
|
72
|
-
const char *
|
72
|
+
const char *scs_get_lin_sys_method(void);
|
73
73
|
|
74
74
|
#ifdef __cplusplus
|
75
75
|
}
|
data/vendor/scs/include/scs.h
CHANGED
@@ -1,5 +1,9 @@
|
|
1
|
-
/*
|
2
|
-
|
1
|
+
/*
|
2
|
+
* Public header containing the outward facing SCS API. It includes all the
|
3
|
+
* input/output data structs and the API functions. Make sure this file and
|
4
|
+
* `scs_types.h` are somewhere appropriate and then use `#include "scs.h"` to
|
5
|
+
* access the SCS public API.
|
6
|
+
*/
|
3
7
|
|
4
8
|
#ifndef SCS_H_GUARD
|
5
9
|
#define SCS_H_GUARD
|
@@ -1,5 +1,7 @@
|
|
1
1
|
/*
|
2
|
-
*
|
2
|
+
* Pulic header including definitions of primitive types used in SCS.
|
3
|
+
* Make sure this file and `scs.h` are somewhere appropriate and then use
|
4
|
+
* `#include "scs.h"` to access the SCS public API.
|
3
5
|
*/
|
4
6
|
|
5
7
|
#ifndef SCS_TYPES_H_GUARD
|
@@ -54,14 +54,15 @@ struct SCS_WORK {
|
|
54
54
|
scs_float *g; /* g = (I + M)^{-1} h */
|
55
55
|
scs_float *lin_sys_warm_start; /* linear system warm-start (indirect only) */
|
56
56
|
scs_float *diag_r; /* vector of R matrix diagonals (affects cone proj) */
|
57
|
-
scs_float *b_orig, *c_orig;
|
58
|
-
|
59
|
-
|
60
|
-
|
61
|
-
|
62
|
-
|
63
|
-
|
64
|
-
|
57
|
+
scs_float *b_orig, *c_orig; /* original unnormalized b and c vectors */
|
58
|
+
scs_float nm_b_orig, nm_c_orig; /* unnormalized NORM(b), NORM(c) */
|
59
|
+
AaWork *accel; /* struct for acceleration workspace */
|
60
|
+
ScsData *d; /* Problem data deep copy NORMALIZED */
|
61
|
+
ScsCone *k; /* Problem cone deep copy */
|
62
|
+
ScsSettings *stgs; /* contains solver settings specified by user */
|
63
|
+
ScsLinSysWork *p; /* struct populated by linear system solver */
|
64
|
+
ScsScaling *scal; /* contains the re-scaling data */
|
65
|
+
ScsConeWork *cone_work; /* workspace for the cone projection step */
|
65
66
|
/* normalized and unnormalized residuals */
|
66
67
|
ScsResiduals *r_orig, *r_normalized;
|
67
68
|
/* track x,y,s as alg progresses, tau *not* divided out */
|
data/vendor/scs/include/util.h
CHANGED
@@ -11,7 +11,7 @@ extern "C" {
|
|
11
11
|
#include <stdlib.h>
|
12
12
|
|
13
13
|
/* timing code courtesy of A. Domahidi */
|
14
|
-
#if (defined
|
14
|
+
#if (defined NO_TIMER)
|
15
15
|
typedef void *SCS(timer);
|
16
16
|
#elif (defined _WIN32 || defined _WIN64 || defined _WINDLL)
|
17
17
|
/* Use Windows QueryPerformanceCounter for timing */
|
@@ -1,20 +1,10 @@
|
|
1
1
|
#include "private.h"
|
2
|
-
#include "linsys.h"
|
3
2
|
|
4
|
-
const char *
|
5
|
-
return "sparse-direct";
|
3
|
+
const char *scs_get_lin_sys_method() {
|
4
|
+
return "sparse-direct-amd-qdldl";
|
6
5
|
}
|
7
6
|
|
8
|
-
|
9
|
-
char *SCS(get_lin_sys_summary)(ScsLinSysWork *p, const ScsInfo *info) {
|
10
|
-
char *str = (char *)scs_malloc(sizeof(char) * 128);
|
11
|
-
scs_int n = p->L->n;
|
12
|
-
sprintf(str, "lin-sys: nnz(L): %li\n", (long)(p->L->p[n] + n));
|
13
|
-
return str;
|
14
|
-
}
|
15
|
-
*/
|
16
|
-
|
17
|
-
void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
|
7
|
+
void scs_free_lin_sys_work(ScsLinSysWork *p) {
|
18
8
|
if (p) {
|
19
9
|
SCS(cs_spfree)(p->L);
|
20
10
|
SCS(cs_spfree)(p->kkt);
|
@@ -33,155 +23,43 @@ void SCS(free_lin_sys_work)(ScsLinSysWork *p) {
|
|
33
23
|
}
|
34
24
|
}
|
35
25
|
|
36
|
-
static
|
37
|
-
const scs_float *diag_r, scs_int *diag_r_idxs) {
|
38
|
-
/* ONLY UPPER TRIANGULAR PART IS STUFFED
|
39
|
-
* forms column compressed kkt matrix
|
40
|
-
* assumes column compressed form A matrix
|
41
|
-
*
|
42
|
-
* forms upper triangular part of [(I + P) A'; A -I]
|
43
|
-
* P : n x n, A: m x n.
|
44
|
-
*/
|
45
|
-
scs_int h, i, j, count;
|
46
|
-
csc *Kcsc, *K;
|
47
|
-
scs_int n = A->n;
|
48
|
-
scs_int m = A->m;
|
49
|
-
scs_int Anz = A->p[n];
|
50
|
-
scs_int Knzmax;
|
51
|
-
scs_int *idx_mapping;
|
52
|
-
if (P) {
|
53
|
-
/* Upper bound P + I upper triangular component as Pnz + n */
|
54
|
-
Knzmax = n + m + Anz + P->p[n];
|
55
|
-
} else {
|
56
|
-
Knzmax = n + m + Anz;
|
57
|
-
}
|
58
|
-
K = SCS(cs_spalloc)(m + n, m + n, Knzmax, 1, 1);
|
59
|
-
|
60
|
-
#if VERBOSITY > 0
|
61
|
-
scs_printf("forming kkt\n");
|
62
|
-
#endif
|
63
|
-
/* Here we generate a triplet matrix and then compress to CSC */
|
64
|
-
if (!K) {
|
65
|
-
return SCS_NULL;
|
66
|
-
}
|
67
|
-
|
68
|
-
count = 0; /* element counter */
|
69
|
-
if (P) {
|
70
|
-
/* R_x + P in top left */
|
71
|
-
for (j = 0; j < n; j++) { /* cols */
|
72
|
-
diag_p[j] = 0.;
|
73
|
-
/* empty column, add diagonal */
|
74
|
-
if (P->p[j] == P->p[j + 1]) {
|
75
|
-
K->i[count] = j;
|
76
|
-
K->p[count] = j;
|
77
|
-
K->x[count] = diag_r[j];
|
78
|
-
diag_r_idxs[j] = count; /* store the indices where diag_r occurs */
|
79
|
-
count++;
|
80
|
-
}
|
81
|
-
for (h = P->p[j]; h < P->p[j + 1]; h++) {
|
82
|
-
i = P->i[h]; /* row */
|
83
|
-
if (i > j) { /* only upper triangular needed */
|
84
|
-
break;
|
85
|
-
}
|
86
|
-
K->i[count] = i;
|
87
|
-
K->p[count] = j;
|
88
|
-
K->x[count] = P->x[h];
|
89
|
-
if (i == j) {
|
90
|
-
/* P has diagonal element */
|
91
|
-
diag_p[j] = P->x[h];
|
92
|
-
K->x[count] += diag_r[j];
|
93
|
-
diag_r_idxs[j] = count; /* store the indices where diag_r occurs */
|
94
|
-
}
|
95
|
-
count++;
|
96
|
-
/* reached the end without adding diagonal, do it now */
|
97
|
-
if ((i < j) && (h + 1 == P->p[j + 1] || P->i[h + 1] > j)) {
|
98
|
-
K->i[count] = j;
|
99
|
-
K->p[count] = j;
|
100
|
-
K->x[count] = diag_r[j];
|
101
|
-
diag_r_idxs[j] = count; /* store the indices where diag_r occurs */
|
102
|
-
count++;
|
103
|
-
}
|
104
|
-
}
|
105
|
-
}
|
106
|
-
} else {
|
107
|
-
/* R_x in top left */
|
108
|
-
for (j = 0; j < n; j++) {
|
109
|
-
diag_p[j] = 0.;
|
110
|
-
K->i[count] = j;
|
111
|
-
K->p[count] = j;
|
112
|
-
K->x[count] = diag_r[j];
|
113
|
-
diag_r_idxs[j] = count; /* store the indices where diag_r occurs */
|
114
|
-
count++;
|
115
|
-
}
|
116
|
-
}
|
117
|
-
|
118
|
-
/* A^T at top right */
|
119
|
-
for (j = 0; j < n; j++) {
|
120
|
-
for (h = A->p[j]; h < A->p[j + 1]; h++) {
|
121
|
-
K->p[count] = A->i[h] + n;
|
122
|
-
K->i[count] = j;
|
123
|
-
K->x[count] = A->x[h];
|
124
|
-
count++;
|
125
|
-
}
|
126
|
-
}
|
127
|
-
|
128
|
-
/* -R_y at bottom right */
|
129
|
-
for (j = 0; j < m; j++) {
|
130
|
-
K->i[count] = j + n;
|
131
|
-
K->p[count] = j + n;
|
132
|
-
K->x[count] = -diag_r[j + n];
|
133
|
-
diag_r_idxs[j + n] = count; /* store the indices where diag_r occurs */
|
134
|
-
count++;
|
135
|
-
}
|
136
|
-
|
137
|
-
K->nz = count;
|
138
|
-
idx_mapping = (scs_int *)scs_calloc(K->nz, sizeof(scs_int));
|
139
|
-
Kcsc = SCS(cs_compress)(K, idx_mapping);
|
140
|
-
for (i = 0; i < m + n; i++) {
|
141
|
-
diag_r_idxs[i] = idx_mapping[diag_r_idxs[i]];
|
142
|
-
}
|
143
|
-
SCS(cs_spfree)(K);
|
144
|
-
scs_free(idx_mapping);
|
145
|
-
return Kcsc;
|
146
|
-
}
|
147
|
-
|
148
|
-
static scs_int _ldl_init(csc *A, scs_int *P, scs_float **info) {
|
26
|
+
static scs_int _ldl_init(ScsMatrix *A, scs_int *P, scs_float **info) {
|
149
27
|
*info = (scs_float *)scs_calloc(AMD_INFO, sizeof(scs_float));
|
150
28
|
return amd_order(A->n, A->p, A->i, P, (scs_float *)SCS_NULL, *info);
|
151
29
|
}
|
152
30
|
|
153
31
|
/* call only once */
|
154
32
|
static scs_int ldl_prepare(ScsLinSysWork *p) {
|
155
|
-
|
156
|
-
scs_int n = kkt->n;
|
33
|
+
ScsMatrix *kkt = p->kkt, *L = p->L;
|
34
|
+
scs_int nzmax, n = kkt->n;
|
157
35
|
p->etree = (scs_int *)scs_calloc(n, sizeof(scs_int));
|
158
36
|
p->Lnz = (scs_int *)scs_calloc(n, sizeof(scs_int));
|
159
37
|
p->iwork = (scs_int *)scs_calloc(3 * n, sizeof(scs_int));
|
160
38
|
L->p = (scs_int *)scs_calloc((1 + n), sizeof(scs_int));
|
161
|
-
|
162
|
-
if (
|
39
|
+
nzmax = QDLDL_etree(n, kkt->p, kkt->i, p->iwork, p->Lnz, p->etree);
|
40
|
+
if (nzmax < 0) {
|
163
41
|
scs_printf("Error in elimination tree calculation.\n");
|
164
|
-
if (
|
42
|
+
if (nzmax == -1) {
|
165
43
|
scs_printf("Matrix is not perfectly upper triangular.\n");
|
166
|
-
} else if (
|
44
|
+
} else if (nzmax == -2) {
|
167
45
|
scs_printf("Integer overflow in L nonzero count.\n");
|
168
46
|
}
|
169
|
-
return
|
47
|
+
return nzmax;
|
170
48
|
}
|
171
49
|
|
172
|
-
L->x = (scs_float *)scs_calloc(
|
173
|
-
L->i = (scs_int *)scs_calloc(
|
50
|
+
L->x = (scs_float *)scs_calloc(nzmax, sizeof(scs_float));
|
51
|
+
L->i = (scs_int *)scs_calloc(nzmax, sizeof(scs_int));
|
174
52
|
p->Dinv = (scs_float *)scs_calloc(n, sizeof(scs_float));
|
175
53
|
p->D = (scs_float *)scs_calloc(n, sizeof(scs_float));
|
176
54
|
p->bwork = (scs_int *)scs_calloc(n, sizeof(scs_int));
|
177
55
|
p->fwork = (scs_float *)scs_calloc(n, sizeof(scs_float));
|
178
|
-
return
|
56
|
+
return nzmax;
|
179
57
|
}
|
180
58
|
|
181
59
|
/* can call many times */
|
182
60
|
static scs_int ldl_factor(ScsLinSysWork *p, scs_int num_vars) {
|
183
61
|
scs_int factor_status;
|
184
|
-
|
62
|
+
ScsMatrix *kkt = p->kkt, *L = p->L;
|
185
63
|
#if VERBOSITY > 0
|
186
64
|
scs_printf("numeric factorization\n");
|
187
65
|
#endif
|
@@ -217,7 +95,7 @@ static void _ldl_permt(scs_int n, scs_float *x, scs_float *b, scs_int *P) {
|
|
217
95
|
x[P[j]] = b[j];
|
218
96
|
}
|
219
97
|
|
220
|
-
static void _ldl_solve(scs_float *b,
|
98
|
+
static void _ldl_solve(scs_float *b, ScsMatrix *L, scs_float *Dinv, scs_int *P,
|
221
99
|
scs_float *bp) {
|
222
100
|
/* solves PLDL'P' x = b for x */
|
223
101
|
scs_int n = L->n;
|
@@ -240,11 +118,11 @@ static scs_int *cs_pinv(scs_int const *p, scs_int n) {
|
|
240
118
|
return pinv; /* return result */
|
241
119
|
}
|
242
120
|
|
243
|
-
static
|
244
|
-
|
121
|
+
static ScsMatrix *cs_symperm(const ScsMatrix *A, const scs_int *pinv,
|
122
|
+
scs_int *idx_mapping, scs_int values) {
|
245
123
|
scs_int i, j, p, q, i2, j2, n, *Ap, *Ai, *Cp, *Ci, *w;
|
246
124
|
scs_float *Cx, *Ax;
|
247
|
-
|
125
|
+
ScsMatrix *C;
|
248
126
|
n = A->n;
|
249
127
|
Ap = A->p;
|
250
128
|
Ai = A->i;
|
@@ -290,14 +168,16 @@ static csc *cs_symperm(const csc *A, const scs_int *pinv, scs_int *idx_mapping,
|
|
290
168
|
1); /* success; free workspace, return C */
|
291
169
|
}
|
292
170
|
|
293
|
-
static
|
294
|
-
|
171
|
+
static ScsMatrix *permute_kkt(const ScsMatrix *A, const ScsMatrix *P,
|
172
|
+
ScsLinSysWork *p, const scs_float *diag_r) {
|
295
173
|
scs_float *info;
|
296
|
-
scs_int *Pinv, amd_status, *idx_mapping, i;
|
297
|
-
|
174
|
+
scs_int *Pinv, amd_status, *idx_mapping, i, kkt_nnz;
|
175
|
+
ScsMatrix *kkt_perm;
|
176
|
+
ScsMatrix *kkt = SCS(form_kkt)(A, P, p->diag_p, diag_r, p->diag_r_idxs, 1);
|
298
177
|
if (!kkt) {
|
299
178
|
return SCS_NULL;
|
300
179
|
}
|
180
|
+
kkt_nnz = kkt->p[kkt->n];
|
301
181
|
amd_status = _ldl_init(kkt, p->perm, &info);
|
302
182
|
if (amd_status < 0) {
|
303
183
|
scs_printf("AMD permutatation error.\n");
|
@@ -308,7 +188,7 @@ static csc *permute_kkt(const ScsMatrix *A, const ScsMatrix *P,
|
|
308
188
|
amd_info(info);
|
309
189
|
#endif
|
310
190
|
Pinv = cs_pinv(p->perm, A->n + A->m);
|
311
|
-
idx_mapping = (scs_int *)scs_calloc(
|
191
|
+
idx_mapping = (scs_int *)scs_calloc(kkt_nnz, sizeof(scs_int));
|
312
192
|
kkt_perm = cs_symperm(kkt, Pinv, idx_mapping, 1);
|
313
193
|
for (i = 0; i < A->n + A->m; i++) {
|
314
194
|
p->diag_r_idxs[i] = idx_mapping[p->diag_r_idxs[i]];
|
@@ -320,7 +200,7 @@ static csc *permute_kkt(const ScsMatrix *A, const ScsMatrix *P,
|
|
320
200
|
return kkt_perm;
|
321
201
|
}
|
322
202
|
|
323
|
-
void
|
203
|
+
void scs_update_lin_sys_diag_r(ScsLinSysWork *p, const scs_float *diag_r) {
|
324
204
|
scs_int i, ldl_status;
|
325
205
|
for (i = 0; i < p->n; ++i) {
|
326
206
|
/* top left is R_x + P, bottom right is -R_y */
|
@@ -339,21 +219,20 @@ void SCS(update_lin_sys_diag_r)(ScsLinSysWork *p, const scs_float *diag_r) {
|
|
339
219
|
}
|
340
220
|
}
|
341
221
|
|
342
|
-
ScsLinSysWork *
|
343
|
-
|
222
|
+
ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
|
223
|
+
const scs_float *diag_r) {
|
344
224
|
ScsLinSysWork *p = (ScsLinSysWork *)scs_calloc(1, sizeof(ScsLinSysWork));
|
345
225
|
scs_int n_plus_m = A->n + A->m, ldl_status, ldl_prepare_status;
|
346
226
|
p->m = A->m;
|
347
227
|
p->n = A->n;
|
348
228
|
p->diag_p = (scs_float *)scs_calloc(A->n, sizeof(scs_float));
|
349
229
|
p->perm = (scs_int *)scs_calloc(sizeof(scs_int), n_plus_m);
|
350
|
-
p->L = (
|
230
|
+
p->L = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix));
|
351
231
|
p->bp = (scs_float *)scs_calloc(n_plus_m, sizeof(scs_float));
|
352
232
|
p->diag_r_idxs = (scs_int *)scs_calloc(n_plus_m, sizeof(scs_int));
|
353
233
|
p->factorizations = 0;
|
354
234
|
p->L->m = n_plus_m;
|
355
235
|
p->L->n = n_plus_m;
|
356
|
-
p->L->nz = -1;
|
357
236
|
p->kkt = permute_kkt(A, P, p, diag_r);
|
358
237
|
ldl_prepare_status = ldl_prepare(p);
|
359
238
|
ldl_status = ldl_factor(p, A->n);
|
@@ -366,8 +245,8 @@ ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
|
|
366
245
|
return p;
|
367
246
|
}
|
368
247
|
|
369
|
-
scs_int
|
370
|
-
|
248
|
+
scs_int scs_solve_lin_sys(ScsLinSysWork *p, scs_float *b, const scs_float *s,
|
249
|
+
scs_float tol) {
|
371
250
|
/* returns solution to linear system */
|
372
251
|
/* Ax = b with solution stored in b */
|
373
252
|
_ldl_solve(b, p->L, p->Dinv, p->perm, p->bp);
|