scs 0.4.0 → 0.4.2

data/vendor/scs/Makefile

@@ -1,7 +1,7 @@
 # MAKEFILE for scs
 include scs.mk
 
-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
+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
 SCS_O = src/scs.o
 SCS_INDIR_O = src/scs_indir.o
 
@@ -19,7 +19,7 @@ TARGETS = $(OUT)/demo_socp_indirect $(OUT)/demo_socp_direct $(OUT)/run_from_file
 default: $(TARGETS) $(OUT)/libscsdir.a $(OUT)/libscsindir.a $(OUT)/libscsdir.$(SHARED) $(OUT)/libscsindir.$(SHARED)
 	@echo "****************************************************************************************"
 	@echo "Successfully compiled scs, copyright Brendan O'Donoghue 2012."
-	@echo "To test, type '$(OUT)/demo_socp_direct' to solve a random SOCP."
+	@echo "To test, run 'make test' and then '$(OUT)/run_tests_direct'."
 	@echo "**********************************************************************************"
 ifneq ($(USE_LAPACK), 0)
 	@echo "Compiled with blas and lapack, can solve LPs, SOCPs, SDPs, ECPs, and PCPs"
@@ -41,6 +41,7 @@ $(SCS_INDIR_O): src/scs.c $(INC_FILES)
 
 src/util.o	: src/util.c $(INC_FILES)
 src/cones.o	: src/cones.c $(INC_FILES)
+src/exp_cone.o	: src/exp_cone.c $(INC_FILES)
 src/aa.o	: src/aa.c $(INC_FILES)
 src/rw.o	: src/rw.c $(INC_FILES)
 src/linalg.o: src/linalg.c $(INC_FILES)
@@ -49,6 +50,7 @@ src/scs_version.o: src/scs_version.c $(INC_FILES)
 
 $(DIRSRC)/private.o: $(DIRSRC)/private.c  $(DIRSRC)/private.h
 $(INDIRSRC)/indirect/private.o: $(INDIRSRC)/private.c $(INDIRSRC)/private.h
+$(MKLSRC)/private.o: $(MKLSRC)/private.c  $(MKLSRC)/private.h
 $(LINSYS)/scs_matrix.o: $(LINSYS)/scs_matrix.c $(LINSYS)/scs_matrix.h
 $(LINSYS)/csparse.o: $(LINSYS)/csparse.c $(LINSYS)/csparse.h
 
@@ -62,45 +64,68 @@ $(OUT)/libscsindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINS
 	$(ARCHIVE) $@ $^
 	- $(RANLIB) $@
 
+$(OUT)/libscsmkl.a: $(SCS_O) $(SCS_OBJECTS) $(MKLSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
+	mkdir -p $(OUT)
+	$(ARCHIVE) $@ $^
+	- $(RANLIB) $@
+
 $(OUT)/libscsdir.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(DIRSRC)/private.o $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
 	mkdir -p $(OUT)
-	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS)
+	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
 
 $(OUT)/libscsindir.$(SHARED): $(SCS_INDIR_O) $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
 	mkdir -p $(OUT)
-	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS)
+	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
+
+$(OUT)/libscsmkl.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(MKLSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
+	mkdir -p $(OUT)
+	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(MKLFLAGS)
 
 $(OUT)/demo_socp_direct: test/random_socp_prob.c $(OUT)/libscsdir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
 
 $(OUT)/demo_socp_indirect: test/random_socp_prob.c $(OUT)/libscsindir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
+
+$(OUT)/demo_socp_mkl: test/random_socp_prob.c $(OUT)/libscsmkl.a
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(MKLFLAGS)
 
 $(OUT)/run_from_file_direct: test/run_from_file.c $(OUT)/libscsdir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
 
 $(OUT)/run_from_file_indirect: test/run_from_file.c $(OUT)/libscsindir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS)
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS)
 
 $(OUT)/run_from_file_gpu_indirect: test/run_from_file.c $(OUT)/libscsgpuindir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
 
 # basic testing
 .PHONY: test
 test: $(OUT)/run_tests_indirect $(OUT)/run_tests_direct
 $(OUT)/run_tests_indirect: test/run_tests.c $(OUT)/libscsindir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) -Itest
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) -Itest
 $(OUT)/run_tests_direct: test/run_tests.c $(OUT)/libscsdir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) -Itest
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) -Itest
+$(OUT)/run_tests_mkl: test/run_tests.c $(OUT)/libscsmkl.a
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(MKLFLAGS) -Itest
+
 
 .PHONY: test_gpu
 test_gpu: $(OUT)/run_tests_gpu_indirect # $(OUT)/run_tests_gpu_direct
 
+.PHONY: mkl
+mkl: mklroot $(OUT)/libscsmkl.a $(OUT)/libscsmkl.$(SHARED) $(OUT)/run_tests_mkl $(OUT)/demo_socp_mkl
+mklroot:
+ifndef MKLROOT
+	$(error MKLROOT is undefined, set MKLROOT to the MKL install location)
+endif
+
+
 $(OUT)/run_tests_gpu_indirect: test/run_tests.c $(OUT)/libscsgpuindir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS) -Itest
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS) -Itest
 
 # $(OUT)/run_tests_gpu_direct: test/run_tests.c $(OUT)/libscsgpudir.a
-# 	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS) -Itest
+# 	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS) -Itest
 
 # REQUIRES GPU AND CUDA INSTALLED
 gpu: gpu_indirect # gpu_direct
@@ -119,16 +144,16 @@ $(GPUINDIR)/private.o: $(GPUINDIR)/private.c
 
 # $(OUT)/libscsgpudir.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(GPUDIR)/private.o $(AMD_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/gpu/gpu.o
 #	 mkdir -p $(OUT)
-# 	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
+# 	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
 
 # $(OUT)/libscsgpudir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUDIR)/private.o $(AMD_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/gpu/gpu.o
 #  	mkdir -p $(OUT)
 # 	$(ARCHIVE) $@ $^
 # 	- $(RANLIB) $@
 
-$(OUT)/libscsgpuindir.$(SHARED): $(SCS_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o $(LINSYS)/gpu/gpu.o
+$(OUT)/libscsgpuindir.$(SHARED): $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o $(LINSYS)/gpu/gpu.o
 	mkdir -p $(OUT)
-	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
+	$(CC) $(CFLAGS) -shared -Wl,$(SONAME),$(@:$(OUT)/%=%) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
 
 $(OUT)/libscsgpuindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o $(LINSYS)/gpu/gpu.o
 	mkdir -p $(OUT)
@@ -136,14 +161,14 @@ $(OUT)/libscsgpuindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(GPUINDIR)/private.o $(L
 	- $(RANLIB) $@
 
 # $(OUT)/demo_socp_gpu_direct: test/random_socp_prob.c $(OUT)/libscsgpudir.a
-# 	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
+# 	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
 
 $(OUT)/demo_socp_gpu_indirect: test/random_socp_prob.c $(OUT)/libscsgpuindir.a
-	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(CULDFLAGS)
+	$(CC) $(CFLAGS) -o $@ $^ $(LDFLAGS) $(BLASLDFLAGS) $(CULDFLAGS)
 
 .PHONY: clean purge
 clean:
-	@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
+	@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
 	@rm -rf $(OUT)/*.dSYM
 	@rm -rf matlab/*.mex*
 	@rm -rf .idea

data/vendor/scs/README.md

@@ -8,7 +8,7 @@
 
 
 SCS (`splitting conic solver`) is a numerical optimization package for solving
-large-scale convex cone problems. The current version is `3.2.0`.
+large-scale convex cone problems. The current version is `3.2.6`.
 
 The full documentation is available [here](https://www.cvxgrp.org/scs/).
 

data/vendor/scs/include/glbopts.h

@@ -12,16 +12,17 @@ extern "C" {
 #define SCS(x) _scs_##x
 #endif
 
-/* SCS VERSION NUMBER ----------------------------------------------    */
+/* SCS VERSION NUMBER ----------------------------------------------     */
 /* string literals automatically null-terminated */
-#define SCS_VERSION ("3.2.0")
+#define SCS_VERSION ("3.2.6")
 
 /* verbosity level */
 #ifndef VERBOSITY
 #define VERBOSITY (0)
 #endif
 
-/* DEFAULT SOLVER PARAMETERS AND SETTINGS --------------------------    */
+/* DEFAULT SOLVER PARAMETERS AND SETTINGS --------------------------     */
+/* If you update any of these you must update the documentation manually */
 #define MAX_ITERS (100000)
 #define EPS_REL (1E-4)
 #define EPS_ABS (1E-4)
@@ -38,15 +39,15 @@ extern "C" {
 #define WRITE_DATA_FILENAME (0)
 #define LOG_CSV_FILENAME (0)
 #define TIME_LIMIT_SECS (0.)
-
-/* redefine printfs and memory allocators as needed */
+/* Tolerance to check negativity condition for infeasibility */
+#define INFEAS_NEGATIVITY_TOL (1e-9)
+/* redefine printfs as needed */
+#if NO_PRINTING > 0     /* Disable all printing */
+#define scs_printf(...) /* No-op */
+#else
 #ifdef MATLAB_MEX_FILE
 #include "mex.h"
 #define scs_printf mexPrintf
-#define scs_free mxFree
-#define scs_malloc mxMalloc
-#define scs_calloc mxCalloc
-#define scs_realloc mxRealloc
 #elif defined PYTHON
 #include <Python.h>
 /* see:
@@ -58,6 +59,27 @@ extern "C" {
     PySys_WriteStdout(__VA_ARGS__);                                            \
     PyGILState_Release(gilstate);                                              \
   }
+#elif defined R_LANG
+#include <R_ext/Print.h> /* Rprintf etc */
+#include <stdio.h>
+#include <stdlib.h>
+#define scs_printf Rprintf
+#else
+#include <stdio.h>
+#include <stdlib.h>
+#define scs_printf printf
+#endif
+#endif
+
+/* redefine memory allocators as needed */
+#ifdef MATLAB_MEX_FILE
+#include "mex.h"
+#define scs_free mxFree
+#define scs_malloc mxMalloc
+#define scs_calloc mxCalloc
+#define scs_realloc mxRealloc
+#elif defined PYTHON
+#include <Python.h>
 #if PY_MAJOR_VERSION >= 3
 #define scs_free PyMem_RawFree
 #define scs_malloc PyMem_RawMalloc
@@ -74,10 +96,8 @@ static inline void *scs_calloc(size_t count, size_t size) {
 }
 #endif
 #elif defined R_LANG
-#include <R_ext/Print.h> /* Rprintf etc */
 #include <stdio.h>
 #include <stdlib.h>
-#define scs_printf Rprintf
 #define scs_free free
 #define scs_malloc malloc
 #define scs_calloc calloc
@@ -85,7 +105,6 @@ static inline void *scs_calloc(size_t count, size_t size) {
 #else
 #include <stdio.h>
 #include <stdlib.h>
-#define scs_printf printf
 #define scs_free free
 #define scs_malloc malloc
 #define scs_calloc calloc
@@ -144,8 +163,9 @@ static inline void *scs_calloc(size_t count, size_t size) {
 /* how many iterations between heuristic residual rescaling */
 #define RESCALING_MIN_ITERS (100)
 
-#define EPS_TOL (1E-18)
-#define SAFEDIV_POS(X, Y) ((Y) < EPS_TOL ? ((X) / EPS_TOL) : (X) / (Y))
+#define _DIV_EPS_TOL (1E-18)
+#define SAFEDIV_POS(X, Y)                                                      \
+  ((Y) < _DIV_EPS_TOL ? ((X) / _DIV_EPS_TOL) : (X) / (Y))
 
 #if VERBOSITY > 0
 #define PRINT_INTERVAL (1)

data/vendor/scs/include/linsys.h

@@ -23,15 +23,15 @@ extern "C" {
  *  @return            Linear system solver workspace.
  *
  */
-ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P,
-                                      const scs_float *diag_r);
+ScsLinSysWork *scs_init_lin_sys_work(const ScsMatrix *A, const ScsMatrix *P,
+                                     const scs_float *diag_r);
 
 /**
  * Frees `ScsLinSysWork` structure and associated allocated memory.
  *
  *  @param  w    Linear system private workspace.
  */
-void SCS(free_lin_sys_work)(ScsLinSysWork *w);
+void scs_free_lin_sys_work(ScsLinSysWork *w);
 
 /**
  * Solves the linear system as required by SCS at each iteration:
@@ -48,11 +48,11 @@ void SCS(free_lin_sys_work)(ScsLinSysWork *w);
  *  @param  b    Right hand side, contains solution at the end.
  *  @param  s    Contains warm-start (may be NULL).
  *  @param  tol  Tolerance required for the system solve.
- *  @return status < 0 indicates failure.
+ *  @return status != 0 indicates failure.
  *
  */
-scs_int SCS(solve_lin_sys)(ScsLinSysWork *w, scs_float *b, const scs_float *s,
-                           scs_float tol);
+scs_int scs_solve_lin_sys(ScsLinSysWork *w, scs_float *b, const scs_float *s,
+                          scs_float tol);
 /**
  *  Update the linsys workspace when `R` is changed. For example, a
  *  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,
  *  @param  new_diag_r    Updated `diag_r`, diagonal entries of R.
  *
  */
-void SCS(update_lin_sys_diag_r)(ScsLinSysWork *w, const scs_float *new_diag_r);
+void scs_update_lin_sys_diag_r(ScsLinSysWork *w, const scs_float *new_diag_r);
 
 /**
  * Name of the linear solver.
  *
  * @return name of method.
  */
-const char *SCS(get_lin_sys_method)(void);
+const char *scs_get_lin_sys_method(void);
 
 #ifdef __cplusplus
 }

data/vendor/scs/include/scs.h

@@ -1,5 +1,9 @@
-/* This file contains the outward facing SCS API. */
-/* It includes all the input/output data structs and the API functions. */
+/*
+ * Public header containing the outward facing SCS API. It includes all the
+ * input/output data structs and the API functions.  Make sure this file and
+ * `scs_types.h` are somewhere appropriate and then use `#include "scs.h"` to
+ * access the SCS public API.
+ */
 
 #ifndef SCS_H_GUARD
 #define SCS_H_GUARD

data/vendor/scs/include/scs_blas.h

@@ -17,8 +17,10 @@ extern "C" {
 /* single or double precision */
 #ifndef SFLOAT
 #define BLAS(x) d##x
+#define BLASI(x) id##x
 #else
 #define BLAS(x) s##x
+#define BLASI(x) is##x
 #endif
 #else
 /* this extra indirection is needed for BLASSUFFIX to work correctly as a
@@ -28,8 +30,10 @@ extern "C" {
 /* single or double precision */
 #ifndef SFLOAT
 #define BLAS(x) stitch__(d, x, BLASSUFFIX)
+#define BLASI(x) stitch__(id, x, BLASSUFFIX)
 #else
 #define BLAS(x) stitch__(s, x, BLASSUFFIX)
+#define BLASI(x) stitch__(is, x, BLASSUFFIX)
 #endif
 #endif
 

data/vendor/scs/include/scs_types.h

@@ -1,5 +1,7 @@
 /*
- * Definitions of primitive types used in SCS.
+ * Pulic header including definitions of primitive types used in SCS.
+ * Make sure this file and `scs.h` are somewhere appropriate and then use
+ * `#include "scs.h"` to access the SCS public API.
  */
 
 #ifndef SCS_TYPES_H_GUARD

data/vendor/scs/include/scs_work.h

@@ -54,14 +54,15 @@ struct SCS_WORK {
   scs_float *g;                  /* g = (I + M)^{-1} h */
   scs_float *lin_sys_warm_start; /* linear system warm-start (indirect only) */
   scs_float *diag_r; /* vector of R matrix diagonals (affects cone proj) */
-  scs_float *b_orig, *c_orig; /* original unnormalized b and c vectors */
-  AaWork *accel;              /* struct for acceleration workspace */
-  ScsData *d;                 /* Problem data deep copy NORMALIZED */
-  ScsCone *k;                 /* Problem cone deep copy */
-  ScsSettings *stgs;          /* contains solver settings specified by user */
-  ScsLinSysWork *p;           /* struct populated by linear system solver */
-  ScsScaling *scal;           /* contains the re-scaling data */
-  ScsConeWork *cone_work;     /* workspace for the cone projection step */
+  scs_float *b_orig, *c_orig;     /* original unnormalized b and c vectors */
+  scs_float nm_b_orig, nm_c_orig; /* unnormalized NORM(b), NORM(c) */
+  AaWork *accel;                  /* struct for acceleration workspace */
+  ScsData *d;                     /* Problem data deep copy NORMALIZED */
+  ScsCone *k;                     /* Problem cone deep copy */
+  ScsSettings *stgs;      /* contains solver settings specified by user */
+  ScsLinSysWork *p;       /* struct populated by linear system solver */
+  ScsScaling *scal;       /* contains the re-scaling data */
+  ScsConeWork *cone_work; /* workspace for the cone projection step */
   /* normalized and unnormalized residuals */
   ScsResiduals *r_orig, *r_normalized;
   /* track x,y,s as alg progresses, tau *not* divided out */

data/vendor/scs/include/util.h

@@ -11,7 +11,7 @@ extern "C" {
 #include <stdlib.h>
 
 /* timing code courtesy of A. Domahidi */
-#if (defined NOTIMER)
+#if (defined NO_TIMER)
 typedef void *SCS(timer);
 #elif (defined _WIN32 || defined _WIN64 || defined _WINDLL)
 /* Use Windows QueryPerformanceCounter for timing */