scs 0.2.3 → 0.3.0

checksums.yaml

@@ -1,7 +1,7 @@
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data/CHANGELOG.md

@@ -1,3 +1,7 @@
+## 0.3.0 (2021-10-05)
+
+- Updated SCS to 3.0.0
+
 ## 0.2.3 (2021-09-09)
 
 - Updated SCS to 2.1.4

data/README.md

@@ -39,16 +39,21 @@ Default values shown
 ```ruby
 solver.solve(data, cone, {
   normalize: true,            # heuristic data rescaling
-  scale: 1.0,                 # if normalized, rescales by this factor
-  rho_x: 1e-3,                # x equality constraint scaling
-  max_iters: 5000,            # maximum iterations to take
-  eps: 1e-5,                  # convergence tolerance
+  scale: 0.1,                 # if normalized, rescales by this factor
+  adaptive_scale: true,       # heuristically adapt dual scale through the solve
+  rho_x: 1e-6,                # x equality constraint scaling
+  max_iters: 1e5,             # maximum iterations to take
+  eps_abs: 1e-4,              # absolute feasibility tolerance
+  eps_rel: 1e-4,              # relative feasibility tolerance
+  eps_infeas: 1e-7,           # infeasibility tolerance
   alpha: 1.5,                 # relaxation parameter
-  cg_rate: 2.0,               # for indirect, tolerance goes down like (1/iter)^cg_rate
+  time_limit_secs: nil,       # time limit for solve run in seconds
   verbose: true,              # write out progress
   warm_start: false,          # warm start
   acceleration_lookback: 10,  # memory for acceleration
-  write_data_filename: nil    # filename to write data if set
+  acceleration_interval: 10,  # iterations to run Anderson acceleration
+  write_data_filename: nil,   # filename to write data if set
+  log_csv_filename: nil       # write csv logs of various quantities
 })
 ```
 

data/lib/scs/ffi.rb

@@ -41,14 +41,17 @@ module SCS
           "scs_int m",
           "scs_int n",
           "ScsMatrix *a",
+          "ScsMatrix *p",
           "scs_float *b",
           "scs_float *c",
-          "ScsSettings *stgs"
         ]
 
         m::Cone = struct [
-          "scs_int f",
+          "scs_int z",
           "scs_int l",
+          "scs_float *bu",
+          "scs_float *bl",
+          "scs_int *bsize",
           "scs_int *q",
           "scs_int qsize",
           "scs_int *s",
@@ -67,31 +70,45 @@ module SCS
 
         m::Info = struct [
           "scs_int iter",
-          "char status[32]",
+          "char status[128]",
           "scs_int status_val",
+          "scs_int scale_updates",
           "scs_float pobj",
           "scs_float dobj",
           "scs_float res_pri",
           "scs_float res_dual",
+          "scs_float gap",
           "scs_float res_infeas",
-          "scs_float res_unbdd",
-          "scs_float rel_gap",
+          "scs_float res_unbdd_a",
+          "scs_float res_unbdd_p",
           "scs_float setup_time",
-          "scs_float solve_time"
+          "scs_float solve_time",
+          "scs_float scale",
+          "scs_float comp_slack",
+          "scs_int rejected_accel_steps",
+          "scs_int accepted_accel_steps",
+          "scs_float lin_sys_time",
+          "scs_float cone_time",
+          "scs_float accel_time"
         ]
 
         m::Settings = struct [
           "scs_int normalize",
           "scs_float scale",
+          "scs_int adaptive_scale",
           "scs_float rho_x",
           "scs_int max_iters",
-          "scs_float eps",
+          "scs_float eps_abs",
+          "scs_float eps_rel",
+          "scs_float eps_infeas",
           "scs_float alpha",
-          "scs_float cg_rate",
+          "scs_float time_limit_secs",
           "scs_int verbose",
           "scs_int warm_start",
           "scs_int acceleration_lookback",
-          "const char* write_data_filename"
+          "scs_int acceleration_interval",
+          "const char* write_data_filename",
+          "const char *log_csv_filename"
         ]
 
         m::Matrix = struct [
@@ -103,14 +120,14 @@ module SCS
         ]
 
         # scs.h
-        extern "ScsWork *scs_init(const ScsData *d, const ScsCone *k, ScsInfo *info)"
-        extern "scs_int scs_solve(ScsWork *w, const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsInfo *info)"
+        extern "ScsWork *scs_init(const ScsData *d, const ScsCone *k, const ScsSettings *stgs)"
+        extern "scs_int scs_solve(ScsWork *w, ScsSolution *sol, ScsInfo *info)"
         extern "void scs_finish(ScsWork *w)"
-        extern "scs_int scs(const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsInfo *info)"
+        extern "scs_int scs(const ScsData *d, const ScsCone *k, const ScsSettings *stgs, ScsSolution *sol, ScsInfo *info)"
         extern "const char *scs_version(void)"
 
         # utils.h
-        extern "void scs_set_default_settings(ScsData *d)"
+        extern "void scs_set_default_settings(ScsSettings *stgs)"
       end
     end
   end

data/lib/scs/solver.rb

@@ -6,13 +6,13 @@ module SCS
 
     def solve(data, cone, **settings)
       cdata = create_data(data)
-      set_settings(cdata, settings)
+      settings = create_settings(settings)
       ccone = create_cone(cone)
 
       solution = calloc(ffi::Solution.size) # alloc clear memory
       info = ffi::Info.malloc
 
-      ffi.scs(cdata, ccone, solution, info)
+      ffi.scs(cdata, ccone, settings, solution, info)
 
       solution = ffi::Solution.new(solution)
       x = read_float_array(solution.x, cdata.n)
@@ -26,15 +26,24 @@ module SCS
         iter: info.iter,
         status: read_string(info.status),
         status_val: info.status_val,
+        scale_updates: info.scale_updates,
         pobj: info.pobj,
         dobj: info.dobj,
         res_pri: info.res_pri,
         res_dual: info.res_dual,
+        gap: info.gap,
         res_infeas: info.res_infeas,
-        res_unbdd: info.res_unbdd,
-        rel_gap: info.rel_gap,
+        res_unbdd_a: info.res_unbdd_a,
+        res_unbdd_p: info.res_unbdd_p,
         setup_time: info.setup_time,
-        solve_time: info.solve_time
+        solve_time: info.solve_time,
+        scale: info.scale,
+        comp_slack: info.comp_slack,
+        rejected_accel_steps: info.rejected_accel_steps,
+        accepted_accel_steps: info.accepted_accel_steps,
+        lin_sys_time: info.lin_sys_time,
+        cone_time: info.cone_time,
+        accel_time: info.accel_time
       }
     end
 
@@ -114,15 +123,30 @@ module SCS
       cdata.m = m
       cdata.n = n
       cdata.a = csc_matrix(data[:a])
+
+      if data[:p]
+        raise ArgumentError, "Bad p shape" if shape(data[:p]) != [n, n]
+        cdata.p = csc_matrix(data[:p])
+      end
+
+      raise ArgumentError, "Bad b size" if data[:b].to_a.size != m
       cdata.b = float_array(data[:b])
+
+      raise ArgumentError, "Bad c size" if data[:c].to_a.size != n
       cdata.c = float_array(data[:c])
       cdata
     end
 
     def create_cone(cone)
       ccone = ffi::Cone.malloc
-      ccone.f = cone[:f].to_i
+      ccone.z = cone[:z].to_i
       ccone.l = cone[:l].to_i
+      ccone.bu = float_array(cone[:bu])
+      ccone.bl = float_array(cone[:bl])
+      if cone[:bu].to_a.size != cone[:bl].to_a.size
+        raise ArgumentError, "Expected bu and bl size to match"
+      end
+      ccone.bsize = cone[:bu].to_a.size
       ccone.q = int_array(cone[:q])
       ccone.qsize = cone[:q].to_a.size
       ccone.s = int_array(cone[:s])
@@ -134,10 +158,9 @@ module SCS
       ccone
     end
 
-    def set_settings(data, settings)
+    def create_settings(settings)
       set = ffi::Settings.malloc
-      data.stgs = set
-      ffi.scs_set_default_settings(data)
+      ffi.scs_set_default_settings(set)
 
       # hack for setting members with []=
       # safer than send("#{k}=", v)

data/lib/scs/version.rb

@@ -1,3 +1,3 @@
 module SCS
-  VERSION = "0.2.3"
+  VERSION = "0.3.0"
 end

data/vendor/scs/CITATION.cff

@@ -0,0 +1,39 @@
+cff-version: 1.2.0
+message: "If you use this software, please cite it as below."
+authors:
+- family-names: "O'Donoghue"
+  given-names: "Brendan"
+- family-names: "Chu"
+  given-names: "Eric"
+- family-names: "Parikh"
+  given-names: "Neal"
+- family-names: "Boyd"
+  given-names: "Stephen"
+title: "SCS: Spltting Conic Solver"
+version: 3.0.0
+date-released: 2021
+url: "https://github.com/cvxgrp/scs"
+
+# Original SCS paper:
+preferred-citation:
+  type: article
+  authors:
+  - family-names: "O'Donoghue"
+    given-names: "Brendan"
+  - family-names: "Chu"
+    given-names: "Eric"
+  - family-names: "Parikh"
+    given-names: "Neal"
+  - family-names: "Boyd"
+    given-names: "Stephen"
+  journal: "Journal of Optimization Theory and Applications"
+  month: 6
+  start: 1042  # Start pages
+  end: 1068  # End pages
+  title: "Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding"
+  issue: 3
+  volume: 169
+  year: 2016
+  doi: 10.1007/s10957-016-0892-3
+  url: https://dx.doi.org/10.1007/s10957-016-0892-3
+

data/vendor/scs/CMakeLists.txt

@@ -107,7 +107,8 @@ set(${PROJECT_NAME}_SRC
   src/scs.c
   src/scs_version.c
   src/util.c
-  ${LINSYS}/amatrix.c)
+  ${LINSYS}/csparse.c
+  ${LINSYS}/scs_matrix.c)
 
 # Common header files
 set(${PROJECT_NAME}_HDR
@@ -122,7 +123,8 @@ set(${PROJECT_NAME}_HDR
   include/scs.h
   include/scs_blas.h
   include/util.h
-  ${LINSYS}/amatrix.h)
+  ${LINSYS}/csparse.h
+  ${LINSYS}/scs_matrix.h)
 
 # get all the c file in amd/external
 file(GLOB ${PROJECT_NAME}_AMD_EXTERNAL_SRC
@@ -160,7 +162,7 @@ target_include_directories(${${PROJECT_NAME}_DIRECT} PUBLIC
   "$<INSTALL_INTERFACE:${CMAKE_INSTALL_INCLUDEDIR}/scs>")
 
 # Compiled with blas and lapack, can solve LPs, SOCPs, SDPs, ECPs, and PCPs
-target_compile_definitions(${${PROJECT_NAME}_DIRECT} PRIVATE -DUSE_LAPACK)
+target_compile_definitions(${${PROJECT_NAME}_DIRECT} PRIVATE -DUSE_LAPACK -DCOPYAMATRIX -DCTRLC)
 
 # The library depends on math (m) blas and lapack
 target_link_libraries(${${PROJECT_NAME}_DIRECT} PRIVATE
@@ -194,11 +196,8 @@ add_library(${${PROJECT_NAME}_INDIRECT}
   ${${PROJECT_NAME}_HDR}
   ${${PROJECT_NAME}_SRC}
   ${INDIRSRC}/private.c
+  ${INDIRSRC}/private.h
   ${${${PROJECT_NAME}_INDIRECT}_HDR}
-  ${EXTERNAL}/qdldl/qdldl.c
-  ${${PROJECT_NAME}_AMD_EXTERNAL_SRC}
-  ${${PROJECT_NAME}_AMD_EXTERNAL_HDR}
-  ${${PROJECT_NAME}_LDL_EXTERNAL_SRC}
   )
 
 
@@ -210,7 +209,7 @@ target_include_directories(${${PROJECT_NAME}_INDIRECT} PUBLIC
   "$<INSTALL_INTERFACE:${CMAKE_INSTALL_INCLUDEDIR}/scs>")
 
 # Compiled with blas and lapack, can solve LPs, SOCPs, SDPs, ECPs, and PCPs
-target_compile_definitions(${${PROJECT_NAME}_INDIRECT} PRIVATE -DUSE_LAPACK)
+target_compile_definitions(${${PROJECT_NAME}_INDIRECT} PRIVATE -DUSE_LAPACK -DCOPYAMATRIX -DCTRLC -DINDIRECT)
 
 # The library depends on math (m) blas and lapack
 target_link_libraries(${${PROJECT_NAME}_INDIRECT} PUBLIC

data/vendor/scs/Makefile

@@ -1,7 +1,9 @@
 # MAKEFILE for scs
 include scs.mk
 
-SCS_OBJECTS = src/scs.o 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/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
 
 SRC_FILES = $(wildcard src/*.c)
 INC_FILES = $(wildcard include/*.h)
@@ -17,7 +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 '$(OUT)/demo_socp_indirect' to solve a random SOCP."
+	@echo "To test, type '$(OUT)/demo_socp_direct' to solve a random SOCP."
 	@echo "**********************************************************************************"
 ifneq ($(USE_LAPACK), 0)
 	@echo "Compiled with blas and lapack, can solve LPs, SOCPs, SDPs, ECPs, and PCPs"
@@ -28,38 +30,43 @@ else
 endif
 	@echo "****************************************************************************************"
 
+$(SCS_O): src/scs.c $(INC_FILES)
+	$(CC) $(CFLAGS) -c $< -o $@
+
+$(SCS_INDIR_O): src/scs.c $(INC_FILES)
+	$(CC) $(CFLAGS) -DINDIRECT=1 -c $< -o $@
+
 %.o : src/%.c
 	$(CC) $(CFLAGS) -c $< -o $@
 
-src/scs.o	: $(SRC_FILES) $(INC_FILES)
 src/util.o	: src/util.c include/util.h include/glbopts.h
 src/cones.o	: src/cones.c include/cones.h include/scs_blas.h
 src/aa.o	: src/aa.c include/aa.h include/scs_blas.h
 src/rw.o	: src/rw.c include/rw.h
-src/cs.o	: src/cs.c include/cs.h
 src/linalg.o: src/linalg.c include/linalg.h
 src/ctrl.o  : src/ctrl.c include/ctrl.h
 src/scs_version.o: src/scs_version.c include/glbopts.h
 
 $(DIRSRC)/private.o: $(DIRSRC)/private.c  $(DIRSRC)/private.h
 $(INDIRSRC)/indirect/private.o: $(INDIRSRC)/private.c $(INDIRSRC)/private.h
-$(LINSYS)/amatrix.o: $(LINSYS)/amatrix.c $(LINSYS)/amatrix.h
+$(LINSYS)/scs_matrix.o: $(LINSYS)/scs_matrix.c $(LINSYS)/scs_matrix.h
+$(LINSYS)/csparse.o: $(LINSYS)/csparse.c $(LINSYS)/csparse.h
 
-$(OUT)/libscsdir.a: $(SCS_OBJECTS) $(DIRSRC)/private.o $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/amatrix.o
+$(OUT)/libscsdir.a: $(SCS_O) $(SCS_OBJECTS) $(DIRSRC)/private.o $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
 	mkdir -p $(OUT)
 	$(ARCHIVE) $@ $^
 	- $(RANLIB) $@
 
-$(OUT)/libscsindir.a: $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINSYS)/amatrix.o
+$(OUT)/libscsindir.a: $(SCS_INDIR_O) $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINSYS)/scs_matrix.o $(LINSYS)/csparse.o
 	mkdir -p $(OUT)
 	$(ARCHIVE) $@ $^
 	- $(RANLIB) $@
 
-$(OUT)/libscsdir.$(SHARED): $(SCS_OBJECTS) $(DIRSRC)/private.o $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/amatrix.o
+$(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)
 
-$(OUT)/libscsindir.$(SHARED): $(SCS_OBJECTS) $(INDIRSRC)/private.o $(LINSYS)/amatrix.o
+$(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)
 
@@ -110,20 +117,20 @@ $(LINSYS)/gpu/gpu.o: $(LINSYS)/gpu/gpu.c
 $(GPUINDIR)/private.o: $(GPUINDIR)/private.c
 	$(CUCC) -c -o $(GPUINDIR)/private.o $^ $(CUDAFLAGS)
 
-# $(OUT)/libscsgpudir.$(SHARED): $(SCS_OBJECTS) $(GPUDIR)/private.o $(AMD_OBJS) $(LINSYS)/amatrix.o $(LINSYS)/gpu/gpu.o
+# $(OUT)/libscsgpudir.$(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)
 
-# $(OUT)/libscsgpudir.a: $(SCS_OBJECTS) $(GPUDIR)/private.o $(AMD_OBJS) $(LINSYS)/amatrix.o $(LINSYS)/gpu/gpu.o
+# $(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_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/amatrix.o $(LINSYS)/gpu/gpu.o
+$(OUT)/libscsgpuindir.$(SHARED): $(SCS_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)
 
-$(OUT)/libscsgpuindir.a: $(SCS_OBJECTS) $(GPUINDIR)/private.o $(LINSYS)/amatrix.o $(LINSYS)/gpu/gpu.o
+$(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)
 	$(ARCHIVE) $@ $^
 	- $(RANLIB) $@
@@ -136,7 +143,7 @@ $(OUT)/demo_socp_gpu_indirect: test/random_socp_prob.c $(OUT)/libscsgpuindir.a
 
 .PHONY: clean purge
 clean:
-	@rm -rf $(TARGETS) $(SCS_OBJECTS) $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/*.o $(DIRSRC)/*.o $(INDIRSRC)/*.o $(GPUDIR)/*.o $(GPUINDIR)/*.o
+	@rm -rf $(TARGETS) $(SCS_O) $(SCS_INDIR_O) $(SCS_OBJECTS) $(AMD_OBJS) $(LDL_OBJS) $(LINSYS)/*.o $(DIRSRC)/*.o $(INDIRSRC)/*.o $(GPUDIR)/*.o $(GPUINDIR)/*.o
 	@rm -rf $(OUT)/*.dSYM
 	@rm -rf matlab/*.mex*
 	@rm -rf .idea
@@ -153,7 +160,7 @@ INSTALL_GPU_TARGETS = $(OUT)/libscsgpuindir.a $(OUT)/libscsgpuindir.$(SHARED) #
 INSTALL_INC_DIR = $(DESTDIR)$(PREFIX)/include/scs/
 INSTALL_LIB_DIR = $(DESTDIR)$(PREFIX)/lib/
 
-.PHONY: install install_gpu
+.PHONY: install install_gpu direct indirect
 install: $(INSTALL_INC_FILES) $(INSTALL_TARGETS)
 	$(INSTALL) -d $(INSTALL_INC_DIR) $(INSTALL_LIB_DIR)
 	$(INSTALL) -m 644 $(INSTALL_INC_FILES) $(INSTALL_INC_DIR)
@@ -162,3 +169,5 @@ install_gpu: $(INSTALL_INC_FILES) $(INSTALL_GPU_TARGETS)
 	$(INSTALL) -d $(INSTALL_INC_DIR) $(INSTALL_LIB_DIR)
 	$(INSTALL) -m 644 $(INSTALL_INC_FILES) $(INSTALL_INC_DIR)
 	$(INSTALL) -m 644 $(INSTALL_GPU_TARGETS) $(INSTALL_LIB_DIR)
+direct:$(OUT)/libscsdir.$(SHARED) $(OUT)/demo_socp_direct $(OUT)/run_from_file_direct $(OUT)/run_tests_direct
+indirect:$(OUT)/libscsindir.$(SHARED) $(OUT)/demo_socp_indirect $(OUT)/run_from_file_indirect $(OUT)/run_tests_indirect