casadi 3.6.4__cp35-none-manylinux2010_x86_64.whl → 3.6.6__cp35-none-manylinux2010_x86_64.whl

casadi/include/include/superscs/scs.h

@@ -1,656 +0,0 @@
-/*
- * The MIT License (MIT)
- *
- * Copyright (c) 2017 Pantelis Sopasakis (https://alphaville.github.io),
- *                    Krina Menounou (https://www.linkedin.com/in/krinamenounou), 
- *                    Panagiotis Patrinos (http://homes.esat.kuleuven.be/~ppatrino)
- * Copyright (c) 2012 Brendan O'Donoghue (bodonoghue85@gmail.com)
- *
- * Permission is hereby granted, free of charge, to any person obtaining a copy
- * of this software and associated documentation files (the "Software"), to deal
- * in the Software without restriction, including without limitation the rights
- * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
- * copies of the Software, and to permit persons to whom the Software is
- * furnished to do so, subject to the following conditions:
- *
- * The above copyright notice and this permission notice shall be included in all
- * copies or substantial portions of the Software.
- *
- * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
- * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
- * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
- * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
- * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
- * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
- * SOFTWARE.
- * 
- */
-#ifndef SCS_H_GUARD
-#define SCS_H_GUARD
-
-#include "glbopts.h"
-#include <string.h>
-#include "cones.h"
-#include "linAlg.h"
-#include "linSys.h"
-#include "util.h"
-#include "ctrlc.h"
-#include "constants.h"
-#include <math.h>
-#include <stdio.h>
-#include "scs_blas.h"
-
-#ifdef __cplusplus
-extern "C" {
-#endif
-
-   
-
-    /**
-     * \brief Memory for the computation of directions (Broyden and Anderson's methods).
-     * 
-     * For Broyden's method, a cache of \f$(s_i, u_i)\f$ where 
-     * \f$u_i = \frac{s_i - \tilde{s}_i}{\langle s_i, \tilde{s}_i\rangle}\f$.
-     * We do not need to store past values of \f$\tilde{s}_i\f$.
-     * 
-     * For Anderson's acceleration, it stores pairs \f$(s_i, y_i)\f$.
-     * 
-     * 
-     */
-    struct scs_direction_cache {
-        scs_float *S; /**< \brief cached values of \f$s_i\f$ (s-memory) */
-        scs_float *U; /**< \brief cached values of \f$u_i = \frac{s_i - \tilde{s}_i}{\langle s_i, \tilde{s}_i\rangle}\f$, or cached values of \f$y_i\f$ */
-        scs_float *S_minus_Y; /**< \brief The difference \f$S-Y\f$ (for Anderson's acceleration) */
-        scs_float *t; /**< \brief Solution of the linear system \f$Yt = R(x)\f$ */
-        scs_int ls_wspace_length; /**< \brief Length of workspace used to solve Anderson's linear system */
-        scs_float * ls_wspace; /**< \brief Workspace used to solve Anderson's linear system */
-        scs_int mem_cursor; /**< \brief current memory cursor [0..mem-1] */
-        scs_int mem; /**< \brief (target/maximum/allocated) memory */
-        scs_int current_mem; /**< \brief current memory length */
-    };
-
-    /**
-     *  \brief Workspace for SCS 
-     */
-    struct scs_work {
-        /**
-         *  \brief Row dimension of \f$A\f$. 
-         */
-        scs_int m;
-        /**
-         *  \brief Column dimension of \f$A\f$.
-         */
-        scs_int n;
-        /**
-         *  \brief Dimension of \f$u_k\f$, that is \f$l = m + n + 1\f$ .
-         */
-        scs_int l;
-        /**
-         * \brief Vector \f$u_k=(x_k,y_k,\tau_k)\f$.
-         */
-        scs_float *RESTRICT u;
-        /**
-         * \brief Vector \f$v_k = Qu_k\f$ (used only in SCS, not in SuperSCS).
-         */
-        scs_float *RESTRICT v;
-        /**
-         * \brief Vector \f$\tilde{u}_k\f$.
-         */
-        scs_float *RESTRICT u_t;
-        /**
-         * \brief Vector \f$u_{k-1}\f$ of the previous iteration.
-         */
-        scs_float *RESTRICT u_prev;
-        /**
-         * \brief Vector \f$\bar{u}_k\f$.
-         */
-        scs_float *RESTRICT u_b;
-        /**
-         * \brief Auxiliary variable used in projections on linear spaces.
-         */
-        scs_float *RESTRICT h;
-        /**
-         * \brief Auxiliary variable of dimension \f$l-1\f$ used in projections on linear spaces.
-         */
-        scs_float *RESTRICT g;
-        /**
-         * \brief Primal residual vector
-         * 
-         * \f[
-         *  \text{pr} = A x + s - b \tau,
-         * \f]
-         * and in SuperSCS, \f$x\f$ is \f$\bar{x}\f$, \f$s\f$ is \f$\bar{s}\f$
-         * and \f$\tau\f$ is \f$\bar{\tau}\f$
-         */
-        scs_float *RESTRICT pr;
-        /**
-         * \brief Dual residual vector
-         * 
-         * \f[
-         *  \text{dr} = A'y + c \tau,
-         * \f]
-         * and in SuperSCS, \f$y\f$ is \f$\bar{y}\f$ and \f$\tau\f$ is \f$\bar{\tau}\f$.
-         */
-        scs_float *RESTRICT dr;
-        /**  
-         * \brief The (possibly normalized) vector \f$b\f$.
-         */
-        scs_float *RESTRICT b;
-        /**  
-         * \brief The (possibly normalized) vector \f$c\f$.
-         */
-        scs_float *RESTRICT c;
-        /**  
-         * \brief Fixed-point residual \f$R_k\f$.
-         */
-        scs_float *RESTRICT R;
-        /**  
-         * \brief Fixed-point residual (FPR) of the previous iteration \f$R_{k-1}\f$.
-         */
-        scs_float *RESTRICT R_prev;
-        /**
-         * \brief Direction \f$d_k\f$
-         */
-        scs_float *RESTRICT dir;
-        /**
-         * \brief Hessian approximation used by the full Broyden method.
-         * 
-         * @see ::full_broyden
-         */
-        scs_float *RESTRICT H;
-        /** 
-         * \brief Direction corresponding to \f$\tilde{u}\f$.
-         */
-        scs_float *RESTRICT dut;
-        /**
-         * \brief Variable \f$w_u\f$.
-         */
-        scs_float *RESTRICT wu;
-        /**
-         * \brief Variable \f$\tilde{w}_u\f$.
-         */
-        scs_float *RESTRICT wu_t;
-        /**
-         * \brief Variable \f$\bar{w}_u\f$.
-         */
-        scs_float *RESTRICT wu_b;
-        /**
-         * \brief Vector \f$R(w_u)\f$ from line search.
-         */
-        scs_float *RESTRICT Rwu;
-        /** 
-         * \brief \f$\|Ru_k\|\f$. 
-         */
-        scs_float nrmR_con;
-        /**
-         *  \brief \f$s_k = u_k - u_{k-1}\f$ 
-         */
-        scs_float *RESTRICT Sk;
-        /** 
-         * \brief \f$y_k = R_k - R_{k-1}\f$ 
-         */
-        scs_float *RESTRICT Yk;
-        /** 
-         * \brief The current stepsize \f$t_k\f$
-         */
-        scs_float stepsize;
-        /** 
-         * \brief Variable that corresponds to the primal slack for the 2nd step of DRS 
-         */
-        scs_float *RESTRICT s_b;
-        /**
-         * \brief Auxiliary variable.
-         */
-        scs_float gTh;
-        /**
-         * \brief Scaling factor corresponding to \f$b\f$
-         */
-        scs_float sc_b;
-        /**
-         * \brief Scaling factor corresponding to \f$c\f$
-         */
-        scs_float sc_c;
-        /**
-         * \brief Norm of \f$b\f$
-         */
-        scs_float nm_b;
-        /**
-         * \brief Norm of \f$c\f$
-         */
-        scs_float nm_c;
-        /** 
-         * \brief Variable for certificates of infeasibility/unboudedness 
-         */
-        scs_float kap_b;
-        /**
-         *  \brief The (possibly normalized) \c A matrix 
-         */
-        ScsAMatrix * A;
-        /** 
-         * \brief struct populated by linear system solver 
-         */
-        ScsPrivWorkspace *RESTRICT p;
-        /** 
-         * \brief contains solver settings specified by user 
-         */
-        ScsSettings *RESTRICT stgs;
-        /**
-         * \brief contains the re-scaling data 
-         */
-        ScsScaling *RESTRICT scal;
-        /** 
-         * \brief workspace for the cone projection step 
-         */
-        ScsConeWork *RESTRICT coneWork;
-        /**
-         * \brief A cache for the computation of Broyden or Anderson's acceleration.
-         */
-        ScsDirectionCache *RESTRICT direction_cache;
-    };
-
-    /**
-     *  \brief struct containing problem data 
-     */
-    struct scs_data {
-        /* these cannot change for multiple runs for the same call to scs_init */
-        /**
-         *  row dimension of \f$A\f$ 
-         */
-        scs_int m;
-        /**
-         *  column dimension of \f$A\f$
-         */
-        scs_int n;
-        /**
-         * Sparse matrix <code>A</code> is supplied in data format specified by 
-         * linsys solver 
-         */
-        ScsAMatrix *A;
-        /* these can change for multiple runs for the same call to scs_init */
-
-        /* dense arrays for b (size m), c (size n) */
-
-        /**
-         * Vector <code>b</code>
-         */
-        scs_float *RESTRICT b;
-        /**
-         * Vector <code>c</code>
-         */
-        scs_float *RESTRICT c;
-        /**
-         * Pointer to solver settings specified by user 
-         */
-        ScsSettings *RESTRICT stgs;
-    };
-
-    /**
-     * \brief Settings structure
-     */
-    struct scs_settings {
-        /* settings parameters: default suggested input */
-
-
-        /* -------------------------------------
-         * General Settings
-         * 
-         * these *cannot* change for multiple runs 
-         * with the same call to scs_init
-         * ------------------------------------- */
-
-        /** 
-         * Boolean, heuristic data rescaling
-         * 
-         * Default: ::SCS_NORMALIZE_DEFAULT 1
-         */
-        scs_int normalize;
-
-        /** 
-         * If normalized, rescales by this factor
-         * 
-         * Default: ::SCS_SCALE_DEFAULT 1.0 
-         */
-        scs_float scale; 
-        /** 
-         * Equality constraint scaling on \c x
-         * 
-         * Default: ::SCS_RHO_X_DEFAULT 1e-3 
-         */
-        scs_float rho_x; 
-
-
-        /* -------------------------------------
-         * General Settings
-         * 
-         * these can change for multiple runs with 
-         * the same call to scs_init
-         * ------------------------------------- */
-
-        /**
-         * Maximum time in milliseconds that the algorithm is allowed to 
-         * run.
-         * 
-         * Default: ::SCS_MAX_TIME_MILLISECONDS 5 minutes = 1.5e5 milliseconds.
-         */
-        scs_float max_time_milliseconds;
-
-        /**
-         * Maximum iterations to take.
-         * 
-         * Default: ::SCS_MAX_ITERS_DEFAULT.
-         */
-        scs_int max_iters;
-        /**
-         * Maximum iterations of the previous invocation to SCS.
-         * 
-         * Used to avoid memory leaks when recording the progress of the algorithm.
-         */
-        scs_int previous_max_iters;
-        /** 
-         * Convergence tolerance.
-         * 
-         * Default: ::SCS_EPS_DEFAULT 1e-3 
-         */
-        scs_float eps;
-        /** 
-         * Relaxation parameter.
-         * 
-         * Default: ::SCS_ALPHA_DEFAULT
-         */
-        scs_float alpha;
-        /**
-         * For indirect, tolerance goes down like <code>(1/iter)^cg_rate</code>.
-         * 
-         * Default: ::SCS_CG_RATE_DEFAULT 2.0
-         *  
-         */
-        scs_float cg_rate;
-        /** 
-         * Level of verbosity.
-         * 
-         * Three levels are supported: 0, 1 and 2.
-         * 
-         * Default: ::SCS_VERBOSE_DEFAULT 1
-         * 
-         */
-        scs_int verbose;
-        /** 
-         * Boolean, warm start (put initial guess in Sol struct): 0 
-         */
-        scs_int warm_start;
-
-        /* -------------------------------------
-         * Settings associated with SuperSCS
-         * ------------------------------------- */
-
-        scs_int do_super_scs; /**< boolean: whether to use superscs or not */
-        /** 
-         * Whether K0 (blind) steps are enabled
-         * 
-         * Default: ::SCS_K0_DEFAULT 0 
-         */
-        scs_int k0; 
-        /** 
-         * Parameter for blind updates
-         * 
-         * Default: ::SCS_C_BL_DEFAULT 0.999 
-         */
-        scs_float c_bl; 
-        /** 
-         * Whether K1 (fast) steps are enabled
-         * 
-         * Default: ::SCS_K1_DEFAULT 1
-         */
-        scs_int k1; 
-        /** 
-         * Whether K2 (safe) steps are enabled
-         * 
-         * Default: ::SCS_K2_DEFAULT 1
-         */
-        scs_int k2; 
-        /** 
-         * Parameter to check condition at K1
-         * 
-         * Default: ::SCS_C1_DEFAULT 0.9999 
-         */
-        scs_float c1; 
-        /** 
-         * Parameter to update r_safe at K1 (denoted as \f$q\f$ in the paper)
-         * 
-         * Default: ::SCS_SSE_DEFAULT 0.999
-         */
-        scs_float sse; 
-
-        /* -------------------------------------
-         * Settings associated with the line 
-         * search
-         * ------------------------------------- */
-        /** 
-         * max line-search iterations 
-         */
-        scs_int ls;
-        /**
-         * Step size reduction coefficient. 
-         * 
-         * In every line search iteration, the step size is reduced as 
-         * \f$t \leftarrow \beta t\f$.
-         * 
-         * Default: ::SCS_BETA_DEFAULT 0.5
-         */
-        scs_float beta;
-        /** 
-         * Line-search parameter 
-         * 
-         * Default: ::SCS_SIGMA_DEFAULT 0.01
-         */
-        scs_float sigma;
-
-        /* -------------------------------------
-         * Settings associated with the direction
-         * ------------------------------------- */
-        /** 
-         * Choice of direction
-         * 
-         * Default: ::anderson_acceleration
-         * 
-         * \sa #memory
-         */
-        ScsDirectionType direction;
-        /** 
-         * Modified Broyden parameter.
-         * 
-         * Default: ::SCS_THETABAR_DEFAULT 0.1
-         */
-        scs_float thetabar;
-        /** 
-         * Memory length for limited-memory Broyden or Anderson's acceleration methods
-         * 
-         * Default: ::SCS_MEMORY_DEFAULT 5
-         * 
-         * \sa #direction 
-         */
-        scs_int memory;
-        /**
-         * Option for the Broyden direction.
-         * 
-         * Default: 3
-         * 
-         * @see ::scs_compute_direction
-         */
-        scs_int tRule;
-        /**
-         * Boolean; whether an initial scaling is desired 
-         * in the full Broyden method
-         * 
-         * Default: ::SCS_BROYDEN_ISCS_SCALE_DEFAULT 1
-         */
-        scs_int broyden_init_scaling;
-        /**
-         * Whether to record progress data when running SuperSCS.
-         */
-        scs_int do_record_progress;
-
-        /**
-         * Whether to override the default output stream.
-         * 
-         * \sa #output_stream
-         */
-        scs_int do_override_streams;
-        /**
-         * \brief Output stream where progress information is printed.
-         * 
-         * \note The default value, as this is defined in ::scs_set_default_settings
-         * is <code>stdout</code>.
-         * 
-         * \note It is important to note that in order for a user-defined output
-         * stream to take effect, you need to set \ref scs_settings::do_override_streams 
-         * "do_override_streams"
-         * to <code>1</code>.
-         * 
-         * \sa #do_override_streams
-         */
-        FILE *RESTRICT output_stream;
-    };
-
-    /**
-     *  \brief Primal-dual solution arrays 
-     */
-    struct scs_solution {
-        /**
-         * Primal vector \f$x\f$
-         */
-        scs_float *RESTRICT x;
-        /**
-         * Dual vector \f$y\f$
-         */
-        scs_float *RESTRICT y;
-        /**
-         * Primal vector \f$s\f$
-         */
-        scs_float *RESTRICT s;
-    };
-
-#define SCS_INFO_STATUS_MSG_LENGTH 32
-    /**
-     *  \brief Terminating information 
-     * 
-     * \see ::scs_free_info
-     */
-    struct scs_info {
-        char status[SCS_INFO_STATUS_MSG_LENGTH]; /**< \brief status string, e.g. 'Solved' */
-        scs_int iter; /**< \brief number of iterations taken */
-        scs_int statusVal; /**< \brief status as scs_int, defined in constants.h */
-        scs_int history_length; /**< \brief how many history entries */
-        scs_int cg_total_iters; /**< \brief total CG iterations (\c -1 if not defined) */
-        scs_float pobj; /**< \brief primal objective */
-        scs_float dobj; /**< \brief dual objective */
-        scs_float resPri; /**< \brief primal equality residual */
-        scs_float resDual; /**< \brief dual equality residual */
-        scs_float resInfeas; /**< \brief infeasibility cert residual */
-        scs_float resUnbdd; /**< \brief unbounded cert residual */
-        scs_float relGap; /**< \brief relative duality gap */
-        scs_float setupTime; /**< \brief time taken for setup phase (milliseconds) */
-        scs_float solveTime; /**< \brief time taken for solve phase (milliseconds) */
-        scs_float linsys_total_solve_time_ms; /**< \brief total linsys (e.g., CG) solve time in ms */
-        scs_float *RESTRICT progress_relgap; /**< \brief relative gap history */
-        scs_float *RESTRICT progress_respri; /**< \brief primal residual history */
-        scs_float *RESTRICT progress_resdual; /**< \brief dual residual history */
-        scs_float *RESTRICT progress_pcost; /**< \brief scaled primal cost history */
-        scs_float *RESTRICT progress_dcost; /**< \brief sclaed dual cost history */
-        scs_float *RESTRICT progress_norm_fpr; /**< \brief FPR history */
-        scs_float *RESTRICT progress_time; /**< \brief Timestamp of iteration */
-        scs_int *RESTRICT progress_iter; /**< \brief iterations when residulas are recorded */
-        scs_int *RESTRICT progress_mode; /**< \brief Mode of SuperSCS at each iteration */
-        scs_int *RESTRICT progress_ls; /**< \brief Number of line search iterations */
-        unsigned long long allocated_memory; /**< \brief Memory, in bytes, that was allocated to run the algorithm */
-    };
-
-    /**
-     *  \brief Normalization variables 
-     */
-    struct scs_scaling {
-        scs_float *RESTRICT D, *RESTRICT E; /* for normalization */
-        scs_float meanNormRowA, meanNormColA;
-    };
-
-    /**
-     * Creates a new empty solution structure which is to be used 
-     * to retrieve the solution \f$(x^\star, y^\star, s^\star)\f$. 
-     * 
-     * This function does not initialize of allocate memory for \c x, \c s
-     * or \c y (but it sets the respective pointers to ::SCS_NULL).
-     * 
-     * @return Initialized #ScsSolution structure.
-     */
-    ScsSolution * scs_init_sol(void);
-
-    /**
-     * Creates a new empty #ScsInfo structure which is then provided to #scs to get 
-     * information about the status of the algorithm (e.g., the duality gap, 
-     * the solution status, etc).
-     * 
-     * @return Initialized #ScsInfo structure.
-     */
-    ScsInfo * scs_init_info(void);
-
-
-    /**
-     * Creates a new \c #ScsData structure without allocating memory for \f$A\f$, 
-     * \f$b\f$ and \f$c\f$ and its sets all settings to their default values, that 
-     * is
-     * 
-     *  1. alpha = 0.5
-     *  2. c0 = 0.999
-     *  3. c1 = ...
-     * 
-     * @return #ScsData object
-     * 
-     * @see ::scs_set_default_settings
-     */
-    ScsData * scs_init_data(void);
-
-    /** 
-     * scs calls \c scs_init, \c scs_solve, and \c scs_finish 
-     * 
-     * @param d
-     * @param k
-     * @param sol
-     * @param info
-     * 
-     * @return status code
-     * 
-     * \remark It is very important that <code>info</code> is created using 
-     * ::scs_init_info.
-     */
-    scs_int scs(
-            const ScsData *RESTRICT d,
-            const ScsCone *RESTRICT k,
-            ScsSolution *RESTRICT sol,
-            ScsInfo *RESTRICT info);
-
-    /**
-     * Returns the version of SCS
-     * 
-     * @return 
-     */
-    const char *scs_version(void);
-
-    /**
-     * \brief Converts milliseconds to a <code>00:00:00.0</code> time format
-     * 
-     * @param time given elapsed time in milliseconds
-     * @param hours hours
-     * @param minutes minutes
-     * @param secs seconds
-     * @param sec_rest remaining time in seconds (positive and smaller than \c 1)
-     */
-    void scs_millis_to_time(scs_float time,
-            scs_int * hours,
-            scs_int * minutes,
-            scs_int * secs,
-            scs_float * sec_rest);
-    
-#ifdef __cplusplus
-}
-#endif
-#endif