/* contains routines common to direct and indirect sparse solvers */ #include "scs_matrix.h" #include "linalg.h" #include "linsys.h" #include "util.h" #define MIN_NORMALIZATION_FACTOR (1e-4) #define MAX_NORMALIZATION_FACTOR (1e4) #define NUM_RUIZ_PASSES (25) /* additional passes don't help much */ #define NUM_L2_PASSES (1) /* do one or zero, not more since not stable */ scs_int SCS(copy_matrix)(ScsMatrix **dstp, const ScsMatrix *src) { scs_int Anz = src->p[src->n]; ScsMatrix *A = (ScsMatrix *)scs_calloc(1, sizeof(ScsMatrix)); if (!A) { return 0; } A->n = src->n; A->m = src->m; /* A values, size: NNZ A */ A->x = (scs_float *)scs_calloc(Anz, sizeof(scs_float)); /* A row index, size: NNZ A */ A->i = (scs_int *)scs_calloc(Anz, sizeof(scs_int)); /* A column pointer, size: n+1 */ A->p = (scs_int *)scs_calloc(src->n + 1, sizeof(scs_int)); if (!A->x || !A->i || !A->p) { return 0; } memcpy(A->x, src->x, sizeof(scs_float) * Anz); memcpy(A->i, src->i, sizeof(scs_int) * Anz); memcpy(A->p, src->p, sizeof(scs_int) * (src->n + 1)); *dstp = A; return 1; } scs_int SCS(validate_lin_sys)(const ScsMatrix *A, const ScsMatrix *P) { scs_int i, j, r_max, Anz; if (!A->x || !A->i || !A->p) { scs_printf("data incompletely specified\n"); return -1; } /* detects some errors in A col ptrs: */ Anz = A->p[A->n]; if (Anz > 0) { for (i = 0; i < A->n; ++i) { if (A->p[i] == A->p[i + 1]) { scs_printf("WARN: A->p (column pointers) not strictly increasing, " "column %li empty\n", (long)i); } else if (A->p[i] > A->p[i + 1]) { scs_printf("ERROR: A->p (column pointers) decreasing\n"); return -1; } } } if (((scs_float)Anz / A->m > A->n) || (Anz < 0)) { scs_printf("Anz (nonzeros in A) = %li, outside of valid range\n", (long)Anz); return -1; } r_max = 0; for (i = 0; i < Anz; ++i) { if (A->i[i] > r_max) { r_max = A->i[i]; } } if (r_max > A->m - 1) { scs_printf("number of rows in A inconsistent with input dimension\n"); return -1; } if (P) { if (P->n != A->n) { scs_printf("P dimension = %li, inconsistent with n = %li\n", (long)P->n, (long)A->n); return -1; } if (P->m != P->n) { scs_printf("P is not square\n"); return -1; } for (j = 0; j < P->n; j++) { /* cols */ for (i = P->p[j]; i < P->p[j + 1]; i++) { if (P->i[i] > j) { /* if row > */ scs_printf("P is not upper triangular\n"); return -1; } } } } return 0; } void SCS(free_scs_matrix)(ScsMatrix *A) { if (A) { scs_free(A->x); scs_free(A->i); scs_free(A->p); scs_free(A); } } static inline scs_float apply_limit(scs_float x) { /* need to bound to 1 for cols/rows of all zeros, otherwise blows up */ x = x < MIN_NORMALIZATION_FACTOR ? 1.0 : x; x = x > MAX_NORMALIZATION_FACTOR ? MAX_NORMALIZATION_FACTOR : x; return x; } static void compute_ruiz_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c, scs_float *Dt, scs_float *Et, scs_float *s, ScsConeWork *cone) { scs_int i, j, kk; scs_float wrk; /**************************** D ****************************/ /* initialize D */ for (i = 0; i < A->m; ++i) { /* Dt[i] = 0.; */ Dt[i] = ABS(b[i]); } /* calculate row norms */ for (i = 0; i < A->n; ++i) { for (j = A->p[i]; j < A->p[i + 1]; ++j) { Dt[A->i[j]] = MAX(Dt[A->i[j]], ABS(A->x[j])); } } /* accumulate D across each cone */ SCS(enforce_cone_boundaries)(cone, Dt, &SCS(norm_inf)); /* invert temporary vec to form D */ for (i = 0; i < A->m; ++i) { Dt[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(Dt[i]))); } /**************************** E ****************************/ /* initialize E */ for (i = 0; i < A->n; ++i) { /* Et[i] = 0.; */ Et[i] = ABS(c[i]); } /* TODO: test not using P to determine scaling */ if (P) { /* compute norm of cols of P (symmetric upper triangular) */ /* E = norm of cols of P */ /* Compute maximum across columns */ /* P(i, j) contributes to col j and col i (row i) due to symmetry */ for (j = 0; j < P->n; j++) { /* cols */ for (kk = P->p[j]; kk < P->p[j + 1]; kk++) { i = P->i[kk]; /* row */ wrk = ABS(P->x[kk]); Et[j] = MAX(wrk, Et[j]); if (i != j) { Et[i] = MAX(wrk, Et[i]); } } } } /* calculate col norms, E */ for (i = 0; i < A->n; ++i) { Et[i] = MAX(Et[i], SCS(norm_inf)(&(A->x[A->p[i]]), A->p[i + 1] - A->p[i])); Et[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(Et[i]))); } /* calculate s value */ *s = MAX(SCS(norm_inf)(c, A->n), SCS(norm_inf)(b, A->m)); *s = SAFEDIV_POS(1.0, SQRTF(apply_limit(*s))); } static void compute_l2_mats(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c, scs_float *Dt, scs_float *Et, scs_float *s, ScsConeWork *cone) { scs_int i, j, kk; scs_float wrk, norm_c, norm_b; /**************************** D ****************************/ /* initialize D */ for (i = 0; i < A->m; ++i) { /* Dt[i] = 0.; */ Dt[i] = b[i] * b[i]; } /* calculate row norms */ for (i = 0; i < A->n; ++i) { for (j = A->p[i]; j < A->p[i + 1]; ++j) { Dt[A->i[j]] += A->x[j] * A->x[j]; } } for (i = 0; i < A->m; ++i) { Dt[i] = SQRTF(Dt[i]); /* l2 norm of rows */ } /* accumulate D across each cone */ SCS(enforce_cone_boundaries)(cone, Dt, &SCS(mean)); for (i = 0; i < A->m; ++i) { Dt[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(Dt[i]))); } /**************************** E ****************************/ /* initialize E */ for (i = 0; i < A->n; ++i) { /* Et[i] = 0.; */ Et[i] = c[i] * c[i]; } /* TODO: test not using P to determine scaling */ if (P) { /* compute norm of cols of P (symmetric upper triangular) */ /* E = norm of cols of P */ /* Compute maximum across columns */ /* P(i, j) contributes to col j and col i (row i) due to symmetry */ for (j = 0; j < P->n; j++) { /* cols */ for (kk = P->p[j]; kk < P->p[j + 1]; kk++) { i = P->i[kk]; /* row */ wrk = P->x[kk] * P->x[kk]; Et[j] += wrk; if (i != j) { Et[i] += wrk; } } } } /* calculate col norms, E */ for (i = 0; i < A->n; ++i) { Et[i] += SCS(norm_sq)(&(A->x[A->p[i]]), A->p[i + 1] - A->p[i]); Et[i] = SAFEDIV_POS(1.0, SQRTF(apply_limit(SQRTF(Et[i])))); } /* calculate s value */ norm_c = SCS(norm_2)(c, A->n); norm_b = SCS(norm_2)(b, A->m); *s = SQRTF(norm_c * norm_c + norm_b * norm_b); *s = SAFEDIV_POS(1.0, SQRTF(apply_limit(*s))); } static void rescale(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c, scs_float *Dt, scs_float *Et, scs_float s, ScsScaling *scal, ScsConeWork *cone) { scs_int i, j; /* scale the rows of A with D */ for (i = 0; i < A->n; ++i) { for (j = A->p[i]; j < A->p[i + 1]; ++j) { A->x[j] *= Dt[A->i[j]]; } } /* scale the cols of A with E */ for (i = 0; i < A->n; ++i) { SCS(scale_array)(&(A->x[A->p[i]]), Et[i], A->p[i + 1] - A->p[i]); } if (P) { /* scale the rows of P with E */ for (i = 0; i < P->n; ++i) { for (j = P->p[i]; j < P->p[i + 1]; ++j) { P->x[j] *= Et[P->i[j]]; } } /* scale the cols of P with E */ for (i = 0; i < P->n; ++i) { SCS(scale_array)(&(P->x[P->p[i]]), Et[i], P->p[i + 1] - P->p[i]); } } /* scale c */ for (i = 0; i < A->n; ++i) { c[i] *= Et[i]; } /* scale b */ for (i = 0; i < A->m; ++i) { b[i] *= Dt[i]; } /* Accumulate scaling */ for (i = 0; i < A->m; ++i) { scal->D[i] *= Dt[i]; } for (i = 0; i < A->n; ++i) { scal->E[i] *= Et[i]; } /* Apply scaling */ SCS(scale_array)(c, s, A->n); SCS(scale_array)(b, s, A->m); /* no need to scale P since primal_scale = dual_scale */ /* if (P) { SCS(scale_array)(P->x, primal_scale, P->p[P->n]); SCS(scale_array)(P->x, 1.0 / dual_scale, P->p[P->n]); } */ /* Accumulate scaling */ scal->primal_scale *= s; scal->dual_scale *= s; } /* Will rescale as P -> EPE, A -> DAE, c -> sEc, b -> sDb, in-place. * Essentially trying to rescale this matrix: * * [P A' c] with [E 0 0] on both sides (D, E diagonal) * [A 0 b] [0 D 0] * [c' b' 0] [0 0 s] * * which results in: * * [ EPE EA'D sEc ] * [ DAE 0 sDb ] * [ sc'E sb'D 0 ] * * In other words D rescales the rows of A, b * E rescales the cols of A and rows/cols of P, c' * * will repeatedly set: D^-1 ~ norm of rows of [ A b ] * * E^-1 ~ norm of cols of [ P ] * [ A ] * [ c'] * * `s` is incorporated into dual_scale and primal_scale * * The main complication is that D has to respect cone boundaries. * */ ScsScaling *SCS(normalize_a_p)(ScsMatrix *P, ScsMatrix *A, scs_float *b, scs_float *c, ScsConeWork *cone) { scs_int i; scs_float s; ScsScaling *scal = (ScsScaling *)scs_calloc(1, sizeof(ScsScaling)); scs_float *Dt = (scs_float *)scs_calloc(A->m, sizeof(scs_float)); scs_float *Et = (scs_float *)scs_calloc(A->n, sizeof(scs_float)); scal->D = (scs_float *)scs_calloc(A->m, sizeof(scs_float)); scal->E = (scs_float *)scs_calloc(A->n, sizeof(scs_float)); #if VERBOSITY > 5 SCS(timer) normalize_timer; SCS(tic)(&normalize_timer); scs_printf("normalizing A and P\n"); #endif /* init D, E */ scal->m = A->m; for (i = 0; i < A->m; ++i) { scal->D[i] = 1.; } scal->n = A->n; for (i = 0; i < A->n; ++i) { scal->E[i] = 1.; } scal->primal_scale = 1.; scal->dual_scale = 1.; for (i = 0; i < NUM_RUIZ_PASSES; ++i) { compute_ruiz_mats(P, A, b, c, Dt, Et, &s, cone); rescale(P, A, b, c, Dt, Et, s, scal, cone); } for (i = 0; i < NUM_L2_PASSES; ++i) { compute_l2_mats(P, A, b, c, Dt, Et, &s, cone); rescale(P, A, b, c, Dt, Et, s, scal, cone); } scs_free(Dt); scs_free(Et); #if VERBOSITY > 5 scs_printf("finished normalizing A and P, time: %1.2es\n", SCS(tocq)(&normalize_timer) / 1e3); scs_printf("inf norm A %1.2e\n", SCS(norm_inf)(A->x, A->p[A->n])); if (P) { scs_printf("inf norm P %1.2e\n", SCS(norm_inf)(P->x, P->p[P->n])); } scs_printf("primal_scale %g\n", scal->primal_scale); scs_printf("dual_scale %g\n", scal->dual_scale); scs_printf("norm_b %g\n", SCS(norm_inf)(b, A->m)); scs_printf("norm_c %g\n", SCS(norm_inf)(c, A->n)); scs_printf("norm D %g\n", SCS(norm_inf)(scal->D, A->m)); scs_printf("norm E %g\n", SCS(norm_inf)(scal->E, A->n)); #endif return scal; } void SCS(un_normalize_a_p)(ScsMatrix *A, ScsMatrix *P, const ScsScaling *scal) { scs_int i, j; scs_float *D = scal->D; scs_float *E = scal->E; for (i = 0; i < A->n; ++i) { SCS(scale_array) (&(A->x[A->p[i]]), 1. / E[i], A->p[i + 1] - A->p[i]); } for (i = 0; i < A->n; ++i) { for (j = A->p[i]; j < A->p[i + 1]; ++j) { A->x[j] /= D[A->i[j]]; } } if (P) { for (i = 0; i < P->n; ++i) { SCS(scale_array) (&(P->x[P->p[i]]), 1. / E[i], P->p[i + 1] - P->p[i]); } for (i = 0; i < P->n; ++i) { for (j = P->p[i]; j < P->p[i + 1]; ++j) { P->x[j] /= E[P->i[j]]; } } } } void SCS(accum_by_atrans)(const ScsMatrix *A, const scs_float *x, scs_float *y) { /* y += A'*x A in column compressed format parallelizes over columns (rows of A') */ scs_int p, j; scs_int c1, c2; scs_float yj; scs_int n = A->n; scs_int *Ap = A->p; scs_int *Ai = A->i; scs_float *Ax = A->x; #ifdef _OPENMP #pragma omp parallel for private(p, c1, c2, yj) #endif for (j = 0; j < n; j++) { yj = y[j]; c1 = Ap[j]; c2 = Ap[j + 1]; for (p = c1; p < c2; p++) { yj += Ax[p] * x[Ai[p]]; } y[j] = yj; } } void SCS(accum_by_a)(const ScsMatrix *A, const scs_float *x, scs_float *y) { /*y += A*x A in column compressed format */ scs_int p, j, i; scs_int n = A->n; scs_int *Ap = A->p; scs_int *Ai = A->i; scs_float *Ax = A->x; for (j = 0; j < n; j++) { /* col */ for (p = Ap[j]; p < Ap[j + 1]; p++) { i = Ai[p]; /* row */ y[i] += Ax[p] * x[j]; } } } /* Since P is upper triangular need to be clever here */ void SCS(accum_by_p)(const ScsMatrix *P, const scs_float *x, scs_float *y) { /* returns y += P x */ scs_int p, j, i; scs_int n = P->n; scs_int *Pp = P->p; scs_int *Pi = P->i; scs_float *Px = P->x; /* y += P_upper x but skip diagonal entries*/ for (j = 0; j < n; j++) { /* col */ for (p = Pp[j]; p < Pp[j + 1]; p++) { i = Pi[p]; /* row */ if (i != j) { /* skip the diagonal */ y[i] += Px[p] * x[j]; } } } /* y += P_lower x */ SCS(accum_by_atrans)(P, x, y); }