#include "scs.h" #include "aa.h" #include "ctrlc.h" #include "glbopts.h" #include "linalg.h" #include "linsys.h" #include "normalize.h" #include "rw.h" #include "util.h" SCS(timer) global_timer; /* printing header */ static const char *HEADER[] = { " Iter ", " pri res ", " dua res ", " rel gap ", " pri obj ", " dua obj ", " kap/tau ", " time (s)", }; static const scs_int HSPACE = 9; static const scs_int HEADER_LEN = 8; static const scs_int LINE_LEN = 76; static scs_int scs_isnan(scs_float x) { return (x == NAN || x != x); } static void free_work(ScsWork *w) { if (w) { scs_free(w->u); scs_free(w->u_best); scs_free(w->u_t); scs_free(w->u_prev); /* Don't need these because u*, v* are contiguous in mem scs_free(w->v); scs_free(w->v_best); scs_free(w->v_prev); */ scs_free(w->h); scs_free(w->g); scs_free(w->b); scs_free(w->c); scs_free(w->pr); scs_free(w->dr); if (w->scal) { scs_free(w->scal->D); scs_free(w->scal->E); scs_free(w->scal); } scs_free(w); } } static void print_init_header(const ScsData *d, const ScsCone *k) { scs_int i; ScsSettings *stgs = d->stgs; char *cone_str = SCS(get_cone_header)(k); char *lin_sys_method = SCS(get_lin_sys_method)(d->A, d->stgs); #ifdef USE_LAPACK scs_int acceleration_lookback = stgs->acceleration_lookback; #else scs_int acceleration_lookback = 0; #endif for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf( "\n\tSCS v%s - Splitting Conic Solver\n\t(c) Brendan " "O'Donoghue, Stanford University, 2012\n", SCS(version)()); for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf("\n"); if (lin_sys_method) { scs_printf("Lin-sys: %s\n", lin_sys_method); scs_free(lin_sys_method); } if (stgs->normalize) { scs_printf( "eps = %.2e, alpha = %.2f, max_iters = %i, normalize = %i, " "scale = %2.2f\nacceleration_lookback = %i, rho_x = %.2e\n", stgs->eps, stgs->alpha, (int)stgs->max_iters, (int)stgs->normalize, stgs->scale, (int)acceleration_lookback, stgs->rho_x); } else { scs_printf( "eps = %.2e, alpha = %.2f, max_iters = %i, normalize = %i\n" "acceleration_lookback = %i, rho_x = %.2e\n", stgs->eps, stgs->alpha, (int)stgs->max_iters, (int)stgs->normalize, (int)acceleration_lookback, stgs->rho_x); } scs_printf("Variables n = %i, constraints m = %i\n", (int)d->n, (int)d->m); scs_printf("%s", cone_str); scs_free(cone_str); #ifdef MATLAB_MEX_FILE mexEvalString("drawnow;"); #endif } static void populate_on_failure(scs_int m, scs_int n, ScsSolution *sol, ScsInfo *info, scs_int status_val, const char *msg) { if (info) { info->rel_gap = NAN; info->res_pri = NAN; info->res_dual = NAN; info->pobj = NAN; info->dobj = NAN; info->iter = -1; info->status_val = status_val; info->solve_time = NAN; strcpy(info->status, msg); } if (sol) { if (n > 0) { if (!sol->x) { sol->x = (scs_float *)scs_malloc(sizeof(scs_float) * n); } SCS(scale_array)(sol->x, NAN, n); } if (m > 0) { if (!sol->y) { sol->y = (scs_float *)scs_malloc(sizeof(scs_float) * m); } SCS(scale_array)(sol->y, NAN, m); if (!sol->s) { sol->s = (scs_float *)scs_malloc(sizeof(scs_float) * m); } SCS(scale_array)(sol->s, NAN, m); } } } static scs_int failure(ScsWork *w, scs_int m, scs_int n, ScsSolution *sol, ScsInfo *info, scs_int stint, const char *msg, const char *ststr) { scs_int status = stint; populate_on_failure(m, n, sol, info, status, ststr); scs_printf("Failure:%s\n", msg); scs_end_interrupt_listener(); return status; } static void warm_start_vars(ScsWork *w, const ScsSolution *sol) { scs_int i, n = w->n, m = w->m; memset(w->v, 0, n * sizeof(scs_float)); memcpy(w->u, sol->x, n * sizeof(scs_float)); memcpy(&(w->u[n]), sol->y, m * sizeof(scs_float)); memcpy(&(w->v[n]), sol->s, m * sizeof(scs_float)); w->u[n + m] = 1.0; w->v[n + m] = 0.0; #ifndef NOVALIDATE for (i = 0; i < n + m + 1; ++i) { if (scs_isnan(w->u[i])) { w->u[i] = 0; } if (scs_isnan(w->v[i])) { w->v[i] = 0; } } #endif if (w->stgs->normalize) { SCS(normalize_warm_start)(w); } } static scs_float calc_primal_resid(ScsWork *w, const scs_float *x, const scs_float *s, const scs_float tau, scs_float *nm_axs) { scs_int i; scs_float pres = 0, scale, *pr = w->pr; *nm_axs = 0; memset(pr, 0, w->m * sizeof(scs_float)); SCS(accum_by_a)(w->A, w->p, x, pr); SCS(add_scaled_array)(pr, s, w->m, 1.0); /* pr = Ax + s */ for (i = 0; i < w->m; ++i) { scale = w->stgs->normalize ? w->scal->D[i] / (w->sc_b * w->stgs->scale) : 1; scale = scale * scale; *nm_axs += (pr[i] * pr[i]) * scale; pres += (pr[i] - w->b[i] * tau) * (pr[i] - w->b[i] * tau) * scale; } *nm_axs = SQRTF(*nm_axs); return SQRTF(pres); /* SCS(norm)(Ax + s - b * tau) */ } static scs_float calc_dual_resid(ScsWork *w, const scs_float *y, const scs_float tau, scs_float *nm_a_ty) { scs_int i; scs_float dres = 0, scale, *dr = w->dr; *nm_a_ty = 0; memset(dr, 0, w->n * sizeof(scs_float)); SCS(accum_by_atrans)(w->A, w->p, y, dr); /* dr = A'y */ for (i = 0; i < w->n; ++i) { scale = w->stgs->normalize ? w->scal->E[i] / (w->sc_c * w->stgs->scale) : 1; scale = scale * scale; *nm_a_ty += (dr[i] * dr[i]) * scale; dres += (dr[i] + w->c[i] * tau) * (dr[i] + w->c[i] * tau) * scale; } *nm_a_ty = SQRTF(*nm_a_ty); return SQRTF(dres); /* SCS(norm)(A'y + c * tau) */ } /* calculates un-normalized quantities */ static void calc_residuals(ScsWork *w, ScsResiduals *r, scs_int iter) { scs_float *x = w->u, *y = &(w->u[w->n]), *s = &(w->v[w->n]); scs_float nmpr_tau, nmdr_tau, nm_axs_tau, nm_a_ty_tau, ct_x, bt_y; scs_int n = w->n, m = w->m; /* checks if the residuals are unchanged by checking iteration */ if (r->last_iter == iter) { return; } r->last_iter = iter; r->tau = ABS(w->u[n + m]); r->kap = ABS(w->v[n + m]) / (w->stgs->normalize ? (w->stgs->scale * w->sc_c * w->sc_b) : 1); nmpr_tau = calc_primal_resid(w, x, s, r->tau, &nm_axs_tau); nmdr_tau = calc_dual_resid(w, y, r->tau, &nm_a_ty_tau); r->bt_y_by_tau = SCS(dot)(y, w->b, m) / (w->stgs->normalize ? (w->stgs->scale * w->sc_c * w->sc_b) : 1); r->ct_x_by_tau = SCS(dot)(x, w->c, n) / (w->stgs->normalize ? (w->stgs->scale * w->sc_c * w->sc_b) : 1); r->res_infeas = r->bt_y_by_tau < 0 ? w->nm_b * nm_a_ty_tau / -r->bt_y_by_tau : NAN; r->res_unbdd = r->ct_x_by_tau < 0 ? w->nm_c * nm_axs_tau / -r->ct_x_by_tau : NAN; bt_y = SAFEDIV_POS(r->bt_y_by_tau, r->tau); ct_x = SAFEDIV_POS(r->ct_x_by_tau, r->tau); r->res_pri = SAFEDIV_POS(nmpr_tau / (1 + w->nm_b), r->tau); r->res_dual = SAFEDIV_POS(nmdr_tau / (1 + w->nm_c), r->tau); r->rel_gap = ABS(ct_x + bt_y) / (1 + ABS(ct_x) + ABS(bt_y)); } static void cold_start_vars(ScsWork *w) { scs_int l = w->n + w->m + 1; memset(w->u, 0, l * sizeof(scs_float)); memset(w->v, 0, l * sizeof(scs_float)); w->u[l - 1] = SQRTF((scs_float)l); w->v[l - 1] = SQRTF((scs_float)l); } /* status < 0 indicates failure */ static scs_int project_lin_sys(ScsWork *w, scs_int iter) { /* ut = u + v */ scs_int n = w->n, m = w->m, l = n + m + 1, status; memcpy(w->u_t, w->u, l * sizeof(scs_float)); SCS(add_scaled_array)(w->u_t, w->v, l, 1.0); SCS(scale_array)(w->u_t, w->stgs->rho_x, n); SCS(add_scaled_array)(w->u_t, w->h, l - 1, -w->u_t[l - 1]); SCS(add_scaled_array) (w->u_t, w->h, l - 1, -SCS(dot)(w->u_t, w->g, l - 1) / (w->g_th + 1)); SCS(scale_array)(&(w->u_t[n]), -1, m); status = SCS(solve_lin_sys)(w->A, w->stgs, w->p, w->u_t, w->u, iter); w->u_t[l - 1] += SCS(dot)(w->u_t, w->h, l - 1); return status; } static void update_dual_vars(ScsWork *w) { scs_int i, n = w->n, l = n + w->m + 1; /* this does not relax 'x' variable */ for (i = n; i < l; ++i) { w->v[i] += (w->u[i] - w->stgs->alpha * w->u_t[i] - (1.0 - w->stgs->alpha) * w->u_prev[i]); } } /* status < 0 indicates failure */ static scs_int project_cones(ScsWork *w, const ScsCone *k, scs_int iter) { scs_int i, n = w->n, l = n + w->m + 1, status; /* this does not relax 'x' variable */ for (i = 0; i < n; ++i) { w->u[i] = w->u_t[i] - w->v[i]; } for (i = n; i < l; ++i) { w->u[i] = w->stgs->alpha * w->u_t[i] + (1 - w->stgs->alpha) * w->u_prev[i] - w->v[i]; } /* u = [x;y;tau] */ status = SCS(proj_dual_cone)(&(w->u[n]), k, w->cone_work, &(w->u_prev[n]), iter); if (w->u[l - 1] < 0.0) { w->u[l - 1] = 0.0; } return status; } static scs_int indeterminate(ScsWork *w, ScsSolution *sol, ScsInfo *info) { strcpy(info->status, "Indeterminate"); SCS(scale_array)(sol->x, NAN, w->n); SCS(scale_array)(sol->y, NAN, w->m); SCS(scale_array)(sol->s, NAN, w->m); return SCS_INDETERMINATE; } static void sety(ScsWork *w, ScsSolution *sol) { if (!sol->y) { sol->y = (scs_float *)scs_malloc(sizeof(scs_float) * w->m); } memcpy(sol->y, &(w->u[w->n]), w->m * sizeof(scs_float)); } static void sets(ScsWork *w, ScsSolution *sol) { if (!sol->s) { sol->s = (scs_float *)scs_malloc(sizeof(scs_float) * w->m); } memcpy(sol->s, &(w->v[w->n]), w->m * sizeof(scs_float)); } static void setx(ScsWork *w, ScsSolution *sol) { if (!sol->x) { sol->x = (scs_float *)scs_malloc(sizeof(scs_float) * w->n); } memcpy(sol->x, w->u, w->n * sizeof(scs_float)); } static scs_float get_max_residual(ScsResiduals *r) { return MAX(r->rel_gap, MAX(r->res_pri, r->res_dual)); } static void copy_from_best_iterate(ScsWork *w) { memcpy(w->u, w->u_best, (w->m + w->n + 1) * sizeof(scs_float)); memcpy(w->v, w->v_best, (w->m + w->n + 1) * sizeof(scs_float)); } static scs_int solved(ScsWork *w, ScsSolution *sol, ScsInfo *info, ScsResiduals *r, scs_int iter) { if (w->best_max_residual < get_max_residual(r)) { r->last_iter = -1; /* Forces residual recomputation. */ copy_from_best_iterate(w); calc_residuals(w, r, iter); setx(w, sol); sety(w, sol); sets(w, sol); } SCS(scale_array)(sol->x, SAFEDIV_POS(1.0, r->tau), w->n); SCS(scale_array)(sol->y, SAFEDIV_POS(1.0, r->tau), w->m); SCS(scale_array)(sol->s, SAFEDIV_POS(1.0, r->tau), w->m); if (info->status_val == 0) { strcpy(info->status, "Solved/Inaccurate"); return SCS_SOLVED_INACCURATE; } strcpy(info->status, "Solved"); return SCS_SOLVED; } static scs_int infeasible(ScsWork *w, ScsSolution *sol, ScsInfo *info, scs_float bt_y) { SCS(scale_array)(sol->y, -1 / bt_y, w->m); SCS(scale_array)(sol->x, NAN, w->n); SCS(scale_array)(sol->s, NAN, w->m); if (info->status_val == 0) { strcpy(info->status, "Infeasible/Inaccurate"); return SCS_INFEASIBLE_INACCURATE; } strcpy(info->status, "Infeasible"); return SCS_INFEASIBLE; } static scs_int unbounded(ScsWork *w, ScsSolution *sol, ScsInfo *info, scs_float ct_x) { SCS(scale_array)(sol->x, -1 / ct_x, w->n); SCS(scale_array)(sol->s, -1 / ct_x, w->m); SCS(scale_array)(sol->y, NAN, w->m); if (info->status_val == 0) { strcpy(info->status, "Unbounded/Inaccurate"); return SCS_UNBOUNDED_INACCURATE; } strcpy(info->status, "Unbounded"); return SCS_UNBOUNDED; } static scs_int is_solved_status(scs_int status) { return status == SCS_SOLVED || status == SCS_SOLVED_INACCURATE; } static scs_int is_infeasible_status(scs_int status) { return status == SCS_INFEASIBLE || status == SCS_INFEASIBLE_INACCURATE; } static scs_int is_unbounded_status(scs_int status) { return status == SCS_UNBOUNDED || status == SCS_UNBOUNDED_INACCURATE; } static void get_info(ScsWork *w, ScsSolution *sol, ScsInfo *info, ScsResiduals *r, scs_int iter) { info->iter = iter; info->res_infeas = r->res_infeas; info->res_unbdd = r->res_unbdd; if (is_solved_status(info->status_val)) { info->rel_gap = r->rel_gap; info->res_pri = r->res_pri; info->res_dual = r->res_dual; info->pobj = r->ct_x_by_tau / r->tau; info->dobj = -r->bt_y_by_tau / r->tau; } else if (is_unbounded_status(info->status_val)) { info->rel_gap = NAN; info->res_pri = NAN; info->res_dual = NAN; info->pobj = -INFINITY; info->dobj = -INFINITY; } else if (is_infeasible_status(info->status_val)) { info->rel_gap = NAN; info->res_pri = NAN; info->res_dual = NAN; info->pobj = INFINITY; info->dobj = INFINITY; } } /* sets solutions, re-scales by inner prods if infeasible or unbounded */ static void get_solution(ScsWork *w, ScsSolution *sol, ScsInfo *info, ScsResiduals *r, scs_int iter) { scs_int l = w->n + w->m + 1; calc_residuals(w, r, iter); setx(w, sol); sety(w, sol); sets(w, sol); if (info->status_val == SCS_UNFINISHED) { /* not yet converged, take best guess */ if (r->tau > INDETERMINATE_TOL && r->tau > r->kap) { info->status_val = solved(w, sol, info, r, iter); } else if (SCS(norm)(w->u, l) < INDETERMINATE_TOL * SQRTF((scs_float)l)) { info->status_val = indeterminate(w, sol, info); } else if (r->bt_y_by_tau < r->ct_x_by_tau) { info->status_val = infeasible(w, sol, info, r->bt_y_by_tau); } else { info->status_val = unbounded(w, sol, info, r->ct_x_by_tau); } } else if (is_solved_status(info->status_val)) { info->status_val = solved(w, sol, info, r, iter); } else if (is_infeasible_status(info->status_val)) { info->status_val = infeasible(w, sol, info, r->bt_y_by_tau); } else { info->status_val = unbounded(w, sol, info, r->ct_x_by_tau); } if (w->stgs->normalize) { SCS(un_normalize_sol)(w, sol); } get_info(w, sol, info, r, iter); } static void print_summary(ScsWork *w, scs_int i, ScsResiduals *r, SCS(timer) * solve_timer) { scs_printf("%*i|", (int)strlen(HEADER[0]), (int)i); scs_printf("%*.2e ", (int)HSPACE, r->res_pri); scs_printf("%*.2e ", (int)HSPACE, r->res_dual); scs_printf("%*.2e ", (int)HSPACE, r->rel_gap); scs_printf("%*.2e ", (int)HSPACE, SAFEDIV_POS(r->ct_x_by_tau, r->tau)); scs_printf("%*.2e ", (int)HSPACE, SAFEDIV_POS(-r->bt_y_by_tau, r->tau)); scs_printf("%*.2e ", (int)HSPACE, SAFEDIV_POS(r->kap, r->tau)); scs_printf("%*.2e ", (int)HSPACE, SCS(tocq)(solve_timer) / 1e3); scs_printf("\n"); #if EXTRA_VERBOSE > 0 scs_printf("Norm u = %4f, ", SCS(norm)(w->u, w->n + w->m + 1)); scs_printf("Norm u_t = %4f, ", SCS(norm)(w->u_t, w->n + w->m + 1)); scs_printf("Norm v = %4f, ", SCS(norm)(w->v, w->n + w->m + 1)); scs_printf("tau = %4f, ", w->u[w->n + w->m]); scs_printf("kappa = %4f, ", w->v[w->n + w->m]); scs_printf("|u - u_prev| = %1.2e, ", SCS(norm_diff)(w->u, w->u_prev, w->n + w->m + 1)); scs_printf("|u - u_t| = %1.2e, ", SCS(norm_diff)(w->u, w->u_t, w->n + w->m + 1)); scs_printf("res_infeas = %1.2e, ", r->res_infeas); scs_printf("res_unbdd = %1.2e\n", r->res_unbdd); #endif #ifdef MATLAB_MEX_FILE mexEvalString("drawnow;"); #endif } static void print_header(ScsWork *w, const ScsCone *k) { scs_int i; if (w->stgs->warm_start) { scs_printf("SCS using variable warm-starting\n"); } for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf("\n"); for (i = 0; i < HEADER_LEN - 1; ++i) { scs_printf("%s|", HEADER[i]); } scs_printf("%s\n", HEADER[HEADER_LEN - 1]); for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf("\n"); #ifdef MATLAB_MEX_FILE mexEvalString("drawnow;"); #endif } static scs_float get_dual_cone_dist(const scs_float *y, const ScsCone *k, ScsConeWork *c, scs_int m) { scs_float dist; scs_float *t = (scs_float *)scs_malloc(sizeof(scs_float) * m); memcpy(t, y, m * sizeof(scs_float)); SCS(proj_dual_cone)(t, k, c, SCS_NULL, -1); dist = SCS(norm_inf_diff)(t, y, m); #if EXTRA_VERBOSE > 0 SCS(print_array)(y, m, "y"); SCS(print_array)(t, m, "proj_y"); scs_printf("dist = %4f\n", dist); #endif scs_free(t); return dist; } /* via moreau */ static scs_float get_pri_cone_dist(const scs_float *s, const ScsCone *k, ScsConeWork *c, scs_int m) { scs_float dist; scs_float *t = (scs_float *)scs_malloc(sizeof(scs_float) * m); memcpy(t, s, m * sizeof(scs_float)); SCS(scale_array)(t, -1.0, m); SCS(proj_dual_cone)(t, k, c, SCS_NULL, -1); dist = SCS(norm_inf)(t, m); /* ||s - Pi_c(s)|| = ||Pi_c*(-s)|| */ #if EXTRA_VERBOSE > 0 SCS(print_array)(s, m, "s"); SCS(print_array)(t, m, "(s - proj_s)"); scs_printf("dist = %4f\n", dist); #endif scs_free(t); return dist; } static char *get_accel_summary(ScsInfo *info, scs_float total_accel_time) { char *str = (char *)scs_malloc(sizeof(char) * 64); sprintf(str, "\tAcceleration: avg step time: %1.2es\n", total_accel_time / (info->iter + 1) / 1e3); return str; } static void print_footer(const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsWork *w, ScsInfo *info, scs_float total_accel_time) { scs_int i; char *lin_sys_str = SCS(get_lin_sys_summary)(w->p, info); char *cone_str = SCS(get_cone_summary)(info, w->cone_work); char *accel_str = get_accel_summary(info, total_accel_time); for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf("\nStatus: %s\n", info->status); if (info->iter == w->stgs->max_iters) { scs_printf( "Hit max_iters, solution may be inaccurate, returning best found " "solution.\n"); } scs_printf("Timing: Solve time: %1.2es\n", info->solve_time / 1e3); if (lin_sys_str) { scs_printf("%s", lin_sys_str); scs_free(lin_sys_str); } if (cone_str) { scs_printf("%s", cone_str); scs_free(cone_str); } if (accel_str) { scs_printf("%s", accel_str); scs_free(accel_str); } for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf("\n"); if (is_infeasible_status(info->status_val)) { scs_printf("Certificate of primal infeasibility:\n"); scs_printf("dist(y, K*) = %.4e\n", get_dual_cone_dist(sol->y, k, w->cone_work, d->m)); scs_printf("|A'y|_2 * |b|_2 = %.4e\n", info->res_infeas); scs_printf("b'y = %.4f\n", SCS(dot)(d->b, sol->y, d->m)); } else if (is_unbounded_status(info->status_val)) { scs_printf("Certificate of dual infeasibility:\n"); scs_printf("dist(s, K) = %.4e\n", get_pri_cone_dist(sol->s, k, w->cone_work, d->m)); scs_printf("|Ax + s|_2 * |c|_2 = %.4e\n", info->res_unbdd); scs_printf("c'x = %.4f\n", SCS(dot)(d->c, sol->x, d->n)); } else { scs_printf("Error metrics:\n"); scs_printf("dist(s, K) = %.4e, dist(y, K*) = %.4e, s'y/|s||y| = %.4e\n", get_pri_cone_dist(sol->s, k, w->cone_work, d->m), get_dual_cone_dist(sol->y, k, w->cone_work, d->m), SCS(dot)(sol->s, sol->y, d->m) / SCS(norm)(sol->s, d->m) / SCS(norm)(sol->y, d->m)); scs_printf("primal res: |Ax + s - b|_2 / (1 + |b|_2) = %.4e\n", info->res_pri); scs_printf("dual res: |A'y + c|_2 / (1 + |c|_2) = %.4e\n", info->res_dual); scs_printf("rel gap: |c'x + b'y| / (1 + |c'x| + |b'y|) = %.4e\n", info->rel_gap); for (i = 0; i < LINE_LEN; ++i) { scs_printf("-"); } scs_printf("\n"); scs_printf("c'x = %.4f, -b'y = %.4f\n", info->pobj, info->dobj); } for (i = 0; i < LINE_LEN; ++i) { scs_printf("="); } scs_printf("\n"); #ifdef MATLAB_MEX_FILE mexEvalString("drawnow;"); #endif } static scs_int has_converged(ScsWork *w, ScsResiduals *r, scs_int iter) { scs_float eps = w->stgs->eps; if (r->res_pri < eps && r->res_dual < eps && r->rel_gap < eps) { return SCS_SOLVED; } /* Add iter > 0 to avoid strange edge case where infeasible point found * right at start of run `out/demo_SOCP_indirect 2 0.1 0.3 1506264403` */ if (r->res_unbdd < eps && iter > 0) { return SCS_UNBOUNDED; } if (r->res_infeas < eps && iter > 0) { return SCS_INFEASIBLE; } return 0; } static scs_int validate(const ScsData *d, const ScsCone *k) { ScsSettings *stgs = d->stgs; if (d->m <= 0 || d->n <= 0) { scs_printf("m and n must both be greater than 0; m = %li, n = %li\n", (long)d->m, (long)d->n); return -1; } if (d->m < d->n) { scs_printf("WARN: m less than n, problem likely degenerate\n"); /* return -1; */ } if (SCS(validate_lin_sys)(d->A) < 0) { scs_printf("invalid linear system input data\n"); return -1; } if (SCS(validate_cones)(d, k) < 0) { scs_printf("cone validation error\n"); return -1; } if (stgs->max_iters <= 0) { scs_printf("max_iters must be positive\n"); return -1; } if (stgs->eps <= 0) { scs_printf("eps tolerance must be positive\n"); return -1; } if (stgs->alpha <= 0 || stgs->alpha >= 2) { scs_printf("alpha must be in (0,2)\n"); return -1; } if (stgs->rho_x <= 0) { scs_printf("rho_x must be positive (1e-3 works well).\n"); return -1; } if (stgs->scale <= 0) { scs_printf("scale must be positive (1 works well).\n"); return -1; } return 0; } static ScsWork *init_work(const ScsData *d, const ScsCone *k) { ScsWork *w = (ScsWork *)scs_calloc(1, sizeof(ScsWork)); scs_int l = d->n + d->m + 1; if (d->stgs->verbose) { print_init_header(d, k); } if (!w) { scs_printf("ERROR: allocating work failure\n"); return SCS_NULL; } /* get settings and dims from data struct */ w->stgs = d->stgs; w->m = d->m; w->n = d->n; w->best_max_residual = INFINITY; /* allocate workspace: */ /* u* include v* values */ w->u = (scs_float *)scs_malloc(2 * l * sizeof(scs_float)); w->u_best = (scs_float *)scs_malloc(2 * l * sizeof(scs_float)); w->u_t = (scs_float *)scs_malloc(l * sizeof(scs_float)); w->u_prev = (scs_float *)scs_malloc(2 * l * sizeof(scs_float)); w->h = (scs_float *)scs_malloc((l - 1) * sizeof(scs_float)); w->g = (scs_float *)scs_malloc((l - 1) * sizeof(scs_float)); w->pr = (scs_float *)scs_malloc(d->m * sizeof(scs_float)); w->dr = (scs_float *)scs_malloc(d->n * sizeof(scs_float)); w->b = (scs_float *)scs_malloc(d->m * sizeof(scs_float)); w->c = (scs_float *)scs_malloc(d->n * sizeof(scs_float)); if (!w->u || !w->u_t || !w->u_prev || !w->h || !w->g || !w->pr || !w->dr || !w->b || !w->c) { scs_printf("ERROR: work memory allocation failure\n"); return SCS_NULL; } /* make u,v and u_prev,v_prev contiguous in memory */ w->v = &(w->u[l]); w->v_best = &(w->u_best[l]); w->v_prev = &(w->u_prev[l]); w->A = d->A; if (w->stgs->normalize) { #ifdef COPYAMATRIX if (!SCS(copy_a_matrix)(&(w->A), d->A)) { scs_printf("ERROR: copy A matrix failed\n"); return SCS_NULL; } #endif w->scal = (ScsScaling *)scs_malloc(sizeof(ScsScaling)); SCS(normalize_a)(w->A, w->stgs, k, w->scal); #if EXTRA_VERBOSE > 0 SCS(print_array)(w->scal->D, d->m, "D"); scs_printf("SCS(norm) D = %4f\n", SCS(norm)(w->scal->D, d->m)); SCS(print_array)(w->scal->E, d->n, "E"); scs_printf("SCS(norm) E = %4f\n", SCS(norm)(w->scal->E, d->n)); #endif } else { w->scal = SCS_NULL; } if (!(w->cone_work = SCS(init_cone)(k))) { scs_printf("ERROR: init_cone failure\n"); return SCS_NULL; } if (!(w->p = SCS(init_lin_sys_work)(w->A, w->stgs))) { scs_printf("ERROR: init_lin_sys_work failure\n"); return SCS_NULL; } if (!(w->accel = aa_init(2 * (w->m + w->n + 1), ABS(w->stgs->acceleration_lookback), w->stgs->acceleration_lookback >= 0))) { scs_printf("WARN: aa_init returned NULL, no acceleration applied.\n"); } return w; } static scs_int update_work(const ScsData *d, ScsWork *w, const ScsSolution *sol) { /* before normalization */ scs_int n = d->n; scs_int m = d->m; w->nm_b = SCS(norm)(d->b, m); w->nm_c = SCS(norm)(d->c, n); memcpy(w->b, d->b, d->m * sizeof(scs_float)); memcpy(w->c, d->c, d->n * sizeof(scs_float)); #if EXTRA_VERBOSE > 0 SCS(print_array)(w->b, m, "b"); scs_printf("pre-normalized norm b = %4f\n", SCS(norm)(w->b, m)); SCS(print_array)(w->c, n, "c"); scs_printf("pre-normalized norm c = %4f\n", SCS(norm)(w->c, n)); #endif if (w->stgs->normalize) { SCS(normalize_b_c)(w); #if EXTRA_VERBOSE > 0 SCS(print_array)(w->b, m, "bn"); scs_printf("sc_b = %4f\n", w->sc_b); scs_printf("post-normalized norm b = %4f\n", SCS(norm)(w->b, m)); SCS(print_array)(w->c, n, "cn"); scs_printf("sc_c = %4f\n", w->sc_c); scs_printf("post-normalized norm c = %4f\n", SCS(norm)(w->c, n)); #endif } if (w->stgs->warm_start) { warm_start_vars(w, sol); } else { cold_start_vars(w); } memcpy(w->h, w->c, n * sizeof(scs_float)); memcpy(&(w->h[n]), w->b, m * sizeof(scs_float)); memcpy(w->g, w->h, (n + m) * sizeof(scs_float)); SCS(solve_lin_sys)(w->A, w->stgs, w->p, w->g, SCS_NULL, -1); SCS(scale_array)(&(w->g[n]), -1, m); w->g_th = SCS(dot)(w->h, w->g, n + m); return 0; } static scs_float iterate_norm_diff(ScsWork *w) { scs_int l = w->m + w->n + 1; scs_float u_norm_difference = SCS(norm_diff)(w->u, w->u_prev, l); scs_float v_norm_difference = SCS(norm_diff)(w->v, w->v_prev, l); scs_float norm = SQRTF(SCS(norm_sq)(w->u, l) + SCS(norm_sq)(w->v, l)); scs_float norm_diff = SQRTF(u_norm_difference * u_norm_difference + v_norm_difference * v_norm_difference); return norm_diff / norm; } static void update_best_iterate(ScsWork *w, ScsResiduals *r) { scs_float max_residual = get_max_residual(r); if (w->best_max_residual > max_residual) { w->best_max_residual = max_residual; memcpy(w->u_best, w->u, (w->m + w->n + 1) * sizeof(scs_float)); memcpy(w->v_best, w->v, (w->m + w->n + 1) * sizeof(scs_float)); } } scs_int SCS(solve)(ScsWork *w, const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsInfo *info) { scs_int i; SCS(timer) solve_timer, accel_timer; scs_float total_accel_time = 0.0, total_norm; ScsResiduals r; scs_int l = w->m + w->n + 1; if (!d || !k || !sol || !info || !w || !d->b || !d->c) { scs_printf("ERROR: SCS_NULL input\n"); return SCS_FAILED; } /* initialize ctrl-c support */ scs_start_interrupt_listener(); SCS(tic)(&solve_timer); info->status_val = SCS_UNFINISHED; /* not yet converged */ r.last_iter = -1; update_work(d, w, sol); if (w->stgs->verbose) { print_header(w, k); } /* scs: */ for (i = 0; i < w->stgs->max_iters; ++i) { /* accelerate here so that last step always projection onto cone */ /* this ensures the returned iterates always satisfy conic constraints */ /* this relies on the fact that u and v are contiguous in memory */ SCS(tic)(&accel_timer); if (i > 0 && aa_apply(w->u, w->u_prev, w->accel) != 0) { /* return failure(w, w->m, w->n, sol, info, SCS_FAILED, "error in accelerate", "Failure"); */ } total_accel_time += SCS(tocq)(&accel_timer); /* scs is homogeneous so scale the iterates to keep norm reasonable */ total_norm = SQRTF(SCS(norm_sq)(w->u, l) + SCS(norm_sq)(w->v, l)); SCS(scale_array)(w->u, SQRTF((scs_float)l) * ITERATE_NORM / total_norm, l); SCS(scale_array)(w->v, SQRTF((scs_float)l) * ITERATE_NORM / total_norm, l); memcpy(w->u_prev, w->u, l * sizeof(scs_float)); memcpy(w->v_prev, w->v, l * sizeof(scs_float)); if (project_lin_sys(w, i) < 0) { return failure(w, w->m, w->n, sol, info, SCS_FAILED, "error in project_lin_sys", "Failure"); } if (project_cones(w, k, i) < 0) { return failure(w, w->m, w->n, sol, info, SCS_FAILED, "error in project_cones", "Failure"); } update_dual_vars(w); if (scs_is_interrupted()) { return failure(w, w->m, w->n, sol, info, SCS_SIGINT, "Interrupted", "Interrupted"); } if (i % CONVERGED_INTERVAL == 0 || iterate_norm_diff(w) < 1e-10) { calc_residuals(w, &r, i); if ((info->status_val = has_converged(w, &r, i)) != 0) { break; } update_best_iterate(w, &r); } if (w->stgs->verbose && i % PRINT_INTERVAL == 0) { calc_residuals(w, &r, i); update_best_iterate(w, &r); print_summary(w, i, &r, &solve_timer); } } if (w->stgs->verbose) { calc_residuals(w, &r, i); print_summary(w, i, &r, &solve_timer); } /* populate solution vectors (unnormalized) and info */ get_solution(w, sol, info, &r, i); info->solve_time = SCS(tocq)(&solve_timer); if (w->stgs->verbose) { print_footer(d, k, sol, w, info, total_accel_time); } scs_end_interrupt_listener(); return info->status_val; } void SCS(finish)(ScsWork *w) { if (w) { SCS(finish_cone)(w->cone_work); if (w->stgs && w->stgs->normalize) { #ifndef COPYAMATRIX SCS(un_normalize_a)(w->A, w->stgs, w->scal); #else SCS(free_a_matrix)(w->A); #endif } if (w->p) { SCS(free_lin_sys_work)(w->p); } if (w->accel) { aa_finish(w->accel); } free_work(w); } } ScsWork *SCS(init)(const ScsData *d, const ScsCone *k, ScsInfo *info) { #if EXTRA_VERBOSE > 1 SCS(tic)(&global_timer); #endif ScsWork *w; SCS(timer) init_timer; scs_start_interrupt_listener(); if (!d || !k || !info) { scs_printf("ERROR: Missing ScsData, ScsCone or ScsInfo input\n"); return SCS_NULL; } #if EXTRA_VERBOSE > 0 SCS(print_data)(d); SCS(print_cone_data)(k); #endif #ifndef NOVALIDATE if (validate(d, k) < 0) { scs_printf("ERROR: Validation returned failure\n"); return SCS_NULL; } #endif SCS(tic)(&init_timer); if (d->stgs->write_data_filename) { SCS(write_data)(d, k); } w = init_work(d, k); info->setup_time = SCS(tocq)(&init_timer); if (d->stgs->verbose) { scs_printf("Setup time: %1.2es\n", info->setup_time / 1e3); } scs_end_interrupt_listener(); return w; } /* this just calls SCS(init), SCS(solve), and SCS(finish) */ scs_int scs(const ScsData *d, const ScsCone *k, ScsSolution *sol, ScsInfo *info) { scs_int status; ScsWork *w = SCS(init)(d, k, info); #if EXTRA_VERBOSE > 0 scs_printf("size of scs_int = %lu, size of scs_float = %lu\n", sizeof(scs_int), sizeof(scs_float)); #endif if (w) { SCS(solve)(w, d, k, sol, info); status = info->status_val; } else { status = failure(SCS_NULL, d ? d->m : -1, d ? d->n : -1, sol, info, SCS_FAILED, "could not initialize work", "Failure"); } SCS(finish)(w); return status; }