#include "private.h" #include "linsys.h" const char *SCS(get_lin_sys_method)() { return "sparse-direct"; } /* char *SCS(get_lin_sys_summary)(ScsLinSysWork *p, const ScsInfo *info) { char *str = (char *)scs_malloc(sizeof(char) * 128); scs_int n = p->L->n; sprintf(str, "lin-sys: nnz(L): %li\n", (long)(p->L->p[n] + n)); return str; } */ void SCS(free_lin_sys_work)(ScsLinSysWork *p) { if (p) { SCS(cs_spfree)(p->L); SCS(cs_spfree)(p->kkt); scs_free(p->perm); scs_free(p->Dinv); scs_free(p->bp); scs_free(p->rho_y_vec_idxs); scs_free(p->Lnz); scs_free(p->iwork); scs_free(p->etree); scs_free(p->D); scs_free(p->bwork); scs_free(p->fwork); scs_free(p); } } static csc *form_kkt(const ScsMatrix *A, const ScsMatrix *P, scs_float *rho_y_vec, scs_int *rho_y_vec_idxs, scs_float rho_x) { /* ONLY UPPER TRIANGULAR PART IS STUFFED * forms column compressed kkt matrix * assumes column compressed form A matrix * * forms upper triangular part of [(I + P) A'; A -I] * P : n x n, A: m x n. */ scs_int i, j, k, kk; csc *Kcsc, *K; scs_int n = A->n; scs_int m = A->m; scs_int Anz = A->p[n]; scs_int Knzmax; scs_int *idx_mapping; if (P) { /* Upper bound P + I upper triangular component as Pnz + n */ Knzmax = n + m + Anz + P->p[n]; } else { Knzmax = n + m + Anz; } K = SCS(cs_spalloc)(m + n, m + n, Knzmax, 1, 1); #if VERBOSITY > 0 scs_printf("forming kkt\n"); #endif /* Here we generate a triplet matrix and then compress to CSC */ if (!K) { return SCS_NULL; } kk = 0; /* element counter */ if (P) { /* I + P in top left */ for (j = 0; j < P->n; j++) { /* cols */ /* empty column, add diagonal */ if (P->p[j] == P->p[j + 1]) { K->i[kk] = j; K->p[kk] = j; K->x[kk] = rho_x; kk++; } for (k = P->p[j]; k < P->p[j + 1]; k++) { i = P->i[k]; /* row */ if (i > j) { /* only upper triangular needed */ break; } K->i[kk] = i; K->p[kk] = j; K->x[kk] = P->x[k]; if (i == j) { /* P has diagonal element */ K->x[kk] += rho_x; } kk++; /* reached the end without adding diagonal, do it now */ if ((i < j) && (k + 1 == P->p[j + 1] || P->i[k + 1] > j)) { K->i[kk] = j; K->p[kk] = j; K->x[kk] = rho_x; kk++; } } } } else { /* rho_x * I in top left */ for (k = 0; k < A->n; k++) { K->i[kk] = k; K->p[kk] = k; K->x[kk] = rho_x; kk++; } } /* A^T at top right */ for (j = 0; j < n; j++) { for (k = A->p[j]; k < A->p[j + 1]; k++) { K->p[kk] = A->i[k] + n; K->i[kk] = j; K->x[kk] = A->x[k]; kk++; } } /* -rho_y_vec * I at bottom right */ for (k = 0; k < m; k++) { K->i[kk] = k + n; K->p[kk] = k + n; K->x[kk] = -rho_y_vec[k]; rho_y_vec_idxs[k] = kk; /* store the indices where rho_y_vec occurs */ kk++; } K->nz = kk; idx_mapping = (scs_int *)scs_malloc(K->nz * sizeof(scs_int)); Kcsc = SCS(cs_compress)(K, idx_mapping); for (i = 0; i < A->m; i++) { rho_y_vec_idxs[i] = idx_mapping[rho_y_vec_idxs[i]]; } SCS(cs_spfree)(K); scs_free(idx_mapping); return Kcsc; } static scs_int _ldl_init(csc *A, scs_int *P, scs_float **info) { *info = (scs_float *)scs_malloc(AMD_INFO * sizeof(scs_float)); return amd_order(A->n, A->p, A->i, P, (scs_float *)SCS_NULL, *info); } /* call only once */ static scs_int ldl_prepare(ScsLinSysWork *p) { csc *kkt = p->kkt, *L = p->L; scs_int n = kkt->n; p->etree = (scs_int *)scs_malloc(n * sizeof(scs_int)); p->Lnz = (scs_int *)scs_malloc(n * sizeof(scs_int)); p->iwork = (scs_int *)scs_malloc(3 * n * sizeof(scs_int)); L->p = (scs_int *)scs_malloc((1 + n) * sizeof(scs_int)); L->nzmax = QDLDL_etree(n, kkt->p, kkt->i, p->iwork, p->Lnz, p->etree); if (L->nzmax < 0) { scs_printf("Error in elimination tree calculation.\n"); if (L->nzmax == -1) { scs_printf("Matrix is not perfectly upper triangular.\n"); } else if (L->nzmax == -2) { scs_printf("Integer overflow in L nonzero count.\n"); } return L->nzmax; } L->x = (scs_float *)scs_malloc(L->nzmax * sizeof(scs_float)); L->i = (scs_int *)scs_malloc(L->nzmax * sizeof(scs_int)); p->Dinv = (scs_float *)scs_malloc(n * sizeof(scs_float)); p->D = (scs_float *)scs_malloc(n * sizeof(scs_float)); p->bwork = (scs_int *)scs_malloc(n * sizeof(scs_int)); p->fwork = (scs_float *)scs_malloc(n * sizeof(scs_float)); return L->nzmax; } /* can call many times */ static scs_int ldl_factor(ScsLinSysWork *p, scs_int num_vars) { scs_int factor_status; csc *kkt = p->kkt, *L = p->L; #if VERBOSITY > 0 scs_printf("numeric factorization\n"); #endif factor_status = QDLDL_factor(kkt->n, kkt->p, kkt->i, kkt->x, L->p, L->i, L->x, p->D, p->Dinv, p->Lnz, p->etree, p->bwork, p->iwork, p->fwork); #if VERBOSITY > 0 scs_printf("finished numeric factorization.\n"); #endif if (factor_status < 0) { scs_printf("Error in LDL factorization when computing the nonzero " "elements. There are zeros in the diagonal matrix.\n"); } else if (factor_status < num_vars) { scs_printf("Error in LDL factorization when computing the nonzero " "elements. The problem seems to be non-convex.\n"); scs_printf("factor_status: %li, num_vars: %li\n", (long)factor_status, (long)num_vars); return -1; } p->factorizations++; return factor_status; } static void _ldl_perm(scs_int n, scs_float *x, scs_float *b, scs_int *P) { scs_int j; for (j = 0; j < n; j++) x[j] = b[P[j]]; } static void _ldl_permt(scs_int n, scs_float *x, scs_float *b, scs_int *P) { scs_int j; for (j = 0; j < n; j++) x[P[j]] = b[j]; } static void _ldl_solve(scs_float *b, csc *L, scs_float *Dinv, scs_int *P, scs_float *bp) { /* solves PLDL'P' x = b for x */ scs_int n = L->n; _ldl_perm(n, bp, b, P); QDLDL_solve(n, L->p, L->i, L->x, Dinv, bp); _ldl_permt(n, b, bp, P); } static scs_int *cs_pinv(scs_int const *p, scs_int n) { scs_int k, *pinv; if (!p) { return SCS_NULL; } /* p = SCS_NULL denotes identity */ pinv = (scs_int *)scs_malloc(n * sizeof(scs_int)); /* allocate result */ if (!pinv) { return SCS_NULL; } /* out of memory */ for (k = 0; k < n; k++) pinv[p[k]] = k; /* invert the permutation */ return pinv; /* return result */ } static csc *cs_symperm(const csc *A, const scs_int *pinv, scs_int *idx_mapping, scs_int values) { scs_int i, j, p, q, i2, j2, n, *Ap, *Ai, *Cp, *Ci, *w; scs_float *Cx, *Ax; csc *C; n = A->n; Ap = A->p; Ai = A->i; Ax = A->x; C = SCS(cs_spalloc)(n, n, Ap[n], values && (Ax != SCS_NULL), 0); /* alloc result*/ w = (scs_int *)scs_calloc(n, sizeof(scs_int)); /* get workspace */ if (!C || !w) { return SCS(cs_done)(C, w, SCS_NULL, 0); } /* out of memory */ Cp = C->p; Ci = C->i; Cx = C->x; for (j = 0; j < n; j++) /* count entries in each column of C */ { j2 = pinv ? pinv[j] : j; /* column j of A is column j2 of C */ for (p = Ap[j]; p < Ap[j + 1]; p++) { i = Ai[p]; if (i > j) { continue; } /* skip lower triangular part of A */ i2 = pinv ? pinv[i] : i; /* row i of A is row i2 of C */ w[MAX(i2, j2)]++; /* column count of C */ } } SCS(cumsum)(Cp, w, n); /* compute column pointers of C */ for (j = 0; j < n; j++) { j2 = pinv ? pinv[j] : j; /* column j of A is column j2 of C */ for (p = Ap[j]; p < Ap[j + 1]; p++) { i = Ai[p]; if (i > j) { continue; } /* skip lower triangular part of A*/ i2 = pinv ? pinv[i] : i; /* row i of A is row i2 of C */ Ci[q = w[MAX(i2, j2)]++] = MIN(i2, j2); if (Cx) { Cx[q] = Ax[p]; } idx_mapping[p] = q; /* old to new indices */ } } return SCS(cs_done)(C, w, SCS_NULL, 1); /* success; free workspace, return C */ } static csc *permute_kkt(const ScsMatrix *A, const ScsMatrix *P, ScsLinSysWork *p, scs_float *rho_y_vec) { scs_float *info; scs_int *Pinv, amd_status, *idx_mapping, i; csc *kkt_perm, *kkt = form_kkt(A, P, rho_y_vec, p->rho_y_vec_idxs, p->rho_x); if (!kkt) { return SCS_NULL; } amd_status = _ldl_init(kkt, p->perm, &info); if (amd_status < 0) { scs_printf("AMD permutatation error.\n"); return SCS_NULL; } #if VERBOSITY > 0 scs_printf("Matrix factorization info:\n"); amd_info(info); #endif Pinv = cs_pinv(p->perm, A->n + A->m); idx_mapping = (scs_int *)scs_malloc(kkt->nzmax * sizeof(scs_int)); kkt_perm = cs_symperm(kkt, Pinv, idx_mapping, 1); for (i = 0; i < A->m; i++) { p->rho_y_vec_idxs[i] = idx_mapping[p->rho_y_vec_idxs[i]]; } SCS(cs_spfree)(kkt); scs_free(Pinv); scs_free(info); scs_free(idx_mapping); return kkt_perm; } void SCS(update_lin_sys_rho_y_vec)(ScsLinSysWork *p, scs_float *rho_y_vec) { scs_int i, ldl_status; for (i = 0; i < p->m; ++i) { p->kkt->x[p->rho_y_vec_idxs[i]] = -rho_y_vec[i]; } ldl_status = ldl_factor(p, p->n); if (ldl_status < 0) { scs_printf("Error in LDL factorization when updating.\n"); /* TODO: this is broken somehow */ /* SCS(free_lin_sys_work)(p); */ return; } } ScsLinSysWork *SCS(init_lin_sys_work)(const ScsMatrix *A, const ScsMatrix *P, scs_float *rho_y_vec, scs_float rho_x) { ScsLinSysWork *p = (ScsLinSysWork *)scs_calloc(1, sizeof(ScsLinSysWork)); scs_int n_plus_m = A->n + A->m, ldl_status, ldl_prepare_status; p->m = A->m; p->n = A->n; p->rho_x = rho_x; p->perm = (scs_int *)scs_malloc(sizeof(scs_int) * n_plus_m); p->L = (csc *)scs_malloc(sizeof(csc)); p->bp = (scs_float *)scs_malloc(n_plus_m * sizeof(scs_float)); p->rho_y_vec_idxs = (scs_int *)scs_malloc(A->m * sizeof(scs_int)); p->factorizations = 0; p->L->m = n_plus_m; p->L->n = n_plus_m; p->L->nz = -1; p->kkt = permute_kkt(A, P, p, rho_y_vec); ldl_prepare_status = ldl_prepare(p); ldl_status = ldl_factor(p, A->n); if (ldl_prepare_status < 0 || ldl_status < 0) { scs_printf("Error in LDL initial factorization.\n"); /* TODO: this is broken somehow */ /* SCS(free_lin_sys_work)(p); */ return SCS_NULL; } return p; } scs_int SCS(solve_lin_sys)(ScsLinSysWork *p, scs_float *b, const scs_float *s, scs_float tol) { /* returns solution to linear system */ /* Ax = b with solution stored in b */ _ldl_solve(b, p->L, p->Dinv, p->perm, p->bp); return 0; }