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Extra param structs for in memory pre conditioning
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@maxschaller
maxschaller committed Sep 6, 2023
1 parent 56fcfea commit 9e3c625
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Showing 2 changed files with 49 additions and 38 deletions.
9 changes: 9 additions & 0 deletions cvxpygen/solvers.py
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Original file line number Diff line number Diff line change
Expand Up @@ -157,6 +157,9 @@ class OSQPInterface(SolverInterface):
# header files
header_files = ['osqp.h', 'types.h', 'workspace.h']

# preconditioning of problem data happening in-memory
inmemory_preconditioning = False

# solver settings
settings_names = ['rho', 'max_iter', 'eps_abs', 'eps_rel', 'eps_prim_inf', 'eps_dual_inf',
'alpha', 'scaled_termination', 'check_termination', 'warm_start',
Expand Down Expand Up @@ -267,6 +270,9 @@ class SCSInterface(SolverInterface):
# header files
header_files = ['scs.h']

# preconditioning of problem data happening in-memory
inmemory_preconditioning = False

# solver settings
settings_names = ['normalize', 'scale', 'adaptive_scale', 'rho_x', 'max_iters', 'eps_abs',
'eps_rel',
Expand Down Expand Up @@ -370,6 +376,9 @@ class ECOSInterface(SolverInterface):
# header files
header_files = ['ecos.h']

# preconditioning of problem data happening in-memory
inmemory_preconditioning = True

# solver settings
settings_names = ['feastol', 'abstol', 'reltol', 'feastol_inacc', 'abstol_inacc',
'reltol_inacc', 'maxit']
Expand Down
78 changes: 40 additions & 38 deletions cvxpygen/utils.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -255,10 +255,10 @@ def write_ecos_setup_update(f, canon_constants, prefix):
if p == 0:
Ax_str = Ap_str = Ai_str = b_str = '0'
else:
Ax_str = '%sCanon_Params_ECOS.A->x' % prefix
Ap_str = '%sCanon_Params_ECOS.A->p' % prefix
Ai_str = '%sCanon_Params_ECOS.A->i' % prefix
b_str = '%sCanon_Params_ECOS.b' % prefix
Ax_str = '%sCanon_Params_conditioning.A->x' % prefix
Ap_str = '%sCanon_Params_conditioning.A->p' % prefix
Ai_str = '%sCanon_Params_conditioning.A->i' % prefix
b_str = '%sCanon_Params_conditioning.b' % prefix

if n_cones == 0:
ecos_q_str = '0'
Expand All @@ -267,24 +267,24 @@ def write_ecos_setup_update(f, canon_constants, prefix):

f.write(' if (!initialized) {\n')
f.write(' %secos_workspace = ECOS_setup(%d, %d, %d, %d, %d, %s, %d, '
'%sCanon_Params_ECOS.G->x, %sCanon_Params_ECOS.G->p, %sCanon_Params_ECOS.G->i, '
'%s, %s, %s, %sCanon_Params_ECOS.c, %sCanon_Params_ECOS.h, %s);\n' %
'%sCanon_Params_conditioning.G->x, %sCanon_Params_conditioning.G->p, %sCanon_Params_conditioning.G->i, '
'%s, %s, %s, %sCanon_Params_conditioning.c, %sCanon_Params_conditioning.h, %s);\n' %
(prefix, n, m, p, ell, n_cones, ecos_q_str, e, prefix, prefix, prefix, Ax_str, Ap_str, Ai_str,
prefix, prefix, b_str))
f.write(' initialized = 1;\n')
f.write(' } else {\n')
f.write(' if (%sCanon_Outdated.G || %sCanon_Outdated.A || %sCanon_Outdated.b) {\n' % (prefix, prefix, prefix))
f.write(' ECOS_updateData(%secos_workspace, %sCanon_Params_ECOS.G->x, %s, %sCanon_Params_ECOS.c, '
'%sCanon_Params_ECOS.h, %s);\n' % (prefix, prefix, Ax_str, prefix, prefix, b_str))
f.write(' ECOS_updateData(%secos_workspace, %sCanon_Params_conditioning.G->x, %s, %sCanon_Params_conditioning.c, '
'%sCanon_Params_conditioning.h, %s);\n' % (prefix, prefix, Ax_str, prefix, prefix, b_str))
f.write(' } else {\n')
f.write(' if (%sCanon_Outdated.h) {\n' % prefix)
f.write(' for (i=0; i<%d; i++){\n' % m)
f.write(' ecos_updateDataEntry_h(%secos_workspace, i, %sCanon_Params_ECOS.h[i]);\n' % (prefix, prefix))
f.write(' ecos_updateDataEntry_h(%secos_workspace, i, %sCanon_Params_conditioning.h[i]);\n' % (prefix, prefix))
f.write(' }\n')
f.write(' }\n')
f.write(' if (%sCanon_Outdated.c) {\n' % prefix)
f.write(' for (i=0; i<%d; i++){\n' % n)
f.write(' ecos_updateDataEntry_c(%secos_workspace, i, %sCanon_Params_ECOS.c[i]);\n' % (prefix, prefix))
f.write(' ecos_updateDataEntry_c(%secos_workspace, i, %sCanon_Params_conditioning.c[i]);\n' % (prefix, prefix))
f.write(' }\n')
f.write(' }\n')
f.write(' }\n')
Expand Down Expand Up @@ -332,8 +332,8 @@ def write_workspace_def(f, configuration, variable_info, dual_variable_info, par
canon_casts.append('')
else:
write_param_def(f, replace_inf(p), p_id, configuration.prefix, '')
if configuration.solver_name == 'ECOS':
write_param_def(f, replace_inf(p), p_id, configuration.prefix, '_ECOS')
if solver_interface.inmemory_preconditioning:
write_param_def(f, replace_inf(p), p_id, configuration.prefix, '_conditioning')
if p_id.isupper():
canon_casts.append('')
else:
Expand All @@ -342,7 +342,7 @@ def write_workspace_def(f, configuration, variable_info, dual_variable_info, par
f.write('// Struct containing canonical parameters\n')

struct_values = []
struct_values_ECOS = []
struct_values_conditioning = []
for i, p_id in enumerate(p_ids):
p = parameter_canon.p[p_id]
if type(p) == dict:
Expand All @@ -351,21 +351,21 @@ def write_workspace_def(f, configuration, variable_info, dual_variable_info, par
length = len(p)
if length == 0:
struct_values.append('0')
if configuration.solver_name == 'ECOS':
struct_values_ECOS.append('0')
if solver_interface.inmemory_preconditioning:
struct_values_conditioning.append('0')
elif p_id=='d':
struct_values.append('%.20f' % p)
if configuration.solver_name == 'ECOS':
struct_values_ECOS.append('%.20f' % p)
if solver_interface.inmemory_preconditioning:
struct_values_conditioning.append('%.20f' % p)
else:
struct_values.append('&%scanon_%s' % (configuration.prefix, p_id))
if configuration.solver_name == 'ECOS':
struct_values_ECOS.append('&%scanon_%s_ECOS' % (configuration.prefix, p_id))
if solver_interface.inmemory_preconditioning:
struct_values_conditioning.append('&%scanon_%s_conditioning' % (configuration.prefix, p_id))

write_struct_def(f, p_ids, canon_casts, struct_values, '%sCanon_Params' % configuration.prefix, 'Canon_Params_t')
f.write('\n')
if configuration.solver_name == 'ECOS':
write_struct_def(f, p_ids, canon_casts, struct_values_ECOS, '%sCanon_Params_ECOS' % configuration.prefix,
if solver_interface.inmemory_preconditioning:
write_struct_def(f, p_ids, canon_casts, struct_values_conditioning, '%sCanon_Params_conditioning' % configuration.prefix,
'Canon_Params_t')
f.write('\n')

Expand Down Expand Up @@ -676,13 +676,13 @@ def write_workspace_prot(f, configuration, variable_info, dual_variable_info, pa
for p_id, p in parameter_canon.p.items():
if p_id != 'd':
write_param_prot(f, p, p_id, configuration.prefix, '')
if configuration.solver_name == 'ECOS':
write_param_prot(f, p, p_id, configuration.prefix, '_ECOS')
if solver_interface.inmemory_preconditioning:
write_param_prot(f, p, p_id, configuration.prefix, '_conditioning')

f.write('\n// Struct containing canonical parameters\n')
write_struct_prot(f, '%sCanon_Params' % configuration.prefix, 'Canon_Params_t')
if configuration.solver_name == 'ECOS':
write_struct_prot(f, '%sCanon_Params_ECOS' % configuration.prefix, 'Canon_Params_t')
if solver_interface.inmemory_preconditioning:
write_struct_prot(f, '%sCanon_Params_conditioning' % configuration.prefix, 'Canon_Params_t')

f.write('\n// Struct containing flags for outdated canonical parameters\n')
f.write('extern Canon_Outdated_t %sCanon_Outdated;\n' % configuration.prefix)
Expand Down Expand Up @@ -955,6 +955,21 @@ def write_solve_def(f, configuration, variable_info, dual_variable_info, paramet
f.write(' %scpg_canonicalize_%s();\n' % (configuration.prefix, p_id))
f.write(' }\n')

if solver_interface.inmemory_preconditioning:
for p_id, size in parameter_canon.p_id_to_size.items():
if size == 1:
f.write(' %sCanon_Params_conditioning.%s = %sCanon_Params.%s;\n'
% (configuration.prefix, p_id, configuration.prefix, p_id))
elif size > 1:
f.write(' for (i=0; i<%d; i++){\n' % size)
if p_id.isupper():
f.write(' %sCanon_Params_conditioning.%s->x[i] = %sCanon_Params.%s->x[i];\n'
% (configuration.prefix, p_id, configuration.prefix, p_id))
else:
f.write(' %sCanon_Params_conditioning.%s[i] = %sCanon_Params.%s[i];\n'
% (configuration.prefix, p_id, configuration.prefix, p_id))
f.write(' }\n')

if configuration.solver_name == 'OSQP':
f.write(' // Solve with OSQP\n')
f.write(' osqp_solve(&workspace);\n')
Expand All @@ -977,19 +992,6 @@ def write_solve_def(f, configuration, variable_info, dual_variable_info, paramet
f.write(' scs_solve(%sScs_Work, &%sScs_Sol, &%sScs_Info, (initialized && %sScs_Stgs.warm_start));\n' %
(configuration.prefix, configuration.prefix, configuration.prefix, configuration.prefix))
elif configuration.solver_name == 'ECOS':
for p_id, size in parameter_canon.p_id_to_size.items():
if size == 1:
f.write(' %sCanon_Params_ECOS.%s = %sCanon_Params.%s;\n'
% (configuration.prefix, p_id, configuration.prefix, p_id))
elif size > 1:
f.write(' for (i=0; i<%d; i++){\n' % size)
if p_id.isupper():
f.write(' %sCanon_Params_ECOS.%s->x[i] = %sCanon_Params.%s->x[i];\n'
% (configuration.prefix, p_id, configuration.prefix, p_id))
else:
f.write(' %sCanon_Params_ECOS.%s[i] = %sCanon_Params.%s[i];\n'
% (configuration.prefix, p_id, configuration.prefix, p_id))
f.write(' }\n')
f.write(' // Initialize / update ECOS workspace and settings\n')
write_ecos_setup_update(f, solver_interface.canon_constants, configuration.prefix)
for name in solver_interface.settings_names_to_type.keys():
Expand Down

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