def test_dpi(self):
np.random.seed(0)
for _ in range(10):
zero_dim = np.random.randint(1, 10)
pos_dim = np.random.randint(1, 10)
soc_dim = [
np.random.randint(1, 10)
for _ in range(np.random.randint(1, 10))
]
psd_dim = [
np.random.randint(1, 10)
for _ in range(np.random.randint(1, 10))
]
exp_dim = np.random.randint(3, 18)
cones = [(cone_lib.ZERO, zero_dim), (cone_lib.POS, pos_dim),
(cone_lib.SOC, soc_dim), (cone_lib.PSD, psd_dim),
(cone_lib.EXP, exp_dim), (cone_lib.EXP_DUAL, exp_dim)]
size = zero_dim + pos_dim + sum(soc_dim) + sum(
[cone_lib.vec_psd_dim(d) for d in psd_dim]) + 2 * 3 * exp_dim
x = np.random.randn(size)
for dual in [False, True]:
cone_list_cpp = cone_lib.parse_cone_dict_cpp(cones)
proj_x = cone_lib.pi(x, cones, dual=dual)
dx = 1e-7 * np.random.randn(size)
z = cone_lib.pi(x + dx, cones, dual=dual)
Dpi = _diffcp.dprojection(x, cone_list_cpp, dual)
np.testing.assert_allclose(Dpi.matvec(dx),
z - proj_x,
atol=1e-6)
Dpi = _diffcp.dprojection_dense(x, cone_list_cpp, dual)
np.testing.assert_allclose(Dpi @ dx, z - proj_x, atol=1e-6)
def solve_and_derivative_internal(A,
b,
c,
cone_dict,
solve_method=None,
warm_start=None,
mode='lsqr',
raise_on_error=True,
**kwargs):
if mode not in ["dense", "lsqr"]:
raise ValueError("Unsupported mode {}; the supported modes are "
"'dense' and 'lsqr'".format(mode))
if np.isnan(A.data).any():
raise RuntimeError("Found a NaN in A.")
# set explicit 0s in A to np.nan
A.data[A.data == 0] = np.nan
# compute rows and cols of nonzeros in A
rows, cols = A.nonzero()
# reset np.nan entries in A to 0.0
A.data[np.isnan(A.data)] = 0.0
# eliminate explicit zeros in A, we no longer need them
A.eliminate_zeros()
if solve_method is None:
psd_cone = ('s' in cone_dict) and (cone_dict['s'] != [])
ep_cone = ('ep' in cone_dict) and (cone_dict['ep'] != 0)
ed_cone = ('ed' in cone_dict) and (cone_dict['ed'] != 0)
if psd_cone or ep_cone or ed_cone:
solve_method = "SCS"
else:
solve_method = "ECOS"
if solve_method == "SCS":
# SCS versions SCS 2.*
if StrictVersion(scs.__version__) < StrictVersion('3.0.0'):
if "eps_abs" in kwargs or "eps_rel" in kwargs:
# Take the min of eps_rel and eps_abs to be eps
kwargs["eps"] = min(kwargs.get("eps_abs", 1),
kwargs.get("eps_rel", 1))
# SCS version 3.*
else:
if "eps" in kwargs: # eps replaced by eps_abs, eps_rel
kwargs["eps_abs"] = kwargs["eps"]
kwargs["eps_rel"] = kwargs["eps"]
del kwargs["eps"]
data = {"A": A, "b": b, "c": c}
if warm_start is not None:
data["x"] = warm_start[0]
data["y"] = warm_start[1]
data["s"] = warm_start[2]
kwargs.setdefault("verbose", False)
result = scs.solve(data, cone_dict, **kwargs)
status = result["info"]["status"]
inaccurate_status = {
"Solved/Inaccurate", "solved (inaccurate - reached max_iters)"
}
if status in inaccurate_status and "acceleration_lookback" not in kwargs:
# anderson acceleration is sometimes unstable
result = scs.solve(data,
cone_dict,
acceleration_lookback=0,
**kwargs)
status = result["info"]["status"]
if status in inaccurate_status:
warnings.warn("Solved/Inaccurate.")
elif status.lower() != "solved":
if raise_on_error:
raise SolverError("Solver scs returned status %s" % status)
else:
result["D"] = None
result["DT"] = None
return result
x = result["x"]
y = result["y"]
s = result["s"]
elif solve_method == "ECOS":
if warm_start is not None:
raise ValueError('ECOS does not support warmstart.')
if ('s' in cone_dict) and (cone_dict['s'] != []):
raise ValueError("PSD cone not supported by ECOS.")
if ('ep' in cone_dict) and (cone_dict['ep'] != 0):
raise NotImplementedError("Exponential cones not supported yet.")
if ('ed' in cone_dict) and (cone_dict['ed'] != 0):
raise NotImplementedError("Exponential cones not supported yet.")
if warm_start is not None:
raise ValueError("ECOS does not support warm starting.")
len_eq = cone_dict[cone_lib.EQ_DIM]
C_ecos = c
G_ecos = A[len_eq:]
if 0 in G_ecos.shape:
G_ecos = None
H_ecos = b[len_eq:].flatten()
if 0 in H_ecos.shape:
H_ecos = None
A_ecos = A[:len_eq]
if 0 in A_ecos.shape:
A_ecos = None
B_ecos = b[:len_eq].flatten()
if 0 in B_ecos.shape:
B_ecos = None
cone_dict_ecos = {}
if 'l' in cone_dict:
cone_dict_ecos['l'] = cone_dict['l']
if 'q' in cone_dict:
cone_dict_ecos['q'] = cone_dict['q']
if A_ecos is not None and A_ecos.nnz == 0 and np.prod(
A_ecos.shape) > 0:
raise ValueError("ECOS cannot handle sparse data with nnz == 0.")
kwargs.setdefault("verbose", False)
solution = ecos.solve(C_ecos, G_ecos, H_ecos, cone_dict_ecos, A_ecos,
B_ecos, **kwargs)
x = solution["x"]
y = np.append(solution["y"], solution["z"])
s = b - A @ x
result = {"x": x, "y": y, "s": s}
status = solution["info"]["exitFlag"]
STATUS_LOOKUP = {
0: "Optimal",
1: "Infeasible",
2: "Unbounded",
10: "Optimal Inaccurate",
11: "Infeasible Inaccurate",
12: "Unbounded Inaccurate"
}
if status == 10:
warnings.warn("Solved/Inaccurate.")
elif status < 0:
raise SolverError("Solver ecos errored.")
if status not in [0, 10]:
raise SolverError("Solver ecos returned status %s" %
STATUS_LOOKUP[status])
# Convert ECOS info into SCS info to be compatible if called from
# CVXPY DIFFCP solver
ECOS2SCS_STATUS_MAP = {
0: "Solved",
1: "Infeasible",
2: "Unbounded",
10: "Solved/Inaccurate",
11: "Infeasible/Inaccurate",
12: "Unbounded/Inaccurate"
}
result['info'] = {
'status': ECOS2SCS_STATUS_MAP.get(status, "Failure"),
'solveTime': solution['info']['timing']['tsolve'],
'setupTime': solution['info']['timing']['tsetup'],
'iter': solution['info']['iter'],
'pobj': solution['info']['pcost']
}
else:
raise ValueError("Solver %s not supported." % solve_method)
# pre-compute quantities for the derivative
m, n = A.shape
N = m + n + 1
cones = cone_lib.parse_cone_dict(cone_dict)
cones_parsed = cone_lib.parse_cone_dict_cpp(cones)
z = (x, y - s, np.array([1]))
u, v, w = z
Q = sparse.bmat(
[[None, A.T, np.expand_dims(c, -1)], [-A, None,
np.expand_dims(b, -1)],
[-np.expand_dims(c, -1).T, -np.expand_dims(b, -1).T, None]])
D_proj_dual_cone = _diffcp.dprojection(v, cones_parsed, True)
if mode == "dense":
Q_dense = Q.todense()
M = _diffcp.M_dense(Q_dense, cones_parsed, u, v, w)
MT = M.T
else:
M = _diffcp.M_operator(Q, cones_parsed, u, v, w)
MT = M.transpose()
pi_z = pi(z, cones)
def derivative(dA, db, dc, **kwargs):
"""Applies derivative at (A, b, c) to perturbations dA, db, dc
Args:
dA: SciPy sparse matrix in CSC format; must have same sparsity
pattern as the matrix `A` from the cone program
db: NumPy array representing perturbation in `b`
dc: NumPy array representing perturbation in `c`
Returns:
NumPy arrays dx, dy, ds, the result of applying the derivative
to the perturbations.
"""
dQ = sparse.bmat(
[[None, dA.T, np.expand_dims(dc, -1)],
[-dA, None, np.expand_dims(db, -1)],
[-np.expand_dims(dc, -1).T, -np.expand_dims(db, -1).T, None]])
rhs = dQ @ pi_z
if np.allclose(rhs, 0):
dz = np.zeros(rhs.size)
elif mode == "dense":
dz = _diffcp._solve_derivative_dense(M, MT, rhs)
else:
dz = _diffcp.lsqr(M, rhs).solution
du, dv, dw = np.split(dz, [n, n + m])
dx = du - x * dw
dy = D_proj_dual_cone.matvec(dv) - y * dw
ds = D_proj_dual_cone.matvec(dv) - dv - s * dw
return -dx, -dy, -ds
def adjoint_derivative(dx, dy, ds, **kwargs):
"""Applies adjoint of derivative at (A, b, c) to perturbations dx, dy, ds
Args:
dx: NumPy array representing perturbation in `x`
dy: NumPy array representing perturbation in `y`
ds: NumPy array representing perturbation in `s`
Returns:
(`dA`, `db`, `dc`), the result of applying the adjoint to the
perturbations; the sparsity pattern of `dA` matches that of `A`.
"""
dw = -(x @ dx + y @ dy + s @ ds)
dz = np.concatenate(
[dx, D_proj_dual_cone.rmatvec(dy + ds) - ds,
np.array([dw])])
if np.allclose(dz, 0):
r = np.zeros(dz.shape)
elif mode == "dense":
r = _diffcp._solve_adjoint_derivative_dense(M, MT, dz)
else:
r = _diffcp.lsqr(MT, dz).solution
values = pi_z[cols] * r[rows + n] - pi_z[n + rows] * r[cols]
dA = sparse.csc_matrix((values, (rows, cols)), shape=A.shape)
db = pi_z[n:n + m] * r[-1] - pi_z[-1] * r[n:n + m]
dc = pi_z[:n] * r[-1] - pi_z[-1] * r[:n]
return dA, db, dc
result["D"] = derivative
result["DT"] = adjoint_derivative
return result
def solve_and_derivative_internal(A,
b,
c,
cone_dict,
warm_start=None,
mode='lsqr',
raise_on_error=True,
**kwargs):
if mode not in ["dense", "lsqr"]:
raise ValueError("Unsupported mode {}; the supported modes are "
"'dense' and 'lsqr'".format(mode))
if np.isnan(A.data).any():
raise RuntimeError("Found a NaN in A.")
# set explicit 0s in A to np.nan
A.data[A.data == 0] = np.nan
# compute rows and cols of nonzeros in A
rows, cols = A.nonzero()
# reset np.nan entries in A to 0.0
A.data[np.isnan(A.data)] = 0.0
# eliminate explicit zeros in A, we no longer need them
A.eliminate_zeros()
data = {"A": A, "b": b, "c": c}
if warm_start is not None:
data["x"] = warm_start[0]
data["y"] = warm_start[1]
data["s"] = warm_start[2]
kwargs.setdefault("verbose", False)
result = scs.solve(data, cone_dict, **kwargs)
status = result["info"]["status"]
if status == "Solved/Inaccurate" and "acceleration_lookback" not in kwargs:
# anderson acceleration is sometimes unstable
result = scs.solve(data, cone_dict, acceleration_lookback=0, **kwargs)
status = result["info"]["status"]
if status == "Solved/Inaccurate":
warnings.warn("Solved/Inaccurate.")
elif status != "Solved":
if raise_on_error:
raise SolverError("Solver scs returned status %s" % status)
else:
result["D"] = None
result["DT"] = None
return result
x = result["x"]
y = result["y"]
s = result["s"]
# pre-compute quantities for the derivative
m, n = A.shape
N = m + n + 1
cones = cone_lib.parse_cone_dict(cone_dict)
cones_parsed = cone_lib.parse_cone_dict_cpp(cones)
z = (x, y - s, np.array([1]))
u, v, w = z
Q = sparse.bmat(
[[None, A.T, np.expand_dims(c, -1)], [-A, None,
np.expand_dims(b, -1)],
[-np.expand_dims(c, -1).T, -np.expand_dims(b, -1).T, None]])
D_proj_dual_cone = _diffcp.dprojection(v, cones_parsed, True)
if mode == "dense":
Q_dense = Q.todense()
M = _diffcp.M_dense(Q_dense, cones_parsed, u, v, w)
MT = M.T
else:
M = _diffcp.M_operator(Q, cones_parsed, u, v, w)
MT = M.transpose()
pi_z = pi(z, cones)
def derivative(dA, db, dc, **kwargs):
"""Applies derivative at (A, b, c) to perturbations dA, db, dc
Args:
dA: SciPy sparse matrix in CSC format; must have same sparsity
pattern as the matrix `A` from the cone program
db: NumPy array representing perturbation in `b`
dc: NumPy array representing perturbation in `c`
Returns:
NumPy arrays dx, dy, ds, the result of applying the derivative
to the perturbations.
"""
dQ = sparse.bmat(
[[None, dA.T, np.expand_dims(dc, -1)],
[-dA, None, np.expand_dims(db, -1)],
[-np.expand_dims(dc, -1).T, -np.expand_dims(db, -1).T, None]])
rhs = dQ @ pi_z
if np.allclose(rhs, 0):
dz = np.zeros(rhs.size)
elif mode == "dense":
dz = _diffcp._solve_derivative_dense(M, MT, rhs)
else:
dz = _diffcp.lsqr(M, rhs).solution
du, dv, dw = np.split(dz, [n, n + m])
dx = du - x * dw
dy = D_proj_dual_cone.matvec(dv) - y * dw
ds = D_proj_dual_cone.matvec(dv) - dv - s * dw
return -dx, -dy, -ds
def adjoint_derivative(dx, dy, ds, **kwargs):
"""Applies adjoint of derivative at (A, b, c) to perturbations dx, dy, ds
Args:
dx: NumPy array representing perturbation in `x`
dy: NumPy array representing perturbation in `y`
ds: NumPy array representing perturbation in `s`
Returns:
(`dA`, `db`, `dc`), the result of applying the adjoint to the
perturbations; the sparsity pattern of `dA` matches that of `A`.
"""
dw = -(x @ dx + y @ dy + s @ ds)
dz = np.concatenate(
[dx, D_proj_dual_cone.rmatvec(dy + ds) - ds,
np.array([dw])])
if np.allclose(dz, 0):
r = np.zeros(dz.shape)
elif mode == "dense":
r = _diffcp._solve_adjoint_derivative_dense(M, MT, dz)
else:
r = _diffcp.lsqr(MT, dz).solution
values = pi_z[cols] * r[rows + n] - pi_z[n + rows] * r[cols]
dA = sparse.csc_matrix((values, (rows, cols)), shape=A.shape)
db = pi_z[n:n + m] * r[-1] - pi_z[-1] * r[n:n + m]
dc = pi_z[:n] * r[-1] - pi_z[-1] * r[:n]
return dA, db, dc
result["D"] = derivative
result["DT"] = adjoint_derivative
return result