def solve(self, p):
model = miosqp.MIOSQP()
model.setup(p.P, p.q, p.A, p.l, p.u, p.i_idx, p.i_l, p.i_u,
self.options)
res_miosqp = model.solve()
return res_miosqp
def __init__(self, n_inputs, n_outputs, n_tasks, args):
super(Net, self).__init__()
nl, nh = args.n_layers, args.n_hiddens
self.margin = args.memory_strength
self.is_cifar = ('cifar10' in args.data_file)
m = miosqp.MIOSQP()
self.solver = m
if self.is_cifar:
self.net = ResNet18(n_outputs, bias=args.bias)
else:
self.net = MLP([n_inputs] + [nh] * nl + [n_outputs])
self.ce = nn.CrossEntropyLoss()
self.n_outputs = n_outputs
self.normalize = args.normalize
self.opt = optim.SGD(self.parameters(), args.lr)
self.n_memories = args.n_memories
self.n_sampled_memories = args.n_sampled_memories
self.n_constraints = args.n_constraints
self.gpu = args.cuda
self.batch_size = args.batch_size
self.n_iter = args.n_iter
self.slack = args.slack
self.normalize = args.normalize
self.change_th = args.change_th # gradient direction change threshold to re-select constraints
# allocate ring buffer
self.memory_data = torch.FloatTensor(self.n_memories, n_inputs)
self.memory_labs = torch.LongTensor(self.n_memories)
# allocate selected memory
self.sampled_memory_data = None
self.sampled_memory_labs = None
self.sampled_memory_taskids = None
self.sampled_memory_age = None
self.subselect = args.subselect # if 1, first select from recent memory and then add to samples memories
# allocate selected constraints
self.constraints_data = None
self.constraints_labs = None
# old grads to measure changes
self.old_mem_grads = None
if args.cuda:
self.memory_data = self.memory_data.cuda()
self.memory_labs = self.memory_labs.cuda()
# allocate temporary synaptic memory
self.grad_dims = []
for param in self.parameters():
self.grad_dims.append(param.data.numel())
# we keep few samples per task and use their gradients
# if args.cuda:
# self.grads = self.grads.cuda()
# allocate counters
self.observed_tasks = []
self.old_task = -1
self.mem_cnt = 0
def __init__(self, n_inputs, n_outputs, n_tasks, args):
super(Net, self).__init__()
nl, nh = args.n_layers, args.n_hiddens
self.margin = args.memory_strength
self.is_cifar = ('cifar10' in args.data_file)
m = miosqp.MIOSQP()
self.solver = m
if self.is_cifar:
self.net = ResNet18(n_outputs, bias=args.bias)
else:
self.net = MLP([n_inputs] + [nh] * nl + [n_outputs])
self.ce = nn.CrossEntropyLoss()
self.n_outputs = n_outputs
self.opt = optim.SGD(self.parameters(), args.lr)
self.n_memories = args.n_memories # number of memories per task
self.n_sampled_memories = args.n_sampled_memories # number of sampled memories per task
self.n_constraints = args.n_constraints
self.gpu = args.cuda
self.batch_size = args.batch_size
self.n_iter = args.n_iter
# allocate ring buffer
self.memory_data = torch.FloatTensor(self.n_memories, n_inputs)
self.memory_labs = torch.LongTensor(self.n_memories)
self.added_index = self.n_sampled_memories
# allocate buffer for the current task
self.sampled_memory_data = None
self.sampled_memory_labs = None
# allocate buffer for each task
self.sampled_task_data = {}
self.sampled_task_labs = {}
# allocate selected constraints
self.constraints_data = None
self.constraints_labs = None
self.cluster_distance = 0
# old grads to measure changes
self.old_mem_grads = None
if args.cuda:
self.memory_data = self.memory_data.cuda()
self.memory_labs = self.memory_labs.cuda()
# allocate counters
self.observed_tasks = []
self.old_task = -1
self.mem_cnt = 0
self.n_task = 0
self.n_old_task = 0
self.sample_size_list = []
self.task_buffer_size = 0
# for cross distillation
self.distill = args.distill
self.teacher = None
self.T = args.T
self.alpha = args.alpha
def _solve_MIQP(self, k):
n = self._data_len
m = self._X.shape[1]
i_idx = np.random.choice(np.arange(0, m), k)
beta = self._X
P = csc_matrix(2 * np.dot(beta.T, beta))
q = -2 * np.dot(self._X.T, self._y)
A = csc_matrix(np.ones((m, m)))
l = k * np.ones(m)
u = k * np.ones(m)
i_l = np.zeros(k, dtype=np.int)
i_u = np.ones(k, dtype=np.int)
miosqp_settings = {
# integer feasibility tolerance
'eps_int_feas': 1e-03,
# maximum number of iterations
'max_iter_bb': 1000,
# tree exploration rule
# [0] depth first
# [1] two-phase: depth first until first incumbent and then best bound
'tree_explor_rule': 1,
# branching rule
# [0] max fractional part
'verbose': False,
'branching_rule': 0,
'print_interval': 1
}
osqp_settings = {
'eps_abs': 1e-03,
'eps_rel': 1e-03,
'eps_prim_inf': 1e-04,
'verbose': False
}
model = miosqp.MIOSQP()
model.setup(P, q, A, l, u, i_idx, i_l, i_u, miosqp_settings,
osqp_settings)
result = model.solve()
argx = np.argsort(result.x)[::-1][:k]
return result.upper_glob, result.x, argx
def solve(n_vec, m_vec, p_vec, repeat, dns_level, seed, solver='gurobi'):
"""
Solve random optimization problems
"""
print("Solving random problems with solver %s\n" % solver)
# Define statistics to record
std_solve_time = np.zeros(len(n_vec))
avg_solve_time = np.zeros(len(n_vec))
min_solve_time = np.zeros(len(n_vec))
max_solve_time = np.zeros(len(n_vec))
n_prob = len(n_vec)
# Store also OSQP time
if solver == 'miosqp':
# Add OSQP solve times statistics
avg_osqp_solve_time = np.zeros(len(n_vec))
# reset random seed
np.random.seed(seed)
for i in range(n_prob):
# Get dimensions
n = n_vec[i]
m = m_vec[i]
p = p_vec[i]
print("problem n = %i, m = %i, p = %i" % (n, m, p))
# Define vector of cpu times
solve_time_temp = np.zeros(repeat)
# Store also OSQP time
if solver == 'miosqp':
osqp_solve_time_temp = np.zeros(repeat)
for j in tqdm(range(repeat)):
# for j in range(repeat):
# Generate random vector of indeces
i_idx = np.random.choice(np.arange(0, n), p, replace=False)
# Generate random Matrices
Pt = spa.random(n, n, density=dns_level)
P = spa.csc_matrix(np.dot(Pt, Pt.T))
q = sp.randn(n)
A = spa.random(m, n, density=dns_level)
u = 2 + sp.rand(m)
l = -2 + sp.rand(m)
# Enforce [0, 1] bounds on variables
i_l = np.zeros(p)
i_u = np.ones(p)
# A, l, u = miosqp.add_bounds(i_idx, 0., 1., A, l, u)
if solver == 'gurobi':
# Solve with gurobi
prob = mpbpy.QuadprogProblem(P, q, A, l, u, i_idx, i_l, i_u)
res_gurobi = prob.solve(solver=mpbpy.GUROBI,
verbose=False, Threads=1)
if res_gurobi.status != 'optimal':
import ipdb
ipdb.set_trace()
solve_time_temp[j] = 1e3 * res_gurobi.cputime
elif solver == 'miosqp':
# Define problem settings
miosqp_settings = {
# integer feasibility tolerance
'eps_int_feas': 1e-03,
# maximum number of iterations
'max_iter_bb': 1000,
# tree exploration rule
# [0] depth first
# [1] two-phase: depth first until first incumbent and then best bound
'tree_explor_rule': 1,
# branching rule
# [0] max fractional part
'branching_rule': 0,
'verbose': False,
'print_interval': 1}
osqp_settings = {'eps_abs': 1e-03,
'eps_rel': 1e-03,
'eps_prim_inf': 1e-04,
'verbose': False}
model = miosqp.MIOSQP()
model.setup(P, q, A, l, u, i_idx, i_l, i_u,
miosqp_settings,
osqp_settings)
res_miosqp = model.solve()
# DEBUG (check if solutions match)
# prob = mpbpy.QuadprogProblem(P, q, A, l, u, i_idx, i_l, i_u)
# res_gurobi = prob.solve(solver=mpbpy.GUROBI, verbose=False)
# if (np.linalg.norm(res_gurobi.x - res_miosqp.x) /
# np.linalg.norm(res_gurobi.x)) > 1e-02:
# import ipdb; ipdb.set_trace()
#
# import ipdb; ipdb.set_trace()
if res_miosqp.status != miosqp.MI_SOLVED:
import ipdb
ipdb.set_trace()
# Solution time
solve_time_temp[j] = 1e3 * res_miosqp.run_time
# Store OSQP time in percentage
if solver == 'miosqp':
osqp_solve_time_temp[j] = \
100 * (res_miosqp.osqp_solve_time / res_miosqp.run_time)
# Get time statistics
std_solve_time[i] = np.std(solve_time_temp)
avg_solve_time[i] = np.mean(solve_time_temp)
max_solve_time[i] = np.max(solve_time_temp)
min_solve_time[i] = np.min(solve_time_temp)
# Store also OSQP time
if solver == 'miosqp':
avg_osqp_solve_time[i] = np.mean(osqp_solve_time_temp)
# Create pandas dataframe for the results
df_dict = {'n': n_vec,
'm': m_vec,
'p': p_vec,
't_min': min_solve_time,
't_max': max_solve_time,
't_avg': avg_solve_time,
't_std': std_solve_time}
# Store also OSQP time
if solver == 'miosqp':
df_dict.update({'t_osqp_avg': avg_osqp_solve_time})
timings = pd.DataFrame(df_dict)
return timings
def compute_mpc_input(self, x0, u_prev, solver='gurobi'):
"""
Compute MPC input at initial state x0 with specified solver
"""
qp = self.qp_matrices
N = qp.N
# Update objective
q = 2. * (qp.q_x.dot(x0) + qp.q_u)
# Update bounds
SA_tildex0 = qp.SA_tilde.dot(x0)
qp.u[:6 * N] = SA_tildex0
# qp.l[:6 * N] = -SA_tildex0
if solver == 'gurobi':
# Solve problem
prob = mpbpy.QuadprogProblem(qp.P, q, qp.A, qp.l, qp.u, qp.i_idx,
qp.i_l, qp.i_u, x0=u_prev)
res_gurobi = prob.solve(solver=mpbpy.GUROBI, verbose=False,
Threads=1)
u = res_gurobi.x
obj_val = res_gurobi.obj_val
solve_time = res_gurobi.cputime
elif solver == 'miosqp':
if self.solver is None:
# Define problem settings
miosqp_settings = {'eps_int_feas': 1e-02, # integer feasibility tolerance
'max_iter_bb': 2000, # maximum number of iterations
'tree_explor_rule': 1, # tree exploration rule
# [0] depth first
# [1] two-phase: depth first until first incumbent and then best bound
'branching_rule': 0, # branching rule
# [0] max fractional part
'verbose': False,
'print_interval': 1}
osqp_settings = {'eps_abs': 1e-03,
'eps_rel': 1e-03,
'eps_prim_inf': 1e-04,
# 'rho': 0.001,
# 'rho': 0.1,
'verbose': False}
self.solver = miosqp.MIOSQP()
self.solver.setup(qp.P, q, qp.A, qp.l,
qp.u, qp.i_idx, qp.i_l, qp.i_u,
miosqp_settings,
osqp_settings)
else:
self.solver.update_vectors(q, qp.l, qp.u)
self.solver.set_x0(u_prev)
res_miosqp = self.solver.solve()
# import ipdb; ipdb.set_trace()
# DEBUG Check if gurobi gives same solution
# N.B. They do not match when the norm of the
# difference of the objective functions
# is below the tolerance
#
# prob = mpbpy.QuadprogProblem(qp.P, q, qp.A, qp.l, qp.u, qp.i_idx)
# res_gurobi = prob.solve(solver=mpbpy.GUROBI, verbose=False, x0=u_prev)
# if np.linalg.norm(res_miosqp.x - res_gurobi.x)> 1e-02:
# print("Norm of difference of solution = %.4e" % \
# np.linalg.norm(res_miosqp.x - res_gurobi.x))
# import ipdb; ipdb.set_trace()
if res_miosqp.status != miosqp.MI_SOLVED:
import ipdb; ipdb.set_trace()
u = res_miosqp.x
obj_val = res_miosqp.upper_glob
solve_time = res_miosqp.run_time
osqp_solve_time = 100 * res_miosqp.osqp_solve_time / res_miosqp.run_time
# Get first input
u0 = u[:6]
if solver == 'miosqp':
return u0, obj_val, solve_time, u, \
osqp_solve_time, \
res_miosqp.osqp_iter_avg
else:
return u0, obj_val, solve_time, u, 0, 0
def __call__(self, cardinality=None, threshold=None):
if cardinality is threshold is None:
raise ValueError("Set either cardinality or threshold.")
if not self.initialized:
self.initialize()
# The number of restraints are the upper and lower boundaries on
# each variable plus one for the sum(w_i) <= 1, plus nconformers to
# set a threshold constraint plus 1 for a cardinality constraint
# We set first the weights upper and lower bounds, then the sum
# constraint, then the binary variables upper and lower boundary
# and then the coupling restraints followed by the threshold
# contraints and finally a cardinality constraint.
# A_row effectively contains the constraint indices
# A_col holds which variables are involved in the constraint
A_data = [1] * (2 * self.nconformers)
A_row = list(range(
self.nconformers)) + [self.nconformers] * self.nconformers
A_col = list(range(self.nconformers)) * 2
nconstraints = self.nconformers + 1
i_l = np.zeros(self.nconformers, np.int32)
i_u = np.ones(self.nconformers, np.int32)
i_idx = np.arange(self.nconformers,
2 * self.nconformers,
dtype=np.int32)
# Introduce an implicit cardinality constraint
# 0 <= zi - wi <= 1
A_data += [-1] * self.nconformers + [1] * self.nconformers
# The wi and zi indices
start_row = self.nconformers + 1
A_row += list(range(start_row, start_row + self.nconformers)) * 2
A_col += list(range(2 * self.nconformers))
nconstraints += self.nconformers
if threshold is not None:
# Introduce threshold constraint
# 0 <= wi - t * zi <= 1
A_data += [1] * self.nconformers + [-threshold
] * self.nconformers
start_row += self.nconformers
A_row += list(range(start_row,
start_row + self.nconformers)) * 2
A_col += list(range(2 * self.nconformers))
nconstraints += self.nconformers
if cardinality is not None:
# Introduce explicit cardinality constraint
# 0 <= sum(zi) <= cardinality
A_data += [1] * self.nconformers
A_row += [nconstraints] * self.nconformers
A_col += list(range(self.nconformers, self.nconformers * 2))
nconstraints += 1
l = np.zeros(nconstraints)
u = np.ones(nconstraints)
if cardinality is not None:
u[-1] = cardinality
A = sparse.csc_matrix((A_data, (A_row, A_col)))
miqp = miosqp.MIOSQP()
miqp.setup(self.P, self.q, A, l, u, i_idx, i_l, i_u,
self.MIOSQP_SETTINGS, self.OSQP_SETTINGS)
result = miqp.solve()
self.weights = np.asarray(result.x[:self.nconformers])
self.obj_value = 2 * result.upper_glob + np.inner(
self.target, self.target)
def optimization(self, dynamic_map, target_lane_index, Xp, params, x_tf):
"""
Solver
# x_tf: the final longitudinal position of target front vehicle
"""
'''cost function '''
if target_lane_index == -1:
target_lane = dynamic_map.jmap.reference_path
else:
target_lane = dynamic_map.mmap.lanes[int(target_lane_index)]
# y_des is the centre of the target lane, x_tf is final longitudinal position of target front vehicle
y_des = target_lane.map_lane.central_path_points[0].position.y
obj_fun = CostFunction(params, self.var_num, y_des, x_tf)
qp_P = obj_fun.P
qp_q = obj_fun.q
''' Optimization Loop
iteration
'''
flag = 1
count = 1
max_iter = params.max_iter
Np = params.Np
nx = params.nx
while flag:
print('================== iter={} ===================='.format(
count))
if count > max_iter:
print('Maximum iteration number!')
break
# Model Linearization
## based on the solution solved at previous step
Ae, be = self.model_linearization(Xp, params)
qp_A, qp_l, qp_u, i_idx, i_l, i_u = self.get_constraint_matrix(
Ae, be, params, dynamic_map, target_lane_index)
# P and A are both in the scipy sparse CSC format.
qp_P = spa.csc_matrix(qp_P)
qp_A = spa.csc_matrix(qp_A)
# Solver settings
miosqp_settings = {
'eps_int_feas': 1e-03,
'max_iter_bb': 1000,
'tree_explor_rule': 1,
'branching_rule': 0,
'verbose': False,
'print_interval': 1
}
osqp_settings = {
'eps_abs': 1e-03,
'eps_rel': 1e-03,
'eps_prim_inf': 1e-04,
'verbose': False
}
mysolver = miosqp.MIOSQP()
mysolver.setup(qp_P, qp_q, qp_A, qp_l, qp_u, i_idx, i_l, i_u,
miosqp_settings, osqp_settings)
# Set initial solution
# The initial guess can speedup the branch-and-bound algorithm significantly.
# To set an initial feasible solution x0 we can run:m.set_x0(x0)
solution_init = np.empty(self.var_num)
mysolver.set_x0(solution_init)
# Solve the problem
res_miosqp = mysolver.solve()
# Solution
X = res_miosqp.x
''' Iteration '''
if count == 1:
Xp = X
count = count + 1
if count > 1:
x_differ = np.zeros((Np + 1, 1))
y_differ = np.zeros((Np + 1, 1))
for i in range(Np + 1):
x_differ[i] = X[i * nx + 0] - Xp[i * nx + 0]
y_differ[i] = X[i * nx + 1] - Xp[i * nx + 1]
''' stop condition'''
if max([abs(fi) for fi in x_differ]) <= 0.05 and max(
[abs(fj) for fj in y_differ]) <= 0.05:
flag = 0
else:
Xp = X
return X