def construct_solving_chain(problem, solver=None, gp=False):
"""Build a reduction chain from a problem to an installed solver.
Note that if the supplied problem has 0 variables, then the solver
parameter will be ignored.
Parameters
----------
problem : Problem
The problem for which to build a chain.
solver : string
The name of the solver with which to terminate the chain. If no solver
is supplied (i.e., if solver is None), then the targeted solver may be
any of those that are installed. If the problem is variable-free,
then this parameter is ignored.
gp : bool
If True, the problem is parsed as a Disciplined Geometric Program
instead of as a Disciplined Convex Program.
Returns
-------
SolvingChain
A SolvingChain that can be used to solve the problem.
Raises
------
DCPError
Raised if the problem is not DCP and `gp` is False.
DGPError
Raised if the problem is not DGP and `gp` is True.
SolverError
Raised if no suitable solver exists among the installed solvers, or
if the target solver is not installed.
"""
if solver is not None:
if solver not in slv_def.INSTALLED_SOLVERS:
raise SolverError("The solver %s is not installed." % solver)
candidates = [solver]
else:
candidates = slv_def.INSTALLED_SOLVERS
reductions = []
if problem.parameters():
reductions += [EvalParams()]
if len(problem.variables()) == 0:
reductions += [ConstantSolver()]
return SolvingChain(reductions=reductions)
if Complex2Real().accepts(problem):
reductions += [Complex2Real()]
if gp:
reductions += [Dgp2Dcp()]
if solver is not None and solver not in slv_def.CONIC_SOLVERS:
raise SolverError(
"When `gp=True`, `solver` must be a conic solver "
"(received '%s'); try calling `solve()` with `solver=cvxpy.ECOS`."
% solver)
elif solver is None:
candidates = slv_def.INSTALLED_CONIC_SOLVERS
if not gp and not problem.is_dcp():
append = ""
if problem.is_dgp():
append = (" However, the problem does follow DGP rules. "
"Consider calling this function with `gp=True`.")
raise DCPError("Problem does not follow DCP rules." + append)
elif gp and not problem.is_dgp():
append = ""
if problem.is_dcp():
append = (" However, the problem does follow DCP rules. "
"Consider calling this function with `gp=False`.")
raise DGPError("Problem does not follow DGP rules." + append)
# Dcp2Cone and Qp2SymbolicQp require problems to minimize their objectives.
if type(problem.objective) == Maximize:
reductions.append(FlipObjective())
# Conclude the chain with one of the following:
# (1) Qp2SymbolicQp --> QpMatrixStuffing --> [a QpSolver],
# (2) Dcp2Cone --> ConeMatrixStuffing --> [a ConicSolver]
#
# First, attempt to canonicalize the problem to a linearly constrained QP.
candidate_qp_solvers = [s for s in slv_def.QP_SOLVERS if s in candidates]
# Consider only MIQP solvers if problem is integer
if problem.is_mixed_integer():
candidate_qp_solvers = [
s for s in candidate_qp_solvers
if slv_def.SOLVER_MAP_QP[s].MIP_CAPABLE
]
if candidate_qp_solvers and Qp2SymbolicQp().accepts(problem):
solver = sorted(candidate_qp_solvers,
key=lambda s: slv_def.QP_SOLVERS.index(s))[0]
solver_instance = slv_def.SOLVER_MAP_QP[solver]
reductions += [
CvxAttr2Constr(),
Qp2SymbolicQp(),
QpMatrixStuffing(), solver_instance
]
return SolvingChain(reductions=reductions)
candidate_conic_solvers = [
s for s in slv_def.CONIC_SOLVERS if s in candidates
]
if problem.is_mixed_integer():
candidate_conic_solvers = \
[s for s in candidate_conic_solvers if
slv_def.SOLVER_MAP_CONIC[s].MIP_CAPABLE]
if not candidate_conic_solvers and \
not candidate_qp_solvers:
raise SolverError("Problem is mixed-integer, but candidate "
"QP/Conic solvers (%s) are not MIP-capable." %
[candidate_qp_solvers, candidate_conic_solvers])
if not candidate_conic_solvers:
raise SolverError("Problem could not be reduced to a QP, and no "
"conic solvers exist among candidate solvers "
"(%s)." % candidates)
# Attempt to canonicalize the problem to a cone program.
# Our choice of solver depends upon which atoms are present in the
# problem. The types of atoms to check for are SOC atoms, PSD atoms,
# and exponential atoms.
atoms = problem.atoms()
cones = []
if (any(atom in SOC_ATOMS for atom in atoms)
or any(type(c) == SOC for c in problem.constraints)):
cones.append(SOC)
if (any(atom in EXP_ATOMS for atom in atoms)
or any(type(c) == ExpCone for c in problem.constraints)):
cones.append(ExpCone)
if (any(atom in PSD_ATOMS for atom in atoms)
or any(type(c) == PSD for c in problem.constraints)
or any(v.is_psd() or v.is_nsd() for v in problem.variables())):
cones.append(PSD)
# Here, we make use of the observation that canonicalization only
# increases the number of constraints in our problem.
has_constr = len(cones) > 0 or len(problem.constraints) > 0
for solver in sorted(candidate_conic_solvers,
key=lambda s: slv_def.CONIC_SOLVERS.index(s)):
solver_instance = slv_def.SOLVER_MAP_CONIC[solver]
if (all(c in solver_instance.SUPPORTED_CONSTRAINTS for c in cones)
and (has_constr or not solver_instance.REQUIRES_CONSTR)):
reductions += [
Dcp2Cone(),
CvxAttr2Constr(),
ConeMatrixStuffing(), solver_instance
]
return SolvingChain(reductions=reductions)
raise SolverError(
"Either candidate conic solvers (%s) do not support the "
"cones output by the problem (%s), or there are not "
"enough constraints in the problem." %
(candidate_conic_solvers, ", ".join([cone.__name__
for cone in cones])))
def construct_intermediate_chain(problem, candidates, gp: bool = False):
"""
Builds a chain that rewrites a problem into an intermediate
representation suitable for numeric reductions.
Parameters
----------
problem : Problem
The problem for which to build a chain.
candidates : dict
Dictionary of candidate solvers divided in qp_solvers
and conic_solvers.
gp : bool
If True, the problem is parsed as a Disciplined Geometric Program
instead of as a Disciplined Convex Program.
Returns
-------
Chain
A Chain that can be used to convert the problem to an intermediate form.
Raises
------
DCPError
Raised if the problem is not DCP and `gp` is False.
DGPError
Raised if the problem is not DGP and `gp` is True.
"""
reductions = []
if len(problem.variables()) == 0:
return Chain(reductions=reductions)
# TODO Handle boolean constraints.
if complex2real.accepts(problem):
reductions += [complex2real.Complex2Real()]
if gp:
reductions += [Dgp2Dcp()]
if not gp and not problem.is_dcp():
append = build_non_disciplined_error_msg(problem, 'DCP')
if problem.is_dgp():
append += ("\nHowever, the problem does follow DGP rules. "
"Consider calling solve() with `gp=True`.")
elif problem.is_dqcp():
append += ("\nHowever, the problem does follow DQCP rules. "
"Consider calling solve() with `qcp=True`.")
raise DCPError("Problem does not follow DCP rules. Specifically:\n" +
append)
elif gp and not problem.is_dgp():
append = build_non_disciplined_error_msg(problem, 'DGP')
if problem.is_dcp():
append += ("\nHowever, the problem does follow DCP rules. "
"Consider calling solve() with `gp=False`.")
elif problem.is_dqcp():
append += ("\nHowever, the problem does follow DQCP rules. "
"Consider calling solve() with `qcp=True`.")
raise DGPError("Problem does not follow DGP rules." + append)
# Dcp2Cone and Qp2SymbolicQp require problems to minimize their objectives.
if type(problem.objective) == Maximize:
reductions += [FlipObjective()]
# First, attempt to canonicalize the problem to a linearly constrained QP.
if candidates['qp_solvers'] and qp2symbolic_qp.accepts(problem):
reductions += [CvxAttr2Constr(), Qp2SymbolicQp()]
return Chain(reductions=reductions)
# Canonicalize it to conic problem.
if not candidates['conic_solvers']:
raise SolverError("Problem could not be reduced to a QP, and no "
"conic solvers exist among candidate solvers "
"(%s)." % candidates)
reductions += [Dcp2Cone(), CvxAttr2Constr()]
return Chain(reductions=reductions)
def _reductions_for_problem_class(problem,
candidates,
gp: bool = False) -> List[Any]:
"""
Builds a chain that rewrites a problem into an intermediate
representation suitable for numeric reductions.
Parameters
----------
problem : Problem
The problem for which to build a chain.
candidates : dict
Dictionary of candidate solvers divided in qp_solvers
and conic_solvers.
gp : bool
If True, the problem is parsed as a Disciplined Geometric Program
instead of as a Disciplined Convex Program.
Returns
-------
list of Reduction objects
A list of reductions that can be used to convert the problem to an
intermediate form.
Raises
------
DCPError
Raised if the problem is not DCP and `gp` is False.
DGPError
Raised if the problem is not DGP and `gp` is True.
"""
reductions = []
# TODO Handle boolean constraints.
if complex2real.accepts(problem):
reductions += [complex2real.Complex2Real()]
if gp:
reductions += [Dgp2Dcp()]
if not gp and not problem.is_dcp():
append = build_non_disciplined_error_msg(problem, 'DCP')
if problem.is_dgp():
append += ("\nHowever, the problem does follow DGP rules. "
"Consider calling solve() with `gp=True`.")
elif problem.is_dqcp():
append += ("\nHowever, the problem does follow DQCP rules. "
"Consider calling solve() with `qcp=True`.")
raise DCPError("Problem does not follow DCP rules. Specifically:\n" +
append)
elif gp and not problem.is_dgp():
append = build_non_disciplined_error_msg(problem, 'DGP')
if problem.is_dcp():
append += ("\nHowever, the problem does follow DCP rules. "
"Consider calling solve() with `gp=False`.")
elif problem.is_dqcp():
append += ("\nHowever, the problem does follow DQCP rules. "
"Consider calling solve() with `qcp=True`.")
raise DGPError("Problem does not follow DGP rules." + append)
# Dcp2Cone and Qp2SymbolicQp require problems to minimize their objectives.
if type(problem.objective) == Maximize:
reductions += [FlipObjective()]
if _solve_as_qp(problem, candidates):
reductions += [CvxAttr2Constr(), qp2symbolic_qp.Qp2SymbolicQp()]
else:
# Canonicalize it to conic problem.
if not candidates['conic_solvers']:
raise SolverError("Problem could not be reduced to a QP, and no "
"conic solvers exist among candidate solvers "
"(%s)." % candidates)
else:
reductions += [Dcp2Cone(), CvxAttr2Constr()]
constr_types = {type(c) for c in problem.constraints}
if FiniteSet in constr_types:
reductions += [Valinvec2mixedint()]
return reductions