def check_complementarity(self, places):
# TODO: once dual variables are stored for attributes
# (e.g. X = Variable(shape=(n,n), PSD=True)), check
# complementarity against the dual variable of the
# attribute constraint.
for con in self.constraints:
if isinstance(con, cp.constraints.PSD):
dv = con.dual_value
pv = con.args[0].value
comp = cp.scalar_product(pv, dv).value
elif isinstance(con, (cp.constraints.ExpCone, cp.constraints.SOC,
cp.constraints.NonPos, cp.constraints.Zero)):
comp = cp.scalar_product(con.args, con.dual_value).value
elif isinstance(con, cp.constraints.PowCone3D):
comp = cp.scalar_product(con.args[:3], con.dual_value).value
elif isinstance(
con, (cp.constraints.Inequality, cp.constraints.Equality)):
comp = cp.scalar_product(con.expr, con.dual_value).value
elif isinstance(con, cp.constraints.PowConeND):
msg = '\nPowConeND dual variables not implemented;' \
+ '\nSkipping complementarity check.'
warnings.warn(msg)
else:
raise ValueError('Unknown constraint type %s.' % type(con))
self.tester.assertAlmostEqual(comp, 0, places)
def test_scalar_product(self) -> None:
"""Test scalar product.
"""
p = np.ones((4, ))
v = cp.Variable((4, ))
p = np.ones((4, ))
obj = cp.Minimize(cp.scalar_product(v, p))
prob = cp.Problem(obj, [v >= 1])
prob.solve(solver=cp.SCS)
assert np.allclose(v.value, p)
# With a parameter.
p = cp.Parameter((4, ))
v = cp.Variable((4, ))
p.value = np.ones((4, ))
obj = cp.Minimize(cp.scalar_product(v, p))
prob = cp.Problem(obj, [v >= 1])
prob.solve(solver=cp.SCS)
assert np.allclose(v.value, p.value)