def _solve(self,
solver=None,
warm_start=True,
verbose=False,
gp=False,
qcp=False,
requires_grad=False,
enforce_dpp=False,
**kwargs):
"""Solves a DCP compliant optimization problem.
Saves the values of primal and dual variables in the variable
and constraint objects, respectively.
Arguments
---------
solver : str, optional
The solver to use. Defaults to ECOS.
warm_start : bool, optional
Should the previous solver result be used to warm start?
verbose : bool, optional
Overrides the default of hiding solver output.
gp : bool, optional
If True, parses the problem as a disciplined geometric program.
qcp : bool, optional
If True, parses the problem as a disciplined quasiconvex program.
requires_grad : bool, optional
Makes it possible to compute gradients with respect to
parameters by calling `backward()` after solving, or to compute
perturbations to the variables by calling `derivative()`. When
True, the solver must be SCS, and dqcp must be False.
A DPPError is thrown when problem is not DPP.
enforce_dpp : bool, optional
When True, a DPPError will be thrown when trying to solve a non-DPP
problem (instead of just a warning). Defaults to False.
kwargs : dict, optional
A dict of options that will be passed to the specific solver.
In general, these options will override any default settings
imposed by cvxpy.
Returns
-------
float
The optimal value for the problem, or a string indicating
why the problem could not be solved.
"""
for parameter in self.parameters():
if parameter.value is None:
raise error.ParameterError(
"A Parameter (whose name is '%s') does not have a value "
"associated with it; all Parameter objects must have "
"values before solving a problem." % parameter.name())
if requires_grad:
dpp_context = 'dgp' if gp else 'dcp'
if qcp:
raise ValueError("Cannot compute gradients of DQCP problems.")
elif not self.is_dpp(dpp_context):
raise error.DPPError("Problem is not DPP (when requires_grad "
"is True, problem must be DPP).")
elif solver is not None and solver not in [s.SCS, s.DIFFCP]:
raise ValueError("When requires_grad is True, the only "
"supported solver is SCS "
"(received %s)." % solver)
elif s.DIFFCP not in slv_def.INSTALLED_SOLVERS:
raise ImportError(
"The Python package diffcp must be installed to "
"differentiate through problems. Please follow the "
"installation instructions at "
"https://github.com/cvxgrp/diffcp")
else:
solver = s.DIFFCP
else:
if gp and qcp:
raise ValueError("At most one of `gp` and `qcp` can be True.")
if qcp and not self.is_dcp():
if not self.is_dqcp():
raise error.DQCPError("The problem is not DQCP.")
reductions = [dqcp2dcp.Dqcp2Dcp()]
if type(self.objective) == Maximize:
reductions = [FlipObjective()] + reductions
chain = Chain(problem=self, reductions=reductions)
soln = bisection.bisect(chain.reduce(),
solver=solver,
verbose=verbose,
**kwargs)
self.unpack(chain.retrieve(soln))
return self.value
data, solving_chain, inverse_data = self.get_problem_data(
solver, gp, enforce_dpp)
solution = solving_chain.solve_via_data(self, data, warm_start,
verbose, kwargs)
self.unpack_results(solution, solving_chain, inverse_data)
return self.value
def _solve(self,
solver=None,
warm_start=True,
verbose=False,
parallel=False,
gp=False,
qcp=False,
**kwargs):
"""Solves a DCP compliant optimization problem.
Saves the values of primal and dual variables in the variable
and constraint objects, respectively.
Parameters
----------
solver : str, optional
The solver to use. Defaults to ECOS.
warm_start : bool, optional
Should the previous solver result be used to warm start?
verbose : bool, optional
Overrides the default of hiding solver output.
parallel : bool, optional
If problem is separable, solve in parallel.
gp : bool, optional
If True, parses the problem as a disciplined geometric program.
qcp : bool, optional
If True, parses the problem as a disciplined quasiconvex program.
kwargs : dict, optional
A dict of options that will be passed to the specific solver.
In general, these options will override any default settings
imposed by cvxpy.
Returns
-------
float
The optimal value for the problem, or a string indicating
why the problem could not be solved.
"""
if gp and qcp:
raise ValueError("At most one of `gp` and `qcp` can be True.")
if qcp and not self.is_dcp():
if not self.is_dqcp():
raise error.DQCPError("The problem is not DQCP.")
reductions = [dqcp2dcp.Dqcp2Dcp()]
if type(self.objective) == Maximize:
reductions = [FlipObjective()] + reductions
chain = Chain(problem=self, reductions=reductions)
soln = bisection.bisect(chain.reduce(),
solver=solver,
verbose=verbose,
**kwargs)
self.unpack(chain.retrieve(soln))
return self.value
if parallel:
from cvxpy.transforms.separable_problems import get_separable_problems
self._separable_problems = (get_separable_problems(self))
if len(self._separable_problems) > 1:
return self._parallel_solve(solver, warm_start, verbose,
**kwargs)
self._construct_chains(solver=solver, gp=gp)
data, solving_inverse_data = self._solving_chain.apply(
self._intermediate_problem)
solution = self._solving_chain.solve_via_data(self, data, warm_start,
verbose, kwargs)
full_chain = self._solving_chain.prepend(self._intermediate_chain)
inverse_data = self._intermediate_inverse_data + solving_inverse_data
self.unpack_results(solution, full_chain, inverse_data)
return self.value