Added rho adaptation based on time

laoyuer · Oct 21, 2017 · 278d2e7 · 278d2e7
1 parent 4e46f41
commit 278d2e7
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Showing 6 changed files with 42 additions and 7 deletions.
diff --git a/configure/glob_opts.h.in b/configure/glob_opts.h.in
@@ -134,15 +134,23 @@ typedef float c_float;                /* for numerical values  */
 #define c_min(a, b) (((a) < (b)) ? (a) : (b))
 #endif
 
+// Round x to the nearest multiple of N
+#ifndef c_roundmultiple
+#define c_roundmultiple(x, N) ((x) + .5 * (N) - c_fmod((x) + .5 * (N), (N)))
+#endif
+
+
 /* Use customized functions -----------------------------------------------   */
 
 #if EMBEDDED != 1
 
 #include <math.h>
 #ifndef DFLOAT // Doubles
 #define c_sqrt sqrt
+#define c_fmod fmod
 #else         // Floats
 #define c_sqrt sqrtf
+#define c_fmod fmodf
 #endif
 
 #endif // end EMBEDDED

diff --git a/include/constants.h b/include/constants.h
@@ -73,6 +73,7 @@ static const char *LINSYS_SOLVER_NAME[] = {
 
 #define ADAPTIVE_RHO (1)
 #define ADAPTIVE_RHO_INTERVAL (0)
+#define ADAPTIVE_RHO_AUTO_INTERVAL_PERCENTAGE (0.7)  ///< Percentage of setup time after which we update rho
 #endif
 
 /* Printing */

diff --git a/interfaces/python/modulepurepy/_osqp.py b/interfaces/python/modulepurepy/_osqp.py
@@ -958,7 +958,7 @@ def print_polish(self):
         """
         Print polish information
         """
-        print("plsh  %11.4e   %8.2e   %8.2e   ---       %8.2es" %
+        print("plsh  %11.4e   %8.2e   %8.2e   --------  %8.2es" %
               (self.work.info.obj_val,
                self.work.info.pri_res,
                self.work.info.dua_res,

diff --git a/interfaces/python/tests/general/simple_prob.py b/interfaces/python/tests/general/simple_prob.py
@@ -6,8 +6,8 @@
 import mathprogbasepy as mpbpy
 sp.random.seed(2)
 
-n = 100
-m = 500
+n = 500
+m = 1000
 A = sparse.random(m, n, density=0.5,
                   data_rvs=np.random.randn,
                   format='csc')
@@ -46,11 +46,11 @@
 
 osqp_opts = {'rho': rho,
              'adaptive_rho': True,
-             'adaptive_rho_interval': 100,
+             'adaptive_rho_interval': 0,
              'sigma': 1e-06,
              'scaled_termination': False,
-             'check_termination': 1,
-             'polish': True,
+             'check_termination': 25,
+             'polish': False,
              'verbose': True,
              'linsys_solver': 'suitesparse ldl'
              }

diff --git a/src/osqp.c b/src/osqp.c
@@ -311,6 +311,32 @@ c_int osqp_solve(OSQPWorkspace * work){
 
 
 #if EMBEDDED != 1
+		// If adaptive rho with automatic interval, check if the solve time is a certain percentage 
+		// of the setup time.
+		if (work->settings->adaptive_rho && !work->settings->adaptive_rho_interval){
+			// Check time 
+			if (toc(work->timer) > ADAPTIVE_RHO_AUTO_INTERVAL_PERCENTAGE * work->info->setup_time){
+					// Enough time has passed. We round the number of iterations to the
+					// closest multiple of check_termination
+					//
+					work->settings->adaptive_rho_interval = (c_int)c_roundmultiple(iter, work->settings->check_termination);
+					// Make sure the interval is not 0 and at least check_termination times
+					work->settings->adaptive_rho_interval = c_max(work->settings->adaptive_rho_interval, work->settings->check_termination);
+
+// #ifdef PRINTING
+//                                         // DEBUG: print stuff
+//                                         c_print("time %.2e, iter %i, check_termination %i, new_interval %i\n",
+//                                                         toc(work->timer), iter,
+//                                                         work->settings->check_termination,
+//                                                         work->settings->adaptive_rho_interval);
+// #endif
+
+			}
+
+		}
+
+
+
 		// Adapt rho
 		if (work->settings->adaptive_rho &&
 				work->settings->adaptive_rho_interval &&	

diff --git a/src/util.c b/src/util.c
@@ -152,7 +152,7 @@ void print_polish(OSQPWorkspace * work) {
     c_print("  %11.4e", info->obj_val);
     c_print("   %8.2e", info->pri_res);
     c_print("   %8.2e", info->dua_res);
-    c_print("   ---     ");
+    c_print("   --------");
 #ifdef PROFILING
     c_print("   %8.2es", info->setup_time + info->solve_time +
             info->polish_time);