Merge branch 'parameters_selection'

xianglunkai · Mar 29, 2017 · 9036153 · 9036153
2 parents fcc4fba + 15386f4
commit 9036153
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Showing 30 changed files with 418 additions and 348 deletions.
diff --git a/.gitignore b/.gitignore
@@ -200,6 +200,7 @@ out/
 # Data Files
 # -------------------------------------------------------------------
 interfaces/python/tests/qp_problems/results/
+interfaces/python/tests/qp_problems/results_bak
 interfaces/python/tests/qp_problems/figures/
 tests/**/*data.h
 interfaces/python/*.so

diff --git a/docs/interfaces/python.rst b/docs/interfaces/python.rst
@@ -40,7 +40,9 @@ The keyword arguments :code:`**settings` specify the solver settings as follows
 +====================================+=====================================+================+
 | :code:`scaling`                    | Perform data scaling                |   True         |
 +------------------------------------+-------------------------------------+----------------+
-| :code:`rho`                        | ADMM rho step                       |   0.1          |
+| :code:`rho`                        | ADMM rho step                       | Auto computed  |
++------------------------------------+-------------------------------------+----------------+
+| :code:`auto_rho`                   | ADMM rho step automatic selection   |   True         |
 +------------------------------------+-------------------------------------+----------------+
 | :code:`sigma`                      | ADMM sigma step                     |   0.001        |
 +------------------------------------+-------------------------------------+----------------+

diff --git a/include/auxil.h b/include/auxil.h
@@ -19,6 +19,12 @@ extern "C" {
  * Auxiliary functions needed to compute ADMM iterations * *
  ***********************************************************/
 
+/**
+ * Automatically compute rho
+ * @param work Workspace
+ */
+void compute_rho(OSQPWorkspace * work);
+
 /**
  * Swap c_float vector pointers
  * @param a first vector

diff --git a/include/constants.h b/include/constants.h
@@ -43,6 +43,10 @@ extern "C" {
 #define POLISH (1)
 #define POL_REFINE_ITER (3)
 #define VERBOSE (1)
+#define AUTO_RHO (1)
+#define AUTO_RHO_OFFSET (1.07838081E-03)    // Not settable by the user
+#define AUTO_RHO_SLOPE (2.31511262)         // Not settable by the user
+#define AUTO_RHO_MAX (10.)                  // Not settable by user
 #endif
 
 #define EARLY_TERMINATE (1)

diff --git a/include/lin_alg.h b/include/lin_alg.h
@@ -91,13 +91,29 @@ i.e. scale the columns of A by d
 */
 void mat_postmult_diag(csc *A, const c_float *d);
 
-
+#ifndef EMBEDDEED
 /* Elementwise square matrix M */
 void mat_ew_sq(csc * A);
 
 /* Elementwise absolute value of matrix M */
 void mat_ew_abs(csc * A);
 
+/**
+ * Trace of matrix M in cdc format
+ * @param  M Input matrix
+ * @return   Trace
+ */
+c_float mat_trace(csc * M);
+
+/**
+ * Frobenius norm squared of matrix M
+ * @param  M Input matrix
+ * @return   Frobenius norm squared
+ */
+c_float mat_fro_sq(csc * M);
+#endif // ifndef embedded
+
+
 /* Matrix-vector multiplication
  *    y  =  A*x  (if plus_eq == 0)
  *    y +=  A*x  (if plus_eq == 1)

diff --git a/include/osqp.h b/include/osqp.h
@@ -319,6 +319,7 @@ c_int osqp_update_pol_refine_iter(OSQPWorkspace * work, c_int pol_refine_iter_ne
  */
 c_int osqp_update_verbose(OSQPWorkspace * work, c_int verbose_new);
 
+
 #endif  // #ifndef EMBEDDED
 
 

diff --git a/include/types.h b/include/types.h
@@ -131,6 +131,7 @@ typedef struct {
         c_int pol_refine_iter; /* iterative refinement steps in polish */
 
         c_int verbose; /* boolean, write out progress */
+        c_int auto_rho; // boolean, true if rho is chosen automatically
         #endif
 
         c_int early_terminate;  // boolean, terminate if stopping criterion is met

diff --git a/interfaces/matlab/osqp_mex.cpp b/interfaces/matlab/osqp_mex.cpp
@@ -34,6 +34,7 @@ const char* OSQP_SETTINGS_FIELDS[] =
                                 "delta",                        //c_float
                                 "polish",                       //c_int
                                 "pol_refine_iter",              //c_int
+                                "auto_rho",                     //c_int
                                 "verbose",                      //c_int
                                 "early_terminate",              //c_int
                                 "early_terminate_interval",     //c_int
@@ -641,6 +642,7 @@ mxArray* copySettingsToMxStruct(OSQPSettings* settings){
   mxSetField(mxPtr, 0, "delta",           mxCreateDoubleScalar(settings->delta));
   mxSetField(mxPtr, 0, "polish",          mxCreateDoubleScalar(settings->polish));
   mxSetField(mxPtr, 0, "pol_refine_iter", mxCreateDoubleScalar(settings->pol_refine_iter));
+  mxSetField(mxPtr, 0, "auto_rho", mxCreateDoubleScalar(settings->auto_rho));
   mxSetField(mxPtr, 0, "verbose",         mxCreateDoubleScalar(settings->verbose));
   mxSetField(mxPtr, 0, "early_terminate", mxCreateDoubleScalar(settings->early_terminate));
   mxSetField(mxPtr, 0, "early_terminate_interval", mxCreateDoubleScalar(settings->early_terminate_interval));
@@ -810,6 +812,7 @@ void copyMxStructToSettings(const mxArray* mxPtr, OSQPSettings* settings){
   settings->delta           = (c_float)mxGetScalar(mxGetField(mxPtr, 0, "delta"));
   settings->polish          = (c_int)mxGetScalar(mxGetField(mxPtr, 0, "polish"));
   settings->pol_refine_iter = (c_int)mxGetScalar(mxGetField(mxPtr, 0, "pol_refine_iter"));
+  settings->auto_rho = (c_int)mxGetScalar(mxGetField(mxPtr, 0, "auto_rho"));
   settings->verbose         = (c_int)mxGetScalar(mxGetField(mxPtr, 0, "verbose"));
   settings->early_terminate = (c_int)mxGetScalar(mxGetField(mxPtr, 0, "early_terminate"));
   settings->early_terminate_interval = (c_int)mxGetScalar(mxGetField(mxPtr, 0, "early_terminate_interval"));

diff --git a/interfaces/matlab/unittests/feasibility_tests.m b/interfaces/matlab/unittests/feasibility_tests.m
@@ -30,7 +30,7 @@ function setup_problem(testCase)
             % Setup solver
             testCase.solver = osqp;
             testCase.solver.setup(testCase.P, testCase.q, testCase.A, testCase.l, testCase.u, ...
-                'verbose', 0, 'eps_abs', 1e-05, 'eps_rel', 1e-05);
+                'auto_rho', 0, 'rho', 1e-01, 'verbose', 0, 'eps_abs', 1e-05, 'eps_rel', 1e-05);
 
             % Get options
             testCase.options = testCase.solver.current_settings();

diff --git a/interfaces/matlab/unittests/warm_start_tests.m b/interfaces/matlab/unittests/warm_start_tests.m
@@ -24,6 +24,7 @@ function setup_problem(testCase)
             testCase.options.eps_abs = 1e-04;
             testCase.options.eps_rel = 1e-04;
             testCase.options.early_terminate_interval = 1;
+            testCase.options.auto_rho = 0;
 
             % Setup tolerance
             testCase.tol = 1e-04;

diff --git a/interfaces/python/extension/include/osqpobjectpy.h b/interfaces/python/extension/include/osqpobjectpy.h
@@ -202,25 +202,25 @@ static PyObject * OSQP_setup(OSQP *self, PyObject *args, PyObject *kwargs) {
                                  "scaling", "scaling_norm", "scaling_iter",
                                  "rho", "sigma", "max_iter",
                                  "eps_abs", "eps_rel", "eps_prim_inf", "eps_dual_inf", "alpha",
-                                 "delta", "polish", "pol_refine_iter", "verbose",
+                                 "delta", "polish", "pol_refine_iter", "auto_rho", "verbose",
                                  "early_terminate", "early_terminate_interval",
 								 "warm_start", NULL};  // Settings
 
 
         #ifdef DLONG
 
         #ifdef DFLOAT
-        static char * argparse_string = "(ll)O!O!O!O!O!O!O!O!O!|lllfflffffffllllll";
+        static char * argparse_string = "(ll)O!O!O!O!O!O!O!O!O!|lllfflfffffflllllll";
         #else
-        static char * argparse_string = "(ll)O!O!O!O!O!O!O!O!O!|lllddlddddddllllll";
+        static char * argparse_string = "(ll)O!O!O!O!O!O!O!O!O!|lllddlddddddlllllll";
         #endif
 
         #else
 
         #ifdef DFLOAT
-        static char * argparse_string = "(ii)O!O!O!O!O!O!O!O!O!|iiiffiffffffiiiiii";
+        static char * argparse_string = "(ii)O!O!O!O!O!O!O!O!O!|iiiffiffffffiiiiiii";
         #else
-        static char * argparse_string = "(ii)O!O!O!O!O!O!O!O!O!|iiiddiddddddiiiiii";
+        static char * argparse_string = "(ii)O!O!O!O!O!O!O!O!O!|iiiddiddddddiiiiiii";
         #endif
 
         #endif
@@ -256,6 +256,7 @@ static PyObject * OSQP_setup(OSQP *self, PyObject *args, PyObject *kwargs) {
                                          &settings->delta,
                                          &settings->polish,
                                          &settings->pol_refine_iter,
+										 &settings->auto_rho,
                                          &settings->verbose,
                                          &settings->early_terminate,
 										 &settings->early_terminate_interval,
@@ -799,6 +800,7 @@ static PyObject *OSQP_update_pol_refine_iter(OSQP *self, PyObject *args){
 
 }
 
+
 static PyObject *OSQP_update_verbose(OSQP *self, PyObject *args){
     c_int verbose_new;
 

diff --git a/interfaces/python/modulepurepy/_osqp.py b/interfaces/python/modulepurepy/_osqp.py
@@ -126,6 +126,7 @@ class settings(object):
     warm_start [False]                  - Reuse solution from previous solve
     polish  [True]                      - Solution polish
     pol_refine_iter  [3]                - Number of iterative refinement iterations
+    auto_rho  [True]                    - Automatic rho computation
     """
 
     def __init__(self, **kwargs):
@@ -149,6 +150,8 @@ def __init__(self, **kwargs):
         self.warm_start = kwargs.pop('warm_start', False)
         self.polish = kwargs.pop('polish', True)
         self.pol_refine_iter = kwargs.pop('pol_refine_iter', 3)
+        self.auto_rho = kwargs.pop('auto_rho', True)
+
 
 
 class scaling(object):

diff --git a/interfaces/python/setup.py b/interfaces/python/setup.py
@@ -4,6 +4,7 @@
 from shutil import copyfile
 from numpy import get_include
 from glob import glob
+import shutil as sh
 from subprocess import call
 from platform import system
 import os
@@ -134,8 +135,9 @@ def build_extensions(self):
         # Compile OSQP using CMake
 
         # Create build directory
-        if not os.path.exists(osqp_build_dir):
-            os.makedirs(osqp_build_dir)
+        if os.path.exists(osqp_build_dir):
+            sh.rmtree(osqp_build_dir)
+        os.makedirs(osqp_build_dir)
         os.chdir(osqp_build_dir)
 
         # Compile static library with CMake

diff --git a/interfaces/python/tests/qp_problems/analyze_examples.py b/interfaces/python/tests/qp_problems/analyze_examples.py
diff --git a/interfaces/python/tests/qp_problems/behavior.pdf b/interfaces/python/tests/qp_problems/behavior.pdf
Original file line number	Diff line number	Diff line change
Expand Up		@@ -319,6 +319,7 @@ c_int osqp_update_pol_refine_iter(OSQPWorkspace * work, c_int pol_refine_iter_ne
		*/
		c_int osqp_update_verbose(OSQPWorkspace * work, c_int verbose_new);


		#endif // #ifndef EMBEDDED


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