Plumb complex cone through (#166)

* plumb through complex cone

Author: bodono

scs/scsobject.h

@@ -235,6 +235,9 @@ static void free_py_scs_data(ScsData *d, ScsCone *k, ScsSettings *stgs,
     if (k->s) {
       scs_free(k->s);
     }
+    if (k->cs) {
+      scs_free(k->cs);
+    }
     if (k->p) {
       scs_free(k->p);
     }
@@ -498,6 +501,10 @@ static int SCS_init(SCS *self, PyObject *args, PyObject *kwargs) {
     free_py_scs_data(d, k, stgs, &ps);
     return finish_with_error("Failed to parse cone field s");
   }
+  if (get_cone_arr_dim("cs", &(k->cs), &(k->cssize), cone) < 0) {
+    free_py_scs_data(d, k, stgs, &ps);
+    return finish_with_error("Failed to parse cone field cs");
+  }
   if (get_cone_float_arr("p", &(k->p), &(k->psize), cone) < 0) {
     free_py_scs_data(d, k, stgs, &ps);
     return finish_with_error("failed to parse cone field p");

test/gen_random_cone_prob.py

@@ -250,14 +250,14 @@ def project_exp_bisection(v):
 
     x = np.copy(v)
     ub, lb = get_rho_ub(v)
-    for iter in range(0, 100):
+    for iter in range(0, 200):
         rho = (ub + lb) / 2
         g, x = calc_grad(v, rho, x)
         if g > 0:
             lb = rho
         else:
             ub = rho
-        if ub - lb < 1e-6:
+        if ub - lb < 1e-9:
             break
     return x
 

test/test_mix_sd_csd_cone.py

@@ -0,0 +1,25 @@
+import numpy as np
+import scs
+import scipy
+import pytest
+    
+def gen_feasible(m, n, p_scale = 0.1):
+    P = p_scale * scipy.sparse.eye(n, format="csc")   
+    A = scipy.sparse.random(m, n, density=0.05, format="csc")
+    c = np.random.randn(n)
+    b = np.random.randn(m)
+
+    return (P, A, b, c)
+
+
+@pytest.mark.parametrize("use_indirect", [False, True])
+def test_mix_sd_csd_cones(use_indirect):
+    seed = 1234
+    np.random.seed(seed)
+    cone = dict(z=1, l=2, s=[3, 4], cs=[5, 4])
+    m = int(cone['z'] + cone['l'] + sum([j * (j+1) / 2 for j in cone['s']]) + sum([j * j for j in cone['cs']]))
+    n = m
+    (P, A, b, c) = gen_feasible(m, n)
+    probdata = dict(P=P, A=A, b=b, c=c)
+    sol = scs.solve(probdata, cone, use_indirect=use_indirect)
+    np.testing.assert_equal(sol['info']['status'], 'solved')

test/test_solve_random_cone_prob.py

@@ -42,7 +42,7 @@ def import_error(msg):
     "p": [-0.25, 0.5, 0.75, -0.33],
 }
 m = tools.get_scs_cone_dims(K)
-params = {"verbose": True, "eps_abs": 1e-5, "eps_rel": 1e-5, "eps_infeas": 1e-5}
+params = {"verbose": True, "eps_abs": 1e-7, "eps_rel": 1e-7, "eps_infeas": 1e-7}
 
 
 @pytest.mark.parametrize("use_indirect,gpu", flags)

test/test_solve_random_cone_prob_cudss.py

@@ -34,7 +34,7 @@ def import_error(msg):
     "p": [-0.25, 0.5, 0.75, -0.33],
 }
 m = tools.get_scs_cone_dims(K)
-params = {"verbose": True, "eps_abs": 1e-5, "eps_rel": 1e-5, "eps_infeas": 1e-5}
+params = {"verbose": True, "eps_abs": 1e-7, "eps_rel": 1e-7, "eps_infeas": 1e-7}
 
 
 try:

test/test_solve_random_cone_prob_mkl.py

@@ -34,7 +34,7 @@ def import_error(msg):
     "p": [-0.25, 0.5, 0.75, -0.33],
 }
 m = tools.get_scs_cone_dims(K)
-params = {"verbose": True, "eps_abs": 1e-5, "eps_rel": 1e-5, "eps_infeas": 1e-5}
+params = {"verbose": True, "eps_abs": 1e-7, "eps_rel": 1e-7, "eps_infeas": 1e-7}
 
 
 try: