summaryrefslogtreecommitdiffstats
diff options
context:
space:
mode:
authorNao Pross <np@0hm.ch>2024-05-25 09:57:37 +0200
committerNao Pross <np@0hm.ch>2024-05-25 09:57:37 +0200
commit22cce265f8dc9e9285f46674b74ffc564b7d943d (patch)
tree8e23ff5d4c12aa3565a7e03aec9d9dfb7bd78782
parentAllow shape of OptVariableExpr to be an Expression (diff)
downloadsumofsquares-22cce265f8dc9e9285f46674b74ffc564b7d943d.tar.gz
sumofsquares-22cce265f8dc9e9285f46674b74ffc564b7d943d.zip
Major structure change to allow more general transformation of problems
Diffstat (limited to '')
-rw-r--r--sumofsquares/__init__.py71
-rw-r--r--sumofsquares/abc.py80
-rw-r--r--sumofsquares/canon.py130
-rw-r--r--sumofsquares/constraints.py105
-rw-r--r--sumofsquares/expression.py90
-rw-r--r--sumofsquares/problems.py339
-rw-r--r--sumofsquares/solver/cvxopt.py179
7 files changed, 592 insertions, 402 deletions
diff --git a/sumofsquares/__init__.py b/sumofsquares/__init__.py
index 6ca2b39..6c02f24 100644
--- a/sumofsquares/__init__.py
+++ b/sumofsquares/__init__.py
@@ -9,6 +9,7 @@ Module Overview
Class diagram: Arrows denote inheritance, diamonds indicate composition.
::
+
┏━━sumofsquares package━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
┃ ┃
┃ ┌─.abc──────────────┐ ┌─.problems────────────────────────────────────────────────────┐ ┃
@@ -18,12 +19,12 @@ Class diagram: Arrows denote inheritance, diamonds indicate composition.
┃ │ │ │ │ ┌───────────────────┐ ┌────────────┐ ┌──────────────────┐ │ ┃
┃ │ ◇ │ │ │ ConicProblem │ │ SOSProblem │ │InternalSOSProblem│ │ ┃
┃ │ ┌──────────────┐ │ │ └───────────────────┘ └────────────┘ └──────────────────┘ │ ┃
- ┃ │ │ Solver(Enum) │ │ │ ▲ │ ┃
- ┃ │ └──────────────┘ │ │ ┌────┴────────────────┐ │ ┃
- ┃ │ │ │ │ │ │ ┃
- ┃ │ ┌──────────────┐ │ │ ┌─────────────┐ ┌─────────────────┐ ┌────────────────────┐ │ ┃
- ┃ │ │ Result │◀─┼───┼─│ ConicResult │ │PutinarSOSProblem│ │SchmuedgenSOSProblem│ │ ┃
- ┃ │ └──────────────┘ │ │ └─────────────┘ └─────────────────┘ └────────────────────┘ │ ┃
+ ┃ │ │ Solver(Enum) │ │ │ │ ┃
+ ┃ │ └──────────────┘ │ │ │ ┃
+ ┃ │ │ │ │ ┃
+ ┃ │ ┌──────────────┐ │ │ ┌─────────────┐ │ ┃
+ ┃ │ │ Result │◀─┼───┼─│ ConicResult │ │ ┃
+ ┃ │ └──────────────┘ │ │ └─────────────┘ │ ┃
┃ │ │ │ └──────────────────────────────────────────────────────────────┘ ┃
┃ │ │ │ ┃
┃ │ ◇ │ ┌─.solvers.cvxopt──┐ ┌─.solvers.scs─────┐ ┌─.solvers.mosek───┐ ┃
@@ -50,18 +51,18 @@ Class diagram: Arrows denote inheritance, diamonds indicate composition.
┃ │ │ │ │ ┃
┃ └───────────────────┘ └───────────────────────────────────────────────────────────────────┘ ┃
┃ ┃
- ┃ ┌─.variable─────────────────┐ ┃ ┏━━━polymatrix package━━━━━━━━━┓
- ┃ │ │ ┃ ┃ ┃
- ┃ │ ┌───────────┐ │ ┃ ┃ ┌──────────┐ ┌──────────┐ ┃
- ┃ │ │OptVariable│──────────┼──╋───╋─▶│ Variable │ │Expression│ ┃
- ┃ │ └───────────┘ │ ┃ ┃ └──────────┘ └──────────┘ ┃
- ┃ │ ▲ │ ┃ ┃ │ ┃
- ┃ │ │ │ ┃ ┃ ┌─────────┘ ┃
- ┃ │ │ │ ┃ ┃ ◇ ┃
- ┃ │ ┌────────────────┐ │ ┃ ┃ ┌─────────────────────┐ ┃
- ┃ │ │OptVariableMixin│────────┼──╋───╋─▶│ ExpressionBaseMixin │ ┃
- ┃ │ └────────────────┘ │ ┃ ┃ └─────────────────────┘ ┃
- ┃ └───────────────────────────┘ ┃ ┃ ┃
+ ┃ ┌─.canon───────────────────────────────────────────────────┐ ┌─.variable─────────────────┐ ┃ ┏━━━polymatrix package━━━━━━━━━┓
+ ┃ │ │ │ │ ┃ ┃ ┃
+ ┃ │ ┌────────────────────┐ │ │ ┌───────────┐ │ ┃ ┃ ┌──────────┐ ┌──────────┐ ┃
+ ┃ │ │ Canonicalization │ │ │ │OptVariable│──────────┼──╋───╋─▶│ Variable │ │Expression│ ┃
+ ┃ │ └────────────────────┘ │ │ └───────────┘ │ ┃ ┃ └──────────┘ └──────────┘ ┃
+ ┃ │ ▲ │ │ ▲ │ ┃ ┃ │ ┃
+ ┃ │ ├────────────────────┐ │ │ │ │ ┃ ┃ ┌─────────┘ ┃
+ ┃ │ │ │ │ │ │ │ ┃ ┃ ◇ ┃
+ ┃ │ ┌───────────────┐ ┌───────────┐ │ │ ┌────────────────┐ │ ┃ ┃ ┌─────────────────────┐ ┃
+ ┃ │ │ PutinarPSatz │ │ LogDet │ │ │ │OptVariableMixin│────────┼──╋───╋─▶│ ExpressionBaseMixin │ ┃
+ ┃ │ └───────────────┘ └───────────┘ │ │ └────────────────┘ │ ┃ ┃ └─────────────────────┘ ┃
+ ┃ └──────────────────────────────────────────────────────────┘ └───────────────────────────┘ ┃ ┃ ┃
┗━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┛ ┗━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┛
"""
@@ -72,8 +73,9 @@ from polymatrix.expression.expression import Expression
from polymatrix.expressionstate import ExpressionState
from .abc import Problem, Result, Set, Constraint, Solver
+from .canon import Canonicalization, PutinarPSatz
from .constraints import BasicSemialgebraicSet, NonNegative
-from .problems import PutinarSOSProblem
+from .problems import SOSProblem
from .utils import partition
from .variable import (
OptVariable,
@@ -97,41 +99,26 @@ def make_problem(
cost: Expression,
constraints: Iterable[Constraint] = (),
solver: Solver = Solver.CVXOPT,
- state: ExpressionState | None = None
- ) -> Problem:
+ psatz: Canonicalization = PutinarPSatz
+ ) -> SOSProblem:
"""
Create a sum-of-squares optimization problem.
"""
- if not state:
- state = poly.make_state()
-
- # Convert to polymatrix object to extract variables
- state, _ = cost.apply(state)
- for constr in constraints:
- state, _ = constr.expression.apply(state)
-
- # Collect decision variables from state object
- def is_optvariable(v):
- return isinstance(v, OptVariable)
-
- poly_variables, opt_variables = partition(is_optvariable, state.indices.keys())
- return PutinarSOSProblem(
- cost=cost,
- constraints=constraints,
- variables=tuple(opt_variables),
- polynomial_variables=tuple(poly_variables),
- solver=solver,
- state=state)
+ return psatz(SOSProblem(cost, constraints, solver))
def solve_problem(
cost: Expression,
constraints: Iterable[Constraint] = (),
solver: Solver = Solver.CVXOPT,
- verbose: bool = False
+ verbose: bool = False,
+ state: ExpressionState | None = None
) -> tuple[Problem, Result]:
"""
Solve a sum-of-squares optimization problem.
"""
+ if state is None:
+ state = poly.make_state()
+
prob = make_problem(cost, constraints, solver)
return prob, prob.solve(verbose)
diff --git a/sumofsquares/abc.py b/sumofsquares/abc.py
index f0e95bb..20f4bd6 100644
--- a/sumofsquares/abc.py
+++ b/sumofsquares/abc.py
@@ -1,101 +1,85 @@
""" Abstract base classes for Sum of Squares package """
from __future__ import annotations
-from typing import Sequence, Any
from abc import ABC, abstractmethod
from enum import Enum, auto
-
-from polymatrix.expression.expression import Expression
-from polymatrix.expressionstate import ExpressionState
-from polymatrix.variable import Variable
+from typing import Any, Generic, TypeVar
from sumofsquares.variable import OptVariable
+# ┏━┓┏━┓╻ ╻ ╻┏━╸┏━┓
+# ┗━┓┃ ┃┃ ┃┏┛┣╸ ┣┳┛
+# ┗━┛┗━┛┗━╸┗┛ ┗━╸╹┗╸
+
class Solver(Enum):
""" Enumeration for the supported solvers. """
CVXOPT = auto()
- # MOSEK = auto()
+ MOSEK = auto()
+ SCS = auto()
class SolverInfo(ABC):
""" Type that information returned by a specific solver. """
-class Result(ABC):
- """ Result of an optimization problem. """
- @abstractmethod
- def value_of(self, var: OptVariable) -> float:
- """ Retrieve value of variable. """
+# ┏━╸┏━┓┏┓╻┏━┓╺┳╸┏━┓┏━┓╻┏┓╻╺┳╸┏━┓
+# ┃ ┃ ┃┃┗┫┗━┓ ┃ ┣┳┛┣━┫┃┃┗┫ ┃ ┗━┓
+# ┗━╸┗━┛╹ ╹┗━┛ ╹ ╹┗╸╹ ╹╹╹ ╹ ╹ ┗━┛
class Set(ABC):
""" A set. In this context always a subset of :math:`\mathbf{R}^q` """
-class Constraint(ABC):
- r"""
- Optimization constraint.
- """
+E = TypeVar("E")
+class Constraint(ABC, Generic[E]):
+ """ Optimization constraint. """
@property
@abstractmethod
- def expression(self) -> Expression:
+ def expression(self) -> E:
""" Expression under the constraint. """
def __str__(self):
return f"{self.__class__.__qualname__}({str(self.expression)})"
-class Problem(ABC):
- """ Optimization Problem. """
-
- # --- dunder methods ---
+# ┏━┓┏━┓┏━┓┏┓ ╻ ┏━╸┏┳┓┏━┓
+# ┣━┛┣┳┛┃ ┃┣┻┓┃ ┣╸ ┃┃┃┗━┓
+# ╹ ╹┗╸┗━┛┗━┛┗━╸┗━╸╹ ╹┗━┛
- def __str__(self):
- vs = ", ".join(map(str, self.variables))
- n = len(self.constraints)
- s = f"SumOfSquares Problem ({self.__class__.__qualname__}):\n\n " \
- f"find {vs}\n minimize {self.cost}\n " \
- f"subject to ({n} constraint{'s' if n > 1 else ''})\n"
- for c in self.constraints:
- s += f"\t* {str(c)}\n"
+class Result(ABC):
+ """ Result of an optimization problem. """
+ @abstractmethod
+ def value_of(self, var: OptVariable) -> float:
+ """ Retrieve value of variable. """
+
- return s
+class Problem(ABC):
+ """ Optimization Problem. """
# --- Properties ---
@property
@abstractmethod
- def cost(self) -> Expression:
- """ Expression of cost function. """
+ def cost(self) -> Any:
+ """ Cost function of the problem. """
+ # The type here is unspecified on purpose, see
+ # programs module for why is it Any
@property
@abstractmethod
- def constraints(self) -> Sequence[Constraint]:
+ def constraints(self) -> Any:
""" Optimization constraints. """
-
- @property
- @abstractmethod
- def variables(self) -> Sequence[OptVariable]:
- """ Optimization variables of the problem. """
-
- @property
- @abstractmethod
- def polynomial_variables(self) -> Sequence[Variable]:
- """ Polynomial variables, or varaibles that are not optimization varaibles. """
+ # The type here is unspecified on purpose, see
+ # programs module for why is it Any
@property
@abstractmethod
def solver(self) -> Solver:
""" Which solver was / will be used to solve the problem. """
-
- @property
- @abstractmethod
- def state(self) -> ExpressionState:
- """ Expression state used to evaluate constraints and costs. """
-
# --- Methods ---
@abstractmethod
diff --git a/sumofsquares/canon.py b/sumofsquares/canon.py
index 4918758..e5960e7 100644
--- a/sumofsquares/canon.py
+++ b/sumofsquares/canon.py
@@ -1,11 +1,131 @@
""" Canonicalization of Problems """
-from .abc import Problem
+import math
+import polymatrix as poly
+from abc import abstractmethod
+from dataclassabc import dataclassabc
+from dataclasses import replace
+from typing import Sequence
+from typing_extensions import override
-def log_canon(prob: Problem) -> Problem:
- raise NotImplementedError
+from polymatrix.expression.from_ import Expression, from_statemonad
+from polymatrix.expressionstate import ExpressionState
+from polymatrix.statemonad import init_state_monad
+from polymatrix.polymatrix.mixins import PolyMatrixMixin
+from polymatrix.variable import Variable
+from polymatrix.expression.init import (
+ init_concatenate_expr,
+ init_diag_expr,
+ init_lower_triangular_expr,
+ init_transpose_expr)
+
+from .abc import Constraint, Result
+from .constraints import NonNegative, PositiveSemiDefinite, ExponentialCone
+from .error import AlgebraicError
+from .problems import SOSProblem, InternalSOSProblem
+from .variable import OptVariable, init_opt_variable_expr, from_name as opt_variable_from_name
+from .utils import partition
+
+
+class Canonicalization:
+ """ Transform a problem into another problem. """
+
+ def __str__(self):
+ s = f"Apply canonicalization procedure {self.__class__.__qualname__} to\n"
+ return s + str(self.problem)
+
+ @property
+ @abstractmethod
+ def problem(self) -> SOSProblem:
+ """ The problem that will be canonicalized """
+
+ def solve(self, verbose: bool = False, state: ExpressionState | None = None) -> Result:
+ if state is None:
+ state = poly.make_state()
+
+ state, internal_prob = self.apply(state)
+ return internal_prob.solve(verbose)
+
+ @abstractmethod
+ def apply(self, state: ExpressionState) -> tuple[ExpressionState, InternalSOSProblem]:
+ """ Apply the canonicalization procedure """
+
+
+@dataclassabc(frozen=True)
+class PutinarPSatz(Canonicalization):
+ problem: SOSProblem
+
+ @staticmethod
+ def make_multiplier(variables: Sequence[OptVariable],
+ polynomial_variables: Sequence[Variable],
+ constr: Expression,
+ domain_poly: Expression,
+ multiplier_name: str) -> Expression:
+ r"""
+ Make a multiplier polynomial for a domain polynomial of a constraint.
+
+ Since Putinar's PSatz does not explicity tell us the order of the
+ multiplier this function will make a multiplier, let's call it
+ :math:`\gamma`, such that :math:`\deg(\gamma * p) = \deg(c)`, wherein
+ :math:`p` is the domain polynomial and :math:`c` is the contraint
+ polynomial.
+ """
+ # Number of variables in the original problem
+ q = sum(math.prod(v.shape) for v in variables)
+ x = poly.v_stack((1,) + tuple(polynomial_variables))
+
+ def make_multiplier_later(state: ExpressionState) -> tuple[ExpressionState, PolyMatrixMixin]:
+ state, constr_pm = constr.expression.degree().apply(state)
+ state, domain_poly_pm = domain_poly.degree().apply(state)
+
+ constr_deg = constr_pm.at(0, 0).constant()
+ domain_poly_deg = domain_poly_pm.at(0, 0).constant()
+
+ # degree of multiplier
+ d = constr_deg - domain_poly_deg
+ if d < 0:
+ raise AlgebraicError("Cannot create Positivstellensatz multiplier because "
+ f"constraint polynomial has degree {constr_deg} and domain "
+ f"polynomial {domain_poly} has degree {domain_poly_deg}")
+
+ n = sum(math.comb(k + q - 1, k) for k in range(0, d+1))
+
+ # TODO: check that there is not a variable with this name already
+ # Coefficients of the multiplier polynomial
+ c = opt_variable_from_name(multiplier_name, shape=(1,n))
+ multiplier = c @ x.combinations(tuple(range(d +1)))
+
+ return multiplier.apply(state)
+ return poly.from_statemonad(init_state_monad(make_multiplier_later))
+
+ # TODO: rewrite this function, this is adapted from how it was done
+ # previously, and it works but it's not efficient.
+ @abstractmethod
+ def apply(self, state: ExpressionState) -> tuple[ExpressionState, InternalSOSProblem]:
+
+ def need_positivstellensatz(c: Constraint) -> bool:
+ return isinstance(c, NonNegative) and (c.domain is not None)
+
+ constraints, to_process = partition(need_positivstellensatz, self.problem.constraints)
+ constraints = tuple(constraints) # because it is a generator
+
+ state, prob = self.problem.apply(state)
+
+ new_constraints: list[Constraint] = list(constraints)
+ for i, constr in enumerate(to_process):
+ new_constr = constr.expression
+ for domain_poly in constr.domain.polynomials:
+ m = PutinarPSatz.make_multiplier(prob.variables,
+ prob.polynomial_variables,
+ constr, domain_poly, rf"\gamma_{i}")
+
+ # Subtract multiplier from expression and impose that it is also SOS
+ new_constr -= m * domain_poly
+ new_constraints.append(NonNegative(m))
+
+ new_constraints.append(NonNegative(new_constr))
+
+ return replace(self.problem, constraints=new_constraints).apply(state)
-def log_det_canon(prob: Problem) -> Problem:
- raise NotImplementedError
diff --git a/sumofsquares/constraints.py b/sumofsquares/constraints.py
index 71dbb06..3d681c5 100644
--- a/sumofsquares/constraints.py
+++ b/sumofsquares/constraints.py
@@ -1,30 +1,24 @@
-import math
-
from dataclasses import dataclass
from dataclassabc import dataclassabc
from typing_extensions import override
-from typing import Iterable
-
-import polymatrix as poly
+from typing import Generic, TypeVar
from polymatrix.expression.expression import Expression
-from polymatrix.expressionstate import ExpressionState
-from polymatrix.polymatrix.abc import PolyMatrix
-from polymatrix.statemonad import init_state_monad
-from polymatrix.variable import Variable
+from polymatrix.polymatrix.mixins import PolyMatrixMixin
from .abc import Set, Constraint
-from .error import AlgebraicError
-from .variable import OptVariable, from_name as opt_variable_from_name
+
+
+# Type variable for expression or polymatrix
+E = TypeVar("E", bound=Expression | PolyMatrixMixin)
# ┏━┓┏━╸╺┳╸┏━┓
# ┗━┓┣╸ ┃ ┗━┓
# ┗━┛┗━╸ ╹ ┗━┛
-
@dataclass(frozen=True)
-class BasicSemialgebraicSet(Set):
+class BasicSemialgebraicSet(Set, Generic[E]):
r"""
A set that is described by the intersection of the positive loci of a
finite number of polynomials (under some conditions). Roughly speaking this
@@ -41,7 +35,7 @@ class BasicSemialgebraicSet(Set):
This tuple stores the :math:`g_i(x)`.
"""
- polynomials: tuple[Expression, ...]
+ polynomials: tuple[E, ...]
def __str__(self):
polynomials = ', '.join(map(str, self.polynomials))
@@ -54,9 +48,9 @@ class BasicSemialgebraicSet(Set):
@dataclassabc(frozen=True)
-class EqualToZero(Constraint):
+class EqualToZero(Constraint[E]):
""" Constrain an expression to be equal to zero. """
- expression: Expression
+ expression: E
@override
def __str__(self):
@@ -64,10 +58,10 @@ class EqualToZero(Constraint):
@dataclassabc(frozen=True)
-class NonNegative(Constraint):
+class NonNegative(Constraint[E]):
"""
- Constrain an expression to be non-negative in a certain domain. If the
- domain in set to `None` then it is interpreted as being non-negative
+ Constrain a scalar expression to be non-negative in a certain domain. If
+ the domain in set to `None` then it is interpreted as being non-negative
everywhere.
**Note:** In this package, non-negativitiy constraint will always
@@ -75,8 +69,8 @@ class NonNegative(Constraint):
be written as a sum-of-squares, hence this constraint can also be
understood as `expression` being SOS.
"""
- expression: Expression
- domain: BasicSemialgebraicSet | None = None
+ expression: E
+ domain: BasicSemialgebraicSet[E] | None = None
@override
def __str__(self):
@@ -87,72 +81,11 @@ class NonNegative(Constraint):
@dataclassabc(frozen=True)
-class PositiveSemiDefinite(Constraint):
+class PositiveSemiDefinite(Constraint[E]):
""" Constrain a matrix to be positive semidefinite. """
- expression: Expression
+ expression: E
@dataclassabc(frozen=True)
-class ExponentialCone(Constraint):
- expression: Expression
-
-
-# ┏━┓┏━┓┏━┓╻╺┳╸╻╻ ╻┏━┓╺┳╸┏━╸╻ ╻ ┏━╸┏┓╻┏━┓┏━┓┏━╸╺┳╸╺━┓┏━╸
-# ┣━┛┃ ┃┗━┓┃ ┃ ┃┃┏┛┗━┓ ┃ ┣╸ ┃ ┃ ┣╸ ┃┗┫┗━┓┣━┫┣╸ ┃ ┏━┛┣╸
-# ╹ ┗━┛┗━┛╹ ╹ ╹┗┛ ┗━┛ ╹ ┗━╸┗━╸┗━╸┗━╸╹ ╹┗━┛╹ ╹┗━╸ ╹ ┗━╸┗━╸
-
-def putinar_psatz(
- constr: NonNegative,
- variables: Iterable[OptVariable],
- polynomial_variables: Iterable[Variable],
- multiplier_name: str
- ) -> Iterable[Constraint]:
- """
- Apply Putinar's positivstellensatz to a non-negativity constraint over an
- archimedean domain.
- """
- if not constr.domain:
- # TODO: maybe raise an exception to warn the user?
- return (constr,)
-
- # Number of variables in the original problem
- q = sum(math.prod(v.shape) for v in variables)
- x = poly.v_stack((1,) + tuple(polynomial_variables))
-
- new_constraints = []
- new_constr = constr.expression
-
- for domain_poly in constr.domain.polynomials:
- # To know the degree of the domain polynomial we need to evaluate the
- # expression, hence we use a monad here
- def make_multiplier(state: ExpressionState) -> tuple[ExpressionState, PolyMatrix]:
- state, constr_pm = constr.expression.degree().apply(state)
- state, domain_poly_pm = domain_poly.degree().apply(state)
-
- constr_deg = constr_pm.at(0, 0).constant()
- domain_poly_deg = domain_poly_pm.at(0, 0).constant()
-
- # degree of multiplier
- d = constr_deg - domain_poly_deg
- if d < 0:
- raise AlgebraicError("Cannot create Positivstellensatz multiplier because "
- f"constraint polynomial has degree {constr_deg} and domain "
- f"polynomial {domain_poly} has degree {domain_poly_deg}")
-
- n = sum(math.comb(k + q - 1, k) for k in range(0, d+1))
-
- # TODO: check that there is not a variable with this name already
- # Coefficients of the multiplier polynomial
- c = opt_variable_from_name(multiplier_name, shape=(1,n))
- multiplier = c @ x.combinations(tuple(range(d +1)))
-
- return multiplier.apply(state)
-
- m = poly.from_statemonad(init_state_monad(make_multiplier))
-
- # Subtract multiplier from expression and impose that it is also SOS
- new_constr -= m * domain_poly
- new_constraints.append(NonNegative(m))
-
- new_constraints.append(NonNegative(new_constr))
- return new_constraints
+class ExponentialCone(Constraint[E]):
+ expression: E
diff --git a/sumofsquares/expression.py b/sumofsquares/expression.py
index 08b4fbd..28f1794 100644
--- a/sumofsquares/expression.py
+++ b/sumofsquares/expression.py
@@ -6,18 +6,30 @@ from typing_extensions import override
from dataclassabc import dataclassabc
from polymatrix.expression.expression import ExpressionBaseMixin
-from polymatrix.expressionstate.abc import ExpressionState
+from polymatrix.expression.from_ import from_statemonad
+from polymatrix.expressionstate import ExpressionState
+from polymatrix.statemonad import init_state_monad
+from polymatrix.polymatrix.mixins import PolyMatrixMixin
+
+from polymatrix.expression.init import (
+ init_concatenate_expr,
+ init_diag_expr,
+ init_lower_triangular_expr,
+ init_transpose_expr,
+ init_slice_expr)
from .abc import Constraint
-from .constraints import NonNegative
+from .constraints import PositiveSemidefinite, ExponentialCone
+from .error import SolverError
+from .variable import init_opt_variable_expr
class SOSExpressionBaseMixin(ExpressionBaseMixin):
@override
def apply(self, state: ExpressionState) -> tuple[ExpressionState, ExpressionBaseMixin]:
- # FIXME: think of name for this exception
- raise RuntimeError
-
+ raise SolverError(f"Expression containing {self.__class__.__qualname__} "
+ "cannot be used directly, they need to be rewritten "
+ "into an equivalent form using a canonicalization function.")
@abstractmethod
def recast(self) -> tuple[ExpressionBaseMixin, Iterable[Constraint]]:
@@ -42,17 +54,79 @@ class LogDetMixin(SOSExpressionBaseMixin):
def recast(self) -> tuple[ExpressionBaseMixin, Iterable[Constraint]]:
# The problem
#
- # minimize logdet(A)
+ # maximize logdet(A)
#
# is equivalent to solving
#
- # minimize -t
+ # maximize t
+ #
+ # subject to [ A Z ]
+ # [ Z.T diag(Z) ] >= 0
+ #
+ # Z lower triangular
+ # t <= sum_i log(Z[i,i])
+ #
+ # and the last constraint of the above is equivalent to
+ #
+ # t <= sum_i u[i]
+ # u_i <= log(Z[i, i]) for all i
+ #
+ # And finally to get rid of the log the latter constraint one is
+ # equivalent to
+ #
+ # (Z[i,i], 1, u[i]) in Exponential Cone for all i
+ #
+ # Hence we can replace the original problem with
+ #
+ # minimize - sum_i u[i]
#
# subject to [ A Z ]
# [ Z.T diag(Z) ] >= 0
#
# Z lower triangular
- # t <= sum_i log(Z[i, i])
+ # (Z[i,i], 1, u[i]) in ExpCone for all i
+
+ A = self.underlying
+
+ # FIXME: get rid of these functions, create ShapeExprMixin in polymatrix?
+ def make_u(state: ExpressionState) -> tuple[ExpressionState, PolyMatrixMixin]:
+ state, pm = A.apply(state)
+ n, m = pm.shape
+ if n != m:
+ raise ValueError(f"Matrix A of logdet(A) must be square, "
+ f"but it has shape {pm.shape}")
+
+ # FIXME: should check to avoid name clashes
+ u = init_opt_variable_expr("u_logdet", shape=(n, 1))
+ return u.apply(state)
+
+ def make_z(state: ExpressionState) -> tuple[ExpressionState, PolyMatrixMixin]:
+ state, pm = A.apply(state)
+ n, m = pm.shape
+ if n != m:
+ raise ValueError(f"Matrix A of logdet(A) must be square, "
+ f"but it has shape {pm.shape}")
+
+ # FIXME: should check to avoid name clashes
+ Z = init_lower_triangular_expr(init_opt_variable_expr("Z_logdet", shape=(n * (n + 1) // 2, 1)))
+ return Z.apply(state)
+
+ Z = from_statemonad(init_state_monad(make_z))
+ Z_T = init_transpose_expr(Z)
+ Z_diag = init_diag_expr(Z)
+
+ u = from_statemonad(init_state_monad(make_u))
+
+ # we call the new big matrix Q
+ Q = init_concatenate_expr(((A, Z), (Z_T, Z_diag)))
+
+ def make_expcones(state: ExpressionState) -> tuple[ExpressionState, tuple[Constraint]]:
+ pass
+
+
+ constraints = [PositiveSemidefinite(Q)]
+
+ raise NotImplementedError
@dataclassabc(froze=True)
diff --git a/sumofsquares/problems.py b/sumofsquares/problems.py
index 500d06a..6161641 100644
--- a/sumofsquares/problems.py
+++ b/sumofsquares/problems.py
@@ -1,31 +1,91 @@
"""
Specific optimization problems that are related to Sum of Squares.
+
+TODO: explanation for InternalSOSProblem
"""
from __future__ import annotations
-import math
import polymatrix as poly
+import numpy as np
from dataclassabc import dataclassabc
from dataclasses import replace
-from itertools import chain
+from numpy.typing import NDArray
from typing import Any, Sequence
from typing_extensions import override
from polymatrix.expression.expression import Expression, VariableExpression, init_expression
from polymatrix.expressionstate import ExpressionState
+from polymatrix.polymatrix.mixins import PolyMatrixMixin
+from polymatrix.polymatrix.index import MonomialIndex, VariableIndex
from polymatrix.variable import Variable
from .abc import Problem, Constraint, Solver, Result
-from .constraints import NonNegative, putinar_psatz
-from .error import AlgebraicError
+from .constraints import NonNegative, EqualToZero, PositiveSemiDefinite, ExponentialCone
from .solver.cvxopt import solve_sos_cone as cvxopt_solve_sos_cone
from .utils import partition
-from .variable import OptVariable, from_name as opt_variable_from_name
+from .variable import OptVariable
+
+
+# ┏━╸┏━┓┏┓╻╻┏━╸ ┏━┓┏━┓┏━┓┏┓ ╻ ┏━╸┏┳┓
+# ┃ ┃ ┃┃┗┫┃┃ ┣━┛┣┳┛┃ ┃┣┻┓┃ ┣╸ ┃┃┃
+# ┗━╸┗━┛╹ ╹╹┗━╸ ╹ ╹┗╸┗━┛┗━┛┗━╸┗━╸╹ ╹
+
+
+@dataclassabc(frozen=True)
+class ConicProblem(Problem):
+ """
+ Conic program with linear or quadratic cost functions.
+ All values stored in this class are numerical (numpy arrays).
+
+ The pproblem has the following form
+ ::
+
+ minimize .5 * x.T @ P @ x + q.T @ x
+
+ subject to G @ x <= h
+ A @ x = b
+
+ """
+ P: NDArray
+ q: NDArray
+ A: NDArray
+ b: NDArray
+ G: NDArray
+ h: NDArray
+
+ dims: dict
+ is_qp: bool
+ solver: Solver
+ variables: Sequence[OptVariable]
+
+ @property
+ @override
+ def cost(self) -> tuple[NDArray, NDArray]:
+ return self.P, self.q
+
+ @property
+ @override
+ def constraints(self) -> dict[str, tuple[NDArray, NDArray]]:
+ return {
+ "eq": (self.A, self.b),
+ "ineq": (self.G, self.h)
+ }
+
+ @override
+ def solve(self, verbose: bool = False) -> ConicResult:
+ match self.solver:
+ case Solver.CVXOPT:
+ result, info = cvxopt_solve_sos_cone(self, verbose)
+ case _:
+ raise NotImplementedError
+
+ return ConicResult(values=result, solver_info=info)
+
@dataclassabc(frozen=True)
-class SOSResult(Result):
+class ConicResult(Result):
values: dict[OptVariable, float]
solver_info: Any
@@ -46,75 +106,234 @@ class SOSResult(Result):
return self.values[var]
+# ┏━┓╻ ╻┏┳┓ ┏━┓┏━╸ ┏━┓┏━┓╻ ╻┏━┓┏━┓┏━╸┏━┓ ┏━┓┏━┓┏━┓┏━╸┏━┓┏━┓┏┳┓
+# ┗━┓┃ ┃┃┃┃ ┃ ┃┣╸ ┗━┓┃┓┃┃ ┃┣━┫┣┳┛┣╸ ┗━┓ ┣━┛┣┳┛┃ ┃┃╺┓┣┳┛┣━┫┃┃┃
+# ┗━┛┗━┛╹ ╹ ┗━┛╹ ┗━┛┗┻┛┗━┛╹ ╹╹┗╸┗━╸┗━┛ ╹ ╹┗╸┗━┛┗━┛╹┗╸╹ ╹╹ ╹
+
+
@dataclassabc(frozen=True)
-class SchmuedgenSOSProblem(Problem):
- r"""
- SOS problem with quadratic cost, linear constraints and optinally with
- positivity constraints over a basic closed semialgebraic set
- :math:`\mathbf{K}`. To constrain the positivity over :math:`\mathbf{K}`
- this problem uses Schmüdgen's Positivstellensatz.
+class SOSProblem(Problem):
+ """
+ Generic sum of squares problem.
+ This problem contains expression objects.
"""
cost: Expression
- constraints: Sequence[Constraint]
- variables: Sequence[OptVariable]
- polynomial_variables: Sequence[Variable]
+ constraints: Sequence[Constraint[Expression]]
solver: Solver
- state: ExpressionState
+ # --- dunder methods ---
+
+ def __str__(self):
+ n = len(self.constraints)
+ s = f"SumOfSquares Problem ({self.__class__.__qualname__}):\n\n " \
+ f"minimize {self.cost}\n " \
+ f"subject to ({n} constraint{'s' if n > 1 else ''})\n"
+
+ for c in self.constraints:
+ s += f"\t* {str(c)}\n"
+
+ return s
+
+ @override
+ def solve(self, verbose: bool = False, state: ExpressionState | None = None) -> Result:
+ if state is None:
+ state = poly.make_state()
+
+ state, internal_prob = self.apply(state)
+ return internal_prob.solve(verbose)
+
+ def apply(self, state: ExpressionState) -> tuple[ExpressionState, InternalSOSProblem]:
+ """ Convert to internal SOS problem by applying state to the expressions. """
+
+ constraints: list[Constraint[PolyMatrixMixin]] = []
+ state, cost = self.cost.apply(state)
+
+ # Compute the polymatrix of each constraint expression. Even though the
+ # result may not be used, this is necessary to account for the case of
+ # variables that are only present in the constraints, which the state
+ # object may not contain yet.
+ # TODO: Is there a more efficient way? There has to be a better way.
+ for c in self.constraints:
+ state, _ = c.expression.apply(state)
+
+ # Collect variables
+ def is_optvariable(v):
+ return isinstance(v, OptVariable)
+
+ polynomial_variables, variables = partition(is_optvariable, state.indices.keys())
+ polynomial_variables = tuple(polynomial_variables) # because it is a generator
+ x = poly.v_stack(polynomial_variables)
+ for c in self.constraints:
+ # Scalar polynomial equality and non-negativity contraints need to
+ # be converted to (linear) coefficient matching constraints
+ if isinstance(c, NonNegative | EqualToZero):
+ state, pm = c.expression.quadratic_in(x).apply(state)
+
+ elif isinstance(c, PositiveSemiDefinite):
+ state, pm = c.expression.apply(state)
+
+ elif isinstance(c, ExponentialCone):
+ raise NotImplementedError
+
+ else:
+ raise NotImplementedError
+
+ constraints.append(replace(c, expression=pm))
+
+ return state, InternalSOSProblem(cost, tuple(constraints),
+ tuple(variables), polynomial_variables,
+ self.solver, state)
+
+
+# FIXME: I hate this name, and the fact that this class needs to exist
@dataclassabc(frozen=True)
-class PutinarSOSProblem(Problem):
- r"""
- SOS problem with quadratic cost, linear constraints and optinally with
- positivity constraints over an archimedean set :math:`\mathbf{K}`. To
- constrain the positivity over :math:`\mathbf{K}` this problem uses
- Putinar's positivstellensatz.
+class InternalSOSProblem(Problem):
"""
- cost: Expression
- constraints: Sequence[Constraint]
+ This is a class for internal use only. It is a SOS problem that contains
+ polymatrix objects.
+
+ It exists only because expressions are lazily evaluated, so if we want to
+ perform transformations on problems (see canon module), we may need to
+ apply the state to the expressions to convert the expressions to polymatrix
+ objects.
+ """
+ cost: PolyMatrixMixin
+ constraints: Sequence[Constraint[PolyMatrixMixin]]
variables: Sequence[OptVariable]
polynomial_variables: Sequence[Variable]
solver: Solver
- state: ExpressionState
-
- def after_positivstellensatz(self) -> Problem:
- """
- Apply Putinar's positivstellensatz to convert the SOS constraints
- into coefficient matching constraints
- """
- def need_positivstellensatz(c: Constraint) -> bool:
- return isinstance(c, NonNegative) and (c.domain is not None)
-
- # Add langrange-multiplier-like polynomials to SOS constraints, while
- # leaving the rest untouched.
- constraints, to_process = partition(need_positivstellensatz, self.constraints)
- new_constraints: list[Constraint] = []
- for i, c in enumerate(to_process):
- new_constraints.extend(putinar_psatz(c, self.variables, self.polynomial_variables, r"\gamma_{i}"))
-
- # Convert to polymatrix object to extract variables created by p-satz
- # FIXME: this is a dirty trick to make it work for now, it is not
- # efficient, is there a better way?
- new_state = self.state
- for c in new_constraints:
- new_state, _ = c.expression.apply(new_state)
+ # TODO: remove state field from this class, it is redundant
+ state: ExpressionState
- def is_optvariable(v):
- return isinstance(v, OptVariable)
+ def to_conic_problem(self) -> ConicProblem:
+ cost = poly.to_affine(self.cost)
+ if cost.degree > 2:
+ raise ValueError("This package can solve at most quadratic conic programs, "
+ f"but the given problem has degree {cost.degree} > 2.")
+
+ is_qp = (cost.degree == 2)
+
+ A_rows, b_rows = [], []
+ G_rows, h_rows= [], []
+ l_dims, q_dims, s_dims = [], [], []
+
+ # indices of variables in the optimization problem
+ variable_indices = sum(sorted(tuple(self.state.get_indices_as_variable_index(v))
+ for v in self.variables), ())
+
+ # cost linear term
+ cost_coeffs = dict(cost.affine_coefficients_by_degrees(variable_indices))
+ q = cost_coeffs.get(1)
+ if q is None and is_qp:
+ q = np.zeros((len(variable_indices), 1))
+
+ # cost quadratic term
+ if is_qp:
+ n = len(variable_indices)
+ P = np.zeros((n, n))
+ # This works because of how monomial indices are sorted
+ # see also polymatrix.index.MonomialIndex.__lt__
+ P[np.triu_indices(n)] = cost_coeffs[2]
+
+ # Make symmetric. There is no 0.5 factor because there it is already
+ # there in the canonical form of CVXOPT
+ P = (P + P.T)
+
+ else:
+ P = None
+
+ for c in self.constraints:
+ if isinstance(c, PositiveSemiDefinite):
+ constr = poly.to_affine(c.expression)
- new_variables = filter(is_optvariable, new_state.indices.keys())
+ nrows, ncols = constr.shape
+ if nrows != ncols:
+ raise ValueError(f"PSD constraint cannot contain non-square matrix of shape ({nrows, ncols})!")
- return replace(self,
- state=new_state,
- variables=tuple(new_variables),
- constraints=tuple(constraints) + tuple(new_constraints))
+ s_dims.append(nrows)
+
+ # constant term
+ c_coeff = constr.affine_coefficient(MonomialIndex.constant())
+ c_stacked = c_coeff.T.reshape((nrows * ncols,))
+
+ # linear terms
+ l_stacked_rows = []
+ for v in variable_indices:
+ v_coeff = constr.affine_coefficient(v)
+ v_stacked = v_coeff.T.reshape((nrows * ncols,))
+ l_stacked_rows.append(v_stacked)
+
+ l_stacked = np.vstack(l_stacked_rows)
+
+ h_rows.append(c_stacked)
+ G_rows.append(-1 * l_stacked)
+
+ elif isinstance(c, ExponentialCone):
+ # TODO: implement
+ raise NotImplementedError
+
+ elif isinstance(c, EqualToZero | NonNegative):
+ constr = poly.to_affine(c.expression)
+ if constr.degree > 1:
+ raise ValueError("To convert to conic constraints must be linear or affine "
+ f"but {str(c.expression)} has degree {constr.degree}.")
+
+ # For each constraint we add PSD matrix
+ nrows, ncols = constr.shape
+ s_dims.append(nrows)
+
+ # Constant term
+ c_coeff = constr.affine_coefficient(MonomialIndex.constant())
+ c_stacked = c_coeff.T.reshape((nrows * ncols,))
+
+ # Linear term
+ l_stacked_rows = []
+ for v in variable_indices:
+ # Get the affine coefficient associated to this variable
+ v_coeff = constr.affine_coefficient(v)
+
+ # stack the columns of coeff matrix into a fat row vector (column major order).
+ v_stacked = v_coeff.T.reshape((nrows * ncols,))
+ l_stacked_rows.append(v_stacked)
+
+ l_stacked = np.vstack(l_stacked_rows)
+
+ if isinstance(c, EqualToZero):
+ A_rows.append(l_stacked)
+ # Factor of -1 because it is on the right hand side
+ b_rows.append(-1 * c_stacked)
+
+ elif isinstance(c, NonNegative):
+ if c.domain:
+ raise ValueError("Cannot convert non-negativity constraint to conic constraint. "
+ "Domain restricted non-negativity must be "
+ "preprocessed by using a Positivstellensatz!")
+
+ # Factor of -1 because it is on the right hand side
+ G_rows.append(-1 * l_stacked)
+ h_rows.append(c_stacked)
+
+ else:
+ raise NotImplementedError(f"Cannot convert constraint of type {type(c)} "
+ "into a conic constriant.")
+
+ G = np.hstack(G_rows).T if G_rows else None
+ h = np.hstack(h_rows) if h_rows else None
+ A = np.hstack(A_rows).T if A_rows else None
+ b = np.hstack(b_rows) if b_rows else None
+
+ dims = {'l': l_dims, 'q': q_dims, 's': s_dims}
+
+ if all((G is None, h is None, A is None, b is None)):
+ raise ValueError("Optimization problem is unconstrained!")
+
+ return ConicProblem(P=P, q=q, A=A, b=b, G=G, h=h,
+ dims=dims, is_qp=is_qp,
+ solver=self.solver,
+ variables=self.variables)
@override
def solve(self, verbose: bool = False) -> Result:
- if not self.solver == Solver.CVXOPT:
- raise NotImplementedError(f"Cannot solve problem {self} using solver {str(self.solver)}.")
-
- prob = self.after_positivstellensatz()
- result, info = cvxopt_solve_sos_cone(prob, verbose)
- return SOSResult(result, info)
+ return self.to_conic_problem().solve(verbose)
diff --git a/sumofsquares/solver/cvxopt.py b/sumofsquares/solver/cvxopt.py
index 24ec413..6418a2d 100644
--- a/sumofsquares/solver/cvxopt.py
+++ b/sumofsquares/solver/cvxopt.py
@@ -1,11 +1,14 @@
"""
Solve sumofsquares problems using CVXOPT
"""
+from __future__ import annotations
+
import cvxopt
import numpy as np
import math
from collections import UserDict
+from typing import TYPE_CHECKING
import polymatrix as poly
from polymatrix.expression.expression import Expression
@@ -16,39 +19,28 @@ from ..constraints import NonNegative, EqualToZero, PositiveSemiDefinite, Expone
from ..error import NotSupportedBySolver, SolverError
from ..variable import OptVariable
+if TYPE_CHECKING:
+ from ..problems import ConicProblem
+
class CVXOPTInfo(SolverInfo, UserDict):
""" Dictionary returned by CVXOPT. """
def __getattr__(self, attr):
+ # trick to make it behave like a dataclass
key = " ".join(attr.split("_"))
if key not in self.keys():
raise KeyError(f"Key {key} was not found")
return self[key]
-def solve_sos_cone(prob: Problem, verbose: bool = False,
+def solve_sos_cone(prob: ConicProblem, verbose: bool = False,
*args, **kwargs) -> tuple[dict[OptVariable, float], CVXOPTInfo]:
r"""
- Solve a conic problem in the cone of SOS polynomials
- :math:`\mathbf{\Sigma}_d(x)` using CVXOPT.
-
Any `*args` and `**kwargs` other than `prob` are passed to the CVXOPT
solver.
"""
- # Check that the problem can be solved by CVXOpt, i.e.
- # - Cost function is at most quadratic
- # - Constraints are at most linear
-
- cost = poly.to_affine(prob.cost.read(prob.state))
- if cost.degree > 2:
- raise ValueError("CVXOpt can solve at most quadratic conic programs, "
- f"but the given problem has degree {cost.degree} > 2.")
-
- is_qp = (cost.degree == 2)
-
- # We need to convert problem to the primal canonical form (given in the
- # CVXOPT doc) with x = vstack(prob.variables)
+ # CVXOPT can solve problems that have the form
#
# minimize .5 * x.T @ P @ x + q.T @ x
#
@@ -56,147 +48,28 @@ def solve_sos_cone(prob: Problem, verbose: bool = False,
# A @ x = b
# s >= 0
#
- # If the problem is an LP, the CVXOPT doc call the coefficient in the cost
- # functions `c`, here we will use `q` for both LP and QP.
-
- A_rows, b_rows = [], []
- G_rows, h_rows= [], []
- l_dims, q_dims, s_dims = [], [], []
-
- # indices of variables in the optimization problem
- variable_indices = sum(sorted(tuple(prob.state.get_indices_as_variable_index(v))
- for v in prob.variables), ())
-
- # cost linear term
- cost_coeffs = dict(cost.affine_coefficients_by_degrees(variable_indices))
- q = cost_coeffs.get(1)
- if q is None and is_qp:
- q = np.zeros((len(variable_indices), 1))
-
- # cost quadratic term
- if is_qp:
- n = len(variable_indices)
- P = np.zeros((n, n))
- # This works because of how monomial indices are sorted
- # see also polymatrix.index.MonomialIndex.__lt__
- P[np.triu_indices(n)] = cost_coeffs[2]
-
- # Make symmetric. There is no 0.5 factor because there it is already
- # there in the canonical form of CVXOPT
- P = (P + P.T)
-
- x = poly.v_stack(prob.polynomial_variables)
- for c in prob.constraints:
- if isinstance(c, PositiveSemiDefinite):
- constr = poly.to_affine(c.expression.read(prob.state))
-
- nrows, ncols = constr.shape
- if nrows != ncols:
- raise ValueError(f"PSD constraint cannot contain non-square matrix of shape ({nrows, ncols})!")
-
- s_dims.append(nrows)
-
- # constant term
- c_coeff = constr.affine_coefficient(MonomialIndex.constant())
- c_stacked = c_coeff.T.reshape((nrows * ncols,))
-
- # linear terms
- l_stacked_rows = []
- for v in variable_indices:
- v_coeff = constr.affine_coefficient(v)
- v_stacked = v_coeff.T.reshape((nrows * ncols,))
- l_stacked_rows.append(v_stacked)
-
- l_stacked = np.vstack(l_stacked_rows)
-
- h_rows.append(c_stacked)
- G_rows.append(-1 * l_stacked)
-
- elif isinstance(c, ExponentialCone):
- raise NotSupportedBySolver("CVXOpt cannot solve problems with the exponential cone.")
-
- elif isinstance(c, EqualToZero | NonNegative):
- # Convert constraints to affine expression in decision variables
- # TODO: Use half Newton polytope optimization to reduce size of marix problem
- constr = poly.to_affine(c.expression.quadratic_in(x).read(prob.state))
- if constr.degree > 1:
- raise ValueError("CVXOpt can solve problem with constraints that are "
- f"at most linear, but {str(c.expression)} has degree {constr.degree}.")
-
- # For each constraint we add PSD matrix
- nrows, ncols = constr.shape
- s_dims.append(nrows)
-
- # Constant term
- c_coeff = constr.affine_coefficient(MonomialIndex.constant())
- c_stacked = c_coeff.T.reshape((nrows * ncols,))
-
- # Linear term
- l_stacked_rows = []
- for v in variable_indices:
- # Get the affine coefficient associated to this variable
- v_coeff = constr.affine_coefficient(v)
-
- # stack the columns of coeff matrix into a fat row vector (column major order).
- v_stacked = v_coeff.T.reshape((nrows * ncols,))
- l_stacked_rows.append(v_stacked)
-
- l_stacked = np.vstack(l_stacked_rows)
-
- if isinstance(c, EqualToZero):
- A_rows.append(l_stacked)
- # Factor of -1 because it is on the right hand side
- b_rows.append(-1 * c_stacked)
-
- elif isinstance(c, NonNegative):
- if c.domain:
- raise ValueError("Cannot convert non-negativity constraint to CVXOPT format. "
- "Domain restricted non-negativity must be "
- "preprocessed by using a Positivstellensatz!")
-
- # Factor of -1 because it is on the right hand side
- G_rows.append(-1 * l_stacked)
- h_rows.append(c_stacked)
-
- else:
- raise NotImplementedError(f"Cannot convert constraint of type {type(c)} "
- "into the canonical form of CVXOPT.")
-
- # Convert to CVXOPT matrices
- q = cvxopt.matrix(q.T) if q is not None else None
- G = cvxopt.matrix(np.hstack(G_rows).T) if G_rows else None
- h = cvxopt.matrix(np.hstack(h_rows)) if h_rows else None
- A = cvxopt.matrix(np.hstack(A_rows).T) if A_rows else None
- b = cvxopt.matrix(np.hstack(b_rows)) if b_rows else None
- dims = {'l': l_dims, 'q': q_dims, 's': s_dims}
-
- # print(q)
- # print(G)
- # print(h)
- # print(A)
- # print(b)
- # print(dims)
-
- cvxopt.solvers.options['show_progress'] = verbose
-
- if not any((G, h, A, b)):
- raise ValueError("Optimization problem is unconstrained!")
-
- # Add matrices for debugging
- # info = {}
- info = {"q": q, "G": G, "h": h, "A": A, "b": b, "dims": dims}
-
+ # This matches the structure of ConicProblem, so the values can be used
+ # directly.
try:
- if is_qp:
- P = cvxopt.matrix(P)
- info |= cvxopt.solvers.coneqp(P=P, q=q, G=G, h=h, A=A, b=b,
- dims=dims, *args, **kwargs)
+ # Some are transposed because CVXOPT uses column major arrays
+ q = cvxopt.matrix(prob.q.T)
+ A = cvxopt.matrix(prob.A) if prob.A is not None else None
+ b = cvxopt.matrix(prob.b.T) if prob.b is not None else None
+ G = cvxopt.matrix(prob.G) if prob.G is not None else None
+ h = cvxopt.matrix(prob.h.T) if prob.h is not None else None
+
+ if prob.is_qp:
+ P = cvxopt.matrix(prob.P)
+
+ info = cvxopt.solvers.coneqp(P=P, q=q, G=G, h=h, A=A, b=b,
+ dims=prob.dims, *args, **kwargs)
else:
- info |= cvxopt.solvers.conelp(c=q, G=G, h=h, A=A, b=b,
+ info = cvxopt.solvers.conelp(c=q, G=G, h=h, A=A, b=b,
*args, **kwargs)
except Exception as e:
- raise SolverError("CVXOpt can't solve this problem.") from e
+ raise SolverError("CVXOpt can't solve this problem, "
+ "see previous exception why.") from e
results = {}