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#127 fix: support cones for generic number types. #136

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#127 fix: support cones for generic number types. #136

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4e135d8
Adding support for BigFLoat cones
lrnv Jun 29, 2021
8607081
removing completely the typecheck
lrnv Jun 29, 2021
75dc3a0
Better dispatch
lrnv Jun 29, 2021
2421625
Remove D
lrnv Jun 29, 2021
337a365
formula was false
lrnv Jun 30, 2021
3e25ee5
Tring MutableArithmetics + small change.
lrnv Jun 30, 2021
c5b1f70
Move to mutable arithmetics for aribitrary type PSD projections
lrnv Jun 30, 2021
edfcbe9
Change comment
lrnv Jul 1, 2021
ae81709
Temporary fix
lrnv Jul 1, 2021
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4 changes: 3 additions & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -7,9 +7,11 @@ version = "0.8.1"
AMD = "14f7f29c-3bd6-536c-9a0b-7339e30b5a3e"
COSMOAccelerators = "bbd8fffe-5ad0-4d78-a55e-85575421b4ac"
DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
GenericLinearAlgebra = "14197337-ba66-59df-a3e3-ca00e7dcff7a"
IterTools = "c8e1da08-722c-5040-9ed9-7db0dc04731e"
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
MutableArithmetics = "d8a4904e-b15c-11e9-3269-09a3773c0cb0"
Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
Printf = "de0858da-6303-5e67-8744-51eddeeeb8d7"
QDLDL = "bfc457fd-c171-5ab7-bd9e-d5dbfc242d63"
Expand All @@ -29,8 +31,8 @@ DataStructures = "^0.17.0, ^0.18.0"
IterTools = "^1"
MathOptInterface = "~0.9.16"
QDLDL = "~0.1.4"
Requires = "^1"
Reexport = "0.2, ^1"
Requires = "^1"
UnsafeArrays = "0.3, 1"
julia = "^1"

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3 changes: 2 additions & 1 deletion src/COSMO.jl
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@@ -1,7 +1,7 @@
__precompile__()
module COSMO

using SparseArrays, LinearAlgebra, SuiteSparse, QDLDL, Pkg, DataStructures, Requires, Printf, IterTools
using SparseArrays, LinearAlgebra, SuiteSparse, QDLDL, Pkg, DataStructures, Requires, Printf, IterTools, GenericLinearAlgebra, MutableArithmetics
using Reexport
using COSMOAccelerators

Expand All @@ -12,6 +12,7 @@ export assemble!, warm_start!, empty_model!, update!

const DefaultFloat = Float64
const DefaultInt = LinearAlgebra.BlasInt
const MA = MutableArithmetics


include("./kktsolver.jl")
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27 changes: 23 additions & 4 deletions src/convexset.jl
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Expand Up @@ -183,7 +183,7 @@ for (syevr, elty) in
end #@eval
end #for

function _project!(X::AbstractMatrix, ws::PsdBlasWorkspace{T}) where{T}
function _project!(X::AbstractMatrix, ws::PsdBlasWorkspace{T}) where{T <: Union{Float32,Float64}}

#computes the upper triangular part of the projection of X onto the PSD cone

Expand All @@ -203,6 +203,23 @@ function _project!(X::AbstractMatrix, ws::PsdBlasWorkspace{T}) where{T}
rank_k_update!(X, ws)
end

function _project!(X::AbstractMatrix{T}, ws::PsdBlasWorkspace{T}) where {T}
w,Z = GenericLinearAlgebra.eigen(GenericLinearAlgebra.Hermitian(X))
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This reallocates w and Z at every iteration. Is there a non-allocating version of GenericAlgebra.eigen ? eigen! perhaps?

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There is a function with that name but I do not understand how it works (and where it stores the result). I tried several things and no luck yet :/

# The follwoing lines uses MutableArithmetics to perform the operation : X .= Z*LinearAlgebra.Diagonal(max.(w,0))*Z'
X = zero(X)
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Because of this line, you don't modify the input X of this function

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It should be MA mutable_operate!(zero, X)

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Which gives :

ERROR: ArgumentError: Cannot call `mutable_operate!(zero, ::Base.ReshapedArray{BigFloat, 2, SubArray{BigFloat, 1, Vector{BigFloat}, Tuple{UnitRange{Int64}}, true}, Tuple{}})` as objects of type `Base.ReshapedArray{BigFloat, 2, SubArray{BigFloat, 1, Vector{BigFloat}, Tuple{UnitRange{Int64}}, true}, Tuple{}}` cannot be modifed to equal the result of the operation. Use `operate!` instead which returns the value of the result (possibly modifying the first argument) to write generic code that also works when the type cannot be modified.

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Apparently, objects of type Base.ReshapedArray{BigFloat, 2, SubArray{BigFloat, 1, Vector{BigFloat}, Tuple{UnitRange{Int64}}, true}, Tuple{}} are not mutable, and this is the type of X.

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@lrnv lrnv Jul 1, 2021 •
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Which means that the X that lends in the function is not mutable ?

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ping @blegat, if this is still a blocker

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We should implement MA.operate(zero, ...) for that type of array. IIUC, this function is expected to modify the input array. In that case, it link the local variable X to a new array and then modify it but it is not returned or anything so I don't see how that would work

buffer = zero(X)
for i in eachindex(w)
w[i] <= T(0) && continue
z = view(Z, :, i)
MA.mutable_operate_to!(buffer, *, z, z')
for j in eachindex(X)
#The following line should be : X[j] = MA.add_mul!(X[j], w[i], buffer[j])
# However it does not work for BigFLoats yet, so i keep the allocating working line :
X[j] += w[i]*buffer[j]
end
end
end

function rank_k_update!(X::AbstractMatrix, ws::COSMO.PsdBlasWorkspace{T}) where {T}
n = size(X, 1)
@. X = zero(T)
Expand Down Expand Up @@ -274,9 +291,11 @@ function project!(x::AbstractVector{T}, cone::Union{PsdCone{T}, DensePsdCone{T}}
symmetrize_upper!(X)
_project!(X, cone.work)

#fill in the lower triangular part
for j=1:n, i=1:(j-1)
X[j,i] = X[i,j]
#fill in the lower triangular part, only needed when calling BLAS.
if T <: Union{Float32,Float64}
for j=1:n, i=1:(j-1)
X[j,i] = X[i,j]
end
end
end
return nothing
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2 changes: 0 additions & 2 deletions src/interface.jl
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Expand Up @@ -388,8 +388,6 @@ function type_checks(constraints::Vector{COSMO.Constraint{T}}) where {T <: Abstr
return nothing
end
type_checks(convex_set::AbstractConvexSet) = nothing
type_checks(convex_set::Union{PsdCone{BigFloat}, PsdConeTriangle{BigFloat}}) = throw(ArgumentError("COSMO currently does not support the combination of PSD constraints and BigFloat."))



function check_A_dim(A::Union{AbstractVector{<:Real},AbstractMatrix{<:Real}}, n::Int)
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