Program Listing for File wrapper.hpp

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//
// Copyright (c) 2022 INRIA
//
#ifndef PROXSUITE_PROXQP_DENSE_WRAPPER_HPP
#define PROXSUITE_PROXQP_DENSE_WRAPPER_HPP
#include <proxsuite/proxqp/dense/solver.hpp>
#include <proxsuite/proxqp/dense/helpers.hpp>
#include <proxsuite/proxqp/dense/preconditioner/ruiz.hpp>
#include <chrono>

namespace proxsuite {
namespace proxqp {
namespace dense {

template<typename T>
struct QP
{
  Results<T> results;
  Settings<T> settings;
  Model<T> model;
  Workspace<T> work;
  preconditioner::RuizEquilibration<T> ruiz;
  QP(isize _dim, isize _n_eq, isize _n_in)
    : results(_dim, _n_eq, _n_in)
    , settings()
    , model(_dim, _n_eq, _n_in)
    , work(_dim, _n_eq, _n_in)
    , ruiz(preconditioner::RuizEquilibration<T>{ _dim, _n_eq + _n_in })
  {
    work.timer.stop();
  }
  void init(optional<MatRef<T>> H,
            optional<VecRef<T>> g,
            optional<MatRef<T>> A,
            optional<VecRef<T>> b,
            optional<MatRef<T>> C,
            optional<VecRef<T>> l,
            optional<VecRef<T>> u,
            bool compute_preconditioner = true,
            optional<T> rho = nullopt,
            optional<T> mu_eq = nullopt,
            optional<T> mu_in = nullopt)
  {
    // dense case
    if (settings.compute_timings) {
      work.timer.stop();
      work.timer.start();
    }
    // check the model is valid
    if (g != nullopt && g.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        g.value().size(),
        model.dim,
        "the dimension wrt the primal variable x variable for initializing g "
        "is not valid.");
    } else {
      g.reset();
    }
    if (b != nullopt && b.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        b.value().size(),
        model.n_eq,
        "the dimension wrt equality constrained variables for initializing b "
        "is not valid.");
    } else {
      b.reset();
    }
    if (u != nullopt && u.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        u.value().size(),
        model.n_in,
        "the dimension wrt inequality constrained variables for initializing u "
        "is not valid.");
    } else {
      u.reset();
    }
    if (l != nullopt && l.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        l.value().size(),
        model.n_in,
        "the dimension wrt inequality constrained variables for initializing l "
        "is not valid.");
    } else {
      l.reset();
    }
    if (H != nullopt && H.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        H.value().rows(),
        model.dim,
        "the row dimension for initializing H is not valid.");
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        H.value().cols(),
        model.dim,
        "the column dimension for initializing H is not valid.");
    } else {
      H.reset();
    }
    if (A != nullopt && A.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        A.value().rows(),
        model.n_eq,
        "the row dimension for initializing A is not valid.");
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        A.value().cols(),
        model.dim,
        "the column dimension for initializing A is not valid.");
    } else {
      A.reset();
    }
    if (C != nullopt && C.value().size() != 0) {
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        C.value().rows(),
        model.n_in,
        "the row dimension for initializing C is not valid.");
      PROXSUITE_CHECK_ARGUMENT_SIZE(
        C.value().cols(),
        model.dim,
        "the column dimension for initializing C is not valid.");
    } else {
      C.reset();
    }
    if (settings.initial_guess ==
        InitialGuessStatus::WARM_START_WITH_PREVIOUS_RESULT) {
      work.refactorize =
        true; // necessary for the first solve (then refactorize only if there
              // is an update of the matrices)
    } else {
      work.refactorize = false;
    }
    work.proximal_parameter_update = false;
    if (settings.compute_timings) {
      work.timer.stop();
      work.timer.start();
    }
    PreconditionerStatus preconditioner_status;
    if (compute_preconditioner) {
      preconditioner_status = proxsuite::proxqp::PreconditionerStatus::EXECUTE;
    } else {
      preconditioner_status = proxsuite::proxqp::PreconditionerStatus::IDENTITY;
    }
    proxsuite::proxqp::dense::update_proximal_parameters(
      settings, results, work, rho, mu_eq, mu_in);
    proxsuite::proxqp::dense::setup(H,
                                    g,
                                    A,
                                    b,
                                    C,
                                    l,
                                    u,
                                    settings,
                                    model,
                                    work,
                                    results,
                                    ruiz,
                                    preconditioner_status);
    work.is_initialized = true;
    if (settings.compute_timings) {
      results.info.setup_time = work.timer.elapsed().user; // in microseconds
    }
  };
  void update(optional<MatRef<T>> H,
              optional<VecRef<T>> g,
              optional<MatRef<T>> A,
              optional<VecRef<T>> b,
              optional<MatRef<T>> C,
              optional<VecRef<T>> l,
              optional<VecRef<T>> u,
              bool update_preconditioner = true,
              optional<T> rho = nullopt,
              optional<T> mu_eq = nullopt,
              optional<T> mu_in = nullopt)
  {
    if (!work.is_initialized) {
      init(H, g, A, b, C, l, u, update_preconditioner, rho, mu_eq, mu_in);
      return;
    }
    // dense case
    work.refactorize = false;
    work.proximal_parameter_update = false;
    if (settings.compute_timings) {
      work.timer.stop();
      work.timer.start();
    }
    PreconditionerStatus preconditioner_status;
    if (update_preconditioner) {
      preconditioner_status = proxsuite::proxqp::PreconditionerStatus::EXECUTE;
    } else {
      preconditioner_status = proxsuite::proxqp::PreconditionerStatus::KEEP;
    }
    const bool matrix_update =
      !(H == nullopt && g == nullopt && A == nullopt && b == nullopt &&
        C == nullopt && u == nullopt && l == nullopt);
    if (matrix_update) {
      proxsuite::proxqp::dense::update(H, g, A, b, C, l, u, model, work);
    }
    proxsuite::proxqp::dense::update_proximal_parameters(
      settings, results, work, rho, mu_eq, mu_in);

    typedef optional<MatRef<T>> optional_MatRef;
    typedef optional<VecRef<T>> optional_VecRef;
    proxsuite::proxqp::dense::setup(/* avoid double assignation */
                                    optional_MatRef(nullopt),
                                    optional_VecRef(nullopt),
                                    optional_MatRef(nullopt),
                                    optional_VecRef(nullopt),
                                    optional_MatRef(nullopt),
                                    optional_VecRef(nullopt),
                                    optional_VecRef(nullopt),
                                    settings,
                                    model,
                                    work,
                                    results,
                                    ruiz,
                                    preconditioner_status);

    if (settings.compute_timings) {
      results.info.setup_time = work.timer.elapsed().user; // in microseconds
    }
  };

  void solve()
  {
    qp_solve( //
      settings,
      model,
      results,
      work,
      ruiz);
  };
  void solve(optional<VecRef<T>> x,
             optional<VecRef<T>> y,
             optional<VecRef<T>> z)
  {
    proxsuite::proxqp::dense::warm_start(x, y, z, results, settings, model);
    qp_solve( //
      settings,
      model,
      results,
      work,
      ruiz);
  };
  void cleanup()
  {
    results.cleanup(settings);
    work.cleanup();
  }
};
template<typename T>
proxqp::Results<T>
solve(
  optional<MatRef<T>> H,
  optional<VecRef<T>> g,
  optional<MatRef<T>> A,
  optional<VecRef<T>> b,
  optional<MatRef<T>> C,
  optional<VecRef<T>> l,
  optional<VecRef<T>> u,
  optional<VecRef<T>> x = nullopt,
  optional<VecRef<T>> y = nullopt,
  optional<VecRef<T>> z = nullopt,
  optional<T> eps_abs = nullopt,
  optional<T> eps_rel = nullopt,
  optional<T> rho = nullopt,
  optional<T> mu_eq = nullopt,
  optional<T> mu_in = nullopt,
  optional<bool> verbose = nullopt,
  bool compute_preconditioner = true,
  bool compute_timings = false,
  optional<isize> max_iter = nullopt,
  proxsuite::proxqp::InitialGuessStatus initial_guess =
    proxsuite::proxqp::InitialGuessStatus::EQUALITY_CONSTRAINED_INITIAL_GUESS,
  bool check_duality_gap = false,
  optional<T> eps_duality_gap_abs = nullopt,
  optional<T> eps_duality_gap_rel = nullopt)
{
  isize n(0);
  isize n_eq(0);
  isize n_in(0);
  if (H != nullopt) {
    n = H.value().rows();
  }
  if (A != nullopt) {
    n_eq = A.value().rows();
  }
  if (C != nullopt) {
    n_in = C.value().rows();
  }

  QP<T> Qp(n, n_eq, n_in);
  Qp.settings.initial_guess = initial_guess;
  Qp.settings.check_duality_gap = check_duality_gap;

  if (eps_abs != nullopt) {
    Qp.settings.eps_abs = eps_abs.value();
  }
  if (eps_rel != nullopt) {
    Qp.settings.eps_rel = eps_rel.value();
  }
  if (verbose != nullopt) {
    Qp.settings.verbose = verbose.value();
  }
  if (max_iter != nullopt) {
    Qp.settings.max_iter = max_iter.value();
  }
  if (eps_duality_gap_abs != nullopt) {
    Qp.settings.eps_duality_gap_abs = eps_duality_gap_abs.value();
  }
  if (eps_duality_gap_rel != nullopt) {
    Qp.settings.eps_duality_gap_rel = eps_duality_gap_rel.value();
  }
  Qp.settings.compute_timings = compute_timings;
  Qp.init(H, g, A, b, C, l, u, compute_preconditioner, rho, mu_eq, mu_in);
  Qp.solve(x, y, z);

  return Qp.results;
}

template<typename T>
bool
operator==(const QP<T>& qp1, const QP<T>& qp2)
{
  bool value = qp1.model == qp2.model && qp1.settings == qp2.settings &&
               qp1.results == qp2.results;
  return value;
}

template<typename T>
bool
operator!=(const QP<T>& qp1, const QP<T>& qp2)
{
  return !(qp1 == qp2);
}

template<typename T>
struct BatchQP
{
  std::vector<QP<T>> vector_qp;
  dense::isize m_size;

  explicit BatchQP(size_t batch_size)
  {
    if (vector_qp.max_size() != batch_size) {
      vector_qp.clear();
      vector_qp.reserve(batch_size);
    }
    m_size = 0;
  }

  QP<T>& init_qp_in_place(dense::isize dim,
                          dense::isize n_eq,
                          dense::isize n_in)
  {
    vector_qp.emplace_back(dim, n_eq, n_in);
    auto& qp = vector_qp.back();
    m_size++;
    return qp;
  };

  void insert(QP<T>& qp) { vector_qp.emplace_back(qp); };

  QP<T>& get(isize i) { return vector_qp.at(i); };

  QP<T>& operator[](isize i) { return vector_qp.at(i); };

  dense::isize size() { return m_size; };
};

} // namespace dense
} // namespace proxqp
} // namespace proxsuite

#endif /* end of include guard PROXSUITE_PROXQP_DENSE_WRAPPER_HPP */