Permalink
Fetching contributors…
Cannot retrieve contributors at this time
59 lines (49 sloc) 2.05 KB

Optimizing in a Loop

Memory Management

Convex uses a module-level dictionary to store the conic forms of every variable and expression created in the same Julia session. These variables and expressions persist even after they are out of scope. If you create large numbers of variables inside a loop, this dictionary can eat a considerable amount of memory.

To flush the memory, you can call

Convex.clearmemory()

This will remove every variable and expression you've formed before from the memory cache, so that you're starting as fresh as if you'd just reimported Convex.

Caching Expressions

Better yet, take advantage of this cache of variables and expressions! Create variables and expressions outside the loop, and reuse them inside the loop as you tweak parameters. Doing this will allow Convex to reuse the conic forms it has already calculated for previously used expressions.

For example, the following bad code will create a new instance of a variable and of the expression square(x) for each value of i. Don't do this:

for i=1:10
        x = Variable()
        p = minimize(square(x), x >= i)
        solve!(p)
end

Contrast this with the following good code, which will reuse the cached conic form for square(x) for each i, reducing the memory footprint and speeding up the computation. Do this instead:

x = Variable()
obj = square(x)
for i=1:10
        p = minimize(obj, x >= i)
        solve!(p)
end

Warmstarts, Parameters, Fixing and Freeing Variables

If you're solving many problems of the same form, or many similar problems, you may also want to use warmstarts, or to dynamically fix and free variables. The former is particularly good for a family of problems related by a parameter; the latter allows for easy implementation of alternating minimization for nonconvex problems. See the Advanced Features section of the documentation for more information.