SCS on Windows 32 Bit [ Python ]

[krismetha]

Hi,

Actually, this is not an issue. I am quite new to github, so apologies if this is not the right place. I am thinking of sharing this knowledge as it might benefit others who struggle to compile SCS on windows.

I managed to compile SCS on windows, based on this wonderful instruction on compiling scipy on Windows : http://www.scipy.org/scipylib/building/windows.html . This article is a bit old but still quite relevant.

The steps that I have done extra are below :
Compiler: MINGW 32 Bit

1. my Numpy is installed directly from http://www.lfd.uci.edu/~gohlke/pythonlibs/ so the site.cfg has to be modified correspondingly (eg, at C:\PythonXX\Lib\site-packages\numpy\distutils\site.cfg)
   using .lib and not lib.a, the below is my site.cfg:

[atlas]
library_dirs = C:\BLASLAPACKLIBS
atlas_libs = atlas

[blas]
library_dirs = C:\BLASLAPACKLIBS
blas_libs = blas

[lapack]
library_dirs = C:\BLASLAPACKLIBS
lapack_libs = lapack 

2. For the libraries above, I used pre-compiled atlas, blas and lapack

The atlas library is from http://www.netlib.org/atlas/archives/windows/ : http://www.netlib.org/atlas/archives/windows/atlas330_WinNT_P4SSE2.zip

lapack and blas are from http://icl.cs.utk.edu/lapack-for-windows/lapack/#libraries_mingw

Then python install as per normal works ( MINGW is already my default compiler ):
cd /python
python setup.py install

Since atlas, blas and lapack are not compiled on the specific machine architecture, the performance might not be the most optimal. But again, for my case, SCS has already surpassed CVXOPT multiple folds. Not to mention that I ran into the memory error issue - https://github.com/cvxgrp/cvxpy/issues/82 which CVXOPT cannot handle.

I hope this is useful

Kind regards,
Kris

[bodono]

Thanks for sharing this Kris, it's really helpful. I will try and incorporate some of this into the documentation at some point.

[bodono]

Actually I'll keep the issue open to remind me to update the docs.

[krismetha]

Thanks, Brendan. SCS is a wonderful tool.