cvxcore optimization

cvxpy/__init__.py

@@ -28,6 +28,7 @@
                             ECOS, SCS, DIFFCP, GUROBI, MOSEK, XPRESS, SCIP, ECOS_BB,
                             OPTIMAL, UNBOUNDED, INFEASIBLE, SOLVER_ERROR, ROBUST_KKTSOLVER,
                             OPTIMAL_INACCURATE, UNBOUNDED_INACCURATE, INFEASIBLE_INACCURATE)
+from cvxpy.settings import get_num_threads, set_num_threads
 from cvxpy.transforms import linearize, partial_optimize, suppfunc
 from cvxpy.reductions import *
 from cvxpy.reductions.solvers.defines import installed_solvers

cvxpy/cvxcore/python/canonInterface.py

@@ -15,6 +15,7 @@
 """
 from cvxpy.lin_ops import lin_op as lo
 import cvxpy.cvxcore.python.cvxcore as cvxcore
+import cvxpy.settings as s
 import numbers
 import numpy as np
 import scipy.sparse
@@ -308,10 +309,12 @@ def get_problem_matrix(linOps,
         build_lin_op_tree(lin, linPy_to_linC)
         tree = linPy_to_linC[lin]
         lin_vec.push_back(tree)
+
     problemData = cvxcore.build_matrix(lin_vec,
                                        int(var_length),
                                        id_to_col_C,
-                                       param_to_size_C)
+                                       param_to_size_C,
+                                       s.get_num_threads())
 
     # Populate tensors with info from problemData.
     tensor_V = {}
@@ -348,7 +351,9 @@ def get_problem_matrix(linOps,
     I = np.concatenate(I)
     J = np.concatenate(J)
     A = scipy.sparse.csc_matrix(
-        (V, (I, J)), shape=(np.int64(constr_length)*np.int64(var_length+1), param_size_plus_one))
+        (V, (I, J)),
+        shape=(np.int64(constr_length)*np.int64(var_length+1),
+               param_size_plus_one))
     return A
 
 

cvxpy/cvxcore/python/cvxcore.i

@@ -59,7 +59,8 @@ namespace std {
 ProblemData build_matrix(std::vector< const LinOp* > constraints,
                          int var_length,
                          std::map<int, int> id_to_col,
-                         std::map<int, int> param_to_size);
+                         std::map<int, int> param_to_size,
+                         int num_threads);
 ProblemData build_matrix(std::vector< const LinOp* > constraints,
                          int var_length,
                          std::map<int, int> id_to_col,