cvxcore optimization

.travis.yml

@@ -6,13 +6,24 @@ env:
   matrix:
     - PYTHON_VERSION="3.7"
       COVERAGE="false"
+      USE_OPENMP="false"
       DEPLOY_PYPI_SOURCE="False"
     - PYTHON_VERSION="3.8"
       COVERAGE="false"
+      USE_OPENMP="false"
       DEPLOY_PYPI_SOURCE="True"
     - PYTHON_VERSION="3.9"
       COVERAGE="false"
+      USE_OPENMP="false"
       DEPLOY_PYPI_SOURCE="False"
+    - PYTHON_VERSION="3.8"
+      COVERAGE="false"
+      USE_OPENMP="True"
+      DEPLOY_PYPI_SOURCE="false"
+matrix:
+  exclude:
+    - os: osx
+      env: PYTHON_VERSION="3.8" COVERAGE="false" USE_OPENMP="True" DEPLOY_PYPI_SOURCE="false"
 before_install:
   - if [ "$TRAVIS_OS_NAME" = "osx" ]; then CC=gcc ; fi
   - if [ "$TRAVIS_OS_NAME" = "osx" ]; then CXX=g++; fi

continuous_integration/Travis/install_dependencies.sh

@@ -46,8 +46,12 @@ elif [[ "$PYTHON_VERSION" == "3.9" ]]; then
   pip install osqp
 fi
 
+if [[ "$USE_OPENMP" == "true" ]]; then
+    conda install -c conda-forge openmp
+fi
+
 pip install diffcp
 
 if [[ "$COVERAGE" == "true" ]]; then
     pip install coverage coveralls
-fi
+fi

continuous_integration/Travis/test_script.sh

@@ -9,7 +9,14 @@ set -e
 python --version
 python -c "import numpy; print('numpy %s' % numpy.__version__)"
 python -c "import scipy; print('scipy %s' % scipy.__version__)"
-python setup.py install
+
+if [ $USE_OPENMP == "True" ] && [ $TRAVIS_OS_NAME == "linux" ]; then
+    CFLAGS="-fopenmp" LDFLAGS="-lgomp" python setup.py install
+    export OMP_NUM_THREADS=4
+else
+    python setup.py install
+fi
+
 python -c "import cvxpy; print(cvxpy.installed_solvers())"
 python $(dirname ${BASH_SOURCE[0]})/../osqp_version.py
 

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/include/Eigen/CMakeLists.txt

@@ -16,4 +16,4 @@ install(FILES
   DESTINATION ${INCLUDE_INSTALL_DIR}/Eigen COMPONENT Devel
   )
 
-add_subdirectory(src)
+install(DIRECTORY src DESTINATION ${INCLUDE_INSTALL_DIR}/Eigen COMPONENT Devel FILES_MATCHING PATTERN "*.h")

cvxpy/cvxcore/include/Eigen/Cholesky

@@ -1,7 +1,15 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
 #ifndef EIGEN_CHOLESKY_MODULE_H
 #define EIGEN_CHOLESKY_MODULE_H
 
 #include "Core"
+#include "Jacobi"
 
 #include "src/Core/util/DisableStupidWarnings.h"
 
@@ -10,20 +18,26 @@
   *
   *
   * This module provides two variants of the Cholesky decomposition for selfadjoint (hermitian) matrices.
-  * Those decompositions are accessible via the following MatrixBase methods:
-  *  - MatrixBase::llt(),
+  * Those decompositions are also accessible via the following methods:
+  *  - MatrixBase::llt()
   *  - MatrixBase::ldlt()
+  *  - SelfAdjointView::llt()
+  *  - SelfAdjointView::ldlt()
   *
   * \code
   * #include <Eigen/Cholesky>
   * \endcode
   */
 
-#include "src/misc/Solve.h"
 #include "src/Cholesky/LLT.h"
 #include "src/Cholesky/LDLT.h"
 #ifdef EIGEN_USE_LAPACKE
-#include "src/Cholesky/LLT_MKL.h"
+#ifdef EIGEN_USE_MKL
+#include "mkl_lapacke.h"
+#else
+#include "src/misc/lapacke.h"
+#endif
+#include "src/Cholesky/LLT_LAPACKE.h"
 #endif
 
 #include "src/Core/util/ReenableStupidWarnings.h"

cvxpy/cvxcore/include/Eigen/CholmodSupport

@@ -1,3 +1,10 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
 #ifndef EIGEN_CHOLMODSUPPORT_MODULE_H
 #define EIGEN_CHOLMODSUPPORT_MODULE_H
 
@@ -12,7 +19,7 @@ extern "C" {
 /** \ingroup Support_modules
   * \defgroup CholmodSupport_Module CholmodSupport module
   *
-  * This module provides an interface to the Cholmod library which is part of the <a href="http://www.cise.ufl.edu/research/sparse/SuiteSparse/">suitesparse</a> package.
+  * This module provides an interface to the Cholmod library which is part of the <a href="http://www.suitesparse.com">suitesparse</a> package.
   * It provides the two following main factorization classes:
   * - class CholmodSupernodalLLT: a supernodal LLT Cholesky factorization.
   * - class CholmodDecomposiiton: a general L(D)LT Cholesky factorization with automatic or explicit runtime selection of the underlying factorization method (supernodal or simplicial).
@@ -33,12 +40,8 @@ extern "C" {
   *
   */
 
-#include "src/misc/Solve.h"
-#include "src/misc/SparseSolve.h"
-
 #include "src/CholmodSupport/CholmodSupport.h"
 
-
 #include "src/Core/util/ReenableStupidWarnings.h"
 
 #endif // EIGEN_CHOLMODSUPPORT_MODULE_H