Suggestion SOC residual #1853

phschiele · 2022-08-01T05:41:11Z

Description

This PR points to the bugfix/soc_resid branch and adds handling for the edge cases, taking inspiration from @rileyjmurray 's code in the issue and the mosek docs.

(The linters were failing here, so I merged the master into this branch. Merge master into bugfix/soc_resid to get rid of the noise in this PR).

* Add new QpSolver and ConicSolver for COPT under CVXPY * don't test COPT verbose Co-authored-by: Steven Diamond <diamond@cs.stanford.edu>

* bump runner * use pip install

…ace (cvxpy#1830) Co-authored-by: Steven Diamond <diamond@cs.stanford.edu>

github-actions · 2022-08-01T05:53:03Z

Benchmarks that have stayed the same:

   before           after         ratio
 [37875987]       [befb0009]
      3.79±0s          4.05±0s     1.07  simple_LP_benchmarks.SimpleFullyParametrizedLPBenchmark.time_compile_problem
      7.99±0s          8.31±0s     1.04  optimal_advertising.OptimalAdvertising.time_compile_problem
      44.5±0s          45.1±0s     1.01  sdp_segfault_1132_benchmark.SDPSegfault1132Benchmark.time_compile_problem
      24.6±0s          24.6±0s     1.00  qp_1611_benchmark.QP1611Benchmark.time_compile_problem
      30.1±0s          30.1±0s     1.00  cvar_benchmark.CVaRBenchmark.time_compile_problem
      24.3±0s          24.1±0s     0.99  simple_LP_benchmarks.SimpleLPBenchmark.time_compile_problem
      1.80±0s          1.76±0s     0.98  simple_LP_benchmarks.SimpleScalarParametrizedLPBenchmark.time_compile_problem

rileyjmurray · 2022-08-01T14:28:11Z

The changes for SOC residual look great! I'll merge so that we can continue with the other PR.

* fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com>

* fix osqp warm start (#1882) * switch SCS timings to seconds (#1880) Co-authored-by: Steven Diamond <steven@gridmatic.com> * merge fix * merge fix * Fix SOC residual (#1844) * fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Fix bug with diff (#1835) * fix #1834 * test error Co-authored-by: Steven Diamond <steven@gridmatic.com> * fix #1828 (#1829) * fix mosek * switch pcp opt vals back * resolved merge conflicts * removed mi_lp_5 test * Update __init__.py Resolve #1910 * allow lists as shape definitions * fix types * fix types for 3.6 * fix gradient for multidimensional quad form (#1854) * fix multidimensional quad form * autoblack messed up line ordering * Adding edge case handling for string inputs into norm (#1871) * Adding edge case handling for string inputs into norm Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> * Update cvxpy/atoms/norm.py Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Adding norm exception tests to ensure that invalid string inputs are caught Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Steven Diamond <steven@gridmatic.com> Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: Fabian Schramm <55981657+fabinsch@users.noreply.github.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Riley Murray <rileyjmurray@users.noreply.github.com> Co-authored-by: Robert Huisman <74955560+roberthuisman@users.noreply.github.com> Co-authored-by: KerimovEmil <emilkerimov93@gmail.com>

* fix osqp warm start (#1882) * switch SCS timings to seconds (#1880) Co-authored-by: Steven Diamond <steven@gridmatic.com> * merge fix * fix test * resolve merge * Fix SOC residual (#1844) * fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Fix bug with diff (#1835) * fix #1834 * test error Co-authored-by: Steven Diamond <steven@gridmatic.com> * fix #1828 (#1829) * cap ortools at 9.3 * fix mosek * switch pcp opt vals back * resolve merge conflict * Update __init__.py Resolve #1910 * allow list as shape input * fix gradient for multidimensional quad form (#1854) * fix multidimensional quad form * autoblack messed up line ordering * Adding edge case handling for string inputs into norm (#1871) * Adding edge case handling for string inputs into norm Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> * Update cvxpy/atoms/norm.py Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Adding norm exception tests to ensure that invalid string inputs are caught Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Steven Diamond <steven@gridmatic.com> * Fix time_limit_sec for GLOP and PDLP (#1859) Fixes #1858 Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: Fabian Schramm <55981657+fabinsch@users.noreply.github.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Riley Murray <rileyjmurray@users.noreply.github.com> Co-authored-by: Robert Huisman <74955560+roberthuisman@users.noreply.github.com> Co-authored-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: Miles Lubin <miles.lubin@gmail.com>

* fix osqp warm start (#1882) * switch SCS timings to seconds (#1880) Co-authored-by: Steven Diamond <steven@gridmatic.com> * merge fix * merge fix * Fix SOC residual (#1844) * fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Fix bug with diff (#1835) * fix #1834 * test error Co-authored-by: Steven Diamond <steven@gridmatic.com> * fix #1828 (#1829) * fix mosek * switch pcp opt vals back * resolved merge conflicts * removed mi_lp_5 test * Update __init__.py Resolve #1910 * allow lists as shape definitions * fix types * fix types for 3.6 * fix gradient for multidimensional quad form (#1854) * fix multidimensional quad form * autoblack messed up line ordering * Adding edge case handling for string inputs into norm (#1871) * Adding edge case handling for string inputs into norm Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> * Update cvxpy/atoms/norm.py Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Adding norm exception tests to ensure that invalid string inputs are caught Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Steven Diamond <steven@gridmatic.com> * disallow float for diamatrix values (#1931) * add setup.cfg * Make log_det robust to numerical issues with complex data (#1866) * log_det takes Hermitian part of its input, therefore can assume that "sign" from numpys slogdet is real. * Update test_complex.py * Update test_complex.py Make certain failing tests verbose, so we can see why logdet tests fail on a small number of platforms. * guess for fix * lower precision of test log det * Update cvxpy/tests/test_complex.py Remove verbose Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Update cvxpy/tests/test_complex.py Remove verbose from test Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Steven Diamond <diamond.po.central@gmail.com> Co-authored-by: Steven Diamond <steven@gridmatic.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> * Adapt to API changes in gurobipy (#1962) Signed-off-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: Fabian Schramm <55981657+fabinsch@users.noreply.github.com> Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com> Co-authored-by: Riley Murray <rileyjmurray@users.noreply.github.com> Co-authored-by: Robert Huisman <74955560+roberthuisman@users.noreply.github.com> Co-authored-by: KerimovEmil <emilkerimov93@gmail.com> Co-authored-by: Theodore Aptekarev <aptekarev@gmail.com> Co-authored-by: Robert Luce <2168992+rluce@users.noreply.github.com>

wujianjack and others added 8 commits July 27, 2022 08:11

Add new QpSolver and ConicSolver for COPT under CVXPY (cvxpy#1836)

f061eed

* Add new QpSolver and ConicSolver for COPT under CVXPY * don't test COPT verbose Co-authored-by: Steven Diamond <diamond@cs.stanford.edu>

[CI] Bump macOS runner (cvxpy#1846)

c75fe16

* bump runner * use pip install

publish to web

a0aebbc

fix link

2269285

fix linters (cvxpy#1851)

208c8e5

Add support for solving mixed-integer programs via HiGHS/SciPy interf…

3787598

…ace (cvxpy#1830) Co-authored-by: Steven Diamond <diamond@cs.stanford.edu>

Handle edge cases

f73addb

Merge remote-tracking branch 'upstream/master' into suggestion-soc_resid

d9ef896

rileyjmurray merged commit 3cecad9 into cvxpy:bugfix/soc_resid Aug 1, 2022

SteveDiamond added a commit that referenced this pull request Aug 1, 2022

Fix SOC residual (#1844)

d86621f

* fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com>

SteveDiamond added a commit that referenced this pull request Aug 31, 2022

Fix SOC residual (#1844)

7d13302

* fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com>

SteveDiamond added a commit that referenced this pull request Aug 31, 2022

Fix SOC residual (#1844)

bf1e094

* fix SOC residual * dimension test * Suggestion for how to compute SOC residual (#1853) Co-authored-by: phschiele <44360364+phschiele@users.noreply.github.com>

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Suggestion SOC residual #1853

Suggestion SOC residual #1853

phschiele commented Aug 1, 2022 •

edited

github-actions bot commented Aug 1, 2022 •

edited

rileyjmurray commented Aug 1, 2022

Suggestion SOC residual #1853

Suggestion SOC residual #1853

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phschiele commented Aug 1, 2022 • edited

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rileyjmurray commented Aug 1, 2022

phschiele commented Aug 1, 2022 •

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edited