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fix gradient for multidimensional quad form #1854

Merged
merged 2 commits into from Aug 2, 2022
Merged

fix gradient for multidimensional quad form #1854

merged 2 commits into from Aug 2, 2022

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roberthuisman
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@roberthuisman roberthuisman commented Aug 2, 2022 •
edited

Description

Implement a fix for retrieving gradient of quad_form for a two-dimensional optimization problem.

Current unit test for gradient of quad_form still passes. I added an additional unittest for multidimension quad_form gradient.

Fix for #1837

New test would fail under the original code:
image

Type of change

  • New feature (backwards compatible)
  • New feature (breaking API changes)
  • Bug fix
  • Other (Documentation, CI, ...)

Contribution checklist

  • Add our license to new files.
  • Check that your code adheres to our coding style.
  • Write unittests.
  • Run the unittests and check that they’re passing.
  • Run the benchmarks to make sure your change doesn’t introduce a regression.

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CLAassistant commented Aug 2, 2022 •
edited

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@roberthuisman roberthuisman changed the title fix multidimensional quad form fix gradient for multidimensional quad form Aug 2, 2022
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github-actions bot commented Aug 2, 2022

Benchmarks that have stayed the same:

   before           after         ratio
 [48f3c2d6]       [50a4857f]
      23.7±0s          24.1±0s     1.01  cvar_benchmark.CVaRBenchmark.time_compile_problem
      36.6±0s          37.0±0s     1.01  sdp_segfault_1132_benchmark.SDPSegfault1132Benchmark.time_compile_problem
      8.41±0s          8.48±0s     1.01  optimal_advertising.OptimalAdvertising.time_compile_problem
      18.4±0s          18.6±0s     1.01  qp_1611_benchmark.QP1611Benchmark.time_compile_problem
      19.0±0s          19.1±0s     1.00  simple_LP_benchmarks.SimpleLPBenchmark.time_compile_problem
      3.95±0s          3.96±0s     1.00  simple_LP_benchmarks.SimpleFullyParametrizedLPBenchmark.time_compile_problem
      1.46±0s          1.46±0s     1.00  simple_LP_benchmarks.SimpleScalarParametrizedLPBenchmark.time_compile_problem

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LGTM.

@SteveDiamond SteveDiamond merged commit 0e6be61 into cvxpy:master Aug 2, 2022
@phschiele phschiele mentioned this pull request Nov 3, 2022
Merged
9 tasks
SteveDiamond pushed a commit that referenced this pull request Nov 3, 2022
@roberthuisman @SteveDiamond
fix gradient for multidimensional quad form (#1854)
ecf00c2 
* fix multidimensional quad form

* autoblack messed up line ordering
SteveDiamond pushed a commit that referenced this pull request Nov 3, 2022
@roberthuisman @SteveDiamond
fix gradient for multidimensional quad form (#1854)
599a1aa 
* fix multidimensional quad form

* autoblack messed up line ordering
@SteveDiamond SteveDiamond mentioned this pull request Nov 3, 2022
Merged
9 tasks
SteveDiamond added a commit that referenced this pull request Nov 4, 2022
@SteveDiamond @fabinsch
@phschiele @rileyjmurray @roberthuisman @KerimovEmil
Cherrypick/1.1.x (#1884)
7a2a4b4 
* 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>
SteveDiamond added a commit that referenced this pull request Nov 4, 2022
@SteveDiamond @fabinsch
@phschiele @rileyjmurray @roberthuisman @KerimovEmil @mlubin
Cherrypick 1.2.x (#1883)
df1e76c 
* 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>
SteveDiamond added a commit that referenced this pull request Dec 27, 2022
@SteveDiamond @rileyjmurray
@phschiele @roberthuisman @KerimovEmil @mlubin @piiq @rluce
Cherrypick 1.2.x (#1955)
5a83843 
* 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

* disallow float for diamatrix values (#1931)

* pin setuptools

* 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: Riley Murray <rileyjmurray@users.noreply.github.com>
Co-authored-by: phschiele <44360364+phschiele@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>
Co-authored-by: Theodore Aptekarev <aptekarev@gmail.com>
Co-authored-by: Robert Luce <2168992+rluce@users.noreply.github.com>
SteveDiamond added a commit that referenced this pull request Dec 27, 2022
@SteveDiamond @fabinsch
@phschiele @rileyjmurray @roberthuisman @KerimovEmil @piiq @rluce
Cherrypick 1.1.x (#1952)
f63d694 
* 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>
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3 participants
@roberthuisman @CLAassistant @SteveDiamond