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fix gradient for multidimensional quad form #1854

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merged 2 commits into from
Aug 2, 2022
Merged

fix gradient for multidimensional quad form #1854

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6ede555
fix multidimensional quad form
roberthuisman Aug 2, 2022
12faa6d
autoblack messed up line ordering
roberthuisman Aug 2, 2022
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4 changes: 2 additions & 2 deletions cvxpy/atoms/quad_form.py
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Original file line number Diff line number Diff line change
Expand Up @@ -113,8 +113,8 @@ def name(self) -> str:
def _grad(self, values):
x = np.array(values[0])
P = np.array(values[1])
D = (P + np.conj(P.T)) @ x.T
return [sp.csc_matrix(D.ravel(order='F')).T]
D = (P + np.conj(P.T)) @ x
return [sp.csc_matrix(D.ravel(order="F")).T]

def shape_from_args(self) -> Tuple[int, ...]:
return tuple() if self.args[0].ndim == 0 else (1, 1)
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15 changes: 15 additions & 0 deletions cvxpy/tests/test_grad.py
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Expand Up @@ -267,6 +267,21 @@ def test_quad_form(self) -> None:
# access quad_form.expr.grad without error
prob.constraints[1].expr.grad

# define the optimization problem with a two-dimensional decision variable
x = cp.Variable((n, 1))
prob = cp.Problem(
cp.Maximize(q.T @ x - (1 / 2) * cp.quad_form(x, P)),
[
cp.norm(x, 1) <= 1.0,
cp.quad_form(x, P) <= 10, # quad form constraint
cp.abs(x) <= 0.01,
],
)
prob.solve(solver=cp.SCS)

# access quad_form.expr.grad without error
prob.constraints[1].expr.grad

def test_max(self) -> None:
"""Test gradient for max
"""
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