Update matrices, vectors and rho all at once

[charleskhazoom]

In the current API in the master branch, it seems like the matrices, vectors and rho can only be updated through separate function calls, (osqp_update_data_mat, osqp_update_data_vec, osqp_update_rho). Each of those function calls can trigger a new factorization separately, which can slowdown the solver for not much reason. Is there another interface that can update everything all at once and perform a single factorization ?

[imciner2]

Right now, there isn't a way to update those as one, you need to do the update of the matrices followed by the rho value and they will each do a numerical factorization (note the vector update doesn't do a numerical refactorization). We can look into adding a merged operation that allows updating both the matrices and rho at once, it has just been that so far on one has asked for it.

[charleskhazoom]

Thank you! To be clear, I think the osqp_update_data_vec can trigger a new factorization if the type of constraint changes (equality vs inequality).

[goulart-paul]

I think the more useful use case here would be to allow for multiple (partial) data updates of the problem data so that a user could incrementally modify their problem, e.g. if it is naturally formed of blocks that can be individually reasoned about.

We could add a data "staleness" type flag somewhere that is set every time there is such an update, and then only refactor right at the start of a new solve if the flag is set. This would then cover the case where rho and the problem data are updated in succession without getting multiple factorisations.

[charleskhazoom]

That would be a useful feature. Why not simply always factorize if needed only when calling osqp_solve() ?