WIP reducing SOS allocations

jump-dev · Aug 22, 2018 · 6d8449e · 6d8449e
1 parent 8668f73
commit 6d8449e
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Showing 3 changed files with 42 additions and 42 deletions.
diff --git a/examples/namedpoly/namedpoly.jl b/examples/namedpoly/namedpoly.jl
@@ -73,14 +73,14 @@ function build_namedpoly!(alf::Alfonso.AlfonsoOpt, polyname::Symbol, d::Int)
     return Alfonso.load_data!(alf, A, b, c, cone)
 end
 
-# alf = Alfonso.AlfonsoOpt(maxiter=100, verbose=false)
+alf = Alfonso.AlfonsoOpt(maxiter=100, verbose=true)
 
 # select the named polynomial to minimize and the SOS degree (to be squared)
 # build_namedpoly!(alf, :butcher, 2)
 # build_namedpoly!(alf, :caprasse, 4)
 # build_namedpoly!(alf, :goldsteinprice, 7)
 # build_namedpoly!(alf, :heart, 2)
-# build_namedpoly!(alf, :lotkavolterra, 3)
+build_namedpoly!(alf, :lotkavolterra, 3)
 # build_namedpoly!(alf, :magnetism7, 2)
 # build_namedpoly!(alf, :motzkin, 7)
 # build_namedpoly!(alf, :reactiondiffusion, 4)
@@ -89,4 +89,4 @@ end
 # build_namedpoly!(alf, :schwefel, 3)
 
 # solve it
-# @time Alfonso.solve!(alf)
+@time Alfonso.solve!(alf)
diff --git a/src/primitivecones.jl b/src/primitivecones.jl
@@ -64,15 +64,15 @@ loadpnt_prm!(prm::SumOfSquaresCone, pnt) = (prm.pnt = pnt)
 
 function incone_prm(prm::SumOfSquaresCone)
     # TODO each of the following choleskys can be done in parallel
-    prm.ippnt .= prm.ip'*Diagonal(prm.pnt)*prm.ip
-    F = cholesky!(Symmetric(prm.ippnt), check=false) # TODO use structure cholesky of P'DP to speed up chol?
+    @time prm.ippnt .= prm.ip'*Diagonal(prm.pnt)*prm.ip
+    @time F = cholesky!(Symmetric(prm.ippnt), check=false) # TODO use structure cholesky of P'DP to speed up chol? maybe LDLT type decomp precomputed, change diag
     if !issuccess(F)
         return false
     end
-    prm.Vp .= F.L\prm.ip' # TODO do in-place
-    prm.VtVp .= prm.Vp'*prm.Vp
-    prm.gtmp .= -diag(prm.VtVp)
-    prm.Htmp .= prm.VtVp.^2
+    @time ldiv!(prm.Vp, F.L, prm.ip')
+    @time mul!(prm.VtVp, prm.Vp', prm.Vp)
+    @time prm.gtmp .= diag(prm.VtVp) .* -1.0
+    @time prm.Htmp .= prm.VtVp.^2
 
     for j in 1:length(prm.ipwt)
         prm.ipwtpnt[j] .= prm.ipwt[j]'*Diagonal(prm.pnt)*prm.ipwt[j]

diff --git a/test/nativeexamples.jl b/test/nativeexamples.jl
@@ -1,37 +1,37 @@
 
-@testset "large dense lp example (dense methods)" begin
-    alf = Alfonso.AlfonsoOpt(verbose=verbflag)
-    build_lp!(alf, 500, 1000, use_data=true)
-    @time Alfonso.solve!(alf)
-    @test Alfonso.get_status(alf) == :Optimal
-    @test Alfonso.get_pobj(alf) ≈ 2055.807 atol=1e-4 rtol=1e-4
-    @test Alfonso.get_dobj(alf) ≈ 2055.807 atol=1e-4 rtol=1e-4
-end
-
-@testset "large sparse lp example (sparse methods)" begin
-    alf = Alfonso.AlfonsoOpt(verbose=verbflag)
-    build_lp!(alf, 500, 1000, dense=false)
-    @time Alfonso.solve!(alf)
-    @test Alfonso.get_status(alf) == :Optimal
-    @test Alfonso.get_pobj(alf) ≈ Alfonso.get_dobj(alf) atol=1e-4 rtol=1e-4
-end
-
-@testset "small dense lp example (dense vs sparse methods)" begin
-    # dense methods
-    d_alf = Alfonso.AlfonsoOpt(verbose=verbflag)
-    build_lp!(d_alf, 50, 100, dense=true, tosparse=false)
-    @time Alfonso.solve!(d_alf)
-    @test Alfonso.get_status(d_alf) == :Optimal
-
-    # sparse methods
-    s_alf = Alfonso.AlfonsoOpt(verbose=verbflag)
-    build_lp!(s_alf, 50, 100, dense=true, tosparse=true)
-    @time Alfonso.solve!(s_alf)
-    @test Alfonso.get_status(s_alf) == :Optimal
-
-    @test Alfonso.get_pobj(d_alf) ≈ Alfonso.get_pobj(s_alf) atol=1e-4 rtol=1e-4
-    @test Alfonso.get_dobj(d_alf) ≈ Alfonso.get_dobj(s_alf) atol=1e-4 rtol=1e-4
-end
+# @testset "large dense lp example (dense methods)" begin
+#     alf = Alfonso.AlfonsoOpt(verbose=verbflag)
+#     build_lp!(alf, 500, 1000, use_data=true)
+#     @time Alfonso.solve!(alf)
+#     @test Alfonso.get_status(alf) == :Optimal
+#     @test Alfonso.get_pobj(alf) ≈ 2055.807 atol=1e-4 rtol=1e-4
+#     @test Alfonso.get_dobj(alf) ≈ 2055.807 atol=1e-4 rtol=1e-4
+# end
+#
+# @testset "large sparse lp example (sparse methods)" begin
+#     alf = Alfonso.AlfonsoOpt(verbose=verbflag)
+#     build_lp!(alf, 500, 1000, dense=false)
+#     @time Alfonso.solve!(alf)
+#     @test Alfonso.get_status(alf) == :Optimal
+#     @test Alfonso.get_pobj(alf) ≈ Alfonso.get_dobj(alf) atol=1e-4 rtol=1e-4
+# end
+#
+# @testset "small dense lp example (dense vs sparse methods)" begin
+#     # dense methods
+#     d_alf = Alfonso.AlfonsoOpt(verbose=verbflag)
+#     build_lp!(d_alf, 50, 100, dense=true, tosparse=false)
+#     @time Alfonso.solve!(d_alf)
+#     @test Alfonso.get_status(d_alf) == :Optimal
+#
+#     # sparse methods
+#     s_alf = Alfonso.AlfonsoOpt(verbose=verbflag)
+#     build_lp!(s_alf, 50, 100, dense=true, tosparse=true)
+#     @time Alfonso.solve!(s_alf)
+#     @test Alfonso.get_status(s_alf) == :Optimal
+#
+#     @test Alfonso.get_pobj(d_alf) ≈ Alfonso.get_pobj(s_alf) atol=1e-4 rtol=1e-4
+#     @test Alfonso.get_dobj(d_alf) ≈ Alfonso.get_dobj(s_alf) atol=1e-4 rtol=1e-4
+# end
 
 # @testset "poly envelope example" begin
 #     alf = Alfonso.AlfonsoOpt(verbose=verbflag)