clean up cone functions

examples/lp/lp.jl

@@ -40,7 +40,7 @@ function build_lp!(alf::Alfonso.AlfonsoOpt, m::Int, n::Int; use_data=false, dens
     return Alfonso.load_data!(alf, A, b, c, cones, coneidxs)
 end
 
-# alf = Alfonso.AlfonsoOpt(maxiter=100, verbose=false)
+# alf = Alfonso.AlfonsoOpt(maxiter=100, verbose=true)
 
 # optionally use fixed data in folder
 # select the random matrix size, dense/sparse, sparsity fraction

src/conedata.jl

@@ -1,23 +1,89 @@
 
 # export ConeData, NonnegData, SumOfSqrData
 
-
 abstract type ConeData end
 
-
 #=
  Nonnegative cone
 =#
+#
+# mutable struct NonnegData <: ConeData
+#     dim::Int
+#     pnt::Vector{Float64}
+#     has_g::Bool
+#     g::Vector{Float64}
+#     g_prev::Vector{Float64}
+#     has_Hi::Bool
+#     Hi::Diagonal{Float64}
+#     Hi_prev::Diagonal{Float64}
+#
+#     function NonnegData(dim)
+#         k = new()
+#         k.dim = dim
+#         k.has_g = false
+#         k.g = Vector{Float64}(undef, dim)
+#         k.g_prev = copy(k.g)
+#         k.has_Hi = false
+#         k.Hi = Diagonal{Float64}(copy(k.g))
+#         k.Hi_prev = copy(k.Hi)
+#         return k
+#     end
+# end
+#
+# dimension(k::NonnegData) = k.dim
+#
+# barpar(k::NonnegData) = k.dim
+#
+# function load_txk(k::NonnegData, pnt::Vector{Float64}, save_prev::Bool)
+#     @assert length(pnt) == k.dim
+#     if save_prev # may want to use previously calculated values, so store
+#         k.g_prev .= k.g
+#         k.Hi_prev.diag .= k.Hi.diag
+#     end
+#     k.pnt = pnt
+#     k.has_g = false
+#     k.has_Hi = false
+#     return nothing
+# end
+#
+# function use_prevk(k::NonnegData)
+#     k.g .= k.g_prev
+#     k.Hi.diag .= k.Hi_prev.diag
+#     return nothing
+# end
+#
+# inconek(k::NonnegData) = all(x -> (x > 0.0), k.pnt)
+#
+# function calc_gk(k::NonnegData)
+#     if !k.has_g
+#         k.g .= -inv.(k.pnt)
+#         k.has_g = true
+#     end
+#     return k.g
+# end
+#
+# function calc_Hik(k::NonnegData)
+#     if !k.has_Hi
+#         k.Hi.diag .= abs2.(k.pnt)
+#         k.has_Hi = true
+#     end
+#     return k.Hi
+# end
+#
+# calc_Lk(k::NonnegData) = Diagonal(-k.g)
+#
+
 mutable struct NonnegData <: ConeData
     dim::Int
-
-    pnt
-    pnt_prev
-    # invpnt # TODO store this and the square
+    pnt::Vector{Float64}
+    pnt_prev::Vector{Float64}
 
     function NonnegData(dim)
         k = new()
         k.dim = dim
+        k.pnt = Vector{Float64}(undef, dim)
+        k.pnt_prev = copy(k.pnt)
+        # TODO prealloc etc
         return k
     end
 end
@@ -28,56 +94,48 @@ barpar(k::NonnegData) = k.dim
 
 function load_txk(k::NonnegData, pnt, save_prev)
     @assert length(pnt) == k.dim
-
     if save_prev
-        k.pnt_prev = copy(k.pnt)
+        k.pnt_prev .= k.pnt
     end
-
-    k.pnt = pnt
+    k.pnt .= pnt
 end
 
-use_prevk(k::NonnegData) = (k.pnt = copy(k.pnt_prev))
+use_prevk(k::NonnegData) = (k.pnt .= k.pnt_prev)
 
 inconek(k::NonnegData) = all(x -> (x > 0.0), k.pnt)
 
 calc_gk(k::NonnegData) = -inv.(k.pnt)
 
-calc_Hinvk(k::NonnegData) = Diagonal(k.pnt.^2)
-
-calc_HCholLk(k::NonnegData) = Diagonal(inv.(k.pnt)) # TODO just -g
+calc_Hik(k::NonnegData) = Diagonal(abs2.(k.pnt))
 
+calc_Lk(k::NonnegData) = Diagonal(inv.(k.pnt)) # TODO just -g
 
 #=
  Sum of squares cone
 =#
 mutable struct SumOfSqrData <: ConeData
     dim::Int
-    ip
-    ipwt
-
-    isnewpnt
-    pnt
-
-    grad
+    ip::Matrix{Float64}
+    ipwt::Vector{Matrix{Float64}}
+    pnt::Vector{Float64}
     Hfact
-    hasgH
-    hasHi
-    Hi
-    hasL
-    L
-
-    grad_prev
-    Hi_prev
-    L_prev
-
-    # TODO prealloc etc
+    hasgH::Bool
+    hasHi::Bool
+    hasL::Bool
+    grad::Vector{Float64}
+    grad_prev::Vector{Float64}
+    Hi::Matrix{Float64}
+    Hi_prev::Matrix{Float64}
+    L::Matrix{Float64}
+    L_prev::Matrix{Float64}
 
     function SumOfSqrData(dim, ip, ipwt)
         k = new()
         k.dim = dim
         k.ip = ip
         k.ipwt = ipwt
-        k.isnewpnt = false
+        k.pnt = Vector{Float64}(undef, dim)
+        # TODO prealloc etc
         return k
     end
 end
@@ -86,19 +144,16 @@ dimension(k::SumOfSqrData) = k.dim
 
 barpar(k::SumOfSqrData) = (size(k.ip, 2) + sum(size(k.ipwt[j], 2) for j in 1:length(k.ipwt)))
 
-function load_txk(k::SumOfSqrData, pnt, save_prev)
+function load_txk(k::SumOfSqrData, pnt::Vector{Float64}, save_prev::Bool)
     @assert length(pnt) == k.dim
-
     if save_prev
         # may want to use previously calculated values, so store
         @assert k.hasgH
         k.grad_prev = calc_gk(k)
-        k.Hi_prev = calc_Hinvk(k)
-        k.L_prev = calc_HCholLk(k)
+        k.Hi_prev = calc_Hik(k)
+        k.L_prev = calc_Lk(k)
     end
-
-    k.pnt = pnt
-    k.isnewpnt = true
+    k.pnt .= pnt
     k.hasgH = false
     k.hasHi = false
     k.hasL = false
@@ -115,9 +170,6 @@ function use_prevk(k::SumOfSqrData)
 end
 
 function inconek(k::SumOfSqrData)
-    @assert k.isnewpnt
-    k.isnewpnt = false
-
     F = cholesky!(Symmetric(k.ip'*Diagonal(k.pnt)*k.ip), check=false) # TODO do inplace. TODO could this cholesky of P'DP be faster?
     if !issuccess(F)
         return false
@@ -154,16 +206,16 @@ function calc_gk(k::SumOfSqrData)
     return k.grad
 end
 
-function calc_Hinvk(k::SumOfSqrData)
+function calc_Hik(k::SumOfSqrData)
     @assert k.hasgH
     if !k.hasHi
-        k.Hi = inv(k.Hfact)
+        k.Hi = inv(k.Hfact) # TODO maybe should do L\L'\A
         k.hasHi = true
     end
     return k.Hi
 end
 
-function calc_HCholLk(k::SumOfSqrData)
+function calc_Lk(k::SumOfSqrData)
     @assert k.hasgH
     if !k.hasL
         k.L = k.Hfact.L