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# and a 5-d second order cone.
K = {
'f': 3,
'l': 3,
'q': [5]
}
m = 3 + 3 + 5
n = 5
np.random.seed(0)
A, b, c = utils.random_cone_prog(m, n, K)
# We solve the cone program and get the derivative and its adjoint
x, y, s, derivative, adjoint_derivative = diffcp.solve_and_derivative(
A, b, c, K, eps=1e-10)
print("x =", x)
print("y =", y)
print("s =", s)
# We evaluate the gradient of the objective with respect to A, b and c.
dA, db, dc = adjoint_derivative(c, np.zeros(
m), np.zeros(m), atol=1e-10, btol=1e-10)
# The gradient of the objective with respect to b should be
# equal to minus the dual variable y (see, e.g., page 268 of Convex Optimization by
# Boyd & Vandenberghe).
print("db =", db)
print("-y =", -y)
# Extract problem data using cvxpy
X = cp.Variable((n, n), PSD=True)
objective = cp.trace(C@X)
constraints = [cp.trace(As[i]@X) == Bs[i] for i in range(p)]
prob = cp.Problem(cp.Minimize(objective), constraints)
A, b, c, cone_dims = scs_data_from_cvxpy_problem(prob)
# Print problem size
mn_plus_m_plus_n = A.size + b.size + c.size
n_plus_2n = c.size + 2 * b.size
entries_in_derivative = mn_plus_m_plus_n * n_plus_2n
print(f"""n={n}, p={p}, A.shape={A.shape}, nnz in A={A.nnz}, derivative={mn_plus_m_plus_n}x{n_plus_2n} ({entries_in_derivative} entries)""")
# Compute solution and derivative maps
start = time.perf_counter()
x, y, s, derivative, adjoint_derivative = diffcp.solve_and_derivative(
A, b, c, cone_dims, eps=1e-5)
end = time.perf_counter()
print("Compute solution and set up derivative: %.2f s." % (end - start))
# Derivative
lsqr_args = dict(atol=1e-5, btol=1e-5)
start = time.perf_counter()
dA, db, dc = adjoint_derivative(diffcp.cones.vec_symm(
C), np.zeros(y.size), np.zeros(s.size), **lsqr_args)
end = time.perf_counter()
print("Evaluate derivative: %.2f s." % (end - start))
# Adjoint of derivative
start = time.perf_counter()
dx, dy, ds = derivative(A, b, c, **lsqr_args)
end = time.perf_counter()