# coding: utf-8
# ------------------------------------------------------------------------------
# Copyright (C) 2018-2019 Maximilian Stahlberg
#
# This file is part of PICOS.
#
# PICOS is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# PICOS is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.
# ------------------------------------------------------------------------------
"""Implementation of :class:`ECOSSolver`."""
import cvxopt
from ..apidoc import api_end, api_start
from ..compat import assert_import_exists
from ..constraints import (AffineConstraint, ExpConeConstraint, RSOCConstraint,
SOCConstraint)
from ..expressions import AffineExpression, BinaryVariable, IntegerVariable
from ..modeling.footprint import Specification
from ..modeling.solution import (PS_FEASIBLE, PS_INFEASIBLE, PS_UNBOUNDED,
PS_UNKNOWN, PS_UNSTABLE, SS_FAILURE,
SS_INFEASIBLE, SS_OPTIMAL, SS_PREMATURE,
SS_UNKNOWN)
from .solver import Solver
_API_START = api_start(globals())
# -------------------------------
[docs]class ECOSSolver(Solver):
"""Interface to the ECOS solver via its official Python interface."""
SUPPORTED = Specification.compile(
directions=Specification.ALL,
objectives=[
AffineExpression],
variables=Specification.ALL,
constraints=[
AffineConstraint,
SOCConstraint,
RSOCConstraint,
ExpConeConstraint])
[docs] @classmethod
def supports(cls, footprint):
"""Implement :meth:`~.solver.Solver.supports`."""
if not Solver.supports(footprint):
return False
return footprint << cls.SUPPORTED
[docs] @classmethod
def default_penalty(cls):
"""Implement :meth:`~.solver.Solver.default_penalty`."""
return 1.0 # Stable free/open source solver.
[docs] @classmethod
def test_availability(cls):
"""Implement :meth:`~.solver.Solver.test_availability`."""
assert_import_exists("ecos")
[docs] @classmethod
def names(cls):
"""Implement :meth:`~.solver.Solver.names`."""
return "ecos", "ECOS", "Embedded Conic Solver"
[docs] def __init__(self, problem):
"""Initialize an ECOS solver interface.
:param ~picos.Problem problem: The problem to be solved.
"""
super(ECOSSolver, self).__init__(problem)
self._numVars = 0
"""Total number of scalar variables passed to ECOS."""
self._ecosVarOffset = {}
"""Maps a PICOS variable to its offset in the ECOS constraint matrix."""
self._ecosConIndices = dict()
"""Maps a PICOS constraints to a range of ECOS constraint indices.
Note that equality constraints use a different index space."""
self._ecosModuleCache = None
"""A cached reference to the ECOS module."""
[docs] def reset_problem(self):
"""Implement :meth:`~.solver.Solver.reset_problem`."""
self.int = None
self._numVars = 0
self._ecosVarOffset.clear()
self._ecosConIndices.clear()
# self._objectiveOffset = 0.0
@property
def ecos(self):
"""Return the ECOS core module ecos.py.
The module is obtained by ``import ecos`` up to ECOS 2.0.6 and by
``import ecos.ecos`` starting with ECOS 2.0.7.
"""
if self._ecosModuleCache is None:
import ecos
if hasattr(ecos, "ecos"):
self._ecosModuleCache = ecos.ecos
else:
self._ecosModuleCache = ecos
return self._ecosModuleCache
@property
def array(self):
"""ECOS' array type."""
return self.ecos.np.array
@property
def matrix(self):
"""ECOS' matrix type."""
return self.ecos.sparse.csc_matrix
[docs] def zeros(self, shape):
"""Create a zero array or a zero matrix, depending on ``shape``."""
if isinstance(shape, int) or len(shape) == 1:
return self.ecos.np.zeros(shape)
else:
return self.matrix(shape)
[docs] def stack(self, *args):
"""Stack vectors or matrices, the latter vertically."""
# In the case of matrices, stack vertically.
if isinstance(args[0], self.ecos.sparse.base.spmatrix):
for i in range(1, len(args)):
assert isinstance(args[i], self.ecos.sparse.base.spmatrix)
return self.ecos.sparse.vstack(args, format="csc")
# In the case of arrays, append them.
for i in range(len(args)):
assert isinstance(args[i], self.ecos.np.ndarray)
return self.ecos.np.hstack(args)
def _affine_expression_to_G_and_h(self, expression):
assert isinstance(expression, AffineExpression)
length = len(expression)
# Construct G.
I, J, V = [], [], []
for variable, coefficients in expression._coefs.items():
ecosVarOffset = self._ecosVarOffset[variable]
if not isinstance(coefficients, cvxopt.spmatrix):
coefficients = cvxopt.sparse(coefficients)
I.extend(coefficients.I)
J.extend([ecosVarOffset + j for j in coefficients.J])
V.extend(coefficients.V)
G = self.matrix((V, (I, J)), (length, self._numVars))
# Construct h.
constant = expression._const
if not isinstance(constant, cvxopt.matrix):
constant = cvxopt.matrix(constant)
h = self.array(constant, dtype=float).flatten()
return G, h
_Gh = _affine_expression_to_G_and_h
def _import_variables(self):
offset = 0
for variable in self.ext.variables.values():
dim = variable.dim
# Mark integer variables.
if isinstance(variable, (BinaryVariable, IntegerVariable)):
ecosIndices = range(offset, offset + dim)
if isinstance(variable, BinaryVariable):
self.int["bool_vars_idx"].extend(ecosIndices)
else:
self.int["int_vars_idx"].extend(ecosIndices)
# Register the variable.
self._ecosVarOffset[variable] = offset
offset += dim
# Import bounds.
bounds = variable.bound_constraint
if bounds:
self._import_affine_constraint(bounds)
assert offset == self._numVars
def _append_equality(self, A, b):
offset = len(self.int["b"])
length = len(b)
self.int["A"] = self.stack(self.int["A"], A)
self.int["b"] = self.stack(self.int["b"], b)
return range(offset, offset + length)
def _append_inequality(self, G, h, typecode):
assert typecode in self.int["dims"]
# Make sure constraints are appened in the proper order.
if typecode == "l":
assert len(self.int["dims"]["q"]) == 0 \
and self.int["dims"]["e"] == 0
elif typecode == "q":
assert self.int["dims"]["e"] == 0
offset = len(self.int["h"])
length = len(h)
self.int["G"] = self.stack(self.int["G"], G)
self.int["h"] = self.stack(self.int["h"], h)
if typecode == "q":
self.int["dims"][typecode].append(length)
elif typecode == "e":
self.int["dims"][typecode] += 1
else:
self.int["dims"][typecode] += length
return range(offset, offset + length)
def _import_affine_constraint(self, constraint):
assert isinstance(constraint, AffineConstraint)
(G_smaller, h_smaller) = self._Gh(constraint.smaller)
(G_greater, h_greater) = self._Gh(constraint.greater)
G = G_smaller - G_greater
h = h_greater - h_smaller
if constraint.is_equality():
return self._append_equality(G, h)
else:
return self._append_inequality(G, h, "l")
def _import_socone_constraint(self, constraint):
assert isinstance(constraint, SOCConstraint)
(A, b) = self._Gh(constraint.ne)
(c, d) = self._Gh(constraint.ub)
return self._append_inequality(
self.stack(-c, -A), self.stack(d, b), "q")
def _import_rscone_constraint(self, constraint):
assert isinstance(constraint, RSOCConstraint)
(A, b) = self._Gh(constraint.ne)
(c1, d1) = self._Gh(constraint.ub1)
(c2, d2) = self._Gh(constraint.ub2)
return self._append_inequality(
self.stack(-(c1 + c2), -2.0*A, c2 - c1),
self.stack(d1 + d2, 2.0*b, d1 - d2), "q")
def _import_expcone_constraint(self, constraint):
assert isinstance(constraint, ExpConeConstraint)
(Gx, hx) = self._Gh(constraint.x)
(Gy, hy) = self._Gh(constraint.y)
(Gz, hz) = self._Gh(constraint.z)
# ECOS' exponential cone is cl{(x,y,z) | exp(x/z) <= y/z, z > 0},
# PICOS' is cl{(x,y,z) | x >= y*exp(z/y), y > 0}. Note that given y > 0
# it is x >= y*exp(z/y) if and only if exp(z/y) <= x/y. Therefor we can
# transform from our coordinates to theirs with the mapping
# (x, y, z) ↦ (z, x, y). Further, G and h with G = (Gx, Gy, Gz) and
# h = (hx, hy, hz) are such that G*X + h = (x, y, z) where X is the
# row-vectorization of all variables. ECOS however expects G and h such
# that h - G*X is constrained to be in the exponential cone.
return self._append_inequality(
-self.stack(Gz, Gx, Gy), self.stack(hz, hx, hy), "e")
def _import_objective(self):
direction, objective = self.ext.objective
# ECOS does not support a constant offset.
# self._objectiveOffset = objective._const[0]
if direction != "find":
# ECOS only supports minimization; flip the sign for maximization.
sign = 1.0 if direction == "min" else -1.0
# Import coefficients.
for variable, coefficient in objective._coefs.items():
for localIndex in range(variable.dim):
index = self._ecosVarOffset[variable] + localIndex
self.int["c"][index] = sign * coefficient[localIndex]
def _import_problem(self):
self._numVars = sum(var.dim for var in self.ext.variables.values())
# ECOS' internal problem representation is stateless; a number of
# vectors and matrices is supplied each time a search is started.
# These vectors and matrices are thus stored in self.int.
self.int = {
# Objective function coefficients.
"c": self.zeros(self._numVars),
# Linear equality left hand side.
"A": self.matrix((0, self._numVars)),
# Linear equality right hand side.
"b": self.array([]),
# Conic inequality left hand side.
"G": self.matrix((0, self._numVars)),
# Conic inequality right hand side.
"h": self.array([]),
# Cone definition: Linear, second order, exponential dimensions.
"dims": {"l": 0, "q": [], "e": 0},
# Boolean variable indices.
"bool_vars_idx": [],
# Integer variable indices.
"int_vars_idx": []
}
# NOTE: Constraints need to be append ordered by type.
# TODO: Add fast constraints-by-type iterators to Problem.
# Import variables with their bounds as affine constraints.
self._import_variables()
# Import affine constraints.
for constraint in self.ext.constraints.values():
if isinstance(constraint, AffineConstraint):
self._ecosConIndices[constraint] = \
self._import_affine_constraint(constraint)
# Import second order cone constraints.
for constraint in self.ext.constraints.values():
if isinstance(constraint, SOCConstraint):
self._ecosConIndices[constraint] = \
self._import_socone_constraint(constraint)
# Import rotated second order cone constraints.
for constraint in self.ext.constraints.values():
if isinstance(constraint, RSOCConstraint):
self._ecosConIndices[constraint] = \
self._import_rscone_constraint(constraint)
# Import exponential cone constraints.
for constraint in self.ext.constraints.values():
if isinstance(constraint, ExpConeConstraint):
self._ecosConIndices[constraint] = \
self._import_expcone_constraint(constraint)
# Make sure that no unsupported constraints are present.
for constraint in self.ext.constraints.values():
assert isinstance(constraint, (AffineConstraint, SOCConstraint,
RSOCConstraint, ExpConeConstraint))
# Set objective.
self._import_objective()
def _update_problem(self):
raise NotImplementedError
def _solve(self):
ecosOptions = {}
# verbosity
beVerbose = self.verbosity() >= 1
ecosOptions["verbose"] = beVerbose
ecosOptions["mi_verbose"] = beVerbose
# rel_prim_fsb_tol, rel_dual_fsb_tol
feasibilityTols = [tol for tol in (self.ext.options.rel_prim_fsb_tol,
self.ext.options.rel_dual_fsb_tol) if tol is not None]
if feasibilityTols:
ecosOptions["feastol"] = min(feasibilityTols)
# abs_ipm_opt_tol
if self.ext.options.abs_ipm_opt_tol is not None:
ecosOptions["abstol"] = self.ext.options.abs_ipm_opt_tol
# rel_ipm_opt_tol
if self.ext.options.rel_ipm_opt_tol is not None:
ecosOptions["reltol"] = self.ext.options.rel_ipm_opt_tol
# abs_bnb_opt_tol
if self.ext.options.abs_bnb_opt_tol is not None:
ecosOptions["mi_abs_eps"] = self.ext.options.abs_bnb_opt_tol
# rel_bnb_opt_tol
if self.ext.options.rel_bnb_opt_tol is not None:
ecosOptions["mi_rel_eps"] = self.ext.options.rel_bnb_opt_tol
# integrality_tol
# HACK: ECOS_BB uses ECOS' "tolerance for feasibility condition for
# inaccurate solution" as the integrality tolerance.
if self.ext.options.integrality_tol is not None:
ecosOptions["feastol_inacc"] = self.ext.options.integrality_tol
# max_iterations
if self.ext.options.max_iterations is not None:
ecosOptions["max_iters"] = self.ext.options.max_iterations
ecosOptions["mi_max_iters"] = self.ext.options.max_iterations
# Handle unsupported options.
self._handle_unsupported_options(
"lp_root_method", "lp_node_method", "timelimit", "treememory",
"max_fsb_nodes", "hotstart")
# Assemble the solver input.
arguments = {}
arguments.update(self.int)
arguments.update(ecosOptions)
# Debug print the solver input.
if self._debug():
from pprint import pformat
self._debug("Passing to ECOS:\n" + pformat(arguments))
# Attempt to solve the problem.
with self._header(), self._stopwatch():
solution = self.ecos.solve(**arguments)
# Debug print the solver output.
if self._debug():
from pprint import pformat
self._debug("Recevied from ECOS:\n" + pformat(solution))
# Retrieve primals.
primals = {}
if self.ext.options.primals is not False:
for variable in self.ext.variables.values():
offset = self._ecosVarOffset[variable]
dim = variable.dim
value = list(solution["x"][offset:offset + dim])
primals[variable] = value
# Retrieve duals.
duals = {}
if self.ext.options.duals is not False:
for constraint in self.ext.constraints.values():
dual = None
indices = self._ecosConIndices[constraint]
if isinstance(constraint, AffineConstraint):
if constraint.is_equality():
dual = list(solution["y"][indices])
else:
dual = list(solution["z"][indices])
elif isinstance(constraint, SOCConstraint):
dual = solution["z"][indices]
dual = list(dual)
elif isinstance(constraint, RSOCConstraint):
dual = solution["z"][indices]
dual[1:] = -dual[1:]
alpha = dual[0] - dual[-1]
beta = dual[0] + dual[-1]
z = list(-2.0 * dual[1:-1])
dual = [alpha, beta] + z
elif isinstance(constraint, ExpConeConstraint):
zxy = solution["z"][indices]
dual = [zxy[1], zxy[2], zxy[0]]
else:
assert False, "Unexpected constraint type."
if type(dual) is list:
if len(dual) == 1:
dual = float(dual[0])
else:
dual = cvxopt.matrix(dual, constraint.size)
duals[constraint] = dual
# # Retrieve objective value.
# p = solution["info"]["pcost"]
# d = solution["info"]["dcost"]
#
# if p is not None and d is not None:
# objectiveValue = 0.5 * (p + d)
# elif p is not None:
# objectiveValue = p
# elif d is not None:
# objectiveValue = d
# else:
# objectiveValue = None
#
# if objectiveValue is not None:
# objectiveValue += self._objectiveOffset
#
# if self.ext.objective.direction == "max":
# objectiveValue = -objectiveValue
statusCode = solution["info"]["exitFlag"]
if statusCode == 0: # optimal
primalStatus = SS_OPTIMAL
dualStatus = SS_OPTIMAL
problemStatus = PS_FEASIBLE
elif statusCode == 10: # inaccurate/optimal
primalStatus = SS_OPTIMAL
dualStatus = SS_OPTIMAL
problemStatus = PS_FEASIBLE
elif statusCode == 1: # primal infeasible
primalStatus = SS_INFEASIBLE
dualStatus = SS_UNKNOWN
problemStatus = PS_INFEASIBLE
elif statusCode == 11: # inaccurate/primal infeasible
primalStatus = SS_INFEASIBLE
dualStatus = SS_UNKNOWN
problemStatus = PS_INFEASIBLE
elif statusCode == 2: # dual infeasible
primalStatus = SS_UNKNOWN
dualStatus = SS_INFEASIBLE
problemStatus = PS_UNBOUNDED
elif statusCode == 12: # inaccurate/dual infeasible
primalStatus = SS_UNKNOWN
dualStatus = SS_INFEASIBLE
problemStatus = PS_UNBOUNDED
elif statusCode == -1: # iteration limit reached
primalStatus = SS_PREMATURE
dualStatus = SS_PREMATURE
problemStatus = PS_UNKNOWN
elif statusCode == -2: # search direction unreliable
primalStatus = SS_UNKNOWN
dualStatus = SS_UNKNOWN
problemStatus = PS_UNSTABLE
elif statusCode == -3: # numerically problematic
primalStatus = SS_UNKNOWN
dualStatus = SS_UNKNOWN
problemStatus = PS_UNSTABLE
elif statusCode == -4: # interrupted
primalStatus = SS_PREMATURE
dualStatus = SS_PREMATURE
problemStatus = PS_UNKNOWN
elif statusCode == -7: # solver error
primalStatus = SS_FAILURE
dualStatus = SS_FAILURE
problemStatus = PS_UNKNOWN
else:
primalStatus = SS_UNKNOWN
dualStatus = SS_UNKNOWN
problemStatus = PS_UNKNOWN
return self._make_solution(primals, duals, primalStatus, dualStatus,
problemStatus, {"ecos_sol": solution})
# --------------------------------------
__all__ = api_end(_API_START, globals())