fixed build systems, added timing, added flags

CMakeLists.txt

@@ -163,6 +163,10 @@ if(USE_OPENMP)
   set(CMAKE_C_FLAGS "${CMAKE_C_FLAGS} -fopenmp")
 endif()
 
+if(SPECTRAL_TIMING_FLAG)
+  set(CMAKE_C_FLAGS "${CMAKE_C_FLAGS} -DSPECTRAL_TIMING_FLAG")
+endif()
+
 message(STATUS "COMPILER_OPTS = ${COMPILER_OPTS}")
 message(STATUS "CMAKE_C_FLAGS = ${CMAKE_C_FLAGS}")
 

Makefile

@@ -1,7 +1,12 @@
 # MAKEFILE for scs
 include scs.mk
 
-SCS_OBJECTS = src/util.o src/cones.o src/exp_cone.o src/aa.o src/rw.o src/linalg.o src/ctrlc.o src/scs_version.o src/normalize.o
+SCS_OBJECTS = src/util.o src/cones.o src/exp_cone.o src/aa.o src/rw.o src/linalg.o src/ctrlc.o src/scs_version.o src/normalize.o \
+              src/spectral_cones/logdeterminant/log_cone_Newton.o src/spectral_cones/logdeterminant/log_cone_IPM.o \
+              src/spectral_cones/logdeterminant/log_cone_wrapper.o src/spectral_cones/logdeterminant/logdet_cone.o \
+              src/spectral_cones/nuclear/ell1_cone.o src/spectral_cones/nuclear/nuclear_cone.o \
+              src/spectral_cones/sum-largest/sum_largest_cone.o src/spectral_cones/sum-largest/sum_largest_eval_cone.o \
+              src/spectral_cones/util_spectral_cones.o
 SCS_O = src/scs.o
 SCS_INDIR_O = src/scs_indir.o
 

include/cones.h

@@ -5,6 +5,13 @@
 extern "C" {
 #endif
 
+// macro for time measurements of SpectralSCS
+#ifdef SPECTRAL_TIMING_FLAG
+    #define SPECTRAL_TIMING(action) action
+#else
+    #define SPECTRAL_TIMING(action)
+#endif
+
 #include "glbopts.h"
 #include "scs.h"
 #include "scs_blas.h"
@@ -14,6 +21,7 @@ extern "C" {
 
 
 
+
 /* private data to help cone projection step */
 struct SCS_CONE_WORK {
   /*
@@ -31,12 +39,16 @@ struct SCS_CONE_WORK {
   scs_float box_t_warm_start;
 
   /* if the projection onto the logarithmic cone should be warmstarted*/
-  bool log_cone_warmstart;
+  bool *log_cone_warmstarts;
 
   /* Needed for ell1 norm cone projection */
   Value_index *work_ell1;
   scs_float *work_ell1_proj; 
 
+  // used for timing spectral vector cone and spectral matrix cone projections
+  SPECTRAL_TIMING(scs_float tot_time_mat_cone_proj;)
+  SPECTRAL_TIMING(scs_float tot_time_vec_cone_proj;)
+
 #ifdef USE_LAPACK
   /* workspace for eigenvector decompositions: */
   scs_float *Xs, *Z, *e, *work;

include/scs.h

@@ -218,6 +218,12 @@ typedef struct {
   scs_float cone_time;
   /** Total time (milliseconds) spent in the acceleration routine. */
   scs_float accel_time;
+#ifdef SPECTRAL_TIMING_FLAG 
+  /** Average time (milliseconds) per iteration matrix cone projection */
+  scs_float ave_time_matrix_cone_proj;
+  /** Average time (milliseconds) per iteration for spectral vector cone projection */
+  scs_float ave_time_vector_cone_proj;
+#endif
 } ScsInfo;
 
 /*

include/util_spectral_cones.h

@@ -16,7 +16,7 @@ bool is_pos(const scs_float *x, scs_int n);
 bool is_negative(const scs_float *x, scs_int n);
 void non_neg_proj(const scs_float *src, scs_float *dst, scs_int n);
 scs_float sum_log(const scs_float *x, scs_int n);
-
+scs_float min_vec(const scs_float *vec, scs_int n);
 
 // used for sorting in ell1-norm cone and sum of largest cone.
 typedef struct

src/cones.c

@@ -48,7 +48,8 @@ scs_float SCS(proj_pd_exp_cone)(scs_float *v0, scs_int primal);
 
 // Forward declare spectral matrix cone projections
 scs_int SCS(proj_logdet_cone)(scs_float *tvX, const scs_int n, ScsConeWork *c,
-                              Newton_stats *stats, scs_int offset);
+                              Newton_stats *stats, scs_int offset,
+                              bool *warmstart);
 scs_int SCS(proj_nuclear_cone)(scs_float *tX, size_t m, size_t n, ScsConeWork *c);
 void SCS(proj_ell_one)(scs_float *tx, size_t n, ScsConeWork *c);
 scs_int SCS(proj_sum_largest_evals)(scs_float *tX, scs_int n, scs_int k,
@@ -448,6 +449,9 @@ void SCS(finish_cone)(ScsConeWork *c) {
   if (c->work_sum_of_largest) {
     scs_free(c->work_sum_of_largest);
   }
+  if (c->log_cone_warmstarts) {
+    scs_free(c->log_cone_warmstarts);
+  }
 #endif
   if (c->work_ell1) {
     scs_free(c->work_ell1);
@@ -556,6 +560,9 @@ static scs_int set_up_sd_cone_work_space(ScsConeWork *c, const ScsCone *k) {
 #define _STR(tok) _STR_EXPAND(tok)
   scs_printf("BLAS(func) = '%s'\n", _STR(BLAS(func)));
 #endif
+
+  c->log_cone_warmstarts = (bool *)scs_calloc(k->dsize, sizeof(bool));
+
   // ----------------------------------------------------------------------
   //   compute max dimension needed for eigenvalue decomposition workspace
   //   (all cones appearing in the next section of code require eigenvalue
@@ -776,10 +783,6 @@ static scs_int proj_semi_definite_cone(scs_float *X, const scs_int n,
     return 0;
   }
 
-#ifdef DEBUG
-  scs_printf("number of positive eigenvalues: %d \n", n - first_idx);
-#endif
-
   /* Z is matrix of eigenvectors with positive eigenvalues */
   memcpy(Z, &Xs[first_idx * n], sizeof(scs_float) * n * (n - first_idx));
 
@@ -1005,8 +1008,9 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
                          scs_int normalize, scs_float *r_y) {
   scs_int i, status;
   scs_int count = 0;
-  scs_int offset_logdet_cone = 0;  /* used for warmstarting log-cone projections */  
+  scs_int offset_log_cone = 0;  /* used for warmstarting log-cone projections */  
   scs_float *r_box = SCS_NULL;
+  SPECTRAL_TIMING(SCS(timer) spec_mat_proj_timer;)
 
   if (k->z) { /* doesn't use r_y */
     /* project onto primal zero / dual free cone */
@@ -1043,7 +1047,9 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
   if (k->ssize && k->s) { /* doesn't use r_y */
     /* project onto PSD cones */
     for (i = 0; i < k->ssize; ++i) {
+      SPECTRAL_TIMING(SCS(tic)(&spec_mat_proj_timer);)
       status = proj_semi_definite_cone(&(x[count]), k->s[i], c);
+      SPECTRAL_TIMING(c->tot_time_mat_cone_proj += SCS(tocq)(&spec_mat_proj_timer);)
       if (status < 0) {
         return status;
       }
@@ -1093,9 +1099,12 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
   /* project onto logdet cones */
   if (k->dsize && k->d) {
     for (i = 0; i < k->dsize; ++i) {
+      SPECTRAL_TIMING(SCS(tic)(&spec_mat_proj_timer);)
       status = SCS(proj_logdet_cone)(&(x[count]), k->d[i], c, &(c->newton_stats),
-                                     offset_logdet_cone);
-      offset_logdet_cone += k->d[i] + 2;
+                                     offset_log_cone, 
+                                     c->log_cone_warmstarts + i);
+      SPECTRAL_TIMING(c->tot_time_mat_cone_proj += SCS(tocq)(&spec_mat_proj_timer);)
+      offset_log_cone += k->d[i] + 2;
       if (status < 0) {
         return status;
       }
@@ -1105,7 +1114,9 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
   /* project onto nuclear norm cones */
   if (k->nucsize && k->nuc_m && k->nuc_n) {
     for (i = 0; i < k->nucsize; ++i) {
+      SPECTRAL_TIMING(SCS(tic)(&spec_mat_proj_timer);)
       status = SCS(proj_nuclear_cone)(&(x[count]), k->nuc_m[i], k->nuc_n[i], c);
+      SPECTRAL_TIMING(c->tot_time_mat_cone_proj += SCS(tocq)(&spec_mat_proj_timer);)
       if (status < 0) {
         return status;
       }
@@ -1122,7 +1133,9 @@ static scs_int proj_cone(scs_float *x, const ScsCone *k, ScsConeWork *c,
   /* project onto sum-of-largest eigenvalues cone */
   if (k->sl_size && k->sl_n && k->sl_k) {
     for (i = 0; i < k->sl_size; ++i) {
+      SPECTRAL_TIMING(SCS(tic)(&spec_mat_proj_timer);)
       status = SCS(proj_sum_largest_evals)(&(x[count]), k->sl_n[i], k->sl_k[i], c);
+      SPECTRAL_TIMING(c->tot_time_mat_cone_proj += SCS(tocq)(&spec_mat_proj_timer);)
       if (status < 0) {
         return status;
       }

src/scs.c

@@ -550,6 +550,10 @@ static void finalize(ScsWork *w, ScsSolution *sol, ScsInfo *info,
   info->rejected_accel_steps = w->rejected_accel_steps;
   info->accepted_accel_steps = w->accepted_accel_steps;
   info->comp_slack = ABS(sty);
+#ifdef SPECTRAL_TIMING_FLAG
+  info->ave_time_matrix_cone_proj = w->cone_work->tot_time_mat_cone_proj / iter;
+  info->ave_time_vector_cone_proj = w->cone_work->tot_time_vec_cone_proj / iter;
+#endif
   if (info->comp_slack > 1e-5 * MAX(nm_s, nm_y)) {
     scs_printf("WARNING - large complementary slackness residual: %f\n",
                info->comp_slack);
@@ -1050,7 +1054,7 @@ scs_int scs_solve(ScsWork *w, ScsSolution *sol, ScsInfo *info,
   ScsSettings *stgs = w->stgs;
   /* set warm start */
   stgs->warm_start = warm_start;
-  w->cone_work->log_cone_warmstart = false;
+
 
   /* initialize ctrl-c support */
   scs_start_interrupt_listener();

src/spectral_cones/logdeterminant/log_cone_IPM.c

@@ -444,7 +444,7 @@ scs_int log_cone_IPM(scs_float t0, scs_float v0, scs_float *x0, scs_float *u1,
     scs_float pres0, dres0;
     scs_float phi0 = 0.0, dphi0 = 0.0, step_size0 = 0.0;
 
-#ifdef DEBUG
+#ifdef SPECTRAL_DEBUG
     printf("%-3s%-15s%-15s%-15s%-10s%-10s\n", "", "gap", "pres", "dres", "sig",
            "step");
 #endif
@@ -498,7 +498,7 @@ scs_int log_cone_IPM(scs_float t0, scs_float v0, scs_float *x0, scs_float *u1,
 
         if (dres < FEASTOL_IPM && pres < FEASTOL_IPM && (gap < ABSTOL_IPM || relgap <= RELTOL_IPM))
         {
-#ifdef DEBUG
+#ifdef SPECTRAL_DEBUG
             printf("optimal solution found: \n");
             printf("gap / pres / dres: %.7e, %.7e, %.7e \n", gap, pres, dres);
 #endif
@@ -710,7 +710,7 @@ scs_int log_cone_IPM(scs_float t0, scs_float v0, scs_float *x0, scs_float *u1,
         r = rnew;
         memcpy(z, z_new, 3 * sizeof(*z));
         memcpy(s, s_new, 3 * sizeof(*s));
-#ifdef DEBUG
+#ifdef SPECTRAL_DEBUG
         printf("%ld: %.7e, %.7e, %.7e, %f, %.3f \n",
                iter, gap, pres, dres, sigma, step_size);
 #endif