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def _test_dproj(self, cone, dual, n, x=None, tol=1e-8):
if x is None:
x = np.random.randn(n)
dx = 1e-6 * np.random.randn(n)
proj_x = cone_lib._proj(x, CPP_CONES_TO_SCS[cone.type], dual)
z = cone_lib._proj(x + dx, CPP_CONES_TO_SCS[cone.type], dual)
Dpi = _diffcp.dprojection(x, [cone], dual)
np.testing.assert_allclose(Dpi.matvec(dx), z - proj_x, atol=tol)
Dpi_dense = _diffcp.dprojection_dense(x, [cone], dual)
np.testing.assert_allclose(Dpi_dense @ dx, z - proj_x, atol=tol)
# assure that dense and linear operator are the same.
for i in range(n):
ei = np.zeros(n)
ei[i] = 1.0
np.testing.assert_allclose(Dpi.matvec(ei), Dpi_dense[:, i])
n = 10
A, b, c, cone_dims = utils.least_squares_eq_scs_data(m, n)
cone_dims.pop("q")
cone_dims.pop("s")
cone_dims.pop("ep")
x, y, s, derivative, adjoint_derivative = cone_prog.solve_and_derivative(
A, b, c, cone_dims, solver="ECOS")
# check optimality conditions
np.testing.assert_allclose(A @ x + s, b, atol=1e-8)
np.testing.assert_allclose(A.T @ y + c, 0, atol=1e-8)
np.testing.assert_allclose(s @ y, 0, atol=1e-8)
np.testing.assert_allclose(s, cone_lib.pi(
s, cone_lib.parse_cone_dict(cone_dims), dual=False), atol=1e-8)
np.testing.assert_allclose(y, cone_lib.pi(
y, cone_lib.parse_cone_dict(cone_dims), dual=True), atol=1e-8)
x = cp.Variable(10)
prob = cp.Problem(cp.Minimize(cp.sum_squares(np.random.randn(5, 10) @ x) + np.random.randn(10) @ x), [cp.norm2(x) <= 1, np.random.randn(2, 10) @ x == np.random.randn(2)])
A, b, c, cone_dims = utils.scs_data_from_cvxpy_problem(prob)
x, y, s, derivative, adjoint_derivative = cone_prog.solve_and_derivative(
A, b, c, cone_dims, solver="ECOS")
# check optimality conditions
np.testing.assert_allclose(A @ x + s, b, atol=1e-8)
np.testing.assert_allclose(A.T @ y + c, 0, atol=1e-8)
np.testing.assert_allclose(s @ y, 0, atol=1e-8)
np.testing.assert_allclose(s, cone_lib.pi(
s, cone_lib.parse_cone_dict(cone_dims), dual=False), atol=1e-8)
np.testing.assert_allclose(y, cone_lib.pi(
y, cone_lib.parse_cone_dict(cone_dims), dual=True), atol=1e-8)
def pi(z, cones):
"""Projection onto R^n x K^* x R_+
`cones` represents a convex cone K, and K^* is its dual cone.
"""
u, v, w = z
return np.concatenate(
[u, cone_lib.pi(v, cones, dual=True), np.maximum(w, 0)])