WIP: Derivatives interface

.travis.yml

@@ -21,9 +21,6 @@ env:
 
 matrix:
     include:
-      - os: linux
-        env:
-          - PYTHON_VERSION=2.7
       - os: linux
         env:
           - PYTHON_VERSION=3.5
@@ -33,9 +30,6 @@ matrix:
       - os: linux
         env:
           - PYTHON_VERSION=3.7
-      - os: osx
-        env:
-          - PYTHON_VERSION=2.7
       - os: osx
         env:
           - PYTHON_VERSION=3.5
@@ -45,14 +39,6 @@ matrix:
       - os: osx
         env:
           - PYTHON_VERSION=3.7
-    allow_failures:
-      - os: linux
-        env:
-          - PYTHON_VERSION=2.7
-      - os: osx
-        env:
-          - PYTHON_VERSION=2.7
-
 
 install:
   - if [[ $TRAVIS_OS_NAME == 'osx' ]]; then
@@ -66,6 +52,7 @@ install:
   - conda create -n testenv python=$PYTHON_VERSION pytest numpy
   - source activate testenv
   - conda install conda conda-verify conda-build anaconda-client twine
+  - conda install -c conda-forge numdifftools  # TODO: Delete this test dependency
   - conda info -a
   # Add MKL shared libraries (for MKL pardiso) to the path
   - |

appveyor.yml

@@ -10,7 +10,6 @@ environment:
   PYPI_PASSWORD:
     secure: 3gQtEWf4jXJLJKP8oM22oCShTJ3VI+BtRYczfzO3RSQ=
   matrix:
-    - PYTHON_VERSION: 2.7
     - PYTHON_VERSION: 3.5
     - PYTHON_VERSION: 3.6
     - PYTHON_VERSION: 3.7
@@ -40,6 +39,7 @@ install:
   - conda config --set always_yes yes --set changeps1 no --set auto_update_conda no
   - conda create -n testenv python=%PYTHON_VERSION% pytest numpy cmake conda conda-verify conda-build anaconda-client twine
   - activate testenv
+  - conda install -c conda-forge numdifftools  # TODO: Delete this test dependency
   - conda install vs2008_express_vc_python_patch
     # Fix for 64-bit Python 2.7 builds, courtesy vs2008_express_vc_python_patch
   - call setup_x64

extension/include/osqpmodulemethods.h

@@ -5,297 +5,6 @@
  * OSQP methods independently from any object                          *
  ***********************************************************************/
 
-static PyObject * OSQP_module_solve(OSQP *self, PyObject *args, PyObject *kwargs) {
-  c_int n, m;  // Problem dimensions
-  c_int exitflag_setup, exitflag_solve;
-
-  // Variables for setup
-  PyOSQPData *pydata;
-  OSQPData * data;
-  OSQPSettings * settings;
-  OSQPWorkspace * workspace;  // Pointer to C workspace structure
-  PyArrayObject *Px, *Pi, *Pp, *q, *Ax, *Ai, *Ap, *l, *u;
-
-
-  // Variables for solve
-  // Create status object
-  PyObject * status;
-  // Create obj_val object
-  PyObject * obj_val;
-  // Create solution objects
-  PyObject * x, *y, *prim_inf_cert, *dual_inf_cert;
-  // Define info related variables
-  static char *argparse_string_info;
-  PyObject *info_list;
-  PyObject *info;
-
-  // Results
-  PyObject *results_list;
-  PyObject *results;
-
-  npy_intp nd[1];
-  npy_intp md[1];
-
-  static char *kwlist[] = {"dims",                     // nvars and ncons
-			   "Px", "Pi", "Pp", "q",      // Cost function
-			   "Ax", "Ai", "Ap", "l", "u", // Constraints
-			   "scaling",
-			   "adaptive_rho", "adaptive_rho_interval",
-			   "adaptive_rho_tolerance", "adaptive_rho_fraction",
-			   "rho", "sigma", "max_iter", "eps_abs", "eps_rel",
-			   "eps_prim_inf", "eps_dual_inf", "alpha", "delta",
-			   "linsys_solver", "polish",
-			   "polish_refine_iter", "verbose",
-			   "scaled_termination",
-			   "check_termination", "warm_start",
-			   "time_limit", NULL};        // Settings
-
-#ifdef DLONG
-
-  // NB: linsys_solver is enum type which is stored as int (regardless on how c_int is defined).
-#ifdef DFLOAT
-  static char * argparse_string_setup = "(LL)O!O!O!O!O!O!O!O!O!|LLLffffLffffffiLLLLLLf";
-#else
-  static char * argparse_string_setup = "(LL)O!O!O!O!O!O!O!O!O!|LLLddddLddddddiLLLLLLd";
-#endif
-
-#else
-
-#ifdef DFLOAT
-  static char * argparse_string_setup = "(ii)O!O!O!O!O!O!O!O!O!|iiiffffiffffffiiiiiiif";
-#else
-  static char * argparse_string_setup = "(ii)O!O!O!O!O!O!O!O!O!|iiiddddiddddddiiiiiiid";
-#endif
-
-#endif
-
-  // Initialize settings
-  settings = (OSQPSettings *)c_malloc(sizeof(OSQPSettings));
-  osqp_set_default_settings(settings);
-
-  if( !PyArg_ParseTupleAndKeywords(args, kwargs, argparse_string_setup, kwlist,
-				   &n, &m,
-				   &PyArray_Type, &Px,
-				   &PyArray_Type, &Pi,
-				   &PyArray_Type, &Pp,
-				   &PyArray_Type, &q,
-				   &PyArray_Type, &Ax,
-				   &PyArray_Type, &Ai,
-				   &PyArray_Type, &Ap,
-				   &PyArray_Type, &l,
-				   &PyArray_Type, &u,
-				   &settings->scaling,
-				   &settings->adaptive_rho,
-				   &settings->adaptive_rho_interval,
-				   &settings->adaptive_rho_tolerance,
-				   &settings->adaptive_rho_fraction,
-				   &settings->rho,
-				   &settings->sigma,
-				   &settings->max_iter,
-				   &settings->eps_abs,
-				   &settings->eps_rel,
-				   &settings->eps_prim_inf,
-				   &settings->eps_dual_inf,
-				   &settings->alpha,
-				   &settings->delta,
-				   &settings->linsys_solver,
-				   &settings->polish,
-				   &settings->polish_refine_iter,
-				   &settings->verbose,
-				   &settings->scaled_termination,
-				   &settings->check_termination,
-				   &settings->warm_start,
-				   &settings->time_limit)) {
-    return (PyObject *) NULL;
-  }
-
-  // Create Data from parsed vectors
-  pydata = create_pydata(n, m, Px, Pi, Pp, q, Ax, Ai, Ap, l, u);
-  data = create_data(pydata);
-
-  // Perform setup and solve
-  // release the GIL
-  Py_BEGIN_ALLOW_THREADS;
-  // Create Workspace object
-  exitflag_setup = osqp_setup(&(workspace), data, settings);
-  exitflag_solve = osqp_solve(workspace);
-  // reacquire the GIL
-  Py_END_ALLOW_THREADS;
-
-  // Cleanup data and settings
-  free_data(data, pydata);
-  c_free(settings);
-
-  // Check successful setup and solve
-  if (exitflag_setup){ // Workspace allocation error
-    PyErr_SetString(PyExc_ValueError, "Workspace allocation error!");
-    return (PyObject *) NULL;
-  }
-
-  if(exitflag_solve){
-      PyErr_SetString(PyExc_ValueError, "OSQP solve error!");
-      return (PyObject *) NULL;
-  }
-
-  // Temporary solution
-  nd[0] = (npy_intp)workspace->data->n;  // Dimensions in R^n
-  md[0] = (npy_intp)workspace->data->m;  // Dimensions in R^m
-
-  // If problem is not primal or dual infeasible store it
-  if ((workspace->info->status_val != OSQP_PRIMAL_INFEASIBLE) &&
-      (workspace->info->status_val != OSQP_PRIMAL_INFEASIBLE_INACCURATE) &&
-      (workspace->info->status_val != OSQP_DUAL_INFEASIBLE) &&
-      (workspace->info->status_val != OSQP_DUAL_INFEASIBLE_INACCURATE)){
-
-    // Primal and dual solutions
-    x = (PyObject *)PyArrayFromCArray(workspace->solution->x, nd);
-    y = (PyObject *)PyArrayFromCArray(workspace->solution->y, md);
-
-    // Infeasibility certificates -> None values
-    prim_inf_cert = PyArray_EMPTY(1, nd, NPY_OBJECT, 0);
-    dual_inf_cert = PyArray_EMPTY(1, md, NPY_OBJECT, 0);
-
-  } else if (workspace->info->status_val == OSQP_PRIMAL_INFEASIBLE ||
-	     workspace->info->status_val == OSQP_PRIMAL_INFEASIBLE_INACCURATE) {
-    // primal infeasible
-
-    // Primal and dual solution arrays -> None values
-    x = PyArray_EMPTY(1, nd, NPY_OBJECT, 0);
-    y = PyArray_EMPTY(1, md, NPY_OBJECT, 0);
-
-    // Primal infeasibility certificate
-    prim_inf_cert = (PyObject *)PyArrayFromCArray(workspace->delta_y, md);
-
-    // Dual infeasibility certificate -> None values
-    dual_inf_cert = PyArray_EMPTY(1, nd, NPY_OBJECT, 0);
-
-    // Set objective value to infinity
-    workspace->info->obj_val = NPY_INFINITY;
-
-  } else {
-    // dual infeasible
-
-    // Primal and dual solution arrays -> None values
-    x = PyArray_EMPTY(1, nd, NPY_OBJECT, 0);
-    y = PyArray_EMPTY(1, md, NPY_OBJECT, 0);
-
-    // Primal infeasibility certificate -> None values
-    prim_inf_cert = PyArray_EMPTY(1, md, NPY_OBJECT, 0);
-
-    // Dual infeasibility certificate
-    dual_inf_cert = (PyObject *)PyArrayFromCArray(workspace->delta_x, nd);
-
-    // Set objective value to -infinity
-    workspace->info->obj_val = -NPY_INFINITY;
-  }
-
-  /*  CREATE INFO OBJECT */
-  // Store status string
-  status = PyUnicode_FromString(workspace->info->status);
-
-  // Store obj_val
-  if (workspace->info->status_val == OSQP_NON_CVX) {	// non convex
-    obj_val = PyFloat_FromDouble(Py_NAN);
-  } else {
-    obj_val = PyFloat_FromDouble(workspace->info->obj_val);
-  }
-
-#ifdef PROFILING
-
-#ifdef DLONG
-
-#ifdef DFLOAT
-  argparse_string_info = "LOLLOfffffffLf";
-#else
-  argparse_string_info = "LOLLOdddddddLd";
-#endif
-
-#else
-
-#ifdef DFLOAT
-  argparse_string_info = "iOiiOfffffffif";
-#else
-  argparse_string_info = "iOiiOdddddddid";
-#endif
-
-#endif /* DLONG */
-
-  info_list = Py_BuildValue(argparse_string_info,
-			    workspace->info->iter,
-			    status,
-			    workspace->info->status_val,
-			    workspace->info->status_polish,
-			    obj_val,
-			    workspace->info->pri_res,
-			    workspace->info->dua_res,
-			    workspace->info->setup_time,
-			    workspace->info->solve_time,
-			    workspace->info->update_time,
-			    workspace->info->polish_time,
-			    workspace->info->run_time,
-			    workspace->info->rho_updates,
-			    workspace->info->rho_estimate
-			    );
-#else /* PROFILING */
-
-#ifdef DLONG
-
-#ifdef DFLOAT
-  argparse_string = "LOLLOffLf";
-#else
-  argparse_string = "LOLLOddLd";
-#endif
-
-#else
-
-#ifdef DFLOAT
-  argparse_string = "iOiiOffif";
-#else
-  argparse_string = "iOiiOddid";
-#endif
-
-#endif /* DLONG */
-
-  info_list = Py_BuildValue(argparse_string_info,
-			    workspace->info->iter,
-			    status,
-			    workspace->info->status_val,
-			    workspace->info->status_polish,
-			    obj_val,
-			    workspace->info->pri_res,
-			    workspace->info->dua_res,
-			    workspace->info->rho_updates,
-			    workspace->info->rho_estimate,
-			    );
-#endif /* PROFILING */
-
-  info = PyObject_CallObject((PyObject *) &OSQP_info_Type, info_list);
-
-  /* Release the info argument list. */
-  Py_DECREF(info_list);
-
-  /*  CREATE RESULTS OBJECT */
-  results_list = Py_BuildValue("OOOOO", x, y, prim_inf_cert, dual_inf_cert, info);
-
-  /* Call the class object. */
-  results = PyObject_CallObject((PyObject *) &OSQP_results_Type, results_list);
-
-  // Delete results list
-  Py_DECREF(results_list);
-
-  // Cleanup workspace
-  if (osqp_cleanup(workspace)) {
-    PyErr_SetString(PyExc_ValueError, "Workspace deallocation error!");
-    return (PyObject *) NULL;
-  }
-
-  // Return results    
-  return results;
-
-
-}
-
-
 static PyObject *OSQP_constant(OSQP *self, PyObject *args) {
 
     char * constant_name;  // String less than 32 chars
@@ -380,10 +89,9 @@ static PyObject *OSQP_constant(OSQP *self, PyObject *args) {
 
 
 static PyMethodDef OSQP_module_methods[] = {
-					    {"solve", (PyCFunction)OSQP_module_solve,METH_VARARGS|METH_KEYWORDS, PyDoc_STR("Setup solve and cleanup OSQP problem. This function releases GIL.")},
-					        {"constant", (PyCFunction)OSQP_constant, METH_VARARGS, PyDoc_STR("Return internal OSQP constant")},
-					    {NULL, NULL}		/* sentinel */
+	{"constant", (PyCFunction)OSQP_constant, METH_VARARGS, PyDoc_STR("Return internal OSQP constant")},
+	{NULL, NULL}		/* sentinel */
 };
 
-  
+
 #endif