#include "kkt.h" #ifndef EMBEDDED csc* form_KKT(const csc *P, const csc *A, c_int format, c_float param1, c_float *param2, c_int *PtoKKT, c_int *AtoKKT, c_int **Pdiag_idx, c_int *Pdiag_n, c_int *param2toKKT) { c_int nKKT, nnzKKTmax; // Size, number of nonzeros and max number of nonzeros // in KKT matrix csc *KKT_trip, *KKT; // KKT matrix in triplet format and CSC format c_int ptr, i, j; // Counters for elements (i,j) and index pointer c_int zKKT = 0; // Counter for total number of elements in P and in // KKT c_int *KKT_TtoC; // Pointer to vector mapping from KKT in triplet form // to CSC // Get matrix dimensions nKKT = P->m + A->m; // Get maximum number of nonzero elements (only upper triangular part) nnzKKTmax = P->p[P->n] + // Number of elements in P P->m + // Number of elements in param1 * I A->p[A->n] + // Number of nonzeros in A A->m; // Number of elements in - diag(param2) // Preallocate KKT matrix in triplet format KKT_trip = csc_spalloc(nKKT, nKKT, nnzKKTmax, 1, 1); if (!KKT_trip) return OSQP_NULL; // Failed to preallocate matrix // Allocate vector of indices on the diagonal. Worst case it has m elements if (Pdiag_idx != OSQP_NULL) { (*Pdiag_idx) = c_malloc(P->m * sizeof(c_int)); *Pdiag_n = 0; // Set 0 diagonal elements to start } // Allocate Triplet matrices // P + param1 I for (j = 0; j < P->n; j++) { // cycle over columns // No elements in column j => add diagonal element param1 if (P->p[j] == P->p[j + 1]) { KKT_trip->i[zKKT] = j; KKT_trip->p[zKKT] = j; KKT_trip->x[zKKT] = param1; zKKT++; } for (ptr = P->p[j]; ptr < P->p[j + 1]; ptr++) { // cycle over rows // Get current row i = P->i[ptr]; // Add element of P KKT_trip->i[zKKT] = i; KKT_trip->p[zKKT] = j; KKT_trip->x[zKKT] = P->x[ptr]; if (PtoKKT != OSQP_NULL) PtoKKT[ptr] = zKKT; // Update index from P to // KKTtrip if (i == j) { // P has a diagonal element, // add param1 KKT_trip->x[zKKT] += param1; // If index vector pointer supplied -> Store the index if (Pdiag_idx != OSQP_NULL) { (*Pdiag_idx)[*Pdiag_n] = ptr; (*Pdiag_n)++; } } zKKT++; // Add diagonal param1 in case if ((i < j) && // Diagonal element not reached (ptr + 1 == P->p[j + 1])) { // last element of column j // Add diagonal element param1 KKT_trip->i[zKKT] = j; KKT_trip->p[zKKT] = j; KKT_trip->x[zKKT] = param1; zKKT++; } } } if (Pdiag_idx != OSQP_NULL) { // Realloc Pdiag_idx so that it contains exactly *Pdiag_n diagonal elements (*Pdiag_idx) = c_realloc((*Pdiag_idx), (*Pdiag_n) * sizeof(c_int)); } // A' at top right for (j = 0; j < A->n; j++) { // Cycle over columns of A for (ptr = A->p[j]; ptr < A->p[j + 1]; ptr++) { KKT_trip->p[zKKT] = P->m + A->i[ptr]; // Assign column index from // row index of A KKT_trip->i[zKKT] = j; // Assign row index from // column index of A KKT_trip->x[zKKT] = A->x[ptr]; // Assign A value element if (AtoKKT != OSQP_NULL) AtoKKT[ptr] = zKKT; // Update index from A to // KKTtrip zKKT++; } } // - diag(param2) at bottom right for (j = 0; j < A->m; j++) { KKT_trip->i[zKKT] = j + P->n; KKT_trip->p[zKKT] = j + P->n; KKT_trip->x[zKKT] = -param2[j]; if (param2toKKT != OSQP_NULL) param2toKKT[j] = zKKT; // Update index from // param2 to KKTtrip zKKT++; } // Allocate number of nonzeros KKT_trip->nz = zKKT; // Convert triplet matrix to csc format if (!PtoKKT && !AtoKKT && !param2toKKT) { // If no index vectors passed, do not store KKT mapping from Trip to CSC/CSR if (format == 0) KKT = triplet_to_csc(KKT_trip, OSQP_NULL); else KKT = triplet_to_csr(KKT_trip, OSQP_NULL); } else { // Allocate vector of indices from triplet to csc KKT_TtoC = c_malloc((zKKT) * sizeof(c_int)); if (!KKT_TtoC) return OSQP_NULL; // Error in allocating KKT_TtoC vector // Store KKT mapping from Trip to CSC/CSR if (format == 0) KKT = triplet_to_csc(KKT_trip, KKT_TtoC); else KKT = triplet_to_csr(KKT_trip, KKT_TtoC); // Update vectors of indices from P, A, param2 to KKT (now in CSC format) if (PtoKKT != OSQP_NULL) { for (i = 0; i < P->p[P->n]; i++) { PtoKKT[i] = KKT_TtoC[PtoKKT[i]]; } } if (AtoKKT != OSQP_NULL) { for (i = 0; i < A->p[A->n]; i++) { AtoKKT[i] = KKT_TtoC[AtoKKT[i]]; } } if (param2toKKT != OSQP_NULL) { for (i = 0; i < A->m; i++) { param2toKKT[i] = KKT_TtoC[param2toKKT[i]]; } } // Free mapping c_free(KKT_TtoC); } // Clean matrix in triplet format and return result csc_spfree(KKT_trip); return KKT; } #endif /* ifndef EMBEDDED */ #if EMBEDDED != 1 void update_KKT_P(csc *KKT, const csc *P, const c_int *PtoKKT, const c_float param1, const c_int *Pdiag_idx, const c_int Pdiag_n) { c_int i, j; // Iterations // Update elements of KKT using P for (i = 0; i < P->p[P->n]; i++) { KKT->x[PtoKKT[i]] = P->x[i]; } // Update diagonal elements of KKT by adding sigma for (i = 0; i < Pdiag_n; i++) { j = Pdiag_idx[i]; // Extract index of the element on the // diagonal KKT->x[PtoKKT[j]] += param1; } } void update_KKT_A(csc *KKT, const csc *A, const c_int *AtoKKT) { c_int i; // Iterations // Update elements of KKT using A for (i = 0; i < A->p[A->n]; i++) { KKT->x[AtoKKT[i]] = A->x[i]; } } void update_KKT_param2(csc *KKT, const c_float *param2, const c_int *param2toKKT, const c_int m) { c_int i; // Iterations // Update elements of KKT using param2 for (i = 0; i < m; i++) { KKT->x[param2toKKT[i]] = -param2[i]; } } #endif // EMBEDDED != 1