Release 0.6.3

.Rbuildignore

@@ -23,3 +23,10 @@ libosqp.a
 ^cran-comments\.md$
 ^CRAN-RELEASE$
 ^\.github$
+.github
+src/osqp_sources/CITATION.cff
+src/osqp_sources/docs
+src/osqp_sources/site
+src/osqp_sources/tests
+src/osqp_sources/lin_sys/direct/qdldl/qdldl_sources/tests
+

DESCRIPTION

@@ -1,7 +1,7 @@
 Package: osqp
 Title: Quadratic Programming Solver using the 'OSQP' Library
-Version: 0.6.0.8
-Date: 2023-01-30
+Version: 0.6.3
+Date: 2023-10-02
 Authors@R: c(
   person("Bartolomeo", "Stellato", role = c("aut", "ctb", "cph"),
          email = "[email protected]"),
@@ -16,11 +16,13 @@ Copyright: file COPYRIGHT
 Description: Provides bindings to the 'OSQP' solver. The 'OSQP' solver is a numerical optimization package or solving convex quadratic programs written in 'C' and based on the alternating direction method of multipliers. See <arXiv:1711.08013> for details.
 License: Apache License 2.0 | file LICENSE
 SystemRequirements: C++17
-Imports: Rcpp (>= 0.12.14), methods, Matrix, R6
+Imports: Rcpp (>= 0.12.14), methods, Matrix (>= 1.6.1), R6
 LinkingTo: Rcpp
-RoxygenNote: 7.2.1
-Collate: 'RcppExports.R' 'osqp-package.R' 'solve.R' 'osqp.R' 'params.R'
+Roxygen: list(markdown = TRUE)
+RoxygenNote: 7.2.3
+Collate: 'RcppExports.R' 'osqp-package.R' 'sparse.R' 'solve.R' 'osqp.R' 'params.R'
 NeedsCompilation: yes
 Suggests: testthat
 Encoding: UTF-8
+BugReports: https://github.com/osqp/osqp-r/issues
 URL: https://osqp.org

NEWS.md

@@ -1,3 +1,10 @@
+# Version 0.6.3
+
+* Sync up to version [0.6.3 of OSQP release](https://github.com/osqp/osqp/releases/tag/v0.6.3)
+* Fix `params.R` ([issue #18](https://github.com/osqp/osqp-r/issues/18))
+* Added `time-limit` settings parameter per [PG's code](https://github.com/osqp/osqp-r/pull/24)
+* Added check for lower bounds not exceeding upper bounds ([issue 29](https://github.com/osqp/osqp-r/issues/29))
+
 # Version 0.6.0.8
 
 * Fix prototype of `main` in `qdldl_sources/examplaes/example.c`

R/osqp.R

@@ -5,7 +5,7 @@
 #' @importFrom Matrix triu
 #' @importFrom methods as
 #' @importFrom R6 R6Class
-#' @param P,A sparse matrices of class dgCMatrix or coercible into such, with P positive semidefinite.
+#' @param P,A sparse matrices of class dgCMatrix or coercible into such, with P positive semidefinite. (In the interest of efficiency, only the upper triangular part of P is used)
 #' @param q,l,u Numeric vectors, with possibly infinite elements in l and u
 #' @param pars list with optimization parameters, conveniently set with the function
 #' \code{\link{osqpSettings}}. For \code{osqpObject$UpdateSettings(newPars)} only a subset of the settings
@@ -64,7 +64,7 @@
 #' # Update model and solve again
 #' model$Update(q = q_new)
 #' res <- model$Solve()
-#'
+#' @importFrom Matrix sparseMatrix
 #' @export
 osqp = function(P=NULL, q=NULL, A=NULL, l=NULL, u=NULL, pars = osqpSettings()) {
 
@@ -73,14 +73,17 @@ osqp = function(P=NULL, q=NULL, A=NULL, l=NULL, u=NULL, pars = osqpSettings()) {
 
   if (is.null(P))
     n = length(q)
-  else
-    n = dim(P)[1]
-
+  else {
+    dimP <- dim(P)
+    n = dim(P)[1L]
+    if (dimP[2L] != n) stop("P must be symmetric!")
+  }
 
   if (is.null(P)){
-    P = sparseMatrix(integer(), integer(), x = numeric(), dims = c(n, n))
+    P = Matrix::sparseMatrix(integer(), integer(), x = numeric(), dims = c(n, n))
   } else {
-    P = triu(as(P, "dgCMatrix"))
+    ## P = triu(as(P, "dgCMatrix"))
+    P <- ensure_dtc_matrix(P)
   }
 
   if (is.null(q))
@@ -91,11 +94,12 @@ osqp = function(P=NULL, q=NULL, A=NULL, l=NULL, u=NULL, pars = osqpSettings()) {
 
   if (is.null(A)) {
     m = 0
-    A = sparseMatrix(integer(), integer(), x = numeric(), dims = c(m, n))
+    A = Matrix::sparseMatrix(integer(), integer(), x = numeric(), dims = c(m, n))
     u = l = numeric()
   } else {
-    A = as(A, "dgCMatrix")
     m = nrow(A)
+    ## A = as(A, "dgCMatrix")
+    A <- ensure_dgc_matrix(A)
     if (is.null(u))
       u = rep_len(Inf, m)
     else
@@ -107,11 +111,11 @@ osqp = function(P=NULL, q=NULL, A=NULL, l=NULL, u=NULL, pars = osqpSettings()) {
       l = as.numeric(l)
   }
 
-  stopifnot(dim(P) == c(n, n),
-            length(q) == n,
+  stopifnot(length(q) == n,
             dim(A) == c(m, n),
             length(l) == m,
-            length(u) == m)
+            length(u) == m,
+            l <= u)
 
   R6Class("osqp_model",
           public =

R/params.R

@@ -24,39 +24,27 @@
 #' @param adaptive_rho_interval Number of iterations between rho adaptations rho. If 0, it is automatic
 #' @param adaptive_rho_tolerance Tolerance X for adapting rho. The new rho has to be X times larger or 1/X times smaller than the current one to trigger a new factorization
 #' @param adaptive_rho_fraction Interval for adapting rho (fraction of the setup time)
+#' @param time_limit run time limit with 0 indicating no limit
 #' @export
 osqpSettings = function(rho = 0.1, sigma = 1e-06, max_iter = 4000L, eps_abs = 0.001,
                         eps_rel = 0.001, eps_prim_inf = 1e-04, eps_dual_inf = 1e-04,
                         alpha = 1.6, linsys_solver = c(QDLDL_SOLVER=0L),
                         delta = 1e-06, polish = FALSE, polish_refine_iter = 3L, verbose = TRUE,
                         scaled_termination = FALSE, check_termination = 25L, warm_start = TRUE,
                         scaling = 10L, adaptive_rho = 1L, adaptive_rho_interval = 0L,
-                        adaptive_rho_tolerance = 5, adaptive_rho_fraction = 0.4) {
-  inpars = as.list(match.call())[-1]
-  pars = sapply(simplify = FALSE, USE.NAMES = TRUE, names(inpars), function(nm) {
-    checkpar(inpars[[nm]], defaultOsqpSettings[[nm]])
-  })
-  pars
-}
-
-
-
-defaultOsqpSettings = list(rho = 0.1, sigma = 1e-06, max_iter = 4000L, eps_abs = 0.001,
-                           eps_rel = 0.001, eps_prim_inf = 1e-04, eps_dual_inf = 1e-04,
-                           alpha = 1.6, linsys_solver = c(QDLDL_SOLVER=0L),
-                           delta = 1e-06, polish = FALSE, polish_refine_iter = 3L, verbose = TRUE,
-                           scaled_termination = FALSE, check_termination = 25L, warm_start = TRUE,
-                           scaling = 10L, adaptive_rho = 1L, adaptive_rho_interval = 0L,
-                           adaptive_rho_tolerance = 5, adaptive_rho_fraction = 0.4)
-
-
-checkpar = function(l, r) {
+                        adaptive_rho_tolerance = 5, adaptive_rho_fraction = 0.4, time_limit = 0.0) {
+  given_args  <- as.list(environment())      ## all params with current values
+  call_arg_names  <- names(match.call()[-1]) ## lose the function name at index 1
+  default_args  <- formals()                 ## this is the default list of arg values
+  given_args  <- given_args[call_arg_names]  ## restrict to specified args
 
-  l = switch(typeof(r),
-             integer=as.integer(l),
-             double=as.numeric(l),
-             logical=as.logical(l))
-  if(length(l) != 1 || is.na(l))
-    return (r)
-  l
+  for (name in call_arg_names) {
+    given <- given_args[[name]]
+    if (length(given) != 1 || is.na(given)) {
+      given_args[[name]] <- default_args[[name]] ## force default
+    } else {
+      storage.mode(given_args[[name]]) <- storage.mode(eval(default_args[[name]])) #eval default arg
+    }
+  }
+  given_args
 }

R/sparse.R

@@ -0,0 +1,57 @@
+## Created by @naras to address coercion considerations with Matrix package
+##
+## Inspired by Rsymphony package from
+## Kurt Hornik and Stefan Theussl and Reinhard Harter
+##
+
+#' Ensure that a matrix is column-sparse format (class `dgCMatrix`)
+#' @param m a C sparse matrix or coercible object such as a matrix or simple triplet matrix
+#' @return a sparse matrix of class `dgCMatrix`
+#' @importFrom Matrix sparseMatrix
+#' @importFrom methods as
+#' @noRd
+ensure_dgc_matrix <- function(m) {
+  if (inherits(m, "dgCMatrix")) {
+    m
+  } else if (inherits(m, "matrix")) {
+    Matrix::.m2sparse(m, "dgCMatrix")
+  } else if(inherits(m, "simple_triplet_matrix")) { ## e.g. from package slam
+    ## The matrix method assumes that indices for non-zero entries are
+    ## in row-major order, but the simple_triplet_matrix() constructor
+    ## currently does not canonicalize accordingly ...
+    ind <- order(m$j, m$i)
+    Matrix::sparseMatrix(p = c(0L, cumsum(tabulate(m$j[ind], m$ncol))),
+                         i = m$i[ind] - 1L,
+                         values = m$v[ind], dims = dim(m), index1 = FALSE)
+  } else {
+    ## Resort to brute force
+    as(as(as(m, "CsparseMatrix"), "generalMatrix"), "dMatrix")
+  }
+}
+
+#' Ensure that a matrix is column-sparse format upper triangular (class `dtCMatrix`)
+#' @param m a C sparse upper triangular matrix or coercible object such as a matrix or simple triplet matrix
+#' @return a sparse matrix of class `dgCMatrix`
+#' @importFrom Matrix sparseMatrix triu
+#' @importFrom methods as
+#' @noRd
+ensure_dtc_matrix <- function(m) {
+  if (inherits(m, "dgCMatrix")) {
+    m
+  } else if (inherits(m, "matrix")) {
+    Matrix::.m2sparse(m, "dtCMatrix")
+  } else if(inherits(m, "simple_triplet_matrix")) { ## e.g. from package slam
+    ind <- which(m$i <= m$j)
+    x <- list(i = m$i[ind] + 1L, j = m$j[ind] + 1L) ##make it 1-based
+    values <- m$v[ind]
+    ind  <- order(x$j, x$i)  ## may not be needed
+    Matrix::sparseMatrix(p = c(0L, cumsum(tabulate(x$j[ind], m$ncol))),
+                         i = x$i[ind] - 1L,
+                         values = values,
+                         dims = dim(x), index1 = FALSE,
+                         triangular = TRUE)
+  } else {
+    ## Resort to brute force
+    Matrix::triu(as(as(as(m, "CsparseMatrix"), "generalMatrix"), "dMatrix"))
+  }
+}

README.md

@@ -1,11 +1,9 @@
 # R interface for OSQP
 
-<!-- [![image](https://travis-ci.org/oxfordcontrol/osqp-r.svg?branch=master)](https://travis-ci.org/oxfordcontrol/osqp-r) -->
-
-<!-- [![image](https://ci.appveyor.com/api/projects/status/bx1navxa474nhlpd/branch/master?svg=true)](https://ci.appveyor.com/project/goulart-paul/osqp-r/branch/master) -->
-
 <!-- badges: start -->
 [![R-CMD-check](https://github.com/osqp/osqp-r/actions/workflows/R-CMD-check.yaml/badge.svg)](https://github.com/osqp/osqp-r/actions/workflows/R-CMD-check.yaml)
+[![CRAN\_Status\_Badge](https://www.r-pkg.org/badges/version/osqp)](https://cran.r-project.org/package=osqp)
+[![](https://cranlogs.r-pkg.org/badges/osqp)](https://CRAN.R-project.org/package=osqp)
 <!-- badges: end -->
 
 Provides R-bindings to [OSQP](https://osqp.org/): the Operator

configure

@@ -26,7 +26,7 @@ LDFLAGS=`"${R_HOME}/bin/R" CMD config LDFLAGS`
 
 if [ -x "$(command -v cmake)" ]; then
    	echo "Making fixes to osqp_sources for CRAN"
-	(cd src && ${R_HOME}/bin/Rscript ../inst/26ce409b_fixes/make_fixes.R)
+	(cd src && ${R_HOME}/bin/Rscript ../inst/58f00bd_fixes/make_fixes.R)
 	echo "-- Trying to build libosqp.a via cmake ..."
 	cd src/osqp_sources
 	mkdir -p build

inst/26ce409b_fixes/make_fixes.R → inst/58f00bd_fixes/make_fixes.R

@@ -7,7 +7,7 @@
 #' @param path relative file path of source
 #' @param line_no line numbers to be replaced (integer vector)
 #' @param replacement the corresponding replacements (character vector)
-#' @param comment_prefix the comment prefix, default C/C++ 
+#' @param comment_prefix the comment prefix, default C/C++
 replace_lines <- function(path, line_no, replacement, comment_prefix = "//") {
   stopifnot(length(line_no) == length(replacement))
   FIXED_FLAG <- paste(comment_prefix, "CRAN FIXES DONE")
@@ -20,24 +20,24 @@ replace_lines <- function(path, line_no, replacement, comment_prefix = "//") {
   }
   invisible(TRUE)
 }
-  
-
-# Fix pardiso_interface.c
-replace_lines(path = "osqp_sources/lin_sys/direct/pardiso/pardiso_interface.c",
-              line_no = 35,
-              replacement = "c_int mkl_get_max_threads(void);")
-
-# Fix pardiso_loader.h
-replace_lines(path = "osqp_sources/lin_sys/direct/pardiso/pardiso_loader.h",
-              line_no = 22,
-              replacement = "c_int lh_unload_pardiso(void);")
-
-# Fix pardiso_loader.c
-replace_lines(path = "osqp_sources/lin_sys/direct/pardiso/pardiso_loader.c",
-              line_no = c(25, 58, 90),
-              replacement = c("typedef int (*mkl_get_mt_t)(void);",
-                              "c_int mkl_get_max_threads(void) {",
-                              "c_int lh_unload_pardiso(void) {"))
+
+
+## # Fix pardiso_interface.c
+## replace_lines(path = "osqp_sources/lin_sys/direct/pardiso/pardiso_interface.c",
+##               line_no = 35,
+##               replacement = "c_int mkl_get_max_threads(void);")
+
+## # Fix pardiso_loader.h
+## replace_lines(path = "osqp_sources/lin_sys/direct/pardiso/pardiso_loader.h",
+##               line_no = 22,
+##               replacement = "c_int lh_unload_pardiso(void);")
+
+## # Fix pardiso_loader.c
+## replace_lines(path = "osqp_sources/lin_sys/direct/pardiso/pardiso_loader.c",
+##               line_no = c(25, 58, 90),
+##               replacement = c("typedef int (*mkl_get_mt_t)(void);",
+##                               "c_int mkl_get_max_threads(void) {",
+##                               "c_int lh_unload_pardiso(void) {"))
 # Fix example.c
 replace_lines(path = "osqp_sources/lin_sys/direct/qdldl/qdldl_sources/examples/example.c",
               line_no = 17,
@@ -47,7 +47,13 @@ replace_lines(path = "osqp_sources/lin_sys/direct/qdldl/qdldl_sources/examples/e
 file.rename(from = "osqp_sources/include/proj.h", to = "osqp_sources/include/osqp_proj.h")
 
 ## Fix CMakeLists.txt
-replace_lines("osqp_sources/include/CMakeLists.txt", 11, '    "${CMAKE_CURRENT_SOURCE_DIR}/osqp_proj.h"',
+replace_lines("osqp_sources/CMakeLists.txt", 2, 'cmake_minimum_required (VERSION 3.5)',
+              comment_prefix = "#")
+
+replace_lines("osqp_sources/include/CMakeLists.txt", 12, '    "${CMAKE_CURRENT_SOURCE_DIR}/osqp_proj.h"',
+              comment_prefix = "#")
+
+replace_lines("osqp_sources/lin_sys/direct/qdldl/qdldl_sources/CMakeLists.txt", 2, 'cmake_minimum_required (VERSION 3.5)',
               comment_prefix = "#")
 
 ## Fix auxil.c