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osqp / src / osqp / tests / update_matrices_test.py
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# Test osqp python module
import osqp
from osqp.tests.utils import load_high_accuracy, rel_tol, abs_tol, decimal_tol
import numpy as np
import scipy as sp
from scipy import sparse

# Unit Test
import unittest
import numpy.testing as nptest


class update_matrices_tests(unittest.TestCase):

    def setUp(self):
        # Simple QP problem
        sp.random.seed(1)

        self.n = 5
        self.m = 8
        p = 0.7

        Pt = sparse.random(self.n, self.n, density=p)
        Pt_new = Pt.copy()
        Pt_new.data += 0.1 * np.random.randn(Pt.nnz)

        self.P = (Pt.T.dot(Pt) + sparse.eye(self.n)).tocsc()
        self.P_new = (Pt_new.T.dot(Pt_new) + sparse.eye(self.n)).tocsc()
        self.P_triu = sparse.triu(self.P)
        self.P_triu_new = sparse.triu(self.P_new)
        self.q = np.random.randn(self.n)
        self.A = sparse.random(self.m, self.n, density=p, format='csc')
        self.A_new = self.A.copy()
        self.A_new.data += np.random.randn(self.A_new.nnz)
        self.l = np.zeros(self.m)
        self.u = 30 + np.random.randn(self.m)
        self.opts = {'eps_abs': 1e-08,
                     'eps_rel': 1e-08,
                     'verbose': False}
        self.model = osqp.OSQP()
        self.model.setup(P=self.P, q=self.q, A=self.A, l=self.l, u=self.u,
                         **self.opts)

    def test_solve(self):
        # Solve problem
        res = self.model.solve()

        # Assert close
        x_sol, y_sol, obj_sol = load_high_accuracy('test_solve')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_P(self):
        # Update matrix P
        Px = self.P_triu_new.data
        Px_idx = np.arange(self.P_triu_new.nnz)
        self.model.update(Px=Px, Px_idx=Px_idx)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_P')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_P_allind(self):
        # Update matrix P
        Px = self.P_triu_new.data
        self.model.update(Px=Px)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_P_allind')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_A(self):
        # Update matrix A
        Ax = self.A_new.data
        Ax_idx = np.arange(self.A_new.nnz)
        self.model.update(Ax=Ax, Ax_idx=Ax_idx)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_A')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_A_allind(self):
        # Update matrix A
        Ax = self.A_new.data
        self.model.update(Ax=Ax)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_A_allind')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_P_A_indP_indA(self):
        # Update matrices P and A
        Px = self.P_triu_new.data
        Px_idx = np.arange(self.P_triu_new.nnz)
        Ax = self.A_new.data
        Ax_idx = np.arange(self.A_new.nnz)
        self.model.update(Px=Px, Px_idx=Px_idx, Ax=Ax, Ax_idx=Ax_idx)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_P_A_indP_indA')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_P_A_indP(self):
        # Update matrices P and A
        Px = self.P_triu_new.data
        Px_idx = np.arange(self.P_triu_new.nnz)
        Ax = self.A_new.data
        self.model.update(Px=Px, Px_idx=Px_idx, Ax=Ax)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_P_A_indP')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_P_A_indA(self):
        # Update matrices P and A
        Px = self.P_triu_new.data
        Ax = self.A_new.data
        Ax_idx = np.arange(self.A_new.nnz)
        self.model.update(Px=Px, Ax=Ax, Ax_idx=Ax_idx)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_P_A_indA')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)

    def test_update_P_A_allind(self):
        # Update matrices P and A
        Px = self.P_triu_new.data
        Ax = self.A_new.data
        self.model.update(Px=Px, Ax=Ax)
        res = self.model.solve()

        x_sol, y_sol, obj_sol = load_high_accuracy('test_update_P_A_allind')
        # Assert close
        nptest.assert_allclose(res.x, x_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_allclose(res.y, y_sol, rtol=rel_tol, atol=abs_tol)
        nptest.assert_almost_equal(
            res.info.obj_val, obj_sol, decimal=decimal_tol)