diff --git a/.github/workflows/basic.yml b/.github/workflows/basic.yml new file mode 100644 index 0000000..2e48f7e --- /dev/null +++ b/.github/workflows/basic.yml @@ -0,0 +1,26 @@ +name: "basic" + +on: + push: + +jobs: + pre-commit: + runs-on: ubuntu-latest + + steps: + - uses: actions/checkout@v3 + - uses: pre-commit/action@v3.0.0 + with: + extra_args: '--verbose --all-files' + + test: + runs-on: ubuntu-latest + + steps: + - uses: cvxgrp/.github/actions/test@main + with: + source-folder: "dsp" + + #- name: Coveralls GitHub Action + # uses: coverallsapp/github-action@v2 + diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml index 8fb1805..966cbef 100644 --- a/.github/workflows/build.yml +++ b/.github/workflows/build.yml @@ -14,19 +14,7 @@ jobs: runs-on: ubuntu-latest steps: - uses: actions/checkout@v3 - - name: Set up Python 3.8 - uses: actions/setup-python@v4 - with: - python-version: '3.8' - - name: Install pre-commit - run: | - pip install pre-commit - - name: Setup pre-commit hooks - run: | - pre-commit install - - name: Run pre-commit hooks - run: | - pre-commit run --all-files + - uses: pre-commit/action@v3.0.0 build: runs-on: ubuntu-latest @@ -37,7 +25,6 @@ jobs: 3.11 3.10 3.9 - 3.8 - uses: actions/checkout@v3 with: fetch-depth: 0 # For sonar diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml new file mode 100644 index 0000000..03455a5 --- /dev/null +++ b/.github/workflows/ci.yml @@ -0,0 +1,22 @@ +name: "ci" + +on: + push + +jobs: + test: + # The type of runner that the job will run on + runs-on: ${{ matrix.os }} + + strategy: + matrix: + # mosek is not yet ready for '3.11' + os: [ ubuntu-latest, windows-latest, macos-latest ] + python-version: ['3.9', '3.10', '3.11' ] + + # Steps represent a sequence of tasks that will be executed as part of the job + steps: + - uses: cvxgrp/.github/actions/test@main + with: + python-version: ${{ matrix.python-version }} + source-folder: "dsp" diff --git a/.gitignore b/.gitignore index 75f5331..c83f3eb 100644 --- a/.gitignore +++ b/.gitignore @@ -1,4 +1,5 @@ .idea +.ruff_cache # Byte-compiled / optimized / DLL files __pycache__/ diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml index 5c53e5d..87a8fd5 100644 --- a/.pre-commit-config.yaml +++ b/.pre-commit-config.yaml @@ -24,3 +24,18 @@ repos: language_version: python3 args: - --line-length=100 + + - repo: https://github.com/python-jsonschema/check-jsonschema + rev: 0.26.2 + hooks: + - id: check-dependabot + args: [ "--verbose" ] + + - id: check-github-workflows + args: ["--verbose"] + + - repo: https://github.com/python-poetry/poetry + rev: '1.6.1' # add version here + hooks: + - id: poetry-check + - id: poetry-lock \ No newline at end of file diff --git a/Makefile b/Makefile new file mode 100644 index 0000000..f0143f8 --- /dev/null +++ b/Makefile @@ -0,0 +1,38 @@ +.DEFAULT_GOAL := help + +SHELL=/bin/bash + +UNAME=$(shell uname -s) + +.PHONY: install +install: ## Install a virtual environment + @poetry install -vv + +.PHONY: fmt +fmt: ## Run autoformatting and linting + @poetry run pip install pre-commit + @poetry run pre-commit install + @poetry run pre-commit run --all-files + +.PHONY: clean +clean: ## Clean up caches and build artifacts + @git clean -X -d -f + + +.PHONY: help +help: ## Display this help screen + @echo + @echo -e "\033[1mAvailable commands:\033[0m" + @echo + @grep -E '^[a-z.A-Z_-]+:.*?## .*$$' $(MAKEFILE_LIST) | awk 'BEGIN {FS = ":.*?## "}; {printf " \033[36m%-18s\033[0m %s\n", $$1, $$2}' | sort + @echo + +.PHONY: test +test: install ## Run tests + @poetry run pytest + + +.PHONY: jupyter +jupyter: install ## Start jupyter lab + @poetry run pip install jupyterlab + @poetry run jupyter lab diff --git a/README.md b/README.md index d0ecdf6..e6decc8 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,8 @@ # DSP - Disciplined Saddle Programming + [![build](https://github.com/cvxgrp/dsp/actions/workflows/build.yml/badge.svg)](https://github.com/cvxgrp/dsp/actions/workflows/build.yml) [![Coverage](https://sonarcloud.io/api/project_badges/measure?project=dsp&metric=coverage)](https://sonarcloud.io/summary/new_code?id=dsp) +[![Apache 2.0 License](https://img.shields.io/badge/License-APACHEv2-brightgreen.svg)](https://github.com/cvxgrp/dsp/blob/master/LICENSE) A CVXPY extension for Disciplined Saddle Programming. DSP allows solving convex-concave saddle point problems, and more generally @@ -13,9 +15,11 @@ A detailed description of the underlying method is given in our [accompanying pa ## Installation The DSP package can be installed using pip as follows + ```bash pip install dsp-cvxpy ``` + The DSP package requires CVXPY 1.3 or later. ## Minimal example @@ -48,6 +52,7 @@ y.value # array([0.33333333, 0.66666667]) ``` ## New atoms + In DSP, saddle functions are created from atoms. Each atom represents a saddle function, with the convention being that the first argument is the convex argument and the second argument is the concave argument. @@ -74,6 +79,7 @@ $$ The quadratic form $x^TYx$, where $Y$ a positive semindefinite matrix. ## Calculus rules + Saddle functions can be scaled and composed by addition. DCP convex expressions are treated as saddle functions with no concave arguments, and DCP concave expressions are treated as saddle functions with no convex arguments. When adding two saddle functions, a variable may not appear as a convex variable in one expression and as a concave @@ -88,17 +94,22 @@ $$ $$ ## Saddle point problems + To create a saddle point problem, a `MinimizeMaximize` object is created first, which represents the objective function, using + ```python obj = dsp.MinimizeMaximize(f) ``` + where `f` is a DSP-compliant expression. The syntax for specifying saddle point problems is + ```python problem = dsp.SaddlePointProblem(obj, constraints, cvx_vars, ccv_vars) ``` + where `obj` is the `MinimizeMaximize` object, `constraints` is a list of constraints, and `cvx_vars` and `ccv_vars` are lists of variables to be minimized and maximized over, respectively. @@ -114,6 +125,7 @@ To solve the problem, call `problem.solve()`. This returns the optimal saddle va problem's `value` attribute. Further all `value` attribute of the variables are populated with their optimal values. ## Saddle extremum functions + A saddle extremum function has one of the forms $$ @@ -125,15 +137,18 @@ where $f$ is a saddle function, and $\mathcal{X}$ and $\mathcal{Y}$ are convex. Since the functions only depend on $x$ or $y$, respectively, the other variables have to be declared as `LocalVariable`s. Any `LocalVariable` can only be used in one saddle extremum function. The syntax for creating a saddle extremum function is + ```python dsp.saddle_max(f, constraints) dsp.saddle_min(f, constraints) ``` + where `f` is a DSP-compliant scalar saddle function, and `constraints` is a list of constraints, which can only involve `LocalVariable`s. DSP-compliant saddle extremum functions are DCP-convex or DCP-concave, respectively, and as such can be used in DCP optimization problems. An example of a saddle extremum function is + ```python # Creating variables x = cp.Variable(2) @@ -149,9 +164,11 @@ G = dsp.saddle_max(f, [y_loc >= 0, cp.sum(y_loc) == 1]) ``` ## Saddle problems + A saddle problem is a convex optimization problem that involves saddle extremum functions. Any DCP convex optimization can include saddle extremum functions when they are DSP-compliant. Using the saddle extremum function `G` from above, we can solve the following problem: + ```python prob = cp.Problem(cp.Minimize(G), [x >= 0, cp.sum(x) == 1]) prob.solve() # solving the problem @@ -161,6 +178,7 @@ x.value # array([0.66666667, 0.33333333]) ``` ## Citation + If you want to reference DSP in your research, please consider citing us by using the following BibTeX: ```BibTeX diff --git a/poetry.lock b/poetry.lock new file mode 100644 index 0000000..b56fe03 --- /dev/null +++ b/poetry.lock @@ -0,0 +1,577 @@ +# This file is automatically @generated by Poetry 1.6.1 and should not be changed by hand. + +[[package]] +name = "colorama" +version = "0.4.6" +description = "Cross-platform colored terminal text." +optional = false +python-versions = "!=3.0.*,!=3.1.*,!=3.2.*,!=3.3.*,!=3.4.*,!=3.5.*,!=3.6.*,>=2.7" +files = [ + {file = "colorama-0.4.6-py2.py3-none-any.whl", hash = "sha256:4f1d9991f5acc0ca119f9d443620b77f9d6b33703e51011c16baf57afb285fc6"}, + {file = "colorama-0.4.6.tar.gz", 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