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C++ & multithreaded batching (#18)
* started cpp skeleton * Fix compilation errors - don't return temporary from +, - (r)matvec - apply clangformat for style - use c++11 in CMake * Explicitly name return type for lambdas (Eigen segfaults otherwise) * Add a couple more return types * some fixes to linop * lsqr done * changed gitignore, added deriv interface, and added aslinearoperator to linop * added .vscode to ignore * added pybind wrapper and modified setup file' * WIP cones * fixed deriv and made setup much simpler * Initial implementation of cones * minor fixes to cones * fix some bugs * update * initialize array * fix fn definition * move exponential cone projection into cones.cpp * updated wrapper * add a ctor for Cone * added enum * initialize t * working from python! * Test cpp dprojection in tests.py - also fix minor bugs in cpp dprojection for exp cone - TestConeProgDiff.test_dpi passes * Fix memory error in linop.cpp, hello_world.py works * mildly relax tolerance for unit test, looks correct by inspection * Get all tests passing also delete code that's now unused * Don't recompute `M` on every derivative application - compute M before forming the callables `derivative` and `adjoint_derivative` - expose c++ lsqr function to python - call LSQR directly with M in Python - remove _solve_derivative and _solve_derivative_adjoint (these functions just call lsqr) - add const qualifiers to methods in LinearOperator - apply clang-format everywhere * Rebase cpp on top of sbarratt/dense (#12) * added sparse and dense options * fixed some bugs and added test for adjoint * added prof, updated sdp defaults, and changed iters * it refinement working * Update README.md * Update README.md * Fix typo in README bibtex * Update README.md * Update diffcp citation in README (for JANO) * added error for not solved, along with test (#4) * added error for not solved, along with test * added error to docstring, changed test, and exposed SolverError Exception class * updated readme * changed link location * updated README * Remove reference to where SolverError is defined no need to tell users where SolverError is defined * Fix Moreau decomp for exp cone * do not overwrite x in exp cone, fix unit test * more fixes for the exp cone * more exp fixes * fix spacing * fixed exponential cone derivative bug * removed unnecessary reshape * started cpp skeleton * Fix compilation errors - don't return temporary from +, - (r)matvec - apply clangformat for style - use c++11 in CMake * Explicitly name return type for lambdas (Eigen segfaults otherwise) * Add a couple more return types * some fixes to linop * lsqr done * changed gitignore, added deriv interface, and added aslinearoperator to linop * added .vscode to ignore * added pybind wrapper and modified setup file' * WIP cones * fixed deriv and made setup much simpler * Initial implementation of cones * minor fixes to cones * fix some bugs * update * initialize array * fix fn definition * move exponential cone projection into cones.cpp * updated wrapper * add a ctor for Cone * added enum * initialize t * working from python! * Test cpp dprojection in tests.py - also fix minor bugs in cpp dprojection for exp cone - TestConeProgDiff.test_dpi passes * Fix memory error in linop.cpp, hello_world.py works * mildly relax tolerance for unit test, looks correct by inspection * Get all tests passing also delete code that's now unused * Last few tweaks for rebasing * Add pi back to cones * stub in dense/sparse C++ interfaces * remove accidentally-committed bit * fix MT in the adjoint_derivative stub * Fix placement * fill in the dense pass * Add dense_np to tests * Performance tweaks. Make the dense solve take M/MT as inputs * Fix col * Use PSD linop for now in sparse mode * Use a const ref to the op * Remove unnecessary include. * Run clang-format * Test more parts of the dense mode * tweak wrapper * Add efficiency comment. * Run clang-format on the includes as well * dpi_explicit -> dpi_sparse * Remove dense_np mode * ->sparse_matrix * Tweaks. * Optionally compile without openmp The compiler shipped with mac os x does not support openmp * 80 cols * delete unused variable * Fix bug in exponential cone dproj * Delete unused proj.c * added lsqr_sparse and test * clang-format * actually call test * remove .c files from setup * changed setup.py * fixed test, passes now * sparse_matrix->sparse * removed unnecessary functions and files * added test, removed sparse stuff, added batched solve_and_derivative, added example for batch, added random seed before every random test due to indeterminism * set omp thread limit to 1 and modified test * need it before scs import actually * to omp_num_threads instead * using threadpoolctl * updated batch docstring * took line out of assert statement * constexpr --> const * fixed k in SDP cone projection derivative * removed print * subtract 1 from k * fix psd dproj * updated test and fixed (x)_- = -min(x,0) * changed == 0 to <= CONE_THRESH
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‎.gitignore

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develop:
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rm -f *.so
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python setup.py clean --all
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python setup.py develop

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repo: 8a21fd850624c931e448cbcfb38168cb2717c790
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node: 323c052e17310984a40dda9426e0435bed7178fa
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branch: 3.3
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