SCS Ruby

SCS - the splitting conic solver - for Ruby

Check out Opt for a high-level interface

Installation

Add this line to your application’s Gemfile:

gem "scs"

If installation fails, you may need to install dependencies.

Getting Started

Prep the problem, like this one

data = {
  p: SCS::Matrix.from_dense([[3, -1], [-1, 2]]),
  a: SCS::Matrix.from_dense([[-1, 1], [1, 0], [0, 1]]),
  b: [-1, 0.3, -0.5],
  c: [-1, -1]
}
cone = {z: 1, l: 2}

And solve it

solver = SCS::Solver.new
solver.solve(data, cone)

Data

Matrices can be a sparse matrix

a = SCS::Matrix.new(3, 2)
a[0, 0] = 1
a[1, 0] = 2
# or
SCS::Matrix.from_dense([[1, 0], [2, 0], [0, 0]])

Arrays can be Ruby arrays

[1, 2, 3]

Or Numo arrays

Numo::NArray.cast([1, 2, 3])

Settings

Default values shown

solver.solve(data, cone,
  normalize: true,            # heuristic data rescaling
  scale: 0.1,                 # if normalized, rescales by this factor
  adaptive_scale: true,       # heuristically adapt dual scale through the solve
  rho_x: 1e-6,                # x equality constraint scaling
  max_iters: 1e5,             # maximum iterations to take
  eps_abs: 1e-4,              # absolute feasibility tolerance
  eps_rel: 1e-4,              # relative feasibility tolerance
  eps_infeas: 1e-7,           # infeasibility tolerance
  alpha: 1.5,                 # relaxation parameter
  time_limit_secs: nil,       # time limit for solve run in seconds
  verbose: true,              # write out progress
  warm_start: false,          # warm start
  acceleration_lookback: 10,  # memory for acceleration
  acceleration_interval: 10,  # iterations to run Anderson acceleration
  write_data_filename: nil,   # filename to write data if set
  log_csv_filename: nil       # write csv logs of various quantities
)

Direct vs Indirect

SCS comes with two solvers: a direct solver which uses a cached LDL factorization and an indirect solver based on conjugate gradients. For the indirect solver, use:

SCS::Solver.new(indirect: true)

Dependencies

BLAS and LAPACK are required for SCS.

sudo apt-get install libblas-dev liblapack-dev

On Heroku, use the heroku-apt-buildpack.

Resources

Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding

History

View the changelog

Contributing

Everyone is encouraged to help improve this project. Here are a few ways you can help:

Report bugs
Fix bugs and submit pull requests
Write, clarify, or fix documentation
Suggest or add new features

To get started with development:

git clone --recursive https://github.com/ankane/scs-ruby.git
cd scs-ruby
bundle install
bundle exec rake compile
bundle exec rake test

scs

Runtime