[qpsolvers#58] Added new Maros-Meszaros dense subset restricted even …

…more for positive definite Hessian matrix only

benchmark.py

@@ -26,6 +26,7 @@
     "github_ffa",
     "maros_meszaros",
     "maros_meszaros_dense",
+    "maros_meszaros_dense_posdef",
 ]
 
 TEST_ARGS = {
@@ -35,6 +36,9 @@
     "maros_meszaros_dense": {
         "data_dir": os.path.join(os.path.dirname(__file__), "data"),
     },
+    "maros_meszaros_dense_posdef": {
+        "data_dir": os.path.join(os.path.dirname(__file__), "data"),
+    },
 }
 
 

qpsolvers_benchmark/test_sets/maros_meszaros_dense_posdef.py

@@ -0,0 +1,82 @@
+#!/usr/bin/env python3
+# -*- coding: utf-8 -*-
+#
+# Copyright 2022 Stéphane Caron
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+"""Dense subset with positive definite P of the Maros-Meszaros test set."""
+
+from typing import Iterator
+
+from ..problem import Problem
+from .maros_meszaros import MarosMeszaros
+import numpy as np
+
+
+
+class MarosMeszarosDensePosdef(MarosMeszaros):
+    """Subset of Maros-Meszaros restricted to smaller dense problems."""
+
+    @property
+    def description(self) -> str:
+        """Description of the test set."""
+        return (
+            "Subset of the Maros-Meszaros test set "
+            "restricted to smaller dense problems "
+            "with positive definite Hessian matrix."
+        )
+
+    @property
+    def title(self) -> str:
+        """Test set title."""
+        return "Maros-Meszaros dense positive definite subset"
+
+    @property
+    def sparse_only(self) -> bool:
+        """Test set is dense."""
+        return False
+
+    @staticmethod
+    def count_constraints(problem: Problem):
+        """Count inequality and equality constraints.
+
+        Notes:
+            We only count box inequality constraints once, and only from lower
+            bounds. That latter part is specific to this test set.
+        """
+        m = 0
+        if problem.G is not None:
+            m += problem.G.shape[0]
+        if problem.A is not None:
+            m += problem.A.shape[0]
+        if problem.lb is not None:
+            m += problem.lb.shape[0]
+        return m
+
+
+    @staticmethod
+    def is_pos_def(x):
+        return np.all(np.linalg.eigvals(x) > 0)
+
+
+    def __iter__(self) -> Iterator[Problem]:
+        """Iterate on test set problems."""
+        for problem in super().__iter__():
+            nb_variables = problem.P.shape[0]
+            nb_constraints = self.count_constraints(problem)
+            if nb_variables <= 1000 and nb_constraints <= 1000:
+                problem_dense = problem.to_dense()
+                if self.is_pos_def(problem_dense.P):
+                    yield problem_dense
+