Documentation¶

Quick start¶

The core functionality of CHOMPACK is contained in two types of objects: the symbolic object and the cspmatrix (chordal sparse matrix) object. A symbolic object represents a symbolic factorization of a sparse symmetric matrix $A$ , and it can be created as follows:

from cvxopt import spmatrix, amd
import chompack as cp

# generate sparse matrix
I = [0, 1, 3, 1, 5, 2, 6, 3, 4, 5, 4, 5, 6, 5, 6]
J = [0, 0, 0, 1, 1, 2, 2, 3, 3, 3, 4, 4, 4, 5, 6]
A = spmatrix(1.0, I, J, (7,7))

# compute symbolic factorization using AMD ordering
symb = cp.symbolic(A, p=amd.order)

The argument $p$ is a so-called elimination order, and it can be either an ordering routine or a permutation vector. In the above example we used the “approximate minimum degree” (AMD) ordering routine. Note that $A$ is a lower-triangular sparse matrix that represents a symmetric matrix; upper-triangular entries in $A$ are ignored in the symbolic factorization.

Now let’s inspect the sparsity pattern of A and its chordal embedding (i.e., the filled pattern):

>>> print(A)
[ 1.00e+00     0         0         0         0         0         0    ]
[ 1.00e+00  1.00e+00     0         0         0         0         0    ]
[    0         0      1.00e+00     0         0         0         0    ]
[ 1.00e+00     0         0      1.00e+00     0         0         0    ]
[    0         0         0      1.00e+00  1.00e+00     0         0    ]
[    0      1.00e+00     0      1.00e+00  1.00e+00  1.00e+00     0    ]
[    0         0      1.00e+00     0      1.00e+00     0      1.00e+00]

>>> print(symb.sparsity_pattern(reordered=False, symmetric=False))
[ 1.00e+00     0         0         0         0         0         0    ]
[ 1.00e+00  1.00e+00     0         0         0         0         0    ]
[    0         0      1.00e+00     0         0         0         0    ]
[ 1.00e+00     0         0      1.00e+00     0         0         0    ]
[    0         0         0      1.00e+00  1.00e+00     0         0    ]
[ 1.00e+00  1.00e+00     0      1.00e+00  1.00e+00  1.00e+00     0    ]
[    0         0      1.00e+00     0      1.00e+00     0      1.00e+00]

The reordered pattern and its cliques can be inspected using the following commands:

>>> print(symb)
[X X          ]
[X X X        ]
[  X X X   X  ]
[    X X   X X]
[        X X X]
[    X X X X X]
[      X X X X]

>>> print(symb.cliques())
[[0, 1], [1, 2], [2, 3, 5], [3, 5, 6], [4, 5, 6]]

Similarly, the clique tree, the supernodes, and the separator sets are:

>>> print(symb.parent())
[1, 2, 3, -1, 3]

>>> print(symb.supernodes())
[[0], [1], [2], [3, 5, 6], [4]]

>>> print(symb.separators())
[[1], [2], [3, 5], [], [5, 6]]

The cspmatrix object represents a chordal sparse matrix, and it contains lower-triangular numerical values as well as a reference to a symbolic factorization that defines the sparsity pattern. Given a symbolic object symb and a sparse matrix $A$ , we can create a cspmatrix as follows:

from cvxopt import spmatrix, amd, printing
import chompack as cp
printing.options['dformat'] = '%3.1f'

# generate sparse matrix and compute symbolic factorization
I = [0, 1, 3, 1, 5, 2, 6, 3, 4, 5, 4, 5, 6, 5, 6]
J = [0, 0, 0, 1, 1, 2, 2, 3, 3, 3, 4, 4, 4, 5, 6]
A = spmatrix([1.0*i for i in range(15)], I, J, (7,7))
symb = cp.symbolic(A, p=amd.order)

L = cp.cspmatrix(symb)
L += A

Now let us take a look at $A$ and $L$ :

>>> print(A)
[ 0.0  0    0    0    0    0    0  ]
[ 1.0  3.0  0    0    0    0    0  ]
[ 0    0    5.0  0    0    0    0  ]
[ 2.0  0    0    7.0  0    0    0  ]
[ 0    0    0    8.0 10.0  0    0  ]
[ 0    4.0  0    9.0 11.0 13.0  0  ]
[ 0    0    6.0  0   12.0  0   14.0]

>>> print(L)
[ 5.0  0    0    0    0    0    0  ]
[ 6.0 14.0  0    0    0    0    0  ]
[ 0   12.0 10.0  0    0    0    0  ]
[ 0    0    8.0  7.0  0    0    0  ]
[ 0    0    0    0    3.0  0    0  ]
[ 0    0   11.0  9.0  4.0 13.0  0  ]
[ 0    0    0    2.0  1.0  0.0  0.0]

Notice that $L$ is a reordered lower-triangular representation of $A$ . We can convert $L$ to an spmatrix using the spmatrix() method:

>>> print(L.spmatrix(reordered = False))
[ 0.0  0    0    0    0    0    0  ]
[ 1.0  3.0  0    0    0    0    0  ]
[ 0    0    5.0  0    0    0    0  ]
[ 2.0  0    0    7.0  0    0    0  ]
[ 0    0    0    8.0 10.0  0    0  ]
[ 0.0  4.0  0    9.0 11.0 13.0  0  ]
[ 0    0    6.0  0   12.0  0   14.0]

Notice that this returns an spmatrix with the same ordering as $A$ , i.e., the inverse permutation is applied to $L$ .

The following example illustrates how to use the Cholesky routine:

from cvxopt import spmatrix, amd, normal
from chompack import symbolic, cspmatrix, cholesky

# generate sparse matrix and compute symbolic factorization
I = [0, 1, 3, 1, 5, 2, 6, 3, 4, 5, 4, 5, 6, 5, 6]
J = [0, 0, 0, 1, 1, 2, 2, 3, 3, 3, 4, 4, 4, 5, 6]
A = spmatrix([0.1*(i+1) for i in range(15)], I, J, (7,7)) + spmatrix(10.0,range(7),range(7))
symb = symbolic(A, p=amd.order)

# create cspmatrix
L = cspmatrix(symb)
L += A

# compute numeric factorization
cholesky(L)

>>> print(L)
[ 3.26e+00     0         0         0         0         0         0    ]
[ 2.15e-01  3.38e+00     0         0         0         0         0    ]
[    0      3.84e-01  3.31e+00     0         0         0         0    ]
[    0         0      2.72e-01  3.28e+00     0         0         0    ]
[    0         0         0         0      3.22e+00     0         0    ]
[    0         0      3.63e-01  2.75e-01  1.55e-01  3.34e+00     0    ]
[    0         0         0      9.16e-02  6.20e-02 -1.04e-02  3.18e+00]

from cvxopt import spmatrix, printing
printing.options['width'] = -1
import chompack as cp

# Define chordal sparse matrix
I = range(17)+[2,2,3,3,4,14,4,14,8,14,15,8,15,7,8,14,8,14,14,\
             15,10,12,13,16,12,13,16,12,13,15,16,13,15,16,15,16,15,16,16]
J = range(17)+[0,1,1,2,2,2,3,3,4,4,4,5,5,6,6,6,7,7,8,\
             8,9,9,9,9,10,10,10,11,11,11,11,12,12,12,13,13,14,14,15]
A = spmatrix(1.0,I,J,(17,17))

# Compute maximum cardinality search
p = cp.maxcardsearch(A)

>>> cp.peo(A,p)
True
>>> print(list(p))
[0, 9, 10, 11, 12, 13, 5, 6, 7, 1, 2, 3, 4, 8, 14, 15, 16]
>>> symb = cp.symbolic(A,p)
>>> print(symb)
[X                   X            ]
[  X X   X X                     X]
[  X X   X X                     X]
[      X X X                   X X]
[  X X X X X                   X X]
[  X X X X X                   X X]
[            X             X   X  ]
[              X X         X X    ]
[              X X         X X    ]
[                  X X X          ]
[X                 X X X X   X    ]
[                  X X X X   X    ]
[                    X X X X X X  ]
[            X X X       X X X X  ]
[              X X   X X X X X X X]
[      X X X X           X X X X X]
[  X X X X X                 X X X]
>>> print(symb.fill)
(0, 0)

Symbolic factorization¶

class chompack.symbolic(A, p=None, merge_function=None)¶

Symbolic factorization object.

Computes symbolic factorization of a square sparse matrix $A$ and creates a symbolic factorization object.

Parameters:	A – `spmatrix` p – permutation vector or ordering routine (optional) merge_function – routine that implements a merge heuristic (optional)

The optional argument p can be either a permutation vector or an ordering rutine that takes an spmatrix and returns a permutation vector.

The optional argument merge_function allows the user to merge supernodes in the elimination tree in a greedy manner; the argument must be a routine that takes the following four arguments and returns either True or False:

Parameters:	cp – clique order of the parent of clique $k$ ck – clique order of clique $k$ np – supernode order of the parent of supernode $k$ nk – supernode order of supernode $k$

The clique k is merged with its parent if the return value is True.

Nsn¶: Number of supernodes

blkptr¶: Pointer array for block storage of chordal sparse matrix.

chidx¶: Integer array with indices of child vertices in etree: chidx[chptr[k]:chptr[k+1]] are the indices of the children of supernode $k$ .

chptr¶: Pointer array associated with chidx: chidx[chptr[k]:chptr[k+1]] are the indices of the children of supernode k.

clique_number¶: The clique number (the order of the largest clique)

cliques()¶: Returns a list of cliques (reordered pattern)

fill¶: Tuple with number of lower-triangular fill edges: fill[0] is the fill due to symbolic factorization, and fill[1] is the fill due to supernodal amalgamation

ip¶: Inverse permutation vector

n¶: Number of nodes (matrix order)

nnz¶: Returns the number of lower-triangular nonzeros.

p¶: Permutation vector

parent()¶: Returns a supernodal parent list: the i’th element is equal to -1 if supernode i is a root node in the clique forest, and otherwise the i’th element is the index of the parent of supernode i.

relidx¶: The relative index array facilitates fast “extend-add” and “extract” operations in the supernodal-multifrontal algorithms. The relative indices associated with supernode $k$ is a list of indices $I$ such that the frontal matrix $F$ associated with the parent of node $k$ can be updated as F[I,I] += Uj. The relative indices are stored in an integer array relidx with an associated pointer array relptr.

relptr¶: Pointer array assoicated with relidx.

separators()¶: Returns a list of separator sets (reordered pattern)

sncolptr¶: Pointer array associated with snrowidx.

snode¶: Supernode array: supernode $k$ consists of nodes snode[snptr[k]:snptr[k+1]] where snptr is the supernode pointer array

snpar¶: Supernode parent array: supernode $k$ is a root of the supernodal elimination tree if snpar[k] is equal to -1, and otherwise snpar[k] is the index of the parent of supernode $k$ in the supernodal elimination tree

snpost¶: Supernode post-ordering

snptr¶: Supernode pointer array: supernode $k$ is of order snpptr[k+1]-snptr[k] and supernode $k$ consists of nodes snode[snptr[k]:snptr[k+1]]

snrowidx¶: Row indices associated with representative vertices: snrowidx[sncolptr[k]:sncolptr[k+1]] are the row indices in the column corresponding the the representative vertex of supernode $k$ , or equivalently, snrowidx[sncolptr[k]:sncolptr[k+1]] is the $k$ ‘th clique.

sparsity_pattern(reordered=True, symmetric=True)¶

Returns a sparse matrix with the filled pattern. By default, the routine uses the reordered pattern, and the inverse permutation is applied if reordered is False.

Parameters:	reordered – boolean (default: True) symmetric – boolean (default: True)

supernodes()¶: Returns a list of supernode sets (reordered pattern)

Chordal sparse matrices¶

class chompack.cspmatrix(symb, blkval=None, factor=False)¶

Chordal sparse matrix object.

Parameters:	symb – `symbolic` object blkval – `matrix` with numerical values (optional) factor – boolean (default is False)

A cspmatrix object contains a reference to a symbolic factorization as well as an array with numerical values which are stored in a compressed block storage format which is a block variant of the compressed column storage format.

A = cspmatrix(symb) creates a new chordal sparse matrix object with a sparsity pattern defined by the symbolic factorization object symb. If the optional argument blkval specified, the cspmatrix object will use the blkval array for numerical values (and not a copy!), and otherwise the cspmatrix object is initialized with an all-zero array. The optional input factor determines whether or not the cspmatrix stores a factored matrix.

copy()¶: Returns a new cspmatrix object with a reference to the same symbolic factorization, but with a copy of the array that stores the numerical values.

diag(reordered=True)¶: Returns a vector with the diagonal elements of the matrix.

is_factor¶: This property is equal to True if the cspmatrix represents a Cholesky factor, and otherwise it is equal to False.

spmatrix(reordered=True, symmetric=False)¶

Converts the cspmatrix $A$ to a sparse matrix. A reordered matrix is returned if the optional argument reordered is True, and otherwise the inverse permutation is applied.

Parameters:	reordered – boolean (default: True) symmetric – boolean (default: False)

Numerical computations¶

chompack.cholesky()¶

Supernodal multifrontal Cholesky factorization:

$X = LL^T$

where $L$ is lower-triangular. On exit, the argument $X$ contains the Cholesky factor $L$ .

Parameters:	X – `cspmatrix`

chompack.llt()¶

Supernodal multifrontal Cholesky product:

$X = LL^T$

where $L$ is lower-triangular. On exit, the argument L contains the product $X$ .

Parameters:	L – `cspmatrix` (factor)

chompack.projected_inverse()¶

Supernodal multifrontal projected inverse. The routine computes the projected inverse

$Y = P(L^{-T}L^{-1})$

where $L$ is a Cholesky factor. On exit, the argument $L$ contains the projected inverse $Y$ .

Parameters:	L – `cspmatrix` (factor)

chompack.completion()¶

Supernodal multifrontal maximum determinant positive definite matrix completion. The routine computes the Cholesky factor $L$ of the inverse of the maximum determinant positive definite matrix completion of $X$ :, i.e.,

$P( S^{-1} ) = X$

where $S = LL^T$ . On exit, the argument X contains the lower-triangular Cholesky factor $L$ .

The optional argument factored_updates can be used to enable (if True) or disable (if False) updating of intermediate factorizations.

Parameters:	X – `cspmatrix` factored_updates – boolean

chompack.hessian()¶

Supernodal multifrontal Hessian mapping.

The mapping

$\mathcal H_X(U) = P(X^{-1}UX^{-1})$

is the Hessian of the log-det barrier at a positive definite chordal matrix $X$ , applied to a symmetric chordal matrix $U$ . The Hessian operator can be factored as

$\mathcal H_X(U) = \mathcal G_X^{\mathrm adj}( \mathcal G_X(U) )$

where the mappings on the right-hand side are adjoint mappings that map chordal symmetric matrices to chordal symmetric matrices.

This routine evaluates the mapping $G_X$ and its adjoint $G_X^{\mathrm adj}$ as well as the corresponding inverse mappings. The inputs adj and inv control the action as follows:

Action adj inv

$U = \mathcal G_X(U)$ False False

$U = \mathcal G_X^{\mathrm adj}(U)$ True False

$U = \mathcal G_X^{-1}(U)$ False True

$U = \mathcal (G_X^{\mathrm adj})^{-1}(U)$ True True

The input argument $L$ is the Cholesky factor of $X$ . The input argument $Y$ is the projected inverse of $X$ . The input argument $U$ is either a chordal matrix (a cspmatrix) of a list of chordal matrices with the same sparsity pattern as $L$ and $Y$ .

The optional argument factored_updates can be used to enable (if True) or disable (if False) updating of intermediate factorizations.

Parameters:	L – `cspmatrix` (factor) Y – `cspmatrix` U – `cspmatrix` or list of `cspmatrix` objects adj – boolean inv – boolean factored_updates – boolean

chompack.dot(X, Y)¶: Computes trace product of X and Y.

chompack.trmm(L, B, alpha=1.0, trans='N', nrhs=None, offsetB=0, ldB=None)¶

Multiplication with sparse triangular matrix. Computes

$B &:= \alpha L B \text{ if trans is 'N'} B &:= \alpha L^T B \text{ if trans is 'T'}$

where $L$ is a cspmatrix factor.

Parameters:	L – `cspmatrix` factor B – matrix alpha – float (default: 1.0) trans – ‘N’ or ‘T’ (default: ‘N’) nrhs – number of right-hand sides (default: number of columns in $B$ ) offsetB – integer (default: 0) ldB – leading dimension of $B$ (default: number of rows in $B$ )

chompack.trsm(L, B, alpha=1.0, trans='N', nrhs=None, offsetB=0, ldB=None)¶

Solves a triangular system of equations with multiple righthand sides. Computes

$B &:= \alpha L^{-1} B \text{ if trans is 'N'} B &:= \alpha L^{-T} B \text{ if trans is 'T'}$

where $L$ is a cspmatrix factor.

Parameters:	L – `cspmatrix` factor B – matrix alpha – float (default: 1.0) trans – ‘N’ or ‘T’ (default: ‘N’) nrhs – number of right-hand sides (default: number of columns in $B$ ) offsetB – integer (default: 0) ldB – leading dimension of $B$ (default: number of rows in $B$ )

class chompack.pfcholesky(X, V, a=None, p=None)¶

Supernodal multifrontal product-form Cholesky factorization:

$X + V \mathrm{diag}(a) V^T = L_m \cdots L_1L_0 L_0^TL_1^T \cdots L_m^T$

where $X = L_0L_0^T$ is of order n and $V$ is n-by-m.

Parameters:	X – `cspmatrix` or `spmatrix` V – n-by-m matrix a – m-by-1 matrix (optional, default is vector of ones) p – n-by-1 matrix (optional, default is natural ordering)

trmm(B, trans='N')¶: Multiplication with product-form Cholesky factor. Computes

$B &:= L B \text{ if trans is 'N'} B &:= L^T B \text{ if trans is 'T'}$

trsm(B, trans='N')¶: Solves a triangular system of equations with multiple righthand sides. Computes

$B &:= L^{-1} B \text{ if trans is 'N'} B &:= L^{-T} B \text{ if trans is 'T'}$

Chordal conversion¶

The following example illustrates how to apply the chordal conversion technique to a sparse SDP.

# Given: tuple with cone LP problem data
# prob = (c,G,h,dims,A,b)

# Solve cone LP with CVXOPT's conelp() routine
sol = cvxopt.conelp(*prob)

# Apply chordal conversion to cone LP
probc, blk2sparse, symbs = chompack.convert_conelp(*prob)

# Solve converted problem with CVXOPT's conelp() routine
solc = cvxopt.solvers.conelp(*probc)

chompack.convert_conelp(c, G, h, dims, A=None, b=None, **kwargs)¶

Applies the clique conversion method of Fukuda et al. to the positive semidefinite blocks of a cone LP.

Parameters:	c – `matrix` G – `spmatrix` h – `matrix` dims – dictionary A – `spmatrix` or `matrix` b – `matrix`

The following example illustrates how to convert a cone LP:

prob = (c,G,h,dims,A,b)
probc, blk2sparse, symbs = convert_conelp(*prob)

The return value blk2sparse is a list of 4-tuples (blki,I,J,n) that each defines a mapping between the sparse matrix representation and the converted block-diagonal representation, and symbs is a list of symbolic factorizations corresponding to each of the semidefinite blocks in the original cone LP.

Auxiliary routines¶

chompack.maxcardsearch(A, ve=None)¶

Maximum cardinality search ordering of a sparse chordal matrix.

Returns the maximum cardinality search ordering of a symmetric chordal matrix $A$ . Only the lower triangular part of $A$ is accessed. The maximum cardinality search ordering is a perfect elimination ordering in the factorization $PAP^T = LL^T$ . The optional argument ve is the index of the last vertex to be eliminated (the default value is n-1).

Parameters:	A – `spmatrix` ve – integer between 0 and A.size[0]-1 (optional)

chompack.peo(A, p)¶

Checks whether an ordering is a perfect elmimination order.

Returns True if the permutation $p$ is a perfect elimination order for a Cholesky factorization $PAP^T = LL^T$ . Only the lower triangular part of $A$ is accessed.

Parameters:	A – `spmatrix` p – `matrix` or `list` of length A.size[0]

chompack.maxchord(A, ve=None)¶

Maximal chordal subgraph of sparsity graph.

Returns a lower triangular sparse matrix which is the projection of $A$ on a maximal chordal subgraph and a perfect elimination order $p$ . Only the lower triangular part of $A$ is accessed. The optional argument ve is the index of the last vertex to be eliminated (the default value is n-1). If $A$ is chordal, then the matrix returned is equal to $A$ .

Parameters:	A – `spmatrix` ve – integer between 0 and A.size[0]-1 (optional)