main.py

import cvxpy as cp
from cvxpygen import cpg
import numpy as np
import time
import sys

if __name__ == "__main__":

    '''
    1. Generate Code
    '''

    # define CVXPY problem
    m, n = 3, 2
    x = cp.Variable(n, name='x')
    A = cp.Parameter((m, n), name='A', sparsity=[(0, 0), (0, 1), (1, 1)])
    b = cp.Parameter(m, name='b')
    problem = cp.Problem(cp.Minimize(cp.sum_squares(A @ x - b)), [x >= 0])

    # assign parameter values and test-solve
    np.random.seed(0)
    A.value = np.zeros((m, n))
    A.value[0, 0] = np.random.randn()
    A.value[0, 1] = np.random.randn()
    A.value[1, 1] = np.random.randn()
    b.value = np.random.randn(m)
    problem.solve(solver='SCS')

    # generate code
    cpg.generate_code(problem, code_dir='nonneg_LS', solver='SCS')

    '''
    2. Solve & Compare
    '''

    # solve problem conventionally
    t0 = time.time()
    val = problem.solve(solver='SCS')
    t1 = time.time()
    sys.stdout.write('\nCVXPY\nSolve time: %.3f ms\n' % (1000*(t1-t0)))
    sys.stdout.write('Primal solution: x = [%.6f, %.6f]\n' % tuple(x.value))
    sys.stdout.write('Dual solution: d0 = [%.6f, %.6f]\n' % tuple(problem.constraints[0].dual_value))
    sys.stdout.write('Objective function value: %.6f\n' % val)

    # solve problem with C code via python wrapper
    t0 = time.time()
    val = problem.solve(method='CPG', updated_params=['A', 'b'], verbose=False)
    t1 = time.time()
    sys.stdout.write('\nCVXPYgen\nSolve time: %.3f ms\n' % (1000 * (t1 - t0)))
    sys.stdout.write('Primal solution: x = [%.6f, %.6f]\n' % tuple(x.value))
    sys.stdout.write('Dual solution: d0 = [%.6f, %.6f]\n' % tuple(problem.constraints[0].dual_value))
    sys.stdout.write('Objective function value: %.6f\n' % val)