qpsolvers/qpbenchmark

Conversion to SOCP limits performance of ECOS

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#60 opened on Feb 24, 2023

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fairnesshelp wanted

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Description

As @bodono pointed out in https://github.com/qpsolvers/qpsolvers_benchmark/issues/58#issuecomment-1443914166, socp_from_qp relies on NumPy's implementation, which in turns require the matrix to be positive definite.

This requirement comes from the conversion, not from the underlying conic solvers. This yields a https://github.com/qpsolvers/qpsolvers_benchmark/labels/fairness issue since failing to solve the problem is no fault of the solver itself.

Contributor guide

Research direction
Inspect the `socp from qp` function in qpsolvers and understand why it requires positive definite matrices. Review the linked benchmark discussion for context on fairness issues. Research alternative SOCP formulations that do not require positive definiteness and test with ECOS on non positive definite QP problems.
Tech stack
pythonnumpy
Domain
backend
Issue type
Performance
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
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1-2 days
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Active
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Clear
Prerequisites
GitPython
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45