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Merged
dance858 merged 2 commits into from
Jan 31, 2026
Merged

Pre-release v0.1.0 #39

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643505f
added nnz hessian to statistics
dance858 Jan 31, 2026
cd16919
separate jacobian init function
dance858 Jan 31, 2026
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5 changes: 4 additions & 1 deletion include/problem.h
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Original file line number Diff line number Diff line change
Expand Up @@ -33,7 +33,8 @@ typedef struct
double time_forward_constraints;

int nnz_affine;
int nnz_nonlinear;
int nnz_nonlinear; /* jacobian of nonlinear constraints */
int nnz_hessian;
} Diff_engine_stats;

typedef struct problem
Expand Down Expand Up @@ -66,6 +67,8 @@ typedef struct problem
/* Retains objective and constraints (shared ownership with caller) */
problem *new_problem(expr *objective, expr **constraints, int n_constraints,
bool verbose);
void problem_init_jacobian(problem *prob);
void problem_init_hessian(problem *prob);
void problem_init_derivatives(problem *prob);
void free_problem(problem *prob);

Expand Down
163 changes: 90 additions & 73 deletions src/problem.c
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Original file line number Diff line number Diff line change
Expand Up @@ -70,77 +70,6 @@ problem *new_problem(expr *objective, expr **constraints, int n_constraints,
return prob;
}

void problem_init_derivatives(problem *prob)
{
Timer timer;
clock_gettime(CLOCK_MONOTONIC, &timer.start);

// -------------------------------------------------------------------------------
// Jacobian structure
// -------------------------------------------------------------------------------
prob->objective->jacobian_init(prob->objective);
int nnz = 0;
for (int i = 0; i < prob->n_constraints; i++)
{
expr *c = prob->constraints[i];
c->jacobian_init(c);
nnz += c->jacobian->nnz;

if (c->is_affine(c))
{
prob->stats.nnz_affine += c->jacobian->nnz;
}
else
{
prob->stats.nnz_nonlinear += c->jacobian->nnz;
}
}

prob->jacobian = new_csr_matrix(prob->total_constraint_size, prob->n_vars, nnz);

/* set sparsity pattern of jacobian */
CSR_Matrix *H = prob->jacobian;
H->p[0] = 0;
int row_offset = 0;
int nnz_offset = 0;
for (int i = 0; i < prob->n_constraints; i++)
{
expr *c = prob->constraints[i];

for (int r = 1; r <= c->jacobian->m; r++)
{
H->p[row_offset + r] = nnz_offset + c->jacobian->p[r];
}

memcpy(H->i + nnz_offset, c->jacobian->i, c->jacobian->nnz * sizeof(int));
row_offset += c->jacobian->m;
nnz_offset += c->jacobian->nnz;
}
assert(nnz_offset == nnz);

// -------------------------------------------------------------------------------
// Lagrange Hessian structure
// -------------------------------------------------------------------------------
prob->objective->wsum_hess_init(prob->objective);
nnz = prob->objective->wsum_hess->nnz;

for (int i = 0; i < prob->n_constraints; i++)
{
prob->constraints[i]->wsum_hess_init(prob->constraints[i]);
nnz += prob->constraints[i]->wsum_hess->nnz;
}

prob->lagrange_hessian = new_csr_matrix(prob->n_vars, prob->n_vars, nnz);
memset(prob->lagrange_hessian->x, 0, nnz * sizeof(double)); /* affine shortcut */
prob->hess_idx_map = (int *) malloc(nnz * sizeof(int));
int *iwork = (int *) malloc(MAX(nnz, prob->n_vars) * sizeof(int));
problem_lagrange_hess_fill_sparsity(prob, iwork);
free(iwork);

clock_gettime(CLOCK_MONOTONIC, &timer.end);
prob->stats.time_init_derivatives += GET_ELAPSED_SECONDS(timer);
}

static void problem_lagrange_hess_fill_sparsity(problem *prob, int *iwork)
{
expr **constrs = prob->constraints;
Expand Down Expand Up @@ -226,6 +155,93 @@ static void problem_lagrange_hess_fill_sparsity(problem *prob, int *iwork)
}
}

void problem_init_jacobian(problem *prob)
{
Timer timer;
clock_gettime(CLOCK_MONOTONIC, &timer.start);

// -------------------------------------------------------------------------------
// Jacobian structure
// -------------------------------------------------------------------------------
prob->objective->jacobian_init(prob->objective);
int nnz = 0;
for (int i = 0; i < prob->n_constraints; i++)
{
expr *c = prob->constraints[i];
c->jacobian_init(c);
nnz += c->jacobian->nnz;

if (c->is_affine(c))
{
prob->stats.nnz_affine += c->jacobian->nnz;
}
else
{
prob->stats.nnz_nonlinear += c->jacobian->nnz;
}
}

prob->jacobian = new_csr_matrix(prob->total_constraint_size, prob->n_vars, nnz);

/* set sparsity pattern of jacobian */
CSR_Matrix *H = prob->jacobian;
H->p[0] = 0;
int row_offset = 0;
int nnz_offset = 0;
for (int i = 0; i < prob->n_constraints; i++)
{
expr *c = prob->constraints[i];

for (int r = 1; r <= c->jacobian->m; r++)
{
H->p[row_offset + r] = nnz_offset + c->jacobian->p[r];
}

memcpy(H->i + nnz_offset, c->jacobian->i, c->jacobian->nnz * sizeof(int));
row_offset += c->jacobian->m;
nnz_offset += c->jacobian->nnz;
}
assert(nnz_offset == nnz);

clock_gettime(CLOCK_MONOTONIC, &timer.end);
prob->stats.time_init_derivatives += GET_ELAPSED_SECONDS(timer);
}

void problem_init_hessian(problem *prob)
{
Timer timer;
clock_gettime(CLOCK_MONOTONIC, &timer.start);

// -------------------------------------------------------------------------------
// Lagrange Hessian structure
// -------------------------------------------------------------------------------
prob->objective->wsum_hess_init(prob->objective);
int nnz = prob->objective->wsum_hess->nnz;

for (int i = 0; i < prob->n_constraints; i++)
{
prob->constraints[i]->wsum_hess_init(prob->constraints[i]);
nnz += prob->constraints[i]->wsum_hess->nnz;
}

prob->lagrange_hessian = new_csr_matrix(prob->n_vars, prob->n_vars, nnz);
memset(prob->lagrange_hessian->x, 0, nnz * sizeof(double)); /* affine shortcut */
prob->stats.nnz_hessian = nnz;
prob->hess_idx_map = (int *) malloc(nnz * sizeof(int));
int *iwork = (int *) malloc(MAX(nnz, prob->n_vars) * sizeof(int));
problem_lagrange_hess_fill_sparsity(prob, iwork);
free(iwork);

clock_gettime(CLOCK_MONOTONIC, &timer.end);
prob->stats.time_init_derivatives += GET_ELAPSED_SECONDS(timer);
}

void problem_init_derivatives(problem *prob)
{
problem_init_jacobian(prob);
problem_init_hessian(prob);
}

static inline void print_end_message(const Diff_engine_stats *stats)
{
printf("\n"
Expand All @@ -236,8 +252,9 @@ static inline void print_end_message(const Diff_engine_stats *stats)
DIFF_ENGINE_VERSION);

printf("\nProblem statistics:\n");
printf(" Nonzeros in affine constraints: %d\n", stats->nnz_affine);
printf(" Nonzeros in nonlinear constraints: %d\n", stats->nnz_nonlinear);
printf(" Affine constraints (nnz): %d\n", stats->nnz_affine);
printf(" Jacobian nonlinear constraints (nnz): %d\n", stats->nnz_nonlinear);
printf(" Lagrange Hessian (nnz): %d\n", stats->nnz_hessian);

printf("\nTiming (seconds):\n");
printf(" Derivative structure (sparsity): %8.3f\n",
Expand Down