# FirstOrderLp.jl

## Introduction

This repository contains experimental code for solving linear and quadratic programming problems using first-order methods. It provides basic utilities and data structures for reading MPS files, rescaling, and implementing saddle-point methods. Specialized implementations are present for Mirror Prox and Primal-Dual Hybrid Gradient. It is focused on supporting experiments and publications and is not currently configured to be used as a library.

## One-time setup

Install Julia 1.6.0 or later. From the root directory of the repository, run:

`$ julia --project=scripts -e 'import Pkg; Pkg.instantiate()'`

This setup needs to be run again only if the dependencies change.

## Running

Use one of the following two scripts to solve LP instances. All commands below assume that the current directory is the working directory.

`solve_qp.jl`

This is the recommended script for using FirstOrderLp. The results are written to JSON and text files; see the source for the description of the output formats.

To see the meaning of each argument:

`$ julia --project=scripts scripts/solve_qp.jl --help`

To solve a test instance with PDHG:

```
$ julia --project=scripts scripts/solve_qp.jl \
--instance_path test/trivial_lp_model.mps --iteration_limit 5000 \
--method pdhg --output_dir /tmp/first_order_lp_solve
```

`solve_lp_external.jl`

This script provides an interface similar to `solve_qp`

but for calling
external solvers for baselines. This script does not support quadratic
objectives.

To solve a test instance with SCS's indirect mode:

```
$ julia --project=scripts scripts/solve_lp_external.jl \
--instance_path test/trivial_lp_model.mps --iteration_limit 5000 \
--solver scs-indirect --tolerance 1e-7 --output_dir /tmp/scs_solve
```

To solve a test with HiGHS's interior-point mode:

```
$ julia --project=scripts scripts/solve_lp_external.jl \
--instance_path test/trivial_lp_model.mps --solver highs-ipm \
--tolerance 1e-7 --output_dir /tmp/highs_solve
```

## Loading the module

Use the following commands to load the FirstOrderLp module from Julia and to view the docstrings:

```
$ julia --project
…
julia> import FirstOrderLp
julia> ? # Switch to the help> prompt.
help> FirstOrderLp.optimize
…
help> FirstOrderLp
…
```

## Running the tests

To run the module’s tests run:

`$ julia --color=yes --project -e 'import Pkg; Pkg.test("FirstOrderLp")'`

## Interpreting the output

When the verbosity option is greater than 2, a table of iteration stats will be printed with the following headings (split into six groups).

##### runtime

`#iter`

= the current iteration number.

`#kkt`

= the cumulative number of times the KKT matrix is multiplied.

`seconds`

= the cumulative solve time in seconds.

##### residuals

`pr norm`

= the euclidean norm of primal residuals (i.e., the constraint
violation).

`du norm`

= the euclidean norm of the dual residuals.

`gap`

= the gap between the primal and dual objective.

##### solution information

`pr obj`

= the primal objective value.

`pr norm`

= the euclidean norm of the primal variable vector.

`du norm`

= the euclidean norm of the dual variable vector.

##### relative residuals

`rel pr`

= the euclidean norm of the primal residuals, relative to the
right-hand-side.

`rel dul`

= the euclidean norm of the dual residuals, relative to the primal
linear objective.

`rel gap`

= the relative optimality gap.

##### primal ray (verbosity greater than seven only)

`pr norm`

= the euclidean norm of the primal residuals for the primal ray
problem.

`linear`

= the linear part of the primal ray objective.

`qu norm`

= the norm of the quadratic part of the primal ray objective.

##### dual ray (verbosity greater than seven only)

`du norm`

= the norm of the dual part of the dual ray.

`dual obj`

= the dual ray objective value.

## Auto-formatting Julia code

A one-time step is required to use the auto-formatter:

`$ julia --project=formatter -e 'import Pkg; Pkg.instantiate()'`

Run the following command to auto-format all Julia code in this directory before submitting changes:

`$ julia --project=formatter -e 'using JuliaFormatter; format(".")'`

## Disclaimer

This is not an official Google product.