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Scale internal tolerances with working precision (single-precision robustness) #158

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Scale internal tolerances with working precision (single-precision robustness) #158

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11 changes: 11 additions & 0 deletions include/constants.h
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Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,17 @@ extern "C" {
#define DAQP_UNCONSTRAINED_OPTIMAL -2
#define DAQP_INF ((c_float)1e30)

// PRECISION-DEPENDENT TOLERANCES
#ifdef DAQP_SINGLE_PRECISION
#define DAQP_LU_SING_TOL ((c_float)1e-6) // pivot magnitude below this is singular (daqp_lu)
#define DAQP_INIT_PRIM_TOL ((c_float)1e-5) // slack "on bound" band for primal warm start
#define DAQP_INIT_DUAL_TOL ((c_float)1e-6) // multiplier sign threshold for dual warm start
#else
#define DAQP_LU_SING_TOL ((c_float)1e-12)
#define DAQP_INIT_PRIM_TOL ((c_float)1e-9)
#define DAQP_INIT_DUAL_TOL ((c_float)1e-12)
#endif

// DEFAULT SETTINGS
#define DAQP_DEFAULT_PRIM_TOL 1e-6
#define DAQP_DEFAULT_DUAL_TOL 1e-12
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4 changes: 2 additions & 2 deletions src/api.c
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Expand Up @@ -539,7 +539,7 @@ int daqp_first_violating(c_float* x, c_float* A, c_float* bu, c_float* bl, int n
void daqp_primal_init_active(DAQPProblem* qp, c_float* x){
int i,disp;
c_float Ax, slack;
c_float tol= 1e-9;
c_float tol= DAQP_INIT_PRIM_TOL;

// Simple constraints
for(i=0; i < qp->ms; i++){
Expand Down Expand Up @@ -579,7 +579,7 @@ void daqp_primal_init_active(DAQPProblem* qp, c_float* x){
// based on a dual iterate
void daqp_dual_init_active(DAQPProblem* qp, c_float* lam){
int i;
c_float tol = 1e-12;
c_float tol = DAQP_INIT_DUAL_TOL;
for(i=0; i < qp->m; i++){
if(qp->sense[i] & DAQP_IMMUTABLE) continue;
if(lam[i] > tol){
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2 changes: 1 addition & 1 deletion src/utils.c
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Expand Up @@ -534,7 +534,7 @@ int daqp_lu(c_float* A, int* P, int n) {
}

// Check for singularity
if (max_val < 1e-12) return -1;
if (max_val < DAQP_LU_SING_TOL) return -1;

// Swap rows in A
for (int k = 0; k < n; k++) {
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