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cvxgrp / diffcp

Differentiation through cone programs
Apache License 2.0
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added ECOS #37

Closed sbarratt closed 3 years ago

sbarratt commented 4 years ago

This PR adds ECOS as an optional solver for diffcp, and chooses ECOS over SCS when there are no PSD/exponential cones. All that changes is the solver used; it still uses the SCS canonical form. It would be nice to add a parallelizable version of ECOS (see, e.g., https://github.com/embotech/ecos-python/pull/20) as a submodule before it's fully in ECOS. I also added some tests

TODO eventually: support exponential cone, which requires some re-ordering for ECOS.

SteveDiamond commented 3 years ago

This passed on travis, not sure why the PR isn't connecting properly.