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import sys
from pathlib import Path
project_root = Path(__file__).parent.parent
if str(project_root) not in sys.path:
sys.path.insert(0, str(project_root))
import cvxpy as cp
import diffcp
import numpy as np
import pytest
torch = pytest.importorskip("torch")
from torch.autograd import grad # noqa: E402
from baselines.cvxpylayers_local.cvxpylayer import CvxpyLayer # noqa: E402
import os as _os
import json as _json
import atexit as _atexit
import importlib as _importlib
import inspect as _inspect
import torch as _torch
from cvxpylayers.torch import CvxpyLayer as _CvxpyLayerRef
_FFO_MOD = _os.environ.get("FFO_MOD", "src.ffolayer.ffocp_eq")
_FFO_ENTRY = _os.environ.get("FFO_ENTRY", "FFOLayer")
_FFO_SOL_ATOL = float(_os.environ.get("FFO_SOL_ATOL", "1e-5"))
_FFO_SOL_RTOL = float(_os.environ.get("FFO_SOL_RTOL", "1e-3"))
_FFO_GRAD_ATOL = float(_os.environ.get("FFO_GRAD_ATOL", "1e-5"))
_FFO_GRAD_RTOL = float(_os.environ.get("FFO_GRAD_RTOL", "5e-3"))
_FFO_COMPARE = _os.environ.get("FFO_COMPARE", "1") != "0"
_METRICS = []
def _as_tuple(x):
return x if isinstance(x, tuple) else (x,)
def _flat_out(outs):
xs = []
for o in _as_tuple(outs):
if not _torch.is_tensor(o):
raise TypeError(f"Non-tensor output: {type(o)}")
xs.append(o.reshape(-1))
if not xs:
return _torch.zeros((), dtype=_torch.float64)
return _torch.cat(xs, dim=0)
def _l2(x):
return _torch.linalg.norm(x.reshape(-1))
def _construct_ffo(problem, parameters, variables, kwargs=None):
mod = _importlib.import_module(_FFO_MOD)
entry = getattr(mod, _FFO_ENTRY)
try:
sig = _inspect.signature(entry)
ok_keys = set(sig.parameters.keys())
ctor_kwargs = {k: v for k, v in kwargs.items() if k in ok_keys} if kwargs is not None else {}
except Exception:
ctor_kwargs = {} if kwargs is None else {k: v for k, v in kwargs.items()}
tries = [
lambda: entry(problem=problem, parameters=parameters, variables=variables, eps=1e-12, backward_eps=1e-12, ),
]
last = None
for f in tries:
try:
layer = f()
if callable(layer):
return layer
last = TypeError(f"Constructed object not callable: {type(layer)}")
except Exception as e:
last = e
raise RuntimeError(f"Failed to construct FFOLayer from {_FFO_MOD}:{_FFO_ENTRY}. Last error: {last!r}")
class CvxpyLayer(_CvxpyLayerRef):
"""
Drop-in replacement used by the copied test file.
It returns the *reference* CvxpyLayer output (so original tests remain valid),
but additionally runs FFOLayer and checks:
- optimal solution distance
- gradient distance w.r.t. torch params
"""
def __init__(self, problem, parameters, variables, **kwargs):
super().__init__(problem, parameters, variables, **kwargs)
self._ffo = _construct_ffo(problem = problem, parameters = parameters, variables = variables)
def __call__(self, *params, **kwargs):
# Run CvxpyLayer
kwargs["solver_args"] = {"eps": 1e-12}
y_ref = super().__call__(*params, **kwargs)
if not _FFO_COMPARE:
return y_ref
# Run FFO
y_ffo = self._ffo(*params, **kwargs)
# ---- solution distance ----
ref = _flat_out(y_ref)
ffo = _flat_out(y_ffo)
if ref.shape != ffo.shape:
raise AssertionError(f"[FFO] output shape mismatch: ref={tuple(ref.shape)} ffo={tuple(ffo.shape)}")
diff = ffo - ref
sol_ok = (_l2(diff) <= (_FFO_SOL_ATOL + _FFO_SOL_RTOL * _l2(ref))).item()
sol_rel = float((_l2(diff) / (_l2(ref) + 1e-12)).detach().cpu())
sol_max = float(diff.abs().max().detach().cpu()) if diff.numel() else 0.0
if not sol_ok:
raise AssertionError(f"[FFO] solution mismatch: rel_l2={sol_rel:.3e}, max_abs={sol_max:.3e}")
# ---- grad distance ----
# Only when gradients enabled and any param requires grad
grad_ok = True
grad_rel_max = 0.0
grad_abs_max = 0.0
if _torch.is_grad_enabled():
req = [p for p in params if _torch.is_tensor(p) and p.requires_grad]
if len(req) > 0:
# Deterministic scalarization vector
gen = _torch.Generator(device=ref.device if ref.is_cuda else "cpu")
gen.manual_seed(0)
v = _torch.randn(ref.shape, dtype=ref.dtype, device=ref.device, generator=gen)
loss_ref = (_flat_out(y_ref) * v).sum()
loss_ffo = (_flat_out(y_ffo) * v).sum()
g_ref = _torch.autograd.grad(loss_ref, req, allow_unused=True, retain_graph=True, create_graph=False)
g_ffo = _torch.autograd.grad(loss_ffo, req, allow_unused=True, retain_graph=True, create_graph=False)
for a, b in zip(g_ref, g_ffo):
if a is None and b is None:
continue
if a is None:
a = _torch.zeros_like(b)
if b is None:
b = _torch.zeros_like(a)
d = b - a
abs_err = float(_l2(d).detach().cpu())
rel_err = float((_l2(d) / (_l2(a) + 1e-12)).detach().cpu())
grad_abs_max = max(grad_abs_max, abs_err)
grad_rel_max = max(grad_rel_max, rel_err)
ok = (_l2(d) <= (_FFO_GRAD_ATOL + _FFO_GRAD_RTOL * _l2(a))).item()
grad_ok = grad_ok and bool(ok)
if not grad_ok:
raise AssertionError(f"[FFO] grad mismatch: rel_l2_max={grad_rel_max:.3e}, abs_l2_max={grad_abs_max:.3e}")
_METRICS.append({
"sol_rel_l2": sol_rel,
"sol_max_abs": sol_max,
"grad_rel_l2_max": grad_rel_max,
"grad_abs_l2_max": grad_abs_max,
})
return y_ref
@_atexit.register
def _dump_report():
path = _os.environ.get("FFO_REPORT", "")
if not path:
return
try:
with open(path, "w", encoding="utf-8") as f:
_json.dump(_METRICS, f, indent=2)
except Exception:
pass
torch.set_default_dtype(torch.double)
def set_seed(x: int) -> np.random.Generator:
"""Set the random seed for torch and return a numpy random generator.
Parameters
----------
x : int
The seed value to use for random number generators.
Returns
-------
np.random.Generator
A numpy random number generator instance with the specified seed.
"""
torch.manual_seed(x)
return np.random.default_rng(x)
def sigmoid(z):
return 1 / (1 + np.exp(-z))
def test_example():
n, m = 2, 3
x = cp.Variable(n)
A = cp.Parameter((m, n))
b = cp.Parameter(m)
constraints = [x >= 0]
constraints += [cp.pnorm(A @ x - b, p=1) <= 1]
objective = cp.Minimize(0.1 * cp.sum_squares(x))
problem = cp.Problem(objective, constraints)
assert problem.is_dpp()
cvxpylayer = CvxpyLayer(problem, parameters=[A, b], variables=[x])
A_tch = torch.randn(m, n, requires_grad=True)
b_tch = torch.randn(m, requires_grad=True)
scale = (b_tch.abs().sum() + 1e-12)
b_tch = (0.5 * b_tch / scale).requires_grad_() # scale the parameter to avoid numerical instability
# solve the problem
(solution,) = cvxpylayer(A_tch, b_tch)
# compute the gradient of the sum of the solution with respect to A, b
solution.sum().backward()
@pytest.mark.skip
def test_simple_batch_socp():
_ = set_seed(243)
n = 5
m = 1
batch_size = 4
P_sqrt = cp.Parameter((n, n), name="P_sqrt")
q = cp.Parameter((n, 1), name="q")
A = cp.Parameter((m, n), name="A")
b = cp.Parameter((m, 1), name="b")
x = cp.Variable((n, 1), name="x")
objective = 0.5 * cp.sum_squares(P_sqrt @ x) + q.T @ x
constraints = [A @ x == b, cp.norm(x) <= 1]
prob = cp.Problem(cp.Minimize(objective), constraints)
prob_tch = CvxpyLayer(prob, [P_sqrt, q, A, b], [x],)
P_sqrt_tch = torch.randn(batch_size, n, n, requires_grad=True)
q_tch = torch.randn(batch_size, n, 1, requires_grad=True)
A_tch = torch.randn(batch_size, m, n, requires_grad=True)
b_tch = torch.randn(batch_size, m, 1, requires_grad=True)
torch.autograd.gradcheck(prob_tch, (P_sqrt_tch, q_tch, A_tch, b_tch))
def test_least_squares():
_ = set_seed(243)
m, n = 100, 20
A = cp.Parameter((m, n))
b = cp.Parameter(m)
x = cp.Variable(n)
obj = cp.sum_squares(A @ x - b) + cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(obj))
prob_th = CvxpyLayer(prob, [A, b], [x])
A_th = torch.randn(m, n).double().requires_grad_()
b_th = torch.randn(m).double().requires_grad_()
x = prob_th(A_th, b_th, solver_args={"eps": 1e-10})[0]
def lstsq(A, b):
return torch.linalg.solve(
A.t() @ A + torch.eye(n, dtype=torch.float64),
(A.t() @ b).unsqueeze(1),
)
x_lstsq = lstsq(A_th, b_th)
grad_A_lstsq, grad_b_lstsq = grad(x_lstsq.sum(), [A_th, b_th])
grad_A_cvxpy, grad_b_cvxpy = grad(x.sum(), [A_th, b_th])
assert torch.allclose(grad_A_cvxpy, grad_A_lstsq, atol=1e-6)
assert torch.allclose(grad_b_cvxpy, grad_b_lstsq.squeeze(), atol=1e-6)
@pytest.mark.skip
def test_least_squares_custom_method():
_ = set_seed(243)
m, n = 100, 20
A = cp.Parameter((m, n))
b = cp.Parameter(m)
x = cp.Variable(n)
obj = cp.sum_squares(A @ x - b) + cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(obj))
prob_th = CvxpyLayer(
prob,
[A, b],
[x],
custom_method=(forward_numpy, backward_numpy), # noqa: F821
)
A_th = torch.randn(m, n).double().requires_grad_()
b_th = torch.randn(m).double().requires_grad_()
x = prob_th(A_th, b_th, solver_args={"eps": 1e-10})[0]
def lstsq(A, b):
return torch.linalg.solve(
A.t() @ A + torch.eye(n, dtype=torch.float64),
(A.t() @ b).unsqueeze(1),
)
x_lstsq = lstsq(A_th, b_th)
grad_A_cvxpy, grad_b_cvxpy = grad(x.sum(), [A_th, b_th])
grad_A_lstsq, grad_b_lstsq = grad(x_lstsq.sum(), [A_th, b_th])
assert torch.allclose(grad_A_cvxpy, grad_A_lstsq, atol=1e-6)
assert torch.allclose(grad_b_cvxpy, grad_b_lstsq.squeeze(), atol=1e-6)
def test_logistic_regression():
rng = set_seed(0)
N, n = 5, 2
X_np = rng.standard_normal((N, n))
a_true = rng.standard_normal((n, 1))
y_np = np.round(sigmoid(X_np.dot(a_true) + rng.standard_normal((N, 1)) * 0.5)).astype(np.double)
X_th = torch.from_numpy(X_np).double().requires_grad_()
lam_th = torch.tensor([1.0], dtype=torch.double, requires_grad=True)
a = cp.Variable((n, 1))
X = cp.Parameter((N, n))
lam = cp.Parameter(1, nonneg=True)
y = y_np
log_likelihood = cp.sum(
cp.multiply(y, X @ a)
- cp.log_sum_exp(
cp.hstack([np.zeros((N, 1)), X @ a]).T,
axis=0,
keepdims=True,
).T,
)
prob = cp.Problem(cp.Minimize(-log_likelihood + lam * cp.sum_squares(a)))
fit_logreg = CvxpyLayer(prob, [X, lam], [a])
torch.autograd.gradcheck(fit_logreg, (X_th, lam_th), atol=1e-4)
@pytest.mark.skip
def test_entropy_maximization():
rng = set_seed(243)
n, m, p = 5, 3, 2
tmp = rng.standard_normal(n)
A_np = rng.standard_normal((m, n))
b_np = A_np.dot(tmp)
F_np = rng.standard_normal((p, n))
g_np = F_np.dot(tmp) + rng.standard_normal(p)
x = cp.Variable(n)
A = cp.Parameter((m, n))
b = cp.Parameter(m)
F = cp.Parameter((p, n))
g = cp.Parameter(p)
obj = cp.Maximize(cp.sum(cp.entr(x)) - 0.01 * cp.sum_squares(x))
constraints = [A @ x == b, F @ x <= g]
prob = cp.Problem(obj, constraints)
layer = CvxpyLayer(prob, [A, b, F, g], [x])
A_th, b_th, F_th, g_th = map(
lambda x: torch.from_numpy(x).requires_grad_(),
[A_np, b_np, F_np, g_np],
)
torch.autograd.gradcheck(layer, (A_th, b_th, F_th, g_th))
def test_lml():
_ = set_seed(243)
k = 2
x = cp.Parameter(4)
y = cp.Variable(4)
obj = -x @ y - cp.sum(cp.entr(y)) - cp.sum(cp.entr(1.0 - y))
cons = [cp.sum(y) == k]
prob = cp.Problem(cp.Minimize(obj), cons)
lml = CvxpyLayer(prob, [x], [y])
x_th = torch.tensor([1.0, -1.0, -1.0, -1.0]).requires_grad_()
torch.autograd.gradcheck(lml, (x_th,), atol=1e-3)
@pytest.mark.skip
def test_sdp():
_ = set_seed(243)
n = 3
p = 3
C = cp.Parameter((n, n))
A = [cp.Parameter((n, n)) for _ in range(p)]
b = [cp.Parameter((1, 1)) for _ in range(p)]
C_th = torch.randn(n, n).requires_grad_()
A_th, b_th = [], []
for _ in range(p):
A_th.append(torch.randn(n, n).requires_grad_())
b_th.append(torch.randn(1, 1).requires_grad_())
X = cp.Variable((n, n), symmetric=True)
constraints = [X >> 0]
constraints += [cp.trace(A[i] @ X) == b[i] for i in range(p)]
prob = cp.Problem(cp.Minimize(cp.trace(C @ X) + cp.sum_squares(X)), constraints)
layer = CvxpyLayer(prob, [C] + A + b, [X])
torch.autograd.gradcheck(layer, [C_th] + A_th + b_th)
def test_not_enough_parameters():
x = cp.Variable(1)
lam = cp.Parameter(1, nonneg=True)
lam2 = cp.Parameter(1, nonneg=True)
objective = lam * cp.norm(x, 1) + lam2 * cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(objective))
with pytest.raises(ValueError, match="must exactly match problem.parameters"):
layer = CvxpyLayer(prob, [lam], [x]) # noqa: F841
def test_not_enough_parameters_at_call_time():
x = cp.Variable(1)
lam = cp.Parameter(1, nonneg=True)
lam2 = cp.Parameter(1, nonneg=True)
objective = lam * cp.norm(x, 1) + lam2 * cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(objective))
layer = CvxpyLayer(prob, [lam, lam2], [x])
lam_th = torch.ones(1)
with pytest.raises(
ValueError,
match="A tensor must be provided for each CVXPY parameter.*",
):
layer(lam_th)
def test_too_many_variables():
x = cp.Variable(1)
y = cp.Variable(1)
lam = cp.Parameter(1, nonneg=True)
objective = lam * cp.norm(x, 1)
prob = cp.Problem(cp.Minimize(objective))
with pytest.raises(ValueError, match="must be a subset of problem.variables"):
layer = CvxpyLayer(prob, [lam], [x, y]) # noqa: F841
def test_infeasible():
x = cp.Variable(1)
param = cp.Parameter(1)
prob = cp.Problem(cp.Minimize(param), [x >= 1, x <= -1])
layer = CvxpyLayer(prob, [param], [x])
param_th = torch.ones(1)
with pytest.raises(diffcp.SolverError):
layer(param_th)
def test_unbounded():
x = cp.Variable(1)
param = cp.Parameter(1)
prob = cp.Problem(cp.Minimize(x), [x <= param])
layer = CvxpyLayer(prob, [param], [x])
param_th = torch.ones(1)
with pytest.raises(diffcp.SolverError):
layer(param_th)
@pytest.mark.skip
def test_incorrect_parameter_shape():
_ = set_seed(243)
m, n = 100, 20
A = cp.Parameter((m, n))
b = cp.Parameter(m)
x = cp.Variable(n)
obj = cp.sum_squares(A @ x - b) + cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(obj))
prob_th = CvxpyLayer(prob, [A, b], [x])
A_th = torch.randn(32, m, n).double()
b_th = torch.randn(20, m).double()
with pytest.raises(ValueError, match="Inconsistent batch sizes"):
prob_th(A_th, b_th)
A_th = torch.randn(32, m, n).double()
b_th = torch.randn(32, 2 * m).double()
with pytest.raises(ValueError, match="Invalid parameter shape"):
prob_th(A_th, b_th)
A_th = torch.randn(m, n).double()
b_th = torch.randn(2 * m).double()
with pytest.raises(ValueError, match="Invalid parameter shape"):
prob_th(A_th, b_th)
A_th = torch.randn(32, m, n).double()
b_th = torch.randn(32, 32, m).double()
with pytest.raises(ValueError, match="Invalid parameter dimensionality"):
prob_th(A_th, b_th)
def test_broadcasting():
_ = set_seed(243)
m, n = 100, 20
A = cp.Parameter((m, n))
b = cp.Parameter(m)
x = cp.Variable(n)
obj = cp.sum_squares(A @ x - b) + cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(obj))
prob_th = CvxpyLayer(prob, [A, b], [x])
A_th = torch.randn(m, n).double().requires_grad_()
b_th_0 = torch.randn(m).double().requires_grad_()
b_th = torch.stack((b_th_0, b_th_0))
x = prob_th(A_th, b_th, solver_args={"eps": 1e-10})[0]
def lstsq(A, b):
return torch.linalg.solve(
A.t() @ A + torch.eye(n, dtype=torch.float64),
A.t() @ b,
)
x_lstsq = lstsq(A_th, b_th_0)
grad_A_cvxpy, grad_b_cvxpy = grad(x.sum(), [A_th, b_th])
grad_A_lstsq, grad_b_lstsq = grad(x_lstsq.sum(), [A_th, b_th_0])
assert torch.allclose(grad_A_cvxpy / 2.0, grad_A_lstsq, atol=1e-6)
assert torch.allclose(grad_b_cvxpy[0], grad_b_lstsq, atol=1e-6)
def test_shared_parameter():
rng = set_seed(243)
m, n = 10, 5
A = cp.Parameter((m, n))
x = cp.Variable(n)
b1 = rng.standard_normal(m)
b2 = rng.standard_normal(m)
prob1 = cp.Problem(cp.Minimize(cp.sum_squares(A @ x - b1)))
layer1 = CvxpyLayer(prob1, parameters=[A], variables=[x])
prob2 = cp.Problem(cp.Minimize(cp.sum_squares(A @ x - b2)))
layer2 = CvxpyLayer(prob2, parameters=[A], variables=[x])
A_th = torch.randn(m, n).double().requires_grad_()
solver_args = {
"eps": 1e-10,
"acceleration_lookback": 0,
"max_iters": 10000,
}
def f(A_th):
(x1,) = layer1(A_th, solver_args=solver_args)
(x2,) = layer2(A_th, solver_args=solver_args)
return torch.cat((x1, x2))
torch.autograd.gradcheck(f, A_th)
def test_equality():
_ = set_seed(243)
n = 10
A = np.eye(n)
x = cp.Variable(n)
b = cp.Parameter(n)
prob = cp.Problem(cp.Minimize(cp.sum_squares(x)), [A @ x == b])
layer = CvxpyLayer(prob, parameters=[b], variables=[x])
b_th = torch.randn(n).double().requires_grad_()
torch.autograd.gradcheck(layer, b_th)
@pytest.mark.skip
def test_basic_gp():
_ = set_seed(0)
x = cp.Variable(pos=True)
y = cp.Variable(pos=True)
z = cp.Variable(pos=True)
a = cp.Parameter(pos=True, value=2.0)
b = cp.Parameter(pos=True, value=1.0)
c = cp.Parameter(value=0.5)
objective_fn = 1 / (x * y * z)
constraints = [a * (x * y + x * z + y * z) <= b, x >= y**c]
problem = cp.Problem(cp.Minimize(objective_fn), constraints)
problem.solve(cp.CLARABEL, gp=True)
layer = CvxpyLayer(problem, parameters=[a, b, c], variables=[x, y, z], gp=True)
a_th = torch.tensor([2.0]).requires_grad_()
b_th = torch.tensor([1.0]).requires_grad_()
c_th = torch.tensor([0.5]).requires_grad_()
x_th, y_th, z_th = layer(a_th, b_th, c_th)
assert torch.allclose(torch.tensor(x.value), x_th, atol=1e-5)
assert torch.allclose(torch.tensor(y.value), y_th, atol=1e-5)
assert torch.allclose(torch.tensor(z.value), z_th, atol=1e-5)
def f(a, b, c):
res = layer(a, b, c, solver_args={"acceleration_lookback": 0})
return res[0].sum()
torch.autograd.gradcheck(f, (a_th, b_th, c_th), atol=1e-4)
@pytest.mark.skip
def test_batched_gp():
"""Test GP with batched parameters."""
_ = set_seed(0)
x = cp.Variable(pos=True)
y = cp.Variable(pos=True)
z = cp.Variable(pos=True)
# Batched parameters (need initial values for GP)
a = cp.Parameter(pos=True, value=2.0)
b = cp.Parameter(pos=True, value=1.0)
c = cp.Parameter(value=0.5)
# Objective and constraints
objective_fn = 1 / (x * y * z)
constraints = [a * (x * y + x * z + y * z) <= b, x >= y**c]
problem = cp.Problem(cp.Minimize(objective_fn), constraints)
# Create layer
layer = CvxpyLayer(problem, parameters=[a, b, c], variables=[x, y, z], gp=True)
# Batched parameters - test with batch size 4 (double precision)
# For scalar parameters, batching means 1D tensors
batch_size = 4
a_batch = torch.tensor([2.0, 1.5, 2.5, 1.8], dtype=torch.float64, requires_grad=True)
b_batch = torch.tensor([1.0, 1.2, 0.8, 1.5], dtype=torch.float64, requires_grad=True)
c_batch = torch.tensor([0.5, 0.6, 0.4, 0.5], dtype=torch.float64, requires_grad=True)
# Forward pass
x_batch, y_batch, z_batch = layer(a_batch, b_batch, c_batch)
# Check shapes - batched results are (batch_size,) for scalar variables
assert x_batch.shape == (batch_size,)
assert y_batch.shape == (batch_size,)
assert z_batch.shape == (batch_size,)
# Verify each batch element by solving individually
for i in range(batch_size):
a.value = a_batch[i].item()
b.value = b_batch[i].item()
c.value = c_batch[i].item()
problem.solve(cp.CLARABEL, gp=True)
assert torch.allclose(torch.tensor(x.value), x_batch[i], atol=1e-4, rtol=1e-4), (
f"Mismatch in batch {i} for x"
)
assert torch.allclose(torch.tensor(y.value), y_batch[i], atol=1e-4, rtol=1e-4), (
f"Mismatch in batch {i} for y"
)
assert torch.allclose(torch.tensor(z.value), z_batch[i], atol=1e-4, rtol=1e-4), (
f"Mismatch in batch {i} for z"
)
# Test gradients on batched problem
def f_batch(a, b, c):
res = layer(a, b, c, solver_args={"acceleration_lookback": 0})
return res[0].sum()
torch.autograd.gradcheck(f_batch, (a_batch, b_batch, c_batch), atol=1e-3, rtol=1e-3)
@pytest.mark.skip
def test_gp_without_param_values():
"""Test that GP layers can be created without setting parameter values."""
_ = set_seed(0)
x = cp.Variable(pos=True)
y = cp.Variable(pos=True)
z = cp.Variable(pos=True)
# Create parameters WITHOUT setting values (this is the key test!)
a = cp.Parameter(pos=True, name="a")
b = cp.Parameter(pos=True, name="b")
c = cp.Parameter(name="c")
# Build GP problem
objective_fn = 1 / (x * y * z)
constraints = [a * (x * y + x * z + y * z) <= b, x >= y**c]
problem = cp.Problem(cp.Minimize(objective_fn), constraints)
# This should work WITHOUT needing to set a.value, b.value, c.value
layer = CvxpyLayer(problem, parameters=[a, b, c], variables=[x, y, z], gp=True)
# Now use the layer with actual parameter values
a_th = torch.tensor([2.0], dtype=torch.float64, requires_grad=True)
b_th = torch.tensor([1.0], dtype=torch.float64, requires_grad=True)
c_th = torch.tensor([0.5], dtype=torch.float64, requires_grad=True)
# Forward pass
x_th, y_th, z_th = layer(a_th, b_th, c_th)
# Verify solution against CVXPY direct solve
a.value = 2.0
b.value = 1.0
c.value = 0.5
problem.solve(cp.CLARABEL, gp=True)
assert torch.allclose(torch.tensor(x.value), x_th, atol=1e-5)
assert torch.allclose(torch.tensor(y.value), y_th, atol=1e-5)
assert torch.allclose(torch.tensor(z.value), z_th, atol=1e-5)
# Test gradients
def f(a, b, c):
res = layer(a, b, c, solver_args={"acceleration_lookback": 0})
return res[0].sum()
torch.autograd.gradcheck(f, (a_th, b_th, c_th), atol=1e-4)
def test_no_grad_context():
n, m = 2, 3
x = cp.Variable(n)
A = cp.Parameter((m, n))
b = cp.Parameter(m)
constraints = [x >= 0]
objective = cp.Minimize(0.5 * cp.pnorm(A @ x - b, p=1))
problem = cp.Problem(objective, constraints)
assert problem.is_dpp()
cvxpylayer = CvxpyLayer(problem, parameters=[A, b], variables=[x])
A_tch = torch.randn(m, n)
b_tch = torch.randn(m)
with torch.no_grad():
(solution,) = cvxpylayer(A_tch, b_tch)
# These tensors should not require grad when in no_grad context
assert torch.is_tensor(solution)
assert not solution.requires_grad
def test_requires_grad_false():
n, m = 2, 3
x = cp.Variable(n)
A = cp.Parameter((m, n))
b = cp.Parameter(m)
constraints = [x >= 0]
objective = cp.Minimize(0.5 * cp.pnorm(A @ x - b, p=1))
problem = cp.Problem(objective, constraints)
assert problem.is_dpp()
cvxpylayer = CvxpyLayer(problem, parameters=[A, b], variables=[x])
A_tch = torch.randn(m, n, requires_grad=False)
b_tch = torch.randn(m, requires_grad=False)
# solve the problem
(solution,) = cvxpylayer(A_tch, b_tch)
# These tensors should not require grad when inputs don't require grad
assert torch.is_tensor(solution)
assert not solution.requires_grad
def test_batch_size_one_preserves_batch_dimension():
"""Test that batch_size=1 is different from unbatched.
When the input is explicitly batched with batch_size=1 (shape (1, n)),
the gradients should also be batched with shape (1, n), not unbatched (n,).
"""
n = 3
x = cp.Variable(n)
b = cp.Parameter(n)
# Simple quadratic problem: minimize ||x - b||^2
objective = cp.Minimize(cp.sum_squares(x - b))
problem = cp.Problem(objective)
cvxpylayer = CvxpyLayer(problem, parameters=[b], variables=[x])
# Create explicitly batched input with batch_size=1
b_batched = torch.randn(1, n, requires_grad=True) # Shape: (1, n)
# Solve
(x_batched,) = cvxpylayer(b_batched)
# Solution should be batched
assert x_batched.shape == (1, n), f"Expected shape (1, {n}), got {x_batched.shape}"
# Compute gradient
loss = x_batched.sum()
loss.backward()
# Gradient should preserve batch dimension
assert b_batched.grad is not None
assert b_batched.grad.shape == (1, n), (
f"Expected gradient shape (1, {n}), got {b_batched.grad.shape}. "
"Batch dimension should be preserved for batch_size=1."
)
@pytest.mark.skip
def test_solver_args_actually_used():
"""Test that solver_args actually affect the solver's behavior.
This verifies solver_args are truly passed to the solver by:
1. Solving with very restrictive max_iters (should give suboptimal solution)
2. Solving with normal settings (should give better solution)
3. Verifying the solutions differ, proving solver_args were used
"""
_ = set_seed(123)
m, n = 50, 20
A = cp.Parameter((m, n))
b = cp.Parameter(m)
x = cp.Variable(n)
obj = cp.sum_squares(A @ x - b) + 0.01 * cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(obj))
layer = CvxpyLayer(prob, [A, b], [x])
A_th = torch.randn(m, n).double()
b_th = torch.randn(m).double()
# Solve with very restrictive iterations (should stop early, suboptimal)
(x_restricted,) = layer(A_th, b_th, solver_args={"max_iters": 1})
# Solve with proper iterations (should converge to optimal)
(x_optimal,) = layer(A_th, b_th, solver_args={"max_iters": 10000, "eps": 1e-10})
# The solutions should differ if solver_args were actually used
# With only 1 iteration, the solution should be far from optimal
diff = torch.norm(x_restricted - x_optimal).item()
assert diff > 1e-3, (
f"Solutions with max_iters=1 and max_iters=10000 are too similar (diff={diff}). "
"This suggests solver_args are not being passed to the solver."
)
# The optimal solution should have much lower objective value
obj_restricted = (
torch.sum((A_th @ x_restricted - b_th) ** 2) + 0.01 * torch.sum(x_restricted**2)
).item()
obj_optimal = (
torch.sum((A_th @ x_optimal - b_th) ** 2) + 0.01 * torch.sum(x_optimal**2)
).item()
assert obj_optimal < obj_restricted, (
f"Optimal objective ({obj_optimal}) should be less than restricted ({obj_restricted}). "
"This suggests solver_args are not being used properly."
)
def test_nd_array_variable():
_ = set_seed(123)
m, n, k = 50, 20, 10
A = cp.Parameter((m, n))
b = cp.Parameter((m, k))
x = cp.Variable((n, k))
obj = cp.sum_squares(A @ x - b) + 0.01 * cp.sum_squares(x)
prob = cp.Problem(cp.Minimize(obj))
layer = CvxpyLayer(prob, [A, b], [x])
A_th = torch.randn(m, n).double()
b_th = torch.randn(m, k).double()
# Solve with very restrictive iterations (should stop early, suboptimal)
(x_th,) = layer(A_th, b_th)
A.value = A_th.numpy()
b.value = b_th.numpy()
prob.solve()
assert np.allclose(x.value, x_th.numpy(), atol=1e-4, rtol=1e-4)
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