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How to use CUDA? #180

Description

@rydeveraumn

Hello all,

I was following this discussion here: https://github.com/orgs/osqp/discussions/681

import numpy as np
import scipy.sparse as spa
from osqp import OSQP


class HuberExample:

    def __init__(self, n, seed=1):
        np.random.seed(seed)

        self.n = int(n)  # Number of features
        self.m = int(self.n * 100)  # Number of data-points

        self.Ad = spa.random(self.m, self.n, density=0.15, data_rvs=np.random.randn)
        self.x_true = np.random.randn(n) / np.sqrt(n)
        ind95 = (np.random.rand(self.m) < 0.95).astype(float)
        self.bd = (
            self.Ad.dot(self.x_true)
            + np.multiply(0.5 * np.random.randn(self.m), ind95)
            + np.multiply(10.0 * np.random.rand(self.m), 1.0 - ind95)
        )

    def get_problem(self):
        # Construct the problem
        #       minimize    1/2 z.T * z + np.ones(m).T * (r + s)
        #       subject to  Ax - b - z = r - s
        #                   r >= 0
        #                   s >= 0
        # The problem reformulation follows from Eq. (24) of the following paper:
        # https://doi.org/10.1109/34.877518
        # x_solver = (x, z, r, s)
        Im = spa.eye(self.m)
        P = spa.block_diag(
            (
                spa.csc_matrix((self.n, self.n)),
                Im,
                spa.csc_matrix((2 * self.m, 2 * self.m)),
            ),
            format="csc",
        )
        q = np.hstack([np.zeros(self.n + self.m), np.ones(2 * self.m)])
        A = spa.bmat(
            [[self.Ad, -Im, -Im, Im], [None, None, Im, None], [None, None, None, Im]],
            format="csc",
        )
        l = np.hstack([self.bd, np.zeros(2 * self.m)])
        u = np.hstack([self.bd, np.inf * np.ones(2 * self.m)])

        # Constraints without bounds
        A_nobounds = spa.hstack([self.Ad, -Im, -Im, Im], format="csc")
        l_nobounds = self.bd
        u_nobounds = self.bd

        # Bounds
        lx = np.hstack([-np.inf * np.ones(self.n + self.m), np.zeros(2 * self.m)])
        ux = np.inf * np.ones(self.n + 3 * self.m)
        bounds_idx = np.arange(self.n + self.m, self.n + 3 * self.m)

        problem = {}
        problem["P"] = P
        problem["q"] = q
        problem["A"] = A
        problem["l"] = l
        problem["u"] = u
        problem["m"] = A.shape[0]
        problem["n"] = A.shape[1]
        problem["A_nobounds"] = A_nobounds
        problem["l_nobounds"] = l_nobounds
        problem["u_nobounds"] = u_nobounds
        problem["bounds_idx"] = bounds_idx
        problem["lx"] = lx
        problem["ux"] = ux

        return problem


# if __name__ == "__main__":

settings = {
    "eps_abs": 0.001,
    "eps_rel": 0.001,
    "polish": False,
    "max_iter": 1000000000,
    "eps_prim_inf": 1e-15,
    "eps_dual_inf": 1e-15,
    "verbose": False,
    "time_limit": 1000.0,
    "adaptive_rho_tolerance": 5,
    "verbose": True
}

problem = HuberExample(200).get_problem()

solvers = [
    OSQP(),
    OSQP(algebra="cuda")
]

for solver in solvers:
    solver.setup(
        problem['P'],
        problem['q'],
        problem['A'],
        problem['l'],
        problem['u'],
        **settings
    )

    print(f"Solving using {solver}")
    solver.solve()

Does anyone know why I am getting this run time error:

Image

Here is my device info:

Image

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