Cholinc in quad_form.m has been removed in MATLAB 13

1

When I tried to run cvx in MATLAB 13 using the quad_form function the program has returned an error stating that cholinc has been removed and ichol should be used instead.
And so I wonder if we can replace the following line (line 148 in quad_form.m):

R = cholinc( Q( prm, prm ), 'inf' );

by

R = ichol( Q( prm, prm ));

Thx!

2

I am working on a fix. I do not believe the ichol replacement is sufficient, I’m afraid.

EDIT: If you would like to edit cvx/functions/@cvx yourself, you can replace lines 145-166 with this code. This is my candidate for the new quad_form.m … it hasn’t been fully tested yet but it has checked out so far.

EDIT: Here’s a new version, that does better with certain types of rank deficiency. Still being tested.

    if cvx_use_sparse( Q ),
        Q = sparse( Q );
        [ R, p, prm ] = chol( Q, 'upper', 'vector' );
    else
        Q = full( Q );
        [ R, p ] = chol( Q, 'upper' );
        prm = [];
    end
    if p ~= 0,
        [ R, DD, prm ] = ldl( Q, 'upper', 'vector' );
        tt = diag(DD,1) == 0;
        tt = [ tt ; true ] & [ true ; tt ] & diag(DD) > tolLDL * trQ;
        DD = diag(DD);
        R  = bsxfun( @times, sqrt( DD(tt,:) ), R(tt,:) );
    end
    if ~isempty(prm) && any( diff(prm) ~= 1 ),
        R( :, prm ) = R;
    end
    valid = size( R, 1 ) == size( R, 2 );
    if ~valid,
        valid = norm( Q - R' * R, 'fro' ) < tol * norm( Q, 'fro' );
    end
3

I’ve updated the CVX distribution to include a fix, although the code specifically listed above is still being tested.

4

I obtain different solutions on a QP when using the old version of CVX (with cholinc) and the new CVX version 2.0 (beta). The old CVX version was giving solutions identical to the CPLEX QP solver cplexqp. The inconsistent results between cplexqp and CVX 2.0 (beta) are observed with the default CVX solvers as well as gurobi.

5

Is it possible for you to send me a bug report? I would like to fix this ASAP. I’ve run a number of numerical tests on quad_form though, through each possible “branch” of the code, so I’d definitely need a concrete example (with data) that reproduces your error.

6

Actually, I did find a potential source of the problem, and I have uploaded a fix. You may want to try this latest build of the package.

7

It seems to work fine now.

8

Question:

I have corrected quad_form as @mcg suggested:
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

if cvx_use_sparse( Q ),
    Q = sparse( Q );
    [ R, p, prm ] = chol( Q, 'upper', 'vector' );
else
    Q = full( Q );
    [ R, p ] = chol( Q, 'upper' );
    prm = [];
end
if p ~= 0,
    [ R, DD, prm ] = ldl( Q, 'upper', 'vector' );
    tt = diag(DD,1) == 0;
    tt = [ tt ; true ] & [ true ; tt ] & diag(DD) > tolLDL * trQ;
    DD = diag(DD);
    R  = bsxfun( @times, sqrt( DD(tt,:) ), R(tt,:) );
end
if ~isempty(prm) && any( diff(prm) ~= 1 ),
    R( :, prm ) = R;
end
valid = size( R, 1 ) == size( R, 2 );
if ~valid,
    valid = norm( Q - R' * R, 'fro' ) < tol * norm( Q, 'fro' );
end

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

but Matlab ask me what is “tolLDL”:
“Undefined function or variable ‘tolLDL’.”

Would you please help me with this!