cvxgrp / CVXR

An R modeling language for convex optimization problems.

Home Page:https://cvxr.rbind.io/

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Speed impact of ::get_problem_data

Rias9371J opened this issue · comments

I know the package has just been updated with a lot of new changes especially to the internals of get_problem_data(). After updating my code and syntax, I am finding significant speed hits (evaluated using profvis, with upwards of ~10 times slower w.r.t. 0.99-7 in some iterative cases). Without getting too much into the technical implementation of my code; I was wondering if this was something known and if not let this be an early flag.

What happens if you don't use get_problem_data()? How fast is it? We're still in the process of updating some documentation, although we have made a comment to the effect that the old statements regarding get_problem_data() may no longer apply; see warning 2. Very soon, we will also have warm starts.

Using get_problem_data() is definitely still faster than using without it - this applies to both 0.99-7 and 1; but version 1 (~1s) is remarkable slower than 0.99-7 (~0.6s). I read warning 2 and I agree/think it's fine if there was little to no speed increases with newer iterations; especially if the speed of the code is within 3 times the human reaction time. Let's keep this issue open, I'll post a watered down example of the code here for investigation -