CVXOPTKLU

KLU Add-On for CVXOPT, Python Software for Convex Optimization

This repository is a fork of the CVXOPT with KLU fork by Uriel Sandoval (@sanurielf).

• CVXOPT Website
• CVXOPT with KLU

FAQ

Q: "A must be square sparse matrix" error when calling klu.linsolve A: This happens when you passed a scipy.sparse matrix to klu.linsolve, which only takes cvxopt.spmatrix. Use the following wrapper:

def klu_linsolve(A, b):
    """
    KLU wrapper function for linear system solve A x = b (author: @SanPen)
    :param A: System matrix
    :param b: right hand side
    :return: solution
    """
    A2 = A.tocoo()
    A_cvxopt = cvxopt.spmatrix(A2.data, A2.row, A2.col, A2.shape, 'd')
    x = cvxopt.matrix(b)
    klu.linsolve(A_cvxopt, x)
    return np.array(x)[:, 0]