scs-python

Python interface for SCS 3.0.0 and higher. The full documentation is available here.

Installation

pip install scs

On x86-64 Linux the manylinux (glibc) wheels include the MKL Pardiso direct linear solver (MKL linked statically into _scs_mkl, single-threaded) and use it automatically: it is faster than the built-in QDLDL solver for most problems, often dramatically so on larger ones, and nothing extra needs to be installed. Intel's license notice ships in the wheel as LICENSE-INTEL-MKL.txt. Every other wheel falls back to QDLDL.

To install from source:

git clone --recursive https://github.com/bodono/scs-python.git
cd scs-python
pip install .

Linear solver backends

SCS supports several linear solver backends. The default is AUTO, which selects the best available solver for the platform:

• macOS: QDLDL (Apple Accelerate is available via LinearSolver.ACCELERATE)
• Linux / Windows: MKL Pardiso if available, otherwise QDLDL

import numpy as np
import scipy.sparse as sp
import scs

# A minimal LP:  maximize x  subject to  0 <= x <= 1
data = {
    "A": sp.csc_matrix(np.array([[1.0], [-1.0]])),
    "b": np.array([1.0, 0.0]),
    "c": np.array([-1.0]),
}
cone = {"l": 2}

# Auto-detect best backend (default)
solver = scs.SCS(data, cone)

# Explicitly select a solver
solver = scs.SCS(data, cone, linear_solver=scs.LinearSolver.QDLDL)

Available values: AUTO, QDLDL, CPU_INDIRECT, MKL, ACCELERATE, CPU_DENSE, GPU_INDIRECT, CUDSS.

The pre-built wheels (pip install scs) link OpenBLAS on Linux and Windows, and Apple Accelerate on macOS; the x86-64 manylinux wheels also ship the MKL Pardiso backend (see Installation). MKL is linked statically rather than bundled as shared libraries, whose dlopen'd CPU dispatch kernels wheel-repair tools cannot see (cvxgrp/scs#423). The MKL backend is also available in source builds (e.g. conda environments providing MKL), where additional backends can be enabled with build-time flags:

# MKL Pardiso direct solver
pip install . -Csetup-args=-Dlink_mkl=true

# Use 64-bit BLAS/LAPACK integers (ILP64 / BLAS64). Requires the MKL
# backend (-Dlink_mkl=true): standard system BLAS (Accelerate/OpenBLAS)
# is LP64 and the build rejects the combination as unsafe.
pip install . -Csetup-args=-Dlink_mkl=true -Csetup-args=-Duse_blas64=true

# GPU direct solver (cuDSS)
pip install . -Csetup-args=-Dlink_cudss=true -Csetup-args=-Dint32=true

# Dense direct solver (LAPACK)
pip install . -Csetup-args=-Duse_lapack=true

# Spectral cones (logdet, nuclear norm, ell-1, sum-of-largest)
pip install . -Csetup-args=-Duse_spectral_cones=true

Notes:

• x86-64 manylinux wheels ship a _scs_mkl extension with sequential MKL linked statically (CI asserts the shipped inventory and that no wheel carries a dynamic MKL dependency). The musllinux, aarch64, macOS and Windows wheels do not include the MKL backend; Windows source builds use sequential MKL because Intel's conda pkg-config metadata for the threaded variant is still broken.
• Windows wheels link conda-forge OpenBLAS pinned to 0.3.33: the win-64 0.3.34 build crashes inside its DGEMM kernels on AMD Zen 4/5 CPUs that expose AVX-512 (conda-forge/openblas-feedstock#196), so Windows source builds should avoid that build too.
• BLAS64 is a general SCS build mode for ILP64 BLAS/LAPACK libraries, not an MKL-only feature.
• For the MKL Pardiso backend specifically, BLAS64 must be paired with 64-bit SCS integers (DLONG / int32=false), and SCS now fails early if another library in the process has already fixed MKL to an incompatible LP64/ILP64 interface layer.

Usage

import numpy as np
import scipy.sparse as sp
import scs

np.random.seed(0)  # so the printed status below is reproducible

m, n = 4, 2
A = sp.random(m, n, density=0.5, format="csc")
b = np.random.randn(m)
c = np.random.randn(n)
P = sp.eye(n, format="csc")

cone = {"l": m}  # non-negative cone
data = {"P": P, "A": A, "b": b, "c": c}

solver = scs.SCS(data, cone, verbose=False)
sol = solver.solve()

print(sol["info"]["status"])  # 'solved'
print(sol["info"]["aa_stats"])  # Anderson acceleration diagnostics
print(sol["x"])               # primal solution

Anderson acceleration tuning

SCS applies Anderson acceleration (AA) on top of ADMM. The defaults work well for most problems, but the following settings can be tuned:

# Type-II AA with tighter regularization
solver = scs.SCS(data, cone,
                 acceleration_type_1=0,
                 acceleration_regularization=1e-12)

See the acceleration docs for the underlying algorithm.

Cone types

The cone dict supports the following keys:

With -Duse_spectral_cones=true:

See the cone documentation for mathematical definitions and data layout details.

Testing

pip install pytest
pytest test/