Improve heuristic for selecting rho for DR-DAQP

CMakeLists.txt

@@ -1,5 +1,5 @@
 cmake_minimum_required(VERSION 3.10)
-project(daqp VERSION 0.8.4)
+project(daqp VERSION 0.8.5)
 
 
 include(GNUInstallDirs)

interfaces/daqp-python/setup.py

@@ -45,7 +45,7 @@
         include_dirs=[str(csrc_dir / 'include')])
 
 setup(name='daqp',
-        version='0.8.5',
+        version='0.8.6',
         description='DAQP: A dual active-set QP solver',
         url='http://github.com/darnstrom/daqp',
         author='Daniel Arnström',

src/utils.c

@@ -472,19 +472,29 @@ int daqp_update_avi(DAQPAVI* avi, DAQPProblem* p){
     // Setup matrices Hsym, Hs_rho, and H_rho, LU_H
     int i,j,disp;
     c_float val;
+    c_float min_diag = DAQP_INF;
+    c_float max_row_sum = 0.0;
+    c_float fro_norm_sq = 0.0;
     avi->rho = 0.0;
     for (i = 0, disp=0; i < n; i++) {
+        c_float row_sum = 0.0;
         for (j = 0; j < n; j++, disp++) {
             val = (p->H[disp] + p->H[j * n + i]) * 0.5;
             avi->Hsym[disp] = val;
             avi->Hs_rho[disp] = val;
             avi->H_rho[disp] = p->H[disp];
             avi->LU_H[disp] = p->H[disp];
-            avi->rho += p->H[disp] * p->H[disp];
+            row_sum += (val < 0.0) ? -val : val;
+            fro_norm_sq += p->H[disp] * p->H[disp];
+            if(i == j && val < min_diag) min_diag = val;
         }
+        if(row_sum > max_row_sum) max_row_sum = row_sum;
     }
     // Regularization
-    avi->rho = sqrt(avi->rho)/2;
+    if(min_diag > 0.0 && max_row_sum > 0.0)
+        avi->rho = sqrt(min_diag * max_row_sum);
+    else
+        avi->rho = sqrt(fro_norm_sq)/2;
     for(i=0,disp=0; i<n;i++){
         avi->Hs_rho[disp] += avi->rho;
         avi->H_rho[disp] += avi->rho;