CVXPY benchmarks

Code and data related to CVXPY benchmarks.

Motivation

Performance is an important consideration for the development of CVXPY. The goal of this repo is to collect real-world examples of cvxpy problems and to make it easy to generate standardized benchmark reports.

Getting started

To start benchmarking the CVXPY with Airspeed Velocity, clone this repository on your local system and install the dependencies. Then run the benchmarks against the latest commit on CVXPY by:

asv run

To run a particular benchmark use:

asv run --bench CVaRBenchmark

You can also collect and view the results on a viewable website:

asv run
asv publish
asv preview

Adding a benchmark

To create and test your own benchmark, you need to perform the following steps:

• Create a python file in the folder benchmark/.
• Create a class in this file, with the class name being the name of your benchmark. This class has to define 2 functions:
  • setup()
  • time_compile_problem()
• Add the definition of the CVXPY problem to the setup() function of the class.
• The time_compile_problem() function should only contain the call to get_problem_data.
• Run and test the benchmark inside the local environment on your system. Ideally, the benchmark should take between 5 and 10 seconds.
• Merge and check if it is correctly picked up by cvxpy/cvxpy repository and displayed on the dashboard.