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Merge pull request #821 from JuliaOpt/bl/variable_rsoc_to_psd
Add Variable.RSOCtoPSD
2 parents 351269c + ae71c8b commit a04646c

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‎src/Bridges/Variable/Variable.jl‎

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@@ -19,5 +19,7 @@ include("zeros.jl")
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const Zeros{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{ZerosBridge{T}, OT}
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include("flip_sign.jl")
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const NonposToNonneg{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{NonposToNonnegBridge{T}, OT}
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include("rsoc_to_psd.jl")
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const RSOCtoPSD{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{RSOCtoPSDBridge{T}, OT}
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end

‎src/Bridges/Variable/rsoc_to_psd.jl‎

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"""
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RSOCtoPSDBridge{T} <: Bridges.Variable.AbstractBridge
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Transforms constrained variables in [`MathOptInterface.RotatedSecondOrderCone`](@ref)
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to constrained variables in [`MathOptInterface.PositiveSemidefiniteConeTriangle`](@ref).
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"""
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struct RSOCtoPSDBridge{T} <: AbstractBridge
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# `t` is `variables[1]`
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# `u` is `variables[2]/2`
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# `x` is `variables[[3, 5, 8, ...]]`
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variables::Vector{MOI.VariableIndex}
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psd::MOI.ConstraintIndex{MOI.VectorOfVariables, MOI.PositiveSemidefiniteConeTriangle}
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off_diag::Vector{MOI.ConstraintIndex{MOI.SingleVariable, MOI.EqualTo{T}}}
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diag::Vector{MOI.ConstraintIndex{MOI.ScalarAffineFunction{T}, MOI.EqualTo{T}}}
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end
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function bridge_constrained_variable(::Type{RSOCtoPSDBridge{T}},
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model::MOI.ModelLike,
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set::MOI.RotatedSecondOrderCone) where T
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dim = set.dimension - 1
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variables, psd = MOI.add_constrained_variables(
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model, MOI.PositiveSemidefiniteConeTriangle(dim))
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# This is `2 * u`
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u2 = MOI.SingleVariable(variables[3])
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off_diag = MOI.ConstraintIndex{MOI.SingleVariable, MOI.EqualTo{T}}[]
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diag = MOI.ConstraintIndex{MOI.ScalarAffineFunction{T}, MOI.EqualTo{T}}[]
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k = 3
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for j in 3:dim
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k += 1
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for i in 2:(j-1)
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k += 1
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push!(off_diag,
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MOI.add_constraint(model, MOI.SingleVariable(variables[k]),
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MOI.EqualTo(zero(T))))
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end
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k += 1
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func = MOIU.operate(-, T, u2, MOI.SingleVariable(variables[k]))
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push!(diag, MOI.add_constraint(model, func, MOI.EqualTo(zero(T))))
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end
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@assert k == trimap(dim, dim)
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return RSOCtoPSDBridge{T}(variables, psd, off_diag, diag)
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end
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function supports_constrained_variable(
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::Type{<:RSOCtoPSDBridge}, ::Type{MOI.RotatedSecondOrderCone})
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return true
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end
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function MOIB.added_constrained_variable_types(::Type{<:RSOCtoPSDBridge})
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return [(MOI.PositiveSemidefiniteConeTriangle,)]
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end
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function MOIB.added_constraint_types(::Type{RSOCtoPSDBridge{T}}) where T
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return [(MOI.SingleVariable, MOI.EqualTo{T}), (MOI.ScalarAffineFunction{T}, MOI.EqualTo{T})]
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end
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# Attributes, Bridge acting as a model
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function MOI.get(bridge::RSOCtoPSDBridge, ::MOI.NumberOfVariables)
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return length(bridge.variables)
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end
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function MOI.get(bridge::RSOCtoPSDBridge, ::MOI.ListOfVariableIndices)
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return bridge.variables
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end
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function MOI.get(bridge::RSOCtoPSDBridge,
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::MOI.NumberOfConstraints{MOI.VectorOfVariables,
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MOI.PositiveSemidefiniteConeTriangle})
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return 1
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end
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function MOI.get(bridge::RSOCtoPSDBridge,
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::MOI.ListOfConstraintIndices{MOI.VectorOfVariables,
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MOI.PositiveSemidefiniteConeTriangle})
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return [bridge.psd]
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end
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function MOI.get(bridge::RSOCtoPSDBridge{T},
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::MOI.NumberOfConstraints{MOI.SingleVariable,
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MOI.EqualTo{T}}) where T
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return length(bridge.off_diag)
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end
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function MOI.get(bridge::RSOCtoPSDBridge{T},
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::MOI.ListOfConstraintIndices{MOI.SingleVariable,
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MOI.EqualTo{T}}) where T
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return bridge.off_diag
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end
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function MOI.get(bridge::RSOCtoPSDBridge{T},
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::MOI.NumberOfConstraints{MOI.ScalarAffineFunction{T},
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MOI.EqualTo{T}}) where T
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return length(bridge.diag)
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end
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function MOI.get(bridge::RSOCtoPSDBridge{T},
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::MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{T},
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MOI.EqualTo{T}}) where T
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return bridge.diag
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end
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# References
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function MOI.delete(model::MOI.ModelLike, bridge::RSOCtoPSDBridge)
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for ci in bridge.diag
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MOI.delete(model, ci)
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end
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MOI.delete(model, bridge.variables)
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end
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# Attributes, Bridge acting as a constraint
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function MOI.get(::MOI.ModelLike, ::MOI.ConstraintSet,
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bridge::RSOCtoPSDBridge{T}) where T
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return MOI.RotatedSecondOrderCone(length(bridge.diag) + 3)
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end
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function trimap(i::Integer, j::Integer)
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if i < j
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return trimap(j, i)
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else
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return div((i-1) * i, 2) + j
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end
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end
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function _variable_map(i::IndexInVector)
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if i.value == 1
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return 1
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elseif i.value == 2
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return 3
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else
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return trimap(1, i.value - 1)
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end
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end
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function _variable(bridge::RSOCtoPSDBridge, i::IndexInVector)
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return bridge.variables[_variable_map(i)]
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end
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function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintPrimal,
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bridge::RSOCtoPSDBridge{T}) where T
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values = MOI.get(model, attr, bridge.psd)
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n = MOI.dimension(MOI.get(model, MOI.ConstraintSet(), bridge))
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mapped = [values[_variable_map(IndexInVector(i))] for i in 1:n]
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mapped[2] /= 2
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return mapped
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end
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function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintDual,
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bridge::RSOCtoPSDBridge{T}) where T
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dual = MOI.get(model, attr, bridge.psd)
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n = MOI.dimension(MOI.get(model, MOI.ConstraintSet(), bridge))
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mapped = [dual[_variable_map(IndexInVector(i))] for i in 1:n]
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for ci in bridge.diag
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mapped[2] += MOI.get(model, attr, ci)
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end
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for i in 2:length(mapped)
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# For `i = 2`, we multiply by 2 because it is `2u`.
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# For `i > 2`, we multiply by 2 because to account for the difference
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# of scalar product `MOIU.set_dot`.
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mapped[i] *= 2
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end
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return mapped
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end
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function MOI.get(model::MOI.ModelLike, attr::MOI.VariablePrimal,
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bridge::RSOCtoPSDBridge{T}, i::IndexInVector) where T
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value = MOI.get(model, attr, _variable(bridge, i))
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if i.value == 2
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return value / 2
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else
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return value
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end
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end
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function MOIB.bridged_function(bridge::RSOCtoPSDBridge{T}, i::IndexInVector) where T
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func = MOI.SingleVariable(_variable(bridge, i))
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if i.value == 2
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return MOIU.operate(/, T, func, convert(T, 2))
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else
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return convert(MOI.ScalarAffineFunction{T}, func)
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end
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end
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function unbridged_map(bridge::RSOCtoPSDBridge{T}, vi::MOI.VariableIndex,
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i::IndexInVector) where T
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sv = MOI.SingleVariable(vi)
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if i.value == 2
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func = MOIU.operate(*, T, convert(T, 2), sv)
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else
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func = convert(MOI.ScalarAffineFunction{T}, sv)
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end
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return (_variable(bridge, i) => func,)
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end

‎test/Bridges/Variable/Variable.jl‎

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@testset "FlipSign" begin
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include("flip_sign.jl")
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end
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@testset "RSOCtoPSD" begin
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include("rsoc_to_psd.jl")
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end

‎test/Bridges/Variable/rsoc_to_psd.jl‎

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using Test
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using MathOptInterface
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const MOI = MathOptInterface
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const MOIT = MathOptInterface.Test
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const MOIU = MathOptInterface.Utilities
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const MOIB = MathOptInterface.Bridges
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include("../utilities.jl")
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mock = MOIU.MockOptimizer(MOIU.Model{Float64}())
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config = MOIT.TestConfig()
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bridged_mock = MOIB.Variable.RSOCtoPSD{Float64}(mock)
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@testset "RSOC4" begin
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mock.optimize! = (mock::MOIU.MockOptimizer) -> MOIU.mock_optimize!(mock, [1.0, 1.0, 2.0, 1.0, 0.0, 2.0],
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(MOI.ScalarAffineFunction{Float64}, MOI.EqualTo{Float64}) => [0.25],
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(MOI.SingleVariable, MOI.EqualTo{Float64}) => [-0.5],
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(MOI.ScalarAffineFunction{Float64}, MOI.LessThan{Float64}) => [-1.0],
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(MOI.VectorOfVariables, MOI.PositiveSemidefiniteConeTriangle) => [[1.0, -0.5, 0.25, -0.5, 0.25, 0.25]])
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mock.eval_variable_constraint_dual = false
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MOIT.rotatedsoc4test(bridged_mock, config)
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mock.eval_variable_constraint_dual = true
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@testset "Test mock model" begin
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var_names = ["Q$i$j" for j in 1:3 for i in 1:j]
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MOI.set(
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mock, MOI.VariableName(),
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MOI.get(mock, MOI.ListOfVariableIndices()), var_names)
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psd = MOI.get(mock, MOI.ListOfConstraintIndices{
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MOI.VectorOfVariables, MOI.PositiveSemidefiniteConeTriangle}())
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@test length(psd) == 1
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MOI.set(mock, MOI.ConstraintName(), psd[1], "psd")
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off_diag = MOI.get(mock, MOI.ListOfConstraintIndices{
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MOI.SingleVariable, MOI.EqualTo{Float64}}())
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@test length(off_diag) == 1
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MOI.set(mock, MOI.ConstraintName(), off_diag[1], "off_diag23")
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diag = MOI.get(mock, MOI.ListOfConstraintIndices{
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MOI.ScalarAffineFunction{Float64}, MOI.EqualTo{Float64}}())
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@test length(diag) == 1
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MOI.set(mock, MOI.ConstraintName(), diag[1], "diag33")
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c = MOI.get(mock, MOI.ListOfConstraintIndices{
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MOI.ScalarAffineFunction{Float64}, MOI.LessThan{Float64}}())
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@test length(c) == 1
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MOI.set(mock, MOI.ConstraintName(), c[1], "c")
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s = """
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variables: Q11, Q12, Q13, Q22, Q23, Q33
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psd: [Q11, Q12, Q22, Q13, Q23, Q33] in MathOptInterface.PositiveSemidefiniteConeTriangle(3)
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off_diag23: Q23 == 0.0
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diag33: Q22 + -1.0Q33 == 0.0
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c: Q11 + 0.5Q22 <= 2.0
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maxobjective: Q12 + Q13
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"""
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model = MOIU.Model{Float64}()
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MOIU.loadfromstring!(model, s)
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MOIU.test_models_equal(mock, model, var_names, ["psd", "off_diag23", "diag33", "c"])
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end
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@testset "Test bridged model" begin
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var_names = ["t", "u", "x", "y"]
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MOI.set(
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bridged_mock, MOI.VariableName(),
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MOI.get(bridged_mock, MOI.ListOfVariableIndices()), var_names)
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rsoc = MOI.get(bridged_mock, MOI.ListOfConstraintIndices{
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MOI.VectorOfVariables, MOI.RotatedSecondOrderCone}())
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@test length(rsoc) == 1
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MOI.set(bridged_mock, MOI.ConstraintName(), rsoc[1], "rsoc")
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c = MOI.get(bridged_mock, MOI.ListOfConstraintIndices{
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MOI.ScalarAffineFunction{Float64}, MOI.LessThan{Float64}}())
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@test length(c) == 1
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MOI.set(bridged_mock, MOI.ConstraintName(), c[1], "c")
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s = """
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variables: t, u, x, y
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rsoc: [t, u, x, y] in MathOptInterface.RotatedSecondOrderCone(4)
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c: t + u <= 2.0
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maxobjective: x + y
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"""
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model = MOIU.Model{Float64}()
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MOIU.loadfromstring!(model, s)
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MOIU.test_models_equal(bridged_mock, model, var_names, ["rsoc", "c"])
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end
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@testset "Delete" begin
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v = MOI.get(bridged_mock, MOI.ListOfVariableIndices())
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@test length(v) == 4
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message = string("Cannot delete variable as it is constrained with other",
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" variables in a `MOI.VectorOfVariables`.")
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for i in 1:4
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err = MOI.DeleteNotAllowed(v[i], message)
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@test_throws err MOI.delete(bridged_mock, v[i])
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end
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test_delete_bridged_variables(bridged_mock, v, MOI.RotatedSecondOrderCone, 4, (
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(MOI.VectorOfVariables, MOI.PositiveSemidefiniteConeTriangle, 0),
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(MOI.SingleVariable, MOI.EqualTo{Float64}, 0),
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(MOI.ScalarAffineFunction{Float64}, MOI.EqualTo{Float64}, 0),
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))
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end
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end

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