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Merge pull request #823 from JuliaOpt/bl/variable_vectorize_bridge
Add Variable.VectorizeBridge
2 parents a04646c + 8034332 commit a1db9f4

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+293
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‎src/Bridges/Variable/Variable.jl‎

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@@ -19,6 +19,8 @@ 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("vectorize.jl")
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const Vectorize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{VectorizeBridge{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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‎src/Bridges/Variable/vectorize.jl‎

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@@ -0,0 +1,113 @@
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"""
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VectorizeBridge{T, S}
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Transforms a constrained variable in `scalar_set_type(S, T)` where
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`S <: VectorLinearSet` into a constrained vector of one variable in `S`. For
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instance, `VectorizeBridge{Float64, MOI.Nonnegatives}` transforms a constrained
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variable in `MOI.GreaterThan{Float64}` into a constrained vector of one
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variable in `MOI.Nonnegatives`.
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"""
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mutable struct VectorizeBridge{T, S} <: AbstractBridge
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variable::MOI.VariableIndex
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vector_constraint::MOI.ConstraintIndex{MOI.VectorOfVariables, S}
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set_constant::T # constant in scalar set
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end
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function bridge_constrained_variable(
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::Type{VectorizeBridge{T, S}},
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model::MOI.ModelLike, set::MOIU.ScalarLinearSet{T}) where {T, S}
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set_constant = MOI.constant(set)
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variables, vector_constraint = MOI.add_constrained_variables(model, S(1))
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return VectorizeBridge{T, S}(variables[1], vector_constraint, set_constant)
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end
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function supports_constrained_variable(
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::Type{VectorizeBridge{T}}, ::Type{<:MOIU.ScalarLinearSet{T}}) where T
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return true
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end
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function MOIB.added_constrained_variable_types(::Type{VectorizeBridge{T, S}}) where {T, S}
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return [(S,)]
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end
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function MOIB.added_constraint_types(::Type{<:VectorizeBridge})
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return Tuple{DataType, DataType}[]
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end
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function concrete_bridge_type(::Type{<:VectorizeBridge{T}},
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S::Type{<:MOIU.ScalarLinearSet{T}}) where T
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return VectorizeBridge{T, MOIU.vector_set_type(S)}
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end
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# Attributes, Bridge acting as a model
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function MOI.get(bridge::VectorizeBridge, ::MOI.NumberOfVariables)
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return 1
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end
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function MOI.get(bridge::VectorizeBridge, ::MOI.ListOfVariableIndices)
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return [bridge.variable]
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end
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function MOI.get(::VectorizeBridge{T, S},
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::MOI.NumberOfConstraints{MOI.VectorOfVariables, S}) where {T, S}
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return 1
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end
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function MOI.get(bridge::VectorizeBridge{T, S},
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::MOI.ListOfConstraintIndices{MOI.VectorOfVariables, S}) where {T, S}
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return [bridge.vector_constraint]
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end
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# References
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function MOI.delete(model::MOI.ModelLike, bridge::VectorizeBridge)
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MOI.delete(model, bridge.variable)
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end
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# Attributes, Bridge acting as a constraint
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function MOI.get(model::MOI.ModelLike, ::MOI.ConstraintSet,
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bridge::VectorizeBridge{T, S}) where {T, S}
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return MOIU.scalar_set_type(S, T)(bridge.set_constant)
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end
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function MOI.set(model::MOI.ModelLike, attr::MOI.ConstraintSet,
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bridge::VectorizeBridge, new_set::MOIU.ScalarLinearSet)
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# This would require modifing any constraint which uses the bridged
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# variable.
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throw(MOI.SetAttributeNotAllowed(attr,
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"The variable `$(bridge.variable)` is bridged by the `VectorizeBridge`."))
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end
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function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintPrimal,
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bridge::VectorizeBridge)
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x = MOI.get(model, attr, bridge.vector_constraint)
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@assert length(x) == 1
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y = x[1]
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if !MOIU.is_ray(MOI.get(model, MOI.PrimalStatus(attr.N)))
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# If it is an infeasibility certificate, it is a ray and satisfies the
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# homogenized problem, see https://github.com/JuliaOpt/MathOptInterface.jl/issues/433
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# Otherwise, we need to add the set constant since the ConstraintPrimal
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# is defined as the value of the function and the set_constant was
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# removed from the original function
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y += bridge.set_constant
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end
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return y
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end
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function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintDual,
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bridge::VectorizeBridge)
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x = MOI.get(model, attr, bridge.vector_constraint)
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@assert length(x) == 1
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return x[1]
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end
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function MOI.get(model::MOI.ModelLike, attr::MOI.VariablePrimal,
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bridge::VectorizeBridge)
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value = MOI.get(model, attr, bridge.variable)
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if !MOIU.is_ray(MOI.get(model, MOI.PrimalStatus(attr.N)))
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value += bridge.set_constant
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end
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return value
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end
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function MOIB.bridged_function(bridge::VectorizeBridge{T}) where T
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func = MOI.SingleVariable(bridge.variable)
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return MOIU.operate(+, T, func, bridge.set_constant)
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end
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function unbridged_map(bridge::VectorizeBridge{T}, vi::MOI.VariableIndex) where T
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func = MOIU.operate(-, T, MOI.SingleVariable(vi),
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bridge.set_constant)
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return (bridge.variable => func,)
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end

‎src/Bridges/bridge_optimizer.jl‎

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@@ -999,13 +999,11 @@ scalar.
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function unbridged_constraint_function end
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function unbridged_constraint_function(
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b::AbstractBridgeOptimizer,
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func::Union{MOI.AbstractVectorSet, MOI.SingleVariable}
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)
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b::AbstractBridgeOptimizer, func::MOI.AbstractVectorFunction)
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return unbridged_function(b, func)
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end
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function unbridged_constraint_function(b::AbstractBridgeOptimizer,
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func::MOI.AbstractScalarFunction)
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function unbridged_constraint_function(
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b::AbstractBridgeOptimizer, func::MOI.AbstractScalarFunction)
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if !Variable.has_bridges(Variable.bridges(b))
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return func
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end
@@ -1017,8 +1015,8 @@ function unbridged_constraint_function(b::AbstractBridgeOptimizer,
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return f
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end
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function unbridged_constraint_function(
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::AbstractBridgeOptimizer, func::MOI.AbstractVectorFunction)
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return func
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b::AbstractBridgeOptimizer, func::MOI.SingleVariable)
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return unbridged_function(b, func)
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end
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‎test/Bridges/Variable/Variable.jl‎

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@@ -8,6 +8,9 @@ end
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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 "Vectorize" begin
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include("vectorize.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/vectorize.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.Vectorize{Float64}(mock)
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@testset "get scalar constraint" begin
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x, cx = MOI.add_constrained_variable(bridged_mock, MOI.GreaterThan(1.0))
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fx = MOI.SingleVariable(x)
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func = 2.0 * fx
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set = MOI.GreaterThan(5.0)
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err = MOI.ScalarFunctionConstantNotZero{
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Float64, typeof(func), typeof(set)}(1.0)
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@test_throws err MOI.add_constraint(bridged_mock, func + 1.0, set)
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c = MOI.add_constraint(bridged_mock, func, set)
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@test MOI.get(bridged_mock, MOI.ConstraintFunction(), c) ≈ func
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@test MOI.get(bridged_mock, MOI.ConstraintSet(), c) == set
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MOI.set(bridged_mock, MOI.ConstraintName(), c, "c")
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@testset "Mock model" begin
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MOI.set(mock, MOI.VariableName(),
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MOI.get(mock, MOI.ListOfVariableIndices()), ["y"])
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MOI.set(mock, MOI.ConstraintName(),
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MOI.get(mock, MOI.ListOfConstraintIndices{
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MOI.VectorOfVariables, MOI.Nonnegatives}()),
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["cy"])
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s = """
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variables: y
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cy: [y] in MathOptInterface.Nonnegatives(1)
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c: 2.0y >= 3.0
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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, ["y"], ["cy", "c"])
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end
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@testset "Bridged model" begin
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MOI.set(bridged_mock, MOI.VariableName(), x, "x")
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MOI.set(bridged_mock, MOI.ConstraintName(), cx, "cx")
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s = """
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variables: x
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cx: x >= 1.0
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c: 2.0x >= 5.0
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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, ["x"], ["cx", "c"])
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end
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end
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@testset "exp3 with add_constrained_variable for `y`" begin
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mock.optimize! = (mock::MOIU.MockOptimizer) -> MOIU.mock_optimize!(mock, [log(5), 0.0],
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(MOI.ScalarAffineFunction{Float64}, MOI.LessThan{Float64}) => [0.0],
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(MOI.VectorAffineFunction{Float64}, MOI.ExponentialCone) => [[-1.0, log(5)-1, 1/5]])
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MOI.empty!(bridged_mock)
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x = MOI.add_variable(bridged_mock)
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@test MOI.get(bridged_mock, MOI.NumberOfVariables()) == 1
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fx = MOI.SingleVariable(x)
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xc = MOI.add_constraint(bridged_mock, 2.0fx, MOI.LessThan(4.0))
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y, yc = MOI.add_constrained_variable(bridged_mock, MOI.LessThan(5.0))
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@test yc.value == y.value == -1
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@test MOI.get(bridged_mock, MOI.NumberOfVariables()) == 2
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@test length(MOI.get(bridged_mock, MOI.ListOfVariableIndices())) == 2
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@test Set(MOI.get(bridged_mock, MOI.ListOfVariableIndices())) == Set([x, y])
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fy = MOI.SingleVariable(y)
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ec = MOI.add_constraint(bridged_mock,
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MOIU.operate(vcat, Float64, fx, 1.0, fy),
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MOI.ExponentialCone())
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MOI.optimize!(bridged_mock)
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@test MOI.get(bridged_mock, MOI.VariablePrimal(), x) ≈ log(5)
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@test MOI.get(bridged_mock, MOI.VariablePrimal(), y) ≈ 5.0
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@test MOI.get(bridged_mock, MOI.ConstraintPrimal(), xc) ≈ 2log(5)
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@test MOI.get(bridged_mock, MOI.ConstraintPrimal(), yc) ≈ 5
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@test MOI.get(bridged_mock, MOI.ConstraintPrimal(), ec) ≈ [log(5), 1., 5.0]
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@test MOI.get(bridged_mock, MOI.ConstraintDual(), xc) ≈ 0.0
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@test MOI.get(bridged_mock, MOI.ConstraintDual(), yc) ≈ -1/5
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@test MOI.get(bridged_mock, MOI.ConstraintDual(), ec) ≈ [-1., log(5)-1, 1/5]
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90+
err = ErrorException(
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"Cannot add two `SingleVariable`-in-`MathOptInterface.LessThan{Float64}`" *
92+
" on the same variable MathOptInterface.VariableIndex(-1)."
93+
)
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@test_throws err MOI.add_constraint(bridged_mock, MOI.SingleVariable(y), MOI.LessThan(4.0))
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cis = MOI.get(bridged_mock, MOI.ListOfConstraintIndices{
97+
MOI.VectorAffineFunction{Float64}, MOI.ExponentialCone}())
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@test length(cis) == 1
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@testset "get `UnknownVariableAttribute``" begin
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err = ArgumentError(
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"Variable bridge of type `MathOptInterface.Bridges.Variable.VectorizeBridge{Float64,MathOptInterface.Nonpositives}`" *
103+
" does not support accessing the attribute `MathOptInterface.Test.UnknownVariableAttribute()`."
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)
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@test_throws err MOI.get(bridged_mock, MOIT.UnknownVariableAttribute(), y)
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end
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@testset "set `ConstraintSet`" begin
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ci = MOI.ConstraintIndex{MOI.SingleVariable, MOI.LessThan{Float64}}(y.value)
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attr = MOI.ConstraintSet()
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err = MOI.SetAttributeNotAllowed(attr,
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"The variable `MathOptInterface.VariableIndex(12345676)` is bridged by the `VectorizeBridge`.")
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@test_throws err MOI.set(bridged_mock, attr, ci, MOI.LessThan(4.0))
114+
end
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@testset "MultirowChange" begin
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change = MOI.MultirowChange(y, [(3, 0.0)])
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message = "The change MathOptInterface.MultirowChange{Float64}(MathOptInterface.VariableIndex(-1), Tuple{Int64,Float64}[(3, 0.0)])" *
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" contains variables bridged into a function with nonzero constant."
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err = MOI.ModifyConstraintNotAllowed(cis[1], change, message)
121+
@test_throws err MOI.modify(bridged_mock, cis[1], change)
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end
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@testset "ScalarCoefficientChange" begin
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change = MOI.ScalarCoefficientChange(y, 0.0)
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attr = MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}()
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message = "The change MathOptInterface.ScalarCoefficientChange{Float64}(MathOptInterface.VariableIndex(-1), 0.0)" *
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" contains variables bridged into a function with nonzero constant."
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err = MOI.ModifyObjectiveNotAllowed(change, message)
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@test_throws err MOI.modify(bridged_mock, attr, change)
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end
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MOI.set(bridged_mock, MOI.VariableName(), x, "x")
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MOI.set(bridged_mock, MOI.ConstraintName(), xc, "xc")
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MOI.set(bridged_mock, MOI.ConstraintName(), ec, "ec")
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@testset "Mock model" begin
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MOI.set(mock, MOI.VariableName(),
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MOI.get(mock, MOI.ListOfVariableIndices())[2], "z")
139+
MOI.set(mock, MOI.ConstraintName(),
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MOI.get(mock, MOI.ListOfConstraintIndices{
141+
MOI.VectorOfVariables, MOI.Nonpositives}()),
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["zc"])
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s = """
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variables: x, z
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zc: [z] in MathOptInterface.Nonpositives(1)
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xc: 2.0x <= 4.0
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ec: [x, 1.0, z + 5.0] in MathOptInterface.ExponentialCone()
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"""
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model = MOIU.Model{Float64}()
150+
MOIU.loadfromstring!(model, s)
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MOIU.test_models_equal(mock, model, ["x", "z"], ["zc", "xc", "ec"])
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end
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@testset "Bridged model" begin
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MOI.set(bridged_mock, MOI.VariableName(), y, "y")
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MOI.set(bridged_mock, MOI.ConstraintName(), yc, "yc")
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s = """
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variables: x, y
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yc: y <= 5.0
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xc: 2.0x <= 4.0
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ec: [x, 1.0, y] in MathOptInterface.ExponentialCone()
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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, ["x", "y"], ["yc", "xc", "ec"])
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end
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test_delete_bridged_variable(bridged_mock, y, MOI.LessThan{Float64}, 2, (
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(MOI.VectorOfVariables, MOI.Nonpositives, 0),
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))
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end

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