[Utilities] allow penalty relaxation for ScalarNonlinear constraints

src/Utilities/penalty_relaxation.jl

@@ -71,71 +71,143 @@ function _change_sense_to_min_if_necessary(
     ::Type{T},
     model::MOI.ModelLike,
 ) where {T}
-    sense = MOI.get(model, MOI.ObjectiveSense())
-    if sense != MOI.FEASIBILITY_SENSE
-        return sense
+    if MOI.get(model, MOI.ObjectiveSense()) != MOI.FEASIBILITY_SENSE
+        return
     end
     MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
     f = zero(MOI.ScalarAffineFunction{T})
     MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
-    return MOI.MIN_SENSE
+    return
 end
 
-function MOI.modify(
+function _add_penalty_to_objective(
+    model::MOI.ModelLike,
+    ::Type{F},
+    penalty::MOI.ScalarAffineFunction{T},
+) where {
+    T,
+    F<:Union{
+        MOI.VariableIndex,
+        MOI.ScalarAffineFunction{T},
+        MOI.ScalarQuadraticFunction{T},
+        MOI.ScalarNonlinearFunction,
+    },
+}
+    f = MOI.get(model, MOI.ObjectiveFunction{F}())
+    g = if MOI.get(model, MOI.ObjectiveSense()) == MOI.MIN_SENSE
+        MOI.Utilities.operate(+, T, f, penalty)
+    else
+        MOI.Utilities.operate(-, T, f, penalty)
+    end
+    MOI.set(model, MOI.ObjectiveFunction{typeof(g)}(), g)
+    return
+end
+
+function _add_penalty_to_objective(
+    ::MOI.ModelLike,
+    ::Type{F},
+    ::MOI.ScalarAffineFunction,
+) where {F}
+    return error(
+        "Cannot perform `ScalarPenaltyRelaxation` with an objective function of type `$F`",
+    )
+end
+
+function _relax_constraint(
+    ::Type{T},
     model::MOI.ModelLike,
     ci::MOI.ConstraintIndex{F,<:MOI.AbstractScalarSet},
-    relax::ScalarPenaltyRelaxation{T},
 ) where {T,F<:Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}}}
-    sense = _change_sense_to_min_if_necessary(T, model)
-    y = MOI.add_variable(model)
-    z = MOI.add_variable(model)
-    MOI.add_constraint(model, y, MOI.GreaterThan(zero(T)))
-    MOI.add_constraint(model, z, MOI.GreaterThan(zero(T)))
-    MOI.modify(model, ci, MOI.ScalarCoefficientChange(y, one(T)))
-    MOI.modify(model, ci, MOI.ScalarCoefficientChange(z, -one(T)))
-    scale = sense == MOI.MIN_SENSE ? one(T) : -one(T)
-    a = scale * relax.penalty
-    O = MOI.get(model, MOI.ObjectiveFunctionType())
-    obj = MOI.ObjectiveFunction{O}()
-    MOI.modify(model, obj, MOI.ScalarCoefficientChange(y, a))
-    MOI.modify(model, obj, MOI.ScalarCoefficientChange(z, a))
-    return one(T) * y + one(T) * z
+    x = MOI.add_variables(model, 2)
+    MOI.add_constraint.(model, x, MOI.GreaterThan(zero(T)))
+    MOI.modify(model, ci, MOI.ScalarCoefficientChange(x[1], one(T)))
+    MOI.modify(model, ci, MOI.ScalarCoefficientChange(x[2], -one(T)))
+    return x
 end
 
-function MOI.modify(
+function _relax_constraint(
+    ::Type{T},
     model::MOI.ModelLike,
     ci::MOI.ConstraintIndex{F,MOI.GreaterThan{T}},
-    relax::ScalarPenaltyRelaxation{T},
 ) where {T,F<:Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}}}
-    sense = _change_sense_to_min_if_necessary(T, model)
-    # Performance optimization: we don't need the z relaxation variable.
-    y = MOI.add_variable(model)
-    MOI.add_constraint(model, y, MOI.GreaterThan(zero(T)))
-    MOI.modify(model, ci, MOI.ScalarCoefficientChange(y, one(T)))
-    scale = sense == MOI.MIN_SENSE ? one(T) : -one(T)
-    a = scale * relax.penalty
-    O = MOI.get(model, MOI.ObjectiveFunctionType())
-    obj = MOI.ObjectiveFunction{O}()
-    MOI.modify(model, obj, MOI.ScalarCoefficientChange(y, a))
-    return one(T) * y
+    x = MOI.add_variable(model)
+    MOI.add_constraint(model, x, MOI.GreaterThan(zero(T)))
+    MOI.modify(model, ci, MOI.ScalarCoefficientChange(x, one(T)))
+    return [x]
 end
 
-function MOI.modify(
+function _relax_constraint(
+    ::Type{T},
     model::MOI.ModelLike,
     ci::MOI.ConstraintIndex{F,MOI.LessThan{T}},
-    relax::ScalarPenaltyRelaxation{T},
 ) where {T,F<:Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}}}
-    sense = _change_sense_to_min_if_necessary(T, model)
-    # Performance optimization: we don't need the y relaxation variable.
-    z = MOI.add_variable(model)
-    MOI.add_constraint(model, z, MOI.GreaterThan(zero(T)))
-    MOI.modify(model, ci, MOI.ScalarCoefficientChange(z, -one(T)))
-    scale = sense == MOI.MIN_SENSE ? one(T) : -one(T)
-    a = scale * relax.penalty
+    x = MOI.add_variable(model)
+    MOI.add_constraint(model, x, MOI.GreaterThan(zero(T)))
+    MOI.modify(model, ci, MOI.ScalarCoefficientChange(x, -one(T)))
+    return [x]
+end
+
+function _relax_constraint(
+    ::Type{T},
+    model::MOI.ModelLike,
+    ci::MOI.ConstraintIndex{MOI.ScalarNonlinearFunction,S},
+) where {T,S<:MOI.AbstractScalarSet}
+    x, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
+    y, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
+    f = MOI.get(model, MOI.ConstraintFunction(), ci)
+    g = MOI.ScalarNonlinearFunction(
+        :+,
+        Any[f, x, MOI.ScalarNonlinearFunction(:-, Any[y])],
+    )
+    MOI.set(model, MOI.ConstraintFunction(), ci, g)
+    return [x, y]
+end
+
+function _relax_constraint(
+    ::Type{T},
+    model::MOI.ModelLike,
+    ci::MOI.ConstraintIndex{MOI.ScalarNonlinearFunction,MOI.GreaterThan{T}},
+) where {T}
+    x, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
+    f = MOI.get(model, MOI.ConstraintFunction(), ci)
+    g = MOI.ScalarNonlinearFunction(:+, [f, x])
+    MOI.set(model, MOI.ConstraintFunction(), ci, g)
+    return [x]
+end
+
+function _relax_constraint(
+    ::Type{T},
+    model::MOI.ModelLike,
+    ci::MOI.ConstraintIndex{MOI.ScalarNonlinearFunction,MOI.LessThan{T}},
+) where {T}
+    x, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
+    f = MOI.get(model, MOI.ConstraintFunction(), ci)
+    g = MOI.ScalarNonlinearFunction(:-, [f, x])
+    MOI.set(model, MOI.ConstraintFunction(), ci, g)
+    return [x]
+end
+
+function MOI.modify(
+    model::MOI.ModelLike,
+    ci::MOI.ConstraintIndex{F,<:MOI.AbstractScalarSet},
+    relax::ScalarPenaltyRelaxation{T},
+) where {
+    T,
+    F<:Union{
+        MOI.ScalarAffineFunction{T},
+        MOI.ScalarQuadraticFunction{T},
+        MOI.ScalarNonlinearFunction,
+    },
+}
+    x = _relax_constraint(T, model, ci)
+    p = MOI.ScalarAffineFunction(
+        MOI.ScalarAffineTerm.(relax.penalty, x),
+        zero(T),
+    )
+    _change_sense_to_min_if_necessary(T, model)
     O = MOI.get(model, MOI.ObjectiveFunctionType())
-    obj = MOI.ObjectiveFunction{O}()
-    MOI.modify(model, obj, MOI.ScalarCoefficientChange(z, a))
-    return one(T) * z
+    _add_penalty_to_objective(model, O, p)
+    return MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(one(T), x), zero(T))
 end
 
 """
@@ -270,13 +342,20 @@ end
 
 function MOI.modify(model::MOI.ModelLike, relax::PenaltyRelaxation{T}) where {T}
     map = Dict{MOI.ConstraintIndex,MOI.ScalarAffineFunction{T}}()
+    penalty_expr = zero(MOI.ScalarAffineFunction{T})
     for (F, S) in MOI.get(model, MOI.ListOfConstraintTypesPresent())
-        _modify_penalty_relaxation(map, model, relax, F, S)
+        _modify_penalty_relaxation(penalty_expr, map, model, relax, F, S)
+    end
+    if !isempty(penalty_expr.terms)
+        _change_sense_to_min_if_necessary(T, model)
+        O = MOI.get(model, MOI.ObjectiveFunctionType())
+        _add_penalty_to_objective(model, O, penalty_expr)
     end
     return map
 end
 
 function _modify_penalty_relaxation(
+    penalty_expr::MOI.ScalarAffineFunction{T},
     map::Dict{MOI.ConstraintIndex,MOI.ScalarAffineFunction{T}},
     model::MOI.ModelLike,
     relax::PenaltyRelaxation,
@@ -289,9 +368,14 @@ function _modify_penalty_relaxation(
             continue
         end
         try
-            map[ci] = MOI.modify(model, ci, ScalarPenaltyRelaxation(penalty))
+            x = _relax_constraint(T, model, ci)
+            map[ci] = MOI.ScalarAffineFunction(
+                MOI.ScalarAffineTerm.(one(T), x),
+                zero(T),
+            )
+            append!(penalty_expr.terms, MOI.ScalarAffineTerm{T}.(penalty, x))
         catch err
-            if err isa MethodError && err.f == MOI.modify
+            if err isa MethodError && err.f == _relax_constraint
                 if relax.warn
                     @warn(
                         "Skipping PenaltyRelaxation for ConstraintIndex{$F,$S}"

test/Utilities/penalty_relaxation.jl

@@ -84,6 +84,40 @@ function test_relax_no_warn()
     return
 end
 
+function test_relax_variable_index_objective()
+    _test_roundtrip(
+        """
+        variables: x, y
+        minobjective: x
+        c1: x + y <= 1.0
+        """,
+        """
+        variables: x, y, a
+        minobjective: 1.0 * x + 1.0 * a
+        c1: x + y + -1.0 * a <= 1.0
+        a >= 0.0
+        """,
+    )
+    return
+end
+
+function test_relax_scalar_nonlinear_objective()
+    _test_roundtrip(
+        """
+        variables: x, y
+        minobjective: ScalarNonlinearFunction(exp(x))
+        c1: x + y <= 1.0
+        """,
+        """
+        variables: x, y, a
+        minobjective: ScalarNonlinearFunction(+(exp(x), esc(1.0 * a)))
+        c1: x + y + -1.0 * a <= 1.0
+        a >= 0.0
+        """,
+    )
+    return
+end
+
 function test_relax_affine_lessthan()
     _test_roundtrip(
         """
@@ -238,6 +272,58 @@ function test_relax_quadratic_greaterthanthan()
     return
 end
 
+function test_relax_scalarnonlinear_lessthan()
+    _test_roundtrip(
+        """
+        variables: x
+        maxobjective: 1.0 * x
+        c1: ScalarNonlinearFunction(log(x)) <= 1.0
+        """,
+        """
+        variables: x, a
+        maxobjective: 1.0 * x + -1.0 * a
+        c1: ScalarNonlinearFunction(log(x) - a) <= 1.0
+        a >= 0.0
+        """,
+    )
+    return
+end
+
+function test_relax_scalarnonlinear_greaterthan()
+    _test_roundtrip(
+        """
+        variables: x
+        maxobjective: 1.0 * x
+        c1: ScalarNonlinearFunction(log(x)) >= 1.0
+        """,
+        """
+        variables: x, a
+        maxobjective: 1.0 * x + -1.0 * a
+        c1: ScalarNonlinearFunction(log(x) + a) >= 1.0
+        a >= 0.0
+        """,
+    )
+    return
+end
+
+function test_relax_scalarnonlinear_equalto()
+    _test_roundtrip(
+        """
+        variables: x
+        minobjective: 1.0 * x
+        c1: ScalarNonlinearFunction(log(x)) == 1.0
+        """,
+        """
+        variables: x, a, b
+        minobjective: 1.0 * x + 1.0 * a + 1.0 * b
+        c1: ScalarNonlinearFunction(+(log(x), a, -b)) == 1.0
+        a >= 0.0
+        b >= 0.0
+        """,
+    )
+    return
+end
+
 function test_penalty_dict()
     model = MOI.Utilities.Model{Float64}()
     x = MOI.add_variable(model)
@@ -373,6 +459,22 @@ function test_scalar_penalty_relaxation()
     return
 end
 
+function test_scalar_penalty_relaxation_vector_objective()
+    model = MOI.Utilities.Model{Float64}()
+    x = MOI.add_variable(model)
+    c = MOI.add_constraint(model, 1.0 * x, MOI.LessThan(2.0))
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+    f = MOI.VectorOfVariables([x])
+    MOI.set(model, MOI.ObjectiveFunction{MOI.VectorOfVariables}(), f)
+    @test_throws(
+        ErrorException(
+            "Cannot perform `ScalarPenaltyRelaxation` with an objective function of type `$(typeof(f))`",
+        ),
+        MOI.modify(model, c, MOI.Utilities.ScalarPenaltyRelaxation(2.0)),
+    )
+    return
+end
+
 end  # module
 
 TestPenaltyRelaxation.runtests()