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Remove trivial constraints form split_zero and fix index mapping of psd #3

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Oct 23, 2020
Merged

Remove trivial constraints form split_zero and fix index mapping of psd #3

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52 changes: 39 additions & 13 deletions src/Bridges/Constraint/split_zero.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -14,17 +14,30 @@ end
similar_type(::Type{<:MOI.VectorAffineFunction}, T::Type) = MOI.VectorAffineFunction{T}

struct SplitZeroBridge{T, F<:MOI.Utilities.TypedLike{T}, G<:MOI.Utilities.TypedLike{Complex{T}}} <: MOI.Bridges.Constraint.AbstractBridge
real::MOI.ConstraintIndex{F, MOI.Zeros}
imag::MOI.ConstraintIndex{F, MOI.Zeros}
dimension::Int
constraint::MOI.ConstraintIndex{F, MOI.Zeros}
real_indices::Vector{Int}
imag_indices::Vector{Int}
end
function _nonzero_indices(func::MOI.AbstractVectorFunction)
return [i for (i, scalar_func) in enumerate(MOIU.scalarize(func)) if !iszero(scalar_func)]
end
function MOI.Bridges.Constraint.bridge_constraint(
::Type{SplitZeroBridge{T, F, G}}, model::MOI.ModelLike,
f::G,
set::MOI.Zeros
) where {T, F, G}
real_con = MOI.add_constraint(model, operate_coefficients(real, T, f), set)
imag_con = MOI.add_constraint(model, operate_coefficients(imag, T, f), set)
return SplitZeroBridge{T, F, G}(real_con, imag_con)
real_part = operate_coefficients(real, T, f)
imag_part = operate_coefficients(imag, T, f)
real_indices = _nonzero_indices(real_part)
imag_indices = _nonzero_indices(imag_part)
func = MOIU.operate(
vcat, T,
MOIU.eachscalar(real_part)[real_indices],
MOIU.eachscalar(imag_part)[imag_indices]
)
constraint = MOI.add_constraint(model, func, MOI.Zeros(length(real_indices) + length(imag_indices)))
return SplitZeroBridge{T, F, G}(MOI.dimension(set), constraint, real_indices, imag_indices)
end

function MOI.supports_constraint(
Expand All @@ -45,17 +58,16 @@ end
# Attributes, Bridge acting as a model
function MOI.get(::SplitZeroBridge{T, F},
::MOI.NumberOfConstraints{F, MOI.Zeros}) where {T, F}
return 2
return 1
end
function MOI.get(bridge::SplitZeroBridge{T, F},
::MOI.ListOfConstraintIndices{F, MOI.Zeros}) where {T, F}
return [bridge.real, bridge.imag]
return [bridge.constraint]
end

# Indices
function MOI.delete(model::MOI.ModelLike, bridge::SplitZeroBridge)
MOI.delete(model, bridge.imag)
MOI.delete(model, bridge.real)
MOI.delete(model, bridge.constraint)
end

# Attributes, Bridge acting as a constraint
Expand All @@ -68,10 +80,24 @@ function MOI.supports(
end
function MOI.get(model::MOI.ModelLike, attr::Union{MOI.ConstraintPrimal, MOI.ConstraintPrimalStart, MOI.ConstraintDual, MOI.ConstraintDualStart},
bridge::SplitZeroBridge)
return MOI.get(model, attr, bridge.real) + im * MOI.get(model, attr, bridge.imag)
values = MOI.get(model, attr, bridge.constraint)
output = zeros(Complex{eltype(values)}, bridge.dimension)
for (i, idx) in enumerate(bridge.real_indices)
output[idx] = values[i]
end
for (i, idx) in enumerate(bridge.imag_indices)
output[idx] = values[length(bridge.real_indices) + i] * im
end
return output
end
function MOI.set(model::MOI.ModelLike, attr::Union{MOI.ConstraintPrimalStart, MOI.ConstraintDualStart},
bridge::SplitZeroBridge, value)
MOI.set(model, attr, bridge.real, map(real, value))
MOI.set(model, attr, bridge.imag, map(imag, value))
bridge::SplitZeroBridge{T}, value) where T
input = Vector{T}(undef, length(bridge.real_indices) + length(bridge.imag_indices))
for (i, idx) in enumerate(bridge.real_indices)
input[i] = real(value[idx])
end
for (i, idx) in enumerate(bridge.imag_indices)
input[length(bridge.real_indices) + i] = imag(value[idx])
end
MOI.set(model, attr, bridge.constraint, input)
end
12 changes: 7 additions & 5 deletions src/Bridges/Variable/psd.jl
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Expand Up @@ -56,28 +56,30 @@ function MOIB.Variable.bridge_constrained_variable(
k22 = MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(n))
X11() = MOI.SingleVariable(variables[k11])
X12() = MOI.SingleVariable(variables[k12])
X21() = MOI.SingleVariable(variables[k21])
function X21(i, j)
I = j
J = n + i
k21 = MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(J - 1)) + I
return MOI.SingleVariable(variables[k21])
end
X22() = MOI.SingleVariable(variables[k22])
con_11_22 = EQ{T}[]
con12diag = EQ{T}[]
con_12_21 = EQ{T}[]
for j in 1:n
k21 -= n + 1 - j
k22 += n
for i in 1:j
k11 += 1
k12 += 1
k21 -= 1
k22 += 1
push!(con_11_22, MOI.add_constraint(model, MOI.Utilities.operate(-, T, X11(), X22()), MOI.EqualTo(zero(T))))
if i == j
push!(con12diag, MOI.add_constraint(model, convert(MOI.ScalarAffineFunction{T}, X12()), MOI.EqualTo(zero(T))))
else
push!(con_12_21, MOI.add_constraint(model, MOI.Utilities.operate(+, T, X21(), X12()), MOI.EqualTo(zero(T))))
push!(con_12_21, MOI.add_constraint(model, MOI.Utilities.operate(+, T, X21(i, j), X12()), MOI.EqualTo(zero(T))))
end
end
k12 += n
k21 -= n - j
end

return HermitianToSymmetricPSDBridge(variables, psd_constraint, con_11_22, con12diag, con_12_21)
Expand Down
48 changes: 46 additions & 2 deletions test/runtests.jl
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Expand Up @@ -49,7 +49,23 @@ function projection_test(optimizer, config)
@test MOI.get(optimizer, MOI.ConstraintDual(), cx) ≈ dual atol=atol rtol=rtol
end

function zero_test(optimizer, config)
function hermitian_psd_test(optimizer, config)
atol = config.atol
rtol = config.rtol

MOI.empty!(optimizer)
set = COI.HermitianPositiveSemidefiniteConeTriangle(3)
x, cx = MOI.add_constrained_variables(optimizer, set)
fx = MOI.SingleVariable.(x)
MOI.add_constraints(optimizer, fx, MOI.EqualTo.([1.0, 0.0, 1.0, 0.0, 0.0, 0.0, -1.0, 0.0, 0.0]))
MOI.optimize!(optimizer)
primal = [1.0, 0.0, 1.0, 0.0, 0.0, 0.0, -1.0, 0.0, 0.0]
@test MOI.get(optimizer, MOI.VariablePrimal(), x) ≈ primal atol=atol rtol=rtol
@test MOI.get(optimizer, MOI.ConstraintPrimal(), cx) ≈ primal atol=atol rtol=rtol
@test MOI.get(optimizer, MOI.ConstraintDual(), cx) ≈ zeros(9) atol=atol rtol=rtol
end

function zero_1_test(optimizer, config)
atol = config.atol
rtol = config.rtol

Expand All @@ -71,14 +87,42 @@ function zero_test(optimizer, config)
@test MOI.get(optimizer, MOI.ConstraintDual(), c) ≈ [0.0 + 0.0im] atol=atol rtol=rtol
end

function zero_2_test(optimizer, config)
atol = config.atol
rtol = config.rtol

MOI.empty!(optimizer)
x, cx = MOI.add_constrained_variables(optimizer, MOI.Nonnegatives(1))
fx = MOI.SingleVariable.(x)
func = (1.0 + 0.0im) * fx[1] + 1.0im * fx[1] - 2.0im - (1.0 + 0.0im) * fx[1]
c = MOI.add_constraint(
optimizer,
MOI.Utilities.operate(vcat, Complex{Float64}, func),
MOI.Zeros(1)
)
MOI.optimize!(optimizer)
@test MOI.get(optimizer, MOI.TerminationStatus()) == MOI.OPTIMAL
@test MOI.get(optimizer, MOI.VariablePrimal(), x) ≈ [2.0] atol=atol rtol=rtol
@test MOI.get(optimizer, MOI.ConstraintPrimal(), cx) ≈ [2.0] atol=atol rtol=rtol
@test MOI.get(optimizer, MOI.ConstraintDual(), cx) ≈ zeros(1) atol=atol rtol=rtol
@test MOI.get(optimizer, MOI.ConstraintPrimal(), c) ≈ [0.0 + 0.0im] atol=atol rtol=rtol
@test MOI.get(optimizer, MOI.ConstraintDual(), c) ≈ [0.0 + 0.0im] atol=atol rtol=rtol
end

import CSDP
@testset "CSDP" begin
config = MOI.Test.TestConfig(atol=1e-4, rtol=1e-4)
bridged = MOI.instantiate(CSDP.Optimizer, with_bridge_type=Float64)
MOI.Bridges.add_bridge(bridged, COI.Bridges.Variable.HermitianToSymmetricPSDBridge{Float64})
projection_test(bridged, config)
hermitian_psd_test(bridged, config)
bridged = MOI.Bridges.LazyBridgeOptimizer(MOI.Utilities.CachingOptimizer(MOI.Utilities.Model{Float64}(), CSDP.Optimizer()))
MOI.Bridges.add_bridge(bridged, MOI.Bridges.Constraint.ScalarizeBridge{Float64})
MOI.Bridges.add_bridge(bridged, COI.Bridges.Constraint.SplitZeroBridge{Float64})
zero_test(bridged, config)
zero_1_test(bridged, config)
cis = MOI.get(bridged.model, MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{Float64}, MOI.EqualTo{Float64}}())
@test length(cis) == 2
zero_2_test(bridged, config)
cis = MOI.get(bridged.model, MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{Float64}, MOI.EqualTo{Float64}}())
@test length(cis) == 1
end