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Extend support of LinearQuadratic interface in NonlinearToLPQPBridge. #229

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Oct 26, 2018
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Extend support of LinearQuadratic interface in NonlinearToLPQPBridge. #229

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250 changes: 235 additions & 15 deletions src/SolverInterface/nonlinear_to_lpqp.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,13 @@ getdata(q::QuadConstr) = q.linearidx, q.linearval, q.quadrowidx, q.quadcolidx, q

mutable struct NonlinearToLPQPBridge <: AbstractLinearQuadraticModel
nlpmodel::AbstractNonlinearModel
LPdata
A::Union{SparseMatrixCSC{Float64,Int64}, <: AbstractMatrix{Float64}}
l::Vector{Float64}
u::Vector{Float64}
c::Vector{Float64}
lb::Vector{Float64}
ub::Vector{Float64}
sense::Symbol
Qobj::Tuple{Vector{Int},Vector{Int},Vector{Float64}}
Qconstr::Vector{QuadConstr}
numvar::Int
Expand All @@ -26,17 +32,234 @@ mutable struct NonlinearToLPQPBridge <: AbstractLinearQuadraticModel
end

function NonlinearToLPQPBridge(m::AbstractNonlinearModel)
return NonlinearToLPQPBridge(m,nothing,(Int[],Int[],Float64[]),QuadConstr[],0,0,Float64[],Symbol[])
return NonlinearToLPQPBridge(m,Matrix{Float64}(undef,0,0),Vector{Float64}(),Vector{Float64}(),Vector{Float64}(),Vector{Float64}(),Vector{Float64}(),:Min,(Int[],Int[],Float64[]),QuadConstr[],0,0,Float64[],Symbol[])
end

export NonlinearToLPQPBridge

function loadproblem!(model::NonlinearToLPQPBridge, A, l, u, c, lb, ub, sense)
model.LPdata = (A,l,u,c,lb,ub,sense)
model.A = A
model.l = l
model.u = u
model.c = c
model.lb = lb
model.ub = ub
model.sense = sense
model.numvar = size(A,2)
model.numconstr = size(A,1)
end

function getvarLB(model::NonlinearToLPQPBridge)
return model.l
end

function setvarLB!(model::NonlinearToLPQPBridge, l::Vector)
if length(l) != model.numvar
error("Invalid size of l")
end
model.l .= l
return nothing
end

function getvarUB(model::NonlinearToLPQPBridge)
return model.u
end

function setvarUB!(model::NonlinearToLPQPBridge, u::Vector)
if length(u) != model.numvar
error("Invalid size of u")
end
model.u .= u
return nothing
end

function getconstrLB(model::NonlinearToLPQPBridge)
return model.lb
end

function setconstrLB!(model::NonlinearToLPQPBridge, lb::Vector)
if length(lb) != model.numconstr
error("Invalid size of lb")
end
model.lb .= lb
return nothing
end

function getconstrUB(model::NonlinearToLPQPBridge)
return model.ub
end

function setconstrUB!(model::NonlinearToLPQPBridge, ub::Vector)
if length(ub) != model.numconstr
error("Invalid size of ub")
end
model.ub .= ub
return nothing
end

function getobj(model::NonlinearToLPQPBridge)
return model.c
end

function setobj!(model::NonlinearToLPQPBridge, c::Vector)
if length(c) != model.numvar
error("Invalid size of c")
end
model.c .= c
return nothing
end

function getconstrmatrix(model::NonlinearToLPQPBridge)
return model.A
end

function addvar!(model::NonlinearToLPQPBridge, constridx::Vector, coeffs::Vector, l::Real, u::Real, objcoeff::Real)
if length(constridx) != length(coeffs)
error("constridx and coeffs have different legths")
end
model.numvar += 1
push!(model.l, l)
push!(model.u, u)
push!(model.c, objcoeff)
_addvar!(model, model.A, constridx, coeffs)
return nothing
end

function _addvar!(model::NonlinearToLPQPBridge, A::SparseMatrixCSC, constridx::Vector, coeffs::Vector)
I,J,V = findnz(A)
for (idx,coeff) in zip(constridx, coeffs)
push!(I, idx)
push!(J, model.numvar)
push!(V, coeff)
end
model.A = sparse(I,J,V,model.numconstr,model.numvar)
return nothing
end

function _addvar!(model::NonlinearToLPQPBridge, A::Matrix, constridx::Vector, coeffs::Vector)
newcol = zeros(model.numconstr,1)
newcol[constridx] = coeffs
model.A = hcat(A,newcol)
return nothing
end

function delvars!(model::NonlinearToLPQPBridge, rmidx::Vector)
sort!(rmidx)
rmidx = unique(rmidx)
deleteat!(model.l, rmidx)
deleteat!(model.u, rmidx)
deleteat!(model.c, rmidx)
delvars!(model, model.A, rmidx)
return nothing
end

function delvars!(model::NonlinearToLPQPBridge, A::SparseMatrixCSC, rmidx::Vector)
I = Vector{Int}()
J = Vector{Int}()
V = Vector{Float64}()
rows = rowvals(A)
vals = nonzeros(A)
m, n = size(A)
for j = 1:n
for r in nzrange(A, j)
i = rows[r]
v = vals[r]
if j ∉ rmidx
push!(I, i)
push!(J, j)
push!(V, v)
end
end
end
n -= length(rmidx)
model.numvar = n
model.A = sparse(I,J,V,m,n)
return nothing
end

function delvars!(model::NonlinearToLPQPBridge, A::Matrix, rmidx::Vector)
model.A = A[:, setdiff(1:size(A,2), rmidx)]
model.numvar -= length(rmidx)
return nothing
end

function addconstr!(model::NonlinearToLPQPBridge, colidx::Vector, coeffs::Vector, lb::Real, ub::Real)
if length(colidx) != length(coeffs)
error("colidx and coeffs have different legths")
end
push!(model.lb, lb)
push!(model.ub, ub)
model.numconstr += 1
addconstr!(model, model.A, colidx, coeffs)
return nothing
end

function addconstr!(model::NonlinearToLPQPBridge, A::SparseMatrixCSC, colidx::Vector, coeffs::Vector)
I,J,V = findnz(A)
for (idx,coeff) in zip(colidx, coeffs)
push!(I, model.numconstr)
push!(J, idx)
push!(V, coeff)
end
model.A = sparse(I,J,V,model.numconstr,model.numvar)
return nothing
end

function addconstr!(model::NonlinearToLPQPBridge, A::Matrix, colidx::Vector, coeffs::Vector)
isempty(colidx) && return nothing
newrow = zeros(model.numvar)
newrow[colidx] = coeffs
model.A = vcat(A,newrow')
return nothing
end

function delconstrs!(model::NonlinearToLPQPBridge, rmidx::Vector)
sort!(rmidx)
rmidx = unique(rmidx)
deleteat!(model.lb, rmidx)
deleteat!(model.ub, rmidx)
delconstrs!(model, model.A, rmidx)
return nothing
end

function delconstrs!(model::NonlinearToLPQPBridge, A::SparseMatrixCSC, rmidx::Vector)
I = Vector{Int}()
J = Vector{Int}()
V = Vector{Float64}()
m, n = size(A)
rows = rowvals(A)
vals = nonzeros(A)
for j = 1:n
for r in nzrange(model.A, j)
i = rows[r]
v = vals[r]
pos = findlast(idx -> i >= idx, rmidx)
if pos == nothing
push!(I, i)
elseif i == rmidx[pos]
continue
else
push!(I, i-pos)
end
push!(J, j)
push!(V, v)
end
end
m -= length(rmidx)
model.A = sparse(I,J,V,m,n)
model.numconstr = m
end

function delconstrs!(model::NonlinearToLPQPBridge, A::Matrix, rmidx::Vector)
model.A = A[setdiff(1:size(A,1), rmidx), :]
model.numconstr -= length(rmidx)
return nothing
end

function setsense!(model::NonlinearToLPQPBridge, sense)
model.sense = sense
end

function setquadobj!(model::NonlinearToLPQPBridge, rowidx, colidx, quadval)
model.Qobj = (rowidx, colidx, quadval)
end
Expand All @@ -47,9 +270,8 @@ function addquadconstr!(model::NonlinearToLPQPBridge, linearidx, linearval, quad
end

function optimize!(model::NonlinearToLPQPBridge)
A,l,u,c,lb,ub,sense = model.LPdata
lb = copy(lb)
ub = copy(ub)
lb = copy(model.lb)
ub = copy(model.ub)
for q in model.Qconstr
if q.sense == '<'
push!(lb,-Inf)
Expand All @@ -64,7 +286,7 @@ function optimize!(model::NonlinearToLPQPBridge)
end
end

loadproblem!(model.nlpmodel, model.numvar, model.numconstr, l, u, lb, ub, sense, LPQPEvaluator(model))
loadproblem!(model.nlpmodel, model.numvar, model.numconstr, model.l, model.u, lb, ub, model.sense, LPQPEvaluator(model))
if any(model.vartypes .!= :Cont)
setvartype!(model.nlpmodel, model.vartypes)
end
Expand All @@ -78,26 +300,24 @@ for f in [:status, :getsolution, :getobjval, :getobjbound, :getreducedcosts]
@eval $f(model::NonlinearToLPQPBridge) = $f(model.nlpmodel)
end

getsense(model::NonlinearToLPQPBridge) = model.LPdata[7]
getsense(model::NonlinearToLPQPBridge) = model.sense
numvar(model::NonlinearToLPQPBridge) = model.numvar
numconstr(model::NonlinearToLPQPBridge) = model.numconstr

numlinconstr(model::NonlinearToLPQPBridge) = size(model.LPdata[1],1)
numlinconstr(model::NonlinearToLPQPBridge) = size(model.A,1)
numquadconstr(model::NonlinearToLPQPBridge) = length(model.Qconstr)

setvartype!(model::NonlinearToLPQPBridge,vartypes::Vector{Symbol}) = (model.vartypes = vartypes)
setwarmstart!(model::NonlinearToLPQPBridge,v) = (model.warmstart = v)

function getconstrsolution(model::NonlinearToLPQPBridge)
x = getsolution(model)
A = model.LPdata[1]
return A*x
return model.A*x
end

function getconstrduals(model::NonlinearToLPQPBridge)
du = getconstrduals(model.nlpmodel)
A = model.LPdata[1]
return du[1:size(A,1)]
return du[1:size(model.A,1)]
end

function getquadconstrduals(model::NonlinearToLPQPBridge)
Expand All @@ -115,8 +335,8 @@ mutable struct LPQPEvaluator <: AbstractNLPEvaluator
end

function LPQPEvaluator(model::NonlinearToLPQPBridge)
A = model.LPdata[1]
c = model.LPdata[4]
A = model.A
c = model.c
Qi,Qj,Qv = model.Qobj
return LPQPEvaluator(A,c,Qi,Qj,Qv,model.Qconstr)
end
Expand Down
4 changes: 3 additions & 1 deletion test/runtests.jl
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -3,7 +3,7 @@ using GLPKMathProgInterface, Ipopt, ECOS
lp_solver = GLPKSolverLP()
ip_solver = GLPKSolverMIP()
conic_solver = ECOSSolver(verbose=false)
nlp_solver = IpoptSolver(print_level=0)
nlp_solver = IpoptSolver(print_level=0, fixed_variable_treatment="make_constraint")

include("linprog.jl")
linprogtest(lp_solver)
Expand Down Expand Up @@ -32,3 +32,5 @@ linprogsolvertest(lp_solver)
linprogsolvertestextra(lp_solver)
# Test LP fallback for conics
linprogsolvertest(conic_solver)
# Test LP fallback for nlp
linprogsolvertest(nlp_solver, 1e-5)