SetProg

Documentation	Build Status	Social

JuMP extension for Set Programming : optimization with set variables and inclusion/containment constraints. This package allows the formulation of a mathematical program involving set variables and inclusion/membership constraints in addition to classical variables and constraints supported by JuMP.

Documentation

• STABLE — most recently tagged version of the documentation.
• LATEST — in-development version of the documentation.

Variables

The variables can either be

• a Polytope;
• an Ellipsoid, or a piecewise semi-ellipsoid;
• a Polyset, that is the 1-sublevel set of a polynomial of degree 2d.

@variable model S Polytope(piecewise=p) # polytope defined over the pieces defined by `p`
@variable model S Ellipsoid()
@variable model S Ellipsoid(piecewise=p) # piecewise semi-ellipsoid defined over the pieces defined by `p`
@variable model S PolySet(d) # 1-sublevel set of a polynomial of degree 2d
@variable model S PolySet(d, convex=true) # Convex 1-sublevel set of a polynomial of degree 2d
@variable model S PolySet(d, symmetric=true) # 1-sublevel set of a polynomial of degree 2d symmetric around the origin
@variable model S PolySet(d, symmetric=true, point=SetProg.CenterPoint([1, 0])) # 1-sublevel set of a polynomial of degree 2d symmetric around the [1, 0]

Expressions

The following operations are allowed:

Operation	Description
A*S	Linear mapping

But more operations are planned to be added:

Operation	Description
S + x	Translation of S by x
S1 + S2	Minkowski sum
S1 ∩ S2	Intersection of S1 and S2
S1 ∪ S2	Union of S1 and S2
polar(S)	Polar of S

Constraints

The following constraints are implemented

Operation	Description
x ∈ S	x is contained in S
S1 ⊆ S2	S1 is included in S2
S1 ⊇ S2	S1 is included in S2

Examples

Consider a polytope

using Polyhedra
diamond = HalfSpace([1, 1], 1) ∩ HalfSpace([-1, -1], 1) ∩ HalfSpace([1, -1], 1) ∩ HalfSpace([-1, 1], 1)
simplex = HalfSpace([1, 1], 1) ∩ HalfSpace([-1, 0], 0) ∩ HalfSpace([0, -1], 0)

Pick an SDP solver (see here for a list)

using CSDP # Optimizer
optimizer_constructor = CSDP.Optimizer

To compute the maximal symmetric ellipsoid contained in the polytope diamond defined above (i.e. Löwner-John ellipsoid):

using SetProg
model = Model(optimizer_constructor)
@variable(model, S, Ellipsoid(symmetric=true))
@constraint(model, S ⊆ diamond)
@objective(model, Max, nth_root(volume(S)))
optimize!(model)

We specify in the example that the ellipsoid is symmetric around the origin to simplify the computation as the solver does not need to look for the center so the SDP problem that need to be solved has a smaller size.

We can visualize the result with Plots as follows:

using Plots
plot(polyhedron(diamond), ratio=1)
plot!(value(S))

To compute the maximal ellipsoid contained in simplex, we don't need to specify the center but at least a point in the interior of the ellipsoid. The SDP formulation used will then determine the center and shape of the ellipsoid simultaneously in the same SDP. For the interior point, we take the chebyshev center of the simplex (which can be found by solving an LP). This the center of the sphere of maximal volume in the simplex so one might rightly guess that is is in the interior of the maximal ellispoid contained in the simplex.

using SetProg
cheby_center, cheby_radius = chebyshevcenter(simplex, optimizer_constructor)
interior_point = SetProg.InteriorPoint(cheby_center)

model = Model(optimizer_constructor)
@variable(model, S, Ellipsoid(point=interior_point))
@constraint(model, S ⊆ simplex)
@objective(model, Max, nth_root(volume(S)))
optimize!(model)

We now visualize the result:

using Plots
plot(polyhedron(simplex), ratio=1)
plot!(value(S))

To compute the maximal invariant set contained in a polytope (not yet implemented):

using SetProg
model = Model(optimizer_constructor)
@variable(model, S, Polytope())
@constraint(model, S ⊆ diamond)
@constraint(model, A*S ⊆ S) # Invariance constraint
@objective(model, Max, volume(S))
optimize!(model)

To compute the maximal invariant ellipsoid contained in the polytope diamond defined above:

using SetProg
model = Model(optimizer_constructor)
@variable(model, S, Ellipsoid(symmetric=true))
@constraint(model, S ⊆ diamond)
@constraint(model, A*S ⊆ S) # Invariance constraint
@objective(model, Max, nth_root(volume(S)))
optimize!(model)

To compute the maximal algebraic-invariant ellipsoid (i.e. AS ⊆ ES) contained in the polytope diamond defined above:

using SetProg
model = Model(optimizer_constructor)
@variable(model, S, Ellipsoid(symmetric=true)))
@constraint(model, S ⊆ diamond)
@constraint(model, A*S ⊆ E*S) # Invariance constraint
@objective(model, Max, L1_heuristic(volume(S), ones(Polyhedra.fulldim(P))))
optimize!(model)