Transition to new CSRMatrix Interface

[ndinsmore]

requires:
JuliaOpt/LinQuadOptInterface.jl#101

[ndinsmore]

Benchmarking code:

using JuMP
using Clp
using GLPK
using BenchmarkTools
using Random
using SparseArrays
using Profile

function  build_model(solver, sp_mat; opt_options::NamedTuple=NamedTuple())
    model = Model(with_optimizer(solver.Optimizer; opt_options...))
    # model = Model(with_optimizer(solver.Optimizer; opt_options...))
    num_variables=size(sp_mat,2)
    # display(Matrix(sp_mat))
    vars=@variable(model,0<=vars[i=1:num_variables]<=0)

    cons=@constraint(model,cons,sp_mat * vars .== 0)
    return model
end
function  build_model_direct(solver, sp_mat; opt_options::NamedTuple=NamedTuple())
    model = JuMP.direct_model(solver.Optimizer( ;opt_options...))
    # model = Model(with_optimizer(solver.Optimizer; opt_options...))
    num_variables=size(sp_mat,2)
    # display(Matrix(sp_mat))
    vars=@variable(model,0<=vars[i=1:num_variables]<=0)

    cons=@constraint(model,cons,sp_mat * vars .== 0)
    return model
end
num_vars=10000
num_cons=10000
density=.001
rng=Random.MersenneTwister(1)
sp_mat=sprand(rng,num_cons,num_vars,density)

direct_build_glpk = @benchmark model=build_model_direct(GLPK,sp_mat)
build_glpk = @benchmark model=build_model(GLPK,$sp_mat)
opt_glpk = @benchmark optimize!(model) setup=(model=build_model(GLPK,$sp_mat))

Master:

julia> direct_build_glpk = @benchmark model=build_model_direct(GLPK,sp_mat)
BenchmarkTools.Trial: 
  memory estimate:  82.20 MiB
  allocs estimate:  778889
  --------------
  minimum time:     172.100 ms (12.63% GC)
  median time:      187.929 ms (17.18% GC)
  mean time:        206.801 ms (24.73% GC)
  maximum time:     313.048 ms (45.21% GC)
  --------------
  samples:          25
  evals/sample:     1

julia> build_glpk = @benchmark model=build_model(GLPK,$sp_mat)
BenchmarkTools.Trial: 
  memory estimate:  30.32 MiB
  allocs estimate:  407356
  --------------
  minimum time:     47.100 ms (0.00% GC)
  median time:      67.214 ms (15.45% GC)
  mean time:        68.707 ms (17.84% GC)
  maximum time:     139.460 ms (63.82% GC)
  --------------
  samples:          73
  evals/sample:     1

julia> opt_glpk = @benchmark optimize!(model) setup=(model=build_model(GLPK,$sp_mat))
BenchmarkTools.Trial: 
  memory estimate:  65.01 MiB
  allocs estimate:  891196
  --------------
  minimum time:     175.015 ms (24.80% GC)
  median time:      228.083 ms (24.67% GC)
  mean time:        247.260 ms (36.24% GC)
  maximum time:     358.414 ms (52.50% GC)
  --------------
  samples:          15
  evals/sample:     1

With above PR:

julia> direct_build_glpk = @benchmark model=build_model_direct(GLPK,sp_mat)
BenchmarkTools.Trial: 
  memory estimate:  82.50 MiB
  allocs estimate:  788889
  --------------
  minimum time:     177.747 ms (17.21% GC)
  median time:      190.433 ms (17.59% GC)
  mean time:        210.528 ms (24.97% GC)
  maximum time:     311.583 ms (42.84% GC)
  --------------
  samples:          24
  evals/sample:     1

julia> build_glpk = @benchmark model=build_model(GLPK,$sp_mat)
BenchmarkTools.Trial: 
  memory estimate:  30.32 MiB
  allocs estimate:  407356
  --------------
  minimum time:     51.908 ms (14.76% GC)
  median time:      76.207 ms (14.56% GC)
  mean time:        80.268 ms (17.78% GC)
  maximum time:     184.978 ms (59.77% GC)
  --------------
  samples:          63
  evals/sample:     1

julia> opt_glpk = @benchmark optimize!(model) setup=(model=build_model(GLPK,$sp_mat))
BenchmarkTools.Trial: 
  memory estimate:  64.93 MiB
  allocs estimate:  891196
  --------------
  minimum time:     193.389 ms (25.18% GC)
  median time:      222.424 ms (26.26% GC)
  mean time:        254.685 ms (36.83% GC)
  maximum time:     348.606 ms (51.62% GC)
  --------------
  samples:          14
  evals/sample:     1