Merge pull request #664 from chriscoey/barriertestupdates

cleanup cone oracle tests, check oracle allocations
jump-dev · Mar 31, 2021 · 49e0cdb · 49e0cdb
2 parents ea5ca1d + 6dc6f67
commit 49e0cdb
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Showing 16 changed files with 2,676 additions and 2,503 deletions.
diff --git a/Project.toml b/Project.toml
@@ -34,6 +34,7 @@ DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
 DelimitedFiles = "8bb1440f-4735-579b-a4ab-409b98df4dab"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 DynamicPolynomials = "7c1d4256-1411-5781-91ec-d7bc3513ac07"
+ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 GSL = "92c85e6c-cbff-5e0c-80f7-495c94daaecd"
 JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 PolyJuMP = "ddf597a6-d67e-5340-b84c-e37d84115374"
@@ -42,4 +43,4 @@ SemialgebraicSets = "8e049039-38e8-557d-ae3a-bc521ccf6204"
 SumOfSquares = "4b9e565b-77fc-50a5-a571-1244f986bda1"
 
 [targets]
-test = ["CSV", "DataFrames", "DataStructures", "DelimitedFiles", "Distributions", "DynamicPolynomials", "GSL", "JuMP", "PolyJuMP", "Random", "SemialgebraicSets", "SumOfSquares"]
+test = ["CSV", "DataFrames", "DataStructures", "DelimitedFiles", "Distributions", "DynamicPolynomials", "ForwardDiff", "GSL", "JuMP", "PolyJuMP", "Random", "SemialgebraicSets", "SumOfSquares"]
diff --git a/examples/common_JuMP.jl b/examples/common_JuMP.jl
@@ -216,7 +216,7 @@ cone_from_hyp(cone::Cones.EpiPerSquare) = MOI.RotatedSecondOrderCone(Cones.dimen
 cone_from_hyp(cone::Cones.HypoPerLog) = (@assert Cones.dimension(cone) == 3; MOI.ExponentialCone())
 cone_from_hyp(cone::Cones.EpiRelEntropy) = MOI.RelativeEntropyCone(Cones.dimension(cone))
 cone_from_hyp(cone::Cones.HypoGeoMean) = MOI.GeometricMeanCone(Cones.dimension(cone))
-cone_from_hyp(cone::Cones.Power) = (@assert Cones.dimension(cone) == 3; MOI.PowerCone{Float64}(cone.alpha[1]))
+cone_from_hyp(cone::Cones.GeneralizedPower) = (@assert Cones.dimension(cone) == 3; MOI.PowerCone{Float64}(cone.alpha[1]))
 cone_from_hyp(cone::Cones.EpiNormSpectral) = (Cones.use_dual_barrier(cone) ? MOI.NormNuclearCone : MOI.NormSpectralCone)(cone.n, cone.m)
 cone_from_hyp(cone::Cones.PosSemidefTri{T, R}) where {R <: Hypatia.RealOrComplex{T}} where {T <: Real} = MOI.PositiveSemidefiniteConeTriangle(cone.side)
 cone_from_hyp(cone::Cones.LinMatrixIneq{T}) where {T <: Real} = Hypatia.LinMatrixIneqCone{T}(cone.As)

diff --git a/examples/matrixcompletion/native.jl b/examples/matrixcompletion/native.jl
@@ -195,21 +195,21 @@ function build(inst::MatrixCompletionNative{T}) where {T <: Real}
             G_geo_unknown[1, 1] = -1
             G_geo_unknown[2, 2] = -1
             G_geo_newvars[3, 1] = -1
-            push!(cones, Cones.Power{T}(fill(inv(T(2)), 2), 1))
+            push!(cones, Cones.GeneralizedPower{T}(fill(inv(T(2)), 2), 1))
             offset = 4
             # loop over new vars
             for i in 1:(num_unknown - 3)
                 G_geo_newvars[offset + 2, i + 1] = -1
                 G_geo_newvars[offset + 1, i] = -1
                 G_geo_unknown[offset, i + 2] = -1
-                push!(cones, Cones.Power{T}([inv(T(i + 2)), T(i + 1) / T(i + 2)], 1))
+                push!(cones, Cones.GeneralizedPower{T}([inv(T(i + 2)), T(i + 1) / T(i + 2)], 1))
                 offset += 3
             end
 
             # last row also special because hypograph variable is fixed
             G_geo_unknown[offset, num_unknown] = -1
             G_geo_newvars[offset + 1, num_unknown - 2] = -1
-            push!(cones, Cones.Power{T}([inv(T(num_unknown)), T(num_unknown - 1) / T(num_unknown)], 1))
+            push!(cones, Cones.GeneralizedPower{T}([inv(T(num_unknown)), T(num_unknown - 1) / T(num_unknown)], 1))
             h = vcat(h_norm, zeros(T, 3 * (num_unknown - 2)), T[0, 0, 1])
 
             # if using extended with spectral objective G_geo needs to be prepadded with an epigraph variable

diff --git a/examples/maxvolume/native.jl b/examples/maxvolume/native.jl
@@ -49,14 +49,14 @@ function build(inst::MaxVolumeNative{T}) where {T <: Real}
         G_geo_orig[1, 1] = -1
         G_geo_orig[2, 2] = -1
         G_geo_newvars[3, 1] = -1
-        push!(cones, Cones.Power{T}(fill(inv(T(2)), 2), 1))
+        push!(cones, Cones.GeneralizedPower{T}(fill(inv(T(2)), 2), 1))
         offset = 4
         # loop over new vars
         for i in 1:(n - 3)
             G_geo_newvars[offset + 2, i + 1] = -1
             G_geo_newvars[offset + 1, i] = -1
             G_geo_orig[offset, i + 2] = -1
-            push!(cones, Cones.Power{T}([inv(T(i + 2)), T(i + 1) / T(i + 2)], 1))
+            push!(cones, Cones.GeneralizedPower{T}([inv(T(i + 2)), T(i + 1) / T(i + 2)], 1))
             offset += 3
         end
         # last row also special becuase hypograph variable is involved
@@ -65,7 +65,7 @@ function build(inst::MaxVolumeNative{T}) where {T <: Real}
         G = [
             vcat(zeros(T, len_power - 1), -one(T))  G_geo_orig  G_geo_newvars
             ]
-        push!(cones, Cones.Power{T}([inv(T(n)), T(n - 1) / T(n)], 1))
+        push!(cones, Cones.GeneralizedPower{T}([inv(T(n)), T(n - 1) / T(n)], 1))
         h = zeros(T, 3 * (n - 1))
     else
         @assert inst.use_epipersquare == true

diff --git a/src/Cones/Cones.jl b/src/Cones/Cones.jl
@@ -1,7 +1,5 @@
 #=
 functions and caches for cones
-
-TODO maybe write a fallback dual feas check that checks if ray of dual point intersects dikin ellipsoid at primal point
 =#
 
 module Cones
@@ -33,29 +31,29 @@ hessian_cache(T::Type{<:Real}) = DensePosDefCache{T}()
 abstract type Cone{T <: Real} end
 
 include("nonnegative.jl")
+include("possemideftri.jl")
+include("doublynonnegativetri.jl")
+include("possemideftrisparse.jl")
+include("linmatrixineq.jl")
 include("epinorminf.jl")
 include("epinormeucl.jl")
-include("epiperentropy.jl")
-include("epipertraceentropytri.jl")
 include("epipersquare.jl")
-include("epirelentropy.jl")
-include("hypoperlog.jl")
-include("power.jl")
-include("hypopowermean.jl")
-include("hypogeomean.jl")
 include("epinormspectral.jl")
-include("linmatrixineq.jl")
-include("possemideftri.jl")
-include("possemideftrisparse.jl")
-include("doublynonnegativetri.jl")
 include("matrixepipersquare.jl")
-include("hypoperlogdettri.jl")
+include("generalizedpower.jl")
+include("hypopowermean.jl")
+include("hypogeomean.jl")
 include("hyporootdettri.jl")
+include("hypoperlog.jl")
+include("hypoperlogdettri.jl")
+include("epiperentropy.jl")
+include("epipertraceentropytri.jl")
+include("epirelentropy.jl")
 include("epitracerelentropytri.jl")
 include("wsosinterpnonnegative.jl")
+include("wsosinterppossemideftri.jl")
 include("wsosinterpepinormone.jl")
 include("wsosinterpepinormeucl.jl")
-include("wsosinterppossemideftri.jl")
 
 use_dual_barrier(cone::Cone) = cone.use_dual_barrier
 dimension(cone::Cone) = cone.dim

diff --git a/src/Cones/power.jl → src/Cones/generalizedpower.jl b/src/Cones/power.jl → src/Cones/generalizedpower.jl
@@ -7,7 +7,7 @@ barrier from "On self-concordant barriers for generalized power cones" by Roy &
 -log(prod_i((u_i)^(2 * alpha_i)) - norm_2(w)^2) - sum_i((1 - alpha_i)*log(u_i))
 =#
 
-mutable struct Power{T <: Real} <: Cone{T}
+mutable struct GeneralizedPower{T <: Real} <: Cone{T}
     use_dual_barrier::Bool
     use_heuristic_neighborhood::Bool
     dim::Int
@@ -37,7 +37,7 @@ mutable struct Power{T <: Real} <: Cone{T}
     auiproduuw::Vector{T}
     tempm::Vector{T}
 
-    function Power{T}(
+    function GeneralizedPower{T}(
         alpha::Vector{T},
         n::Int;
         use_dual::Bool = false,
@@ -60,10 +60,10 @@ mutable struct Power{T <: Real} <: Cone{T}
     end
 end
 
-dimension(cone::Power) = length(cone.alpha) + cone.n
+dimension(cone::GeneralizedPower) = length(cone.alpha) + cone.n
 
 # TODO only allocate the fields we use
-function setup_extra_data(cone::Power{T}) where {T <: Real}
+function setup_extra_data(cone::GeneralizedPower{T}) where {T <: Real}
     dim = cone.dim
     cone.hess = Symmetric(zeros(T, dim, dim), :U)
     cone.inv_hess = Symmetric(zeros(T, dim, dim), :U)
@@ -75,16 +75,16 @@ function setup_extra_data(cone::Power{T}) where {T <: Real}
     return cone
 end
 
-get_nu(cone::Power) = length(cone.alpha) + 1
+get_nu(cone::GeneralizedPower) = length(cone.alpha) + 1
 
-function set_initial_point(arr::AbstractVector, cone::Power)
+function set_initial_point(arr::AbstractVector, cone::GeneralizedPower)
     m = length(cone.alpha)
     @. @views arr[1:m] = sqrt(1 + cone.alpha)
     @views arr[(m + 1):cone.dim] .= 0
     return arr
 end
 
-function update_feas(cone::Power{T}) where {T <: Real}
+function update_feas(cone::GeneralizedPower{T}) where {T <: Real}
     @assert !cone.feas_updated
     m = length(cone.alpha)
     @views u = cone.point[1:m]
@@ -101,7 +101,7 @@ function update_feas(cone::Power{T}) where {T <: Real}
     return cone.is_feas
 end
 
-function is_dual_feas(cone::Power{T}) where {T <: Real}
+function is_dual_feas(cone::GeneralizedPower{T}) where {T <: Real}
     alpha = cone.alpha
     m = length(cone.alpha)
     @views u = cone.dual_point[1:m]
@@ -115,7 +115,7 @@ function is_dual_feas(cone::Power{T}) where {T <: Real}
     return false
 end
 
-function update_grad(cone::Power)
+function update_grad(cone::GeneralizedPower)
     @assert cone.is_feas
     m = length(cone.alpha)
     @views u = cone.point[1:m]
@@ -132,7 +132,7 @@ function update_grad(cone::Power)
     return cone.grad
 end
 
-function update_hess(cone::Power)
+function update_hess(cone::GeneralizedPower)
     @assert cone.grad_updated
     m = length(cone.alpha)
     @views u = cone.point[1:m]
@@ -167,7 +167,7 @@ function update_hess(cone::Power)
     return cone.hess
 end
 
-function hess_prod!(prod::AbstractVecOrMat, arr::AbstractVecOrMat, cone::Power)
+function hess_prod!(prod::AbstractVecOrMat, arr::AbstractVecOrMat, cone::GeneralizedPower)
     @assert cone.grad_updated
     m = length(cone.alpha)
     @views u = cone.point[1:m]
@@ -194,7 +194,7 @@ function hess_prod!(prod::AbstractVecOrMat, arr::AbstractVecOrMat, cone::Power)
     return prod
 end
 
-function correction(cone::Power, primal_dir::AbstractVector)
+function correction(cone::GeneralizedPower, primal_dir::AbstractVector)
     m = length(cone.alpha)
     @views u = cone.point[1:m]
     @views w = cone.point[(m + 1):end]