[Bridges] add Bridges.Constraint.SlackBridgePrimalDualStart (#2194)

src/Bridges/Objective/bridges/slack.jl

@@ -174,3 +174,79 @@ function MOI.get(
  g = MOI.Utilities.remove_variable(f, bridge.slack)
  return MOI.Utilities.convert_approx(G, g)
 end
+
+"""
+ struct SlackBridgePrimalDualStart <: MOI.AbstractModelAttribute end
+
+[`Bridges.Objective.SlackBridge`](@ref) introduces a new constraint into the
+problem. However, because it is not a constraint bridge, it cannot intercept
+calls to set [`ConstraintDualStart`](@ref) or [`ConstraintPrimalStart`](@ref).
+
+As a work-around, set this attribute to `nothing` to set the primal and dual
+start for the new constraint. This attribute must be set after
+[`VariablePrimalStart`](@ref).
+"""
+struct SlackBridgePrimalDualStart <: MOI.AbstractModelAttribute end
+
+function MOI.throw_set_error_fallback(
+ ::MOI.ModelLike,
+ ::SlackBridgePrimalDualStart,
+ ::Nothing,
+)
+ return # Silently ignore if the model does not support.
+end
+
+# Pretend that every model supports, and silently skip in set if unsupported
+MOI.supports_fallback(::MOI.ModelLike, ::SlackBridgePrimalDualStart) = true
+
+function MOI.set(
+ model::MOI.ModelLike,
+ ::SlackBridgePrimalDualStart,
+ b::SlackBridge{T},
+ ::Nothing,
+) where {T}
+ # !!! note
+ # This attribute should silently skip if the `model` does not support it.
+ # For other attributes, we set `supports(...) = false`, but this would
+ # cause `copy_to` to throw an `UnsupportedAttributeError`, which we don't
+ # want. The solution is to check `supports(model, ...)` in this method,
+ # and bail if not supported.
+ # ConstraintDual: if the objective function had a dual, it would be `-1` for
+ # the Lagrangian function to be the same.
+ if MOI.supports(model, MOI.ConstraintDualStart(), typeof(b.constraint))
+ MOI.set(model, MOI.ConstraintDualStart(), b.constraint, -one(T))
+ end
+ # ConstraintPrimal: we should set the slack of f(x) - y to be 0, and the
+ # start of y to be f(x).
+ if !MOI.supports(model, MOI.VariablePrimalStart(), MOI.VariableIndex) ||
+ !MOI.supports(model, MOI.ConstraintPrimalStart(), typeof(b.constraint))
+ return
+ end
+ MOI.set(model, MOI.VariablePrimalStart(), b.slack, zero(T))
+ f = MOI.get(model, MOI.ConstraintFunction(), b.constraint)
+ f_val = MOI.Utilities.eval_variables(f) do v
+ return MOI.get(model, MOI.VariablePrimalStart(), v)
+ end
+ f_val -= MOI.constant(MOI.get(model, MOI.ConstraintSet(), b.constraint))
+ MOI.set(model, MOI.VariablePrimalStart(), b.slack, f_val)
+ MOI.set(model, MOI.ConstraintPrimalStart(), b.constraint, zero(T))
+ return
+end
+
+function MOI.set(
+ b::MOI.Bridges.AbstractBridgeOptimizer,
+ attr::SlackBridgePrimalDualStart,
+ ::Nothing,
+)
+ # TODO(odow): this might fail if the SlackBridge is not the first bridge in
+ # the chain, but it should be for our current setup of bridges, so we
+ # choose to simplify this implementation.
+ if MOI.Bridges.is_objective_bridged(b)
+ obj_attr = MOI.ObjectiveFunction{function_type(bridges(b))}()
+ if MOI.Bridges.is_bridged(b, obj_attr)
+ bridge = MOI.Bridges.bridge(b, obj_attr)
+ MOI.set(MOI.Bridges.recursive_model(b), attr, bridge, nothing)
+ end
+ end
+ return
+end

test/Bridges/Objective/slack.jl

@@ -514,6 +514,49 @@ function test_deletion_of_variable_in_slacked_objective()
  return
 end
 
+function test_SlackBridgePrimalDualStart()
+ inner = MOI.Utilities.MockOptimizer(
+ MOI.Utilities.UniversalFallback(MOI.Utilities.Model{Float64}()),
+ )
+ model = MOI.Bridges.Objective.Slack{Float64}(inner)
+ x = MOI.add_variable(model)
+ MOI.add_constraint(model, x, MOI.GreaterThan(2.0))
+ f = MOI.ScalarAffineFunction([MOI.ScalarAffineTerm(1.1, x)], -1.2)
+ MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+ MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
+ MOI.set(model, MOI.VariablePrimalStart(), x, 2.0)
+ attr = MOI.Bridges.Objective.SlackBridgePrimalDualStart()
+ @test MOI.supports(model, attr)
+ MOI.set(model, attr, nothing)
+ vars = MOI.get(inner, MOI.ListOfVariableIndices())
+ primal_start = MOI.get.(inner, MOI.VariablePrimalStart(), vars)
+ @test primal_start[1] ≈ 2.0
+ @test primal_start[2] ≈ 1.1 * 2.0 - 1.2
+ F = MOI.ScalarAffineFunction{Float64}
+ cis = MOI.get(inner, MOI.ListOfConstraintIndices{F,MOI.LessThan{Float64}}())
+ @test length(cis) == 1
+ @test MOI.get(inner, MOI.ConstraintPrimalStart(), cis[1]) ≈ 0.0
+ @test MOI.get(inner, MOI.ConstraintDualStart(), cis[1]) ≈ -1.0
+ return
+end
+
+function test_SlackBridgePrimalDualStart_unsupported()
+ attr = MOI.Bridges.Objective.SlackBridgePrimalDualStart()
+ inner = MOI.Utilities.MockOptimizer(MOI.Utilities.Model{Float64}())
+ # Check that setting on blank model doesn't error.
+ @test MOI.supports(inner, attr)
+ MOI.set(inner, attr, nothing)
+ model = MOI.Bridges.Objective.Slack{Float64}(inner)
+ @test MOI.supports(model, attr)
+ x = MOI.add_variable(model)
+ MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+ f = MOI.ScalarAffineFunction([MOI.ScalarAffineTerm(1.1, x)], -1.2)
+ MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
+ # Unsupported. Should silently skip without error.
+ MOI.set(model, attr, nothing)
+ return
+end
+
 end # module
 
 TestObjectiveSlack.runtests()