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Refactor constraint bridges with AbstractSetMapBridge #933

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Oct 30, 2019
Merged

Refactor constraint bridges with AbstractSetMapBridge #933

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f8d5c63
Refactor constraint bridges with AbstractSetMapBridge
blegat Oct 27, 2019
7e3df9d
Refactor SOCtoPSD
blegat Oct 28, 2019
cb600be
Fix Julia v1.1 StackOverflow
blegat Oct 28, 2019
32ed4ed
Fix SOCtoPSD bridges
blegat Oct 28, 2019
e3a1702
Implement starting values for SOCtoPSD
blegat Oct 29, 2019
15e5e7b
Add NormInfinity and NormOne to doc
blegat Oct 29, 2019
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2 changes: 2 additions & 0 deletions docs/src/apireference.md
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Expand Up @@ -748,6 +748,8 @@ Bridges.Constraint.SplitIntervalBridge
Bridges.Constraint.RSOCBridge
Bridges.Constraint.SOCRBridge
Bridges.Constraint.QuadtoSOCBridge
Bridges.Constraint.NormInfinityBridge
Bridges.Constraint.NormOneBridge
Bridges.Constraint.GeoMeanBridge
Bridges.Constraint.SquareBridge
Bridges.Constraint.RootDetBridge
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67 changes: 3 additions & 64 deletions src/Bridges/Constraint/Constraint.jl
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Expand Up @@ -26,67 +26,10 @@ end

# Constraint bridges
# Function conversion bridges
include("function_conversion.jl")
# Transformation between a set S1 and a set S2 such that A*S1 = S2 for some linear map A
include("set_map.jl")

"""
abstract type AbstractFunctionConversionBridge <: AbstractBridge end

Bridge a constraint `F`-in-`S` into a constraint `G`-in-`S` where `F` and `G`
are equivalent representations of the same function. By convention, the
transformed function is stored in the `constraint` field.
"""
abstract type AbstractFunctionConversionBridge <: AbstractBridge end

function MOI.get(model::MOI.ModelLike, attr::MOI.AbstractConstraintAttribute,
bridge::AbstractFunctionConversionBridge)
if invariant_under_function_conversion(attr)
return MOI.get(model, attr, bridge.constraint)
else
throw(ArgumentError("Bridge of type `$(typeof(bridge))` does not support accessing the attribute `$attr` because `MOIB.Constraint.invariant_under_function_conversion($attr)` returns `false`."))
end
end

function MOI.set(model::MOI.ModelLike, attr::MOI.AbstractConstraintAttribute,
bridge::AbstractFunctionConversionBridge, value)
if invariant_under_function_conversion(attr)
return MOI.set(model, attr, bridge.constraint, value)
else
throw(ArgumentError("Bridge of type `$(typeof(bridge))` does not support setting the attribute `$attr` because `MOIB.Constraint.invariant_under_function_conversion($attr)` returns `false`."))
end
end

"""
invariant_under_function_conversion(attr::MOI.AbstractConstraintAttribute)

Returns whether the value of the attribute does not change if the constraint
`F`-in-`S` is transformed into a constraint `G`-in-`S` where `F` and `G` are
equivalent representations of the same function. If it returns true, then
subtypes of [`Constraint.AbstractFunctionConversionBridge`](@ref) such as
[`Constraint.ScalarFunctionizeBridge`](@ref) and
[`Constraint.VectorFunctionizeBridge`](@ref) will automatically support
[`MOI.get`](@ref) and [`MOI.set`](@ref) for `attr`.
"""
invariant_under_function_conversion(::MOI.AbstractConstraintAttribute) = false

function invariant_under_function_conversion(::Union{
MOI.ConstraintSet,
MOI.ConstraintBasisStatus,
MOI.ConstraintPrimal,
MOI.ConstraintPrimalStart,
MOI.ConstraintDual,
MOI.ConstraintDualStart})
return true
end

include("functionize.jl")
const ScalarFunctionize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{ScalarFunctionizeBridge{T}, OT}
const VectorFunctionize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{VectorFunctionizeBridge{T}, OT}
# TODO add affine -> quadratic conversion bridge

include("flip_sign.jl")
const GreaterToLess{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{GreaterToLessBridge{T}, OT}
const LessToGreater{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{LessToGreaterBridge{T}, OT}
const NonnegToNonpos{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{NonnegToNonposBridge{T}, OT}
const NonposToNonneg{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{NonposToNonnegBridge{T}, OT}
include("vectorize.jl")
const Vectorize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{VectorizeBridge{T}, OT}
include("scalarize.jl")
Expand All @@ -96,10 +39,6 @@ const ScalarSlack{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{ScalarSlackBridg
const VectorSlack{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{VectorSlackBridge{T}, OT}
include("interval.jl")
const SplitInterval{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{SplitIntervalBridge{T}, OT}
include("rsoc.jl")
const RSOC{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{RSOCBridge{T}, OT}
include("socr.jl")
const SOCR{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{SOCRBridge{T}, OT}
include("quad_to_soc.jl")
const QuadtoSOC{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{QuadtoSOCBridge{T}, OT}
include("norm_to_lp.jl")
Expand Down
154 changes: 27 additions & 127 deletions src/Bridges/Constraint/flip_sign.jl
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Expand Up @@ -3,86 +3,45 @@

Bridge a `G`-in-`S1` constraint into an `F`-in-`S2` constraint by multiplying
the function by `-1` and taking the point reflection of the set across the
origin. The flipped `F`-in-`S` constraint is stored in the `flipped_constraint`
origin. The flipped `F`-in-`S` constraint is stored in the `constraint`
field by convention.
"""
abstract type FlipSignBridge{
T, S1<:MOI.AbstractSet, S2<:MOI.AbstractSet,
F<:MOI.AbstractFunction, G<:MOI.AbstractFunction} <: AbstractBridge end
F<:MOI.AbstractFunction, G<:MOI.AbstractFunction} <: SetMapBridge{T, S2, S1, F, G} end

function MOI.supports_constraint(
::Type{<:FlipSignBridge{T, S1}}, ::Type{<:MOI.AbstractScalarFunction},
::Type{S1}) where {T, S1<:MOI.AbstractScalarSet}
return true
end
function MOI.supports_constraint(
::Type{<:FlipSignBridge{T, S1}}, ::Type{<:MOI.AbstractVectorFunction},
::Type{S1}) where {T, S1<:MOI.AbstractVectorSet}
return true
end
MOIB.added_constrained_variable_types(::Type{<:FlipSignBridge}) = Tuple{DataType}[]
function MOIB.added_constraint_types(
::Type{<:FlipSignBridge{T, S1, S2, F}}) where {T, S1, S2, F}
return [(F, S2)]
end
map_function(::Type{<:FlipSignBridge{T}}, func) where {T} = MOIU.operate(-, T, func)
# The map is an involution
inverse_map_function(BT::Type{<:FlipSignBridge}, func) = map_function(BT, func)
# The map is symmetric
adjoint_map_function(BT::Type{<:FlipSignBridge}, func) = map_function(BT, func)
# The map is a symmetric involution
inverse_adjoint_map_function(BT::Type{<:FlipSignBridge}, func) = map_function(BT, func)

# Attributes, Bridge acting as a model
function MOI.get(::FlipSignBridge{T, S1, S2, F},
::MOI.NumberOfConstraints{F, S2}) where {T, S1, S2, F}
return 1
end
function MOI.get(bridge::FlipSignBridge{T, S1, S2, F},
::MOI.ListOfConstraintIndices{F, S2}) where {T, S1, S2, F}
return [bridge.flipped_constraint]
end

# References
function MOI.delete(model::MOI.ModelLike, bridge::FlipSignBridge)
MOI.delete(model, bridge.flipped_constraint)
end
function MOI.delete(model::MOI.ModelLike, bridge::FlipSignBridge, i::IndexInVector)
func = MOI.get(model, MOI.ConstraintFunction(), bridge.flipped_constraint)
func = MOI.get(model, MOI.ConstraintFunction(), bridge.constraint)
idx = setdiff(1:MOI.output_dimension(func), i.value)
new_func = MOIU.eachscalar(func)[idx]
set = MOI.get(model, MOI.ConstraintSet(), bridge.flipped_constraint)
set = MOI.get(model, MOI.ConstraintSet(), bridge.constraint)
new_set = MOI.update_dimension(set, MOI.dimension(set) - 1)
MOI.delete(model, bridge.flipped_constraint)
bridge.flipped_constraint = MOI.add_constraint(model, new_func, new_set)
end

# Attributes, Bridge acting as a constraint
function MOI.get(model::MOI.ModelLike,
attr::Union{MOI.ConstraintPrimal, MOI.ConstraintDual},
bridge::FlipSignBridge)
return -MOI.get(model, attr, bridge.flipped_constraint)
end

function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintFunction,
bridge::FlipSignBridge{T, S1, S2, F, G}) where {T, S1, S2, F, G}
func = MOIU.operate(-, T, MOI.get(model, attr, bridge.flipped_constraint))
return MOIU.convert_approx(G, func)
MOI.delete(model, bridge.constraint)
bridge.constraint = MOI.add_constraint(model, new_func, new_set)
end

function MOI.modify(model::MOI.ModelLike, bridge::FlipSignBridge,
change::MOI.ScalarCoefficientChange)
MOI.modify(
model, bridge.flipped_constraint,
model, bridge.constraint,
MOI.ScalarCoefficientChange(change.variable, -change.new_coefficient))
end

function MOI.modify(model::MOI.ModelLike, bridge::FlipSignBridge,
change::MOI.MultirowChange{T}) where T
new_coefficients = Tuple{Int64, T}[
(index, -coef) for (index, coef) in change.new_coefficients]
MOI.modify(model, bridge.flipped_constraint,
MOI.modify(model, bridge.constraint,
MOI.MultirowChange(change.variable,
new_coefficients))
end
function MOI.modify(model::MOI.ModelLike, bridge::FlipSignBridge,
change::MOI.VectorConstantChange)
MOI.modify(model, bridge.flipped_constraint,
MOI.VectorConstantChange(-change.new_constant))
end

"""
GreaterToLessBridge{T, F<:MOI.AbstractScalarFunction, G<:MOI.AbstractScalarFunction} <:
Expand All @@ -93,34 +52,17 @@ constraint.
"""
struct GreaterToLessBridge{T, F<:MOI.AbstractScalarFunction, G<:MOI.AbstractScalarFunction} <:
FlipSignBridge{T, MOI.GreaterThan{T}, MOI.LessThan{T}, F, G}
flipped_constraint::CI{F, MOI.LessThan{T}}
end
function bridge_constraint(::Type{GreaterToLessBridge{T, F, G}},
model::MOI.ModelLike,
g::MOI.AbstractScalarFunction,
s::MOI.GreaterThan) where {T, F, G}
f = MOIU.operate(-, T, g)
flipped_constraint = MOI.add_constraint(model, f, MOI.LessThan(-s.lower))
return GreaterToLessBridge{T, F, G}(flipped_constraint)
constraint::CI{F, MOI.LessThan{T}}
end
map_set(::Type{<:GreaterToLessBridge}, set::MOI.GreaterThan) = MOI.LessThan(-set.lower)
inverse_map_set(::Type{<:GreaterToLessBridge}, set::MOI.LessThan) = MOI.GreaterThan(-set.upper)
function concrete_bridge_type(::Type{<:GreaterToLessBridge{T}},
G::Type{<:MOI.AbstractScalarFunction},
::Type{MOI.GreaterThan{T}}) where T
F = MOIU.promote_operation(-, T, G)
return GreaterToLessBridge{T, F, G}
end

function MOI.set(model::MOI.ModelLike, attr::MOI.ConstraintSet,
bridge::GreaterToLessBridge, new_set::MOI.GreaterThan)
MOI.set(model, attr, bridge.flipped_constraint,
MOI.LessThan(-new_set.lower))
end
function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintSet,
bridge::GreaterToLessBridge)
set = MOI.get(model, attr, bridge.flipped_constraint)
return MOI.GreaterThan(-set.upper)
end

"""
LessToGreaterBridge{T, F<:MOI.AbstractScalarFunction, G<:MOI.AbstractScalarFunction} <:
FlipSignBridge{T, MOI.LessThan{T}, MOI.GreaterThan{T}, F, G}
Expand All @@ -130,33 +72,17 @@ constraint.
"""
struct LessToGreaterBridge{T, F<:MOI.AbstractScalarFunction, G<:MOI.AbstractScalarFunction} <:
FlipSignBridge{T, MOI.LessThan{T}, MOI.GreaterThan{T}, F, G}
flipped_constraint::CI{F, MOI.GreaterThan{T}}
end
function bridge_constraint(::Type{LessToGreaterBridge{T, F, G}},
model::MOI.ModelLike,
g::MOI.AbstractScalarFunction,
s::MOI.LessThan) where {T, F, G}
f = MOIU.operate(-, T, g)
flipped_constraint = MOI.add_constraint(model, f, MOI.GreaterThan(-s.upper))
return LessToGreaterBridge{T, F, G}(flipped_constraint)
constraint::CI{F, MOI.GreaterThan{T}}
end
map_set(::Type{<:LessToGreaterBridge}, set::MOI.LessThan) = MOI.GreaterThan(-set.upper)
inverse_map_set(::Type{<:LessToGreaterBridge}, set::MOI.GreaterThan) = MOI.LessThan(-set.lower)
function concrete_bridge_type(::Type{<:LessToGreaterBridge{T}},
G::Type{<:MOI.AbstractScalarFunction},
::Type{MOI.LessThan{T}}) where T
F = MOIU.promote_operation(-, T, G)
return LessToGreaterBridge{T, F, G}
end

function MOI.set(model::MOI.ModelLike, attr::MOI.ConstraintSet,
bridge::LessToGreaterBridge, new_set::MOI.LessThan)
MOI.set(model, attr, bridge.flipped_constraint,
MOI.GreaterThan(-new_set.upper))
end
function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintSet,
bridge::LessToGreaterBridge)
set = MOI.get(model, attr, bridge.flipped_constraint)
return MOI.LessThan(-set.lower)
end

"""
NonnegToNonposBridge{T, F<:MOI.AbstractVectorFunction, G<:MOI.AbstractVectorFunction} <:
Expand All @@ -167,30 +93,17 @@ constraint.
"""
mutable struct NonnegToNonposBridge{T, F<:MOI.AbstractVectorFunction, G<:MOI.AbstractVectorFunction} <:
FlipSignBridge{T, MOI.Nonnegatives, MOI.Nonpositives, F, G}
flipped_constraint::CI{F, MOI.Nonpositives}
end
function bridge_constraint(::Type{NonnegToNonposBridge{T, F, G}},
model::MOI.ModelLike,
g::MOI.AbstractVectorFunction,
s::MOI.Nonnegatives) where {T, F, G}
f = MOIU.operate(-, T, g)
flipped_constraint = MOI.add_constraint(model, f,
MOI.Nonpositives(s.dimension))
return NonnegToNonposBridge{T, F, G}(flipped_constraint)
constraint::CI{F, MOI.Nonpositives}
end
map_set(::Type{<:NonnegToNonposBridge}, set::MOI.Nonnegatives) = MOI.Nonpositives(set.dimension)
inverse_map_set(::Type{<:NonnegToNonposBridge}, set::MOI.Nonpositives) = MOI.Nonnegatives(set.dimension)
function concrete_bridge_type(::Type{<:NonnegToNonposBridge{T}},
G::Type{<:MOI.AbstractVectorFunction},
::Type{MOI.Nonnegatives}) where T
F = MOIU.promote_operation(-, T, G)
return NonnegToNonposBridge{T, F, G}
end

function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintSet,
bridge::NonnegToNonposBridge)
set = MOI.get(model, attr, bridge.flipped_constraint)
return MOI.Nonnegatives(MOI.dimension(set))
end

"""
NonposToNonnegBridge{T, F<:MOI.AbstractVectorFunction, G<:MOI.AbstractVectorFunction} <:
FlipSignBridge{T, MOI.Nonpositives, MOI.Nonnegatives, F, G}
Expand All @@ -200,26 +113,13 @@ constraint.
"""
mutable struct NonposToNonnegBridge{T, F<:MOI.AbstractVectorFunction, G<:MOI.AbstractVectorFunction} <:
FlipSignBridge{T, MOI.Nonpositives, MOI.Nonnegatives, F, G}
flipped_constraint::CI{F, MOI.Nonnegatives}
end
function bridge_constraint(::Type{NonposToNonnegBridge{T, F, G}},
model::MOI.ModelLike,
g::MOI.AbstractVectorFunction,
s::MOI.Nonpositives) where {T, F, G}
f = MOIU.operate(-, T, g)
flipped_constraint = MOI.add_constraint(model, f,
MOI.Nonnegatives(s.dimension))
return NonposToNonnegBridge{T, F, G}(flipped_constraint)
constraint::CI{F, MOI.Nonnegatives}
end
map_set(::Type{<:NonposToNonnegBridge}, set::MOI.Nonpositives) = MOI.Nonnegatives(set.dimension)
inverse_map_set(::Type{<:NonposToNonnegBridge}, set::MOI.Nonnegatives) = MOI.Nonpositives(set.dimension)
function concrete_bridge_type(::Type{<:NonposToNonnegBridge{T}},
G::Type{<:MOI.AbstractVectorFunction},
::Type{MOI.Nonpositives}) where T
F = MOIU.promote_operation(-, T, G)
return NonposToNonnegBridge{T, F, G}
end

function MOI.get(model::MOI.ModelLike, attr::MOI.ConstraintSet,
bridge::NonposToNonnegBridge)
set = MOI.get(model, attr, bridge.flipped_constraint)
return MOI.Nonpositives(MOI.dimension(set))
end
59 changes: 59 additions & 0 deletions src/Bridges/Constraint/function_conversion.jl
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@@ -0,0 +1,59 @@
"""
abstract type AbstractFunctionConversionBridge{F, S} <: AbstractBridge end

Bridge a constraint `G`-in-`S` into a constraint `F`-in-`S` where `F` and `G`
are equivalent representations of the same function. By convention, the
transformed function is stored in the `constraint` field.
"""
abstract type AbstractFunctionConversionBridge{F, S} <: AbstractBridge end

function MOI.get(model::MOI.ModelLike, attr::MOI.AbstractConstraintAttribute,
bridge::AbstractFunctionConversionBridge)
if invariant_under_function_conversion(attr)
return MOI.get(model, attr, bridge.constraint)
else
throw(ArgumentError("Bridge of type `$(typeof(bridge))` does not support accessing the attribute `$attr` because `MOIB.Constraint.invariant_under_function_conversion($attr)` returns `false`."))
end
end

function MOI.supports(model::MOI.ModelLike, attr::MOI.AbstractConstraintAttribute,
::Type{<:AbstractFunctionConversionBridge{F, S}}) where {F, S}
return invariant_under_function_conversion(attr) &&
MOI.supports(model, attr, MOI.ConstraintIndex{F, S})
end
function MOI.set(model::MOI.ModelLike, attr::MOI.AbstractConstraintAttribute,
bridge::AbstractFunctionConversionBridge, value)
if invariant_under_function_conversion(attr)
return MOI.set(model, attr, bridge.constraint, value)
else
throw(ArgumentError("Bridge of type `$(typeof(bridge))` does not support setting the attribute `$attr` because `MOIB.Constraint.invariant_under_function_conversion($attr)` returns `false`."))
end
end

"""
invariant_under_function_conversion(attr::MOI.AbstractConstraintAttribute)

Returns whether the value of the attribute does not change if the constraint
`F`-in-`S` is transformed into a constraint `G`-in-`S` where `F` and `G` are
equivalent representations of the same function. If it returns true, then
subtypes of [`Constraint.AbstractFunctionConversionBridge`](@ref) such as
[`Constraint.ScalarFunctionizeBridge`](@ref) and
[`Constraint.VectorFunctionizeBridge`](@ref) will automatically support
[`MOI.get`](@ref) and [`MOI.set`](@ref) for `attr`.
"""
invariant_under_function_conversion(::MOI.AbstractConstraintAttribute) = false

function invariant_under_function_conversion(::Union{
MOI.ConstraintSet,
MOI.ConstraintBasisStatus,
MOI.ConstraintPrimal,
MOI.ConstraintPrimalStart,
MOI.ConstraintDual,
MOI.ConstraintDualStart})
return true
end

include("functionize.jl")
const ScalarFunctionize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{ScalarFunctionizeBridge{T}, OT}
const VectorFunctionize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{VectorFunctionizeBridge{T}, OT}
# TODO add affine -> quadratic conversion bridge
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