[Bridges] add Objective.VectorFunctionizeBridge (#2139)

Author: odow

docs/src/submodules/Bridges/list_of_bridges.md

@@ -78,6 +78,7 @@ These bridges are subtypes of [`Bridges.Objective.AbstractBridge`](@ref).
 Bridges.Objective.FunctionizeBridge
 Bridges.Objective.QuadratizeBridge
 Bridges.Objective.SlackBridge
+Bridges.Objective.VectorFunctionizeBridge
 Bridges.Objective.VectorSlackBridge
 ```
 

src/Bridges/Objective/Objective.jl

@@ -15,6 +15,7 @@ include("single_bridge_optimizer.jl")
 include("bridges/functionize.jl")
 include("bridges/quadratize.jl")
 include("bridges/slack.jl")
+include("bridges/vector_functionize.jl")
 include("bridges/vector_slack.jl")
 
 """
@@ -28,6 +29,7 @@ function add_all_bridges(model, ::Type{T}) where {T}
     MOI.Bridges.add_bridge(model, FunctionizeBridge{T})
     MOI.Bridges.add_bridge(model, QuadratizeBridge{T})
     MOI.Bridges.add_bridge(model, SlackBridge{T})
+    MOI.Bridges.add_bridge(model, VectorFunctionizeBridge{T})
     MOI.Bridges.add_bridge(model, VectorSlackBridge{T})
     return
 end

src/Bridges/Objective/bridges/vector_functionize.jl

@@ -0,0 +1,103 @@
+# Copyright (c) 2017: Miles Lubin and contributors
+# Copyright (c) 2017: Google Inc.
+#
+# Use of this source code is governed by an MIT-style license that can be found
+# in the LICENSE.md file or at https://opensource.org/licenses/MIT.
+
+"""
+    VectorFunctionizeBridge{T}
+
+`VectorFunctionizeBridge` implements the following reformulations:
+
+ * ``\\min \\{x\\}`` into ``\\min\\{1x + 0\\}``
+ * ``\\max \\{x\\}`` into ``\\max\\{1x + 0\\}``
+
+where `T` is the coefficient type of `1` and `0`.
+
+## Source node
+
+`VectorFunctionizeBridge` supports:
+
+ * [`MOI.ObjectiveFunction{MOI.VectorOfVariables}`](@ref)
+
+## Target nodes
+
+`VectorFunctionizeBridge` creates:
+
+ * One objective node: [`MOI.ObjectiveFunction{MOI.VectorAffineFunction{T}}`](@ref)
+"""
+struct VectorFunctionizeBridge{T} <: AbstractBridge end
+
+const VectorFunctionize{T,OT<:MOI.ModelLike} =
+    SingleBridgeOptimizer{VectorFunctionizeBridge{T},OT}
+
+function bridge_objective(
+    ::Type{VectorFunctionizeBridge{T}},
+    model::MOI.ModelLike,
+    f::MOI.VectorOfVariables,
+) where {T}
+    F = MOI.VectorAffineFunction{T}
+    MOI.set(model, MOI.ObjectiveFunction{F}(), convert(F, f))
+    return VectorFunctionizeBridge{T}()
+end
+
+function supports_objective_function(
+    ::Type{<:VectorFunctionizeBridge},
+    ::Type{MOI.VectorOfVariables},
+)
+    return true
+end
+
+function MOI.Bridges.added_constrained_variable_types(
+    ::Type{<:VectorFunctionizeBridge},
+)
+    return Tuple{Type}[]
+end
+
+function MOI.Bridges.added_constraint_types(::Type{<:VectorFunctionizeBridge})
+    return Tuple{Type,Type}[]
+end
+
+function MOI.Bridges.set_objective_function_type(
+    ::Type{VectorFunctionizeBridge{T}},
+) where {T}
+    return MOI.VectorAffineFunction{T}
+end
+
+MOI.get(::VectorFunctionizeBridge, ::MOI.NumberOfVariables)::Int64 = 0
+
+function MOI.get(::VectorFunctionizeBridge, ::MOI.ListOfVariableIndices)
+    return MOI.VariableIndex[]
+end
+
+MOI.delete(::MOI.ModelLike, ::VectorFunctionizeBridge) = nothing
+
+function MOI.set(
+    ::MOI.ModelLike,
+    ::MOI.ObjectiveSense,
+    ::VectorFunctionizeBridge,
+    ::MOI.OptimizationSense,
+)
+    # `VectorFunctionizeBridge` is sense agnostic, therefore, we don't need to
+    # change anything.
+    return
+end
+
+function MOI.get(
+    model::MOI.ModelLike,
+    attr::MOI.Bridges.ObjectiveFunctionValue{MOI.VectorOfVariables},
+    ::VectorFunctionizeBridge{T},
+) where {T}
+    F = MOI.VectorAffineFunction{T}
+    attr_f = MOI.Bridges.ObjectiveFunctionValue{F}(attr.result_index)
+    return MOI.get(model, attr_f)
+end
+
+function MOI.get(
+    model::MOI.ModelLike,
+    ::MOI.ObjectiveFunction{MOI.VectorOfVariables},
+    ::VectorFunctionizeBridge{T},
+) where {T}
+    f = MOI.get(model, MOI.ObjectiveFunction{MOI.VectorAffineFunction{T}}())
+    return convert(MOI.VectorOfVariables, f)
+end

src/functions.jl

@@ -810,6 +810,26 @@ function Base.convert(::Type{VectorOfVariables}, g::VariableIndex)
     return VectorOfVariables([g])
 end
 
+function Base.convert(::Type{VectorOfVariables}, f::VectorAffineFunction)
+    variables = Vector{VariableIndex}(undef, length(f.constants))
+    assigned = fill(false, length(variables))
+    if any(!iszero, f.constants)
+        throw(InexactError(:convert, VectorOfVariables, f))
+    end
+    for term in f.terms
+        if assigned[term.output_index] || !isone(term.scalar_term.coefficient)
+            throw(InexactError(:convert, VectorOfVariables, f))
+        end
+        x = convert(VariableIndex, term.scalar_term.variable)
+        variables[term.output_index] = x
+        assigned[term.output_index] = true
+    end
+    if !all(assigned)
+        throw(InexactError(:convert, VectorOfVariables, f))
+    end
+    return VectorOfVariables(variables)
+end
+
 # VectorAffineFunction
 
 function Base.convert(
@@ -846,6 +866,17 @@ function Base.convert(
     return VectorAffineFunction{T}(f.terms, f.constants)
 end
 
+function Base.convert(
+    ::Type{VectorAffineFunction{T}},
+    f::VectorOfVariables,
+) where {T}
+    terms = VectorAffineTerm{T}[
+        VectorAffineTerm{T}(i, ScalarAffineTerm{T}(one(T), x)) for
+        (i, x) in enumerate(f.variables)
+    ]
+    return VectorAffineFunction{T}(terms, zeros(T, length(terms)))
+end
+
 # VectorQuadraticFunction
 
 function Base.convert(

test/Bridges/Objective/vector_functionize.jl

@@ -0,0 +1,91 @@
+# Copyright (c) 2017: Miles Lubin and contributors
+# Copyright (c) 2017: Google Inc.
+#
+# Use of this source code is governed by an MIT-style license that can be found
+# in the LICENSE.md file or at https://opensource.org/licenses/MIT.
+
+module TestObjectiveVectorFunctionize
+
+using Test
+
+import MathOptInterface as MOI
+
+function runtests()
+    for name in names(@__MODULE__; all = true)
+        if startswith("$(name)", "test_")
+            @testset "$(name)" begin
+                getfield(@__MODULE__, name)()
+            end
+        end
+    end
+    return
+end
+
+function test_runtests()
+    MOI.Bridges.runtests(
+        MOI.Bridges.Objective.VectorFunctionizeBridge,
+        """
+        variables: x, y
+        minobjective: [x, y]
+        """,
+        """
+        variables: x, y
+        minobjective: [1.0 * x + 0.0, 1.0 * y + 0.0]
+        """,
+    )
+    MOI.Bridges.runtests(
+        MOI.Bridges.Objective.VectorFunctionizeBridge,
+        """
+        variables: x, y
+        maxobjective: [x, y]
+        """,
+        """
+        variables: x, y
+        maxobjective: [1.0 * x + 0.0, 1.0 * y + 0.0]
+        """,
+    )
+    return
+end
+
+function test_objective_function_value()
+    inner = MOI.Utilities.MockOptimizer(
+        MOI.Utilities.UniversalFallback(MOI.Utilities.Model{Float64}()),
+    )
+    model = MOI.Bridges.Objective.VectorFunctionize{Float64}(inner)
+    MOI.Utilities.loadfromstring!(
+        model,
+        """
+        variables: x, y
+        minobjective: [x, y]
+        """,
+    )
+    MOI.Utilities.set_mock_optimize!(
+        inner,
+        mock -> MOI.Utilities.mock_optimize!(mock, [3.0, 5.6]),
+    )
+    MOI.optimize!(model)
+    @test MOI.get(model, MOI.ObjectiveValue()) ≈ [3.0, 5.6]
+    return
+end
+
+function test_set_objective_sense()
+    inner = MOI.Utilities.MockOptimizer(
+        MOI.Utilities.UniversalFallback(MOI.Utilities.Model{Float64}()),
+    )
+    model = MOI.Bridges.Objective.VectorFunctionize{Float64}(inner)
+    MOI.Utilities.loadfromstring!(
+        model,
+        """
+        variables: x, y
+        minobjective: [x, y]
+        """,
+    )
+    @test MOI.get(model, MOI.ObjectiveSense()) == MOI.MIN_SENSE
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
+    @test MOI.get(model, MOI.ObjectiveSense()) == MOI.MAX_SENSE
+    return
+end
+
+end  # module
+
+TestObjectiveVectorFunctionize.runtests()

test/functions.jl

@@ -243,6 +243,25 @@ function test_isapprox_issue_1483()
     return
 end
 
+function test_convert_vectorofvariables()
+    x = MOI.VariableIndex(1)
+    y = MOI.VariableIndex(2)
+    f = MOI.VectorOfVariables([x, y])
+    g = MOI.Utilities.operate(vcat, Float64, 1.0 * x, 1.0 * y)
+    @test convert(MOI.VectorOfVariables, g) == f
+    for g in (
+        MOI.Utilities.operate(vcat, Float64, 1.2 * x, 1.0 * y),
+        MOI.Utilities.operate(vcat, Float64, 1.0 * y, 1.2 * x),
+        MOI.Utilities.operate(vcat, Float64, 1.0 * x, 0.0),
+        MOI.Utilities.operate(vcat, Float64, 0.0, 1.0 * x),
+        MOI.Utilities.operate(vcat, Float64, 1.0 * x, 1.0 * y + 1.0),
+        MOI.Utilities.operate(vcat, Float64, 1.0 * x + 1.0, 1.0 * y),
+    )
+        @test_throws InexactError convert(MOI.VectorOfVariables, g)
+    end
+    return
+end
+
 function runtests()
     for name in names(@__MODULE__; all = true)
         if startswith("$name", "test_")