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Added functions to interact with JuMP #17

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Merged
guilhermebodin merged 5 commits into from
Jul 6, 2021
Merged

Added functions to interact with JuMP #17

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87ec535
Creation of necessary functions in order to interact with the JuMP i…
caioluke Jun 23, 2021
65ab994
Added Thomas' PR functions
caioluke Jun 25, 2021
3dabe0c
- Added a more user friendly set function for parameters
caioluke Jun 25, 2021
0beee56
- Added JuMP as an extra dependency
caioluke Jul 1, 2021
fd38e5b
- Adress Benoît comments
caioluke Jul 5, 2021
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3 changes: 2 additions & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -10,6 +10,7 @@ MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
GLPK = "60bf3e95-4087-53dc-ae20-288a0d20c6a6"
Ipopt = "b6b21f68-93f8-5de0-b562-5493be1d77c9"
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
JuMP = "4076af6c-e467-56ae-b986-b466b2749572"

[targets]
test = ["Test", "GLPK", "Ipopt"]
test = ["Test", "GLPK", "Ipopt", "JuMP"]
226 changes: 209 additions & 17 deletions src/ParametricOptInterface.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -32,6 +32,7 @@ ParametricOptInterface.ParametricOptimizer{Float64,GLPK.Optimizer}
mutable struct ParametricOptimizer{T, OT <: MOI.ModelLike} <: MOI.AbstractOptimizer
optimizer::OT
parameters::Dict{MOI.VariableIndex, T}
parameters_name::Dict{MOI.VariableIndex, String}
updated_parameters::Dict{MOI.VariableIndex, T}
variables::Dict{MOI.VariableIndex, MOI.VariableIndex}
last_index_added::Int
Expand All @@ -51,6 +52,7 @@ mutable struct ParametricOptimizer{T, OT <: MOI.ModelLike} <: MOI.AbstractOptimi
new{Float64, OT}(
optimizer,
Dict{MOI.VariableIndex, Float64}(),
Dict{MOI.VariableIndex, String}(),
Dict{MOI.VariableIndex, Float64}(),
Dict{MOI.VariableIndex, MOI.VariableIndex}(),
0,
Expand All @@ -70,6 +72,193 @@ mutable struct ParametricOptimizer{T, OT <: MOI.ModelLike} <: MOI.AbstractOptimi
end
end

function MOI.is_empty(model::ParametricOptimizer)
return MOI.is_empty(model.optimizer) &&
isempty(model.parameters) &&
isempty(model.parameters_name) &&
isempty(model.variables) &&
isempty(model.updated_parameters) &&
isempty(model.variables) &&
model.last_index_added == 0 &&
isempty(model.affine_constraint_cache) &&
isempty(model.quadratic_constraint_cache_pv) &&
isempty(model.quadratic_constraint_cache_pp) &&
isempty(model.quadratic_constraint_cache_pc) &&
isempty(model.quadratic_constraint_variables_associated_to_parameters_cache) &&
isempty(model.quadratic_added_cache) &&
model.last_quad_add_added == 0 &&
isempty(model.affine_objective_cache) &&
isempty(model.quadratic_objective_cache_pv) &&
isempty(model.quadratic_objective_cache_pp) &&
isempty(model.quadratic_objective_cache_pc) &&
isempty(model.quadratic_objective_variables_associated_to_parameters_cache)
end

function MOI.supports_constraint(
model::ParametricOptimizer,
F::Union{Type{MOI.SingleVariable},
Type{MOI.ScalarAffineFunction{T}},
Type{MOI.VectorOfVariables},
Type{MOI.VectorAffineFunction{T}}},
S::Type{<:MOI.AbstractSet}) where T

return MOI.supports_constraint(model.optimizer, F, S)
end

function MOI.supports_constraint(
model::ParametricOptimizer,
F::Type{MOI.ScalarQuadraticFunction{T}},
S::Type{<:MOI.AbstractSet}) where T

return MOI.supports_constraint(model.optimizer, MOI.ScalarAffineFunction{T}, S)
end

function MOI.supports(
model::ParametricOptimizer,
attr::Union{MOI.ObjectiveSense,
MOI.ObjectiveFunction{MOI.SingleVariable},
MOI.ObjectiveFunction{MOI.ScalarAffineFunction{T}},
MOI.ObjectiveFunction{MOI.ScalarQuadraticFunction{T}}
}) where T
return MOI.supports(model.optimizer, attr)
end

function MOI.empty!(model::ParametricOptimizer{T}) where T
MOI.empty!(model.optimizer)
empty!(model.parameters)
empty!(model.parameters_name)
empty!(model.updated_parameters)
empty!(model.variables)
model.last_index_added = 0
empty!(model.affine_constraint_cache)
empty!(model.quadratic_constraint_cache_pv)
empty!(model.quadratic_constraint_cache_pp)
empty!(model.quadratic_constraint_cache_pc)
empty!(model.quadratic_constraint_variables_associated_to_parameters_cache)
empty!(model.quadratic_added_cache)
model.last_quad_add_added = 0
empty!(model.affine_objective_cache)
empty!(model.quadratic_objective_cache_pv)
empty!(model.quadratic_objective_cache_pp)
empty!(model.quadratic_objective_cache_pc)
empty!(model.quadratic_objective_variables_associated_to_parameters_cache)
return
end

function MOI.set(model::ParametricOptimizer, attr::MOI.VariableName, v::MOI.VariableIndex, name::String)
if haskey(model.parameters, v)
model.parameters_name[v] = name
else
return MOI.set(model.optimizer, attr, v, name)
end
end

function MOI.get(model::ParametricOptimizer, attr::MOI.VariableName, v::MOI.VariableIndex)
if haskey(model.parameters, v)
return model.parameters_name[v]
else
return MOI.get(model.optimizer, attr, v)
end
end

function MOI.supports(model::ParametricOptimizer, attr::MOI.VariableName, tp::Type{MOI.VariableIndex})
MOI.supports(model.optimizer, attr, tp)
end

function MOI.set(model::ParametricOptimizer, attr::MOI.ConstraintName, c::MOI.ConstraintIndex, name::String)
MOI.set(model.optimizer, attr, c, name)
end

function MOI.get(model::ParametricOptimizer, attr::MOI.ConstraintName, c::MOI.ConstraintIndex)
MOI.get(model.optimizer, attr, c)
end

function MOI.supports(model::ParametricOptimizer, attr::MOI.ConstraintName, tp::Type{<:MOI.ConstraintIndex})
MOI.supports(model.optimizer, attr, tp)
end

struct ParameterValue <: MOI.AbstractVariableAttribute end

function MOI.set(model::ParametricOptimizer, ::ParameterValue, vi::MOI.VariableIndex, val)
cv = MOI.ConstraintIndex{MOI.SingleVariable, POI.Parameter}(vi.value)
MOI.set(model, MOI.ConstraintSet(), cv, POI.Parameter(val))
end

# TODO
# This is not correct, you need to put the parameters back into the function
# function MOI.get(model::ParametricOptimizer, attr::MOI.ConstraintFunction, ci::MOI.ConstraintIndex{F, S}) where {F, S}
# MOI.get(model.optimizer, attr, ci)
# end

function MOI.get(model::ParametricOptimizer, attr::MOI.ConstraintSet, ci::MOI.ConstraintIndex{F, S}) where {F, S}
MOI.throw_if_not_valid(model, ci)
return MOI.get(model.optimizer, attr, ci)
end

function MOI.get(model::ParametricOptimizer, attr::MOI.ObjectiveSense)
MOI.get(model.optimizer, attr)
end

# TODO
# This is not correct, you might have transformed a quadratic function into an affine function,
# you need to give the type that was given by the user, not the type of the inner model.
# function MOI.get(model::ParametricOptimizer, attr::MOI.ObjectiveFunctionType)
# MOI.get(model.optimizer, attr)
# end

# TODO
# Same as ConstraintFunction getter. And you also need to convert to F
# function MOI.get(
# model::ParametricOptimizer,
# attr::MOI.ObjectiveFunction{F}) where F <: Union{MOI.SingleVariable,MOI.ScalarAffineFunction{T}} where T

# MOI.get(model.optimizer, attr)
# end

# TODO
# You might have transformed quadratic functions into affine functions so this is incorrect
# function MOI.get(model::ParametricOptimizer, ::MOI.ListOfConstraints)
# constraints = Set{Tuple{DataType, DataType}}()
# inner_ctrs = MOI.get(model.optimizer, MOI.ListOfConstraints())
# for (F, S) in inner_ctrs
# push!(constraints, (F,S))
# end

# collect(constraints)
# end

function MOI.get(
model::ParametricOptimizer,
attr::MOI.ListOfConstraintIndices{F, S}
) where {S, F<:Union{
MOI.VectorOfVariables,
MOI.SingleVariable,
}}
MOI.get(model.optimizer, attr)
end

# TODO
# You might have transformed quadratic functions into affine functions so this is incorrect
# function MOI.get(
# model::ParametricOptimizer,
# ::MOI.ListOfConstraintIndices{F, S}
# ) where {S<:MOI.AbstractSet, F<:Union{
# MOI.ScalarAffineFunction{T},
# MOI.VectorAffineFunction{T},
# }} where T
# MOI.get(model.optimizer, MOI.ListOfConstraintIndices{F, S}())
# end

function MOI.supports_add_constrained_variable(
model::ParametricOptimizer, ::Type{Parameter})
return true
end

function MOI.supports_add_constrained_variables(
model::ParametricOptimizer, ::Type{MOI.Reals})
return MOI.supports_add_constrained_variables(model.optimizer, MOI.Reals)
end

function MOI.add_variable(model::ParametricOptimizer)
model.last_index_added += 1
v_p = MOI.VariableIndex(model.last_index_added)
Expand All @@ -95,17 +284,18 @@ function MOI.add_constrained_variable(model::ParametricOptimizer, set::Parameter
model.last_index_added += 1
p = MOI.VariableIndex(model.last_index_added)
model.parameters[p] = set.val
return p, MOI.ConstraintIndex{MOI.SingleVariable, typeof(set)}(model.last_index_added)
cp = MOI.ConstraintIndex{MOI.SingleVariable, typeof(set)}(model.last_index_added)
return p, cp
end

function MOI.add_constraint(model::ParametricOptimizer, f::MOI.SingleVariable, set::MOI.AbstractScalarSet)
function MOI.add_constraint(model::ParametricOptimizer, f::MOI.SingleVariable, set::MOI.AbstractScalarSet)
if haskey(model.parameters, f.variable)
error("Cannot constrain a parameter")
elseif haskey(model.variables, f.variable)
return MOI.add_constraint(model.optimizer, f, set)
else
error("Variable not in the model")
end
elseif haskey(model.variables, f.variable)
return MOI.add_constraint(model.optimizer, f, set)
else
error("Variable not in the model")
end
end

function MOI.add_constraint(model::ParametricOptimizer, f::MOI.ScalarAffineFunction{T}, set::MOI.AbstractScalarSet) where T
Expand Down Expand Up @@ -427,7 +617,7 @@ function MOI.set(model::ParametricOptimizer, attr::MOI.ObjectiveFunction{F}, f::
aux = MOI.ScalarQuadraticTerm(i.coefficient, i.variable_index_1, i.variable_index_2)
push!(quad_aff_vars, aux)
push!(aux_variables_associated_to_parameters, i.variable_index_2)

elseif haskey(model.variables, i.variable_index_1) && haskey(model.parameters, i.variable_index_2)
# Check convention defined above
aux = MOI.ScalarQuadraticTerm(i.coefficient, i.variable_index_2, i.variable_index_1)
Expand Down Expand Up @@ -492,21 +682,22 @@ function MOI.set(model::ParametricOptimizer, attr::MOI.ObjectiveFunction{F}, f::
const_term += j.coefficient * model.parameters[j.variable_index_1] * model.parameters[j.variable_index_2]
end


f_quad = if !isempty(quad_terms)
MOI.ScalarQuadraticFunction(
if !isempty(quad_terms)
f_quad = MOI.ScalarQuadraticFunction(
aff_terms,
quad_terms,
const_term
)

MOI.set(model.optimizer, attr, f_quad)
else
MOI.ScalarAffineFunction(
f_quad = MOI.ScalarAffineFunction(
aff_terms,
const_term
)
end

MOI.set(model.optimizer, attr, f_quad)
MOI.set(model.optimizer, MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}(), f_quad)
end

model.quadratic_objective_cache_pv = quad_aff_vars
model.quadratic_objective_cache_pp = quad_params
Expand Down Expand Up @@ -672,7 +863,7 @@ function MOI.optimize!(model::ParametricOptimizer)
end

for (ci, fparam) in model.quadratic_constraint_variables_associated_to_parameters_cache
for j in fparam.terms
for j in fparam
coef = j.coefficient
if haskey(constraint_aux_dict, (ci, j.variable_index))#
constraint_aux_dict[(ci, j.variable_index)] += coef
Expand All @@ -682,8 +873,9 @@ function MOI.optimize!(model::ParametricOptimizer)
end
end

for (key, value) in constraint_aux_dict
MOI.modify(model.optimizer, key[1], MOI.ScalarCoefficientChange(key[2], value))
for ((ci, vi), value) in constraint_aux_dict
old_ci = model.quadratic_added_cache[ci]
MOI.modify(model.optimizer, old_ci, MOI.ScalarCoefficientChange(vi, value))
end

objective_aux_dict = Dict{Any,Any}()
Expand Down
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