Remove error from feasibility sense (#162)

* Remove error from feasibility sense

* add kwarg

* fix typo

* fix test

* Update src/objective_coefficients.jl

Co-authored-by: Oscar Dowson <odow@users.noreply.github.com>

* add flag to dual optimizer

---------

Co-authored-by: joaquimg <joaquimdgarcia@gmail.com>
Co-authored-by: Oscar Dowson <odow@users.noreply.github.com>

Author: 3 people

src/MOI_wrapper.jl

@@ -8,17 +8,21 @@ export DualOptimizer, dual_optimizer
 function dual_optimizer(
     optimizer_constructor;
     coefficient_type::Type{T} = Float64,
+    kwargs...,
 ) where {T<:Number}
-    return () -> DualOptimizer{T}(MOI.instantiate(optimizer_constructor))
+    return () ->
+        DualOptimizer{T}(MOI.instantiate(optimizer_constructor), kwargs...)
 end
 
 struct DualOptimizer{T,OT<:MOI.ModelLike} <: MOI.AbstractOptimizer
     dual_problem::DualProblem{T,OT}
+    assume_min_if_feasibility::Bool
 
     function DualOptimizer{T,OT}(
-        dual_problem::DualProblem{T,OT},
+        dual_problem::DualProblem{T,OT};
+        assume_min_if_feasibility::Bool = false,
     ) where {T,OT<:MOI.ModelLike}
-        return new{T,OT}(dual_problem)
+        return new{T,OT}(dual_problem, assume_min_if_feasibility)
     end
 end
 
@@ -50,11 +54,14 @@ CachingOptimizer state: EMPTY_OPTIMIZER
 Solver name: Dual model with HiGHS attached
 ```
 """
-function DualOptimizer(dual_optimizer::OT) where {OT<:MOI.ModelLike}
-    return DualOptimizer{Float64}(dual_optimizer)
+function DualOptimizer(dual_optimizer::OT; kwargs...) where {OT<:MOI.ModelLike}
+    return DualOptimizer{Float64}(dual_optimizer, kwargs...)
 end
 
-function DualOptimizer{T}(dual_optimizer::OT) where {T,OT<:MOI.ModelLike}
+function DualOptimizer{T}(
+    dual_optimizer::OT;
+    kwargs...,
+) where {T,OT<:MOI.ModelLike}
     dual_problem = DualProblem{T}(
         MOI.Bridges.full_bridge_optimizer(
             MOI.Utilities.CachingOptimizer(
@@ -67,7 +74,7 @@ function DualOptimizer{T}(dual_optimizer::OT) where {T,OT<:MOI.ModelLike}
     # discover the type of
     # MOI.Utilities.CachingOptimizer(DualizableModel{T}(), dual_optimizer)
     OptimizerType = typeof(dual_problem.dual_model)
-    return DualOptimizer{T,OptimizerType}(dual_problem)
+    return DualOptimizer{T,OptimizerType}(dual_problem, kwargs...)
 end
 
 DualOptimizer() = error("DualOptimizer must have a solver attached")
@@ -205,7 +212,11 @@ function MOI.supports_add_constrained_variables(
 end
 
 function MOI.copy_to(dest::DualOptimizer, src::MOI.ModelLike)
-    dualize(src, dest.dual_problem)
+    dualize(
+        src,
+        dest.dual_problem,
+        assume_min_if_feasibility = dest.assume_min_if_feasibility,
+    )
     idx_map = MOI.Utilities.IndexMap()
     for vi in MOI.get(src, MOI.ListOfVariableIndices())
         setindex!(idx_map, vi, vi)

src/dualize.jl

@@ -44,6 +44,11 @@ On each of these methods, the user can provide the following keyword arguments:
   * `ignore_objective`: a boolean indicating if the objective function should be
     added to the dual model. This is also useful for bi-level modelling, where
     the second level model is represented as a KKT in the upper level model.
+
+  * `assume_min_if_feasibility`: a boolean indicating if the objective function 
+    is of type `MOI.FEASIBILITY_SENSE` then the objective is treated as
+    `MOI.MIN_SENSE`. Therefore, the dual will have a `MOI.MAX_SENSE` objective.
+    This is set to false by default, to warn users about the outcome.
 """
 function dualize end
 
@@ -54,6 +59,7 @@ function dualize(
     variable_parameters::Vector{MOI.VariableIndex} = MOI.VariableIndex[],
     ignore_objective::Bool = false,
     consider_constrained_variables::Bool = true,
+    assume_min_if_feasibility::Bool = false,
 )
     return dualize(
         primal_model,
@@ -62,6 +68,7 @@ function dualize(
         variable_parameters,
         ignore_objective,
         consider_constrained_variables,
+        assume_min_if_feasibility,
     )
 end
 
@@ -72,6 +79,7 @@ function dualize(
     _variable_parameters::Vector{MOI.VariableIndex},
     ignore_objective::Bool,
     consider_constrained_variables::Bool,
+    assume_min_if_feasibility::Bool = false,
 ) where {T}
     # Throws an error if objective function cannot be dualized
     supported_objective(primal_model)
@@ -90,7 +98,11 @@ function dualize(
     variable_parameters = collect(all_parameters)
 
     # Set the dual model objective sense
-    _set_dual_model_sense(dual_problem.dual_model, primal_model)
+    _set_dual_model_sense(
+        dual_problem.dual_model,
+        primal_model,
+        assume_min_if_feasibility,
+    )
 
     # Get primal objective in quadratic form
     # terms already split considering parameters

src/objective_coefficients.jl

@@ -11,6 +11,7 @@ Set the dual model objective sense.
 function _set_dual_model_sense(
     dual_model::MOI.ModelLike,
     primal_model::MOI.ModelLike,
+    assume_min_if_feasibility::Bool,
 )::Nothing
     # Get model sense
     primal_sense = MOI.get(primal_model, MOI.ObjectiveSense())
@@ -19,8 +20,19 @@ function _set_dual_model_sense(
         MOI.MAX_SENSE
     elseif primal_sense == MOI.MAX_SENSE
         MOI.MIN_SENSE
-    else # primal_sense == MOI.FEASIBILITY_SENSE
-        error(primal_sense, " is not supported")
+    elseif primal_sense == MOI.FEASIBILITY_SENSE && assume_min_if_feasibility
+        # We assume fesibility sense is a Min 0
+        # so the dual would be Max ...
+        MOI.MAX_SENSE
+    else
+        error(
+            "Expected objective sense to be either MIN_SENSE or MAX_SENSE, " *
+            "got FEASIBILITY_SENSE. It is not possible to decide how to " *
+            "dualize. Set the sense to either MIN_SENSE or MAX_SENSE to " *
+            "proceed. Alternatively, set the keyword argument " *
+            "`assume_min_if_feasibility` to true to assume the dual model " *
+            "is a minimization problem without setting the sense.",
+        )
     end
     MOI.set(dual_model, MOI.ObjectiveSense(), dual_sense)
     return

test/Problems/Feasibility/feasibility_problems.jl

@@ -0,0 +1,21 @@
+function feasibility_1_test()
+    #=
+        min 0
+    s.t.
+        x_1 + 2x_2 <= 3
+        x_1 >= 3
+    =#
+    model = TestModel{Float64}()
+
+    X = MOI.add_variables(model, 2)
+
+    MOI.add_constraint(
+        model,
+        MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.([1.0, 2.0], X), 0.0),
+        MOI.LessThan(3.0),
+    )
+
+    MOI.add_constraint(model, X[1], MOI.GreaterThan(3.0))
+
+    return model
+end

test/Tests/test_dualize_feasibility.jl

@@ -0,0 +1,60 @@
+@testset "linear problems" begin
+    @testset "feasibility_1_test" begin
+        #=
+        primal
+            min 0
+        s.t.
+            x_1 >= 3         :y_2
+            x_1 + 2x_2 <= 3  :y_3
+        dual
+            max 3y_2 + 3y_3
+        s.t.
+            y_2 >= 0
+            y_3 <= 0
+            y_2 + y_3 == 0    :x_1
+            2y_3 == 0        :x_2
+        =#
+        primal_model = feasibility_1_test()
+
+        # fail due no objective sense
+        @test_throws ErrorException Dualization.dualize(primal_model)
+
+        dual =
+            Dualization.dualize(primal_model, assume_min_if_feasibility = true)
+        dual_model = dual.dual_model
+        primal_dual_map = dual.primal_dual_map
+
+        @test MOI.get(dual_model, MOI.NumberOfVariables()) == 2
+        list_of_cons = MOI.get(dual_model, MOI.ListOfConstraintTypesPresent())
+        @test Set(list_of_cons) == Set(
+            [
+                (MOI.VariableIndex, MOI.GreaterThan{Float64})
+                (MOI.VariableIndex, MOI.LessThan{Float64})
+                (MOI.ScalarAffineFunction{Float64}, MOI.EqualTo{Float64})
+            ],
+        )
+        @test MOI.get(
+            dual_model,
+            MOI.NumberOfConstraints{
+                MOI.VariableIndex,
+                MOI.GreaterThan{Float64},
+            }(),
+        ) == 1
+        @test MOI.get(
+            dual_model,
+            MOI.NumberOfConstraints{MOI.VariableIndex,MOI.LessThan{Float64}}(),
+        ) == 1
+        @test MOI.get(
+            dual_model,
+            MOI.NumberOfConstraints{
+                MOI.ScalarAffineFunction{Float64},
+                MOI.EqualTo{Float64},
+            }(),
+        ) == 2
+        obj_type = MOI.get(dual_model, MOI.ObjectiveFunctionType())
+        @test obj_type == MOI.ScalarAffineFunction{Float64}
+        obj = MOI.get(dual_model, MOI.ObjectiveFunction{obj_type}())
+        @test MOI.constant(obj) == 0.0
+        @test MOI.coefficient.(obj.terms) == [3.0; 3.0]
+    end
+end

test/Tests/test_objective_coefficients.jl

@@ -4,20 +4,15 @@
 # in the LICENSE.md file or at https://opensource.org/licenses/MIT.
 
 @testset "objective_coefficients.jl" begin
-    @testset "_set_dual_model_sense" begin
-        # ERROR: FEASIBILITY_SENSE is not supported
-        # @test_throws ErrorException Dualization._set_dual_model_sense(lp11_test(), lp11_test())
-        # obj = MOI.ScalarAffineFunction([MOI.ScalarAffineTerm(0.0, MOI.VariableIndex(1))], 0.0)
-        # @test_throws ErrorException Dualization._PrimalObjective{Float64}(obj)
-
+    @testset "set_dual_model_sense" begin
         model = lp1_test()
         @test MOI.get(model, MOI.ObjectiveSense()) == MOI.MIN_SENSE
-        Dualization._set_dual_model_sense(model, model)
+        Dualization._set_dual_model_sense(model, model, false)
         @test MOI.get(model, MOI.ObjectiveSense()) == MOI.MAX_SENSE
 
         model = lp4_test()
         @test MOI.get(model, MOI.ObjectiveSense()) == MOI.MAX_SENSE
-        Dualization._set_dual_model_sense(model, model)
+        Dualization._set_dual_model_sense(model, model, false)
         @test MOI.get(model, MOI.ObjectiveSense()) == MOI.MIN_SENSE
     end
 end

test/runtests.jl

@@ -54,6 +54,7 @@ include("Problems/RSOC/rsoc_problems.jl")
 include("Problems/SDP/sdp_triangle_problems.jl")
 include("Problems/Exponential/exponential_cone_problems.jl")
 include("Problems/Power/power_cone_problems.jl")
+include("Problems/Feasibility/feasibility_problems.jl")
 
 # Run tests to travis ci
 include("Tests/test_structures.jl")
@@ -63,6 +64,7 @@ include("Tests/test_dual_model_variables.jl")
 include("Tests/test_dual_sets.jl")
 include("Tests/test_dualize_conic_linear.jl")
 include("Tests/test_dualize_linear.jl")
+include("Tests/test_dualize_feasibility.jl")
 include("Tests/test_dualize_soc.jl")
 include("Tests/test_dualize_rsoc.jl")
 include("Tests/test_dualize_sdp.jl")