Merge pull request #994 from JuliaOpt/bl/normone_start

Implement starting values for NormOneBridge

Author: blegat

src/Bridges/Constraint/norm_to_lp.jl

@@ -127,21 +127,64 @@ function MOI.get(model::MOI.ModelLike, ::MOI.ConstraintSet, c::NormOneBridge)
     dim = 1 + div(MOI.dimension(MOI.get(model, MOI.ConstraintSet(), c.nn_index)), 2)
     return MOI.NormOneCone(dim)
 end
-function MOI.get(model::MOI.ModelLike, ::MOI.ConstraintPrimal, c::NormOneBridge)
-    ge_primal = MOI.get(model, MOI.ConstraintPrimal(), c.ge_index)
-    nn_primal = MOI.get(model, MOI.ConstraintPrimal(), c.nn_index)
+
+function MOI.supports(
+    ::MOI.ModelLike,
+    ::Union{MOI.ConstraintPrimalStart, MOI.ConstraintDualStart},
+    ::Type{<:NormOneBridge})
+
+    return true
+end
+function MOI.set(model::MOI.ModelLike, attr::MOI.ConstraintPrimalStart,
+                 bridge::NormOneBridge{T}, value) where T
+    x_value = value[1 .+ (1:length(bridge.y))]
+    y_value = abs.(x_value)
+    for i in eachindex(bridge.y)
+        MOI.set(model, MOI.VariablePrimalStart(), bridge.y[i], y_value[i])
+    end
+    MOI.set(model, attr, bridge.nn_index, [y_value - x_value; y_value + x_value])
+    MOI.set(model, attr, bridge.ge_index, value[1] - reduce(+, y_value, init=zero(T)))
+    return
+end
+function MOI.get(model::MOI.ModelLike,
+                 attr::Union{MOI.ConstraintPrimal, MOI.ConstraintPrimalStart},
+                 bridge::NormOneBridge)
+    ge_primal = MOI.get(model, attr, bridge.ge_index)
+    nn_primal = MOI.get(model, attr, bridge.nn_index)
     t = ge_primal + sum(nn_primal) / 2
-    d = length(c.y)
+    d = length(bridge.y)
     x = (nn_primal[(d + 1):end] - nn_primal[1:d]) / 2
     return vcat(t, x)
 end
 # Given a_i is dual on y_i - x_i >= 0 and b_i is dual on y_i + x_i >= 0 and c is dual on t - sum(y) >= 0,
 # the dual on (t, x) in NormOneCone is (u, v) in NormInfinityCone, where
 # v_i = -a_i + b_i and u = c.
-function MOI.get(model::MOI.ModelLike, ::MOI.ConstraintDual, c::NormOneBridge)
-    t = MOI.get(model, MOI.ConstraintDual(), c.ge_index)
-    nn_dual = MOI.get(model, MOI.ConstraintDual(), c.nn_index)
-    d = div(length(nn_dual), 2)
-    x = (nn_dual[(d + 1):end] - nn_dual[1:d])
+function MOI.get(model::MOI.ModelLike,
+                 attr::Union{MOI.ConstraintDual, MOI.ConstraintDualStart},
+                 bridge::NormOneBridge)
+    t = MOI.get(model, attr, bridge.ge_index)
+    nn_dual = MOI.get(model, attr, bridge.nn_index)
+    d = length(bridge.y)
+    x = nn_dual[(d + 1):end] - nn_dual[1:d]
     return vcat(t, x)
 end
+# value[1 + i] = nn_dual[d + i] - nn_dual[i]
+# and `nn_dual` is nonnegative. By complementarity slackness, only one of each
+# `nn_dual` can be nonzero (except if `x = 0`) so we can set
+# depending on the sense of `value[1 + i]`.
+function MOI.set(model::MOI.ModelLike, ::MOI.ConstraintDualStart,
+                 bridge::NormOneBridge, value)
+    t = MOI.set(model, MOI.ConstraintDualStart(), bridge.ge_index, value[1])
+    d = length(bridge.y)
+    nn_dual = zeros(eltype(value), 2d)
+    for i in eachindex(bridge.y)
+        v = value[1 + i]
+        if v < 0
+            nn_dual[i] = -v
+        else
+            nn_dual[d + i] = v
+        end
+    end
+    MOI.set(model, MOI.ConstraintDualStart(), bridge.nn_index, nn_dual)
+    return
+end

test/Bridges/Constraint/norm_to_lp.jl

@@ -100,13 +100,17 @@ end
     MOIT.normone1vtest(bridged_mock, config)
     MOIT.normone1ftest(bridged_mock, config)
 
+    var_names = ["x", "y", "z"]
+    MOI.set(bridged_mock, MOI.VariableName(), MOI.get(bridged_mock, MOI.ListOfVariableIndices()), var_names)
+
+    nonneg = MOI.get(mock, MOI.ListOfConstraintIndices{MOI.VectorAffineFunction{Float64}, MOI.Nonnegatives}())
+    greater = MOI.get(mock, MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{Float64}, MOI.GreaterThan{Float64}}())
+    u, v = MOI.get(mock, MOI.ListOfVariableIndices())[4:5]
     @testset "Test mock model" begin
-        var_names = ["x", "y", "z", "u", "v"]
-        MOI.set(mock, MOI.VariableName(), MOI.get(mock, MOI.ListOfVariableIndices()), var_names)
-        nonneg = MOI.get(mock, MOI.ListOfConstraintIndices{MOI.VectorAffineFunction{Float64}, MOI.Nonnegatives}())
+        MOI.set(mock, MOI.VariableName(), u, "u")
+        MOI.set(mock, MOI.VariableName(), v, "v")
         @test length(nonneg) == 1
         MOI.set(mock, MOI.ConstraintName(), nonneg[1], "nonneg")
-        greater = MOI.get(mock, MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{Float64}, MOI.GreaterThan{Float64}}())
         @test length(greater) == 1
         MOI.set(mock, MOI.ConstraintName(), greater[1], "greater")
         zeros = MOI.get(mock, MOI.ListOfConstraintIndices{MOI.VectorAffineFunction{Float64}, MOI.Zeros}())
@@ -124,12 +128,10 @@ end
         """
         model = MOIU.Model{Float64}()
         MOIU.loadfromstring!(model, s)
-        MOIU.test_models_equal(mock, model, var_names, ["nonneg", "greater", "x_eq", "y_eq"])
+        MOIU.test_models_equal(mock, model, [var_names; "u"; "v"], ["nonneg", "greater", "x_eq", "y_eq"])
     end
 
     @testset "Test bridged model" begin
-        var_names = ["x", "y", "z"]
-        MOI.set(bridged_mock, MOI.VariableName(), MOI.get(bridged_mock, MOI.ListOfVariableIndices()), var_names)
         normone = MOI.get(bridged_mock, MOI.ListOfConstraintIndices{MOI.VectorAffineFunction{Float64}, MOI.NormOneCone}())
         @test length(normone) == 1
         MOI.set(bridged_mock, MOI.ConstraintName(), normone[1], "normone")
@@ -151,6 +153,23 @@ end
     end
 
     ci = first(MOI.get(bridged_mock, MOI.ListOfConstraintIndices{MOI.VectorAffineFunction{Float64}, MOI.NormOneCone}()))
+
+    @testset "$attr" for attr in [MOI.ConstraintPrimalStart(), MOI.ConstraintDualStart()]
+        @test MOI.supports(bridged_mock, attr, typeof(ci))
+        value = [4.0, 1.0, -2.0]
+        MOI.set(bridged_mock, attr, ci, value)
+        @test MOI.get(bridged_mock, attr, ci) ≈ value
+        if attr isa MOI.ConstraintPrimalStart
+            @test MOI.get(mock, MOI.VariablePrimalStart(), u) == 1
+            @test MOI.get(mock, MOI.VariablePrimalStart(), v) == 2
+            @test MOI.get(mock, attr, nonneg[1]) == [0.0, 4.0, 2.0, 0.0]
+            @test MOI.get(mock, attr, greater[1]) == 1
+        else
+            @test MOI.get(mock, attr, nonneg[1]) == [0.0, 2.0, 1.0, 0.0]
+            @test MOI.get(mock, attr, greater[1]) == 4
+        end
+    end
+
     test_delete_bridge(bridged_mock, ci, 3, (
         (MOI.ScalarAffineFunction{Float64}, MOI.GreaterThan{Float64}, 0),
         (MOI.VectorAffineFunction{Float64}, MOI.Nonnegatives, 0)))