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Merge pull request #14 from blegat/bl/invariant_polytope_inplace
Modify optimizer in-place in invariant_polytope
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,69 +1,94 @@ | ||
| using JuMP | ||
| using ParameterJuMP | ||
| using Polyhedra | ||
| mutable struct BalancedComplexPolytope{T, VT <: AbstractVector{T}, D<:Polyhedra.FullDim} | ||
| mutable struct BalancedComplexPolytope{T, CT, VT <: AbstractVector{CT}, D<:Polyhedra.FullDim} | ||
| d::D | ||
| points::Vector{VT} | ||
| optimizer_constructor | ||
| model::Union{Nothing, JuMP.Model} | ||
| real_z::Union{Nothing, Vector{ParameterJuMP.ParameterRef}} | ||
| imag_z::Union{Nothing, Vector{ParameterJuMP.ParameterRef}} | ||
| t_0::Union{Nothing, JuMP.VariableRef} | ||
| function BalancedComplexPolytope{T, VT, D}( | ||
| model::Union{Nothing, MOI.ModelLike} | ||
| sum_con::Union{Nothing, MOI.ConstraintIndex{MOI.ScalarAffineFunction{T}, MOI.LessThan{T}}} | ||
| real_z::Union{Nothing, Vector{MOI.ConstraintIndex{MOI.ScalarAffineFunction{T}, MOI.EqualTo{T}}}} | ||
| imag_z::Union{Nothing, Vector{MOI.ConstraintIndex{MOI.ScalarAffineFunction{T}, MOI.EqualTo{T}}}} | ||
| t_0::Union{Nothing, MOI.VariableIndex} | ||
| function BalancedComplexPolytope{T, CT, VT, D}( | ||
| d::Polyhedra.FullDim, points::Polyhedra.PointIt, | ||
| optimizer_constructor=nothing) where {T, VT, D} | ||
| new{T, VT, D}(Polyhedra.FullDim_convert(D, d), | ||
| Polyhedra.lazy_collect(points), optimizer_constructor, nothing, nothing, nothing, nothing) | ||
| optimizer_constructor=nothing) where {T, CT, VT, D} | ||
| new{T, CT, VT, D}(Polyhedra.FullDim_convert(D, d), | ||
| Polyhedra.lazy_collect(points), optimizer_constructor, nothing, nothing, nothing, nothing) | ||
| end | ||
| end | ||
| function BalancedComplexPolytope(d::Polyhedra.FullDim, points::Polyhedra.PointIt, args...) | ||
| return BalancedComplexPolytope{Polyhedra.coefficient_type(eltype(points)), eltype(points), | ||
| typeof(d)}(d, points, args...) | ||
| VT = eltype(points) | ||
| CT = Polyhedra.coefficient_type(VT) | ||
| return BalancedComplexPolytope{real(CT), CT, VT, typeof(d)}(d, points, args...) | ||
| end | ||
|
|
||
| Polyhedra.FullDim(v::BalancedComplexPolytope) = v.d | ||
|
|
||
| function _reset_model(p::BalancedComplexPolytope) | ||
| p.model = nothing | ||
| p.real_z = nothing | ||
| p.imag_z = nothing | ||
| p.t_0 = nothing | ||
| end | ||
|
|
||
| function _build_model(brp::BalancedComplexPolytope) | ||
| function _build_model(brp::BalancedComplexPolytope{T}) where T | ||
| @assert brp.model === nothing | ||
| n = length(brp.points) | ||
| brp.model = ParameterJuMP.ModelWithParams(brp.optimizer_constructor) | ||
| brp.model = MOI.instantiate(brp.optimizer_constructor, with_bridge_type = T) | ||
| # Real part of `t` | ||
| α = @variable(brp.model, [1:n]) | ||
| α = Vector{MOI.VariableIndex}(undef, n) | ||
| # Imaginary part of `t` | ||
| β = @variable(brp.model, [1:n]) | ||
| q = @variable(brp.model, [1:n]) | ||
| β = Vector{MOI.VariableIndex}(undef, n) | ||
| q = Vector{MOI.VariableIndex}(undef, n) | ||
| # |t| ≤ q | ||
| for i in 1:n | ||
| @constraint(brp.model, [q[i], α[i], β[i]] in SecondOrderCone()) | ||
| vars, con = MOI.add_constrained_variables(brp.model, MOI.SecondOrderCone(3)) | ||
| q[i], α[i], β[i] = vars | ||
| end | ||
| # sum |t| ≤ sum q ≤ 1 | ||
| @constraint(brp.model, sum(q) ≤ 1) | ||
| return sum(α[i] .* real.(brp.points[i]) for i in 1:n) - sum(β[i] .* imag.(brp.points[i]) for i in 1:n), | ||
| sum(α[i] .* imag.(brp.points[i]) for i in 1:n) + sum(β[i] .* real.(brp.points[i]) for i in 1:n) | ||
| end | ||
|
|
||
| function _fix(p::BalancedComplexPolytope, v) | ||
| JuMP.fix.(brp.real_z, real.(v)) | ||
| JuMP.fix.(brp.imag_z, imag.(v)) | ||
| brp.sum_con = MOI.add_constraint(brp.model, _sum(q, T), MOI.LessThan(one(T))) | ||
| rp = [real.(p) for p in brp.points] | ||
| ip = [imag.(p) for p in brp.points] | ||
| real_hull = MOI.Utilities.operate!.( | ||
| -, T, | ||
| _convex_combination(α, rp, brp.d), | ||
| _convex_combination(β, ip, brp.d)) | ||
| imag_hull = MOI.Utilities.operate!.( | ||
| +, T, | ||
| _convex_combination(α, ip, brp.d), | ||
| _convex_combination(β, rp, brp.d)) | ||
| return real_hull, imag_hull | ||
| end | ||
|
|
||
| function _parametrized_model(brp::BalancedComplexPolytope, v) | ||
| real_hull, imag_hull = _build_model(brp) | ||
| brp.real_z = ParameterJuMP.add_parameters(brp.model, collect(real.(v))) | ||
| brp.imag_z = ParameterJuMP.add_parameters(brp.model, collect(imag.(v))) | ||
| @constraint(brp.model, brp.real_z .== real_hull) | ||
| @constraint(brp.model, brp.imag_z .== imag_hull) | ||
| brp.real_z = [MOI.add_constraint(brp.model, real_hull[i], MOI.EqualTo(real(v[i]))) for i in 1:brp.d] | ||
| brp.imag_z = [MOI.add_constraint(brp.model, imag_hull[i], MOI.EqualTo(imag(v[i]))) for i in 1:brp.d] | ||
| end | ||
|
|
||
| function _ratio_model(brp::BalancedComplexPolytope, v) | ||
| function _ratio_model(brp::BalancedComplexPolytope{T}, v) where T | ||
| real_hull, imag_hull = _build_model(brp) | ||
| brp.t_0 = @variable(brp.model) | ||
| @constraint(brp.model, brp.t_0 .* real.(v) .== real_hull) | ||
| @constraint(brp.model, brp.t_0 .* imag.(v) .== imag_hull) | ||
| brp.t_0 = MOI.add_variable(brp.model) | ||
| for i in 1:brp.d | ||
| push!(real_hull[i].terms, MOI.ScalarAffineTerm(-real(v[i]), brp.t_0)) | ||
| push!(imag_hull[i].terms, MOI.ScalarAffineTerm(-imag(v[i]), brp.t_0)) | ||
| end | ||
| brp.real_z = [MOI.add_constraint(brp.model, real_hull[i], MOI.EqualTo(zero(T))) for i in 1:brp.d] | ||
| brp.imag_z = [MOI.add_constraint(brp.model, imag_hull[i], MOI.EqualTo(zero(T))) for i in 1:brp.d] | ||
| end | ||
|
|
||
| function _update_model(p::BalancedComplexPolytope{T}, v) where T | ||
| vars, con = MOI.add_constrained_variables(p.model, MOI.SecondOrderCone(3)) | ||
| q, α, β = vars | ||
| MOI.modify(p.model, p.sum_con, MOI.ScalarCoefficientChange(q, one(T))) | ||
| for i in 1:p.d | ||
| MOI.modify(p.model, p.real_z[i], MOI.ScalarCoefficientChange(α, real(v[i]))) | ||
| MOI.modify(p.model, p.imag_z[i], MOI.ScalarCoefficientChange(β, imag(v[i]))) | ||
| end | ||
| end | ||
|
|
||
| function _fix(bcp::BalancedComplexPolytope, v) | ||
| for i in 1:bcp.d | ||
| if bcp.t_0 === nothing | ||
| MOI.set(bcp.model, MOI.ConstraintSet(), bcp.real_z[i], MOI.EqualTo(real(v[i]))) | ||
| MOI.set(bcp.model, MOI.ConstraintSet(), bcp.imag_z[i], MOI.EqualTo(imag(v[i]))) | ||
| else | ||
| MOI.modify(bcp.model, bcp.real_z[i], MOI.ScalarCoefficientChange(bcp.t_0, -real(v[i]))) | ||
| MOI.modify(bcp.model, bcp.imag_z[i], MOI.ScalarCoefficientChange(bcp.t_0, -imag(v[i]))) | ||
| end | ||
| end | ||
| end |
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