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test_lp.jl
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test_lp.jl
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@testset "LP Atoms: $solver" for solver in solvers
@testset "abs atom" begin
x = Variable()
p = minimize(abs(x), x<=-1)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 1 atol=TOL
@test evaluate(abs(x)) ≈ 1 atol=TOL
x = Variable(2,2)
p = minimize(sum(abs(x)), x[2,2]>=1, x[1,1]>=1, x>=0)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 2 atol=TOL
@test evaluate(sum(abs(x))) ≈ 2 atol=TOL
end
@testset "maximum atom" begin
x = Variable(10)
a = shuffle(collect(0.1:0.1:1.0))
p = minimize(maximum(x), x >= a)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ maximum(a) atol=TOL
@test evaluate(maximum(x)) ≈ maximum(a) atol=TOL
end
@testset "minimum atom" begin
x = Variable(1)
a = reshape(shuffle(collect(0.01:0.01:1.0)), (10, 10))
p = maximize(minimum(x), x <= a)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ minimum(a) atol=TOL
@test evaluate(minimum(x)) ≈ minimum(a) atol=TOL
x = Variable(4, 4)
y = Variable(4, 6)
z = Variable(1)
c = ones(4, 1)
d = fill(2.0, (6, 1))
constraints = [[x y] <= 2, z <= 0, z <= x, 2z >= -1]
objective = sum(x + z) + minimum(y) + c' * y * d
p = maximize(objective, constraints)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 130 atol=TOL
@test (evaluate(objective))[1] ≈ 130 atol=TOL
end
@testset "max atom" begin
x = Variable(10, 10)
y = Variable(10, 10)
a = reshape(shuffle(collect(0.01:0.01:1.0)), (10, 10))
b = reshape(shuffle(collect(0.01:0.01:1.0)), (10, 10))
p = minimize(maximum(max(x, y)), [x >= a, y >= b])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
max_a = maximum(a)
max_b = maximum(b)
@test p.optval ≈ max(max_a, max_b) atol=10TOL
@test evaluate(maximum(max(x, y))) ≈ max(max_a, max_b) atol=10TOL
end
@testset "min atom" begin
x = Variable(10, 10)
y = Variable(10, 10)
a = reshape(shuffle(collect(0.01:0.01:1.0)), (10, 10))
b = reshape(shuffle(collect(0.01:0.01:1.0)), (10, 10))
p = maximize(minimum(min(x, y)), [x <= a, y <= b])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
min_a = minimum(a)
min_b = minimum(b)
@test p.optval ≈ min(min_a, min_b) atol=10TOL
@test evaluate(minimum(min(x, y))) ≈ min(min_a, min_b) atol=10TOL
end
@testset "pos atom" begin
x = Variable(3)
a = [-2; 1; 2]
p = minimize(sum(pos(x)), [x >= a, x <= 2])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 3 atol=TOL
@test evaluate(sum(pos(x))) ≈ 3 atol=TOL
end
@testset "neg atom" begin
x = Variable(3)
p = minimize(1, [x >= -2, x <= -2, neg(x) >= -3])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 1 atol=TOL
@test evaluate(sum(neg(x))) ≈ -6 atol=TOL
end
@testset "sumlargest atom" begin
x = Variable(2)
p = minimize(sumlargest(x, 2), x >= [1; 1])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 2 atol=TOL
@test evaluate(sumlargest(x, 2)) ≈ 2 atol=TOL
x = Variable(4, 4)
p = minimize(sumlargest(x, 3), x >= eye(4), x[1, 1] >= 1.5, x[2, 3] >= 2.1)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 4.6 atol=TOL
@test evaluate(sumlargest(x, 2)) ≈ 3.6 atol=TOL
end
@testset "sumsmallest atom" begin
x = Variable(4, 4)
p = minimize(sumlargest(x, 2), sumsmallest(x, 4) >= 1)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 0.5 atol=TOL
@test evaluate(sumsmallest(x, 4)) ≈ 1 atol=TOL
x = Variable(3, 2)
p = maximize(sumsmallest(x, 3), x >= 2, x <= 5, sumlargest(x, 3) <= 12)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 12 atol=TOL
@test evaluate(sumsmallest(x, 3)) ≈ 12 atol=TOL
end
@testset "dotsort atom" begin
x = Variable(4, 1)
p = minimize(dotsort(x, [1, 2, 3, 4]), sum(x) >= 7, x >= 0, x <= 2, x[4] <= 1)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 19 atol=TOL
@test vec(x.value) ≈ [2; 2; 2; 1] atol=TOL
@test evaluate(dotsort(x, [1, 2, 3, 4])) ≈ 19 atol=TOL
x = Variable(2, 2)
p = minimize(dotsort(x, [1 2; 3 4]), sum(x) >= 7, x >= 0, x <= 2, x[2, 2] <= 1)
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 19 atol=TOL
@test evaluate(dotsort(x, [1, 2, 3, 4])) ≈ 19 atol=TOL
end
@testset "hinge loss atom" begin
# TODO: @davidlizeng. We should finish this someday.
end
@testset "norm inf atom" begin
x = Variable(3)
p = minimize(norm_inf(x), [-2 <= x, x <= 1])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 0 atol=TOL
@test evaluate(norm_inf(x)) ≈ 0 atol=TOL
end
@testset "norm 1 atom" begin
x = Variable(3)
p = minimize(norm_1(x), [-2 <= x, x <= 1])
@test vexity(p) == ConvexVexity()
solve!(p, solver)
@test p.optval ≈ 0 atol=TOL
@test evaluate(norm_1(x)) ≈ 0 atol=TOL
end
end