Add write_to_file

src/Convex.jl

@@ -56,6 +56,7 @@ export Positive, Negative, ComplexSign, NoSign
 
 # Problems
 export add_constraints!, maximize, minimize, Problem, satisfy, solve!
+export write_to_file
 
 # Module level globals
 

src/problems.jl

@@ -235,3 +235,32 @@ end
 function add_constraint!(p::Problem, constraint::Constraint)
     return add_constraints!(p, constraint)
 end
+
+"""
+    write_to_file(problem::Problem{Float64}, filename::String)
+
+Write the current problem to the file at `filename`.
+
+Requires solving the problem at least once using [`solve!`](@ref) to ensure that
+the problem is loaded into a MathOptInterface model.
+
+The file format is inferred from the filename extension. Supported file
+types depend on the model type.
+
+Currently, `Float64` is the only supported coefficient type. This may be
+relaxed in future if file formats support other types.
+"""
+function write_to_file(p::Problem{T}, filename::String) where {T<:Float64}
+    if isnothing(p.model)
+        msg = """
+        Problem has not been loaded into a MathOptInterface model;
+        call `solve!(problem, optimizer)` before writing problem to file.
+        """
+        throw(ArgumentError(msg))
+    end
+    dest = MOI.FileFormats.Model(; filename)
+    model = MOI.Bridges.full_bridge_optimizer(dest, T)
+    MOI.copy_to(model, p.model)
+    MOI.write_to_file(dest, filename)
+    return
+end

test/test_utilities.jl

@@ -771,6 +771,19 @@ mutable struct DictVector{T} <: Convex.AbstractVariable
         )
         return this
     end
+
+    @testset "test_write_to_file" begin
+        x = Variable(3)
+        p = minimize(logsumexp(x))
+        dir = mktempdir()
+        filename = joinpath(dir, "test.mof.json")
+        @test_throws ArgumentError write_to_file(p, filename)
+        solve!(p, SCS.Optimizer; silent_solver = true)
+        write_to_file(p, filename)
+        @test occursin("ExponentialCone", read(filename, String))
+        p_int = minimize(logsumexp(x); numeric_type = Int)
+        @test_throws MethodError write_to_file(p_int, filename)
+    end
 end
 
 Convex.evaluate(x::DictVector) = global_cache[x.id_hash][:value]