Support AbstractArray in relative_entropy and log_perspective (#695)

src/supported_operations.jl

@@ -1056,7 +1056,12 @@ julia> size(atom)
 (1, 1)
 ```
 """
-log_perspective(x::AbstractExpr, y::AbstractExpr) = -relative_entropy(y, x)
+function log_perspective(
+    x::Union{AbstractExpr,AbstractArray},
+    y::Union{AbstractExpr,AbstractArray},
+)
+    return -relative_entropy(y, x)
+end
 
 """
     LinearAlgebra.logdet(X::Convex.AbstractExpr)
@@ -1821,7 +1826,7 @@ Base.real(x::Constant) = x
 """
     relative_entropy(x::Convex.AbstractExpr, y::Convex.AbstractExpr)
 
-The epigraph of \$\\sum y_i*\\log \\frac{x_i}{y_i}\$.
+The epigraph of \$\\sum x_i*\\log \\frac{x_i}{y_i}\$.
 
 ## Examples
 
@@ -1845,7 +1850,6 @@ julia> x = Variable(3);
 
 julia> y = Variable(3);
 
-julia> atom = relative_entropy(x, y)
 julia> atom = relative_entropy(x, y)
 relative_entropy (convex; real)
 ├─ 3-element real variable (id: 906…671)
@@ -1857,6 +1861,16 @@ julia> size(atom)
 """
 relative_entropy(x::AbstractExpr, y::AbstractExpr) = RelativeEntropyAtom(x, y)
 
+function relative_entropy(x::AbstractExpr, y::AbstractArray)
+    return RelativeEntropyAtom(x, constant(y))
+end
+
+function relative_entropy(x::AbstractArray, y::AbstractExpr)
+    return RelativeEntropyAtom(constant(x), y)
+end
+
+relative_entropy(x::AbstractArray, y::AbstractArray) = sum(x .* log.(x ./ y))
+
 """
     Base.reshape(x::AbstractExpr, m::Int, n::Int)
 

test/test_atoms.jl

@@ -1196,6 +1196,22 @@ function test_RelativeEntropyAtom()
         return relative_entropy(x, y)
     end
     target = """
+    variables: u, v1, v2
+    minobjective: 1.0 * u + 0.0
+    [1.0*u, 1.0*v1, 1.0*v2, 2.0, 3.0] in RelativeEntropyCone(5)
+    """
+    _test_atom(target) do context
+        return relative_entropy([2, 3], Variable(2))
+    end
+    target = """
+    variables: u, w1, w2
+    minobjective: 1.0 * u + 0.0
+    [1.0*u, 2.0, 3.0, 1.0*w1, 1.0*w2] in RelativeEntropyCone(5)
+    """
+    _test_atom(target) do context
+        return relative_entropy(Variable(2), [2, 3])
+    end
+    target = """
     variables: u, v1, v2, w1, w2
     minobjective: -1.0 * u + 1.0
     [1.0*u, 1.0*v1, 1.0*v2, 1.0*w1, 1.0*w2] in RelativeEntropyCone(5)
@@ -1205,6 +1221,24 @@ function test_RelativeEntropyAtom()
         y = Variable(2)
         return 1.0 + log_perspective(x, y)
     end
+    target = """
+    variables: u, w1, w2
+    minobjective: -1.0 * u + 1.0
+    [1.0*u, 1.0*w1, 1.0*w2, 2.0, 3.0] in RelativeEntropyCone(5)
+    """
+    _test_atom(target) do context
+        return 1.0 + log_perspective(Variable(2), [2, 3])
+    end
+    target = """
+    variables: u, w1, w2
+    minobjective: -1.0 * u + 1.0
+    [1.0*u, 2.0, 3.0, 1.0*w1, 1.0*w2] in RelativeEntropyCone(5)
+    """
+    _test_atom(target) do context
+        x = [2.0, 3.0]
+        y = Variable(2)
+        return 1.0 + log_perspective(x, y)
+    end
     x, y = Variable(2), im * Variable(2)
     @test_throws(
         ErrorException(
@@ -1229,7 +1263,9 @@ function test_RelativeEntropyAtom()
     @test evaluate(atom) ≈ log(0.5)
     x.value = [5.0, 1.0]
     y.value = [3.0, 2.0]
-    @test evaluate(atom) ≈ 5 * log(5 / 3) + log(0.5)
+    u = 5 * log(5 / 3) + log(0.5)
+    @test evaluate(atom) ≈ u
+    @test relative_entropy([5.0, 1.0], [3.0, 2.0]) ≈ u
     return
 end