/
MOI_wrapper.jl
249 lines (208 loc) · 9.56 KB
/
MOI_wrapper.jl
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export DualOptimizer, dual_optimizer
dual_optimizer(optimizer_constructor) = () -> DualOptimizer(MOI.instantiate(optimizer_constructor))
struct DualOptimizer{T, OT <: MOI.ModelLike} <: MOI.AbstractOptimizer
dual_problem::DualProblem{T, OT}
function DualOptimizer{T, OT}(dual_problem::DualProblem{T, OT}) where {T, OT <: MOI.ModelLike}
return new{T, OT}(dual_problem)
end
end
"""
DualOptimizer(dual_optimizer::OT) where {OT <: MOI.ModelLike}
The DualOptimizer finds the solution for a problem by solving its dual representation.
It builds the dual model internally and solve it using the `dual_optimizer` as solver.
Primal results are obtained by querying dual results of the internal problem solved
by `dual_optimizer`. Analogously, dual results are obtained by querying primal results
of the internal problem.
The user can define the model providing the `DualOptimizer` and the solver of its choice.
Example:
```julia
julia> using Dualization, JuMP, GLPK
julia> model = Model(dual_optimizer(GLPK.Optimizer))
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: EMPTY_OPTIMIZER
Solver name: Dual model with GLPK attached
```
"""
function DualOptimizer(dual_optimizer::OT) where {OT <: MOI.ModelLike}
return DualOptimizer{Float64}(dual_optimizer)
end
function DualOptimizer{T}(dual_optimizer::OT) where {T, OT <: MOI.ModelLike}
dual_problem = DualProblem{T}(MOIB.full_bridge_optimizer(MOIU.CachingOptimizer(MOIU.UniversalFallback(DualizableModel{T}()), dual_optimizer), T))
# discover the type of MOIU.CachingOptimizer(DualizableModel{T}(), dual_optimizer)
OptimizerType = typeof(dual_problem.dual_model)
return DualOptimizer{T, OptimizerType}(dual_problem)
end
function DualOptimizer()
return error("DualOptimizer must have a solver attached")
end
function MOI.supports(::DualOptimizer,
::MOI.ObjectiveSense)
return true
end
function MOI.supports(optimizer::DualOptimizer{T},
::MOI.ObjectiveFunction{F}) where {T, F}
# If the objective function is `MOI.SingleVariable` or `MOI.ScalarAffineFunction`,
# a `MOI.ScalarAffineFunction` is set as objective function for the dual problem.
# If it is `MOI.ScalarQuadraticFunction` , a `MOI.ScalarQuadraticFunction` is set as objective function for the dual problem.
G = F <: MOI.ScalarQuadraticFunction ? MOI.ScalarQuadraticFunction{T} : MOI.ScalarAffineFunction{T}
return supported_obj(F) && MOI.supports(optimizer.dual_problem.dual_model, MOI.ObjectiveFunction{G}())
end
function MOI.supports_constraint(
optimizer::DualOptimizer{T},
F::Type{<:Union{MOI.SingleVariable, MOI.ScalarAffineFunction{T}}},
S::Type{<:MOI.AbstractScalarSet}) where T
D = _dual_set_type(S)
if D === nothing
return false
end
if D <: MOI.AbstractVectorSet # The dual of `EqualTo` is `Reals`
return MOI.supports_add_constrained_variables(optimizer.dual_problem.dual_model, D)
else
return MOI.supports_add_constrained_variable(optimizer.dual_problem.dual_model, D)
end
end
function MOI.supports_constraint(
optimizer::DualOptimizer{T},
F::Type{<:Union{MOI.VectorOfVariables, MOI.VectorAffineFunction{T}}},
S::Type{<:MOI.AbstractVectorSet}) where T
D = _dual_set_type(S)
if D === nothing
return false
end
return MOI.supports_add_constrained_variables(optimizer.dual_problem.dual_model, D)
end
# TODO add this when constrained variables are implemented
#function MOI.supports_add_constrained_variables(
# optimizer::DualOptimizer{T}, S::Type{MOI.Reals}) where T
# return MOI.supports_constraint(optimizer.dual_problem.dual_model,
# MOI.ScalarAffineFunction{T},
# MOI.EqualTo{T}) # If it was `MOI.Zeros`, we would not need this method as special case of the one below
#end
#function MOI.supports_add_constrained_variables(
# optimizer::DualOptimizer{T}, S::Type{<:MOI.AbstractVectorSet}) where T
# D = _dual_set_type(S)
# if D === nothing
# return false
# end
# return MOI.supports_constraint(optimizer.dual_problem.dual_model,
# MOI.VectorAffineFunction{T}, D)
#end
function MOI.copy_to(dest::DualOptimizer, src::MOI.ModelLike; kwargs...)
# Dualize the original problem
dualize(src, dest.dual_problem)
# Identity IndexMap
idx_map = MOIU.IndexMap()
for vi in MOI.get(src, MOI.ListOfVariableIndices())
setindex!(idx_map, vi, vi)
end
for (F, S) in MOI.get(src, MOI.ListOfConstraints())
for con in MOI.get(src, MOI.ListOfConstraintIndices{F,S}())
setindex!(idx_map, con, con)
end
end
return idx_map
end
function MOI.optimize!(optimizer::DualOptimizer)
return MOI.optimize!(optimizer.dual_problem.dual_model)
end
function MOI.is_empty(optimizer::DualOptimizer)
return (MOI.is_empty(optimizer.dual_problem.dual_model)) && is_empty(optimizer.dual_problem.primal_dual_map)
end
function MOI.empty!(optimizer::DualOptimizer)
MOI.empty!(optimizer.dual_problem.dual_model)
empty!(optimizer.dual_problem.primal_dual_map)
return
end
# MOI.get auxiliary functions
function get_ci_dual_problem(optimizer::DualOptimizer, vi::VI)
return optimizer.dual_problem.primal_dual_map.primal_var_dual_con[vi]
end
function get_ci_dual_problem(optimizer::DualOptimizer, ci::CI)
return optimizer.dual_problem.primal_dual_map.primal_con_dual_con[ci]
end
function get_primal_ci_constant(optimizer::DualOptimizer, ci::CI)
return first(get_primal_ci_constants(optimizer, ci))
end
function get_primal_ci_constants(optimizer::DualOptimizer, ci::CI)
return optimizer.dual_problem.primal_dual_map.primal_con_constants[ci]
end
function get_vi_dual_problem(optimizer::DualOptimizer, ci::CI)
return first(get_vis_dual_problem(optimizer, ci))
end
function get_vis_dual_problem(optimizer::DualOptimizer, ci::CI)
return optimizer.dual_problem.primal_dual_map.primal_con_dual_var[ci]
end
function MOI.get(optimizer::DualOptimizer, ::MOI.SolverName)
return "Dual model with "*MOI.get(optimizer.dual_problem.dual_model, MOI.SolverName()) * " attached"
end
function MOI.get(optimizer::DualOptimizer, ::MOI.VariablePrimal, vi::VI)
return -MOI.get(optimizer.dual_problem.dual_model,
MOI.ConstraintDual(), get_ci_dual_problem(optimizer, vi))
end
function MOI.get(optimizer::DualOptimizer, ::MOI.ConstraintDual,
ci::CI{F,S}) where {F <: MOI.AbstractScalarFunction, S <: MOI.AbstractScalarSet}
return MOI.get(optimizer.dual_problem.dual_model,
MOI.VariablePrimal(), get_vi_dual_problem(optimizer, ci))
end
function MOI.get(optimizer::DualOptimizer, ::MOI.ConstraintDual,
ci::CI{F,S}) where {F <: MOI.AbstractVectorFunction, S <: MOI.AbstractVectorSet}
return MOI.get.(optimizer.dual_problem.dual_model,
MOI.VariablePrimal(), get_vis_dual_problem(optimizer, ci))
end
function MOI.get(optimizer::DualOptimizer, ::MOI.ConstraintPrimal,
ci::CI{F,S}) where {F <: MOI.AbstractScalarFunction, S <: MOI.AbstractScalarSet}
primal_ci_constant = get_primal_ci_constant(optimizer, ci)
# If it has no key than there is no dual constraint
if !haskey(optimizer.dual_problem.primal_dual_map.primal_con_dual_con, ci)
return -primal_ci_constant
end
ci_dual_problem = get_ci_dual_problem(optimizer, ci)
return MOI.get(optimizer.dual_problem.dual_model, MOI.ConstraintDual(), ci_dual_problem) - primal_ci_constant
end
function MOI.get(optimizer::DualOptimizer{T}, ::MOI.ConstraintPrimal,
ci::CI{F,S}) where {T, F <: MOI.AbstractVectorFunction, S <: MOI.AbstractVectorSet}
# If it has no key than there is no dual constraint
if !haskey(optimizer.dual_problem.primal_dual_map.primal_con_dual_con, ci)
# The number of dual variable associated with the primal constraint is the ci dimension
ci_dimension = length(get_vis_dual_problem(optimizer, ci))
return zeros(T, ci_dimension)
end
ci_dual_problem = get_ci_dual_problem(optimizer, ci)
return MOI.get(optimizer.dual_problem.dual_model, MOI.ConstraintDual(), ci_dual_problem)
end
function MOI.get(optimizer::DualOptimizer, ::MOI.TerminationStatus)
return dual_status(MOI.get(optimizer.dual_problem.dual_model, MOI.TerminationStatus()))
end
function dual_status(term::MOI.TerminationStatusCode)
if term == MOI.INFEASIBLE
return MOI.DUAL_INFEASIBLE
elseif term == MOI.DUAL_INFEASIBLE
return MOI.INFEASIBLE
elseif term == MOI.ALMOST_INFEASIBLE
return MOI.ALMOST_DUAL_INFEASIBLE
elseif term == MOI.ALMOST_DUAL_INFEASIBLE
return MOI.ALMOST_INFEASIBLE
end
return term
end
function MOI.get(optimizer::DualOptimizer, ::MOI.ObjectiveValue)
return MOI.get(optimizer.dual_problem.dual_model, MOI.DualObjectiveValue())
end
function MOI.get(optimizer::DualOptimizer, ::MOI.DualObjectiveValue)
return MOI.get(optimizer.dual_problem.dual_model, MOI.ObjectiveValue())
end
function MOI.get(optimizer::DualOptimizer, ::MOI.PrimalStatus)
return MOI.get(optimizer.dual_problem.dual_model, MOI.DualStatus())
end
function MOI.get(optimizer::DualOptimizer, ::MOI.DualStatus)
return MOI.get(optimizer.dual_problem.dual_model, MOI.PrimalStatus())
end
function MOI.set(optimizer::DualOptimizer, attr::MOI.AbstractOptimizerAttribute, value)
return MOI.set(optimizer.dual_problem.dual_model, attr, value)
end
function MOI.get(optimizer::DualOptimizer, attr::Union{MOI.AbstractModelAttribute, MOI.AbstractOptimizerAttribute})
return MOI.get(optimizer.dual_problem.dual_model, attr)
end