/
utils.jl
460 lines (421 loc) · 12.1 KB
/
utils.jl
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# Copyright (c) 2013: Iain Dunning, Miles Lubin, and contributors
#
# Use of this source code is governed by an MIT-style license that can be found
# in the LICENSE.md file or at https://opensource.org/licenses/MIT.
# !!! warning
#
# The contents of this file are experimental.
#
# Until this message is removed, breaking changes to the functions and
# types, including their deletion, may be introduced in any minor or patch
# release of Ipopt.
@enum(
_FunctionType,
_kFunctionTypeVariableIndex,
_kFunctionTypeScalarAffine,
_kFunctionTypeScalarQuadratic,
)
function _function_type_to_set(::Type{T}, k::_FunctionType) where {T}
if k == _kFunctionTypeVariableIndex
return MOI.VariableIndex
elseif k == _kFunctionTypeScalarAffine
return MOI.ScalarAffineFunction{T}
else
@assert k == _kFunctionTypeScalarQuadratic
return MOI.ScalarQuadraticFunction{T}
end
end
_function_info(::MOI.VariableIndex) = _kFunctionTypeVariableIndex
_function_info(::MOI.ScalarAffineFunction) = _kFunctionTypeScalarAffine
_function_info(::MOI.ScalarQuadraticFunction) = _kFunctionTypeScalarQuadratic
@enum(
_BoundType,
_kBoundTypeLessThan,
_kBoundTypeGreaterThan,
_kBoundTypeEqualTo,
)
_set_info(s::MOI.LessThan) = _kBoundTypeLessThan, -Inf, s.upper
_set_info(s::MOI.GreaterThan) = _kBoundTypeGreaterThan, s.lower, Inf
_set_info(s::MOI.EqualTo) = _kBoundTypeEqualTo, s.value, s.value
function _bound_type_to_set(::Type{T}, k::_BoundType) where {T}
if k == _kBoundTypeEqualTo
return MOI.EqualTo{T}
elseif k == _kBoundTypeLessThan
return MOI.LessThan{T}
else
@assert k == _kBoundTypeGreaterThan
return MOI.GreaterThan{T}
end
end
mutable struct QPBlockData{T}
objective::MOI.ScalarQuadraticFunction{T}
objective_function_type::_FunctionType
constraints::Vector{MOI.ScalarQuadraticFunction{T}}
g_L::Vector{T}
g_U::Vector{T}
mult_g::Vector{Union{Nothing,T}}
function_type::Vector{_FunctionType}
bound_type::Vector{_BoundType}
parameters::Dict{Int64,T}
function QPBlockData{T}() where {T}
return new(
zero(MOI.ScalarQuadraticFunction{T}),
_kFunctionTypeScalarAffine,
MOI.ScalarQuadraticFunction{T}[],
T[],
T[],
Union{Nothing,T}[],
_FunctionType[],
_BoundType[],
Dict{Int64,T}(),
)
end
end
function _value(variable::MOI.VariableIndex, x::Vector, p::Dict)
if _is_parameter(variable)
return p[variable.value]
else
return x[variable.value]
end
end
function eval_function(
f::MOI.ScalarQuadraticFunction{T},
x::Vector{T},
p::Dict{Int64,T},
)::T where {T}
y = f.constant
for term in f.affine_terms
y += term.coefficient * _value(term.variable, x, p)
end
for term in f.quadratic_terms
v1 = _value(term.variable_1, x, p)
v2 = _value(term.variable_2, x, p)
if term.variable_1 == term.variable_2
y += term.coefficient * v1 * v2 / 2
else
y += term.coefficient * v1 * v2
end
end
return y
end
function eval_dense_gradient(
∇f::Vector{T},
f::MOI.ScalarQuadraticFunction{T},
x::Vector{T},
p::Dict{Int64,T},
)::Nothing where {T}
for term in f.affine_terms
if !_is_parameter(term.variable)
∇f[term.variable.value] += term.coefficient
end
end
for term in f.quadratic_terms
if !_is_parameter(term.variable_1)
v = _value(term.variable_2, x, p)
∇f[term.variable_1.value] += term.coefficient * v
end
if term.variable_1 != term.variable_2 && !_is_parameter(term.variable_2)
v = _value(term.variable_1, x, p)
∇f[term.variable_2.value] += term.coefficient * v
end
end
return
end
function sparse_gradient_structure(f::MOI.ScalarQuadraticFunction{T}) where {T}
indices = Int[]
for term in f.affine_terms
if !_is_parameter(term.variable)
push!(indices, term.variable.value)
end
end
for term in f.quadratic_terms
if !_is_parameter(term.variable_1)
push!(indices, term.variable_1.value)
end
if term.variable_1 != term.variable_2 && !_is_parameter(term.variable_2)
push!(indices, term.variable_2.value)
end
end
return indices
end
function eval_sparse_gradient(
∇f::AbstractVector{T},
f::MOI.ScalarQuadraticFunction{T},
x::Vector{T},
p::Dict{Int64,T},
)::Int where {T}
i = 0
for term in f.affine_terms
if !_is_parameter(term.variable)
i += 1
∇f[i] = term.coefficient
end
end
for term in f.quadratic_terms
if !_is_parameter(term.variable_1)
v = _value(term.variable_2, x, p)
i += 1
∇f[i] = term.coefficient * v
end
if term.variable_1 != term.variable_2 && !_is_parameter(term.variable_2)
v = _value(term.variable_1, x, p)
i += 1
∇f[i] = term.coefficient * v
end
end
return i
end
function sparse_hessian_structure(f::MOI.ScalarQuadraticFunction{T}) where {T}
indices = Tuple{Int,Int}[]
i = 1
for term in f.quadratic_terms
if _is_parameter(term.variable_1) || _is_parameter(term.variable_2)
continue
end
push!(indices, (term.variable_1.value, term.variable_2.value))
i += 1
end
return indices
end
function eval_sparse_hessian(
∇²f::AbstractVector{T},
f::MOI.ScalarQuadraticFunction{T},
σ::T,
)::Int where {T}
i = 0
for term in f.quadratic_terms
if _is_parameter(term.variable_1) || _is_parameter(term.variable_2)
continue
end
i += 1
∇²f[i] = term.coefficient * σ
end
return i
end
Base.length(block::QPBlockData) = length(block.bound_type)
function MOI.set(
block::QPBlockData{T},
::MOI.ObjectiveFunction{F},
f::F,
) where {
T,
F<:Union{
MOI.VariableIndex,
MOI.ScalarAffineFunction{T},
MOI.ScalarQuadraticFunction{T},
},
}
block.objective = convert(MOI.ScalarQuadraticFunction{T}, f)
block.objective_function_type = _function_info(f)
return
end
function MOI.get(block::QPBlockData{T}, ::MOI.ObjectiveFunctionType) where {T}
return _function_type_to_set(T, block.objective_function_type)
end
function MOI.get(block::QPBlockData{T}, ::MOI.ObjectiveFunction{F}) where {T,F}
return convert(F, block.objective)
end
function MOI.get(
block::QPBlockData{T},
::MOI.ListOfConstraintTypesPresent,
) where {T}
constraints = Set{Tuple{Type,Type}}()
for i in 1:length(block)
F = _function_type_to_set(T, block.function_type[i])
S = _bound_type_to_set(T, block.bound_type[i])
push!(constraints, (F, S))
end
return collect(constraints)
end
function MOI.is_valid(
block::QPBlockData{T},
ci::MOI.ConstraintIndex{F,S},
) where {
T,
F<:Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}},
S<:Union{MOI.LessThan{T},MOI.GreaterThan{T},MOI.EqualTo{T}},
}
return 1 <= ci.value <= length(block)
end
function MOI.get(
block::QPBlockData{T},
::MOI.ListOfConstraintIndices{F,S},
) where {
T,
F<:Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}},
S<:Union{MOI.LessThan{T},MOI.GreaterThan{T},MOI.EqualTo{T}},
}
ret = MOI.ConstraintIndex{F,S}[]
for i in 1:length(block)
if _bound_type_to_set(T, block.bound_type[i]) != S
continue
elseif _function_type_to_set(T, block.function_type[i]) != F
continue
end
push!(ret, MOI.ConstraintIndex{F,S}(i))
end
return ret
end
function MOI.get(
block::QPBlockData{T},
::MOI.NumberOfConstraints{F,S},
) where {
T,
F<:Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}},
S<:Union{MOI.LessThan{T},MOI.GreaterThan{T},MOI.EqualTo{T}},
}
return length(MOI.get(block, MOI.ListOfConstraintIndices{F,S}()))
end
function MOI.add_constraint(
block::QPBlockData{T},
f::Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}},
set::Union{MOI.LessThan{T},MOI.GreaterThan{T},MOI.EqualTo{T}},
) where {T}
push!(block.constraints, convert(MOI.ScalarQuadraticFunction{T}, f))
bound_type, l, u = _set_info(set)
push!(block.g_L, l)
push!(block.g_U, u)
push!(block.mult_g, nothing)
push!(block.bound_type, bound_type)
push!(block.function_type, _function_info(f))
return MOI.ConstraintIndex{typeof(f),typeof(set)}(length(block.bound_type))
end
function MOI.get(
block::QPBlockData{T},
::MOI.ConstraintFunction,
c::MOI.ConstraintIndex{F,S},
) where {T,F,S}
return convert(F, block.constraints[c.value])
end
function MOI.get(
block::QPBlockData{T},
::MOI.ConstraintSet,
c::MOI.ConstraintIndex{F,S},
) where {T,F,S}
row = c.value
if block.bound_type[row] == _kBoundTypeEqualTo
return MOI.EqualTo(block.g_L[row])
elseif block.bound_type[row] == _kBoundTypeLessThan
return MOI.LessThan(block.g_U[row])
else
@assert block.bound_type[row] == _kBoundTypeGreaterThan
return MOI.GreaterThan(block.g_L[row])
end
end
function MOI.set(
block::QPBlockData{T},
::MOI.ConstraintSet,
c::MOI.ConstraintIndex{F,MOI.LessThan{T}},
set::MOI.LessThan{T},
) where {T,F}
row = c.value
block.g_U[row] = set.upper
return
end
function MOI.set(
block::QPBlockData{T},
::MOI.ConstraintSet,
c::MOI.ConstraintIndex{F,MOI.GreaterThan{T}},
set::MOI.GreaterThan{T},
) where {T,F}
row = c.value
block.g_L[row] = set.lower
return
end
function MOI.set(
block::QPBlockData{T},
::MOI.ConstraintSet,
c::MOI.ConstraintIndex{F,MOI.EqualTo{T}},
set::MOI.EqualTo{T},
) where {T,F}
row = c.value
block.g_L[row] = set.value
block.g_U[row] = set.value
return
end
function MOI.get(
block::QPBlockData{T},
::MOI.ConstraintDualStart,
c::MOI.ConstraintIndex{F,S},
) where {T,F,S}
return block.mult_g[c.value]
end
function MOI.set(
block::QPBlockData{T},
::MOI.ConstraintDualStart,
c::MOI.ConstraintIndex{F,S},
value,
) where {T,F,S}
block.mult_g[c.value] = value
return
end
function MOI.eval_objective(
block::QPBlockData{T},
x::AbstractVector{T},
) where {T}
return eval_function(block.objective, x, block.parameters)
end
function MOI.eval_objective_gradient(
block::QPBlockData{T},
∇f::AbstractVector{T},
x::AbstractVector{T},
) where {T}
∇f .= zero(T)
eval_dense_gradient(∇f, block.objective, x, block.parameters)
return
end
function MOI.eval_constraint(
block::QPBlockData{T},
g::AbstractVector{T},
x::AbstractVector{T},
) where {T}
for i in 1:length(block.constraints)
g[i] = eval_function(block.constraints[i], x, block.parameters)
end
return
end
function MOI.jacobian_structure(block::QPBlockData)
J = Tuple{Int,Int}[]
for (row, constraint) in enumerate(block.constraints)
for col in sparse_gradient_structure(constraint)
push!(J, (row, col))
end
end
return J
end
function MOI.eval_constraint_jacobian(
block::QPBlockData{T},
J::AbstractVector{T},
x::AbstractVector{T},
) where {T}
i = 1
for constraint in block.constraints
∇f = view(J, i:length(J))
i += eval_sparse_gradient(∇f, constraint, x, block.parameters)
end
return i
end
function MOI.hessian_lagrangian_structure(block::QPBlockData)
H = sparse_hessian_structure(block.objective)
for constraint in block.constraints
for (i, j) in sparse_hessian_structure(constraint)
push!(H, (i, j))
end
end
return H
end
function MOI.eval_hessian_lagrangian(
block::QPBlockData{T},
H::AbstractVector{T},
x::AbstractVector{T},
σ::T,
μ::AbstractVector{T},
) where {T}
i = 1
i += eval_sparse_hessian(H, block.objective, σ)
for (row, constraint) in enumerate(block.constraints)
∇²f = view(H, i:length(H))
i += eval_sparse_hessian(∇²f, constraint, μ[row])
end
return i
end