SDP constraint (#1122)

* SDP constraint * 1 -> one(T) * Move tests from sdp to constraint * Move fill_expr! to affexpr * Stop using Nullable * Remove symmetry constraints * Add constraintobject test * Add comment on future support for non-symmetric matrices * eachscalar update
jump-dev · Nov 18, 2017 · 9cfe927 · 9cfe927
1 parent 534ae34
commit 9cfe927
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diff --git a/src/affexpr.jl b/src/affexpr.jl
@@ -280,3 +280,10 @@ function constraintobject(cref::ConstraintRef{Model}, ::Type{AffExpr}, ::Type{Se
     s = MOI.get(m.instance, MOI.ConstraintSet(), cref.instanceref)::SetType
     return AffExprConstraint(AffExpr(m, f), s)
 end
+
+function constraintobject(cref::ConstraintRef{Model}, ::Type{Vector{AffExpr}}, ::Type{SetType}) where {SetType <: MOI.AbstractVectorSet}
+    m = cref.m
+    f = MOI.get(m.instance, MOI.ConstraintFunction(), cref.instanceref)::MOI.VectorAffineFunction
+    s = MOI.get(m.instance, MOI.ConstraintSet(), cref.instanceref)::SetType
+    return VectorAffExprConstraint(map(f -> AffExpr(m, f), MOIU.eachscalar(f)), s)
+end
diff --git a/src/macros.jl b/src/macros.jl
@@ -323,8 +323,6 @@ end
 
 constructconstraint!(q::QuadExpr, lb, ub) = error("Two-sided quadratic constraints not supported. (Try @NLconstraint instead.)")
 
-# constructconstraint!(x::AbstractMatrix, ::PSDCone) = SDConstraint(x)
-
 constraint_error(args, str) = error("In @constraint($(join(args,","))): ", str)
 
 """
@@ -479,46 +477,46 @@ macro constraint(args...)
 end
 
 
-# """
-#     @SDconstraint(m, x)
-#
-# Adds a semidefinite constraint to the `Model m`. The expression `x` must be a square, two-dimensional array.
-# """
-# macro SDconstraint(m, x)
-#     m = esc(m)
-#
-#     if isa(x, Symbol)
-#         error("in @SDconstraint: Incomplete constraint specification $x. Are you missing a comparison (<= or >=)?")
-#     end
-#
-#     (x.head == :block) &&
-#         error("Code block passed as constraint.")
-#     isexpr(x,:call) && length(x.args) == 3 || error("in @SDconstraint ($(string(x))): constraints must be in one of the following forms:\n" *
-#               "       expr1 <= expr2\n" * "       expr1 >= expr2")
-#     # Build the constraint
-#     # Simple comparison - move everything to the LHS
-#     sense = x.args[1]
-#     if sense == :⪰
-#         sense = :(>=)
-#     elseif sense == :⪯
-#         sense = :(<=)
-#     end
-#     sense,_ = _canonicalize_sense(sense)
-#     lhs = :()
-#     if sense == :(>=)
-#         lhs = :($(x.args[2]) - $(x.args[3]))
-#     elseif sense == :(<=)
-#         lhs = :($(x.args[3]) - $(x.args[2]))
-#     else
-#         error("Invalid sense $sense in SDP constraint")
-#     end
-#     newaff, parsecode = parseExprToplevel(lhs, :q)
-#     assert_validmodel(m, quote
-#         q = zero(AffExpr)
-#         $parsecode
-#         addconstraint($m, constructconstraint!($newaff, PSDCone()))
-#     end)
-# end
+"""
+    @SDconstraint(m, x)
+
+Adds a semidefinite constraint to the `Model m`. The expression `x` must be a square, two-dimensional array.
+"""
+macro SDconstraint(m, x)
+    m = esc(m)
+
+    if isa(x, Symbol)
+        error("in @SDconstraint: Incomplete constraint specification $x. Are you missing a comparison (<= or >=)?")
+    end
+
+    (x.head == :block) &&
+        error("Code block passed as constraint.")
+    isexpr(x,:call) && length(x.args) == 3 || error("in @SDconstraint ($(string(x))): constraints must be in one of the following forms:\n" *
+              "       expr1 <= expr2\n" * "       expr1 >= expr2")
+    # Build the constraint
+    # Simple comparison - move everything to the LHS
+    sense = x.args[1]
+    if sense == :⪰
+        sense = :(>=)
+    elseif sense == :⪯
+        sense = :(<=)
+    end
+    sense,_ = _canonicalize_sense(sense)
+    lhs = :()
+    if sense == :(>=)
+        lhs = :($(x.args[2]) - $(x.args[3]))
+    elseif sense == :(<=)
+        lhs = :($(x.args[3]) - $(x.args[2]))
+    else
+        error("Invalid sense $sense in SDP constraint")
+    end
+    newaff, parsecode = parseExprToplevel(lhs, :q)
+    assert_validmodel(m, quote
+        q = zero(AffExpr)
+        $parsecode
+        addconstraint($m, constructconstraint!($newaff, PSDCone()))
+    end)
+end
 
 
 # """

diff --git a/src/sd.jl b/src/sd.jl
@@ -25,3 +25,15 @@ function addconstraint(m::Model, c::SDVariableConstraint)
     cref = MOI.addconstraint!(m.instance, MOI.VectorOfVariables([instancereference(c.Q[i, j]) for j in 1:n for i in 1:j]), MOI.PositiveSemidefiniteConeTriangle(n))
     return ConstraintRef(m, cref)
 end
+
+function constructconstraint!(x::AbstractMatrix, ::PSDCone)
+    n = Base.LinAlg.checksquare(x)
+    # Support for non-symmetric matrices as done prior to JuMP v0.19
+    # will be added once the appropriate cone has been added in MathOptInterface
+    # as discussed in the following PR:
+    # https://github.com/JuliaOpt/JuMP.jl/pull/1122#issuecomment-344980944
+    @assert issymmetric(x)
+    aff = [x[i, j] for j in 1:n for i in 1:j]
+    s = MOI.PositiveSemidefiniteConeTriangle(n)
+    return VectorAffExprConstraint(aff, s)
+end
diff --git a/test/constraint.jl b/test/constraint.jl
@@ -46,4 +46,32 @@
         # @test JuMP.isequal_canonical(c.func, -1 + x^2)
         # @test c.set == MOI.SecondOrderCone(1)
     end
+
+    @testset "SDP constraint" begin
+        m = Model()
+        @variable(m, x)
+        @variable(m, y)
+
+        cref = @SDconstraint(m, [x 1; 1 -y] ⪰ [1 x; x -2])
+        c = JuMP.constraintobject(cref, Vector{AffExpr}, MOI.PositiveSemidefiniteConeTriangle)
+        @test JuMP.isequal_canonical(c.func[1], x-1)
+        @test JuMP.isequal_canonical(c.func[2], 1-x)
+        @test JuMP.isequal_canonical(c.func[3], 2-y)
+        @test c.set == MOI.PositiveSemidefiniteConeTriangle(2)
+    end
+
+    @testset "Nonsensical SDPs" begin
+        m = Model()
+        @test_throws ErrorException @variable(m, unequal[1:5,1:6], PSD)
+        # Some of these errors happen at compile time, so we can't use @test_throws
+        @test macroexpand(:(@variable(m, notone[1:5,2:6], PSD))).head == :error
+        @test macroexpand(:(@variable(m, oneD[1:5], PSD))).head == :error
+        @test macroexpand(:(@variable(m, threeD[1:5,1:5,1:5], PSD))).head == :error
+        @test macroexpand(:(@variable(m, psd[2] <= rand(2,2), PSD))).head == :error
+        @test macroexpand(:(@variable(m, -ones(3,4) <= foo[1:4,1:4] <= ones(4,4), PSD))).head == :error
+        @test macroexpand(:(@variable(m, -ones(3,4) <= foo[1:4,1:4] <= ones(4,4), Symmetric))).head == :error
+        @test macroexpand(:(@variable(m, -ones(4,4) <= foo[1:4,1:4] <= ones(4,5), Symmetric))).head == :error
+        @test macroexpand(:(@variable(m, -rand(5,5) <= nonsymmetric[1:5,1:5] <= rand(5,5), Symmetric))).head == :error
+    end
+
 end