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[Test] Add SecondOrderCone tests from Gurobi.jl #1567

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Sep 1, 2021
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[Test] Add SecondOrderCone tests from Gurobi.jl #1567

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390 changes: 390 additions & 0 deletions src/Test/test_conic.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -6497,3 +6497,393 @@ function setup_test(
)
return
end

"""
test_conic_SecondOrderCone_no_initial_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cone with no bound on the epigraph variable.
"""
function test_conic_SecondOrderCone_no_initial_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
MOI.add_constraints(model, x, MOI.GreaterThan.(3.0:4.0))
c_soc = MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_soc)
MOI.optimize!(model)
@test MOI.get(model, MOI.TerminationStatus()) == MOI.DUAL_INFEASIBLE
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_no_initial_bound),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, MOI.DUAL_INFEASIBLE),
)
return
end

"""
test_conic_SecondOrderCone_nonnegative_initial_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cone with a non-negative epigraph variable.
"""
function test_conic_SecondOrderCone_nonnegative_initial_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
MOI.add_constraint(model, t, MOI.GreaterThan(1.0))
MOI.add_constraints(model, x, MOI.GreaterThan.(3.0:4.0))
c_soc = MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_soc)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 1.0
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_nonnegative_initial_bound),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [1.0, 3.0, 4.0]),
)
return
end

"""
test_conic_SecondOrderCone_negative_initial_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cone with an epigraph variable >= -M.
"""
function test_conic_SecondOrderCone_negative_initial_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
MOI.add_constraint(model, t, MOI.GreaterThan(-1.0))
MOI.add_constraints(model, x, MOI.GreaterThan.(3.0:4.0))
c_soc = MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
MOI.optimize!(model)
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_soc)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == -1.0
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_negative_initial_bound),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [-1.0, 3.0, 4.0]),
)
return
end

"""
test_conic_SecondOrderCone_nonnegative_post_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cone with a nonnegative epigraph variable.
"""
function test_conic_SecondOrderCone_nonnegative_post_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
MOI.add_constraints(model, x, MOI.GreaterThan.(3.0:4.0))
MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
c_lb = MOI.add_constraint(model, t, MOI.GreaterThan(6.0))
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 6.0
MOI.delete(model, c_lb)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_nonnegative_post_bound),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [6.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
)
return
end

"""
test_conic_SecondOrderCone_negative_post_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cone with an epigraph variable >= -M.
"""
function test_conic_SecondOrderCone_negative_post_bound(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
MOI.add_constraints(model, x, MOI.GreaterThan.(3.0:4.0))
c_soc = MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
MOI.add_constraint(model, t, MOI.GreaterThan(-6.0))
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_soc)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == -6.0
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_negative_post_bound),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [-6.0, 3.0, 4.0]),
)
return
end

"""
test_conic_SecondOrderCone_negative_post_bound_ii(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cosnstraint with an epigraph variable >= -M and the bound
constraints added via `add_constraint`.
"""
function test_conic_SecondOrderCone_negative_post_bound_ii(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
MOI.add_constraints(model, x, MOI.GreaterThan.(3.0:4.0))
c_soc = MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
c_lb = MOI.add_constraint(model, t, MOI.GreaterThan(-6.0))
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_lb)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_soc)
MOI.optimize!(model)
@test MOI.get(model, MOI.TerminationStatus()) == MOI.DUAL_INFEASIBLE
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_negative_post_bound_ii),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, MOI.DUAL_INFEASIBLE),
)
return
end

"""
test_conic_SecondOrderCone_negative_post_bound_iii(
model::MOI.ModelLike,
config::Config{T},
) where {T}

Test a second order cosnstraint with an epigraph variable >= -M and the bound
constraints added via `add_constraints`.
"""
function test_conic_SecondOrderCone_negative_post_bound_iii(
model::MOI.ModelLike,
config::Config{T},
) where {T}
@requires(
MOI.supports_constraint(
model,
MOI.VectorOfVariables,
MOI.SecondOrderCone,
),
)
@requires _supports(config, MOI.optimize!)
t = MOI.add_variable(model)
x = MOI.add_variables(model, 2)
c_soc = MOI.add_constraint(
model,
MOI.VectorOfVariables([t; x]),
MOI.SecondOrderCone(3),
)
c_lbs =
MOI.add_constraints(model, [t; x], MOI.GreaterThan.([-6.0, 3.0, 4.0]))
c_lb = first(c_lbs)
MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), t)
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_lb)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), t) == 5.0
MOI.delete(model, c_soc)
MOI.optimize!(model)
@test MOI.get(model, MOI.TerminationStatus()) == MOI.DUAL_INFEASIBLE
return
end

function setup_test(
::typeof(test_conic_SecondOrderCone_negative_post_bound_iii),
model::MOIU.MockOptimizer,
::Config,
)
MOIU.set_mock_optimize!(
model,
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, [5.0, 3.0, 4.0]),
(mock::MOIU.MockOptimizer) ->
MOIU.mock_optimize!(mock, MOI.DUAL_INFEASIBLE),
)
return
end