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[breaking] [Bridges] Refactor IndicatorSOS1Bridge #1585

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Sep 7, 2021
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[breaking] [Bridges] Refactor IndicatorSOS1Bridge #1585

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e3b46fb
[breaking] [Bridges] Refactor IndicatorSOS1Bridge
odow Sep 5, 2021
be2b51a
Remove constraints on slack variable
odow Sep 6, 2021
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243 changes: 77 additions & 166 deletions src/Bridges/Constraint/indicator_sos.jl
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Original file line number Diff line number Diff line change
@@ -1,68 +1,35 @@
"""
IndicatorSOS1Bridge{T, BC <: MOI.AbstractScalarSet}
IndicatorSOS1Bridge{T,S<:MOI.AbstractScalarSet}

The `IndicatorSOS1Bridge` replaces an indicator constraint of the following form:
``z \\in \\mathbb{B}, z == 1 \\implies f(x) \\leq b`` with a SOS1 constraint:
``z \\in \\mathbb{B}, w \\leq 0, f(x) + w \\leq b, SOS1(w, z)``.
`GreaterThan` constraints are handled in a symmetric way:
``z \\in \\mathbb{B}, z == 1 \\implies f(x) \\geq b`` is reformulated as:
``z \\in \\mathbb{B}, w \\geq 0, f(x) + w \\geq b, SOS1(w, z)``.
Other scalar sets are handled without a bound constraint:
``z \\in \\mathbb{B}, z == 1 \\implies f(x) == b`` is reformulated as:
``z \\in \\mathbb{B}, w \\text{ free}, f(x) + w == b, SOS1(w, z)``.

If `BC !<: Union{LessThan, GreaterThan}`, `bound_constraint_index` is `nothing`.
The `IndicatorSOS1Bridge` replaces an indicator constraint of the following
form:
``z \\in \\mathbb{B}, z == 1 \\implies f(x) \\in S`` with a SOS1 constraint:
``z \\in \\mathbb{B}, slack \\text{ free}, f(x) + slack \\in S, SOS1(slack, z)``.
"""
struct IndicatorSOS1Bridge{
T,
BC<:MOI.AbstractScalarSet,
MaybeBC<:Union{MOI.ConstraintIndex{MOI.VariableIndex,BC},Nothing},
} <: AbstractBridge
w_variable::MOI.VariableIndex
z_variable::MOI.VariableIndex
affine_func::MOI.ScalarAffineFunction{T}
bound_constraint_index::MaybeBC
sos_constraint_index::MOI.ConstraintIndex{MOI.VectorOfVariables,MOI.SOS1{T}}
linear_constraint_index::MOI.ConstraintIndex{MOI.ScalarAffineFunction{T},BC}
struct IndicatorSOS1Bridge{T,S<:MOI.AbstractScalarSet} <: AbstractBridge
slack::MOI.VariableIndex
z::MOI.VariableIndex
sos_index::MOI.ConstraintIndex{MOI.VectorOfVariables,MOI.SOS1{T}}
affine_index::MOI.ConstraintIndex{MOI.ScalarAffineFunction{T},S}
end

function bridge_constraint(
::Type{IndicatorSOS1Bridge{T,BC,MaybeBC}},
::Type{IndicatorSOS1Bridge{T,S}},
model::MOI.ModelLike,
f::MOI.VectorAffineFunction{T},
s::MOI.Indicator{MOI.ACTIVATE_ON_ONE,BC},
) where {T<:Real,BC,MaybeBC}
f_scalars = MOIU.eachscalar(f)
(w, bound_constraint) = _add_bound_constraint!(model, BC)
s::MOI.Indicator{MOI.ACTIVATE_ON_ONE,S},
) where {T<:Real,S}
f_scalars = MOI.Utilities.eachscalar(f)
z = convert(MOI.VariableIndex, f_scalars[1])
sos_vector = MOI.VectorOfVariables([w, z])
sos_constraint =
MOI.add_constraint(model, sos_vector, MOI.SOS1{T}([0.4, 0.6]))
affine_func = f_scalars[2]
affine_expr = MOIU.operate(+, T, affine_func, w)
linear_constraint = MOI.add_constraint(model, affine_expr, s.set)
return IndicatorSOS1Bridge{T,BC,MaybeBC}(
w,
z,
affine_func,
bound_constraint,
sos_constraint,
linear_constraint,
slack = MOI.add_variable(model)
sos_index = MOI.add_constraint(
model,
MOI.VectorOfVariables([slack, z]),
MOI.SOS1{T}([0.4, 0.6]), # This weight vector is arbitrary!
)
end

function _add_bound_constraint!(
model::MOI.ModelLike,
::Type{BC},
) where {T<:Real,BC<:Union{MOI.LessThan{T},MOI.GreaterThan{T}}}
return MOI.add_constrained_variable(model, BC(zero(T)))
end

function _add_bound_constraint!(
model::MOI.ModelLike,
::Type{<:MOI.AbstractScalarSet},
)
return (MOI.add_variable(model), nothing)
new_f = MOI.Utilities.operate(+, T, f_scalars[2], slack)
affine_index = MOI.add_constraint(model, new_f, s.set)
return IndicatorSOS1Bridge{T,S}(slack, z, sos_index, affine_index)
end

function MOI.supports_constraint(
Expand All @@ -78,58 +45,39 @@ function MOI.get(
attr::MOI.ConstraintSet,
b::IndicatorSOS1Bridge,
)
return MOI.Indicator{MOI.ACTIVATE_ON_ONE}(
MOI.get(model, attr, b.linear_constraint_index),
)
set = MOI.get(model, attr, b.affine_index)
return MOI.Indicator{MOI.ACTIVATE_ON_ONE}(set)
end

function MOI.get(
::MOI.ModelLike,
::MOI.ConstraintFunction,
model::MOI.ModelLike,
attr::MOI.ConstraintFunction,
b::IndicatorSOS1Bridge{T},
) where {T}
z = b.z_variable
terms = [MOI.VectorAffineTerm(1, MOI.ScalarAffineTerm(one(T), z))]
for affine_term in b.affine_func.terms
push!(terms, MOI.VectorAffineTerm(2, affine_term))
end
return MOI.VectorAffineFunction(terms, [zero(T), b.affine_func.constant])
f = MOI.get(model, attr, b.affine_index)
terms = MOI.VectorAffineTerm{T}[
MOI.VectorAffineTerm(2, t) for t in f.terms if t.variable != b.slack
]
push!(terms, MOI.VectorAffineTerm(1, MOI.ScalarAffineTerm(one(T), b.z)))
return MOI.VectorAffineFunction(terms, [zero(T), f.constant])
end

function MOI.delete(model::MOI.ModelLike, bridge::IndicatorSOS1Bridge)
if bridge.bound_constraint_index !== nothing
MOI.delete(model, bridge.bound_constraint_index)
end
MOI.delete(model, bridge.sos_constraint_index)
MOI.delete(model, bridge.linear_constraint_index)
MOI.delete(model, bridge.w_variable)
MOI.delete(model, bridge.sos_index)
MOI.delete(model, bridge.affine_index)
MOI.delete(model, bridge.slack)
return
end

function MOIB.added_constrained_variable_types(
::Type{<:IndicatorSOS1Bridge{T,BC}},
) where {T,BC<:Union{MOI.LessThan{T},MOI.GreaterThan{T}}}
return Tuple{Type}[(BC,)]
end

function MOIB.added_constrained_variable_types(
::Type{<:IndicatorSOS1Bridge{T,BC}},
) where {T,BC}
function MOI.Bridges.added_constrained_variable_types(
::Type{<:IndicatorSOS1Bridge},
)
return Tuple{Type}[]
end

function MOIB.added_constraint_types(
::Type{<:IndicatorSOS1Bridge{T,BC}},
) where {T,BC<:Union{MOI.LessThan{T},MOI.GreaterThan{T}}}
return Tuple{Type,Type}[
(MOI.VectorOfVariables, MOI.SOS1{T}),
(MOI.ScalarAffineFunction{T}, BC),
]
end

function MOIB.added_constraint_types(
function MOI.Bridges.added_constraint_types(
::Type{<:IndicatorSOS1Bridge{T,S}},
) where {T,S<:MOI.AbstractScalarSet}
) where {T,S}
return Tuple{Type,Type}[
(MOI.VectorOfVariables, MOI.SOS1{T}),
(MOI.ScalarAffineFunction{T}, S),
Expand All @@ -140,38 +88,14 @@ function concrete_bridge_type(
::Type{<:IndicatorSOS1Bridge{T}},
::Type{<:MOI.AbstractVectorFunction},
::Type{MOI.Indicator{MOI.ACTIVATE_ON_ONE,S}},
) where {T,S<:Union{MOI.LessThan,MOI.GreaterThan}}
return IndicatorSOS1Bridge{T,S,MOI.ConstraintIndex{MOI.VariableIndex,S}}
end

function concrete_bridge_type(
::Type{<:IndicatorSOS1Bridge{T}},
::Type{<:MOI.AbstractVectorFunction},
::Type{MOI.Indicator{MOI.ACTIVATE_ON_ONE,S}},
) where {T,S<:MOI.AbstractScalarSet}
return IndicatorSOS1Bridge{T,S,Nothing}
) where {T,S}
return IndicatorSOS1Bridge{T,S}
end

# Attributes, Bridge acting as a model

MOI.get(::IndicatorSOS1Bridge, ::MOI.NumberOfVariables)::Int64 = 1

function MOI.get(b::IndicatorSOS1Bridge, ::MOI.ListOfVariableIndices)
return [b.w_variable]
end

function MOI.get(
::IndicatorSOS1Bridge{T,BC,Nothing},
::MOI.NumberOfConstraints{MOI.VariableIndex,BC},
)::Int64 where {T,BC}
return 0
end

function MOI.get(
::IndicatorSOS1Bridge{T,BC,CI},
::MOI.NumberOfConstraints{MOI.VariableIndex,BC},
)::Int64 where {T,BC,CI<:MOI.ConstraintIndex{MOI.VariableIndex,BC}}
return 1
return [b.slack]
end

function MOI.get(
Expand All @@ -182,83 +106,70 @@ function MOI.get(
end

function MOI.get(
::IndicatorSOS1Bridge{T,BC},
::MOI.NumberOfConstraints{MOI.ScalarAffineFunction{T},BC},
)::Int64 where {T,BC,CI<:MOI.ConstraintIndex{MOI.VariableIndex,BC}}
::IndicatorSOS1Bridge{T,S},
::MOI.NumberOfConstraints{MOI.ScalarAffineFunction{T},S},
)::Int64 where {T,S}
return 1
end

function MOI.get(
b::IndicatorSOS1Bridge{T,BC,CI},
::MOI.ListOfConstraintIndices{MOI.VariableIndex,BC},
) where {T,BC,CI<:MOI.ConstraintIndex}
return [b.bound_constraint_index]
end

function MOI.get(
::IndicatorSOS1Bridge{T,BC,Nothing},
::MOI.ListOfConstraintIndices{MOI.VariableIndex,BC},
) where {T,BC}
return MOI.ConstraintIndex{MOI.VariableIndex,BC}[]
end

function MOI.get(
b::IndicatorSOS1Bridge{T},
::MOI.ListOfConstraintIndices{MOI.VectorOfVariables,<:MOI.SOS1},
) where {T}
return [b.sos_constraint_index]
return [b.sos_index]
end

function MOI.get(
b::IndicatorSOS1Bridge{T,BC},
::MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{T},BC},
) where {T,BC}
return [b.linear_constraint_index]
end

function MOI.supports(
::MOI.ModelLike,
::MOI.ConstraintPrimalStart,
::Type{<:IndicatorSOS1Bridge},
)
return true
b::IndicatorSOS1Bridge{T,S},
::MOI.ListOfConstraintIndices{MOI.ScalarAffineFunction{T},S},
) where {T,S}
return [b.affine_index]
end

function MOI.get(
model::MOI.ModelLike,
attr::MOI.ConstraintPrimal,
bridge::IndicatorSOS1Bridge,
)
zvalue =
MOI.get(model, MOI.VariablePrimal(attr.result_index), bridge.z_variable)
wvalue =
MOI.get(model, MOI.VariablePrimal(attr.result_index), bridge.w_variable)
lin_primal_start = MOI.get(model, attr, bridge.linear_constraint_index)
return [zvalue, lin_primal_start - wvalue]
z = MOI.get(model, MOI.VariablePrimal(attr.result_index), bridge.z)
w = MOI.get(model, MOI.VariablePrimal(attr.result_index), bridge.slack)
f = MOI.get(model, attr, bridge.affine_index)
return [z, f - w]
end

function MOI.supports(
model::MOI.ModelLike,
attr::MOI.ConstraintPrimalStart,
::Type{IndicatorSOS1Bridge{T,S}},
) where {T,S}
ci = MOI.ConstraintIndex{MOI.ScalarAffineFunction{T},S}
return MOI.supports(model, MOI.VariablePrimalStart(), MOI.VariableIndex) &&
MOI.supports(model, attr, ci)
end

function MOI.get(
model::MOI.ModelLike,
attr::MOI.ConstraintPrimalStart,
bridge::IndicatorSOS1Bridge,
)
zstart = MOI.get(model, MOI.VariablePrimalStart(), bridge.z_variable)
wstart = MOI.get(model, MOI.VariablePrimalStart(), bridge.w_variable)
lin_primal_start = MOI.get(model, attr, bridge.linear_constraint_index)
return [zstart, lin_primal_start - wstart]
z = MOI.get(model, MOI.VariablePrimalStart(), bridge.z)
w = MOI.get(model, MOI.VariablePrimalStart(), bridge.slack)
f = MOI.get(model, attr, bridge.affine_index)
return [z, f - w]
end

function MOI.set(
model::MOI.ModelLike,
attr::MOI.ConstraintPrimalStart,
bridge::IndicatorSOS1Bridge{T},
value,
value::AbstractVector,
) where {T}
zvalue = value[1]
lin_start = value[2]
MOI.set(model, MOI.VariablePrimalStart(), bridge.z_variable, zvalue)
wstart = MOI.get(model, MOI.VariablePrimalStart(), bridge.w_variable)
wstart = wstart === nothing ? zero(T) : wstart
MOI.set(model, attr, bridge.linear_constraint_index, lin_start + wstart)
@assert length(value) == 2
MOI.set(model, MOI.VariablePrimalStart(), bridge.z, value[1])
w = something(
MOI.get(model, MOI.VariablePrimalStart(), bridge.slack),
zero(T),
)
MOI.set(model, attr, bridge.affine_index, value[2] + w)
return
end
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