Add power cone unit test #768

migarstka · 2019-06-15T10:39:42Z

I realised that currently there aren't any unit tests available for power cone problems. I added one feasible power cone problem to the contconic test problem set and tested with both COSMO and SCS#master.

I used the following test script:

using MathOptInterface, COSMO, SCS, Test, LinearAlgebra
const MOI = MathOptInterface
const MOIT = MOI.Test
const MOIB = MOI.Bridges

const MOIU = MOI.Utilities
MOIU.@model(COSMOModelData,
        (),
        (MOI.EqualTo, MOI.GreaterThan, MOI.LessThan, MOI.Interval),
        (MOI.Zeros, MOI.Nonnegatives, MOI.Nonpositives, MOI.SecondOrderCone,
         MOI.PositiveSemidefiniteConeSquare, MOI.PositiveSemidefiniteConeTriangle, MOI.ExponentialCone, MOI.DualExponentialCone),
        (MOI.PowerCone, MOI.DualPowerCone),
        (MOI.SingleVariable,),
        (MOI.ScalarAffineFunction, MOI.ScalarQuadraticFunction),
        (MOI.VectorOfVariables,),
        (MOI.VectorAffineFunction,),);



# optimizer = MOIU.CachingOptimizer(MOIU.UniversalFallback(COSMOModelData{Float64}()),
#                                  COSMO.Optimizer());

optimizer = MOIU.CachingOptimizer(MOIU.UniversalFallback(COSMOModelData{Float64}()),
                                  SCS.Optimizer());

#MOI.set(optimizer, MOI.Silent(), true)
bridged = MOIB.full_bridge_optimizer(optimizer, Float64);

config = MOIT.TestConfig(atol=1e-3, rtol=1e-3)

exclude_conic_test_sets = ["lin", "soc", "rsoc", "geomean", "exp", "sdp", "rootdet", "logdet"]
@testset "Continuous conic problems" begin
    MOIT.contconictest(bridged, config, exclude_conic_test_sets)
end

The tests pass for COSMO but with SCS I get the following error:

pow1v: Error During Test at /Users/Micha/.julia/dev/MathOptInterface/src/Test/contconic.jl:1118
  Test threw exception
  Expression: MOI.supports_constraint(model, MOI.VectorOfVariables, MOI.PowerCone)
  MethodError: Cannot `convert` an object of type Type{MathOptInterface.PowerCone} to an object of type DataType
  Closest candidates are:
    convert(::Type{T}, !Matched::T) where T at essentials.jl:154
  Stacktrace:
   [1] convert(::Type{Tuple{DataType}}, ::Tuple{UnionAll}) at ./essentials.jl:275 (repeats 2 times)
   [2] setindex!(::Dict{Tuple{DataType,DataType},Nothing}, ::Nothing, ::Tuple{DataType,UnionAll}) at ./dict.jl:373
   [3] push!(::Set{Tuple{DataType,DataType}}, ::Tuple{DataType,UnionAll}) at ./set.jl:48
   [4] fill_required_constraints!(::Set{Tuple{DataType,DataType}}, ::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Utilities.UniversalFallback{COSMOModelData{Float64}}},MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Bridges.AllBridgedConstraints{Float64}}}, ::Type{MathOptInterface.VectorOfVariables}, ::Type{MathOptInterface.PowerCone}) at /Users/Micha/.julia/dev/MathOptInterface/src/Bridges/lazybridgeoptimizer.jl:71
   [5] update_constraint! at /Users/Micha/.julia/dev/MathOptInterface/src/Bridges/lazybridgeoptimizer.jl:84 [inlined]
   [6] supports_bridging_constraint(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Utilities.UniversalFallback{COSMOModelData{Float64}}},MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Bridges.AllBridgedConstraints{Float64}}}, ::Type{MathOptInterface.VectorOfVariables}, ::Type{MathOptInterface.PowerCone}) at /Users/Micha/.julia/dev/MathOptInterface/src/Bridges/lazybridgeoptimizer.jl:110
   [7] supports_constraint at /Users/Micha/.julia/dev/MathOptInterface/src/Bridges/bridgeoptimizer.jl:303 [inlined]
   [8] _pow1test(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Utilities.UniversalFallback{COSMOModelData{Float64}}},MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Bridges.AllBridgedConstraints{Float64}}}, ::MathOptInterface.Test.TestConfig, ::Bool) at /Users/Micha/.julia/dev/MathOptInterface/src/Test/contconic.jl:1118
   [9] pow1vtest(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Utilities.UniversalFallback{COSMOModelData{Float64}}},MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Bridges.AllBridgedConstraints{Float64}}}, ::MathOptInterface.Test.TestConfig) at /Users/Micha/.julia/dev/MathOptInterface/src/Test/contconic.jl:1177
   [10] macro expansion at /Users/Micha/.julia/dev/MathOptInterface/src/Test/config.jl:53 [inlined]
   [11] macro expansion at /Users/julia/buildbot/worker/package_macos64/build/usr/share/julia/stdlib/v1.1/Test/src/Test.jl:1083 [inlined]
   [12] powtest(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Utilities.UniversalFallback{COSMOModelData{Float64}}},MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Bridges.AllBridgedConstraints{Float64}}}, ::MathOptInterface.Test.TestConfig, ::Array{String,1}) at /Users/Micha/.julia/dev/MathOptInterface/src/Test/contconic.jl:1190

I am not sure whether that error is due to a mistake in

the test problem
the test script
or the SCS.jl wrapper

odow · 2019-06-15T12:43:25Z

It's fixed on latest master:

25a9a25

blegat · 2019-06-23T14:48:41Z

A rebase should fix the CI failures

chriscoey · 2019-06-23T17:22:05Z

src/Test/contconic.jl

+    rtol = config.rtol
+    # Problem POW1
+    # max z
+    #  st  x^0.9 * y^(0.1) >= z (i.e (x, y, z) are in the 3d power cone with a=0.9)


Would be clearer to have absolute value |z| on the RHS

migarstka · 2019-06-24T10:15:08Z

src/Test/contconic.jl

+    @test MOI.supports(model, MOI.ObjectiveSense())
+
+    if vecofvars
+        @test MOI.supports_constraint(model, MOI.VectorOfVariables, MOI.PowerCone{Float64})


I am not sure about this line? Should it be MOI.PowerCone or MOI.PowerCone{Float64}? Either way it seems to produce different errors.

It should be PowerCone{typeof(a)} so PowerCone{Float64}

It seems you need to add MOI.PowerCone, here: https://github.com/JuliaOpt/MathOptInterface.jl/blob/ef83d2381b2e26a3e6466b8bc34b6687c7c20c61/test/Bridges/lazy_bridge_optimizer.jl#L17

This doesn't seem to solve it. There are some errors in the Bridges unit tests related to the fact that PowerCone is typed. I am not really sure, what's going on there.

Can you post the errors or push the suggested fix so that I see the errors on Travis ?

mlubin · 2019-07-09T11:51:34Z

test/Bridges/lazy_bridge_optimizer.jl

            (MOI.Zeros, MOI.Nonnegatives, MOI.Nonpositives, MOI.SecondOrderCone,
             MOI.ExponentialCone, MOI.PositiveSemidefiniteConeTriangle),
-            (),
+            (MOI.PowerCone),


This is possibly the source of the error because (MOI.PowerCone) isn't a tuple. Try (MOI.PowerCone,) instead.

codecov-io · 2019-07-09T18:38:22Z

Codecov Report

Merging #768 into master will decrease coverage by 0.22%.
The diff coverage is 59.52%.

@@            Coverage Diff             @@
##           master     #768      +/-   ##
==========================================
- Coverage   94.26%   94.03%   -0.23%     
==========================================
  Files          59       59              
  Lines        6481     6523      +42     
==========================================
+ Hits         6109     6134      +25     
- Misses        372      389      +17

Impacted Files	Coverage Δ
src/Test/contconic.jl	`98.06% <59.52%> (-1.94%)`	⬇️

Continue to review full report at Codecov.

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mlubin requested a review from chriscoey June 18, 2019 00:58

mlubin added this to the v0.9 milestone Jun 18, 2019

chriscoey approved these changes Jun 23, 2019

View reviewed changes

migarstka force-pushed the mg/pow_tests branch 2 times, most recently from da6868f to 754f85b Compare June 24, 2019 10:13

migarstka commented Jun 24, 2019

View reviewed changes

migarstka force-pushed the mg/pow_tests branch 2 times, most recently from 6bce5ae to e363958 Compare July 9, 2019 08:31

mlubin reviewed Jul 9, 2019

View reviewed changes

Add power cone unit test

bb51f8d

migarstka force-pushed the mg/pow_tests branch from e363958 to bb51f8d Compare July 9, 2019 18:04

mlubin merged commit 303c070 into jump-dev:master Jul 10, 2019

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