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Fix memory issue in MOI's interface #87

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merged 4 commits into from
Aug 23, 2019
Merged

Fix memory issue in MOI's interface #87

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509d327
Fix bug & type instability.
nrontsis Aug 16, 2019
7993a09
Remove deprececated warning comment.
nrontsis Aug 16, 2019
2f4e7f7
Fixing tests.
nrontsis Aug 16, 2019
b26da48
Yet another correction.
nrontsis Aug 16, 2019
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35 changes: 14 additions & 21 deletions src/MOIWrapper.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,6 @@
# https://github.com/oxfordcontrol/OSQP.jl/blob/master/src/MathOptInterfaceOSQP.jl
# certain utility function are taken from the SCS MathOptInterface:
# https://github.com/JuliaOpt/SCS.jl

using MathOptInterface

const MOI = MathOptInterface
Expand Down Expand Up @@ -284,30 +283,24 @@ function symmetrize!(I::Vector{Int}, J::Vector{Int}, V::Vector)
end

# The following utility functions are from https://github.com/JuliaOpt/SCS.jl
# Matrix dimension for vectorized length n
trimap(i::Integer, j::Integer) = i < j ? trimap(j, i) : div((i-1)*i, 2) + j



# Scale coefficients depending on rows index
# rows: List of row indices
# coef: List of corresponding coefficients
# minus: if true, multiply the result by -1
# d: dimension of set
# rev: if true, we unscale instead (e.g. divide by √2 instead of multiply for PSD cone)
_scalecoef(rows, coef, minus, ::Type{<:MOI.AbstractSet}, d, rev) = minus ? -coef : coef
_scalecoef(rows, coef, minus, ::Union{Type{<:MOI.LessThan}, Type{<:MOI.Nonpositives}, Type{<:MOI.EqualTo}}, d, rev) = minus ? coef : -coef
function _scalecoef(rows, coef, minus, ::Type{MOI.PositiveSemidefiniteConeTriangle}, d, rev)
_scalecoef(rows, coef, minus, ::Type{<:MOI.AbstractSet}, rev) = minus ? -coef : coef
_scalecoef(rows, coef, minus, ::Union{Type{<:MOI.LessThan}, Type{<:MOI.Nonpositives}, Type{<:MOI.EqualTo}}, rev) = minus ? coef : -coef
function _scalecoef(rows, coef, minus, ::Type{MOI.PositiveSemidefiniteConeTriangle}, rev)
scaling = minus ? -1 : 1
scaling2 = rev ? scaling / √2 : scaling * √2
output = copy(coef)
diagidx = BitSet()
for i in 1:d
# vector index of diagonal entries of original matrix
push!(diagidx, trimap(i, i))
end
idx = 0
for i in 1:length(output)
if rows[i] in diagidx
# See https://en.wikipedia.org/wiki/Triangular_number#Triangular_roots_and_tests_for_triangular_numbers
is_diagonal_index = isinteger(sqrt(8*rows[i] + 1))
if is_diagonal_index
output[i] *= scaling
else
output[i] *= scaling2
Expand All @@ -316,9 +309,9 @@ function _scalecoef(rows, coef, minus, ::Type{MOI.PositiveSemidefiniteConeTriang
output
end
# Unscale the coefficients in `coef` with respective rows in `rows` for a set `s` and multiply by `-1` if `minus` is `true`.
scalecoef(rows, coef, minus, s) = _scalecoef(rows, coef, minus, typeof(s), MOI.dimension(s), false)
# Unscale the coefficients in `coef` with respective rows in `rows` for a set of type `S` with dimension `d`
unscalecoef(rows, coef, S::Type{<:MOI.AbstractSet}, d) = _scalecoef(rows, coef, false, S, d, true)
scalecoef(rows, coef, minus, s) = _scalecoef(rows, coef, minus, typeof(s), false)
# Unscale the coefficients in `coef` with respective rows in `rows` for a set of type `S`
unscalecoef(rows, coef, S::Type{<:MOI.AbstractSet}) = _scalecoef(rows, coef, false, S, true)

# This helper function is to provide scale- and unscalecoef with the nomimal rows in the case of at PSDTriangle constraint
# this is because for _scalecoef the actual row in A doesn't matter, what matters is the row in the upper triangle matrix
Expand Down Expand Up @@ -722,14 +715,14 @@ function MOI.get(optimizer::Optimizer, ::MOI.ConstraintPrimal, ci_src::CI{<:MOI.
# offset = constroffset(optimizer, ci)
# rows = constrrows(optimizer, ci)
rows = COSMO.constraint_rows(optimizer.rowranges, ci_src)
c_primal = unscalecoef(nom_rows(rows, S), optimizer.results.s[rows], S, length(rows))
c_primal = unscalecoef(nom_rows(rows, S), optimizer.results.s[rows], S)
# (typeof(c_primal) <: AbstractArray && length(c_primal) == 1) && (c_primal = first(c_primal))
return _unshift(optimizer, rows, c_primal, S)
end

function MOI.get(optimizer::Optimizer, ::MOI.ConstraintDual, ci_src::CI{<:MOI.AbstractFunction, S}) where S <: MOI.AbstractSet
rows = constraint_rows(optimizer.rowranges, ci_src)
return unscalecoef(nom_rows(rows, S), optimizer.results.y[rows], S, length(rows))
return unscalecoef(nom_rows(rows, S), optimizer.results.y[rows], S)
end

## Variable attributes:
Expand All @@ -751,7 +744,7 @@ function MOI.set(optimizer::Optimizer, a::MOI.ConstraintPrimalStart, ci_src::CI{
# this undoes the scaling and shifting that was used in get(MOI.ConstraintPrimal)
# Off-diagonal entries of slack variable of a PSDTriangle constraint has to be scaled by sqrt(2)
value = _shift(optimizer, rows, value, S)
COSMO.warm_start_slack!(optimizer.inner, _scalecoef(nom_rows(rows, S), value, false, S, length(rows), false), rows)
COSMO.warm_start_slack!(optimizer.inner, _scalecoef(nom_rows(rows, S), value, false, S, false), rows)
end

MOI.supports(::Optimizer, a::MOI.ConstraintDualStart, ::Type{MOI.ConstraintIndex}) = true
Expand All @@ -760,7 +753,7 @@ function MOI.set(optimizer::Optimizer, a::MOI.ConstraintDualStart, ci_src::CI{<:
rows = constraint_rows(optimizer.rowranges, optimizer.idxmap[ci_src])
# this undoes the scaling that was used in get(MOI.ConstraintDual)
# Off-diagonal entries of dual variable of a PSDTriangle constraint has to be scaled by sqrt(2)
COSMO.warm_start_dual!(optimizer.inner, _scalecoef(nom_rows(rows, S), value, false, S, length(rows), false), rows)
COSMO.warm_start_dual!(optimizer.inner, _scalecoef(nom_rows(rows, S), value, false, S, false), rows)
nothing
end

Expand Down