add constrained variables
guilhermebodin opened this issue · 7 comments
guilhermebodin commented
add constrained variables
blegat commented
This is preventing Dualization to be used to write SDPA files as currently SDPA files do not support affine equalities (because of jump-dev/MathOptInterface.jl#852).
julia> sdpa_model = MOI.FileFormats.Model(filename = "LR_export_cons.sdpa")
A SemiDefinite Programming Algorithm Format (SDPA) model
julia> using Dualization
julia> dual_model = DualOptimizer(MOI.Utilities.MockOptimizer(sdpa_model))
DualOptimizer{Float64,MOIB.LazyBridgeOptimizer{MOIU.CachingOptimizer{MOIU.MockOptimizer{MOI.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}}
julia> model = Model();
julia> @variable(model, X[1:2, 1:2], PSD)
2×2 LinearAlgebra.Symmetric{VariableRef,Array{VariableRef,2}}:
X[1,1] X[1,2]
X[1,2] X[2,2]
julia> @constraint(model, X[1,1] == 1)
X[1,1] = 1.0
julia> @objective(model, Min, X[1,1] + X[2,2])
X[1,1] + X[2,2]
julia> MOI.copy_to(dual_model, JuMP.backend(model))
ERROR: MathOptInterface.UnsupportedConstraint{MathOptInterface.ScalarAffineFunction{Float64},MathOptInterface.EqualTo{Float64}}: `MathOptInterface.ScalarAffineFunction{Float64}`-in-`MathOptInterface.EqualTo{Float64}` constraint is not supported by the model.
Stacktrace:
[1] bridge_type(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}, ::Type{MathOptInterface.ScalarAffineFunction{Float64}}, ::Type{MathOptInterface.EqualTo{Float64}}) at /home/blegat/.julia/packages/MathOptInterface/C1XBe/src/Bridges/lazy_bridge_optimizer.jl:330
[2] concrete_bridge_type(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}, ::Type{MathOptInterface.ScalarAffineFunction{Float64}}, ::Type{MathOptInterface.EqualTo{Float64}}) at /home/blegat/.julia/packages/MathOptInterface/C1XBe/src/Bridges/Constraint/bridge.jl:120
[3] add_constraint(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}, ::MathOptInterface.ScalarAffineFunction{Float64}, ::MathOptInterface.EqualTo{Float64}) at /home/blegat/.julia/packages/MathOptInterface/C1XBe/src/Bridges/bridge_optimizer.jl:1052
[4] #normalize_and_add_constraint#106(::Bool, ::typeof(MathOptInterface.Utilities.normalize_and_add_constraint), ::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}, ::MathOptInterface.ScalarAffineFunction{Float64}, ::MathOptInterface.EqualTo{Float64}) at /home/blegat/.julia/packages/MathOptInterface/C1XBe/src/Utilities/constraints.jl:17
[5] normalize_and_add_constraint(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}, ::MathOptInterface.ScalarAffineFunction{Float64}, ::MathOptInterface.EqualTo{Float64}) at /home/blegat/.julia/packages/MathOptInterface/C1XBe/src/Utilities/constraints.jl:17
[6] add_dual_equality_constraints(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}, ::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.AbstractOptimizer,MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}, ::Dualization.PrimalDualMap{Float64}, ::DualNames, ::Dualization.PrimalObjective{Float64}, ::Array{Tuple{DataType,DataType},1}, ::Array{MathOptInterface.VariableIndex,1}) at /home/blegat/.julia/packages/Dualization/w9SXv/src/dual_equality_constraints.jl:31
[7] dualize(::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.AbstractOptimizer,MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}, ::Dualization.DualProblem{Float64,MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}}, ::DualNames, ::Array{MathOptInterface.VariableIndex,1}, ::Bool) at /home/blegat/.julia/packages/Dualization/w9SXv/src/dualize.jl:51
[8] #dualize#2 at /home/blegat/.julia/packages/Dualization/w9SXv/src/dualize.jl:16 [inlined]
[9] dualize at /home/blegat/.julia/packages/Dualization/w9SXv/src/dualize.jl:16 [inlined]
[10] #copy_to#5(::Base.Iterators.Pairs{Union{},Union{},Tuple{},NamedTuple{(),Tuple{}}}, ::typeof(MathOptInterface.copy_to), ::DualOptimizer{Float64,MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}}, ::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.AbstractOptimizer,MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}) at /home/blegat/.julia/packages/Dualization/w9SXv/src/MOI_wrapper.jl:84
[11] copy_to(::DualOptimizer{Float64,MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Utilities.MockOptimizer{MathOptInterface.FileFormats.SDPA.Model{Float64}},Dualization.DualizableModel{Float64}}}}, ::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.AbstractOptimizer,MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}) at /home/blegat/.julia/packages/Dualization/w9SXv/src/MOI_wrapper.jl:84
[12] top-level scope at REPL[24]:1guilhermebodin commented
@blegat Would it still be useful to solve this issue?
blegat commented
Yes, more than even with MOI v0.9.15 I made the sorting functions easily accessible from Utilities/copy.jl precisely for Dualization
guilhermebodin commented
julia> sdpa_model = MOI.FileFormats.Model(filename = "LR_export_cons.sdpa")
A SemiDefinite Programming Algorithm Format (SDPA) model
julia> dual_model = DualOptimizer(MOI.Utilities.MockOptimizer(sdpa_model))
DualOptimizer{Float64,MOIB.LazyBridgeOptimizer{MOIU.CachingOptimizer{MOIU.MockOptimizer{MOI.FileFormats.SDPA.Model{Float64}},MOIU.UniversalFallback{Dualization.DualizableModel{Float64}}}}}
julia> model = Model()
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: NO_OPTIMIZER
Solver name: No optimizer attached.
julia> @variable(model, X[1:2, 1:2], PSD)
2×2 LinearAlgebra.Symmetric{VariableRef,Array{VariableRef,2}}:
X[1,1] X[1,2]
X[1,2] X[2,2]
julia> @constraint(model, X[1,1] == 1)
X[1,1] = 1.0
julia> @objective(model, Min, X[1,1] + X[2,2])
X[1,1] + X[2,2]
julia> MOI.copy_to(dual_model, JuMP.backend(model))
MathOptInterface.Utilities.IndexMap with 5 entries:
VariableIndex(2) => VariableIndex(2)
VariableIndex(3) => VariableIndex(3)
VariableIndex(1) => VariableIndex(1)
ConstraintIndex{VectorOfVariables,PositiveSemidefiniteConeTriangle}(1) => ConstraintIndex{VectorOfVariables,PositiveSemidefiniteConeTriangle}(1)
ConstraintIndex{ScalarAffineFunction{Float64},EqualTo{Float64}}(2) => ConstraintIndex{ScalarAffineFunction{Float64},EqualTo{Float64}}(2)It is working on master
guilhermebodin commented
@blegat can I close this?
blegat commented
Dualization still does not consider constrained variables, does it?
All variables are considered free hence the corresponding dual constraints are all equalities
guilhermebodin commented
It does not, I got the point 👍