Add quadratics and interval features (#23)

Author: joaquimg

src/constraints/scalaraffine.jl

@@ -131,18 +131,17 @@ end
     Constraint set of Linear function
 =#
 
-MOI.canget(m::LinQuadOptimizer, ::MOI.ConstraintSet, ::Type{LCI{S}}) where S <: Union{LE, GE, EQ} = true
+MOI.canget(::LinQuadOptimizer, ::MOI.ConstraintSet, ::Type{LCI{S}}) where S <: Union{LE, GE, EQ} = true
 function MOI.get(m::LinQuadOptimizer, ::MOI.ConstraintSet, c::LCI{S}) where S <: Union{LE, GE, EQ}
     rhs = get_rhs(m, m[c])
     S(rhs+m.constraint_constant[m[c]])
 end
 
-MOI.canget(m::LinQuadOptimizer, ::MOI.ConstraintSet, ::Type{LCI{IV}}) = false
-# TODO(odow): get constraint sets for ranged constraints.
-# function MOI.get(m::LinQuadOptimizer, ::MOI.ConstraintSet, c::LCI{IV})
-#     ???
-#     IV(lowerbound+m.constraint_constant[m[c]], upperbound + m.constraint_constant[m[c]])
-# end
+MOI.canget(::LinQuadOptimizer, ::MOI.ConstraintSet, ::Type{LCI{IV}}) = false
+function MOI.get(m::LinQuadOptimizer, ::MOI.ConstraintSet, c::LCI{IV})
+    lowerbound, upperbound = get_range(m, m[c])
+    IV(lowerbound+m.constraint_constant[m[c]], upperbound + m.constraint_constant[m[c]])
+end
 
 #=
     Constraint function of Linear function

src/constraints/scalarquadratic.jl

@@ -96,3 +96,43 @@ function MOI.delete!(m::LinQuadOptimizer, c::QCI{<: LinSets})
     shift_references_after_delete_quadratic!(m, row)
     delete!(dict, c)
 end
+
+#=
+    Constraint set of Linear function
+=#
+
+MOI.canget(m::LinQuadOptimizer, ::MOI.ConstraintSet, ::Type{QCI{S}}) where S <: Union{LE, GE, EQ} = true
+function MOI.get(m::LinQuadOptimizer, ::MOI.ConstraintSet, c::QCI{S}) where S <: Union{LE, GE, EQ}
+    rhs = get_rhs(m, m[c])
+    S(rhs)
+end
+
+MOI.canget(m::LinQuadOptimizer, ::MOI.ConstraintSet, ::Type{QCI{IV}}) = false
+
+#=
+    Constraint function of Linear function
+=#
+
+MOI.canget(m::LinQuadOptimizer, ::MOI.ConstraintFunction, ::Type{<:QCI{<: LinSets}}) = true
+function MOI.get(m::LinQuadOptimizer, ::MOI.ConstraintFunction, c::QCI{<: LinSets})
+    # TODO more efficiently
+    colidx, coefs, Q = get_quadratic_constraint(m, m[c])
+    affine_terms = map(
+        (v,c)->MOI.ScalarAffineTerm{Float64}(c,v),
+        m.variable_references[colidx+1],
+        coefs
+    )
+    rows = rowvals(Q)
+    vals = nonzeros(Q)
+    nrows, ncols = size(Q)
+    quadratic_terms = MOI.ScalarQuadraticTerm{Float64}[]
+    sizehint!(quadratic_terms, length(vals))
+    for i = 1:ncols
+        for j in nzrange(Q, i)
+            row = rows[j]
+            val = vals[j]
+            push!(quadratic_terms, MOI.ScalarQuadraticTerm{Float64}(2*val, m.variable_references[row], m.variable_references[i]))
+        end
+    end
+    Quad(affine_terms, quadratic_terms, 0.0) # constant was moved into set
+end

src/objective.jl

@@ -112,6 +112,31 @@ function MOI.get(m::LinQuadOptimizer, ::MOI.ObjectiveFunction{Linear})
     Linear(terms, m.objective_constant)
 end
 
+MOI.canget(m::LinQuadOptimizer, ::MOI.ObjectiveFunction{Quad}) = m.obj_type == QuadraticObjective
+function MOI.get(m::LinQuadOptimizer, ::MOI.ObjectiveFunction{Quad})
+    variable_coefficients = zeros(length(m.variable_references))
+    get_linear_objective!(m, variable_coefficients)
+    affine_terms = map(
+        (v,c)->MOI.ScalarAffineTerm{Float64}(c,v),
+        m.variable_references,
+        variable_coefficients
+    )
+    Q = get_quadratic_terms_objective(m)
+    rows = rowvals(Q)
+    vals = nonzeros(Q)
+    nrows, ncols = size(Q)
+    quadratic_terms = MOI.ScalarQuadraticTerm{Float64}[]
+    sizehint!(quadratic_terms, length(vals))
+    for i = 1:ncols
+        for j in nzrange(Q, i)
+            row = rows[j]
+            val = vals[j]
+            push!(quadratic_terms, MOI.ScalarQuadraticTerm{Float64}(0.5*val, m.variable_references[row], m.variable_references[i]))
+        end
+    end
+    Quad(affine_terms, quadratic_terms, m.objective_constant)
+end
+
 #=
     Modify objective function
 =#

src/solver_interface.jl

@@ -172,7 +172,7 @@ is often implemented via multiple API calls.
 function add_ranged_constraints! end
 
 """
-    modify_ranged_constraint!(m, rows::Vector{Int}, lowerbound::Vector{Float64}, upperbound::Vector{Float64})
+    modify_ranged_constraints!(m, rows::Vector{Int}, lowerbound::Vector{Float64}, upperbound::Vector{Float64})
 
 Modify the lower and upperbounds of a ranged constraint in the model `m`.
 
@@ -181,7 +181,6 @@ is often implemented via multiple API calls.
 """
 function modify_ranged_constraints! end
 
-
 """
     get_rhs(m, row::Int)::Float64
 
@@ -191,6 +190,13 @@ the model `m`.
 function get_rhs end
 @deprecate lqs_getrhs get_rhs
 
+"""
+    get_range(m, row::Int)::Tuple{Float64,Float64}
+
+Get the range which the constraint `row` belongs to. The output of the function is the tuple `lowerbound, upperbound` of bounds: `lowerbound <= a'x < = upperbound`
+"""
+function get_range end
+
 """
     get_linear_constraint(m, row::Int)::Tuple{Vector{Int}, Vector{Float64}}
 
@@ -241,7 +247,7 @@ the model `m`.
 function delete_quadratic_constraints! end
 
 """
-    lqs_chgctype(m, cols::Vector{Int}, types):Void
+    change_variable_types(m, cols::Vector{Int}, types):Void
 
 Change the variable types. Type is the output of one of:
  - `backend_type(m, ::ZeroOne)`, for binary variables;
@@ -336,6 +342,15 @@ for the Q matrix in `0.5 x' Q x`.
 function set_quadratic_objective! end
 @deprecate lqs_copyquad! set_quadratic_objective!
 
+"""
+    get_quadratic_constraint(m, row::Int)::Tuple{Vector{Int}, Vector{Float64}, SparseMatrixCSC{Float64,Int64}}
+
+Get the linear and quadratic components of the constraint in the 1-indexed row `row` in
+the model `m`. Returns a tuple of `(lin_cols, lin_vals, Q)`.
+Where `Q` represents the matrix in CSC format.
+"""
+function get_quadratic_constraint end
+
 """
     set_linear_objective!(m, cols::Vector{Int}, coefs::Vector{Float64})::Void
 
@@ -356,12 +371,19 @@ function change_objective_sense! end
 """
     get_linear_objective!(m, x::Vector{Float64})
 
-Change the linear coefficients of the objective and store
+Get the linear coefficients of the objective and store
 in `x`.
 """
 function get_linear_objective! end
 @deprecate lqs_getobj get_linear_objective!
 
+"""
+    get_quadratic_terms_objective(m)::SparseMatrixCSC{Float64,Int64}
+
+Get quadratic terms of the objective function returned in sparse CSC format.
+"""
+function get_quadratic_terms_objective end
+
 """
     get_objectivesense(m)::MOI.OptimizationSense