Improve performance of QolElemAtom (#620)

Author: odow

src/VectorAffineFunctionAsMatrix.jl

@@ -21,6 +21,8 @@ function MOI.output_dimension(v::VectorAffineFunctionAsMatrix)
     return size(v.matrix, 1)
 end
 
+to_vaf(tape::SPARSE_VECTOR) = tape
+
 function to_vaf(tape::SparseTape)
     op = SparseAffineOperation(tape)
     return to_vaf(VectorAffineFunctionAsMatrix(op, tape.variables))

src/atoms/QolElemAtom.jl

@@ -34,14 +34,16 @@ end
 function new_conic_form!(context::Context{T}, q::QolElemAtom) where {T}
     x, y = q.children
     t = Variable(x.size)
-    for i in 1:length(x)
-        f = vcat(t[i], (1 / T(2)) * y[i], x[i])
-        add_constraint!(
-            context,
-            GenericConstraint{MOI.RotatedSecondOrderCone}(f),
-        )
+    t_tape = conic_form!(context, t)
+    y_tape = conic_form!(context, y)
+    x_tape = conic_form!(context, x)
+    x_fn = MOI.Utilities.scalarize(to_vaf(x_tape))
+    y_fn = MOI.Utilities.scalarize(to_vaf(y_tape))
+    for (ti, yi, xi) in zip(t_tape.variables, y_fn, x_fn)
+        f = MOI.Utilities.operate(vcat, T, ti, 1 / T(2) * yi, xi)
+        MOI.add_constraint(context.model, f, MOI.RotatedSecondOrderCone(3))
     end
-    return conic_form!(context, t)
+    return t_tape
 end
 
 qol_elementwise(x::AbstractExpr, y::AbstractExpr) = QolElemAtom(x, y)