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[Test] add tests from Gurobi.jl's nonlinear update
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‎src/Test/test_nonlinear.jl‎

Lines changed: 347 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -1836,3 +1836,350 @@ function setup_test(
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)
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return
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end
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function test_nonlinear_with_scalar_quadratic_function_with_off_diag(
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model::MOI.ModelLike,
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config::Config{T},
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) where {T}
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@requires T == Float64
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@requires _supports(config, MOI.optimize!)
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F = MOI.ScalarNonlinearFunction
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@requires MOI.supports_constraint(model, F, MOI.EqualTo{T})
1848+
for (a, b, status) in [
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(1, 2, config.optimal_status),
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(1, 3, config.infeasible_status),
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(2, 3, config.optimal_status),
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(2, 4, config.infeasible_status),
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]
1854+
MOI.empty!(model)
1855+
x, _ = MOI.add_constrained_variable(model, MOI.EqualTo(T(2)))
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y, _ = MOI.add_constrained_variable(model, MOI.EqualTo(T(3)))
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g = T(a) * x * y
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@test g isa MOI.ScalarQuadraticFunction{T}
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f = MOI.ScalarNonlinearFunction(:sqrt, Any[g])
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MOI.add_constraint(model, f, MOI.GreaterThan(T(b)))
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MOI.optimize!(model)
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@test MOI.get(model, MOI.TerminationStatus()) == status
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end
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return
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end
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function setup_test(
1868+
::typeof(test_nonlinear_with_scalar_quadratic_function_with_off_diag),
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model::MOIU.MockOptimizer,
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config::Config{T},
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) where {T}
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if T != Float64
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return # Skip for non-Float64 solvers
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end
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MOI.Utilities.set_mock_optimize!(
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model,
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mock ->
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MOI.Utilities.mock_optimize!(mock, config.optimal_status, T[2, 3]),
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mock -> MOI.Utilities.mock_optimize!(mock, config.infeasible_status),
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mock ->
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MOI.Utilities.mock_optimize!(mock, config.optimal_status, T[2, 3]),
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mock -> MOI.Utilities.mock_optimize!(mock, config.infeasible_status),
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)
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return
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end
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function test_nonlinear_constraint_log(
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model::MOI.ModelLike,
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config::Config{T},
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) where {T}
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F, S = MOI.ScalarNonlinearFunction, MOI.GreaterThan{T}
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@requires MOI.supports_constraint(model, F, S)
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x = MOI.add_variable(model)
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t = MOI.add_variable(model)
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MOI.add_constraint(model, x, MOI.LessThan(T(2)))
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MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
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f = 1.0 * t
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MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
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g = MOI.ScalarNonlinearFunction(
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:-,
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Any[MOI.ScalarNonlinearFunction(:log, Any[x]), t],
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)
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c = MOI.add_constraint(model, g, MOI.GreaterThan(T(0)))
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MOI.optimize!(model)
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x_val = MOI.get(model, MOI.VariablePrimal(), x)
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t_val = MOI.get(model, MOI.VariablePrimal(), t)
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@test ≈(x_val, T(2), config)
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@test ≈(t_val, log(x_val), config)
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@test ≈(MOI.get(model, MOI.ObjectiveValue()), t_val, config)
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@test (F, S) in MOI.get(model, MOI.ListOfConstraintTypesPresent())
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@test c in MOI.get(model, MOI.ListOfConstraintIndices{F,S}())
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return
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end
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function setup_test(
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::typeof(test_nonlinear_constraint_log),
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model::MOIU.MockOptimizer,
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config::Config{T},
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) where {T}
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if T != Float64
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return # Skip for non-Float64 solvers
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end
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MOI.Utilities.set_mock_optimize!(
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model,
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mock -> MOI.Utilities.mock_optimize!(
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mock,
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config.optimal_status,
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T[2, log(2)],
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),
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)
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return
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end
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function test_nonlinear_constraint_uminus(
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model::MOI.ModelLike,
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config::Config{T},
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) where {T}
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F, S = MOI.ScalarNonlinearFunction, MOI.GreaterThan{Float64}
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@requires MOI.supports_constraint(model, F, S)
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x = MOI.add_variable(model)
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MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
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f = T(1) * x
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MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
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g = MOI.ScalarNonlinearFunction(:-, Any[x])
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MOI.add_constraint(model, g, MOI.GreaterThan(T(-2)))
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MOI.optimize!(model)
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@test ≈(MOI.get(model, MOI.VariablePrimal(), x), T(2), config)
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@test ≈(MOI.get(model, MOI.ObjectiveValue()), T(2), config)
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return
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end
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function setup_test(
1953+
::typeof(test_nonlinear_constraint_uminus),
1954+
model::MOIU.MockOptimizer,
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config::Config{T},
1956+
) where {T}
1957+
if T != Float64
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return # Skip for non-Float64 solvers
1959+
end
1960+
MOI.Utilities.set_mock_optimize!(
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model,
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mock -> MOI.Utilities.mock_optimize!(mock, config.optimal_status, T[2]),
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)
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return
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end
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function test_nonlinear_constraint_scalar_affine_function(
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model::MOI.ModelLike,
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config::Config{T},
1970+
) where {T}
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x1, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
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x2, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
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x3, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
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x4, _ = MOI.add_constrained_variable(model, MOI.GreaterThan(zero(T)))
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f = T(1) * x1 + T(2) * x2 + T(3) * x3
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MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
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MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
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h = T(1) * x1 + T(2) * x2 + T(3) * x3 + T(4) * x4
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g = MOI.ScalarNonlinearFunction(:+, Any[h])
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MOI.add_constraint(model, g, MOI.LessThan(T(6)))
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MOI.optimize!(model)
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@test ≈(MOI.get(model, MOI.ObjectiveValue()), T(6), config)
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return
1984+
end
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function setup_test(
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::typeof(test_nonlinear_constraint_scalar_affine_function),
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model::MOIU.MockOptimizer,
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config::Config{T},
1990+
) where {T}
1991+
if T != Float64
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return # Skip for non-Float64 solvers
1993+
end
1994+
MOI.Utilities.set_mock_optimize!(
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model,
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mock -> MOI.Utilities.mock_optimize!(
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mock,
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config.optimal_status,
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T[1, 1, 1, 0],
2000+
),
2001+
)
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return
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end
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function test_nonlinear_quadratic_1(
2006+
model::MOI.ModelLike,
2007+
config::Config{T},
2008+
) where {T}
2009+
# max x + y
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# s.t sqrt(*(x, x) + *(y, y)) <= 1
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# x, y >= 0
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#
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# -> x = y = 1/sqrt(2)
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x = MOI.add_variable(model)
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y = MOI.add_variable(model)
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MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
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f = T(1) * x + T(1) * y
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MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
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f1 = MOI.ScalarNonlinearFunction(:*, Any[x, x])
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f2 = MOI.ScalarNonlinearFunction(:*, Any[y, y])
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f3 = MOI.ScalarNonlinearFunction(:+, Any[f1, f2])
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g = MOI.ScalarNonlinearFunction(:sqrt, Any[f3])
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c = MOI.add_constraint(model, g, MOI.LessThan(T(1)))
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MOI.optimize!(model)
2025+
@test ≈(MOI.get(model, MOI.ObjectiveValue()), 2 / sqrt(2), config)
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@test ≈(MOI.get(model, MOI.VariablePrimal(), x), 1 / sqrt(2), config)
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@test ≈(MOI.get(model, MOI.VariablePrimal(), y), 1 / sqrt(2), config)
2028+
return
2029+
end
2030+
2031+
function setup_test(
2032+
::typeof(test_nonlinear_quadratic_1),
2033+
model::MOIU.MockOptimizer,
2034+
config::Config{T},
2035+
) where {T}
2036+
if T != Float64
2037+
return # Skip for non-Float64 solvers
2038+
end
2039+
MOI.Utilities.set_mock_optimize!(
2040+
model,
2041+
mock -> MOI.Utilities.mock_optimize!(
2042+
mock,
2043+
config.optimal_status,
2044+
T[1 / sqrt(2), 1 / sqrt(2)],
2045+
),
2046+
)
2047+
return
2048+
end
2049+
2050+
function test_nonlinear_quadratic_2(
2051+
model::MOI.ModelLike,
2052+
config::Config{T},
2053+
) where {T}
2054+
# Present products as ScalarAffineTerms nested in ScalarNonlinearFunctions
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# max x + y
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# s.t sqrt(*(x, x) + *(y, y)) <= 1
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# x, y >= 0
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#
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# -> x = y = 1/sqrt(2)
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x = MOI.add_variable(model)
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y = MOI.add_variable(model)
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MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
2063+
f = T(1) * x + T(1) * y
2064+
MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
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f1 = MOI.ScalarNonlinearFunction(:*, Any[T(1)*x, x])
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f2 = MOI.ScalarNonlinearFunction(:*, Any[T(1)*y, y])
2067+
f3 = MOI.ScalarNonlinearFunction(:+, Any[f1, f2])
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g = MOI.ScalarNonlinearFunction(:sqrt, Any[f3])
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c = MOI.add_constraint(model, g, MOI.LessThan(T(1)))
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MOI.optimize!(model)
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@test ≈(MOI.get(model, MOI.ObjectiveValue()), 2 / sqrt(2), config)
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@test ≈(MOI.get(model, MOI.VariablePrimal(), x), 1 / sqrt(2), config)
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@test ≈(MOI.get(model, MOI.VariablePrimal(), y), 1 / sqrt(2), config)
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return
2075+
end
2076+
2077+
function setup_test(
2078+
::typeof(test_nonlinear_quadratic_2),
2079+
model::MOIU.MockOptimizer,
2080+
config::Config{T},
2081+
) where {T}
2082+
if T != Float64
2083+
return # Skip for non-Float64 solvers
2084+
end
2085+
MOI.Utilities.set_mock_optimize!(
2086+
model,
2087+
mock -> MOI.Utilities.mock_optimize!(
2088+
mock,
2089+
config.optimal_status,
2090+
T[1 / sqrt(2), 1 / sqrt(2)],
2091+
),
2092+
)
2093+
return
2094+
end
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2096+
function test_nonlinear_quadratic_3(
2097+
model::MOI.ModelLike,
2098+
config::Config{T},
2099+
) where {T}
2100+
# Present products as ScalarQuadraticFunctions (complete with 2x factor ...)
2101+
# max x + y
2102+
# s.t sqrt(*(x, x) + *(y, y)) <= 1
2103+
# x, y >= 0
2104+
#
2105+
# -> x = y = 1/sqrt(2)
2106+
x = MOI.add_variable(model)
2107+
y = MOI.add_variable(model)
2108+
MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
2109+
f = T(1) * x + T(1) * y
2110+
MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
2111+
f1 = T(1) * x * x
2112+
f2 = T(1) * y * y
2113+
f3 = MOI.ScalarNonlinearFunction(:+, Any[f1, f2])
2114+
g = MOI.ScalarNonlinearFunction(:sqrt, Any[f3])
2115+
c = MOI.add_constraint(model, g, MOI.LessThan(T(1)))
2116+
MOI.optimize!(model)
2117+
@test ≈(MOI.get(model, MOI.ObjectiveValue()), 2 / sqrt(2), config)
2118+
@test ≈(MOI.get(model, MOI.VariablePrimal(), x), 1 / sqrt(2), config)
2119+
@test ≈(MOI.get(model, MOI.VariablePrimal(), y), 1 / sqrt(2), config)
2120+
return
2121+
end
2122+
2123+
function setup_test(
2124+
::typeof(test_nonlinear_quadratic_3),
2125+
model::MOIU.MockOptimizer,
2126+
config::Config{T},
2127+
) where {T}
2128+
if T != Float64
2129+
return # Skip for non-Float64 solvers
2130+
end
2131+
MOI.Utilities.set_mock_optimize!(
2132+
model,
2133+
mock -> MOI.Utilities.mock_optimize!(
2134+
mock,
2135+
config.optimal_status,
2136+
T[1 / sqrt(2), 1 / sqrt(2)],
2137+
),
2138+
)
2139+
return
2140+
end
2141+
2142+
function test_nonlinear_quadratic_4(
2143+
model::MOI.ModelLike,
2144+
config::Config{T},
2145+
) where {T}
2146+
# max x + y
2147+
# s.t sqrt(^(x, 2) + ^(y, 2)) <= 1 # Use NL POW(2) operator
2148+
# x, y >= 0
2149+
#
2150+
# -> x = y = 1/sqrt(2)
2151+
x = MOI.add_variable(model)
2152+
y = MOI.add_variable(model)
2153+
MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
2154+
f = T(1) * x + T(1) * y
2155+
MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
2156+
f1 = MOI.ScalarNonlinearFunction(:^, Any[x, 2])
2157+
f2 = MOI.ScalarNonlinearFunction(:^, Any[y, 2])
2158+
f3 = MOI.ScalarNonlinearFunction(:+, Any[f1, f2])
2159+
g = MOI.ScalarNonlinearFunction(:sqrt, Any[f3])
2160+
c = MOI.add_constraint(model, g, MOI.LessThan(T(1)))
2161+
MOI.optimize!(model)
2162+
@test ≈(MOI.get(model, MOI.ObjectiveValue()), 2 / sqrt(2), config)
2163+
@test ≈(MOI.get(model, MOI.VariablePrimal(), x), 1 / sqrt(2), config)
2164+
@test ≈(MOI.get(model, MOI.VariablePrimal(), y), 1 / sqrt(2), config)
2165+
return
2166+
end
2167+
2168+
function setup_test(
2169+
::typeof(test_nonlinear_quadratic_4),
2170+
model::MOIU.MockOptimizer,
2171+
config::Config{T},
2172+
) where {T}
2173+
if T != Float64
2174+
return # Skip for non-Float64 solvers
2175+
end
2176+
MOI.Utilities.set_mock_optimize!(
2177+
model,
2178+
mock -> MOI.Utilities.mock_optimize!(
2179+
mock,
2180+
config.optimal_status,
2181+
T[1 / sqrt(2), 1 / sqrt(2)],
2182+
),
2183+
)
2184+
return
2185+
end

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