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Update set_dot for sets with non-zero constants #2825

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Update set_dot for sets with non-zero constants #2825

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130 changes: 24 additions & 106 deletions src/Utilities/results.jl
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -52,112 +52,6 @@ end

# MOI.DualObjectiveValue

function _constraint_constant(
model::MOI.ModelLike,
ci::MOI.ConstraintIndex{
<:MOI.AbstractVectorFunction,
<:MOI.AbstractVectorSet,
},
::Type{T},
) where {T}
return MOI.constant(MOI.get(model, MOI.ConstraintFunction(), ci), T)
end

function _constraint_constant(
model::MOI.ModelLike,
ci::MOI.ConstraintIndex{
<:MOI.AbstractScalarFunction,
<:MOI.AbstractScalarSet,
},
::Type{T},
) where {T}
return MOI.constant(MOI.get(model, MOI.ConstraintFunction(), ci), T) -
MOI.constant(MOI.get(model, MOI.ConstraintSet(), ci))
end

function _dual_objective_value(
model::MOI.ModelLike,
ci::MOI.ConstraintIndex,
::Type{T},
result_index::Integer,
) where {T}
return set_dot(
_constraint_constant(model, ci, T),
MOI.get(model, MOI.ConstraintDual(result_index), ci),
MOI.get(model, MOI.ConstraintSet(), ci),
)
end

"""
Given lower <= f(x) <= upper [dual], return the expression to be multiplied by
the dual variable. This is one of the following cases:

1. f(x) - lower: if `lower > -Inf` and the lower bound is binding (either no
`upper` or `dual > 0`)
2. f(x) - upper: if `upper < Inf` and the upper bound is binding (either no
`lower` or `dual < 0`)
3. f(x): if `lower = -Inf` and `upper = Inf` or `dual = 0`
"""
function _constant_minus_bound(constant, lower, upper, dual)
if isfinite(lower) && (!isfinite(upper) || dual > zero(dual))
return constant - lower
elseif isfinite(upper) && (!isfinite(lower) || dual < zero(dual))
return constant - upper
else
return constant
end
end

function _dual_objective_value(
model::MOI.ModelLike,
ci::MOI.ConstraintIndex{<:MOI.AbstractScalarFunction,<:MOI.Interval},
::Type{T},
result_index::Integer,
) where {T}
constant = MOI.constant(MOI.get(model, MOI.ConstraintFunction(), ci), T)
set = MOI.get(model, MOI.ConstraintSet(), ci)
dual = MOI.get(model, MOI.ConstraintDual(result_index), ci)
constant = _constant_minus_bound(constant, set.lower, set.upper, dual)
return set_dot(constant, dual, set)
end

function _dual_objective_value(
model::MOI.ModelLike,
ci::MOI.ConstraintIndex{<:MOI.AbstractVectorFunction,<:MOI.HyperRectangle},
::Type{T},
result_index::Integer,
) where {T}
func_constant =
MOI.constant(MOI.get(model, MOI.ConstraintFunction(), ci), T)
set = MOI.get(model, MOI.ConstraintSet(), ci)
dual = MOI.get(model, MOI.ConstraintDual(result_index), ci)
constants = map(enumerate(func_constant)) do (i, c)
return _constant_minus_bound(c, set.lower[i], set.upper[i], dual[i])
end
return set_dot(constants, dual, set)
end

function _dual_objective_value(
model::MOI.ModelLike,
::Type{F},
::Type{S},
::Type{T},
result_index::Integer,
) where {T,F<:MOI.AbstractFunction,S<:MOI.AbstractSet}
value = zero(T)
if F == variable_function_type(S) && !_has_constant(S)
return value # Shortcut
end
for ci in MOI.get(model, MOI.ListOfConstraintIndices{F,S}())
value += _dual_objective_value(model, ci, T, result_index)
end
return value
end

_has_constant(::Type{<:MOI.AbstractScalarSet}) = true
_has_constant(::Type{<:MOI.AbstractVectorSet}) = false
_has_constant(::Type{<:MOI.HyperRectangle}) = true

"""
get_fallback(
model::MOI.ModelLike,
Expand Down Expand Up @@ -192,6 +86,30 @@ function get_fallback(
return value::T
end

function _dual_objective_value(
model::MOI.ModelLike,
::Type{F},
::Type{S},
::Type{T},
result_index::Integer,
) where {T,F<:MOI.AbstractFunction,S<:MOI.AbstractSet}
value = zero(T)
if F == variable_function_type(S) && !_has_constant(S)
return value
end
for ci in MOI.get(model, MOI.ListOfConstraintIndices{F,S}())
constants = MOI.constant(MOI.get(model, MOI.ConstraintFunction(), ci), T)
dual = MOI.get(model, MOI.ConstraintDual(result_index), ci)
set = MOI.get(model, MOI.ConstraintSet(), ci)
value += set_dot(constants, dual, set)
end
return value
end

_has_constant(::Type{<:MOI.AbstractScalarSet}) = true
_has_constant(::Type{<:MOI.AbstractVectorSet}) = false
_has_constant(::Type{<:MOI.HyperRectangle}) = true

# MOI.ConstraintPrimal

"""
Expand Down
39 changes: 39 additions & 0 deletions src/Utilities/set_dot.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -26,6 +26,27 @@ Return the scalar product between a number `x` of the set `set` and a number
"""
set_dot(x, y, ::MOI.AbstractScalarSet) = LinearAlgebra.dot(x, y)

function set_dot(
x::Real,
y::Real,
set::Union{MOI.EqualTo,MOI.GreaterThan,MOI.LessThan},
)
return (x - MOI.constant(set)) * y
end

function set_dot(
x::Real,
y::Real,
set::MOI.Interval,
)
if isfinite(set.lower) && (!isfinite(set.upper) || y > zero(y))
return (x - set.lower) * y
elseif isfinite(upper) && (!isfinite(set.lower) || y < zero(y))
return (x - set.upper) * y
end
return x * y
end

function triangle_dot(
x::AbstractVector{S},
y::AbstractVector{T},
Expand Down Expand Up @@ -86,6 +107,24 @@ function set_dot(
return x[1] * y[1] + x[2] * y[2] + triangle_dot(x, y, set.side_dimension, 2)
end

function set_dot(
x::AbstractVector{A},
y::AbstractVector{B},
set::MOI.HyperRectangle{C},
) where {A,B,C}
ret = zero(promote_type(A, B, C))
for (xi, yi, li, ui) in zip(x, y, set.lower, set.upper)
if isfinite(li) && (!isfinite(ui) || yi > zero(yi))
ret += (xi - li) * yi
elseif isfinite(upper) && (!isfinite(li) || yi < zero(yi))
ret += (xi - ui) * yi
else
ret += xi * yi
end
end
return ret
end

"""
dot_coefficients(a::AbstractVector, set::AbstractVectorSet)

Expand Down
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