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Add VectorNonlinearOracle set (#2860)
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‎docs/src/manual/standard_form.md‎

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@@ -82,6 +82,7 @@ The vector-valued set types implemented in MathOptInterface.jl are:
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| [`RelativeEntropyCone(d)`](@ref MathOptInterface.RelativeEntropyCone) | ``\{ (u, v, w) \in \mathbb{R}^{d} : u \ge \sum_i w_i \log (\frac{w_i}{v_i}), v_i \ge 0, w_i \ge 0 \}`` |
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| [`HyperRectangle(l, u)`](@ref MathOptInterface.HyperRectangle) | ``\{x \in \bar{\mathbb{R}}^d: x_i \in [l_i, u_i] \forall i=1,\ldots,d\}`` |
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| [`NormCone(p, d)`](@ref MathOptInterface.NormCone) | ``\{ (t,x) \in \mathbb{R}^{d} : t \ge \left(\sum\limits_i \lvert x_i \rvert^p\right)^{\frac{1}{p}} \}`` |
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| [`VectorNonlinearOracle`](@ref MathOptInterface.VectorNonlinearOracle)| ``\{x \in \mathbb{R}^{dimension}: l \le f(x) \le u \}`` |
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## Matrix cones
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‎docs/src/reference/standard_form.md‎

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@@ -104,6 +104,7 @@ ACTIVATE_ON_ONE
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Complements
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HyperRectangle
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Scaled
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VectorNonlinearOracle
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```
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## Constraint programming sets

‎src/Test/test_basic_constraint.jl‎

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@@ -175,6 +175,31 @@ function _set(::Type{T}, ::Type{MOI.HyperRectangle}) where {T}
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return MOI.HyperRectangle(zeros(T, 3), ones(T, 3))
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end
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function _set(::Type{T}, ::Type{MOI.VectorNonlinearOracle}) where {T}
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set = MOI.VectorNonlinearOracle(;
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dimension = 3,
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l = T[0, 0],
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u = T[1, 0],
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eval_f = (ret, x) -> begin
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ret[1] = x[2]^2
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ret[2] = x[3]^2 + x[4]^3 - x[1]
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return
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end,
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jacobian_structure = [(1, 2), (2, 1), (2, 3), (2, 4)],
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eval_jacobian = (ret, x) -> begin
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ret[1] = T(2) * x[2]
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ret[2] = -T(1)
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ret[3] = T(2) * x[3]
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ret[4] = T(3) * x[4]^2
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return
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end,
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)
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x, ret_f, ret_J = T[1, 2, 3, 4, 5], T[0, 0], T[0, 0, 0, 0]
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set.eval_f(ret_f, x)
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set.eval_jacobian(ret_J, x)
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return set
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end
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function _test_function_modification(
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model::MOI.ModelLike,
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config::Config{T},
@@ -392,6 +417,7 @@ for s in [
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:Table,
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:Path,
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:HyperRectangle,
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:VectorNonlinearOracle,
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]
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S = getfield(MOI, s)
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functions = if S <: MOI.AbstractScalarSet

‎src/Test/test_nonlinear.jl‎

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@@ -2223,3 +2223,162 @@ function setup_test(
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end
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version_added(::typeof(test_nonlinear_quadratic_4)) = v"1.35.0"
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function test_vector_nonlinear_oracle(
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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 _supports(config, MOI.optimize!)
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@requires MOI.supports_constraint(
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model,
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MOI.VectorOfVariables,
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MOI.VectorNonlinearOracle{T},
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)
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set = MOI.VectorNonlinearOracle(;
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dimension = 5,
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l = T[0, 0],
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u = T[0, 0],
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eval_f = (ret, x) -> begin
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@test length(ret) == 2
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@test length(x) == 5
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ret[1] = x[1]^2 - x[4]
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ret[2] = x[2]^2 + x[3]^3 - x[5]
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return
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end,
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jacobian_structure = [(1, 1), (2, 2), (2, 3), (1, 4), (2, 5)],
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eval_jacobian = (ret, x) -> begin
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@test length(ret) == 5
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@test length(x) == 5
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ret[1] = T(2) * x[1]
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ret[2] = T(2) * x[2]
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ret[3] = T(3) * x[3]^2
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ret[4] = -T(1)
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ret[5] = -T(1)
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return
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end,
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hessian_lagrangian_structure = [(1, 1), (2, 2), (3, 3)],
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eval_hessian_lagrangian = (ret, x, u) -> begin
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@test length(ret) == 3
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@test length(x) == 5
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@test length(u) == 2
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ret[1] = T(2) * u[1]
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ret[2] = T(2) * u[2]
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ret[3] = T(6) * x[3] * u[2]
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return
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end,
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)
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@test MOI.dimension(set) == 5
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x = T[1, 2, 3, 4, 5]
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ret = T[0, 0]
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set.eval_f(ret, x)
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@test ret == T[-3, 26]
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ret = T[0, 0, 0, 0, 0]
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set.eval_jacobian(ret, x)
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@test ret == T[2, 4, 27, -1, -1]
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ret = T[0, 0, 0]
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set.eval_hessian_lagrangian(ret, x, T[2, 3])
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@test ret == T[4, 6, 54]
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x, y = MOI.add_variables(model, 3), MOI.add_variables(model, 2)
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MOI.add_constraints.(model, x, MOI.EqualTo.(T(1):T(3)))
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c = MOI.add_constraint(model, MOI.VectorOfVariables([x; y]), set)
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MOI.optimize!(model)
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x_v = MOI.get.(model, MOI.VariablePrimal(), x)
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y_v = MOI.get.(model, MOI.VariablePrimal(), y)
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@test ≈(y_v, [x_v[1]^2, x_v[2]^2 + x_v[3]^3], config)
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@test ≈(MOI.get(model, MOI.ConstraintPrimal(), c), [x_v; y_v], config)
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@test ≈(MOI.get(model, MOI.ConstraintDual(), c), zeros(T, 5), config)
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return
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end
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function setup_test(
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::typeof(test_vector_nonlinear_oracle),
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model::MOIU.MockOptimizer,
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config::Config{T},
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) where {T}
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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[1, 2, 3, 1, 31],
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(MOI.VectorOfVariables, MOI.VectorNonlinearOracle{T}) =>
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[zeros(T, 5)],
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),
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)
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model.eval_variable_constraint_dual = false
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return () -> model.eval_variable_constraint_dual = true
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end
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version_added(::typeof(test_vector_nonlinear_oracle)) = v"1.46.0"
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function test_vector_nonlinear_oracle_no_hessian(
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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 _supports(config, MOI.optimize!)
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@requires MOI.supports_constraint(
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model,
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MOI.VectorOfVariables,
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MOI.VectorNonlinearOracle{T},
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)
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set = MOI.VectorNonlinearOracle(;
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dimension = 5,
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l = T[0, 0],
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u = T[0, 0],
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eval_f = (ret, x) -> begin
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ret[1] = x[1]^2 - x[4]
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ret[2] = x[2]^2 + x[3]^3 - x[5]
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return
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end,
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jacobian_structure = [(1, 1), (2, 2), (2, 3), (1, 4), (2, 5)],
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eval_jacobian = (ret, x) -> begin
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ret[1] = T(2) * x[1]
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ret[2] = T(2) * x[2]
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ret[3] = T(3) * x[3]^2
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ret[4] = -T(1)
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ret[5] = -T(1)
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return
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end,
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)
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@test MOI.dimension(set) == 5
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x = T[1, 2, 3, 4, 5]
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ret = T[0, 0]
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set.eval_f(ret, x)
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@test ret == T[-3, 26]
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ret = T[0, 0, 0, 0, 0]
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set.eval_jacobian(ret, x)
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@test ret == T[2, 4, 27, -1, -1]
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@test isempty(set.hessian_lagrangian_structure)
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@test set.eval_hessian_lagrangian === nothing
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x, y = MOI.add_variables(model, 3), MOI.add_variables(model, 2)
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MOI.add_constraints.(model, x, MOI.EqualTo.(T(1):T(3)))
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c = MOI.add_constraint(model, MOI.VectorOfVariables([x; y]), set)
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MOI.optimize!(model)
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x_v = MOI.get.(model, MOI.VariablePrimal(), x)
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y_v = MOI.get.(model, MOI.VariablePrimal(), y)
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@test ≈(y_v, [x_v[1]^2, x_v[2]^2 + x_v[3]^3], config)
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@test ≈(MOI.get(model, MOI.ConstraintPrimal(), c), [x_v; y_v], config)
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@test ≈(MOI.get(model, MOI.ConstraintDual(), c), zeros(T, 5), config)
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return
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end
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function setup_test(
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::typeof(test_vector_nonlinear_oracle_no_hessian),
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model::MOIU.MockOptimizer,
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config::Config{T},
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) where {T}
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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[1, 2, 3, 1, 31],
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(MOI.VectorOfVariables, MOI.VectorNonlinearOracle{T}) =>
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[zeros(T, 5)],
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),
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)
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model.eval_variable_constraint_dual = false
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return () -> model.eval_variable_constraint_dual = true
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end
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version_added(::typeof(test_vector_nonlinear_oracle_no_hessian)) = v"1.46.0"

‎src/Utilities/model.jl‎

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@@ -843,6 +843,7 @@ const EqualToIndicatorZero{T} =
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MOI.Table,
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MOI.BinPacking,
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MOI.HyperRectangle,
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MOI.VectorNonlinearOracle,
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),
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(MOI.ScalarNonlinearFunction,),
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(MOI.ScalarAffineFunction, MOI.ScalarQuadraticFunction),

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