Skip to content

Commit

Permalink
Problem modification tests. Bug fixes.
Browse files Browse the repository at this point in the history
  • Loading branch information
@tkoolen
tkoolen committed Feb 19, 2018
1 parent e2611ae commit 1f8ff8d
Show file tree
Hide file tree
Showing 2 changed files with 285 additions and 94 deletions.
165 changes: 104 additions & 61 deletions src/MathOptInterfaceOSQP.jl
View file
Original file line number Diff line number Diff line change
Expand Up @@ -50,20 +50,24 @@ end
struct MatrixModificationCache{T}
cartesian_indices::Vector{CartesianIndex{2}}
cartesian_indices_set::Set{CartesianIndex{2}} # to speed up checking whether indices are out of bounds in setindex!
cartesian_indices_per_row::Dict{Int, Vector{CartesianIndex{2}}}
modifications::Dict{CartesianIndex{2}, T}
vals::Vector{T}
inds::Vector{Int}

function MatrixModificationCache(S::SparseMatrixCSC{T}) where T
cartesian_indices = Vector{CartesianIndex{2}}(uninitialized, nnz(S))
cartesian_indices_per_row = Dict{Int, Vector{CartesianIndex{2}}}()
sizehint!(cartesian_indices_per_row, nnz(S))
@inbounds for col = 1 : S.n, k = S.colptr[col] : (S.colptr[col+1]-1) # from sparse findn
row = S.rowval[k]
I = CartesianIndex(row, col)
cartesian_indices[k] = I
push!(get!(() -> CartesianIndex{2}[], cartesian_indices_per_row, row), I)
end
modifications = Dict{CartesianIndex{2}, Int}()
sizehint!(modifications, nnz(S))
new{T}(cartesian_indices, Set(cartesian_indices), modifications, T[], Int[])
new{T}(cartesian_indices, Set(cartesian_indices), cartesian_indices_per_row, modifications, T[], Int[])
end
end

Expand All @@ -74,12 +78,21 @@ function Base.setindex!(cache::MatrixModificationCache, x, row::Integer, col::In
end

function Base.setindex!(cache::MatrixModificationCache, x::Real, ::Colon)
# used to zero out the entire matrix
@boundscheck x == 0 || throw(ArgumentError("Changing the sparsity pattern is not allowed."))
for I in cache.cartesian_indices
cache.modifications[I] = 0
end
end

function Base.setindex!(cache::MatrixModificationCache, x::Real, row::Integer, ::Colon)
# used to zero out a row
@boundscheck x == 0 || throw(ArgumentError("Changing the sparsity pattern is not allowed."))
for I in cache.cartesian_indices_per_row[row]
cache.modifications[I] = 0
end
end

function Base.getindex(cache::MatrixModificationCache, row::Integer, col::Integer)
cache.modifications[CartesianIndex(row, col)]
end
Expand Down Expand Up @@ -109,29 +122,41 @@ function processupdates!(model::OSQP.Model, cache::MatrixModificationCache, upda
end

struct ProblemModificationCache{T}
Pcache::MatrixModificationCache{T}
qcache::VectorModificationCache{T}
Acache::MatrixModificationCache{T}
lcache::VectorModificationCache{T}
ucache::VectorModificationCache{T}
P::MatrixModificationCache{T}
q::VectorModificationCache{T}
A::MatrixModificationCache{T}
l::VectorModificationCache{T}
u::VectorModificationCache{T}

ProblemModificationCache{T}() where {T} = new{T}()
function ProblemModificationCache(P::SparseMatrixCSC, q::Vector{T}, A::SparseMatrixCSC, l::Vector{T}, u::Vector{T}) where T
Pcache = MatrixModificationCache(triu(P))
qcache = VectorModificationCache(q)
Acache = MatrixModificationCache(A)
lcache = VectorModificationCache(l)
ucache = VectorModificationCache(u)
new{T}(Pcache, qcache, Acache, lcache, ucache)
MC = MatrixModificationCache
VC = VectorModificationCache
new{T}(MC(triu(P)), VC(q), MC(A), VC(l), VC(u))
end
end

function processupdates!(model::OSQP.Model, cache::ProblemModificationCache)
processupdates!(model, cache.Pcache, OSQP.update_P!)
processupdates!(model, cache.qcache, OSQP.update_q!)
processupdates!(model, cache.Acache, OSQP.update_A!)
processupdates!(model, cache.lcache, OSQP.update_l!)
processupdates!(model, cache.ucache, OSQP.update_u!)
processupdates!(model, cache.P, OSQP.update_P!)
processupdates!(model, cache.q, OSQP.update_q!)
processupdates!(model, cache.A, OSQP.update_A!)
processupdates!(model, cache.l, OSQP.update_l!)
processupdates!(model, cache.u, OSQP.update_u!)
end

struct WarmStartCache{T}
x::VectorModificationCache{T}
y::VectorModificationCache{T}

WarmStartCache{T}() where {T} = new{T}()
function WarmStartCache{T}(n::Integer, m::Integer) where T
new{T}(VectorModificationCache(zeros(T, n)), VectorModificationCache(zeros(T, m)))
end
end

function processupdates!(model::OSQP.Model, cache::WarmStartCache)
processupdates!(model, cache.x, (optimizer, xstart) -> (OSQP.warm_start!(optimizer; x = xstart))) # TODO: non-kwarg function would be preferable
processupdates!(model, cache.y, (optimizer, ystart) -> (OSQP.warm_start!(optimizer; y = ystart))) # TODO: non-kwarg function would be preferable
end

mutable struct OSQPOptimizer <: MOI.AbstractOptimizer
Expand All @@ -142,9 +167,10 @@ mutable struct OSQPOptimizer <: MOI.AbstractOptimizer
sense::MOI.OptimizationSense
objconstant::Float64
modcache::ProblemModificationCache{Float64}
warmstartcache::WarmStartCache{Float64}

function OSQPOptimizer()
new(OSQP.Model(), nothing, true, Dict{Symbol, Any}(), MOI.MinSense, 0., ProblemModificationCache{Float64}())
new(OSQP.Model(), nothing, true, Dict{Symbol, Any}(), MOI.MinSense, 0., ProblemModificationCache{Float64}(), WarmStartCache{Float64}())
end
end

Expand All @@ -157,6 +183,7 @@ function MOI.empty!(optimizer::OSQPOptimizer)
optimizer.sense = MOI.MinSense # model parameter, so needs to be reset
optimizer.objconstant = 0.
optimizer.modcache = ProblemModificationCache{Float64}()
optimizer.warmstartcache = WarmStartCache{Float64}()
optimizer
end

Expand All @@ -175,15 +202,17 @@ function MOI.copy!(dest::OSQPOptimizer, src::MOI.ModelLike)
idxmap = MOIU.IndexMap(dest, src)
dest.sense, P, q, dest.objconstant = processobjective(src, idxmap)
A, l, u = processconstraints(src, idxmap)
dest.modcache = ProblemModificationCache(P, q, A, l, u)
OSQP.setup!(dest.inner; P = P, q = q, A = A, l = l, u = u, dest.settings...)
processwarmstart!(dest, src, idxmap)
dest.modcache = ProblemModificationCache(P, q, A, l, u)
dest.warmstartcache = WarmStartCache{Float64}(length(idxmap.varmap), length(idxmap.conmap))
processprimalstart!(dest.warmstartcache.x, src, idxmap)
processdualstart!(dest.warmstartcache.y, src, idxmap)
dest.isempty = false
return MOI.CopyResult(MOI.CopySuccess, "", idxmap)
catch e
e isa UnsupportedObjectiveError && return MOI.CopyResult(MOI.CopyOtherError, "Unsupported objective", MOIU.IndexMap())
e isa UnsupportedConstraintError && return MOI.CopyResult(MOI.CopyUnsupportedConstraint, "Unsupported $(e.F)-in-$(e.S) constraint", MOIU.IndexMap())
throw(e)
rethrow(e)
end
end

Expand Down Expand Up @@ -331,33 +360,22 @@ function processconstraintfun!(triplets::SparseTriplets, f::MOI.ScalarAffineFunc
end
end

function processwarmstart!(dest::OSQPOptimizer, src::MOI.ModelLike, idxmap)
function processprimalstart!(x, src::MOI.ModelLike, idxmap)
if MOI.canget(src, MOI.VariablePrimalStart(), VI)
n = length(idxmap.varmap)
x = zeros(n)
processprimalstart!(x, src, idxmap)
OSQP.warm_start!(dest.inner, x = x)
end
if MOI.canget(src, MOI.ConstraintDualStart(), CI{Affine, Interval})
m = length(idxmap.conmap)
y = zeros(m)
processdualstart!(y, src, idxmap)
OSQP.warm_start!(dest.inner, y = y) # opposite dual convention
end
end

function processprimalstart!(x::Vector, src::MOI.ModelLike, idxmap)
vis_src = MOI.get(src, MOI.ListOfVariableIndices())
for vi in vis_src
x[idxmap[vi]] = get(src, MOI.VariablePrimalStart(), vi)
vis_src = MOI.get(src, MOI.ListOfVariableIndices())
for vi in vis_src
x[idxmap[vi]] = get(src, MOI.VariablePrimalStart(), vi)
end
end
end

function processdualstart!(y::Vector, src::MOI.ModelLike, idxmap)
function processdualstart!(y, src::MOI.ModelLike, idxmap)
for (F, S) in MOI.get(src, MOI.ListOfConstraints())
cis_src = MOI.get(src, MOI.ListOfConstraintIndices{F, S}())
for ci in cis_src
y[idxmap[ci].value] = -get(src, MOI.ConstraintDualStart(), ci) # opposite dual convention
if MOI.canget(src, MOI.ConstraintDualStart(), CI{F, S})
cis_src = MOI.get(src, MOI.ListOfConstraintIndices{F, S}())
for ci in cis_src
y[idxmap[ci].value] = -get(src, MOI.ConstraintDualStart(), ci) # opposite dual convention
end
end
end
end
Expand Down Expand Up @@ -408,14 +426,15 @@ function MOI.set!(optimizer::OSQPOptimizer, a::OSQPAttribute, value)
setting = Symbol(a)
optimizer.settings[setting] = value
if !MOI.isempty(optimizer)
OSQP.update_settings!(optimizer.inner; setting = value)
OSQP.update_settings!(optimizer.inner; setting => value)
end
end


## Optimizer methods:
function MOI.optimize!(optimizer::OSQPOptimizer)
processupdates!(optimizer.inner, optimizer.modcache)
processupdates!(optimizer.inner, optimizer.warmstartcache)
optimizer.results = OSQP.solve!(optimizer.inner)
end

Expand All @@ -432,26 +451,27 @@ MOI.get(optimizer::OSQPOptimizer, ::MOI.ResultCount) = 1
MOI.canset(optimizer::OSQPOptimizer, ::MOI.ObjectiveFunction{SingleVariable}) = !MOI.isempty(optimizer)
function MOI.set!(optimizer::OSQPOptimizer, a::MOI.ObjectiveFunction{SingleVariable}, obj::SingleVariable)
MOI.canset(optimizer, a) || error()
optimizer.modcache.Pcache[:] = 0
optimizer.modcache.qcache[obj.variable.value] = 1
optimizer.modcache.P[:] = 0
optimizer.modcache.q[:] = 0
optimizer.modcache.q[obj.variable.value] = 1
optimizer.objconstant = 0
nothing
end

MOI.canset(optimizer::OSQPOptimizer, ::MOI.ObjectiveFunction{Affine}) = !MOI.isempty(optimizer)
function MOI.set!(optimizer::OSQPOptimizer, a::MOI.ObjectiveFunction{Affine}, obj::Affine)
MOI.canset(optimizer, a) || error()
optimizer.modcache.Pcache[:] = 0
processlinearterms!(optimizer.modcache.qcache, obj.variables, obj.coefficients)
optimizer.modcache.P[:] = 0
processlinearterms!(optimizer.modcache.q, obj.variables, obj.coefficients)
optimizer.objconstant = obj.constant
nothing
end

MOI.canset(optimizer::OSQPOptimizer, ::MOI.ObjectiveFunction{Quadratic}) = !MOI.isempty(optimizer)
function MOI.set!(optimizer::OSQPOptimizer, a::MOI.ObjectiveFunction{Quadratic}, obj::Quadratic)
MOI.canset(optimizer, a) || error()
Pcache = optimizer.modcache.Pcache
Pcache[:] = 0
cache = optimizer.modcache
cache.P[:] = 0
rows = obj.quadratic_rowvariables
cols = obj.quadratic_rowvariables
coeffs = obj.quadratic_coefficients
Expand All @@ -463,13 +483,13 @@ function MOI.set!(optimizer::OSQPOptimizer, a::MOI.ObjectiveFunction{Quadratic},
col = cols[i].value
coeff = coeffs[i]
row > col && ((row, col) = (col, row)) # upper triangle only
if isassigned(Pcache, row, col)
Pcache[row, col] += coeff
if isassigned(cache.P, row, col)
cache.P[row, col] += coeff
else
Pcache[row, col] = coeff
cache.P[row, col] = coeff
end
end
processlinearterms!(optimizer.modcache.qcache, obj.affine_variables, obj.affine_coefficients)
processlinearterms!(optimizer.modcache.q, obj.affine_variables, obj.affine_coefficients)
optimizer.objconstant = obj.constant
nothing
end
Expand Down Expand Up @@ -569,6 +589,17 @@ function MOI.get(optimizer::OSQPOptimizer, a::MOI.VariablePrimal, vi::VI)
x[vi.value]
end

MOI.canset(optimizer::OSQPOptimizer, ::MOI.VariablePrimalStart, ::Type{VI}) = !MOI.isempty(optimizer)
function MOI.set!(optimizer::OSQPOptimizer, a::MOI.VariablePrimalStart, vi::VI, value)
MOI.canset(optimizer, a, typeof(vi)) || error()
cache = optimizer.warmstartcache
if hasresults(optimizer) && !cache.x.dirty
# if warm start hasn't been set yet, update it to last solution to match OSQP's internal behavior
copy!(cache.x.data, optimizer.results.x)
end
cache.x[vi.value] = value
end


## Constraints:
function MOI.isvalid(optimizer::OSQPOptimizer, ci::CI)
Expand All @@ -577,17 +608,29 @@ function MOI.isvalid(optimizer::OSQPOptimizer, ci::CI)
ci.value ∈ 1 : m
end

MOI.canset(optimizer::OSQPOptimizer, ::MOI.ConstraintDualStart, ::Type{<:CI}) = !MOI.isempty(optimizer)
function MOI.set!(optimizer::OSQPOptimizer, a::MOI.ConstraintDualStart, ci::CI, value)
MOI.canset(optimizer, a, typeof(ci)) || error()
cache = optimizer.warmstartcache
if hasresults(optimizer) && !cache.y.dirty
# if warm start hasn't been set yet, update it to last solution to match OSQP's internal behavior
copy!(cache.y.data, optimizer.results.y)
end
cache.y[ci.value] = -value # opposite dual convention
end

# function modification:
MOI.canmodifyconstraint(optimizer::OSQPOptimizer, ci::CI{Affine, <:IntervalConvertible}, ::Type{Affine}) = MOI.isvalid(optimizer, ci)
function modifyconstraint!(optimizer::OSQPOptimizer, ci::CI{Affine, <:IntervalConvertible}, f::Affine)
function MOI.modifyconstraint!(optimizer::OSQPOptimizer, ci::CI{Affine, <:IntervalConvertible}, f::Affine)
MOI.canmodifyconstraint(optimizer, ci, typeof(f)) || error()
row = ci.value
optimizer.modcache.A[row, :] = 0
ncoeff = length(f.coefficients)
@assert length(f.variables) == ncoeff
for i = 1 : ncoeff
col = f.variables[i].var.value
col = f.variables[i].value
coeff = f.coefficients[i]
optimizer.modcache.Acache[row, col] = coeff
optimizer.modcache.A[row, col] += coeff
end
end

Expand All @@ -597,15 +640,15 @@ function MOI.modifyconstraint!(optimizer::OSQPOptimizer, ci::CI{<:AffineConverti
MOI.canmodifyconstraint(optimizer, ci, typeof(s)) || error()
interval = MOI.Interval(s)
row = ci.value
optimizer.modcache.lcache[row] = interval.lower
optimizer.modcache.ucache[row] = interval.upper
optimizer.modcache.l[row] = interval.lower
optimizer.modcache.u[row] = interval.upper
end

# partial function modification:
MOI.canmodifyconstraint(optimizer::OSQPOptimizer, ci::CI{Affine, <:IntervalConvertible}, ::Type{MOI.ScalarCoefficientChange{<:Real}}) = MOI.isvalid(optimizer, ci)
function MOI.modifyconstraint!(optimizer::OSQPOptimizer, ci::CI{Affine, <:IntervalConvertible}, change::MOI.ScalarCoefficientChange{<:Real})
MOI.canmodifyconstraint(optimizer, ci, typeof(change)) || error()
optimizer.modcache.Acache[ci.value, change.variable.value] = change.new_coefficient
optimizer.modcache.A[ci.value, change.variable.value] = change.new_coefficient
end

# TODO: MultirowChange?
Expand Down Expand Up @@ -636,7 +679,7 @@ end
MOI.canmodifyobjective(optimizer::OSQPOptimizer, ::Type{<:MOI.ScalarCoefficientChange}) = !MOI.isempty(optimizer)
function MOI.modifyobjective!(optimizer::OSQPOptimizer, change::MOI.ScalarCoefficientChange)
MOI.canmodifyobjective(optimizer, typeof(change)) || error()
optimizer.modcache.qcache[change.variable.value] = change.new_coefficient
optimizer.modcache.q[change.variable.value] = change.new_coefficient
end

# There is currently no ScalarQuadraticCoefficientChange.
Expand Down
Loading

0 comments on commit 1f8ff8d

Please sign in to comment.