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Consider variable bounds clean #191

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Consider variable bounds clean #191

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a1e9b14
clean version of consider variable bounds
LukasBarner Oct 5, 2022
f6a4dfd
adds tests for consideration of variable bounds
LukasBarner Oct 6, 2022
a38a298
Delete double function
LukasBarner Oct 6, 2022
8ce6d92
for vector sets
LukasBarner Oct 6, 2022
47f27ff
formatting
LukasBarner Oct 6, 2022
86c04ed
Merge branch 'master' into consider_variable_bounds_clean
LukasBarner Oct 6, 2022
44c74e0
corrections based on review
LukasBarner Oct 8, 2022
422b406
Merge branch 'consider_variable_bounds_clean' of https://github.com/L…
LukasBarner Oct 8, 2022
ed21f79
fixes wrong results for negative constants of sets
LukasBarner Oct 26, 2022
4b4e98f
fixes warmstarts for both consider_constrained_variables true and false
LukasBarner Oct 26, 2022
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46 changes: 42 additions & 4 deletions src/jump.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -525,6 +525,7 @@ function JuMP.optimize!(
bilevel_prob = "",
solver_prob = "",
file_format = MOI.FileFormats.FORMAT_AUTOMATIC,
consider_constrained_variables = false,
)
if model.mode === nothing
error(
Expand Down Expand Up @@ -581,6 +582,7 @@ function JuMP.optimize!(
moi_link2;
copy_names = model.copy_names,
pass_start = model.pass_start,
consider_constrained_variables = consider_constrained_variables,
)

# pass additional info (hints - not actual problem data)
Expand All @@ -590,10 +592,14 @@ function JuMP.optimize!(
ctr = model.ctr_lower[idx]
# this fails for vector-constrained variables due dualization 0.3.5
# because of constrained variables that change the dual
pre_duals =
lower_primal_dual_map.primal_con_dual_var[JuMP.index(ctr)] # vector
duals = map(x -> lower_dual_to_sblm[x], pre_duals)
pass_dual_info(single_blm, duals, info)
pass_necessary_dual_info(
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why a function if a simple conditional would suffice?

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done, see above

single_blm,
info,
consider_constrained_variables,
lower_primal_dual_map,
lower_dual_to_sblm,
JuMP.index(ctr),
)
end
end
# pass lower & upper level primal variables info (upper, lower)
Expand Down Expand Up @@ -681,6 +687,38 @@ function pass_primal_info(single_blm, primal, info::BilevelVariableInfo)
return
end

function pass_necessary_dual_info(
single_blm,
info,
consider_constrained_variables::Bool,
lower_primal_dual_map,
lower_dual_to_sblm,
ctr_idx::MOI.ConstraintIndex{F,S},
) where {F<:Union{MOI.VariableIndex,MOI.VectorOfVariables},S}
if consider_constrained_variables
return
else
pre_duals = lower_primal_dual_map.primal_con_dual_var[ctr_idx] # vector
duals = map(x -> lower_dual_to_sblm[x], pre_duals)
pass_dual_info(single_blm, duals, info)
end
return
end

function pass_necessary_dual_info(
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same function twice?

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@LukasBarner LukasBarner Oct 11, 2022 •
edited
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sorry, thought I already replied to these when I made the commits ...
now a conditional

single_blm,
info,
consider_constrained_variables::Bool,
lower_primal_dual_map,
lower_dual_to_sblm,
ctr_idx::MOI.ConstraintIndex{F,S},
) where {F,S}
pre_duals = lower_primal_dual_map.primal_con_dual_var[ctr_idx] # vector
duals = map(x -> lower_dual_to_sblm[x], pre_duals)
pass_dual_info(single_blm, duals, info)
return
end

function pass_dual_info(single_blm, dual, info::BilevelConstraintInfo{Float64})
if !isnan(info.start)
MOI.set(single_blm, MOI.VariablePrimalStart(), dual[], info.start)
Expand Down
109 changes: 108 additions & 1 deletion src/moi.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -289,6 +289,88 @@ end
accept_vector_set(::ProductMode{T}, ::Complement) where {T} = nothing
accept_vector_set(::MixedMode{T}, ::Complement) where {T} = nothing

function get_variable_complement(primal_model, dual_model, primal_con, dual_con)
return error(
"An internal error with variable complements occurred. Likely, your problem type does not yet support consideration of constrained variables.",
)
end

function get_variable_complement(
primal_model,
dual_model,
primal_con::MOI.ConstraintIndex{Fp,Sp},
dual_con::MOI.ConstraintIndex{Fd,Sd},
) where {
Fp<:MOI.VariableIndex,
Sp<:Union{MOI.LessThan{T},MOI.GreaterThan{T}},
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SCALAR_SETS ?

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Would prefer this to throw an error in case of equalities (i.e. if something unexpected happens).
Could also go with SCALAR_SETS for code readability in case you prefer and do @Assert inside the function?

Fd,
Sd<:Union{MOI.LessThan{T},MOI.GreaterThan{T}},
} where {T}
primal_variable =
MOI.get(primal_model, MOI.ConstraintFunction(), primal_con)
primal_set = MOI.get(primal_model, MOI.ConstraintSet(), primal_con)

@assert MOI.constant(primal_set) == 0 "Unexpected variable bound"

dual_func = MOI.get(dual_model, MOI.ConstraintFunction(), dual_con)
dual_set = MOI.get(dual_model, MOI.ConstraintSet(), dual_con)
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you need MOI.copy just like in get_canonical_complement

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Now done, but only for the dual_func. This is the only necessary one, right?
I'm asking because the copy is done for sets etc. in other functions (but that should be handled by set_with_zero, right?

PS: This was a big one, so I'm a bit surprised it didn't affect testing...

if MOI.constant(dual_set) > 0
dual_func.constant = dual_func.constant - MOI.constant(dual_set)
elseif MOI.constant(dual_set) < 0
dual_func.constant = dual_func.constant + MOI.constant(dual_set)
end
return Complement(
false,
primal_con,
dual_func,
set_with_zero(dual_set),
primal_variable,
)
end

function get_variable_complement(
primal_model,
dual_model,
primal_con::MOI.ConstraintIndex{Fp,Sp},
dual_con::MOI.ConstraintIndex{Fd,Sd},
) where {Fp<:MOI.VectorOfVariables,Sp<:VECTOR_SETS,Fd,Sd<:VECTOR_SETS} where {T}
primal_variables = MOI.copy(
MOI.get(primal_model, MOI.ConstraintFunction(), primal_con),
)::Fp
primal_set =
MOI.copy(MOI.get(primal_model, MOI.ConstraintSet(), primal_con))::Sp

dual_func =
MOI.copy(MOI.get(dual_model, MOI.ConstraintFunction(), dual_con))
dual_set = MOI.copy(MOI.get(dual_model, MOI.ConstraintSet(), dual_con))

# Do we have a todo here as in function get_canonical_complement(primal_model, map, ci::CI{F,S}) where {F, S<:VECTOR_SETS} ??
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do what?

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There was the following todo in the code of get_canonical_complement (note that I commented one additional line out):

    # dim = MOI.dimension(set)
    # vector sets have no constant
    # for i in 1:dim
    #     func.constant[i] = Dualization.set_dot(i, set, T) *
    #         Dualization.get_scalar_term(primal_model, ci, i)
    # end
    # todo - set dot on function


con = Complement(
true,
primal_con,
dual_func,
set_with_zero(dual_set),
primal_variables.variables,
)
return con
end

function get_variable_complements(primal_model, dual_model, primal_dual_map)
map = primal_dual_map.primal_con_dual_var
out = Complement[]
for (primal_con, dual_con) in primal_dual_map.constrained_var_dual
con = get_variable_complement(
primal_model,
dual_model,
primal_con,
dual_con,
)
push!(out, con)
end
return out
end

function get_canonical_complements(primal_model, primal_dual_map)
map = primal_dual_map.primal_con_dual_var
out = Complement[]
Expand Down Expand Up @@ -353,6 +435,7 @@ function build_bilevel(
upper_var_to_lower_ctr::Dict{VI,CI} = Dict{VI,CI}();
copy_names::Bool = false,
pass_start::Bool = false,
consider_constrained_variables::Bool = false,
)

# Start with an empty problem
Expand All @@ -371,7 +454,7 @@ function build_bilevel(
dual_names = DualNames("dual_", "dual_"),
variable_parameters = upper_variables,
ignore_objective = ignore_dual_objective(mode),
consider_constrained_variables = false,
consider_constrained_variables = consider_constrained_variables,
)
# the model
lower_dual = dual_problem.dual_model
Expand Down Expand Up @@ -491,6 +574,30 @@ function build_bilevel(
# feasible equality constraints always satisfy complementarity
end
end

if consider_constrained_variables
# complementary slackness for variable bounds
variable_comps = get_variable_complements(
lower,
lower_dual,
lower_primal_dual_map,
)
for comp in variable_comps
if !is_equality(comp.set_w_zero)
accept_vector_set(mode, comp)
add_complement(
mode,
m,
comp,
lower_dual_idxmap,
lower_idxmap,
copy_names,
pass_start,
)
end
end
end

else # strong duality
add_strong_duality(
mode,
Expand Down
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