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Add support for rank-1 constraints #37

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Add support for rank-1 constraints #37

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106 changes: 85 additions & 21 deletions src/MOI_wrapper.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -14,6 +14,10 @@ mutable struct Optimizer <: MOI.AbstractOptimizer
# * `-d` means a diagonal block with diagonal of length `d`
# * `d` means a symmetric `d x d` block
blockdims::Vector{Int}
# MOI variable index -> rank 1 matrix it corresponds to
rank_one::Vector{Union{Nothing,MOI.LowRankMatrix{Cdouble}}}
# To avoid it being free'd
cached_ind::Vector{Vector{Cint}}
varmap::Vector{Tuple{Int, Int, Int}} # Variable Index vi -> blk, i, j
# If `blockdims[i] < 0`, `blk[i]` is the offset in `lpdvars`.
# That is the **sum of length** of diagonal block before
Expand All @@ -33,15 +37,18 @@ mutable struct Optimizer <: MOI.AbstractOptimizer

y::Vector{Cdouble}

solve_time::Float64
silent::Bool
options::Dict{Symbol,Any}
function Optimizer()
optimizer = new(
C_NULL, C_NULL, 0.0, 1, Cdouble[], Int[],
Union{Nothing,MOI.LowRankMatrix{Cdouble}}[],
Vector{Cint}[],
Tuple{Int, Int, Int}[], Int[], C_NULL, 0,
Int[], Int[], Cdouble[],
Vector{Int}[], Vector{Cdouble}[],
Cdouble[], false, Dict{Symbol, Any}(),
Cdouble[], NaN, false, Dict{Symbol, Any}(),
)
finalizer(_free, optimizer)
return optimizer
Expand All @@ -64,6 +71,8 @@ function MOI.empty!(optimizer::Optimizer)
optimizer.objective_sign = 1
empty!(optimizer.b)
empty!(optimizer.blockdims)
empty!(optimizer.rank_one)
empty!(optimizer.cached_ind)
empty!(optimizer.varmap)
empty!(optimizer.blk)
optimizer.nlpdrows = 0
Expand All @@ -73,6 +82,8 @@ function MOI.empty!(optimizer::Optimizer)
empty!(optimizer.sdpdinds)
empty!(optimizer.sdpdcoefs)
empty!(optimizer.y)
optimizer.solve_time = NaN
return
end

function MOI.is_empty(optimizer::Optimizer)
Expand Down Expand Up @@ -193,8 +204,20 @@ function MOI.supports(
end

MOI.supports_add_constrained_variables(::Optimizer, ::Type{MOI.Reals}) = false
const SupportedSets = Union{MOI.Nonnegatives, MOI.PositiveSemidefiniteConeTriangle}

const _SetWithDotProd = MOI.SetWithDotProducts{
MOI.PositiveSemidefiniteConeTriangle,
MOI.TriangleVectorization{Cdouble,MOI.LowRankMatrix{Cdouble}},
}

const SupportedSets = Union{
MOI.Nonnegatives,
MOI.PositiveSemidefiniteConeTriangle,
_SetWithDotProd,
}

MOI.supports_add_constrained_variables(::Optimizer, ::Type{<:SupportedSets}) = true

function MOI.supports_constraint(
::Optimizer, ::Type{MOI.ScalarAffineFunction{Cdouble}},
::Type{MOI.EqualTo{Cdouble}})
Expand All @@ -206,6 +229,7 @@ function new_block(optimizer::Optimizer, set::MOI.Nonnegatives)
blk = length(optimizer.blockdims)
for i in 1:MOI.dimension(set)
push!(optimizer.varmap, (blk, i, i))
push!(optimizer.rank_one, nothing)
end
end

Expand All @@ -215,13 +239,26 @@ function new_block(optimizer::Optimizer, set::MOI.PositiveSemidefiniteConeTriang
for j in 1:set.side_dimension
for i in 1:j
push!(optimizer.varmap, (blk, i, j))
push!(optimizer.rank_one, nothing)
end
end
end

function new_block(model::Optimizer, set::_SetWithDotProd)
println("______________________Low-Rank")
blk = length(model.blockdims) + 1
for i in eachindex(set.vectors)
push!(model.varmap, (blk, 0, 0))
push!(model.rank_one, set.vectors[i].matrix)
end
new_block(model, set.set)
end

function _add_constrained_variables(optimizer::Optimizer, set::SupportedSets)
offset = length(optimizer.varmap)
new_block(optimizer, set)
@assert length(optimizer.varmap) == offset + MOI.dimension(set)
@assert length(optimizer.rank_one) == offset + MOI.dimension(set)
ci = MOI.ConstraintIndex{MOI.VectorOfVariables, typeof(set)}(offset + 1)
return [MOI.VariableIndex(i) for i in offset .+ (1:MOI.dimension(set))], ci
end
Expand Down Expand Up @@ -265,32 +302,51 @@ function constrain_variables_on_creation(
end
end

function _setcoefficient!(m::Optimizer, coef, constr::Integer, blk::Integer, i::Integer, j::Integer)
if m.blockdims[blk] < 0
@assert i == j
push!(m.lpdvars, constr + 1)
push!(m.lpdrows, m.blk[blk] + i - 1) # -1 because indexing starts at 0 in DSDP
push!(m.lpcoefs, coef)
else
sdp = m.blk[blk]
push!(m.sdpdinds[end][sdp], i + (j - 1) * m.blockdims[blk] - 1)
if i != j
coef /= 2
function _setcoefficient!(dest::Optimizer, coef, constr::Integer, vi::MOI.VariableIndex)
blk, i, j = varmap(dest, vi)
rank_one = dest.rank_one[vi.value]
if isnothing(rank_one)
if dest.blockdims[blk] < 0
@assert i == j
push!(dest.lpdvars, constr + 1)
push!(dest.lpdrows, dest.blk[blk] + i - 1) # -1 because indexing starts at 0 in DSDP
push!(dest.lpcoefs, coef)
else
sdp = dest.blk[blk]
push!(dest.sdpdinds[end][sdp], i + (j - 1) * dest.blockdims[blk] - 1)
if i != j
coef /= 2
end
push!(dest.sdpdcoefs[end][sdp], coef)
end
push!(m.sdpdcoefs[end][sdp], coef)
else
d = Cint(dest.blockdims[blk])
push!(dest.cached_ind, collect(Cint(0):(d - 1)))
# We use `Add` and not `Set` because I think (if I interpret the name correctly) that would allow mixing with sparse matrices for the same block and constraint
DSDP.SDPCone.SetARankOneMat(
dest.sdpcone,
dest.blk[blk] - 1,
constr,
d,
coef * rank_one.diagonal[],
0,
last(dest.cached_ind),
collect(eachcol(rank_one.factor)[]),
d,
)
end
end

# Loads objective coefficient α * vi
function load_objective_term!(optimizer::Optimizer, index_map, α, vi::MOI.VariableIndex)
blk, i, j = varmap(optimizer, vi)
function load_objective_term!(optimizer::Optimizer, α, vi::MOI.VariableIndex)
coef = optimizer.objective_sign * α
_setcoefficient!(optimizer, coef, 0, blk, i, j)
_setcoefficient!(optimizer, coef, 0, vi)
end

function _set_A_matrices(m::Optimizer, i)
for (blk, blkdim) in zip(m.blk, m.blockdims)
if blkdim > 0
if blkdim > 0 && !isempty(m.sdpdcoefs[end][blk])
@show (blk - 1, i, blkdim, 1.0, 0, m.sdpdinds[end][blk], m.sdpdcoefs[end][blk], length(m.sdpdcoefs[end][blk]))
SDPCone.SetASparseVecMat(m.sdpcone, blk - 1, i, blkdim, 1.0, 0, m.sdpdinds[end][blk], m.sdpdcoefs[end][blk], length(m.sdpdcoefs[end][blk]))
end
end
Expand Down Expand Up @@ -321,6 +377,12 @@ function MOI.copy_to(dest::Optimizer, src::MOI.ModelLike)
index_map,
MOI.PositiveSemidefiniteConeTriangle,
)
constrain_variables_on_creation(
dest,
src,
index_map,
_SetWithDotProd,
)
vis_src = MOI.get(src, MOI.ListOfVariableIndices())
if length(vis_src) < length(index_map.var_map)
_error(
Expand Down Expand Up @@ -392,8 +454,7 @@ function MOI.copy_to(dest::Optimizer, src::MOI.ModelLike)
_new_A_matrix(dest)
for t in func.terms
if !iszero(t.coefficient)
blk, i, j = varmap(dest, index_map[t.variable])
_setcoefficient!(dest, t.coefficient, k, blk, i, j)
_setcoefficient!(dest, t.coefficient, k, index_map[t.variable])
end
end
_set_A_matrices(dest, k)
Expand Down Expand Up @@ -428,7 +489,6 @@ function MOI.copy_to(dest::Optimizer, src::MOI.ModelLike)
if !iszero(term.coefficient)
load_objective_term!(
dest,
index_map,
term.coefficient,
index_map[term.variable],
)
Expand All @@ -449,7 +509,9 @@ function MOI.copy_to(dest::Optimizer, src::MOI.ModelLike)
end

function MOI.optimize!(m::Optimizer)
start_time = time()
Solve(m.dsdp)
m.solve_time = time() - start_time
# Calling `ComputeX` not right after `Solve` seems to sometime cause segfaults or weird Heisenbug's
# let's call it directly what `DSDP/examples/readsdpa.c` does
ComputeX(m.dsdp)
Expand All @@ -459,6 +521,8 @@ function MOI.optimize!(m::Optimizer)
return
end

MOI.get(optimizer::Optimizer, ::MOI.SolveTimeSec) = optimizer.solve_time

function MOI.get(m::Optimizer, ::MOI.RawStatusString)
if m.dsdp == C_NULL
return "`optimize!` not called"
Expand Down
8 changes: 4 additions & 4 deletions src/sdpcone.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -53,8 +53,8 @@ function SetADenseVecMat(sdpcone::SDPConeT, arg2::Integer, arg3::Integer, arg4::
@dsdp_ccall SDPConeSetADenseVecMat (SDPConeT, Cint, Cint, Cint, Cdouble, Ptr{Cdouble}, Cint) sdpcone arg2 arg3 arg4 arg5 arg6 arg7
end

function SetARankOneMat(sdpcone::SDPConeT, arg2::Integer, arg3::Integer, arg4::Integer, arg5::Cdouble, arg6::Integer, arg7::Vector{Cint}, arg8::Vector{Cdouble}, arg9::Integer)
@dsdp_ccall SDPConeSetARankOneMat (SDPConeT, Cint, Cint, Cint, Cdouble, Cint, Ptr{Cint}, Ptr{Cdouble}, Cint) sdpcone arg2 arg3 arg4 arg5 arg6 arg7 arg8 arg9
function SetARankOneMat(sdpcone::SDPConeT, blockj::Integer, vari::Integer, n::Integer, alpha::Cdouble, ishift::Integer, ind::Vector{Cint}, val::Vector{Cdouble}, nnz::Integer)
@dsdp_ccall SDPConeSetARankOneMat (SDPConeT, Cint, Cint, Cint, Cdouble, Cint, Ptr{Cint}, Ptr{Cdouble}, Cint) sdpcone blockj vari n alpha ishift ind val nnz
end

function SetConstantMat(sdpcone::SDPConeT, arg2::Integer, arg3::Integer, arg4::Integer, arg5::Cdouble)
Expand Down Expand Up @@ -93,8 +93,8 @@ function AddIdentity(sdpcone::SDPConeT, arg2::Integer, arg3::Integer, arg4::Inte
@dsdp_ccall SDPConeAddIdentity (SDPConeT, Cint, Cint, Cint, Cdouble) sdpcone arg2 arg3 arg4 arg5
end

function AddARankOneMat(sdpcone::SDPConeT, arg2::Integer, arg3::Integer, arg4::Integer, arg5::Cdouble, arg6::Integer, arg7::Vector{Cint}, arg8::Vector{Cdouble}, arg9::Integer)
@dsdp_ccall SDPConeAddARankOneMat (SDPConeT, Cint, Cint, Cint, Cdouble, Cint, Ptr{Cint}, Ptr{Cdouble}, Cint) sdpcone arg2 arg3 arg4 arg5 arg6 arg7 arg8 arg9
function AddARankOneMat(sdpcone::SDPConeT, blockj::Integer, vari::Integer, n::Integer, alpha::Cdouble, ishift::Integer, ind::Vector{Cint}, val::Vector{Cdouble}, nnz::Integer)
@dsdp_ccall SDPConeAddARankOneMat (SDPConeT, Cint, Cint, Cint, Cdouble, Cint, Ptr{Cint}, Ptr{Cdouble}, Cint) sdpcone blockj vari n alpha ishift ind val nnz
end

function AddSparseVecMat(sdpcone::SDPConeT, arg2::Integer, arg3::Integer, arg4::Integer, arg5::Integer, arg6::Vector{Cint}, arg7::Vector{Cdouble}, arg8::Integer)
Expand Down
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