Merge pull request #789 from JuliaOpt/bl/objective_bridge

Add Objective bridges

src/Bridges/Bridges.jl

@@ -28,6 +28,7 @@ function full_bridge_optimizer(model::MOI.ModelLike, T::Type)
     bridged_model = LazyBridgeOptimizer(model)
     Variable.add_all_bridges(bridged_model, T)
     Constraint.add_all_bridges(bridged_model, T)
+    Objective.add_all_bridges(bridged_model, T)
     return bridged_model
 end
 

src/Bridges/Constraint/single_bridge_optimizer.jl

@@ -37,6 +37,9 @@ function MOIB.is_bridged(b::SingleBridgeOptimizer, F::Type{<:MOI.AbstractFunctio
                     S::Type{<:MOI.AbstractSet})
     return MOIB.supports_bridging_constraint(b, F, S)
 end
+function MOIB.is_bridged(::SingleBridgeOptimizer, ::Type{<:MOI.AbstractScalarFunction})
+    return false
+end
 function MOIB.bridge_type(::SingleBridgeOptimizer{BT},
                           ::Type{<:MOI.AbstractFunction},
                           ::Type{<:MOI.AbstractSet}) where BT

src/Bridges/Objective/Objective.jl

@@ -11,4 +11,25 @@ include("bridge.jl")
 # Mapping between objective function attributes and bridges
 include("map.jl")
 
+# Bridge optimizer bridging a specific objective bridge
+include("single_bridge_optimizer.jl")
+
+# Objective bridges
+include("functionize.jl")
+const Functionize{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{FunctionizeBridge{T}, OT}
+include("slack.jl")
+const Slack{T, OT<:MOI.ModelLike} = SingleBridgeOptimizer{SlackBridge{T}, OT}
+
+"""
+    add_all_bridges(bridged_model, T::Type)
+
+Add all bridges defined in the `Bridges.Objective` submodule to `bridged_model`.
+The coefficient type used is `T`.
+"""
+function add_all_bridges(bridged_model, T::Type)
+    MOIB.add_bridge(bridged_model, FunctionizeBridge{T})
+    MOIB.add_bridge(bridged_model, SlackBridge{T})
+    return
+end
+
 end

src/Bridges/Objective/functionize.jl

@@ -0,0 +1,55 @@
+"""
+    FunctionizeBridge{T}
+
+The `FunctionizeBridge` converts a `SingleVariable` objective into a
+`ScalarAffineFunction{T}` objective.
+"""
+struct FunctionizeBridge{T} <: AbstractBridge end
+function bridge_objective(::Type{FunctionizeBridge{T}}, model::MOI.ModelLike,
+                           func::MOI.SingleVariable) where T
+    F = MOI.ScalarAffineFunction{T}
+    MOI.set(model, MOI.ObjectiveFunction{F}(), convert(F, func))
+    return FunctionizeBridge{T}()
+end
+
+function supports_objective_function(
+    ::Type{<:FunctionizeBridge}, ::Type{MOI.SingleVariable})
+    return true
+end
+MOIB.added_constrained_variable_types(::Type{<:FunctionizeBridge}) = Tuple{DataType}[]
+function MOIB.added_constraint_types(::Type{<:FunctionizeBridge})
+    return Tuple{DataType, DataType}[]
+end
+function MOIB.set_objective_function_type(::Type{FunctionizeBridge{T}}) where T
+    return MOI.ScalarAffineFunction{T}
+end
+
+# Attributes, Bridge acting as a model
+function MOI.get(bridge::FunctionizeBridge, ::MOI.NumberOfVariables)
+    return 0
+end
+function MOI.get(bridge::FunctionizeBridge, ::MOI.ListOfVariableIndices)
+    return MOI.VariableIndex[]
+end
+
+# No variables or constraints are created in this bridge so there is nothing to
+# delete.
+function MOI.delete(model::MOI.ModelLike, bridge::FunctionizeBridge) end
+
+function MOI.set(::MOI.ModelLike, ::MOI.ObjectiveSense,
+                 ::FunctionizeBridge, ::MOI.OptimizationSense)
+    # `FunctionizeBridge` is sense agnostic, therefore, we don't need to change
+    # anything.
+end
+function MOI.get(model::MOI.ModelLike,
+                 attr::MOIB.ObjectiveFunctionValue{MOI.SingleVariable},
+                 bridge::FunctionizeBridge{T}) where T
+    F = MOI.ScalarAffineFunction{T}
+    return MOI.get(model, MOIB.ObjectiveFunctionValue{F}())
+end
+function MOI.get(model::MOI.ModelLike, attr::MOI.ObjectiveFunction{MOI.SingleVariable},
+                 bridge::FunctionizeBridge{T}) where T
+    F = MOI.ScalarAffineFunction{T}
+    func = MOI.get(model, MOI.ObjectiveFunction{F}())
+    return convert(MOI.SingleVariable, func)
+end

src/Bridges/Objective/single_bridge_optimizer.jl

@@ -0,0 +1,42 @@
+"""
+    SingleBridgeOptimizer{BT<:AbstractBridge, OT<:MOI.ModelLike} <: AbstractBridgeOptimizer
+
+The `SingleBridgeOptimizer` bridges any objective functions supported by the
+bridge `BT`. This is in contrast with the [`MathOptInterface.Bridges.LazyBridgeOptimizer`](@ref)
+which only bridges the objective functions that are unsupported by the internal model,
+even if they are supported by one of its bridges.
+"""
+mutable struct SingleBridgeOptimizer{BT<:AbstractBridge, OT<:MOI.ModelLike} <: MOIB.AbstractBridgeOptimizer
+    model::OT
+    map::Map # `MOI.ObjectiveFunction` -> objective bridge
+end
+function SingleBridgeOptimizer{BT}(model::OT) where {BT, OT <: MOI.ModelLike}
+    SingleBridgeOptimizer{BT, OT}(model, Map())
+end
+
+function bridges(bridge::MOI.Bridges.AbstractBridgeOptimizer)
+    return EmptyMap()
+end
+bridges(bridge::SingleBridgeOptimizer) = bridge.map
+
+MOIB.supports_constraint_bridges(::SingleBridgeOptimizer) = false
+function MOIB.is_bridged(::SingleBridgeOptimizer, ::Type{<:MOI.AbstractSet})
+    return false
+end
+function MOIB.is_bridged(::SingleBridgeOptimizer,
+                         ::Type{<:MOI.AbstractFunction},
+                         ::Type{<:MOI.AbstractSet})
+    return false
+end
+function MOIB.supports_bridging_objective_function(
+    ::SingleBridgeOptimizer{BT}, F::Type{<:MOI.AbstractScalarFunction}) where BT
+    return supports_objective_function(BT, F)
+end
+function MOIB.is_bridged(
+    b::SingleBridgeOptimizer, F::Type{<:MOI.AbstractScalarFunction})
+    return MOIB.supports_bridging_objective_function(b, F)
+end
+function MOIB.bridge_type(::SingleBridgeOptimizer{BT},
+                          ::Type{<:MOI.AbstractScalarFunction}) where BT
+    return BT
+end

src/Bridges/Objective/slack.jl

@@ -0,0 +1,95 @@
+"""
+    SlackBridge{T, F, G}
+
+The `SlackBridge` converts an objective function of type `G` into a
+[`SingleVariable`](@ref) objective by creating a slack variable and a
+`F`-in-[`LessThan`](@ref) constraint for minimization or
+`F`-in-[`LessThan`](@ref) constraint for maximization where `F` is
+`MOI.Utilities.promote_operation(-, T, G, MOI.SingleVariable}`.
+Note that when using this bridge, changing the optimization sense
+is not supported. Set the sense to `MOI.FEASIBILITY_SENSE` first
+to delete the bridge in order to change the sense, then re-add the objective.
+"""
+struct SlackBridge{T, F<:MOI.AbstractScalarFunction, G<:MOI.AbstractScalarFunction} <: AbstractBridge
+    slack::MOI.VariableIndex
+    constraint::Union{MOI.ConstraintIndex{F, MOI.LessThan{T}},
+                      MOI.ConstraintIndex{F, MOI.GreaterThan{T}}}
+end
+function bridge_objective(::Type{SlackBridge{T, F, G}}, model::MOI.ModelLike,
+                          func::G) where {T, F, G<:MOI.AbstractScalarFunction}
+    slack = MOI.add_variable(model)
+    fslack = MOI.SingleVariable(slack)
+    f = MOIU.operate(-, T, func, fslack)
+    if MOI.get(model, MOI.ObjectiveSense()) == MOI.MIN_SENSE
+        set = MOI.LessThan(zero(T))
+    elseif MOI.get(model, MOI.ObjectiveSense()) == MOI.MAX_SENSE
+        set = MOI.GreaterThan(zero(T))
+    else
+        error("Set `MOI.ObjectiveSense` before `MOI.ObjectiveFunction` when",
+              " using `MOI.Bridges.Objective.SlackBridge`.")
+    end
+    constraint = MOIU.normalize_and_add_constraint(model, f, set)
+    MOI.set(model, MOI.ObjectiveFunction{MOI.SingleVariable}(), fslack)
+    return SlackBridge{T, F, G}(slack, constraint)
+end
+
+function supports_objective_function(
+    ::Type{<:SlackBridge}, ::Type{MOI.SingleVariable})
+    return false
+end
+function supports_objective_function(
+    ::Type{<:SlackBridge}, ::Type{<:MOI.AbstractScalarFunction})
+    return true
+end
+MOIB.added_constrained_variable_types(::Type{<:SlackBridge}) = Tuple{DataType}[]
+function MOIB.added_constraint_types(::Type{<:SlackBridge{T, F}}) where {T, F}
+    return [(F, MOI.GreaterThan{T}), (F, MOI.LessThan{T})]
+end
+function MOIB.set_objective_function_type(::Type{<:SlackBridge})
+    return MOI.SingleVariable
+end
+function concrete_bridge_type(::Type{<:SlackBridge{T}},
+                              G::Type{<:MOI.AbstractScalarFunction}) where T
+    F = MOIU.promote_operation(-, T, G, MOI.SingleVariable)
+    return SlackBridge{T, F, G}
+end
+
+# Attributes, Bridge acting as a model
+function MOI.get(bridge::SlackBridge, ::MOI.NumberOfVariables)
+    return 1
+end
+function MOI.get(bridge::SlackBridge, ::MOI.ListOfVariableIndices)
+    return [bridge.slack]
+end
+function MOI.get(bridge::SlackBridge{T, F}, ::MOI.NumberOfConstraints{F, S}) where {
+        T, F, S <: Union{MOI.GreaterThan{T}, MOI.LessThan{T}}}
+    return bridge.constraint isa MOI.ConstraintIndex{F, S} ? 1 : 0
+end
+function MOI.get(bridge::SlackBridge{T, F}, ::MOI.ListOfConstraintIndices{F, S}) where {
+        T, F, S <: Union{MOI.GreaterThan{T}, MOI.LessThan{T}}}
+    if bridge.constraint isa MOI.ConstraintIndex{F, S}
+        return [bridge.constraint]
+    else
+        return MOI.ConstraintIndex{F, S}[]
+    end
+end
+
+function MOI.delete(model::MOI.ModelLike, bridge::SlackBridge)
+    MOI.delete(model, bridge.constraint)
+    MOI.delete(model, bridge.slack)
+end
+
+function MOI.get(model::MOI.ModelLike,
+                 attr::MOIB.ObjectiveFunctionValue{G},
+                 bridge::SlackBridge{T, F, G}) where {T, F, G}
+    slack = MOI.get(model, MOIB.ObjectiveFunctionValue{MOI.SingleVariable}())
+    obj_slack_constant = MOI.get(model, MOI.ConstraintPrimal(), bridge.constraint)
+    # The constant was moved to the set as it is a scalar constraint.
+    constant = MOI.constant(MOI.get(model, MOI.ConstraintSet(), bridge.constraint))
+    return obj_slack_constant + slack + constant
+end
+function MOI.get(model::MOI.ModelLike, attr::MOI.ObjectiveFunction{G},
+                 bridge::SlackBridge{T, F, G}) where {T, F, G<:MOI.AbstractScalarFunction}
+    func = MOI.get(model, MOI.ConstraintFunction(), bridge.constraint)
+    return MOIU.convert_approx(G, MOIU.remove_variable(func, bridge.slack))
+end

src/Bridges/Variable/single_bridge_optimizer.jl

@@ -44,6 +44,9 @@ function MOIB.is_bridged(::SingleBridgeOptimizer,
                          ::Type{<:MOI.AbstractSet})
     return false
 end
+function MOIB.is_bridged(::SingleBridgeOptimizer, ::Type{<:MOI.AbstractScalarFunction})
+    return false
+end
 function MOIB.bridge_type(::SingleBridgeOptimizer{BT},
                           ::Type{<:MOI.AbstractSet}) where BT
     return BT