Merge branch 'master' into 1.9-ext

jump-dev · Jun 27, 2023 · 08013f6 · 08013f6
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diff --git a/CITATION.bib b/CITATION.bib
@@ -1,6 +1,6 @@
 @article{Lubin2023,
-    author = {Miles Lubin and Oscar Dowson and Joaquim Dias Garcia and Joey Huchette and Beno{\^i}t Legat and Juan Pablo Vielma},
-    title = {JuMP 1.0: Recent improvements to a modeling language for mathematical optimization},
+    author = {Miles Lubin and Oscar Dowson and Joaquim {Dias Garcia} and Joey Huchette and Beno{\^i}t Legat and Juan Pablo Vielma},
+    title = {{JuMP} 1.0: {R}ecent improvements to a modeling language for mathematical optimization},
     journal = {Mathematical Programming Computation},
     year = {2023},
     doi = {10.1007/s12532-023-00239-3}

diff --git a/Project.toml b/Project.toml
@@ -20,7 +20,7 @@ JuMPDimensionalDataExt = "DimensionalData"
 
 [compat]
 DimensionalData = "0.24"
-MathOptInterface = "1.17"
+MathOptInterface = "1.18"
 MutableArithmetics = "1"
 OrderedCollections = "1"
 SnoopPrecompile = "1"

diff --git a/README.md b/README.md
@@ -54,8 +54,8 @@ following paper ([preprint](https://arxiv.org/abs/2206.03866)):
 
 ```bibtex
 @article{Lubin2023,
-    author = {Miles Lubin and Oscar Dowson and Joaquim Dias Garcia and Joey Huchette and Beno{\^i}t Legat and Juan Pablo Vielma},
-    title = {JuMP 1.0: Recent improvements to a modeling language for mathematical optimization},
+    author = {Miles Lubin and Oscar Dowson and Joaquim {Dias Garcia} and Joey Huchette and Beno{\^i}t Legat and Juan Pablo Vielma},
+    title = {{JuMP} 1.0: {R}ecent improvements to a modeling language for mathematical optimization},
     journal = {Mathematical Programming Computation},
     year = {2023},
     doi = {10.1007/s12532-023-00239-3}
@@ -68,7 +68,7 @@ For earlier works, see:
    ```bibtex
    @article{DunningHuchetteLubin2017,
        author = {Iain Dunning and Joey Huchette and Miles Lubin},
-       title = {JuMP: A Modeling Language for Mathematical Optimization},
+       title = {{JuMP}: {A} {M}odeling {L}anguage for {M}athematical {O}ptimization},
        journal = {SIAM Review},
        volume = {59},
        number = {2},
@@ -82,7 +82,7 @@ For earlier works, see:
    ```bibtex
    @article{LubinDunningIJOC,
        author = {Miles Lubin and Iain Dunning},
-       title = {Computing in Operations Research Using Julia},
+       title = {{C}omputing in {O}perations {R}esearch {U}sing {J}ulia},
        journal = {INFORMS Journal on Computing},
        volume = {27},
        number = {2},

diff --git a/docs/Project.toml b/docs/Project.toml
@@ -44,7 +44,7 @@ Ipopt = "=1.4.1"
 JSON = "0.21"
 JSONSchema = "1"
 Literate = "2.8"
-MathOptInterface = "=1.17.1"
+MathOptInterface = "=1.18.0"
 MultiObjectiveAlgorithms = "=1.0.0"
 Plots = "1"
 SCS = "=1.2.0"

diff --git a/docs/src/index.md b/docs/src/index.md
@@ -87,8 +87,8 @@ following paper ([preprint](https://arxiv.org/abs/2206.03866)):
 
 ```bibtex
 @article{Lubin2023,
-    author = {Miles Lubin and Oscar Dowson and Joaquim Dias Garcia and Joey Huchette and Beno{\^i}t Legat and Juan Pablo Vielma},
-    title = {JuMP 1.0: Recent improvements to a modeling language for mathematical optimization},
+    author = {Miles Lubin and Oscar Dowson and Joaquim {Dias Garcia} and Joey Huchette and Beno{\^i}t Legat and Juan Pablo Vielma},
+    title = {{JuMP} 1.0: {R}ecent improvements to a modeling language for mathematical optimization},
     journal = {Mathematical Programming Computation},
     year = {2023},
     doi = {10.1007/s12532-023-00239-3}

diff --git a/docs/src/manual/variables.md b/docs/src/manual/variables.md
@@ -1222,19 +1222,15 @@ ERROR: MethodError: no method matching set_lower_bound(::AffExpr, ::Float64)
 [...]
 ```
 
-However, you can convert the matrix into one in which the upper triangular
-elements are `VariableRef` and the lower triangular elements are `AffExpr` as
-follows:
+Instead, you can convert an upper-triangular elements to a variable as follows:
 ```jldoctest skewsymmetric
-julia> y = Union{VariableRef,AffExpr}[
-           j > i ? first(keys(x[i, j].terms)) : x[i, j]
-           for i in 1:size(x, 1), j in 1:size(x, 2)
-       ]
-2×2 Matrix{Union{VariableRef, AffExpr}}:
- 0        x[1,2]
- -x[1,2]  0
+julia> to_variable(x::AffExpr) = first(keys(x.terms))
+to_variable (generic function with 1 method)
+
+julia> to_variable(x[1, 2])
+x[1,2]
 
-julia> set_lower_bound(y[1, 2], 0.0)
+julia> set_lower_bound(to_variable(x[1, 2]), 0.0)
 ```
 
 ### Example: Hermitian positive semidefinite variables

diff --git a/src/macros.jl b/src/macros.jl
@@ -781,7 +781,7 @@ end
 
 function build_constraint(
     _error::Function,
-    x::Matrix,
+    x::AbstractMatrix,
     set::MOI.AbstractVectorSet,
 )
     return _error(
@@ -793,10 +793,7 @@ end
 function build_constraint(
     _error::Function,
     ::Matrix,
-    T::Union{
-        MOI.PositiveSemidefiniteConeSquare,
-        MOI.PositiveSemidefiniteConeTriangle,
-    },
+    T::MOI.PositiveSemidefiniteConeTriangle,
 )
     return _error("instead of `$(T)`, use `JuMP.PSDCone()`.")
 end

diff --git a/src/optimizer_interface.jl b/src/optimizer_interface.jl
@@ -1151,6 +1151,8 @@ function set_start_values(
     for (ci, dual_start) in constraint_dual
         set_dual_start_value(ci, dual_start)
     end
+    # Needed for models which bridge `min f(x)` into `min t; t >= f(x)`.
+    MOI.set(model, MOI.Bridges.Objective.SlackBridgePrimalDualStart(), nothing)
     return
 end
 

diff --git a/src/sd.jl b/src/sd.jl
@@ -137,25 +137,6 @@ triangular part of the matrix is constrained to belong to the
 """
 struct PSDCone end
 
-function build_constraint(
-    _error::Function,
-    f::AbstractMatrix{<:AbstractJuMPScalar},
-    ::Nonnegatives,
-    extra::PSDCone,
-)
-    return build_constraint(_error, f, extra)
-end
-
-function build_constraint(
-    _error::Function,
-    f::AbstractMatrix{<:AbstractJuMPScalar},
-    ::Nonpositives,
-    extra::PSDCone,
-)
-    new_f = _MA.operate!!(*, -1, f)
-    return build_constraint(_error, new_f, extra)
-end
-
 """
     SymmetricMatrixShape
 
@@ -167,6 +148,7 @@ lower-left triangular part given row by row).
 struct SymmetricMatrixShape <: AbstractShape
     side_dimension::Int
 end
+
 function reshape_vector(
     vectorized_form::Vector{T},
     shape::SymmetricMatrixShape,
@@ -181,12 +163,14 @@ function reshape_vector(
     end
     return LinearAlgebra.Symmetric(matrix)
 end
+
 function reshape_set(
     ::MOI.PositiveSemidefiniteConeTriangle,
     ::SymmetricMatrixShape,
 )
     return PSDCone()
 end
+
 function vectorize(matrix, ::SymmetricMatrixShape)
     n = LinearAlgebra.checksquare(matrix)
     return [matrix[i, j] for j in 1:n for i in 1:j]
@@ -414,12 +398,7 @@ function build_variable(
 )
     n = _square_side(_error, variables)
     set = MOI.PositiveSemidefiniteConeTriangle(n)
-    shape = SymmetricMatrixShape(n)
-    return VariablesConstrainedOnCreation(
-        _vectorize_variables(_error, variables),
-        set,
-        shape,
-    )
+    return build_variable(_error, variables, set)
 end
 
 function value(
@@ -476,12 +455,7 @@ function build_constraint(
     ::PSDCone,
 ) where {V<:AbstractJuMPScalar,M<:AbstractMatrix{V}}
     n = LinearAlgebra.checksquare(Q)
-    shape = SymmetricMatrixShape(n)
-    return VectorConstraint(
-        vectorize(Q, shape),
-        MOI.PositiveSemidefiniteConeTriangle(n),
-        shape,
-    )
+    return build_constraint(_error, Q, MOI.PositiveSemidefiniteConeTriangle(n))
 end
 
 """
@@ -511,12 +485,7 @@ function build_constraint(
     ::PSDCone,
 )
     n = LinearAlgebra.checksquare(Q)
-    shape = SquareMatrixShape(n)
-    return VectorConstraint(
-        vectorize(Q, shape),
-        MOI.PositiveSemidefiniteConeSquare(n),
-        shape,
-    )
+    return build_constraint(_error, Q, MOI.PositiveSemidefiniteConeSquare(n))
 end
 
 """
@@ -742,3 +711,60 @@ function build_constraint(_error::Function, ::AbstractMatrix, ::Zeros)
         "`LinearAlgebra.Symmetric` or `LinearAlgebra.Hermitian`.",
     )
 end
+
+function build_constraint(
+    _error::Function,
+    Q::LinearAlgebra.Symmetric{V,M},
+    set::MOI.AbstractSymmetricMatrixSetTriangle,
+) where {V<:AbstractJuMPScalar,M<:AbstractMatrix{V}}
+    n = LinearAlgebra.checksquare(Q)
+    shape = SymmetricMatrixShape(n)
+    return VectorConstraint(vectorize(Q, shape), set, shape)
+end
+
+function build_constraint(
+    _error::Function,
+    Q::AbstractMatrix{<:AbstractJuMPScalar},
+    set::MOI.AbstractSymmetricMatrixSetSquare,
+)
+    n = LinearAlgebra.checksquare(Q)
+    shape = SquareMatrixShape(n)
+    return VectorConstraint(vectorize(Q, shape), set, shape)
+end
+
+function build_constraint(
+    _error::Function,
+    f::AbstractMatrix{<:AbstractJuMPScalar},
+    ::Nonnegatives,
+    extra::Union{
+        MOI.AbstractSymmetricMatrixSetTriangle,
+        MOI.AbstractSymmetricMatrixSetSquare,
+        PSDCone,
+    },
+)
+    return build_constraint(_error, f, extra)
+end
+
+function build_constraint(
+    _error::Function,
+    f::AbstractMatrix{<:AbstractJuMPScalar},
+    ::Nonpositives,
+    extra::Union{
+        MOI.AbstractSymmetricMatrixSetTriangle,
+        MOI.AbstractSymmetricMatrixSetSquare,
+        PSDCone,
+    },
+)
+    new_f = _MA.operate!!(*, -1, f)
+    return build_constraint(_error, new_f, extra)
+end
+
+function build_variable(
+    _error::Function,
+    variables::Matrix{<:AbstractVariable},
+    set::MOI.AbstractSymmetricMatrixSetTriangle,
+)
+    n = _square_side(_error, variables)
+    x = _vectorize_variables(_error, variables)
+    return VariablesConstrainedOnCreation(x, set, SymmetricMatrixShape(n))
+end
diff --git a/test/test_constraint.jl b/test/test_constraint.jl
@@ -652,15 +652,6 @@ function test_extension_PSD_constraint_errors(
 )
     model = ModelType()
     @variable(model, X[1:2, 1:2])
-    err = ErrorException(
-        "In `@constraint(model, X in MOI.PositiveSemidefiniteConeSquare(2))`:" *
-        " instead of `MathOptInterface.PositiveSemidefiniteConeSquare(2)`," *
-        " use `JuMP.PSDCone()`.",
-    )
-    @test_throws_strip(
-        err,
-        @constraint(model, X in MOI.PositiveSemidefiniteConeSquare(2))
-    )
     err = ErrorException(
         "In `@constraint(model, X in MOI.PositiveSemidefiniteConeTriangle(2))`:" *
         " instead of `MathOptInterface.PositiveSemidefiniteConeTriangle(2)`," *

diff --git a/test/test_model.jl b/test/test_model.jl
@@ -1110,6 +1110,20 @@ function test_model_quad_to_soc_start_values()
     return
 end
 
+function test_SlackBridgePrimalDualStart()
+    inner = MOI.Utilities.UniversalFallback(MOI.Utilities.Model{Float64}())
+    mock = MOI.Utilities.MockOptimizer(inner)
+    model = direct_model(MOI.Bridges.Objective.Slack{Float64}(mock))
+    @variable(model, x, start = 1.0)
+    @objective(model, Min, x^2)
+    set_start_values(model; variable_primal_start = start_value)
+    F, S = MOI.ScalarQuadraticFunction{Float64}, MOI.LessThan{Float64}
+    ci = first(MOI.get(inner, MOI.ListOfConstraintIndices{F,S}()))
+    @test MOI.get(inner, MOI.ConstraintPrimalStart(), ci) == 0.0
+    @test MOI.get(inner, MOI.ConstraintDualStart(), ci) == -1.0
+    return
+end
+
 function test_keyword_getindex()
     err = JuMP._get_index_keyword_indexing_error()
     model = Model()