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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,212 @@ | ||
| # Copyright (c) 2017: Miles Lubin and contributors | ||
| # Copyright (c) 2017: Google Inc. | ||
| # | ||
| # Use of this source code is governed by an MIT-style license that can be found | ||
| # in the LICENSE.md file or at https://opensource.org/licenses/MIT. | ||
|
|
||
| """ | ||
| SetDotScalingBridge{T,S,F,G} <: Bridges.Constraint.AbstractBridge | ||
| `SetDotScalingBridge` implements the reformulation from constraints | ||
| in `S` to constraints in [`MOI.Scaled{S}`](@ref MOI.Scaled). | ||
| ## Source node | ||
| `SetDotScalingBridge` supports: | ||
| * `G` in `S` | ||
| ## Target node | ||
| `SetDotScalingBridge` creates: | ||
| * `F` in [`MOI.Scaled{S}`](@ref MOI.Scaled) | ||
| """ | ||
| struct SetDotScalingBridge{T,S,F,G} <: SetMapBridge{T,MOI.Scaled{S},S,F,G} | ||
| constraint::MOI.ConstraintIndex{F,MOI.Scaled{S}} | ||
| end | ||
|
|
||
| const SetDotScaling{T,OT<:MOI.ModelLike} = | ||
| SingleBridgeOptimizer{SetDotScalingBridge{T},OT} | ||
|
|
||
| function concrete_bridge_type( | ||
| ::Type{<:SetDotScalingBridge{T}}, | ||
| G::Type{<:MOI.AbstractVectorFunction}, | ||
| ::Type{S}, | ||
| ) where {T,S<:MOI.AbstractVectorSet} | ||
| F = MOI.Utilities.promote_operation( | ||
| *, | ||
| T, | ||
| LinearAlgebra.Diagonal{T,Vector{T}}, | ||
| G, | ||
| ) | ||
| return SetDotScalingBridge{T,S,F,G} | ||
| end | ||
|
|
||
| function MOI.Bridges.map_set( | ||
| ::Type{<:SetDotScalingBridge{T,S}}, | ||
| set::S, | ||
| ) where {T,S} | ||
| return MOI.Scaled(set) | ||
| end | ||
|
|
||
| function MOI.Bridges.inverse_map_set( | ||
| ::Type{<:SetDotScalingBridge{T,S}}, | ||
| set::MOI.Scaled{S}, | ||
| ) where {T,S} | ||
| return set.set | ||
| end | ||
|
|
||
| _length(f::MOI.AbstractVectorFunction) = MOI.output_dimension(f) | ||
| _length(f::AbstractVector) = length(f) | ||
|
|
||
| function _scale(::Type{T}, ::Type{S}, func) where {T,S} | ||
| set = MOI.Utilities.set_with_dimension(S, _length(func)) | ||
| scale = MOI.Utilities.SetDotScalingVector{T}(set) | ||
| return MOI.Utilities.operate(*, T, LinearAlgebra.Diagonal(scale), func) | ||
| end | ||
|
|
||
| function _inverse_scale(::Type{T}, ::Type{S}, func) where {T,S} | ||
| set = MOI.Utilities.set_with_dimension(S, _length(func)) | ||
| scale = MOI.Utilities.SetDotScalingVector{T}(set) | ||
| inv_scale = MOI.Utilities.lazy_map(T, inv, scale) | ||
| return MOI.Utilities.operate(*, T, LinearAlgebra.Diagonal(inv_scale), func) | ||
| end | ||
|
|
||
| function MOI.Bridges.map_function( | ||
| ::Type{<:SetDotScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _scale(T, S, func) | ||
| end | ||
|
|
||
| function MOI.Bridges.inverse_map_function( | ||
| ::Type{<:SetDotScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _inverse_scale(T, S, func) | ||
| end | ||
|
|
||
| # Since the map is a diagonal matrix `D`, it is symmetric so one would initially | ||
| # expect `adjoint_map_function` to be the same as `map_function`. However, the | ||
| # scalar product for the scaled PSD cone is `<x, y>_2 = x'y` but the scalar | ||
| # product for the PSD cone additionally scales the offdiagonal entries by `2` | ||
| # hence by `D^2` so `<x, y>_1 = x'D^2y`. | ||
| # So `<Dx, y>_2 = <x, D^(-1)y>_1` hence the adjoint of `D` is its inverse! | ||
| function MOI.Bridges.adjoint_map_function( | ||
| ::Type{<:SetDotScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _inverse_scale(T, S, func) | ||
| end | ||
|
|
||
| function MOI.Bridges.inverse_adjoint_map_function( | ||
| ::Type{<:SetDotScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _scale(T, S, func) | ||
| end | ||
|
|
||
| """ | ||
| SetDotInverseScalingBridge{T,S,F,G} <: Bridges.Constraint.AbstractBridge | ||
| `SetDotInverseScalingBridge` implements the reformulation from constraints | ||
| in the `MOI.Scaled{S}` to constraints in the `S`. | ||
| ## Source node | ||
| `SetDotInverseScalingBridge` supports: | ||
| * `G` in [`MOI.Scaled{S}`](@ref MOI.Scaled) | ||
| ## Target node | ||
| `SetDotInverseScalingBridge` creates: | ||
| * `F` in `S` | ||
| """ | ||
| struct SetDotInverseScalingBridge{T,S,F,G} <: | ||
| SetMapBridge{T,S,MOI.Scaled{S},F,G} | ||
| constraint::MOI.ConstraintIndex{F,S} | ||
| end | ||
|
|
||
| const SetDotInverseScaling{T,OT<:MOI.ModelLike} = | ||
| SingleBridgeOptimizer{SetDotInverseScalingBridge{T},OT} | ||
|
|
||
| function concrete_bridge_type( | ||
| ::Type{<:SetDotInverseScalingBridge{T}}, | ||
| G::Type{<:MOI.AbstractVectorFunction}, | ||
| ::Type{MOI.Scaled{S}}, | ||
| ) where {T,S<:MOI.AbstractVectorSet} | ||
| F = MOI.Utilities.promote_operation( | ||
| *, | ||
| T, | ||
| LinearAlgebra.Diagonal{T,Vector{T}}, | ||
| G, | ||
| ) | ||
| return SetDotInverseScalingBridge{T,S,F,G} | ||
| end | ||
|
|
||
| function MOI.Bridges.map_set( | ||
| ::Type{<:SetDotInverseScalingBridge{T,S}}, | ||
| set::MOI.Scaled{S}, | ||
| ) where {T,S} | ||
| return set.set | ||
| end | ||
|
|
||
| function MOI.Bridges.inverse_map_set( | ||
| ::Type{<:SetDotInverseScalingBridge{T,S}}, | ||
| set::S, | ||
| ) where {T,S} | ||
| return MOI.Scaled(set) | ||
| end | ||
|
|
||
| function MOI.Bridges.map_function( | ||
| ::Type{<:SetDotInverseScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _inverse_scale(T, S, func) | ||
| end | ||
|
|
||
| function MOI.Bridges.inverse_map_function( | ||
| ::Type{<:SetDotInverseScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _scale(T, S, func) | ||
| end | ||
|
|
||
| function MOI.Bridges.adjoint_map_function( | ||
| ::Type{<:SetDotInverseScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _inverse_scale(T, S, func) | ||
| end | ||
|
|
||
| function MOI.Bridges.inverse_adjoint_map_function( | ||
| ::Type{<:SetDotInverseScalingBridge{T,S}}, | ||
| func, | ||
| ) where {T,S} | ||
| return _scale(T, S, func) | ||
| end | ||
|
|
||
| # Since the set type is not defined, the default `MOI.supports_constraint` | ||
| # for `SetMapBridge` does not work | ||
| function MOI.supports_constraint( | ||
| ::Type{<:SetDotScalingBridge}, | ||
| ::Type{<:MOI.AbstractVectorFunction}, | ||
| S::Type{<:MOI.AbstractVectorSet}, | ||
| ) | ||
| return MOI.is_set_dot_scaled(S) | ||
| end | ||
|
|
||
| function MOI.supports_constraint( | ||
| ::Type{<:SetDotInverseScalingBridge}, | ||
| ::Type{<:MOI.AbstractVectorFunction}, | ||
| ::Type{MOI.Scaled{S}}, | ||
| ) where {S<:MOI.AbstractVectorSet} | ||
| return true | ||
| end | ||
|
|
||
| # TODO remove in MOI v2 | ||
| const SymmetricMatrixScalingBridge = SetDotScalingBridge | ||
| const SymmetricMatrixInverseScalingBridge = SetDotInverseScalingBridge |
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