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[Bridges] use dual of equality in slack bridge (take 2) #2515

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Jun 18, 2024
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[Bridges] use dual of equality in slack bridge (take 2) #2515

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8c82526
[Bridges] use dual of equality in slack bridge (#2508)
blegat May 26, 2024
b5596e8
Add scaling
blegat Jun 14, 2024
0ab3542
Update slack.jl
odow Jun 14, 2024
d5b9733
Update src/Bridges/Constraint/bridges/slack.jl
odow Jun 14, 2024
3942f18
Update slack.jl
odow Jun 15, 2024
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Update slack.jl
odow Jun 15, 2024
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Update slack.jl
odow Jun 15, 2024
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odow Jun 16, 2024
397b779
Update src/Bridges/Constraint/bridges/slack.jl
odow Jun 16, 2024
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odow Jun 17, 2024
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22 changes: 16 additions & 6 deletions src/Bridges/Constraint/bridges/slack.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -124,12 +124,20 @@ end
function MOI.get(
model::MOI.ModelLike,
a::Union{MOI.ConstraintDual,MOI.ConstraintDualStart},
bridge::_AbstractSlackBridge,
)
bridge::_AbstractSlackBridge{T},
) whhere {T}
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# The dual constraint on slack (since it is free) is
# -dual_slack_in_set + dual_equality = 0 so the two duals are
# `-dual_slack_in_set + dual_equality = 0` so the two duals are
# equal and we can return either one of them.
return MOI.get(model, a, bridge.slack_in_set)
# We decide to use the dual of the equality constraints because
# the `slack_in_set` constraint might be bridge by a variable bridge that
# does not # support `ConstraintDual`. This is the case if the adjoint of
# the linear map on which the bridge is based is not invertible, as for
# instance with `Variable.ZerosBridge` or
# `SumOfSquares.Bridges.Variable.KernelBridge`.
dual = MOI.get(model, a, bridge.equality)
scale = MOI.Utilities.SetDotScalingVector{T}(bridge.set)
return MOI.Utilities.operate(*, T, LinearAlgebra.Diagonal(scale), dual)
end

function MOI.set(
Expand Down Expand Up @@ -209,6 +217,7 @@ end
struct ScalarSlackBridge{T,F,S} <:
_AbstractSlackBridge{T,MOI.VariableIndex,MOI.EqualTo{T},F,S}
slack::MOI.VariableIndex
set::S
slack_in_set::MOI.ConstraintIndex{MOI.VariableIndex,S}
equality::MOI.ConstraintIndex{F,MOI.EqualTo{T}}
end
Expand All @@ -226,7 +235,7 @@ function bridge_constraint(
slack, slack_in_set = MOI.add_constrained_variable(model, s)
new_f = MOI.Utilities.operate(-, T, f, slack)
equality = MOI.add_constraint(model, new_f, MOI.EqualTo(zero(T)))
return ScalarSlackBridge{T,F,S}(slack, slack_in_set, equality)
return ScalarSlackBridge{T,F,S}(slack, s, slack_in_set, equality)
end

# Start by allowing all scalar constraints:
Expand Down Expand Up @@ -341,6 +350,7 @@ end
struct VectorSlackBridge{T,F,S} <:
_AbstractSlackBridge{T,MOI.VectorOfVariables,MOI.Zeros,F,S}
slack::Vector{MOI.VariableIndex}
set::S
slack_in_set::MOI.ConstraintIndex{MOI.VectorOfVariables,S}
equality::MOI.ConstraintIndex{F,MOI.Zeros}
end
Expand All @@ -358,7 +368,7 @@ function bridge_constraint(
slack, slack_in_set = MOI.add_constrained_variables(model, s)
new_f = MOI.Utilities.operate(-, T, f, MOI.VectorOfVariables(slack))
equality = MOI.add_constraint(model, new_f, MOI.Zeros(d))
return VectorSlackBridge{T,F,S}(slack, slack_in_set, equality)
return VectorSlackBridge{T,F,S}(slack, s, slack_in_set, equality)
end

function MOI.supports_constraint(
Expand Down
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