Add Objective bridges by blegat · Pull Request #789 · jump-dev/MathOptInterface.jl

blegat · 2019-07-13T11:00:08Z

Note that the base branch set is bl/variable_bridge but I don't plan to merge it into it, it's only set to have a small diff. This PR will only be merged once bl/variable_bridge is merged into master.

Closes #529

chriscoey · 2019-08-10T19:38:40Z

So this is for converting unsupported objective types to supported constraints? like quadratic obj to quadratic constraint? max logdet to max of a new variable and a logdet cone constraint? any weird use cases planned?

blegat · 2019-08-10T19:51:57Z

So this is for converting unsupported objective types to supported constraints? like quadratic obj to quadratic constraint? max logdet to max of a new variable and a logdet cone constraint? any weird use cases planned?

Yes, exactly log-det (that is supported by SDPT3 and should be bridged for others) and quadratic objectives which is suppoted by some solvers and should be transformed to RSOC are the main use cases.
The diff is abnormally large since it is based on bl/variable_bridges which has changed quite a lot since when it was written

chriscoey · 2019-08-10T19:55:44Z

cool. so the objective bridges are aware of the objective sense? like can it check whether the sense is compatible with reformulating using a convex epi/hypograph constraint?

blegat · 2019-08-10T19:58:02Z

so the objective bridges are aware of the objective sense?

That's the most tricky part with objective bridges, it would have been easier if both sense and objective are set at the same times.
So yes, they are aware of objective sense but there are tricky cases that do not work now, e.g.

set sense to Min
set function to convex quad
set sense to Max # error
set function to concave quad

chriscoey · 2019-08-10T19:59:28Z

seems like it would make sense to set an objective sense and function at same time. how breaking would it be to change the interface?

blegat · 2019-08-10T20:20:46Z

It might be quite breaking. We might start with an error as this use case it not that common and evaluate if it's worth the breakage.

chriscoey · 2019-08-10T20:36:32Z

I'm thinking of cases like https://github.com/JuliaOpt/Pajarito.jl/blob/master/examples/expdesign.jl where you have different convex objectives some of which are "min convex function" and some that are "max concave function" and you want to switch between the objectives easily to see how they affect the solution. Or cases where you try different convex objectives for regression problems, some that are max and some min.

mlubin · 2019-08-10T20:47:19Z

seems like it would make sense to set an objective sense and function at same time. how breaking would it be to change the interface?

This would be a usability loss for the API without a clear justification. Why can't we look at the combination of objective sense and objective function and then decide which transformation to apply?

blegat · 2019-08-10T20:52:29Z

Why can't we look at the combination of objective sense and objective function and then decide which transformation to apply?

That's another approach, cache the objective function, in case the bridge is sensitive to min vs max, cache the objective function until optimize! is called hence you are sure to have the sense set

rschwarz · 2019-08-22T09:20:41Z

From the user's point of view, when switching from "min convex" to "max concave", couldn't we clear the objective by switching to feasibility mode as an intermediate step?

blegat · 2019-09-01T07:44:40Z

Adding to the v0.9.2 milestone as currently, bridged variables cannot be used in SingleVariable objective which is a regression as SDOI could handle that. This PR fixes this issues by force-bridging the SingleVariable to a ScalarAffineFunction with Bridges.Objective.FunctionizeBridge

ericphanson · 2019-09-02T14:15:03Z

Adding to the v0.9.2 milestone as currently, bridged variables cannot be used in SingleVariable objective which is a regression as SDOI could handle that. This PR fixes this issues by force-bridging the SingleVariable to a ScalarAffineFunction with Bridges.Objective.FunctionizeBridge

Just to say @JiazhengZhu ran into this when trying to test SDPA-GMP with some JuMP examples.

codecov-io · 2019-09-03T15:46:51Z

Codecov Report

Merging #789 into master will increase coverage by 0.09%.
The diff coverage is 91.21%.

@@            Coverage Diff             @@
##           master     #789      +/-   ##
==========================================
+ Coverage   94.87%   94.97%   +0.09%     
==========================================
  Files          77       80       +3     
  Lines        8094     8274     +180     
==========================================
+ Hits         7679     7858     +179     
- Misses        415      416       +1

Impacted Files	Coverage Δ
src/Bridges/Variable/single_bridge_optimizer.jl	`30% <0%> (-3.34%)`	⬇️
src/Bridges/Constraint/single_bridge_optimizer.jl	`40% <0%> (-4.45%)`	⬇️
src/Bridges/Objective/slack.jl	`100% <100%> (ø)`
src/Utilities/model.jl	`93.55% <100%> (+0.05%)`	⬆️
src/Bridges/Objective/Objective.jl	`100% <100%> (ø)`	⬆️
src/Bridges/Bridges.jl	`100% <100%> (ø)`	⬆️
src/Bridges/Objective/single_bridge_optimizer.jl	`30% <30%> (ø)`
src/Bridges/lazy_bridge_optimizer.jl	`92.9% <92.06%> (+2.18%)`	⬆️
src/Bridges/Objective/functionize.jl	`94.11% <94.11%> (ø)`
src/Bridges/bridge_optimizer.jl	`95.59% <95.89%> (-0.83%)`	⬇️
... and 8 more

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blegat · 2019-09-03T22:00:26Z

This PR should be ready now. The SlackBridge needs the objective sense to be set before the objective function and does not support the objective sense to be changed. A workaround is to set it to FeasibilitySense first to remove the bridge in order to change it from max to min or min to max. At a later stage, we could cache the objective and sense to and only set it before optimize but that's out of scope for this PR.

I have created a PR with an independent subset of the changes for easier review: #867

odow · 2019-09-04T13:30:46Z

+        "Objective bridge of type `$(typeof(bridge))` does not support" *
+        " modifying the objective sense. As a workaround, set the sense to" *
+        " `MOI.FEASIBILITY_SENSE` to clear the objective function and" *
+        " bridges."))


So what is JuMP going to do? Is it possible to easily set FEASIBILITY_SENSE from JuMP?

The user can do set_objective_sense(model, MOI.FEASIBILITY_SENSE). This is not ideal but this is a rare use case. We can implement #789 (comment) if this is an issue

odow · 2019-09-04T13:49:05Z

+        return MOI.supports(b.model, attr)
+    end
+end
+struct ObjectiveFunctionValue{F<:MOI.AbstractScalarFunction} end


Why is it necessary to have a different attribute? What's the difference between ObjectiveFunctionValue and ObjectiveValue?

Added a docstring

odow

I guess #870 is going to be merged first, and then this rebased on-top?

blegat added Type: Enhancement Submodule: Bridges About the Bridges submodule labels Jul 13, 2019

blegat force-pushed the bl/variable_bridge branch 4 times, most recently from bd63ad3 to 20a0265 Compare July 22, 2019 01:36

blegat force-pushed the bl/variable_bridge branch 6 times, most recently from ecc3c56 to b9ca024 Compare August 6, 2019 07:47

blegat force-pushed the bl/variable_bridge branch 8 times, most recently from 98d020b to 06ab49a Compare August 9, 2019 20:00

blegat force-pushed the bl/objective_bridge branch from b5e49c7 to 3a22a57 Compare August 29, 2019 14:01

blegat marked this pull request as ready for review August 29, 2019 14:01

blegat changed the base branch from bl/variable_bridge to master August 29, 2019 14:02

blegat force-pushed the bl/objective_bridge branch 2 times, most recently from e7f21a7 to 61b22cc Compare August 29, 2019 16:48

blegat added this to the v0.9.2 milestone Sep 1, 2019

blegat force-pushed the bl/objective_bridge branch from 1422bc9 to e47d235 Compare September 1, 2019 07:42

blegat force-pushed the bl/objective_bridge branch 2 times, most recently from bf29a46 to e3f6c93 Compare September 1, 2019 10:13

blegat mentioned this pull request Sep 3, 2019

Problem with MOI_wrapper jump-dev/CSDP.jl#44

Closed

blegat force-pushed the bl/objective_bridge branch 2 times, most recently from ecded8e to 2ec0202 Compare September 3, 2019 15:46

blegat mentioned this pull request Sep 3, 2019

Define objective bridge and objective map #867

Merged

odow reviewed Sep 4, 2019

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blegat force-pushed the bl/objective_bridge branch from 2ec0202 to aa618fc Compare September 4, 2019 15:51

odow reviewed Sep 4, 2019

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Comment thread src/Bridges/Objective/functionize.jl

Comment thread src/Bridges/Objective/functionize.jl

blegat added 3 commits September 4, 2019 20:50

Add Objective bridges

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Address @odow comments

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blegat force-pushed the bl/objective_bridge branch from aa618fc to f96a3dc Compare September 4, 2019 18:54

odow approved these changes Sep 4, 2019

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Add tests

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blegat force-pushed the bl/objective_bridge branch from 4fcf55b to ccba971 Compare September 4, 2019 21:58

Add tests

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blegat merged commit 8d971fb into master Sep 5, 2019

blegat deleted the bl/objective_bridge branch October 10, 2019 14:22

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blegat commented Jul 13, 2019

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