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DNMY: MOI #125

Merged
merged 43 commits into from
Jul 24, 2018
Merged

DNMY: MOI #125

merged 43 commits into from
Jul 24, 2018

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odow
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@odow odow commented Apr 27, 2018 •
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This PR

I've copied the code from https://github.com/JuliaOpt/MathOptInterfaceGurobi.jl

MOI tests currently fail.

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@mlubin
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mlubin commented Apr 27, 2018

What about tagging a new release that covers 8.0 before merging this?

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mlubin commented Apr 27, 2018

Also dropping julia 0.5...

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odow commented Apr 27, 2018

Yes I was about to ask that. Shall we leave Julia 0.5, tag as v0.3.4, then drop julia 0.5, merge this and tag as v0.4.0?

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mlubin commented Apr 27, 2018

AFAIK we can't even tag a new version that claims to support 0.5. So drop 0.5 and tag Gurobi.jl 0.4.

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odow commented Apr 27, 2018

Tests are green!

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blegat commented Apr 27, 2018

We decided on the name MOIWrapper.jl (hence also MPBWrapper.jl) for both the file in src and test. Do you agree on the naming or do you have a reason to use MathOptInterface/mathoptinterface_wrapper.jl instead ?

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odow commented Apr 27, 2018

Renamed to MOIWrapper.jl in src and test. However I've left the MPB tests in the folder since they are in lots of different files.

@odow odow changed the title WIP: Add code from MathOptInterfaceGurobi and reorganise DNMY: Add code from MathOptInterfaceGurobi and reorganise Apr 28, 2018
@odow odow changed the title DNMY: Add code from MathOptInterfaceGurobi and reorganise DNMY: MOI Apr 28, 2018
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rdeits commented May 10, 2018

I'm getting the same issue here as in jump-dev/GLPK.jl#53 (comment) : I can set @objective model Min x + 1 but not @objective model Min x due to Unsupported attribute MathOptInterface.ObjectiveFunction{MathOptInterface.SingleVariable}(). Or maybe I'm misunderstanding how the new MOI should be used?

@odow odow mentioned this pull request May 12, 2018
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odow
odow commented May 17, 2018
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test/MOIWrapper.jl Outdated
nothing
end

MOI.set!(m, Gurobi.CallbackFunction(), callback_function)
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@joaquimg @mlubin: callbacks in MOI.

odow
odow commented Jun 6, 2018
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test/MOIWrapper.jl
# (0,0) +---+---+ (2,0)
TOL = 1e-6 # Allow for some impreciseness in the solution
if y_val - x_val > 1 + TOL
Gurobi.cblazy!(cb_data, m,
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@mlubin @joaquimg @blegat

Lazy constraints through MOI

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Oarsome!

odow
odow commented Jun 6, 2018
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test/MOIWrapper.jl Outdated
if cb_where == Gurobi.CB_MIPSOL
sol = [0.0, 0.0]
Gurobi.cbget_mipsol_sol(cb_data, cb_where, sol)
x_val, y_val = sol
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@odow odow Jun 6, 2018 •
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The only thing is it's not clear how to inject the MIP solution back into MOI-land so that it can be queried via VariablePrimal

@odow odow mentioned this pull request Jun 24, 2018
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@rdeits rdeits mentioned this pull request Jun 26, 2018
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odow commented Jun 28, 2018

This is now rebased on to master.

See jump-dev/MathOptInterface.jl#404, JuliaOpt/LinQuadOptInterface.jl#30, JuliaOpt/LinQuadOptInterface.jl#31 for the commented tests

@rdeits rdeits mentioned this pull request Jul 18, 2018
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tkoolen commented Jul 18, 2018

This (or LQOI) has an issue with duplicate terms in the affine part of the objective function:

using MathOptInterface
using Gurobi
using Compat.Test

const MOI = MathOptInterface

atol = 1e-4
rtol = 1e-8

# Minimize (x - 1.5)^2 = x^2 - 3 * x + 2.25
model = GurobiOptimizer(OutputFlag=0)
v = MOI.addvariables!(model, 1)

# this works:
# obj = MOI.ScalarQuadraticFunction([MOI.ScalarAffineTerm(-3.0, v[1])], MOI.ScalarQuadraticTerm.(2.0, v, v), 2.25)

# this doesn't:
obj = MOI.ScalarQuadraticFunction([MOI.ScalarAffineTerm(-1.5, v[1]), MOI.ScalarAffineTerm(-1.5, v[1])], MOI.ScalarQuadraticTerm.(2.0, v, v), 2.25)

MOI.set!(model, MOI.ObjectiveFunction{MOI.ScalarQuadraticFunction{Float64}}(), obj)
MOI.set!(model, MOI.ObjectiveSense(), MOI.MinSense)
MOI.optimize!(model)
@test MOI.get(model, MOI.VariablePrimal(), v) ≈ [1.5] atol=atol rtol=rtol

(This is the reason for tkoolen/Parametron.jl#31 (comment)).

tkoolen
tkoolen reviewed Jul 18, 2018
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src/MOIWrapper.jl
nvars = num_vars(instance.inner)
obj = zeros(Float64, nvars)
for (col, coef) in zip(columns, coefficients)
obj[col] = coef
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This should be a += to support duplicate terms.

tkoolen added a commit to tkoolen/MathOptInterface.jl that referenced this pull request Jul 18, 2018
@tkoolen
Add duplicate terms to linear part of objective in qp2test
a9db7cd 
To catch
jump-dev/Gurobi.jl#125 (comment),
jump-dev/Xpress.jl#22,
jump-dev/GLPK.jl#57.
@tkoolen tkoolen mentioned this pull request Jul 18, 2018
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@rdeits rdeits mentioned this pull request Jul 24, 2018
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odow commented Jul 24, 2018

Since MOI and LQOI are settling down, I'm going to merge this. We can fix up any outstanding issues in separate PRs.

@odow odow merged commit 1b454c8 into master Jul 24, 2018
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rdeits commented Jul 24, 2018

@odow did you resolve the issue with duplicate terms? It's fine if not, but we should open an issue to be sure it doesn't get forgotten.

@odow odow deleted the odow/moi branch July 24, 2018 23:34
This was referenced Jul 24, 2018
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@joaquimg joaquimg joaquimg approved these changes

@tkoolen tkoolen tkoolen left review comments

@blegat blegat blegat approved these changes

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6 participants
@odow @mlubin @blegat @rdeits @tkoolen @joaquimg