Add support for quadratic constraints

[tkoolen]

Unfortunately, I don't think there are currently any MOI optimizers that support modification of quadratic constraints (as I found out after making these changes).

Still useful sans function modification though.

[codecov]

Codecov Report

Merging #92 into master will not change coverage.
The diff coverage is 100%.

@@           Coverage Diff           @@
##           master      #92   +/-   ##
=======================================
  Coverage   98.26%   98.26%           
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  Files           9        9           
  Lines         635      635           
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  Hits          624      624           
  Misses         11       11

Impacted Files	Coverage Δ
src/moi_interop.jl	98.75% <ø> (ø)	⬆️
src/model.jl	97.64% <100%> (ø)	⬆️

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[tkoolen]

@rdeits, there are no free solvers with an MOI interface that supports quadratic constraints, is there?

[rdeits]

Not that I'm aware of. SCS.jl supports conic constraints, but not quadratic ones, as far as I can tell.

[tkoolen]

OK, thanks.

[blegat]

SCS supports quadratic constraints through the QuadtoSOC bridgz but the bridge does not support modification yet

[tkoolen]

OK, great. I'll give that a shot.

[tkoolen]

@blegat, I first tried

optimizer = MOIB.QuadtoSOC{Float64}(SCS.Optimizer(verbose=0))

but that resulted in

ERROR: MathOptInterface.AddVariableNotAllowed: Adding variables cannot be performed. You may want to use a `CachingOptimizer` in `Automatic` mode or you may need to call `resetoptimizer!` before doing this operation if the `CachingOptimizer` is in `Manual` mode.
Stacktrace:
 [1] add_variable(::SCS.Optimizer) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/variables.jl:35
 [2] add_variable(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},SCS.Optimizer}) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:320
 [3] default_copy_to(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},SCS.Optimizer}, ::Parametron.ParametronMOIModel{Float64}, ::Bool) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Utilities/copy.jl:175
 [4] #copy_to#1 at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:91 [inlined]
 [5] copy_to at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:91 [inlined]
 [6] initialize!(::Model{Float64,MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},SCS.Optimizer}}) at /home/twan/.julia/dev/Parametron/src/model.jl:118
 [7] solve!(::Model{Float64,MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},SCS.Optimizer}}) at /home/twan/.julia/dev/Parametron/src/model.jl:153
 [8] top-level scope at ./REPL[47]:2 [inlined]
 [9] top-level scope at ./none:0

I then tried

optimizer = MOIB.QuadtoSOC{Float64}(MOIU.CachingOptimizer(MOIB.QuadtoSOCInstance{Float64}(), SCS.Optimizer(verbose=0)))

but that resulted in

ERROR: MathOptInterface.UnsupportedConstraint{MathOptInterface.VectorAffineFunction{Float64},MathOptInterface.RotatedSecondOrderCone}: `MathOptInterface.VectorAffineFunction{Float64}`-in-`MathOptInterface.RotatedSecondOrderCone` constraints is not supported by the the model.
Stacktrace:
 [1] add_constraint(::MathOptInterface.Bridges.QuadtoSOCInstance{Float64}, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.RotatedSecondOrderCone) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Utilities/model.jl:330
 [2] add_constraint(::MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.RotatedSecondOrderCone) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Utilities/cachingoptimizer.jl:241
 [3] add_constraint(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.RotatedSecondOrderCone) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:300
 [4] MathOptInterface.Bridges.QuadtoSOCBridge{Float64}(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}, ::MathOptInterface.ScalarQuadraticFunction{Float64}, ::MathOptInterface.LessThan{Float64}) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/quadtosocbridge.jl:106
 [5] add_constraint(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}, ::MathOptInterface.ScalarQuadraticFunction{Float64}, ::MathOptInterface.LessThan{Float64}) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:297
 [6] copyconstraints!(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}, ::Parametron.ParametronMOIModel{Float64}, ::Bool, ::MathOptInterface.Utilities.IndexMap, ::Type{MathOptInterface.ScalarQuadraticFunction{Float64}}, ::Type{MathOptInterface.LessThan{Float64}}) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Utilities/copy.jl:145
 [7] default_copy_to(::MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}, ::Parametron.ParametronMOIModel{Float64}, ::Bool) at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Utilities/copy.jl:187
 [8] #copy_to#1 at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:91 [inlined]
 [9] copy_to at /home/twan/.julia/packages/MathOptInterface/zxv73/src/Bridges/bridgeoptimizer.jl:91 [inlined]
 [10] initialize!(::Model{Float64,MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}}) at /home/twan/.julia/dev/Parametron/src/model.jl:118
 [11] solve!(::Model{Float64,MathOptInterface.Bridges.SingleBridgeOptimizer{MathOptInterface.Bridges.QuadtoSOCBridge{Float64},MathOptInterface.Bridges.QuadtoSOCInstance{Float64},MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer,MathOptInterface.Bridges.QuadtoSOCInstance{Float64}}}}) at /home/twan/.julia/dev/Parametron/src/model.jl:153
 [12] top-level scope at ./REPL[61]:2 [inlined]
 [13] top-level scope at ./none:0

Ideally, the first would work, right? I'm not very familiar with this part of MOI, but I noticed this automatic_copy_to function. Should that be used instead of default_copy_to for AbstractBridgeOptimizer?

[tkoolen]

(see this branch: https://github.com/tkoolen/Parametron.jl/tree/tk/scs)

[blegat]

QuadtoSOCInstance is meant to store Quad constraints before being bridged, they cannot store them when bridged (note this is probably going away jump-dev/MathOptInterface.jl#523).
You can try JuMP.JuMPMOIModel instead.
Note that the CachingOptimizer won't be needed once jump-dev/MathOptInterface.jl#523 is implemented as SCS uses the Allocate-Load interface (this is the reason we might modify the OSQP wrapper to use the Allocate-Load interface instead of using a custom implementation of MOIKcopy_to).

[tkoolen]

OK, thanks. I think I might wait until the dust settles a bit then.

we might modify the OSQP wrapper to use the Allocate-Load interface

I think that's fine. I wouldn't expect it to be slower than what's currently there, but if it is a bit slower, no worries. I need the modification functions to be fast and not allocate, but the performance requirements for copy_to aren't as stringent.