Add QPBlockData

docs/src/submodules/Nonlinear/reference.md

@@ -72,6 +72,10 @@ Nonlinear.AbstractAutomaticDifferentiation
 Nonlinear.ExprGraphOnly
 Nonlinear.SparseReverseMode
 Nonlinear.SymbolicMode
+Nonlinear.QPBlockData
+Nonlinear.ModelWithQuad
+Nonlinear.EvaluatorWithQuad
+
 ```
 
 ## Data-structure

docs/src/submodules/Utilities/reference.md

@@ -35,8 +35,10 @@ Utilities.ObjectiveContainer
 ### `.variables`
 
 ```@docs
+Utilities.AbstractVectorBounds
 Utilities.VariablesContainer
 Utilities.FreeVariables
+Utilities.variable_bounds
 ```
 
 ### `.constraints`
@@ -127,6 +129,7 @@ Utilities.load_constants
 Utilities.function_constants
 Utilities.set_from_constants
 Utilities.modify_constants
+Utilities.constraint_bounds
 ```
 
 ```@docs

src/Nonlinear/Nonlinear.jl

@@ -42,4 +42,8 @@ include("evaluator.jl")
 include("ReverseAD/ReverseAD.jl")
 include("SymbolicAD/SymbolicAD.jl")
 
+include("qp_block_data.jl")
+include("model_with_quad.jl")
+include("model_with_oracles.jl")
+
 end  # module

src/Nonlinear/evaluator.jl

@@ -148,16 +148,21 @@ function MOI.constraint_expr(evaluator::Evaluator, i::Int)
     end
 end
 
+function _objective_sign(sense)
+    return sense == MOI.MAX_SENSE ? -1 : sense == MOI.MIN_SENSE ? 1 : 0
+end
+
 function MOI.eval_objective(evaluator::Evaluator, x)
     start = time()
     obj = MOI.eval_objective(evaluator.backend, x)
     evaluator.eval_objective_timer += time() - start
-    return obj
+    return _objective_sign(evaluator.model.objective_sense) * obj
 end
 
 function MOI.eval_objective_gradient(evaluator::Evaluator, g, x)
     start = time()
     MOI.eval_objective_gradient(evaluator.backend, g, x)
+    g .*= _objective_sign(evaluator.model.objective_sense)
     evaluator.eval_objective_gradient_timer += time() - start
     return
 end
@@ -219,7 +224,8 @@ end
 
 function MOI.eval_hessian_lagrangian(evaluator::Evaluator, H, x, σ, μ)
     start = time()
-    MOI.eval_hessian_lagrangian(evaluator.backend, H, x, σ, μ)
+    objective_sign = _objective_sign(evaluator.model.objective_sense)
+    MOI.eval_hessian_lagrangian(evaluator.backend, H, x, objective_sign * σ, μ)
     evaluator.eval_hessian_lagrangian_timer += time() - start
     return
 end
@@ -252,7 +258,15 @@ function MOI.eval_hessian_lagrangian_product(
     μ,
 )
     start = time()
-    MOI.eval_hessian_lagrangian_product(evaluator.backend, H, x, v, σ, μ)
+    objective_sign = _objective_sign(evaluator.model.objective_sense)
+    MOI.eval_hessian_lagrangian_product(
+        evaluator.backend,
+        H,
+        x,
+        v,
+        objective_sign * σ,
+        μ,
+    )
     evaluator.eval_hessian_lagrangian_timer += time() - start
     return
 end

src/Nonlinear/model.jl

@@ -10,7 +10,12 @@ function MOI.empty!(model::Model)
     empty!(model.constraints)
     empty!(model.parameters)
     model.operators = OperatorRegistry()
+    model.objective_sense = MOI.FEASIBILITY_SENSE
+    model.moi_objective = nothing
+    empty!(model.moi_functions)
+    empty!(model.constraint_dual_start)
     model.last_constraint_index = 0
+    model.has_deleted_constraint = false
     return
 end
 
@@ -21,9 +26,14 @@ function MOI.is_empty(model::Model)
            isempty(model.parameters) &&
            isempty(model.operators.registered_univariate_operators) &&
            isempty(model.operators.registered_multivariate_operators) &&
+           model.objective_sense == MOI.FEASIBILITY_SENSE &&
+           model.moi_objective === nothing &&
+           isempty(model.moi_functions) &&
+           isempty(model.constraint_dual_start) &&
            model.last_constraint_index === Int64(0)
 end
 
+_parameter_values(model::Model) = model.parameters
 function Base.copy(::Model)
     return error("Copying nonlinear problems not yet implemented")
 end
@@ -69,14 +79,30 @@ julia> MOI.Nonlinear.set_objective(model, nothing)
 """
 function set_objective(model::Model, obj)
     model.objective = parse_expression(model, obj)
+    model.moi_objective = obj isa MOI.ScalarNonlinearFunction ? obj : nothing
+    if model.objective_sense == MOI.FEASIBILITY_SENSE
+        model.objective_sense = MOI.MIN_SENSE
+    end
     return
 end
 
 function set_objective(model::Model, ::Nothing)
     model.objective = nothing
+    model.moi_objective = nothing
     return
 end
 
+"""
+    model(backend::AbstractAutomaticDifferentiation)
+
+Return a new MOI model appropriate for the automatic-differentiation
+`backend`. Custom backends may overload this method to provide a model that
+stores functions in a backend-specific representation.
+"""
+function model(::AbstractAutomaticDifferentiation)
+    return ModelWithQuad(ModelWithOracles(Model()))
+end
+
 """
     add_expression(model::Model, expr)::ExpressionIndex
 
@@ -148,6 +174,9 @@ function add_constraint(
     model.last_constraint_index += 1
     index = ConstraintIndex(model.last_constraint_index)
     model.constraints[index] = Constraint(f, set)
+    if func isa MOI.ScalarNonlinearFunction
+        model.moi_functions[index] = func
+    end
     return index
 end
 
@@ -191,6 +220,9 @@ A Nonlinear.Model with:
 """
 function delete(model::Model, c::ConstraintIndex)
     delete!(model.constraints, c)
+    delete!(model.moi_functions, c)
+    delete!(model.constraint_dual_start, c)
+    model.has_deleted_constraint = true
     return
 end
 
@@ -202,6 +234,204 @@ function MOI.is_valid(model::Model, index::ConstraintIndex)
     return haskey(model.constraints, index)
 end
 
+# MathOptInterface model API. The legacy `Nonlinear` API above remains
+# available, but model layers and solvers communicate with this model only via
+# these methods.
+
+const _ScalarSet{T} =
+    Union{MOI.GreaterThan{T},MOI.LessThan{T},MOI.EqualTo{T},MOI.Interval{T}}
+
+function MOI.supports_constraint(
+    ::Model,
+    ::Type{MOI.ScalarNonlinearFunction},
+    ::Type{<:_ScalarSet{Float64}},
+)
+    return true
+end
+
+function MOI.add_constraint(
+    model::Model,
+    f::MOI.ScalarNonlinearFunction,
+    s::_ScalarSet{Float64},
+)
+    index = add_constraint(model, f, s)
+    return MOI.ConstraintIndex{typeof(f),typeof(s)}(index.value)
+end
+
+_nonlinear_index(ci::MOI.ConstraintIndex) = ConstraintIndex(ci.value)
+
+function MOI.is_valid(
+    model::Model,
+    ci::MOI.ConstraintIndex{MOI.ScalarNonlinearFunction,S},
+) where {S<:_ScalarSet{Float64}}
+    index = _nonlinear_index(ci)
+    return haskey(model.constraints, index) &&
+           model.constraints[index].set isa S
+end
+
+function MOI.get(
+    model::Model,
+    ::MOI.ListOfConstraintIndices{F,S},
+) where {F<:MOI.ScalarNonlinearFunction,S<:_ScalarSet{Float64}}
+    return MOI.ConstraintIndex{F,S}[
+        MOI.ConstraintIndex{F,S}(index.value) for
+        (index, constraint) in model.constraints if constraint.set isa S
+    ]
+end
+
+function MOI.get(
+    model::Model,
+    ::MOI.NumberOfConstraints{F,S},
+) where {F<:MOI.ScalarNonlinearFunction,S<:_ScalarSet{Float64}}
+    return count(constraint -> constraint.set isa S, values(model.constraints))
+end
+
+function MOI.get(model::Model, ::MOI.ListOfConstraintTypesPresent)
+    types = Tuple{Type,Type}[]
+    for constraint in values(model.constraints)
+        pair = (MOI.ScalarNonlinearFunction, typeof(constraint.set))
+        pair in types || push!(types, pair)
+    end
+    return types
+end
+
+function MOI.get(
+    model::Model,
+    ::MOI.ConstraintFunction,
+    ci::MOI.ConstraintIndex,
+)
+    MOI.throw_if_not_valid(model, ci)
+    return model.moi_functions[_nonlinear_index(ci)]
+end
+
+function MOI.get(model::Model, ::MOI.ConstraintSet, ci::MOI.ConstraintIndex)
+    MOI.throw_if_not_valid(model, ci)
+    return model.constraints[_nonlinear_index(ci)].set
+end
+
+function MOI.set(
+    model::Model,
+    ::MOI.ConstraintSet,
+    ci::MOI.ConstraintIndex,
+    set,
+)
+    MOI.throw_if_not_valid(model, ci)
+    index = _nonlinear_index(ci)
+    constraint = model.constraints[index]
+    model.constraints[index] = Constraint(constraint.expression, set)
+    return
+end
+
+function MOI.Utilities.rows(model::Model, ci::MOI.ConstraintIndex)
+    if model.has_deleted_constraint
+        error(
+            "`MOI.Utilities.rows` is not supported after a constraint has " *
+            "been deleted with `MOI.Nonlinear.delete`. For this reason, ",
+            "`MOI.delete` is not implemented for `MOI.Nonlinear.Model` ",
+            "solvers using this model as backedn shouldn't implement it ",
+            "either.",
+        )
+    end
+    MOI.throw_if_not_valid(model, ci)
+    return ci.value
+end
+
+function MOI.Utilities.constraint_bounds(model::Model)
+    lower = Float64[]
+    upper = Float64[]
+    for constraint in values(model.constraints)
+        bound = _bound(constraint.set)
+        push!(lower, bound.lower)
+        push!(upper, bound.upper)
+    end
+    return MOI.Utilities.Hyperrectangle(lower, upper)
+end
+
+function constraint_dual_starts(model::Model)
+    return Union{Nothing,Float64}[
+        get(model.constraint_dual_start, index, nothing) for
+        index in keys(model.constraints)
+    ]
+end
+
+MOI.supports(::Model, ::MOI.ObjectiveSense) = true
+MOI.get(model::Model, ::MOI.ObjectiveSense) = model.objective_sense
+
+function MOI.set(
+    model::Model,
+    ::MOI.ObjectiveSense,
+    sense::MOI.OptimizationSense,
+)
+    model.objective_sense = sense
+    return
+end
+
+function MOI.supports(
+    ::Model,
+    ::MOI.ObjectiveFunction{MOI.ScalarNonlinearFunction},
+)
+    return true
+end
+
+function MOI.set(
+    model::Model,
+    ::MOI.ObjectiveFunction{MOI.ScalarNonlinearFunction},
+    f::MOI.ScalarNonlinearFunction,
+)
+    sense = model.objective_sense
+    set_objective(model, f)
+    model.objective_sense = sense
+    return
+end
+
+function MOI.get(model::Model, ::MOI.ObjectiveFunctionType)
+    return model.objective === nothing ? nothing : MOI.ScalarNonlinearFunction
+end
+
+function MOI.get(
+    model::Model,
+    ::MOI.ObjectiveFunction{MOI.ScalarNonlinearFunction},
+)
+    return something(model.moi_objective)
+end
+
+MOI.supports(::Model, ::MOI.UserDefinedFunction) = true
+
+function MOI.set(model::Model, attr::MOI.UserDefinedFunction, functions)
+    return register_operator(model, attr.name, attr.arity, functions...)
+end
+
+function MOI.supports(
+    ::Model,
+    ::MOI.ConstraintDualStart,
+    ::Type{<:MOI.ConstraintIndex{MOI.ScalarNonlinearFunction}},
+)
+    return true
+end
+
+function MOI.get(
+    model::Model,
+    ::MOI.ConstraintDualStart,
+    ci::MOI.ConstraintIndex,
+)
+    return get(model.constraint_dual_start, _nonlinear_index(ci), nothing)
+end
+
+function MOI.set(
+    model::Model,
+    ::MOI.ConstraintDualStart,
+    ci::MOI.ConstraintIndex,
+    value::Union{Nothing,Real},
+)
+    index = _nonlinear_index(ci)
+    if value === nothing
+        delete!(model.constraint_dual_start, index)
+    else
+        model.constraint_dual_start[index] = Float64(value)
+    end
+    return
+end
+
 """
     add_parameter(model::Model, value::Float64)::ParameterIndex