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Split linear program and quad programs (#246)
* Split linear program and quad programs * Update linear_program.jl --------- Co-authored-by: Oscar Dowson <[email protected]>
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| # Copyright (c) 2020: Akshay Sharma and contributors | ||
| # | ||
| # Use of this source code is governed by an MIT-style license that can be found | ||
| # in the LICENSE.md file or at https://opensource.org/licenses/MIT. | ||
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| module TestLinearProgram | ||
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| using Test | ||
| import DiffOpt | ||
| import HiGHS | ||
| import Ipopt | ||
| import MathOptInterface as MOI | ||
| import SCS | ||
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| const ATOL = 2e-4 | ||
| const RTOL = 2e-4 | ||
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| function runtests() | ||
| for name in names(@__MODULE__; all = true) | ||
| if startswith("$name", "test_") | ||
| @testset "$(name)" begin | ||
| getfield(@__MODULE__, name)() | ||
| end | ||
| end | ||
| end | ||
| return | ||
| end | ||
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| include(joinpath(@__DIR__, "utils.jl")) | ||
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| function test_differentiating_LP_checking_gradients_for_non_active_contraints() | ||
| # Issue #40 from Gurobi.jl | ||
| # min x | ||
| # s.t. x >= 0 | ||
| # x >= 3 | ||
| nz = 1 | ||
| qp_test_with_solutions( | ||
| HiGHS.Optimizer; | ||
| q = ones(nz), | ||
| G = -ones(2, nz), | ||
| h = [0.0, -3.0], | ||
| dzb = ones(nz), | ||
| dqf = ones(nz), | ||
| # Expected solutions | ||
| dGb = [0.0, 3.0], | ||
| dhb = [0.0, -1.0], | ||
| ) | ||
| return | ||
| end | ||
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| function test_differentiating_a_simple_LP_with_GreaterThan_constraint() | ||
| # this is canonically same as above test | ||
| # min x | ||
| # s.t. x >= 3 | ||
| nz = 1 | ||
| qp_test_with_solutions( | ||
| Ipopt.Optimizer; | ||
| q = ones(nz), | ||
| G = -ones(1, nz), | ||
| h = [-3.0], | ||
| dzb = ones(nz), | ||
| dqf = ones(nz), | ||
| # Expected solutions | ||
| dGb = [3.0], | ||
| dhb = [-1.0], | ||
| ) | ||
| return | ||
| end | ||
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| function test_differentiating_lp() | ||
| # refered from - https://en.wikipedia.org/wiki/Simplex_algorithm#Example | ||
| # max 2x + 3y + 4z | ||
| # s.t. 3x+2y+z <= 10 | ||
| # 2x+5y+3z <= 15 | ||
| # x,y,z >= 0 | ||
| nz = 3 | ||
| qp_test_with_solutions( | ||
| SCS.Optimizer; | ||
| q = [-2.0, -3.0, -4.0], | ||
| G = [ | ||
| 3.0 2.0 1.0 | ||
| 2.0 5.0 3.0 | ||
| -1.0 0.0 0.0 | ||
| 0.0 -1.0 0.0 | ||
| 0.0 0.0 -1.0 | ||
| ], | ||
| h = [10.0, 15.0, 0.0, 0.0, 0.0], | ||
| dzb = ones(nz), | ||
| dqf = ones(nz), | ||
| # Expected solutions | ||
| dqb = zeros(nz), | ||
| dGb = [ | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 -5/3 | ||
| 0.0 0.0 5/3 | ||
| 0.0 0.0 -10/3 | ||
| 0.0 0.0 0.0 | ||
| ], | ||
| dhb = [0.0, 1 / 3, -1 / 3, 2 / 3, 0.0], | ||
| ) | ||
| return | ||
| end | ||
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| function test_differentiating_LP_with_variable_bounds() | ||
| # max 2x + 3y + 4z | ||
| # s.t. 3x+2y+z <= 10 | ||
| # 2x+5y+3z <= 15 | ||
| # x ≤ 3 | ||
| # 0 ≤ y ≤ 2 | ||
| # z ≥ 2 | ||
| # x,y,z >= 0 | ||
| # variant of previous test with same solution | ||
| nz = 3 | ||
| qp_test_with_solutions( | ||
| HiGHS.Optimizer; | ||
| q = [-2.0, -3.0, -4.0], | ||
| G = [ | ||
| 3.0 2.0 1.0 | ||
| 2.0 5.0 3.0 | ||
| -1.0 0.0 0.0 | ||
| 0.0 -1.0 0.0 | ||
| 0.0 0.0 -1.0 | ||
| 1.0 0.0 0.0 | ||
| 0.0 1.0 0.0 | ||
| 0.0 0.0 1.0 | ||
| ], | ||
| h = [10.0, 15.0, 0.0, 0.0, 0.0, 3.0, 2.0, 6.0], | ||
| dzb = ones(nz), | ||
| dqf = ones(nz), | ||
| # Expected solutions | ||
| dqb = zeros(nz), | ||
| dGb = [ | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 -5/3 | ||
| 0.0 0.0 5/3 | ||
| 0.0 0.0 -10/3 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| ], | ||
| dhb = [0.0, 1 / 3, -1 / 3, 2 / 3, 0.0, 0.0, 0.0, 0.0], | ||
| ) | ||
| return | ||
| end | ||
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| function test_differentiating_LP_with_variable_bounds_2() | ||
| nz = 3 | ||
| qp_test_with_solutions( | ||
| HiGHS.Optimizer; | ||
| q = [-2.0, -3.0, -4.0], | ||
| G = [ | ||
| 3.0 2.0 1.0 | ||
| 2.0 5.0 3.0 | ||
| 0.0 -1.0 0.0 | ||
| 0.0 0.0 -1.0 | ||
| ], | ||
| h = [10.0, 15.0, 0.0, 0.0], | ||
| fix_indices = [1], | ||
| fix_values = [0.0], | ||
| dzb = ones(nz), | ||
| dqf = ones(nz), | ||
| # Expected solutions | ||
| dqb = zeros(nz), | ||
| dGb = [ | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 -5/3 | ||
| 0.0 0.0 -10/3 | ||
| 0.0 0.0 0.0 | ||
| ], | ||
| dhb = [0.0, 1 / 3, 2 / 3, 0.0], | ||
| dAb = [0.0 0.0 -5 / 3], | ||
| dbb = [1 / 3], | ||
| ) | ||
| return | ||
| end | ||
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| """ | ||
| max 2x + 3y + 4z | ||
| s.t. 3x+2y+z <= 10 | ||
| 2x+5y+3z <= 15 | ||
| x ≤ 3 | ||
| 0 ≤ y ≤ 2 | ||
| 6 ≥ z ≥ -1 | ||
| x, y, z >= 0 | ||
| variant of previous test with same solution | ||
| """ | ||
| function test_differentiating_lp_with_saf_with_le_ge_constraints() | ||
| nz = 3 | ||
| qp_test_with_solutions( | ||
| HiGHS.Optimizer; | ||
| q = [-2.0, -3.0, -4.0], | ||
| G = [ | ||
| 3.0 2.0 1.0 | ||
| 2.0 5.0 3.0 | ||
| -1.0 0.0 0.0 | ||
| 0.0 -1.0 0.0 | ||
| 0.0 0.0 -1.0 | ||
| ], | ||
| h = [10.0, 15.0, 0.0, 0.0, 0.0], #5 | ||
| ub_indices = [1, 2, 3], | ||
| ub_values = [3.0, 2.0, 6.0], | ||
| lb_indices = [1], | ||
| lb_values = [-1.0], | ||
| dzb = ones(nz), | ||
| dqb = zeros(nz), | ||
| dGb = [ | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 -5/3 | ||
| 0.0 0.0 5/3 | ||
| 0.0 0.0 -10/3 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| 0.0 0.0 0.0 | ||
| ], | ||
| dhb = [0.0, 1 / 3, -1 / 3, 2 / 3, 0.0, 0.0, 0.0, 0.0, 0.0], | ||
| ) | ||
| return | ||
| end | ||
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| function test_differentiating_lp_with_nonactive_constraints() | ||
| # Issue #40 from Gurobi.jl | ||
| # min x | ||
| # s.t. x >= 0 | ||
| # x >= 3 | ||
| qp_test_with_solutions( | ||
| HiGHS.Optimizer; | ||
| q = [1.0], | ||
| G = -ones(2, 1), | ||
| h = [0.0, -3.0], | ||
| dzb = -ones(1), | ||
| dhf = [0.0, 1.0], | ||
| # Expected solutions | ||
| z = [3.0], | ||
| λ = [0.0, 1.0], | ||
| dzf = -ones(1), | ||
| dλb = zeros(2), | ||
| dhb = [0.0, 1.0], | ||
| ∇zb = zeros(1), | ||
| ∇λb = [0.0, -1.0], | ||
| dλf = zeros(2), | ||
| ) | ||
| return | ||
| end | ||
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| end # module | ||
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| TestLinearProgram.runtests() |
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