Merge pull request #3 from AKS1996/create_utils

create utils.jl; begin testing

src/DiffOpt.jl

@@ -1,5 +1,13 @@
 module DiffOpt
 
-greet() = print("Hello World!")
+using Random
+using MathOptInterface
+
+const MOI = MathOptInterface;
+const MOIU = MathOptInterface.Utilities;
+
+include("utils.jl")
+
+export generate_lp
 
 end # module

src/utils.jl

@@ -0,0 +1,39 @@
+"""
+Generates a non-trivial random MOI linear program by adding variables
+and constraints to MOI compatible Optimizer `optimizer`
+
+minimize `c' * x`
+subject to `Ax <= b, x >= 0`
+where `x in R^{n}, A in R^{m*n}, b in R^{m}, c in R^{n}`
+
+Note: Mutates the `optimizer` object
+"""
+function generate_lp(optimizer,n,m)
+    s = rand(m)
+    s = 2*s .- 1
+    λ = max.(-s, 0)
+    s = max.(s, 0)
+    x̂ = rand(n)
+    A = rand(m, n)
+    b = A * x̂ .+ s
+    c = -A' * λ
+
+    x = MOI.add_variables(optimizer, n)
+
+    # define objective
+    objective_function = MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(c, x), 0.0)
+    MOI.set(optimizer, MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}(), objective_function)
+    MOI.set(optimizer, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+
+    # set constraints
+    for i in 1:m
+        MOI.add_constraint(
+            optimizer,
+            MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(A[i,:], x), 0.), MOI.LessThan(b[i]),
+        )
+    end
+
+    for i in 1:n
+        MOI.add_constraint(optimizer,MOI.SingleVariable(x[i]),MOI.GreaterThan(0.))
+    end
+end

test/runtests.jl

@@ -1,6 +1,10 @@
 using DiffOpt
+using MathOptInterface
 using Test
 
-@testset "DiffOpt.jl" begin
-    # Write your own tests here.
+const MOI = MathOptInterface;
+const MOIU = MathOptInterface.Utilities;
+
+@testset "utils" begin
+    include("utils.jl")
 end

test/utils.jl

@@ -0,0 +1,10 @@
+using GLPK
+
+@testset "Creating an LP" begin
+    model = GLPK.Optimizer()
+    x̂ = generate_lp(model,10,5)
+
+    MOI.optimize!(model)
+
+    @test MOI.get(model, MOI.TerminationStatus()) in [MOI.LOCALLY_SOLVED, MOI.OPTIMAL]
+end