[WIP] Integrate with POI to improve UX #262
Open
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
|
Last commit is an attempt to solve the error raised by: using JuMP, DiffOpt, HiGHS
b = [1.0, 2.0]
m = Model(
() -> DiffOpt.diff_optimizer(
HiGHS.Optimizer;
with_parametric_opt_interface = true,
),
)
@variable(m, x[1:2] >= 0)
@variable(m, c[1:2] in MOI.Parameter.(b))
@constraint(m, con, x <= c)
@objective(m, Max, sum(x))
optimize!(m)
MOI.set(m, DiffOpt.ReverseVariablePrimal(), m[:x][1], 1.0)
DiffOpt.reverse_differentiate!(m)which is: |
|
this still fails using JuMP, DiffOpt, SCS, LinearAlgebra
num_A = 2
##### SecondOrderCone #####
_x_hat = rand(num_A)
μ = rand(num_A) * 10
Σ_12 = rand(num_A, num_A)
Σ = Σ_12 * Σ_12' + 0.1 * I
γ = 1.0
model = direct_model(
DiffOpt.diff_optimizer(
SCS.Optimizer;
with_parametric_opt_interface = true,
),
)
# model = direct_model(POI.Optimizer(DiffOpt.diff_optimizer(SCS.Optimizer)))
set_silent(model)
@variable(model, x[1:num_A])
@variable(model, x_hat[1:num_A] in MOI.Parameter.(_x_hat))
@variable(model, norm_2)
# (x - x_hat)^T Σ^-1 (x - x_hat) <= γ
@constraint(
model,
(x - μ)' * inv(Σ) * (x - μ) <= γ,
)
# norm_2 >= ||x - x_hat||_2
@constraint(model, [norm_2; x - x_hat] in SecondOrderCone())
@objective(model, Min, norm_2)
optimize!(model)
# MOI.set.(model, POI.ForwardParameter(), x_hat, ones(num_A))
MOI.set.(model, DiffOpt.ForwardConstraintSet(), ParameterRef.(x_hat), 1)
DiffOpt.forward_differentiate!(model) # ERRORwith: if we switch to @objective(model, Min, 3*norm_2)it works. so it looks like a VariableIndex typed objective. Found a MWE: model = Model(
() -> DiffOpt.diff_optimizer(
SCS.Optimizer;
with_parametric_opt_interface = true,
),
)
MOI.set(model, DiffOpt.ModelConstructor(), DiffOpt.ConicProgram.Model)
set_silent(model)
@variable(model, x)
@variable(model, p in Parameter(3.0))
@constraint(model, cons, x >= 3 * p)
@objective(model, Min, x)
optimize!(model)
DiffOpt.set_forward_parameter(model, p, 1)
DiffOpt.forward_differentiate!(model)the issue is conic backend + VariabelIndex objective |
|
@blegat, Looking at So the error might be where the bridge is being triggered? if I add: the error goes away, but I am not sure if this is correct. |
5 tasks
|
Maybe we need to start reviving #253 otherwise we'll spend time on a fix that will need to be updated once we merge it |
|
Agreed! |
|
Let me know if rebasing on master fixed the error |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Add multiple improvements to DiffOpt leading to a massive UX improvement.
with_parametric_opt_interface = trueusing Prepare integration with DiffOpt ParametricOptInterface.jl#161method(maybe switch tomodel_constructor)empty_input_sensitivities!About the integration with POI:
with_parametric_opt_interfaceis false by default, for now. I want to make it true.(Forward/Reverse)ConstraintSetforMOI.Parametersis supported (ObjectiveFunctionandConstraintFunctionare not supported)ConstraintSetonly woks forMOI.Parameters. We can addEqualToetc in a future PR.TODO:
set_forward_parameter,set_forwardor onlyMOI. .... The first two make total sense for JuMP users, the MOI method will remain in the code for MOI users and extensions. I am strongly in favor of a JuMP-like method.