SCIP: QP objective

Represent as 1 constraint (was split before) Also: fix obj sense propagation using obj weights in obj:multi mode #239
ampl · Jul 29, 2024 · 26002c4 · 26002c4
1 parent 7fbc241
commit 26002c4
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Showing 5 changed files with 62 additions and 19 deletions.
diff --git a/include/mp/flat/converter.h b/include/mp/flat/converter.h
@@ -101,6 +101,23 @@ class FlatConverter :
     }
   }
 
+  /// Propagate objective contexts
+  void PropagateObjContexts() {
+    const auto& objs = MPD( get_objectives() );
+    const auto objwgt = MPD( GetMOWeights() );
+    if (GetEnv().multiobj())               // only in obj:multi mode
+      assert(objs.size() == objwgt.size());
+    for (size_t i=0; i<objs.size(); ++i) {
+      auto isMax = obj::MAX==objs[i].obj_sense();
+      if (GetEnv().multiobj() && objwgt[i]<0.0)   // only in obj:multi
+        isMax = !isMax;
+      auto ctx = isMax ? Context::CTX_POS : Context::CTX_NEG;
+      MPD( PropagateResult2LinTerms(objs[i].GetLinTerms(),
+                          MPD( MinusInfty() ), MPD( Infty() ), ctx) );
+      MPD( PropagateResult2QuadTerms(objs[i].GetQPTerms(),
+                          MPD( MinusInfty() ), MPD( Infty() ), ctx) );
+    }
+  }
 
 public:
   //////////////////////////////////// VISITOR ADAPTERS /////////////////////////////////////////

diff --git a/include/mp/flat/converter_multiobj.h b/include/mp/flat/converter_multiobj.h
@@ -118,10 +118,6 @@ class MOManager {
     std::vector<int> objpr = MPD( ReadIntSuffix( {"objpriority", suf::OBJ} ) );  // int only
     objpr.resize(obj_orig.size(), 0.0);               // blend objectives by default
     std::vector<double> objwgt = MPD( GetMOWeightsLegacy() );
-    if (objwgt.empty()) {
-      objwgt.resize(obj_orig.size(), 1.0);            // Default "intuitive" weights
-      FlipDiffSenseSigns(objwgt);                     // We handle "legacy" format below
-    }
     std::vector<double> objtola = MPD( ReadDblSuffix( {"objabstol", suf::OBJ} ) );
     objtola.resize(obj_orig.size(), 0.0);
     std::vector<double> objtolr = MPD( ReadDblSuffix( {"objreltol", suf::OBJ} ) );
@@ -237,9 +233,29 @@ class MOManager {
     MPD( SetObjectiveTo( MPD(GetModelAPI()), 0, obj_new_[i_current_obj_]) );
   }
 
+  /// The "intuitive" objective weights
+  /// @return Always a full vector (for all objs)
+  /// @note All these methods assume the obj list is completed
+  ArrayRef<double> GetMOWeights() {
+    std::vector<double> objwgt = MPD( GetMOWeightsLegacy() );
+    const auto& obj_orig = MPD( get_objectives() );   // no linking
+    if (objwgt.empty()) {
+      objwgt.resize(obj_orig.size(), 1.0);            // Default "intuitive" weights
+    } else {
+      FlipDiffSenseSigns(objwgt);                     // We handle "legacy" format below
+    }
+    return objwgt;
+  }
+
+  /// @return Legacy weights (relative to the 1st obj),
+  ///   if .objweight provided, or default
   ArrayRef<double> GetMOWeightsLegacy() {
     std::vector<double> objw = MPD( ReadDblSuffix( {"objweight", suf::OBJ} ) );
-    if (objw.size() && 2==MPD( GetEnv() ).multiobj_weight()) {   // user wants "intuitive"
+    const auto& obj_orig = MPD( get_objectives() );   // no linking
+    if (objw.empty()) {
+      objw.resize(obj_orig.size(), 1.0);            // Default "intuitive" weights
+      FlipDiffSenseSigns(objw);            // Backend / Emulator want "legacy"
+    } else if (2==MPD( GetEnv() ).multiobj_weight()) {   // user gave "intuitive" values
       FlipDiffSenseSigns(objw);            // Backend / Emulator want "legacy"
     }
     return objw;
@@ -248,9 +264,11 @@ class MOManager {
   /// Convert between the options of obj:multi:weight
   void FlipDiffSenseSigns(std::vector<double>& objw) {
     const auto& obj = MPD( get_objectives() );
-    for (auto i=obj.size(); --i; )             // forall i>1
-      if (obj[i].obj_sense() != obj.front().obj_sense())
-        objw[i] = -objw[i];
+    if (obj.size() > 1) {
+      for (auto i=obj.size(); --i; )             // forall i>1
+        if (obj[i].obj_sense() != obj.front().obj_sense())
+          objw[i] = -objw[i];
+    }
   }
 
 private:

diff --git a/include/mp/flat/problem_flattener.h b/include/mp/flat/problem_flattener.h
@@ -174,6 +174,7 @@ class ProblemFlattener :
         MPD( ExportObj(i) );
         MP_DISPATCH( Convert( GetModel().obj(i) ) );
       }
+    GetFlatCvt().PropagateObjContexts();      // all now, because of GetMOWeights()
 
     ////////////////////////// Algebraic constraints
     ifFltCon_ = 1;
@@ -340,17 +341,18 @@ class ProblemFlattener :
     }
     /// Sort/merge terms, otherwise we lose repeated terms
     /// in Gurobi where we just set 'obj attributes'
-    /// to variables
+    /// to variables.
+    /// Context is propagated after adding all objectives.
     le.sort_terms();
     eexpr.GetQPTerms().sort_terms();
-    /// Propagate context
-    auto ctx = obj::MAX==obj.type() ? Context::CTX_POS : Context::CTX_NEG;
-    GetFlatCvt().PropagateResult2LinTerms(le,
-                                          GetFlatCvt().MinusInfty(),
-                                          GetFlatCvt().Infty(), ctx);
-    GetFlatCvt().PropagateResult2QuadTerms(eexpr.GetQPTerms(),
-                                           GetFlatCvt().MinusInfty(),
-                                           GetFlatCvt().Infty(), ctx);
+    if (!GetFlatCvt().IfPassQuadObj()            // SCIP 10
+        && eexpr.GetQPTerms().size()) {
+      EExpr qpnew;
+      qpnew.GetQPTerms() = std::move(eexpr.GetQPTerms());
+      int qpres = Convert2Var(std::move(qpnew));
+      eexpr.GetQPTerms().clear();                // explicitly remove obj qp terms
+      le.add_term(1.0, qpres);
+    }
     /// Add linear / quadratic obj
     LinearObjective lo { obj.type(),
           std::move(le.coefs()), std::move(le.vars()) };
@@ -1200,7 +1202,10 @@ class ProblemFlattener :
   /// What about common expressions?
   int IfMultOutQPTerms() const {
     return IfFlatteningAConstraint() ?
-          GetFlatCvt().IfPassQuadCon() : GetFlatCvt().IfPassQuadObj();
+          GetFlatCvt().IfPassQuadCon() :
+               // For objectives, still multiply out
+               // if we move the QP terms into contraints (SCIP)
+               ( GetFlatCvt().IfPassQuadObj() || GetFlatCvt().IfPassQuadCon() );
   }
 
   /// Quadratize Pow2 exactly when we pass QP terms

diff --git a/test/end2end/cases/categorized/fast/qp/modellist.json b/test/end2end/cases/categorized/fast/qp/modellist.json
@@ -82,7 +82,8 @@
     "tags" : ["quadratic_obj"],
     "options": {
       "highs_options": "timelim=3",
-      "comment_highs": "takes too long as of Sept 2022"
+      "comment_highs": "takes too long as of Sept 2022",
+      "scip_options": "timelim=3"
     }
   },
   {

diff --git a/test/end2end/scripts/python/Solver.py b/test/end2end/scripts/python/Solver.py
@@ -1028,6 +1028,8 @@ def _setNThreads(self, threads):
     def __init__(self, exeName, timeout=None, nthreads=None, otherOptions=None):
         stags = {ModelTags.continuous, ModelTags.integer, ModelTags.binary, 
                  ModelTags.quadratic,
+                 ModelTags.quadratic_obj,
+                 ModelTags.quadratic_obj_nonconvex,
                  ModelTags.quadraticnonconvex,
                  ModelTags.socp, ModelTags.socp_hard_to_recognize,
                  ModelTags.sos,