[Bridges] add ExponentialConeToScalarNonlinearFunctionBridge (#2587)

src/Bridges/Constraint/Constraint.jl

@@ -108,6 +108,11 @@ function add_all_bridges(bridged_model, ::Type{T}) where {T}
     MOI.Bridges.add_bridge(bridged_model, SOS1ToMILPBridge{T})
     MOI.Bridges.add_bridge(bridged_model, SOS2ToMILPBridge{T})
     MOI.Bridges.add_bridge(bridged_model, IndicatorToMILPBridge{T})
+
+    MOI.Bridges.add_bridge(
+        bridged_model,
+        ExponentialConeToScalarNonlinearFunctionBridge{T},
+    )
     return
 end
 

src/Bridges/Constraint/bridges/ExponentialConeToScalarNonlinearFunctionBridge.jl

@@ -0,0 +1,161 @@
+# Copyright (c) 2017: Miles Lubin and contributors
+# Copyright (c) 2017: Google Inc.
+#
+# 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.
+
+"""
+    ExponentialConeToScalarNonlinearFunctionBridge{T,F} <:
+        Bridges.Constraint.AbstractBridge
+
+`ExponentialConeToScalarNonlinearFunctionBridge` implements the following
+reformulation:
+
+  * ``(x, y, z) \\in \\textsf{ExponentialCone}()`` to
+    ``y \\cdot exp(x / y)) - z \\le 0``, ``y \\ge 0``.
+
+## Source node
+
+`ExponentialConeToScalarNonlinearFunctionBridge` supports:
+
+  * `F` in [`MOI.ExponentialCone`](@ref)
+
+## Target nodes
+
+`ExponentialConeToScalarNonlinearFunctionBridge` creates:
+
+  * [`MOI.ScalarNonlinearFunction`](@ref) in [`MOI.LessThan{T}`](@ref)
+  * [`MOI.ScalarAffineFunction`](@ref) in [`MOI.GreaterThan{T}`](@ref)
+"""
+mutable struct ExponentialConeToScalarNonlinearFunctionBridge{
+    T,
+    F<:Union{MOI.VectorOfVariables,MOI.VectorAffineFunction{T}},
+} <: AbstractBridge
+    f::F
+    ci::MOI.ConstraintIndex{MOI.ScalarNonlinearFunction,MOI.LessThan{T}}
+    ci_y::MOI.ConstraintIndex{MOI.ScalarAffineFunction{T},MOI.GreaterThan{T}}
+end
+
+const ExponentialConeToScalarNonlinearFunction{T,OT<:MOI.ModelLike} =
+    SingleBridgeOptimizer{ExponentialConeToScalarNonlinearFunctionBridge{T},OT}
+
+function bridge_constraint(
+    ::Type{ExponentialConeToScalarNonlinearFunctionBridge{T,F}},
+    model::MOI.ModelLike,
+    f::F,
+    s::MOI.ExponentialCone,
+) where {T,F<:Union{MOI.VectorOfVariables,MOI.VectorAffineFunction{T}}}
+    x, y, z = MOI.Utilities.scalarize(f)
+    g_x_div_y = MOI.ScalarNonlinearFunction(:/, Any[x, y])
+    g_exp_x_div_y = MOI.ScalarNonlinearFunction(:exp, Any[g_x_div_y])
+    g = MOI.ScalarNonlinearFunction(
+        :-,
+        Any[MOI.ScalarNonlinearFunction(:*, Any[y, g_exp_x_div_y]), z],
+    )
+    ci = MOI.add_constraint(model, g, MOI.LessThan(zero(T)))
+    # We add this as a constraint to avoid conflicting with existing variable
+    # bounds, of which there can be at most one of.
+    ci_y = MOI.add_constraint(model, one(T) * y, MOI.GreaterThan(zero(T)))
+    return ExponentialConeToScalarNonlinearFunctionBridge{T,F}(f, ci, ci_y)
+end
+
+function MOI.supports_constraint(
+    ::Type{<:ExponentialConeToScalarNonlinearFunctionBridge{T}},
+    ::Type{<:Union{MOI.VectorOfVariables,MOI.VectorAffineFunction{T}}},
+    ::Type{MOI.ExponentialCone},
+) where {T}
+    return true
+end
+
+function MOI.Bridges.added_constrained_variable_types(
+    ::Type{ExponentialConeToScalarNonlinearFunctionBridge{T,F}},
+) where {T,F}
+    return Tuple{Type}[]
+end
+
+function MOI.Bridges.added_constraint_types(
+    ::Type{ExponentialConeToScalarNonlinearFunctionBridge{T,F}},
+) where {T,F}
+    return Tuple{Type,Type}[
+        (MOI.ScalarNonlinearFunction, MOI.LessThan{T}),
+        (MOI.ScalarAffineFunction{T}, MOI.GreaterThan{T}),
+    ]
+end
+
+function concrete_bridge_type(
+    ::Type{<:ExponentialConeToScalarNonlinearFunctionBridge{T}},
+    ::Type{F},
+    ::Type{MOI.ExponentialCone},
+) where {T,F<:Union{MOI.VectorOfVariables,MOI.VectorAffineFunction{T}}}
+    return ExponentialConeToScalarNonlinearFunctionBridge{T,F}
+end
+
+function MOI.get(
+    ::MOI.ModelLike,
+    ::MOI.ConstraintFunction,
+    bridge::ExponentialConeToScalarNonlinearFunctionBridge,
+)
+    return copy(bridge.f)
+end
+
+function MOI.get(
+    ::MOI.ModelLike,
+    ::MOI.ConstraintSet,
+    ::ExponentialConeToScalarNonlinearFunctionBridge,
+)
+    return MOI.ExponentialCone()
+end
+
+function MOI.delete(
+    model::MOI.ModelLike,
+    bridge::ExponentialConeToScalarNonlinearFunctionBridge,
+)
+    MOI.delete(model, bridge.ci)
+    MOI.delete(model, bridge.ci_y)
+    return
+end
+
+function MOI.get(
+    ::ExponentialConeToScalarNonlinearFunctionBridge,
+    ::MOI.NumberOfVariables,
+)::Int64
+    return 0
+end
+
+function MOI.get(
+    ::ExponentialConeToScalarNonlinearFunctionBridge,
+    ::MOI.ListOfVariableIndices,
+)::Vector{MOI.VariableIndex}
+    return MOI.VariableIndex[]
+end
+
+function MOI.get(
+    ::ExponentialConeToScalarNonlinearFunctionBridge{T},
+    ::MOI.NumberOfConstraints{MOI.ScalarNonlinearFunction,MOI.LessThan{T}},
+)::Int64 where {T}
+    return 1
+end
+
+function MOI.get(
+    bridge::ExponentialConeToScalarNonlinearFunctionBridge{T},
+    ::MOI.ListOfConstraintIndices{MOI.ScalarNonlinearFunction,MOI.LessThan{T}},
+) where {T}
+    return [bridge.ci]
+end
+
+function MOI.get(
+    ::ExponentialConeToScalarNonlinearFunctionBridge{T},
+    ::MOI.NumberOfConstraints{MOI.ScalarAffineFunction{T},MOI.GreaterThan{T}},
+)::Int64 where {T}
+    return 1
+end
+
+function MOI.get(
+    bridge::ExponentialConeToScalarNonlinearFunctionBridge{T},
+    ::MOI.ListOfConstraintIndices{
+        MOI.ScalarAffineFunction{T},
+        MOI.GreaterThan{T},
+    },
+) where {T}
+    return [bridge.ci_y]
+end

src/Utilities/parser.jl

@@ -244,6 +244,8 @@ function _parsed_to_moi(model, s::Expr)
         return _parsed_scalar_to_moi(model, s.args[2])
     elseif Meta.isexpr(s, :call, 2) && s.args[1] == :VectorNonlinearFunction
         return _parsed_vector_to_moi(model, s.args[2])
+    elseif Meta.isexpr(s, :call, 2) && s.args[1] == :esc
+        return _parsed_to_moi(model, _parse_function(s.args[2], Float64))
     end
     args = Any[_parsed_to_moi(model, arg) for arg in s.args[2:end]]
     return MOI.ScalarNonlinearFunction(s.args[1], args)

test/Bridges/Constraint/ExponentialConeToScalarNonlinearFunctionBridge.jl

@@ -0,0 +1,58 @@
+# Copyright (c) 2017: Miles Lubin and contributors
+# Copyright (c) 2017: Google Inc.
+#
+# 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.
+
+module TestConstraintExponentialConeToScalarNonlinearFunctionBridge
+
+using Test
+
+import MathOptInterface as MOI
+
+function runtests()
+    for name in names(@__MODULE__; all = true)
+        if startswith("$(name)", "test_")
+            @testset "$(name)" begin
+                getfield(@__MODULE__, name)()
+            end
+        end
+    end
+    return
+end
+
+function test_runtests_VectorOfVariables()
+    MOI.Bridges.runtests(
+        MOI.Bridges.Constraint.ExponentialConeToScalarNonlinearFunctionBridge,
+        """
+        variables: x, y, z
+        [x, y, z] in ExponentialCone()
+        """,
+        """
+        variables: x, y, z
+        ScalarNonlinearFunction(y * exp(x / y) - z) <= 0.0
+        1.0 * y >= 0.0
+        """,
+    )
+    return
+end
+
+function test_runtests_VectorAffineFunction()
+    MOI.Bridges.runtests(
+        MOI.Bridges.Constraint.ExponentialConeToScalarNonlinearFunctionBridge,
+        """
+        variables: x, y, z
+        [1.0 * x, 2.0 * y, 3.0 * z + 1.0] in ExponentialCone()
+        """,
+        """
+        variables: x, y, z
+        ScalarNonlinearFunction(esc(2.0 * y) * exp(esc(1.0 * x) / esc(2.0 * y)) - esc(3.0 * z + 1.0)) <= 0.0
+        2.0 * y >= 0.0
+        """,
+    )
+    return
+end
+
+end  # module
+
+TestConstraintExponentialConeToScalarNonlinearFunctionBridge.runtests()