Fix how QUADOBJ section written to MPS files

[dansplain]

Fixes: #2122

• Fixed QUADOBJ section in _print_model_MPS function of ProblemWrite_mps class to correctly output only the non-zero elements of the upper (or lower) triangle of the symmetric Q matrix.
• Edited/fixed formatting (consistent with the above) of the QUADOBJ section of the pyomo/repn/tests/mps/column_ordering_quadratic.mps.baseline and pyomo/repn/tests/mps/no_column_ordering_quadratic.mps.baseline files.

Summary/Motivation:

• Closes MPS files - .write() - mischanging QUADOBJ and QMATRIX? #2122
• The quadratic objective terms written in the QUADOBJ section were being incorrectly output in the format for the QMATRIX section, rather than the format for the QUADOBJ section.
• Specifically, the QMATRIX section should include all non-zero terms of the symmetric Q matrix, so for example an X01*X02 term must be accompanied by a matching X02*X01 term.
• While the QUADOBJ section should include only the non-zero terms of the upper (or lower) triangle of the Q matrix, so for example an X01*X02 term will NOT be accompanied by a matching X02*X01 term.
• Note that having the QUADOBJ incorrectly output in the QMATRIX format causes the coefficients of the off-diagonal quadratic terms of the objective function to be off by a factor of 2.
• For further documentation on the correct output for the QUADOBJ section see gurobi docs and cplex docs
• Finally, to see that the current MPS files are being written incorrectly, create a (quadratic objective) pyomo model and solve. Then write that model to an MPS file and solve with a solver. The answers will differ, as shown in the example below.

Example to reproduce error:

# Using model created in pyomo/repn/tests/mps/test_mps.py
import random
from pyomo.environ import (
    ConcreteModel,
    Var,
    Objective,
    Constraint,
    ComponentMap,
    minimize,
    Binary,
    NonNegativeReals,
    NonNegativeIntegers,
    SolverFactory,
    TerminationCondition,
)

# generates an expression in a randomized way so that
# we can test for consistent ordering of expressions
# in the MPS file
def _gen_expression(terms):
    terms = list(terms)
    random.shuffle(terms)
    expr = 0.0
    for term in terms:
        if type(term) is tuple:
            prodterms = list(term)
            random.shuffle(prodterms)
            prodexpr = 1.0
            for x in prodterms:
                prodexpr *= x
            expr += prodexpr
        else:
            expr += term
    return expr

# Function to create model with quadratic objective 
def create_no_column_ordering_quadratic():
    model = ConcreteModel()
    model.a = Var()
    model.b = Var()
    model.c = Var()

    terms = [
        model.a,
        model.b,
        model.c,
        (model.a, model.a),
        (model.b, model.b),
        (model.c, model.c),
        (model.a, model.b),
        (model.a, model.c),
        (model.b, model.c),
    ]
    model.obj = Objective(expr=_gen_expression(terms))
    model.con = Constraint(expr=_gen_expression(terms) <= 1)
    return model

# Function to solve the MPS file output by pyomo with gurobi

def read_and_solve_with_gurobi(mps_file):
    from gurobipy import read, GRB

    # Read the MPS file
    model = read(mps_file)
    # Optimize the model
    model.optimize()
    
    # Print MPS filename
    print(mps_file)
    # Print the solution
    if model.status == GRB.OPTIMAL:
        print("Optimal solution found!")
        print(f"Objective value: {model.objVal}")
    else:
        print("No optimal solution found.")

# Create model and solve in pyomo
m = create_no_column_ordering_quadratic()
solver = SolverFactory('scip')  # You can use other solvers like 'cbc', 'gurobi', etc.
result = solver.solve(m, tee=False)
if result.solver.termination_condition == TerminationCondition.optimal:
    print("Optimal solution found:", m.obj())
else:
    print("Solver did not find an optimal solution.")
# ANS (correct): Optimal solution found: -0.3749998868443072

# write MPS file and read into Gurobi and solve
mps_file = 'pyomo/repn/tests/mps/no_column_ordering_quadratic.mps'
m.write(mps_file, io_options={'symbolic_solver_labels': True})
read_and_solve_with_gurobi(mps_file)
# ANS: Optimal solution found! Objective value: -0.24999983578928786 (incorrect for original pyomo model, because MPS file writes model incorrectly)

Changes proposed in this PR:

• Correct the QUADOBJ section in _print_model_MPS func, such that each line only outputs a single non-zero value in the upper triangle of the symmetric Q matrix.
• Correct QUADOBJ section of pyomo/repn/tests/mps/column_ordering_quadratic.mps.baseline and pyomo/repn/tests/mps/no_column_ordering_quadratic.mps.baseline files.

Legal Acknowledgement

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1. I agree my contributions are submitted under the BSD license.
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[dansplain]

@mrmundt It seems the tests are failing because the *_column_ordering_quadratic.mps.baseline files themselves are formatted incorrectly as well (again, in the format for QMATRIX rather than QUADOBJ). I will convert to draft while I update the appropriate test files.

[dansplain]

@mrmundt this is ready for review now, with updated *quadratic.mps.baseline files so the tests will pass. Thank you!

[dansplain]

Hello @mrmundt and @blnicho - Please let me know if there is anything else I can help with for this PR, or if it is ready to be reviewed from your perspective. Thank you!

[blnicho]

@dansplain we're working on resolving a few broken tests stemming from one of our optional dependencies. Once our testing infrastructure is passing again, we should be able to get this reviewed and merged.

[jsiirola]

Sorry it took so long to get to this -- this looks good! I went through all the documentation (after swapping the MPS writer back into core), and I believe that this is the correct fix.