Integrate with JuMP (#12)

* Integrate with JuMP

* Format

Author: blegat

Diff for: .JuliaFormatter.toml

@@ -0,0 +1,8 @@
+# Configuration file for JuliaFormatter.jl
+# For more information, see: https://domluna.github.io/JuliaFormatter.jl/stable/config/
+
+always_for_in = true
+always_use_return = true
+margin = 80
+remove_extra_newlines = true
+short_to_long_function_def = true

Diff for: Project.toml

@@ -1,14 +1,17 @@
 name = "ComplexOptInterface"
 uuid = "25c3070e-1275-41b5-afef-2f982c87090a"
-repo = "https://github.com/jump-dev/ComplexOptInterface.jl.git"
 authors = ["Benoît Legat <[email protected]>"]
+repo = "https://github.com/jump-dev/ComplexOptInterface.jl.git"
 version = "0.0.3"
 
 [deps]
+JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
+LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
 MutableArithmetics = "d8a4904e-b15c-11e9-3269-09a3773c0cb0"
 
 [compat]
+JuMP = "0.23"
 MathOptInterface = "1"
 MutableArithmetics = "1"
 julia = "1.6"

Diff for: README.md

@@ -8,6 +8,23 @@
 | [![Codecov branch][codecov-img]][codecov-url] | [<img src="https://upload.wikimedia.org/wikipedia/en/a/af/Discourse_logo.png" width="64">][discourse-url] |
 
 An extension of MathOptInterface to complex sets.
+
+## How to use
+
+Add to the JuMP model the bridges of this package with `add_all_bridges` and then you can create complex equality constraints and complex hermitian matrices:
+```julia
+using JuMP
+import ComplexOptInterface
+const COI = ComplexOptInterface
+
+model = Model()
+COI.add_all_bridges(model)
+@variable(model, x[1:2, 1:2] in COI.HermitianPSDCone())
+@constraint(model, x[1, 1] + x[2, 2] * im == 1 + 2im)
+```
+
+## Design considerations
+
 There are two types of complex sets:
 1) Some sets have complex entries, i.e. `MOI.EqualTo{Complex{Float64}}`,
 2) Some sets have real entries even if they model a complex mathematical set, i.e.

Diff for: src/Bridges/Constraint/split_equalto.jl

@@ -36,8 +36,12 @@ function MOI.supports_constraint(
 ) where {T}
     return true
 end
-MOIB.added_constrained_variable_types(::Type{<:SplitEqualToBridge}) = Tuple{DataType}[]
-function MOIB.added_constraint_types(::Type{SplitEqualToBridge{T,F,G}}) where {T,F,G}
+function MOIB.added_constrained_variable_types(::Type{<:SplitEqualToBridge})
+    return Tuple{DataType}[]
+end
+function MOIB.added_constraint_types(
+    ::Type{SplitEqualToBridge{T,F,G}},
+) where {T,F,G}
     return Tuple{DataType,DataType}[(F, MOI.EqualTo{T})]
 end
 function MOI.Bridges.Constraint.concrete_bridge_type(
@@ -54,7 +58,8 @@ function MOI.get(
     bridge::SplitEqualToBridge{T,F},
     ::MOI.NumberOfConstraints{F,MOI.EqualTo{T}},
 ) where {T,F}
-    return !isnothing(bridge.real_constraint) + !isnothing(bridge.imag_constraint)
+    return !isnothing(bridge.real_constraint) +
+           !isnothing(bridge.imag_constraint)
 end
 function MOI.get(
     bridge::SplitEqualToBridge{T,F},

Diff for: src/Bridges/Constraint/split_zero.jl

@@ -10,7 +10,8 @@ struct SplitZeroBridge{
 end
 function _nonzero_indices(func::MOI.AbstractVectorFunction)
     return [
-        i for (i, scalar_func) in enumerate(MOIU.scalarize(func)) if !iszero(scalar_func)
+        i for (i, scalar_func) in enumerate(MOIU.scalarize(func)) if
+        !iszero(scalar_func)
     ]
 end
 function MOI.Bridges.Constraint.bridge_constraint(
@@ -50,8 +51,12 @@ function MOI.supports_constraint(
 ) where {T}
     return true
 end
-MOIB.added_constrained_variable_types(::Type{<:SplitZeroBridge}) = Tuple{DataType}[]
-function MOIB.added_constraint_types(::Type{SplitZeroBridge{T,F,G}}) where {T,F,G}
+function MOIB.added_constrained_variable_types(::Type{<:SplitZeroBridge})
+    return Tuple{DataType}[]
+end
+function MOIB.added_constraint_types(
+    ::Type{SplitZeroBridge{T,F,G}},
+) where {T,F,G}
     return Tuple{DataType,DataType}[(F, MOI.Zeros)]
 end
 function MOI.Bridges.Constraint.concrete_bridge_type(
@@ -64,7 +69,10 @@ function MOI.Bridges.Constraint.concrete_bridge_type(
 end
 
 # Attributes, Bridge acting as a model
-function MOI.get(::SplitZeroBridge{T,F}, ::MOI.NumberOfConstraints{F,MOI.Zeros}) where {T,F}
+function MOI.get(
+    ::SplitZeroBridge{T,F},
+    ::MOI.NumberOfConstraints{F,MOI.Zeros},
+) where {T,F}
     return 1
 end
 function MOI.get(
@@ -76,7 +84,7 @@ end
 
 # Indices
 function MOI.delete(model::MOI.ModelLike, bridge::SplitZeroBridge)
-    MOI.delete(model, bridge.constraint)
+    return MOI.delete(model, bridge.constraint)
 end
 
 # Attributes, Bridge acting as a constraint
@@ -85,7 +93,6 @@ function MOI.supports(
     ::Union{MOI.ConstraintPrimalStart,MOI.ConstraintDualStart},
     ::Type{<:SplitZeroBridge},
 )
-
     return true
 end
 function MOI.get(
@@ -114,12 +121,15 @@ function MOI.set(
     bridge::SplitZeroBridge{T},
     value,
 ) where {T}
-    input = Vector{T}(undef, length(bridge.real_indices) + length(bridge.imag_indices))
+    input = Vector{T}(
+        undef,
+        length(bridge.real_indices) + length(bridge.imag_indices),
+    )
     for (i, idx) in enumerate(bridge.real_indices)
         input[i] = real(value[idx])
     end
     for (i, idx) in enumerate(bridge.imag_indices)
         input[length(bridge.real_indices)+i] = imag(value[idx])
     end
-    MOI.set(model, attr, bridge.constraint, input)
+    return MOI.set(model, attr, bridge.constraint, input)
 end

Diff for: src/Bridges/Variable/psd.jl

@@ -51,10 +51,11 @@ function MOIB.Variable.bridge_constrained_variable(
     model::MOI.ModelLike,
     set::COI.HermitianPositiveSemidefiniteConeTriangle,
 ) where {T}
-
     n = set.side_dimension
-    variables, psd_constraint =
-        MOI.add_constrained_variables(model, MOI.PositiveSemidefiniteConeTriangle(2n))
+    variables, psd_constraint = MOI.add_constrained_variables(
+        model,
+        MOI.PositiveSemidefiniteConeTriangle(2n),
+    )
 
     k11 = 0
     k12 = MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(n))
@@ -72,9 +73,9 @@ function MOIB.Variable.bridge_constrained_variable(
     con_11_22 = EQ{T}[]
     con12diag = EQ{T}[]
     con_12_21 = EQ{T}[]
-    for j = 1:n
+    for j in 1:n
         k22 += n
-        for i = 1:j
+        for i in 1:j
             k11 += 1
             k12 += 1
             k22 += 1
@@ -124,23 +125,33 @@ function MOIB.Variable.supports_constrained_variable(
 )
     return true
 end
-function MOIB.added_constrained_variable_types(::Type{<:HermitianToSymmetricPSDBridge})
+function MOIB.added_constrained_variable_types(
+    ::Type{<:HermitianToSymmetricPSDBridge},
+)
     return [(MOI.PositiveSemidefiniteConeTriangle,)]
 end
-function MOIB.added_constraint_types(::Type{HermitianToSymmetricPSDBridge{T}}) where {T}
+function MOIB.added_constraint_types(
+    ::Type{HermitianToSymmetricPSDBridge{T}},
+) where {T}
     return [(MOI.ScalarAffineFunction{T}, MOI.EqualTo{T})]
 end
 
 # Attributes, Bridge acting as a model
 function MOI.get(bridge::HermitianToSymmetricPSDBridge, ::MOI.NumberOfVariables)
     return length(bridge.variables)
 end
-function MOI.get(bridge::HermitianToSymmetricPSDBridge, ::MOI.ListOfVariableIndices)
+function MOI.get(
+    bridge::HermitianToSymmetricPSDBridge,
+    ::MOI.ListOfVariableIndices,
+)
     return bridge.variables
 end
 function MOI.get(
     bridge::HermitianToSymmetricPSDBridge,
-    ::MOI.NumberOfConstraints{MOI.VectorOfVariables,MOI.PositiveSemidefiniteConeTriangle},
+    ::MOI.NumberOfConstraints{
+        MOI.VectorOfVariables,
+        MOI.PositiveSemidefiniteConeTriangle,
+    },
 )
     return 1
 end
@@ -157,7 +168,9 @@ function MOI.get(
     bridge::HermitianToSymmetricPSDBridge{T},
     ::MOI.NumberOfConstraints{MOI.ScalarAffineFunction{T},MOI.EqualTo{T}},
 ) where {T}
-    return length(bridge.con_11_22) + length(bridge.con12diag) + length(bridge.con_12_21)
+    return length(bridge.con_11_22) +
+           length(bridge.con12diag) +
+           length(bridge.con_12_21)
 end
 function MOI.get(
     bridge::HermitianToSymmetricPSDBridge{T},
@@ -177,7 +190,7 @@ function MOI.delete(model::MOI.ModelLike, bridge::HermitianToSymmetricPSDBridge)
     for ci in bridge.con_12_21
         MOI.delete(model, ci)
     end
-    MOI.delete(model, bridge.variables)
+    return MOI.delete(model, bridge.variables)
 end
 
 # Attributes, Bridge acting as a constraint
@@ -187,7 +200,9 @@ function MOI.get(
     ::MOI.ConstraintSet,
     bridge::HermitianToSymmetricPSDBridge,
 )
-    return COI.HermitianPositiveSemidefiniteConeTriangle(length(bridge.con12diag))
+    return COI.HermitianPositiveSemidefiniteConeTriangle(
+        length(bridge.con12diag),
+    )
 end
 
 function _matrix_indices(k)
@@ -212,7 +227,10 @@ function _variable_map(idx::MOIB.IndexInVector, n)
         return idx.value
     else
         i, j = _matrix_indices(idx.value - N)
-        return N + j * n + MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(j)) + i
+        return N +
+               j * n +
+               MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(j)) +
+               i
     end
 end
 function _variable(bridge::HermitianToSymmetricPSDBridge, i::MOIB.IndexInVector)
@@ -227,7 +245,7 @@ function MOI.get(
     values = MOI.get(model, attr, bridge.psd_constraint)
     M = MOI.dimension(MOI.get(model, MOI.ConstraintSet(), bridge))
     n = length(bridge.con12diag)
-    return [values[_variable_map(MOIB.IndexInVector(i), n)] for i = 1:M]
+    return [values[_variable_map(MOIB.IndexInVector(i), n)] for i in 1:M]
 end
 
 # See docstring of bridge for why we ignore the dual of the constraints
@@ -247,10 +265,10 @@ function MOI.get(
     k21 = MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(2n)) + 1
     k22 = N
     k = 0
-    for j = 1:n
+    for j in 1:n
         k21 -= n + 1 - j
         k22 += n
-        for i = 1:j
+        for i in 1:j
             k11 += 1
             k12 += 1
             k21 -= 1
@@ -275,7 +293,7 @@ function MOI.get(
     bridge::HermitianToSymmetricPSDBridge{T},
     i::MOIB.IndexInVector,
 ) where {T}
-    value = MOI.get(model, attr, _variable(bridge, i))
+    return value = MOI.get(model, attr, _variable(bridge, i))
 end
 
 function MOIB.bridged_function(

Diff for: src/ComplexOptInterface.jl

@@ -9,24 +9,31 @@ const MOI = MathOptInterface
 struct HermitianPositiveSemidefiniteConeTriangle <: MOI.AbstractVectorSet
     side_dimension::Int
 end
+
 function MOI.dimension(set::HermitianPositiveSemidefiniteConeTriangle)
-    return MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(set.side_dimension)) +
-           MOI.dimension(MOI.PositiveSemidefiniteConeTriangle(set.side_dimension - 1))
+    return MOI.dimension(
+        MOI.PositiveSemidefiniteConeTriangle(set.side_dimension),
+    ) + MOI.dimension(
+        MOI.PositiveSemidefiniteConeTriangle(set.side_dimension - 1),
+    )
 end
 
+Base.copy(set::HermitianPositiveSemidefiniteConeTriangle) = set
+
 function MOI.Utilities.set_dot(
     x::AbstractVector,
     y::AbstractVector,
     set::HermitianPositiveSemidefiniteConeTriangle,
 )
     sym = MOI.PositiveSemidefiniteConeTriangle(set.side_dimension)
     result = MOI.Utilities.set_dot(x, y, sym)
-    for k = (MOI.dimension(sym)+1):MOI.dimension(set)
+    for k in (MOI.dimension(sym)+1):MOI.dimension(set)
         result = MA.add_mul!!(result, 2, x[k], y[k])
     end
     return result
 end
 
 include("Bridges/Bridges.jl")
+include("jump.jl")
 
 end # module