From 5f5d2e50cb7b456a7eb516b5397042a33ec0fc8f Mon Sep 17 00:00:00 2001
From: odow <o.dowson@gmail.com>
Date: Tue, 10 Jan 2023 15:49:31 +1300
Subject: [PATCH 1/4] WIP: begin support for vector-valued objective functions

---
 Project.toml                           |  1 +
 src/MOI_wrapper/MOI_multi_objective.jl | 18 ++++++++++++++
 src/MOI_wrapper/MOI_wrapper.jl         |  4 ++++
 test/MOI/MOI_multiobjective.jl         | 33 +++++++++++++++++++++++++-
 test/runtests.jl                       |  3 +++
 5 files changed, 58 insertions(+), 1 deletion(-)

diff --git a/Project.toml b/Project.toml
index e0e0d632..1fc776a4 100644
--- a/Project.toml
+++ b/Project.toml
@@ -7,6 +7,7 @@ version = "0.11.5"
 LazyArtifacts = "4af54fe1-eca0-43a8-85a7-787d91b784e3"
 Libdl = "8f399da3-3557-5675-b5ff-fb832c97cbdb"
 MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
+Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
 
 [compat]
 MathOptInterface = "1.7"
diff --git a/src/MOI_wrapper/MOI_multi_objective.jl b/src/MOI_wrapper/MOI_multi_objective.jl
index 71a4b2db..1a36c40b 100644
--- a/src/MOI_wrapper/MOI_multi_objective.jl
+++ b/src/MOI_wrapper/MOI_multi_objective.jl
@@ -126,3 +126,21 @@ function MOI.get(model::Gurobi.Optimizer, attr::MultiObjectiveValue)
     _check_ret(model, ret)
     return val[]
 end
+
+function MOI.set(
+    model::Optimizer,
+    ::MOI.ObjectiveFunction{F},
+    f::F,
+) where {F<:MOI.VectorAffineFunction{Float64}}
+    for (i, fi) in enumerate(MOI.Utilities.eachscalar(f))
+        MOI.set(model, MultiObjectiveFunction(i), fi)
+    end
+    return
+end
+
+function MOI.supports(
+    model::Optimizer,
+    ::MOI.ObjectiveFunction{MOI.VectorAffineFunction{Float64}},
+)
+    return true
+end
diff --git a/src/MOI_wrapper/MOI_wrapper.jl b/src/MOI_wrapper/MOI_wrapper.jl
index 4eb8f224..06a660dc 100644
--- a/src/MOI_wrapper/MOI_wrapper.jl
+++ b/src/MOI_wrapper/MOI_wrapper.jl
@@ -3091,6 +3091,10 @@ function MOI.get(model::Optimizer, attr::MOI.ObjectiveValue)
             attr.result_index - 1,
         )
     end
+    N = MOI.get(model, NumberOfObjectives())
+    if N > 1
+        return [MOI.get(model, MultiObjectiveValue(i)) for i in 1:N]
+    end
     valueP = Ref{Cdouble}()
     key = attr.result_index == 1 ? "ObjVal" : "PoolObjVal"
     ret = GRBgetdblattr(model, key, valueP)
diff --git a/test/MOI/MOI_multiobjective.jl b/test/MOI/MOI_multiobjective.jl
index 0dbee466..e1531ca6 100644
--- a/test/MOI/MOI_multiobjective.jl
+++ b/test/MOI/MOI_multiobjective.jl
@@ -55,7 +55,7 @@ c4: y >= 0.25
     @test MOI.get(model, Gurobi.MultiObjectivePriority(2)) == 0
 
     MOI.optimize!(model)
-    @test MOI.get(model, MOI.ObjectiveValue()) ≈ 1.5
+    @test MOI.get(model, MOI.ObjectiveValue()) ≈ [1.5, 2.0]
     @test MOI.get(model, MOI.VariablePrimal(), x) ≈ 0.5
     @test MOI.get(model, MOI.VariablePrimal(), y) ≈ 0.5
 
@@ -101,6 +101,37 @@ c4: y >= 0.25
     @test MOI.get(model, Gurobi.MultiObjectiveValue(2)) ≈ BFS[3].f2
 end
 
+function test_example_biobjective_knapsack()
+    p1 = [77.0, 94, 71, 63, 96, 82, 85, 75, 72, 91, 99, 63, 84, 87, 79, 94, 90]
+    p2 = [65.0, 90, 90, 77, 95, 84, 70, 94, 66, 92, 74, 97, 60, 60, 65, 97, 93]
+    w = [80.0, 87, 68, 72, 66, 77, 99, 85, 70, 93, 98, 72, 100, 89, 67, 86, 91]
+    model = Gurobi.Optimizer()
+    x = MOI.add_variables(model, length(w))
+    MOI.add_constraint.(model, x, MOI.ZeroOne())
+    MOI.add_constraint(model, w' * x, MOI.LessThan(900.0))
+    obj_f = MOI.Utilities.operate(vcat, Float64, p1' * x, p2' * x)
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
+    MOI.set(model, MOI.ObjectiveFunction{typeof(obj_f)}(), obj_f)
+    MOI.optimize!(model)
+    results = Dict(
+        [955.0, 906.0] => [2, 3, 5, 6, 9, 10, 11, 14, 15, 16, 17],
+        [948.0, 939.0] => [1, 2, 3, 5, 6, 8, 10, 11, 15, 16, 17],
+        [934.0, 971.0] => [2, 3, 5, 6, 8, 10, 11, 12, 15, 16, 17],
+        [918.0, 983.0] => [2, 3, 4, 5, 6, 8, 10, 11, 12, 16, 17],
+    )
+    found_non_dominated_point = false
+    for i in 1:MOI.get(model, MOI.ResultCount())
+        X = findall(elt -> elt > 0.9, MOI.get.(model, MOI.VariablePrimal(i), x))
+        Y = MOI.get(model, MOI.ObjectiveValue(i))
+        if haskey(results, Y)
+            @test results[Y] == X
+            found_non_dominated_point = true
+        end
+    end
+    @test found_non_dominated_point
+    return
+end
+
 end
 
 TestMultiobjective.runtests()
diff --git a/test/runtests.jl b/test/runtests.jl
index d63b7cce..74beaa38 100644
--- a/test/runtests.jl
+++ b/test/runtests.jl
@@ -4,6 +4,9 @@
 # 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.
 
+import Pkg
+Pkg.pkg"add MathOptInterface#od/vector-optimization"
+
 using Gurobi
 using Test
 

From 1eb96d3fb0c88099ef8309a9c57fe647390101b7 Mon Sep 17 00:00:00 2001
From: odow <o.dowson@gmail.com>
Date: Tue, 10 Jan 2023 16:26:29 +1300
Subject: [PATCH 2/4] Add support for getting objective

---
 src/MOI_wrapper/MOI_multi_objective.jl | 15 +++++++++++++
 src/MOI_wrapper/MOI_wrapper.jl         | 30 +++++++++++++++-----------
 2 files changed, 33 insertions(+), 12 deletions(-)

diff --git a/src/MOI_wrapper/MOI_multi_objective.jl b/src/MOI_wrapper/MOI_multi_objective.jl
index 1a36c40b..e74fea8d 100644
--- a/src/MOI_wrapper/MOI_multi_objective.jl
+++ b/src/MOI_wrapper/MOI_multi_objective.jl
@@ -138,6 +138,21 @@ function MOI.set(
     return
 end
 
+function MOI.get(
+    model::Optimizer,
+    ::MOI.ObjectiveFunction{MOI.VectorAffineFunction{Float64}},
+)
+    env = GRBgetenv(model)
+    F = MOI.ScalarAffineFunction{Float64}
+    f = F[]
+    for i in 1:MOI.get(model, NumberOfObjectives())
+        ret = GRBsetintparam(env, "ObjNumber", i - 1)
+        _check_ret(env, ret)
+        push!(f, _get_affine_objective(model; is_multiobjective = true))
+    end
+    return MOI.Utilities.operate(vcat, Float64, f...)
+end
+
 function MOI.supports(
     model::Optimizer,
     ::MOI.ObjectiveFunction{MOI.VectorAffineFunction{Float64}},
diff --git a/src/MOI_wrapper/MOI_wrapper.jl b/src/MOI_wrapper/MOI_wrapper.jl
index 06a660dc..264564a9 100644
--- a/src/MOI_wrapper/MOI_wrapper.jl
+++ b/src/MOI_wrapper/MOI_wrapper.jl
@@ -1150,19 +1150,11 @@ function MOI.set(
     return
 end
 
-function MOI.get(
-    model::Optimizer,
-    ::MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}},
-)
-    if model.objective_type == _SCALAR_QUADRATIC
-        error(
-            "Unable to get objective function. Currently: " *
-            "$(model.objective_type).",
-        )
-    end
+function _get_affine_objective(model::Optimizer; is_multiobjective::Bool)
     _update_if_necessary(model)
     dest = zeros(length(model.variable_info))
-    ret = GRBgetdblattrarray(model, "Obj", 0, length(dest), dest)
+    name = is_multiobjective ? "ObjN" : "Obj"
+    ret = GRBgetdblattrarray(model, name, 0, length(dest), dest)
     _check_ret(model, ret)
     terms = MOI.ScalarAffineTerm{Float64}[]
     for (index, info) in model.variable_info
@@ -1171,11 +1163,25 @@ function MOI.get(
         push!(terms, MOI.ScalarAffineTerm(coefficient, index))
     end
     constant = Ref{Cdouble}()
-    ret = GRBgetdblattr(model, "ObjCon", constant)
+    name = is_multiobjective ? "ObjNCon" : "ObjCon"
+    ret = GRBgetdblattr(model, name, constant)
     _check_ret(model, ret)
     return MOI.ScalarAffineFunction(terms, constant[])
 end
 
+function MOI.get(
+    model::Optimizer,
+    ::MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}},
+)
+    if model.objective_type == _SCALAR_QUADRATIC
+        error(
+            "Unable to get objective function. Currently: " *
+            "$(model.objective_type).",
+        )
+    end
+    return _get_affine_objective(model; is_multiobjective = false)
+end
+
 function MOI.set(
     model::Optimizer,
     ::MOI.ObjectiveFunction{F},

From a498d54a958933134a11d5873a1d04dc9f9c678f Mon Sep 17 00:00:00 2001
From: odow <o.dowson@gmail.com>
Date: Tue, 10 Jan 2023 16:45:37 +1300
Subject: [PATCH 3/4] Update

---
 src/MOI_wrapper/MOI_multi_objective.jl |  1 +
 src/MOI_wrapper/MOI_wrapper.jl         | 15 ++++++++++++---
 2 files changed, 13 insertions(+), 3 deletions(-)

diff --git a/src/MOI_wrapper/MOI_multi_objective.jl b/src/MOI_wrapper/MOI_multi_objective.jl
index e74fea8d..c04da26a 100644
--- a/src/MOI_wrapper/MOI_multi_objective.jl
+++ b/src/MOI_wrapper/MOI_multi_objective.jl
@@ -135,6 +135,7 @@ function MOI.set(
     for (i, fi) in enumerate(MOI.Utilities.eachscalar(f))
         MOI.set(model, MultiObjectiveFunction(i), fi)
     end
+    model.objective_type = _VECTOR_AFFINE
     return
 end
 
diff --git a/src/MOI_wrapper/MOI_wrapper.jl b/src/MOI_wrapper/MOI_wrapper.jl
index 264564a9..24f3efb1 100644
--- a/src/MOI_wrapper/MOI_wrapper.jl
+++ b/src/MOI_wrapper/MOI_wrapper.jl
@@ -18,7 +18,14 @@ const CleverDicts = MOI.Utilities.CleverDicts
     _INTERVAL,
     _EQUAL_TO
 )
-@enum(_ObjectiveType, _SINGLE_VARIABLE, _SCALAR_AFFINE, _SCALAR_QUADRATIC)
+@enum(
+    _ObjectiveType,
+    _SINGLE_VARIABLE,
+    _SCALAR_AFFINE,
+    _SCALAR_QUADRATIC,
+    _VECTOR_AFFINE,
+)
+
 @enum(
     _CallbackState,
     _CB_NONE,
@@ -3419,9 +3426,11 @@ function MOI.get(model::Optimizer, ::MOI.ObjectiveFunctionType)
         return MOI.VariableIndex
     elseif model.objective_type == _SCALAR_AFFINE
         return MOI.ScalarAffineFunction{Float64}
-    else
-        @assert model.objective_type == _SCALAR_QUADRATIC
+    elseif model.objective_type == _SCALAR_QUADRATIC
         return MOI.ScalarQuadraticFunction{Float64}
+    else
+        @assert model.objective_type == _VECTOR_AFFINE
+        return MOI.VectorAffineFunction{Float64}
     end
 end
 

From 7b8636f526691ea6e01844d647e2a88a24c9c133 Mon Sep 17 00:00:00 2001
From: odow <o.dowson@gmail.com>
Date: Sat, 11 Feb 2023 12:20:29 +1300
Subject: [PATCH 4/4] Update to MOI v1.12.0

---
 Project.toml     | 3 +--
 test/runtests.jl | 3 ---
 2 files changed, 1 insertion(+), 5 deletions(-)

diff --git a/Project.toml b/Project.toml
index 1fc776a4..d5e882a1 100644
--- a/Project.toml
+++ b/Project.toml
@@ -7,10 +7,9 @@ version = "0.11.5"
 LazyArtifacts = "4af54fe1-eca0-43a8-85a7-787d91b784e3"
 Libdl = "8f399da3-3557-5675-b5ff-fb832c97cbdb"
 MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
-Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
 
 [compat]
-MathOptInterface = "1.7"
+MathOptInterface = "1.12"
 julia = "1.6"
 
 [extras]
diff --git a/test/runtests.jl b/test/runtests.jl
index 74beaa38..d63b7cce 100644
--- a/test/runtests.jl
+++ b/test/runtests.jl
@@ -4,9 +4,6 @@
 # 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.
 
-import Pkg
-Pkg.pkg"add MathOptInterface#od/vector-optimization"
-
 using Gurobi
 using Test