Tests for obj reformulations, also with .objweight

CHANGES.mp.md

@@ -2,6 +2,15 @@ Summary of recent updates to the AMPL MP Library
 ================================================
 
 
+## unreleased
+- SCIP (and any solver with linear objective
+	and non-linear constraints): improve reformulation
+	of QP objectives.
+- Fix reformulation of non-linear objective expressions
+	for the multi-objective case (option obj:multi) when
+	negative objective weights are used (obj:multi:weight.)
+
+
 ## 20240724
 - Option *acc:_all*
 	- Useful to disable all reformulations (acc:_all=2),

include/mp/flat/converter.h

@@ -1143,11 +1143,16 @@ class FlatConverter :
 
     GetEnv().AddOption("cvt:quadobj passquadobj",
                        ModelAPIAcceptsQuadObj() ?
-        "0/1*: Multiply out and pass quadratic objective terms to the solver, "
-        "vs. linear approximation."
+        "0/1*: Pass quadratic objective terms to the solver. "
+        "If the solver accepts quadratic constraints, "
+                                                "such a constraint will be created with those, "
+                                                "otherwise linearly approximated."
                        :
-        "0*/1: Multiply out and pass quadratic objective terms to the solver, "
-                         "vs. linear approximation.",
+        "0*/1: Pass quadratic objective terms to the solver, "
+                                                  "If the solver accepts quadratic constraints, "
+                                                  "such a constraint will be created with those, "
+                                                  "otherwise linearly approximated."
+,
         options_.passQuadObj_, 0, 1);
     GetEnv().AddOption("cvt:quadcon passquadcon",
                        "Convenience option. "

include/mp/flat/converter_multiobj.h

@@ -118,6 +118,10 @@ 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);            // Backend / Emulator want "legacy"
+    }
     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} ) );
@@ -235,7 +239,7 @@ class MOManager {
 
   /// The "intuitive" objective weights
   /// @return Always a full vector (for all objs)
-  /// @note All these methods assume the obj list is completed
+  /// @note Assume the obj list is completed
   ArrayRef<double> GetMOWeights() {
     std::vector<double> objwgt = MPD( GetMOWeightsLegacy() );
     const auto& obj_orig = MPD( get_objectives() );   // no linking
@@ -248,20 +252,21 @@ class MOManager {
   }
 
   /// @return Legacy weights (relative to the 1st obj),
-  ///   if .objweight provided, or default
+  ///   if .objweight provided
+  /// @note Assume the obj list is completed
   ArrayRef<double> GetMOWeightsLegacy() {
     std::vector<double> objw = MPD( ReadDblSuffix( {"objweight", suf::OBJ} ) );
     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"
+      // pass
     } else if (2==MPD( GetEnv() ).multiobj_weight()) {   // user gave "intuitive" values
       FlipDiffSenseSigns(objw);            // Backend / Emulator want "legacy"
     }
     return objw;
   }
 
   /// Convert between the options of obj:multi:weight
+  /// @note Assume the obj list is completed
   void FlipDiffSenseSigns(std::vector<double>& objw) {
     const auto& obj = MPD( get_objectives() );
     if (obj.size() > 1) {

solvers/gurobi/gurobibackend.cc

@@ -374,7 +374,7 @@ SolutionBasis GurobiBackend::GetBasis() {
             {{{ CG_Linear, std::move(constt) }}} } );
     varstt = mv.GetVarValues()();
     constt = mv.GetConValues()();
-    assert(varstt.size());
+    assert(varstt.size());         // not for constraints
   }
   return { std::move(varstt), std::move(constt) };
 }

solvers/mosek/mosekbackend.cc

@@ -905,8 +905,7 @@ SolutionBasis MosekBackend::GetBasis() {
 				{{{ CG_Algebraic, std::move(constt) }}} });
     varstt = mv.GetVarValues()();
     constt = mv.GetConValues()();
-    assert(varstt.size());
-    assert(constt.size());
+    assert(varstt.size());       // not for constraints
   }
   return { std::move(varstt), std::move(constt) };
 }

solvers/visitor/visitorbackend.cc

@@ -645,7 +645,7 @@ SolutionBasis VisitorBackend::GetBasis() {
         {{{ CG_Linear, std::move(constt) }}} });
     varstt = mv.GetVarValues()();
     constt = mv.GetConValues()();
-    assert(varstt.size());
+    assert(varstt.size());         // not for constraints, can be QCP
   }
   return { std::move(varstt), std::move(constt) };
 }

test/end2end/cases/categorized/fast/multi_obj/modellist.json

@@ -248,5 +248,35 @@
     "values": {
       "z": 1
     }
+  },
+  {
+    "name" : "obj_abs_01",
+    "tags" : ["linear", "integer", "multiobj"],
+    "options": {
+      "ANYSOLVER_options": "multiobj=1"
+    },
+    "values": {
+      "_sobj[1]": 13,
+      "_sobj[2]": -17
+    }
+  },
+  {
+    "name" : "obj_abs_02",
+    "tags" : ["linear", "integer", "multiobj"],
+    "options": {
+      "ANYSOLVER_options": "multiobj=1"
+    },
+    "values": {
+      "_sobj[1]": 13,
+      "_sobj[2]": 4.333333333333333333
+    }
+  },
+  {
+    "name" : "obj_abs_02 obj:no=2",
+    "tags" : ["linear", "integer"],
+    "options": {
+      "ANYSOLVER_options": "obj:no=2"
+    },
+    "objective": 4.3333333333333333333
   }
 ]

test/end2end/cases/categorized/fast/multi_obj/obj_abs_01.mod

@@ -0,0 +1,20 @@
+#######################################
+## obj_abs_01.mod
+## Test objective sense-aware reformulation
+## Test .objweight in obj:multi mode
+## abs()
+#######################################
+
+var x >=-2 <=5;
+var y >=-12 <=3;
+
+
+suffix objpriority IN;
+suffix objweight IN;
+
+## The 1st objective is dummy, to enable the multi-objective approach
+minimize ObjD: 3*x - 2*y suffix objpriority 1, suffix objweight 1;
+maximize Obj1: abs(x) - 2*abs(y) suffix objpriority 2, suffix objweight -2;
+
+s.t. C1: 3*x - 2*y == 13;
+

test/end2end/cases/categorized/fast/multi_obj/obj_abs_02.mod

@@ -0,0 +1,20 @@
+#######################################
+## obj_abs_02.mod
+## Test objective sense-aware reformulation
+## Test .objweight in obj:multi mode
+## abs()
+#######################################
+
+var x >=-2 <=5;
+var y >=-12 <=3;
+
+
+suffix objpriority IN;
+suffix objweight IN;
+
+## The 1st objective is dummy, to enable the multi-objective approach
+minimize ObjD: 3*x - 2*y suffix objpriority 1, suffix objweight -1;
+maximize Obj1: abs(x) - 2*abs(y) suffix objpriority 2, suffix objweight 3;
+
+s.t. C1: 3*x - 2*y == 13;
+

test/end2end/cases/categorized/fast/qp/modellist.json

@@ -91,6 +91,14 @@
     "objective" : 0,
     "tags" : ["quadratic_obj"]
   },
+  {
+    "name" : "quad_obj_repeated cvt:quadobj=0",
+    "objective" : 0,
+    "tags" : ["quadratic_obj"],
+    "options": {
+      "ANYSOLVER_options": "cvt:quadobj=0"
+    }
+  },
   {
     "name" : "prod_bin_var_01",
     "objective" : 5,