Add support for MOI.ScalarQuadraticCoefficientChange (#195)

Author: odow

Project.toml

@@ -1,6 +1,6 @@
 name = "HiGHS"
 uuid = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
-version = "1.7.5"
+version = "1.8.0"
 
 [deps]
 HiGHS_jll = "8fd58aa0-07eb-5a78-9b36-339c94fd15ea"
@@ -10,7 +10,7 @@ SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 
 [compat]
 HiGHS_jll = "=1.5.1, =1.5.3, =1.6.0"
-MathOptInterface = "1.20"
+MathOptInterface = "1.21"
 PrecompileTools = "1"
 SparseArrays = "1.6"
 Test = "1.6"

src/MOI_wrapper.jl

@@ -1055,7 +1055,12 @@ end
 
 function MOI.modify(
     model::Optimizer,
-    ::MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}},
+    ::MOI.ObjectiveFunction{
+        <:Union{
+            MOI.ScalarAffineFunction{Float64},
+            MOI.ScalarQuadraticFunction{Float64},
+        },
+    },
     chg::MOI.ScalarConstantChange{Float64},
 )
     ret = Highs_changeObjectiveOffset(model, chg.new_constant)
@@ -1066,7 +1071,12 @@ end
 
 function MOI.modify(
     model::Optimizer,
-    ::MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}},
+    ::MOI.ObjectiveFunction{
+        <:Union{
+            MOI.ScalarAffineFunction{Float64},
+            MOI.ScalarQuadraticFunction{Float64},
+        },
+    },
     chg::MOI.ScalarCoefficientChange{Float64},
 )
     ret = Highs_changeColCost(
@@ -1079,6 +1089,44 @@ function MOI.modify(
     return
 end
 
+function MOI.modify(
+    model::Optimizer,
+    attr::MOI.ObjectiveFunction{MOI.ScalarQuadraticFunction{Float64}},
+    chg::MOI.ScalarQuadraticCoefficientChange{Float64},
+)
+    if model.hessian === nothing
+        f = MOI.get(
+            model,
+            MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}(),
+        )
+        term = MOI.ScalarQuadraticTerm(
+            chg.new_coefficient,
+            chg.variable_1,
+            chg.variable_2,
+        )
+        new_f = MOI.ScalarQuadraticFunction([term], f.terms, f.constant)
+        MOI.set(model, attr, new_f)
+        return
+    end
+    i, j = column(model, chg.variable_1), column(model, chg.variable_2)
+    if i < j
+        j, i = i, j
+    end
+    model.hessian[i+1, j+1] = chg.new_coefficient
+    ret = Highs_passHessian(
+        model,
+        size(model.hessian, 1),
+        length(model.hessian.nzval),
+        kHighsHessianFormatTriangular,
+        model.hessian.colptr .- HighsInt(1),
+        model.hessian.rowval .- HighsInt(1),
+        model.hessian.nzval,
+    )
+    _check_ret(ret)
+    model.is_objective_function_set = true
+    return
+end
+
 ###
 ### VariableIndex-in-Set constraints.
 ###

test/MOI_wrapper.jl

@@ -476,6 +476,73 @@ function test_relax_integrality_after_solve()
     return
 end
 
+function test_quadratic_modification_from_affine()
+    model = HiGHS.Optimizer()
+    MOI.set(model, MOI.Silent(), true)
+    x = MOI.add_variable(model)
+    MOI.add_constraint(model, x, MOI.GreaterThan(2.0))
+    f = 2.0 * x + 1.0
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+    attr = MOI.ObjectiveFunction{typeof(f)}()
+    MOI.set(model, attr, f)
+    MOI.optimize!(model)
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), 5, atol = 1e-5)
+    F = MOI.ScalarQuadraticFunction{Float64}
+    attr = MOI.ObjectiveFunction{F}()
+    MOI.modify(model, attr, MOI.ScalarQuadraticCoefficientChange(x, x, 3.0))
+    MOI.optimize!(model)
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), 11, atol = 1e-5)
+    return
+end
+
+function test_quadratic_off_diagonal_modification()
+    model = HiGHS.Optimizer()
+    MOI.set(model, MOI.Silent(), true)
+    x = MOI.add_variables(model, 2)
+    MOI.add_constraint.(model, x, MOI.GreaterThan.([2.0, 3.0]))
+    f = 4.0 * x[1] * x[1] + 2.0 * x[1] * x[2] + 2.0 * x[2] * x[2]
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+    attr = MOI.ObjectiveFunction{typeof(f)}()
+    MOI.set(model, attr, f)
+    MOI.optimize!(model)
+    a = MOI.get(model, MOI.VariablePrimal(), x)
+    y = 0.5 * a' * [8 2; 2 4] * a
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), y, atol = 1e-5)
+    MOI.modify(
+        model,
+        attr,
+        MOI.ScalarQuadraticCoefficientChange(x[1], x[2], -1.0),
+    )
+    MOI.optimize!(model)
+    a = MOI.get(model, MOI.VariablePrimal(), x)
+    y = 0.5 * a' * [8 -1; -1 4] * a
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), y, atol = 1e-5)
+    return
+end
+
+function test_quadratic_diagonal_modification()
+    model = HiGHS.Optimizer()
+    MOI.set(model, MOI.Silent(), true)
+    x = MOI.add_variable(model)
+    MOI.add_constraint(model, x, MOI.GreaterThan(2.0))
+    f = 3.0 * x * x + 2.0 * x + 1.0
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE)
+    attr = MOI.ObjectiveFunction{typeof(f)}()
+    MOI.set(model, attr, f)
+    MOI.optimize!(model)
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), 17, atol = 1e-5)
+    MOI.modify(model, attr, MOI.ScalarConstantChange(2.0))
+    MOI.optimize!(model)
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), 18, atol = 1e-5)
+    MOI.modify(model, attr, MOI.ScalarCoefficientChange(x, 3.0))
+    MOI.optimize!(model)
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), 20, atol = 1e-5)
+    MOI.modify(model, attr, MOI.ScalarQuadraticCoefficientChange(x, x, 8.0))
+    MOI.optimize!(model)
+    @test isapprox(MOI.get(model, MOI.ObjectiveValue()), 24, atol = 1e-5)
+    return
+end
+
 end
 
 TestMOIHighs.runtests()