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Merge pull request #188 from joaquimg/jg/maxqp2
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@joaquimg
joaquimg authored Oct 4, 2022
2 parents 2d25399 + 03e8c0b commit 4a5b5b7
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6 changes: 3 additions & 3 deletions Project.toml
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "BilevelJuMP"
uuid = "485130c0-026e-11ea-0f1a-6992cd14145c"
authors = ["Joaquim Garcia <[email protected]>, guilhermebodin <[email protected]>"]
version = "0.5.1"
version = "0.5.2"

[deps]
Dualization = "191a621a-6537-11e9-281d-650236a99e60"
Expand All @@ -10,7 +10,7 @@ LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"

[compat]
Dualization = "0.5.4"
JuMP = "1.0"
Dualization = "0.5.6"
JuMP = "1.0.0 - 1.1.1"
MathOptInterface = "1.2"
julia = "1.6"
2 changes: 1 addition & 1 deletion docs/Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -10,5 +10,5 @@ Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

[compat]
Documenter = "~0.26"
MibS_jll = "=1.1.3"
Ipopt = "=1.0.2"
MibS_jll = "=1.1.3"
168 changes: 134 additions & 34 deletions test/jump.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -1488,7 +1488,7 @@ end
# TODO - add quadratic problems

# 9.3.2 - parg 221
function jump_HTP_quad01(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad01(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol

Expand All @@ -1503,8 +1503,13 @@ function jump_HTP_quad01(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), x >= 0)
@constraint(Upper(model), y >= 0) # only in lowrrin GAMS

@objective(Lower(model), Min,
(y-1)^2 -1.5*x*y)
if is_min
@objective(Lower(model), Min,
(y-1)^2 -1.5*x*y)
else
@objective(Lower(model), Max,
-((y-1)^2 -1.5*x*y))
end

@constraint(Lower(model), -3x + y <= -3)
@constraint(Lower(model), x - 0.5y <= 4)
Expand All @@ -1523,7 +1528,7 @@ function jump_HTP_quad01(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.3- parg 222
function jump_HTP_quad02(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad02(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol

Expand All @@ -1541,8 +1546,13 @@ function jump_HTP_quad02(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), y >= 0)
@constraint(Upper(model), y <= 20)

@objective(Lower(model), Min,
(x + 2y - 30)^2)
if is_min
@objective(Lower(model), Min,
(x + 2y - 30)^2)
else
@objective(Lower(model), Max,
-((x + 2y - 30)^2))
end

@constraint(Lower(model), x + y <= 20)
@constraint(Lower(model), - y <= 0)
Expand All @@ -1560,7 +1570,7 @@ function jump_HTP_quad02(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.4- parg 223
function jump_HTP_quad03(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad03(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol
start = config.start_value
Expand All @@ -1579,12 +1589,17 @@ function jump_HTP_quad03(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), [i=1:2], y[i] >= -10)
@constraint(Upper(model), [i=1:2], y[i] <= 20)

@objective(Lower(model), Min,
(-x[1] + y[1] + 40)^2 + (-x[2] + y[2] + 20)^2)
# the boo does not contain the 40, it is a 20 there
# however the solution does not match
# the file https://www.gams.com/latest/emplib_ml/libhtml/emplib_flds923.html
# has a 40
if is_min
@objective(Lower(model), Min,
(-x[1] + y[1] + 40)^2 + (-x[2] + y[2] + 20)^2)
else
@objective(Lower(model), Max,
-((-x[1] + y[1] + 40)^2 + (-x[2] + y[2] + 20)^2))
end
# the boo does not contain the 40, it is a 20 there
# however the solution does not match
# the file https://www.gams.com/latest/emplib_ml/libhtml/emplib_flds923.html
# has a 40

@constraint(Lower(model), [i=1:2],- x[i] + 2y[i] <= -10)
@constraint(Lower(model), [i=1:2], y[i] >= -10)
Expand All @@ -1604,7 +1619,7 @@ function jump_HTP_quad03(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.5- parg 225
function jump_HTP_quad04(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad04(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol
start = config.start_value
Expand All @@ -1619,8 +1634,13 @@ function jump_HTP_quad04(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
0.5*((y[1]-2)^2+(y[2]-2)^2) )
@constraint(Upper(model), [i=1:2], y[i] >= 0)

@objective(Lower(model), Min,
0.5*(y[1]^2) + y[2])
if is_min
@objective(Lower(model), Min,
0.5*(y[1]^2) + y[2])
else
@objective(Lower(model), Max,
-(0.5*(y[1]^2) + y[2]))
end

@constraint(Lower(model), y[1] + y[2] == x)
@constraint(Lower(model), [i=1:2], y[i] >= 0)
Expand All @@ -1636,7 +1656,7 @@ function jump_HTP_quad04(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.6- parg 226
function jump_HTP_quad05(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad05(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol
start = config.start_value
Expand All @@ -1652,8 +1672,13 @@ function jump_HTP_quad05(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), x >= 0)
@constraint(Upper(model), x <= 8)

@objective(Lower(model), Min,
(y-5)^2 )
if is_min
@objective(Lower(model), Min,
(y-5)^2 )
else
@objective(Lower(model), Max,
-((y-5)^2) )
end

@constraint(Lower(model), -2x+y <= 1)
@constraint(Lower(model), x-2y <= 2)
Expand All @@ -1672,7 +1697,7 @@ function jump_HTP_quad05(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.7- parg 227
function jump_HTP_quad06(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad06(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol
start = config.start_value
Expand All @@ -1687,8 +1712,13 @@ function jump_HTP_quad06(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
x[1]^2 -2x[1] +x[2]^2 -2x[2] +y[1]^2 +y[2]^2)
@constraint(Upper(model), [i=1:2], y[i] >= 0)

@objective(Lower(model), Min,
(-x[1] + y[1])^2 + (-x[2] + y[2])^2)
if is_min
@objective(Lower(model), Min,
(-x[1] + y[1])^2 + (-x[2] + y[2])^2)
else
@objective(Lower(model), Max,
-((-x[1] + y[1])^2 + (-x[2] + y[2])^2))
end

@constraint(Lower(model), [i=1:2], y[i] >= 0.5)
@constraint(Lower(model), [i=1:2], y[i] <= 1.5)
Expand All @@ -1704,7 +1734,7 @@ function jump_HTP_quad06(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@test sol ≈ [0.5 ; 0.5; 0.5; 0.5] atol=atol

end
function jump_HTP_quad06b(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad06b(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())
# TODO reviews the behaviour comment
atol = config.atol
start = config.start_value
Expand All @@ -1719,8 +1749,13 @@ function jump_HTP_quad06b(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Con
x[1]^2 +x[2]^2 +y[1]^2 - 3y[1] +y[2]^2 - 3y[2])
@constraint(Upper(model), [i=1:2], y[i] >= 0)

@objective(Lower(model), Min,
(-x[1] + y[1])^2 + (-x[2] + y[2])^2)
if is_min
@objective(Lower(model), Min,
(-x[1] + y[1])^2 + (-x[2] + y[2])^2)
else
@objective(Lower(model), Max,
-((-x[1] + y[1])^2 + (-x[2] + y[2])^2))
end

@constraint(Lower(model), [i=1:2], y[i] >= 0.5)
@constraint(Lower(model), [i=1:2], y[i] <= 1.5)
Expand Down Expand Up @@ -1755,7 +1790,7 @@ end


# 9.3.8- parg 228
function jump_HTP_quad07(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad07(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol

Expand All @@ -1770,8 +1805,13 @@ function jump_HTP_quad07(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), x >= 0)
@constraint(Upper(model), y >= 0) # only in lowrrin GAMS

@objective(Lower(model), Min,
(y-1)^2 -1.5*x*y)
if is_min
@objective(Lower(model), Min,
(y-1)^2 -1.5*x*y)
else
@objective(Lower(model), Max,
-((y-1)^2 -1.5*x*y))
end

@constraint(Lower(model), -3x + y <= -3)
@constraint(Lower(model), x - 0.5y <= 4)
Expand All @@ -1790,7 +1830,7 @@ function jump_HTP_quad07(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.9 - parg 229
function jump_HTP_quad08(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad08(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())
# Q objective is not PSD

atol = config.atol
Expand All @@ -1809,8 +1849,13 @@ function jump_HTP_quad08(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), y >= 0)
@constraint(Upper(model), y <= 1)

@objective(Lower(model), Min,
-(1-4x)*y -(2x+2) )
if is_min
@objective(Lower(model), Min,
-(1-4x)*y -(2x+2) )
else
@objective(Lower(model), Max,
-(-(1-4x)*y -(2x+2) ))
end

@constraint(Lower(model), y >= 0)
@constraint(Lower(model), y <= 1)
Expand All @@ -1827,7 +1872,7 @@ function jump_HTP_quad08(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
end

# 9.3.10- parg 230
function jump_HTP_quad09(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Config())
function jump_HTP_quad09(optimizer, is_min, mode = BilevelJuMP.SOS1Mode(), config = Config())

atol = config.atol
start = config.start_value
Expand All @@ -1843,8 +1888,13 @@ function jump_HTP_quad09(optimizer, mode = BilevelJuMP.SOS1Mode(), config = Conf
@constraint(Upper(model), [i=1:2], y[i] >= 0)
@constraint(Upper(model), x >= 0)

@objective(Lower(model), Min,
2y[1]+x*y[2])
if is_min
@objective(Lower(model), Min,
2y[1]+x*y[2])
else
@objective(Lower(model), Max,
-(2y[1]+x*y[2]))
end

@constraint(Lower(model), x + 4 <= y[1] + y[2])
# this 4 is missing from the book
Expand Down Expand Up @@ -2826,4 +2876,54 @@ function jump_01_sum_agg(optimizer, config = Config())
# @test dual(c3) ≈ [0] atol=atol
# @test dual(c4) ≈ [1] atol=atol #NLP fail

end

"""
From: https://github.com/joaquimg/BilevelJuMP.jl/issues/182
By: LukasBarner
Siddiqui S, Gabriel SA (2013). An sos1-based approach for solving mpecs with a natural gas market applica-
tion. Networks and Spatial Economics 13(2):205–227.
"""
function jump_qp_lower_min(config = Config())
F = [1,2]
c = Dict(1=>1, 2=>1)
C = 1
a = 13
b = 1

model = BilevelModel(Ipopt.Optimizer, mode = BilevelJuMP.ProductMode())

@variable(Lower(model), q[F] >= 0)
@variable(Upper(model), Q >= 0)

@objective(Upper(model), Max, ((a-b * (q[1] + q[2] + Q)) * Q - C*Q) )

@objective(Lower(model), Min, -((a-b * (q[1] + q[2] + Q)) * q[1] - C*q[1] + (a-b * (q[1] + q[2] + Q)) * q[2] - C*q[2] + b*q[1]*q[2]) )

optimize!(model)

@test isapprox(value.(Q), 6; atol=1e-5)
@test isapprox(value.(q).data, [2,2]; atol=1e-5)
end
function jump_qp_lower_max(config = Config())
F = [1,2]
c = Dict(1=>1, 2=>1)
C = 1
a = 13
b = 1

model = BilevelModel(Ipopt.Optimizer, mode = BilevelJuMP.ProductMode())

@variable(Lower(model), q[F] >= 0)
@variable(Upper(model), Q >= 0)

@objective(Upper(model), Max, ((a-b * (q[1] + q[2] + Q)) * Q - C*Q) )

@objective(Lower(model), Max, +((a-b * (q[1] + q[2] + Q)) * q[1] - C*q[1] + (a-b * (q[1] + q[2] + Q)) * q[2] - C*q[2] + b*q[1]*q[2]) )

optimize!(model)

@test isapprox(value.(Q), 6; atol=1e-5)
@test isapprox(value.(q).data, [2,2]; atol=1e-5)
end
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Registration pull request created: JuliaRegistries/General/69516

After the above pull request is merged, it is recommended that a tag is created on this repository for the registered package version.

This will be done automatically if the Julia TagBot GitHub Action is installed, or can be done manually through the github interface, or via:

git tag -a v0.5.2 -m "<description of version>" 4a5b5b784deab28de070932487121dd0b15d19cc
git push origin v0.5.2

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