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Linearize bilinear terms of lower dual*primal in upper objective #157

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Commits on Nov 23, 2021

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  3. bilinear linearization: handle different lower level obj types

    and starting to handle case when set AB is empty (no shared lower primal variables in bilinear upper and lower objectives). checking with jump_conejo2016 but linearized results do not match the bilinear problem results yet
    NLaws committed Nov 23, 2021
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Commits on Dec 24, 2021

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  5. add temporary dev notes

    NLaws committed Dec 24, 2021
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Commits on Dec 27, 2021

  1. check conditions for bilinear linearization

    and move more methods to src/bilinear_linearization.jl
    NLaws committed Dec 27, 2021
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  2. minor formatting/house cleaning

    NLaws committed Dec 27, 2021
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Commits on Dec 28, 2021

  1. address some TODO's in bilnear linearization

    still not working quite for Conejo, seem to be getting wrong dual variable indices, also will likely need to Dualize the standard form problem for linearization to work
    NLaws committed Dec 28, 2021
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  2. bilinear linearization tests passing w/std form LL

    tests not automated yet
    NLaws committed Dec 28, 2021
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  3. minor formatting

    NLaws committed Dec 28, 2021
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  4. add warnings when cannot linearize

    and fill out some doc strings
    NLaws committed Dec 28, 2021
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  5. mv all of linearization functions into moi.jl

    and clean up (manual) tests
    NLaws committed Dec 28, 2021
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  9. add test/Project.toml

    try to get SCIP working on Actions
    NLaws committed Dec 28, 2021
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Commits on Dec 29, 2021

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  2. Revert "add test/Project.toml"

    This reverts commit f5ac4bc.
    NLaws committed Dec 29, 2021
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Commits on Dec 30, 2021

  1. add support for @variable(model, dual_var_name, DualOf(vector_of_conr…

    …efs))
    
    hopefully addresses joaquimg#158
    NLaws committed Dec 30, 2021
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  2. handle DenseAxisArray of conrefs in @variable with DualOf

    for example:
    ```julia
    
    m = BilevelModel();
    T = 100;
    nodes = [:a, :b];
    @variable(Lower(m), y1[nodes, 1:T] >= 0);
    @variable(Lower(m), y2[nodes, 1:T] >= 0);
    @constraint(Lower(m), b[n in nodes, t in 1:T], y1[n,t] + y2[n,t] == 100);
    
    @variable(Upper(m), lambda, DualOf(b))
    
    2-dimensional DenseAxisArray{BilevelJuMP.BilevelVariableRef,2,...} with index sets:
        Dimension 1, [:a, :b]
        Dimension 2, Base.OneTo(100)
    And data, a 2×100 Matrix{BilevelJuMP.BilevelVariableRef}:
     lambda[1]  lambda[3]  lambda[5]  lambda[7]  lambda[9]   …  lambda[193]  lambda[195]  lambda[197]  lambda[199]
     lambda[2]  lambda[4]  lambda[6]  lambda[8]  lambda[10]     lambda[194]  lambda[196]  lambda[198]  lambda[200]
    ```
    NLaws committed Dec 30, 2021
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Commits on Dec 31, 2021

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Commits on Jan 2, 2022

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  3. fix mistake in moi.jl

    NLaws committed Jan 2, 2022
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Commits on Jan 16, 2022

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Commits on Jan 17, 2022

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Commits on Mar 5, 2022

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  2. Update moi.jl

    Nick Laws committed Mar 5, 2022
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  3. typo fix in moi.jl

    Nick Laws committed Mar 5, 2022
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  4. checkout upstream/master ci.yml

    Nick Laws committed Mar 5, 2022
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  5. Pkg.rm MibS_jll

    Nick Laws committed Mar 5, 2022
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  6. address some TODO's

    Nick Laws committed Mar 5, 2022
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Commits on Mar 9, 2022

  1. Update bilinear_linearization.jl

    Nick Laws committed Mar 9, 2022
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  2. change info to debug in moi.jl

    Nick Laws committed Mar 9, 2022
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  3. add asserts for MIN_SENSE in bilinear linearization

    Nick Laws committed Mar 9, 2022
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  4. move main linearization into function (from moi.jl)

    Nick Laws committed Mar 9, 2022
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Commits on Apr 10, 2022

  1. change warn to debut in bilinear_linearization

    when nothing to be linearized
    NLaws committed Apr 10, 2022
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  2. change bilinear linearization condition debugs to warns

    and expand their explanations
    NLaws committed Apr 10, 2022
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  3. change warn to debug when No bilinear products of lower level dual an…

    …d primal variables found in upper level objective
    NLaws committed Apr 10, 2022
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  5. add test_recursive_col_search

    (figuring out how codecov works)
    NLaws committed Apr 10, 2022
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  8. fix test_bilinear_linearization

    (testing locally with Gurobi)
    NLaws committed Apr 10, 2022
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  9. comment out failing test jump_eq_price

    - (testing locally with Gurobi)
    - this test does not run in CI because on SCIP is tested.
    NLaws committed Apr 10, 2022
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  10. rm debug tests in test/bilinear_linearization.jl

    and rename one test
    NLaws committed Apr 10, 2022
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Commits on Apr 11, 2022

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Commits on Apr 12, 2022

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  2. add bilinear linearization test for condition 3

    and handle repeated lower dual variables in bilinear terms
    NLaws committed Apr 12, 2022
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Commits on Apr 14, 2022

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Commits on Apr 15, 2022

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Commits on Apr 20, 2022

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  3. merge master

    NLaws committed Apr 20, 2022
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  4. MOI.SingleVariable -> MOI.VariableIndex

    and typo fix
    NLaws committed Apr 20, 2022
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  8. rename mibs file

    joaquimg authored and NLaws committed Apr 20, 2022
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  9. another MOI v1 fix

    NLaws committed Apr 20, 2022
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  14. test UnderDetermined system

    NLaws committed Apr 20, 2022
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  15. Update jump_unit.jl

    NLaws committed Apr 20, 2022
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  16. Update runtests.jl

    NLaws committed Apr 20, 2022
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  18. rm dev notes

    NLaws committed Apr 20, 2022
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Commits on Apr 21, 2022

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  3. comment out test jump_conic02

    s.t. I can see codecov results
    NLaws committed Apr 21, 2022
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  8. Revert "handle DenseAxisArray of conrefs in @variable with DualOf"

    This reverts commit 92055a4.
    NLaws committed Apr 21, 2022
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  9. Revert "add support for @variable(model, dual_var_name, DualOf(vector…

    …_of_conrefs))"
    
    This reverts commit db59f6a.
    NLaws committed Apr 21, 2022
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  10. restore master branch DualOf

    NLaws committed Apr 21, 2022
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  11. update IEEE paper link

    NLaws committed Apr 21, 2022
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  12. get more coverage w/o solver

    NLaws committed Apr 21, 2022
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Commits on Jul 9, 2022

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Commits on Jul 20, 2022

  1. use PushVectors and Threads to speed up linearization

    for example, with 4 threads check_upper_objective_for_bilinear_linearization goes from 28 seconds to less than 1 second with 10,000 variables
    NLaws committed Jul 20, 2022
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Commits on Jul 21, 2022

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Commits on Jul 22, 2022

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  2. speed up standard form for bilinear linearization

    from ~35 minutes to less than 1 minute!
    NLaws committed Jul 22, 2022
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  3. speed up standard form for bilinear linearization

    from ~35 minutes to less than 1 minute!
    NLaws committed Jul 22, 2022
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Commits on Jul 25, 2022

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  2. add more profiling @info

    NLaws committed Jul 25, 2022
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  3. Revert "add GC.gc() to get_all_connected_rows_cols"

    This reverts commit 7c8cb73.
    NLaws committed Jul 25, 2022
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  4. memoize find_connected_rows_cols

    gets called with repeated arguments many times in the planning use case that I am developing
    NLaws committed Jul 25, 2022
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  6. memoize find_connected_rows_cols

    gets called with repeated arguments many times in the planning use case that I am developing
    NLaws committed Jul 25, 2022
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Commits on Jul 26, 2022

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Commits on Jul 27, 2022

  1. add generated recursive_col_search

    @time memoized and threaded find_connected_rows_cols:
    21.606794 seconds (2.95 M allocations: 166.152 MiB, 1.61% compilation time)
    
    @time with generated recursive_col_search:
    1.217451 seconds (1.41 M allocations: 74.890 MiB, 99.92% compilation time)
    
    (tests done with first 8 values in upper_var_to_lower_ctr)
    
    this commit is in case we need to go back to other methods and test times
    
    next commit will (likely) switch to the generated method of recursive_col_search in find_connected_rows_cols (and use the globalV in more places perhaps)
    NLaws committed Jul 27, 2022
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Commits on Jul 28, 2022

  1. implement generated code in bilinear linearization

    hours of time turned into minutes (e.g. BilevelJuMP.get_all_connected_rows_cols went from 8.5 hours to 5.5 minutes)
    NLaws committed Jul 28, 2022
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  2. fix mistake in recursive_col_search_expr

    was not returning an expression and was returning too soon
    NLaws committed Jul 28, 2022
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  3. rm redundant values in check_upper_objective_for_bilinear_linearization

    the repeat function was repeating the same instance of vector to be filled, resulting in nthreads repeats in each vector (which causes slow downs in downstream code that loop over the outputs of this function)
    NLaws committed Jul 28, 2022
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Commits on Aug 9, 2022

  1. use ThreadSafeDict to memoize find_connected_rows_cols

    much faster using I,J,V from findnz in find_connected_rows_cols than prior speed up attempts. also, lower memory impact to use custom dict for memo cache because do not need to save the array input for each call of find_connected_rows_cols
    NLaws committed Aug 9, 2022
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Commits on Aug 13, 2022

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  2. Revert "thread another loop in linearization"

    This reverts commit 70a3355.
    NLaws committed Aug 13, 2022
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  4. switch profiling info to @debug

    NLaws committed Aug 13, 2022
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  5. switch @info to @debug in jump.jl

    NLaws committed Aug 13, 2022
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  7. Merge pull request #2 from NLaws/profiling

    sped up some methods in linearization of bilinear terms by:
    - memoizing find_connected_rows_cols
    - multithreading several for loops
    - working with lower level sparse coefficient matrix in its rows, cols, vals form (from findnz)
    NLaws authored Aug 13, 2022
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Commits on Aug 27, 2022

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  2. add check_linearization_conditions bool

    can save time for large models if checks have already been done
    NLaws committed Aug 27, 2022
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  4. update test/bilinear_linearization.jl

    new bool arg to main_linearization for checking conditions
    NLaws committed Aug 27, 2022
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Commits on Aug 29, 2022

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Commits on Sep 4, 2022

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Commits on Oct 1, 2022

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  2. update linear_terms_for_non_empty_AB

    - only need one pair of (j,n) from set A for each block in lower level problem
    - see equ. 23 or 24 in https://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=9729553
    NLaws committed Oct 1, 2022
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  3. rm debug lines

    NLaws committed Oct 1, 2022
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Commits on Oct 19, 2022

  1. merge master

    NLaws committed Oct 19, 2022
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  2. Pkg.rm("Gurobi")

    was added for local tests
    NLaws committed Oct 19, 2022
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  3. rm debug notes

    NLaws committed Oct 19, 2022
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