Mosek, COPT: enable convex QCP with rotated SOC #229 #192

ampl · Jan 15, 2024 · 87bedd9 · 87bedd9
1 parent af15c5d
commit 87bedd9
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Showing 4 changed files with 43 additions and 4 deletions.
diff --git a/include/mp/flat/redef/conic/qcones2qc.h b/include/mp/flat/redef/conic/qcones2qc.h
@@ -39,7 +39,8 @@ class QConeConverter :
       GetMC().NarrowVarBounds(x[0], 0.0, GetMC().Infty());
       auto qc {QuadConLE{ {{}, {c, x, x}}, {0.0} }};
       GetMC().AddConstraint(std::move(qc));
-    } else {     // produce fixed RHS, better for Mosek
+    } else {
+      // Reproduce fixed RHS, better for Mosek & COPT. conic/socp_10
       auto rhs = -c[0] * GetMC().fixed_value(x[0]);
       c.erase(c.begin());
       auto x0 = x;
@@ -85,8 +86,30 @@ class RQConeConverter :
     c12[0] *= -2.0*c[0];
     for (auto i=c12.size(); --i; )
       c12[i] *= c12[i];
-    auto qc = QuadConLE{ {{}, {c12, x1, x2}}, {0.0} };
-    GetMC().AddConstraint(std::move(qc));
+    // Reproduce linear term, for Mosek & COPT. conic/socp_11.
+    if (GetMC().is_fixed(x1[0])) {
+      std::vector<double> clin
+          = { c12[0] * GetMC().fixed_value(x1[0]) };
+      std::vector<int> xlin = { x2[0] };
+      x1.erase(x1.begin());
+      x2.erase(x2.begin());
+      c12.erase(c12.begin());
+      GetMC().AddConstraint(
+            QuadConLE{ {{clin, xlin}, {c12, x1, x2}}, {0.0} });
+    } else
+      if (GetMC().is_fixed(x2[0])) {
+        std::vector<double> clin
+            = { c12[0] * GetMC().fixed_value(x2[0]) };
+        std::vector<int> xlin = { x1[0] };
+        x1.erase(x1.begin());
+        x2.erase(x2.begin());
+        c12.erase(c12.begin());
+        GetMC().AddConstraint(
+              QuadConLE{ {{clin, xlin}, {c12, x1, x2}}, {0.0} });
+      } else {
+        auto qc = QuadConLE{ {{}, {c12, x1, x2}}, {0.0} };
+        GetMC().AddConstraint(std::move(qc));
+      }
   }
 
   /// Reuse the stored ModelConverter

diff --git a/test/end2end/cases/categorized/fast/conic/modellist.json b/test/end2end/cases/categorized/fast/conic/modellist.json
@@ -69,6 +69,14 @@
       "solve_result_num": 0
     }
   },
+  {
+    "name" : "socp_11_qpobj__RSOC",
+    "tags" : ["quadratic"],
+    "objective" : 27777.7949,
+    "values": {
+      "solve_result_num": 0
+    }
+  },
   {
     "name" : "expcones_01__plain",
     "objective" : 0.7821882953,

diff --git a/test/end2end/cases/categorized/fast/conic/socp_11_qpobj__RSOC.mod b/test/end2end/cases/categorized/fast/conic/socp_11_qpobj__RSOC.mod
@@ -0,0 +1,8 @@
+# This is actually convex quadratic, not conic,
+# but we'd first conify, then QC-fy.
+# Test that this works for Mosek 10:
+# the linear term must be restored.
+
+var x {1..7} >= 0;
+minimize qobj: sum {j in 1..7} x[j]^2;
+subj to qconstr: sum {j in 1..6} x[j]^2 <= 6*x[7] - 1000;
diff --git a/test/end2end/scripts/python/Solver.py b/test/end2end/scripts/python/Solver.py
@@ -855,7 +855,7 @@ def __init__(self, exeName, timeout=None, nthreads=None, otherOptions=None):
                  ModelTags.socp,      ## MP transforms cones to quadratics
                  ModelTags.socp_hard_to_recognize,
 
-                 ModelTags.writelp, ModelTags.writesol,
+                 ModelTags.writelp,
 
                  }
         super().__init__(exeName, timeout, nthreads, otherOptions, stags)