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Some performance and allocation optimizations #391

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merged 7 commits into from
Oct 25, 2023
Merged

Some performance and allocation optimizations #391

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d32a040
Remove unused variable
yuyichao Oct 25, 2023
97d1a25
Avoid allocating intermediate arrays
yuyichao Oct 25, 2023
879211c
Use enumerate() to avoid bounds check
yuyichao Oct 25, 2023
22efca6
Allow the objective and constraints to not have quadratic terms
yuyichao Oct 25, 2023
4894ee4
Update utils.jl
odow Oct 25, 2023
2c821e8
Update utils.jl
odow Oct 25, 2023
0582b64
Update utils.jl
odow Oct 25, 2023
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131 changes: 97 additions & 34 deletions src/utils.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -56,9 +56,11 @@
end

mutable struct QPBlockData{T}
objective::MOI.ScalarQuadraticFunction{T}
objective::Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}}
objective_function_type::_FunctionType
constraints::Vector{MOI.ScalarQuadraticFunction{T}}
constraints::Vector{
Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}},
}
g_L::Vector{T}
g_U::Vector{T}
mult_g::Vector{Union{Nothing,T}}
Expand All @@ -70,7 +72,7 @@
return new(
zero(MOI.ScalarQuadraticFunction{T}),
_kFunctionTypeScalarAffine,
MOI.ScalarQuadraticFunction{T}[],
Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}}[],
T[],
T[],
Union{Nothing,T}[],
Expand Down Expand Up @@ -110,6 +112,18 @@
return y
end

function eval_function(
f::MOI.ScalarAffineFunction{T},
x::Vector{T},
p::Dict{Int64,T},
)::T where {T}
y = f.constant
for term in f.terms
y += term.coefficient * _value(term.variable, x, p)
end
return y
end

function eval_dense_gradient(
∇f::Vector{T},
f::MOI.ScalarQuadraticFunction{T},
Expand All @@ -134,22 +148,48 @@
return
end

function sparse_gradient_structure(f::MOI.ScalarQuadraticFunction{T}) where {T}
indices = Int[]
function eval_dense_gradient(
∇f::Vector{T},
f::MOI.ScalarAffineFunction{T},
x::Vector{T},
p::Dict{Int64,T},
)::Nothing where {T}
for term in f.terms
if !_is_parameter(term.variable)
∇f[term.variable.value] += term.coefficient
end
end
return
end

function append_sparse_gradient_structure!(
f::MOI.ScalarQuadraticFunction,
J,
row,
)
for term in f.affine_terms
if !_is_parameter(term.variable)
push!(indices, term.variable.value)
push!(J, (row, term.variable.value))
end
end
for term in f.quadratic_terms
if !_is_parameter(term.variable_1)
push!(indices, term.variable_1.value)
push!(J, (row, term.variable_1.value))
end
if term.variable_1 != term.variable_2 && !_is_parameter(term.variable_2)
push!(indices, term.variable_2.value)
push!(J, (row, term.variable_2.value))
end
end
return indices
return
end

function append_sparse_gradient_structure!(f::MOI.ScalarAffineFunction, J, row)
for term in f.terms
if !_is_parameter(term.variable)
push!(J, (row, term.variable.value))
end
end
return
end

function eval_sparse_gradient(
Expand Down Expand Up @@ -180,19 +220,34 @@
return i
end

function sparse_hessian_structure(f::MOI.ScalarQuadraticFunction{T}) where {T}
indices = Tuple{Int,Int}[]
i = 1
function eval_sparse_gradient(
∇f::AbstractVector{T},
f::MOI.ScalarAffineFunction{T},
x::Vector{T},
p::Dict{Int64,T},
)::Int where {T}
i = 0
for term in f.terms
if !_is_parameter(term.variable)
i += 1
∇f[i] = term.coefficient
end
end
return i
end

function append_sparse_hessian_structure!(f::MOI.ScalarQuadraticFunction, H)
for term in f.quadratic_terms
if _is_parameter(term.variable_1) || _is_parameter(term.variable_2)
continue
end
push!(indices, (term.variable_1.value, term.variable_2.value))
i += 1
push!(H, (term.variable_1.value, term.variable_2.value))
end
return indices
return
end

append_sparse_hessian_structure!(::MOI.ScalarAffineFunction, H) = nothing

function eval_sparse_hessian(
∇²f::AbstractVector{T},
f::MOI.ScalarQuadraticFunction{T},
Expand All @@ -209,21 +264,32 @@
return i
end

function eval_sparse_hessian(

Check warning on line 267 in src/utils.jl

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Added line #L267 was not covered by tests
∇²f::AbstractVector{T},
f::MOI.ScalarAffineFunction{T},
σ::T,
)::Int where {T}
return 0

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end

Base.length(block::QPBlockData) = length(block.bound_type)

function MOI.set(
block::QPBlockData{T},
::MOI.ObjectiveFunction{F},
f::F,
) where {
T,
F<:Union{
MOI.VariableIndex,
MOI.ScalarAffineFunction{T},
MOI.ScalarQuadraticFunction{T},
},
}
block.objective = convert(MOI.ScalarQuadraticFunction{T}, f)
) where {T,F<:Union{MOI.VariableIndex,MOI.ScalarAffineFunction{T}}}
block.objective = convert(MOI.ScalarAffineFunction{T}, f)
block.objective_function_type = _function_info(f)
return
end

function MOI.set(
block::QPBlockData{T},
::MOI.ObjectiveFunction{MOI.ScalarQuadraticFunction{T}},
f::MOI.ScalarQuadraticFunction{T},
) where {T}
block.objective = f
block.objective_function_type = _function_info(f)
return
end
Expand Down Expand Up @@ -296,7 +362,7 @@
f::Union{MOI.ScalarAffineFunction{T},MOI.ScalarQuadraticFunction{T}},
set::Union{MOI.LessThan{T},MOI.GreaterThan{T},MOI.EqualTo{T}},
) where {T}
push!(block.constraints, convert(MOI.ScalarQuadraticFunction{T}, f))
push!(block.constraints, f)
bound_type, l, u = _set_info(set)
push!(block.g_L, l)
push!(block.g_U, u)
Expand Down Expand Up @@ -404,18 +470,16 @@
g::AbstractVector{T},
x::AbstractVector{T},
) where {T}
for i in 1:length(block.constraints)
g[i] = eval_function(block.constraints[i], x, block.parameters)
for (i, constraint) in enumerate(block.constraints)
g[i] = eval_function(constraint, x, block.parameters)
end
return
end

function MOI.jacobian_structure(block::QPBlockData)
J = Tuple{Int,Int}[]
for (row, constraint) in enumerate(block.constraints)
for col in sparse_gradient_structure(constraint)
push!(J, (row, col))
end
append_sparse_gradient_structure!(constraint, J, row)
end
return J
end
Expand All @@ -434,11 +498,10 @@
end

function MOI.hessian_lagrangian_structure(block::QPBlockData)
H = sparse_hessian_structure(block.objective)
H = Tuple{Int,Int}[]
append_sparse_hessian_structure!(block.objective, H)
for constraint in block.constraints
for (i, j) in sparse_hessian_structure(constraint)
push!(H, (i, j))
end
append_sparse_hessian_structure!(constraint, H)
end
return H
end
Expand Down
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