Support Nonlinear Expressions (#161)

* Initial tree implementation * add LCRSTrees pkg * more LCRST progress * starting nlp functions * Added more NLP functions * Added operator precedence to printing * improve printing precedence * Added expression mapping * Performance improvements * Added NLP transcription * More additions/fixes * bug fixes * doctest fix * add LCRST extension tests * fix nlp expression map bug * measure transcription bug * Another measure trasncription bug fix * test fix * Temporary hack for transcription * test fix * Fix nlp to ast bug * Added tests * added tests and bug fix * test fix * test fix * Added more tests and bug fixes * More tests * even more tests * More tests * more tests and bug fixes * Minor fixes * minor test fixes * Fixed tests * activate tests * progress on the new docs * doctest fix * doctest fix 2 * Added more docs * Updated docs * doc fix * added registration * Finalizing touches * Fixes and debug statement * potential fixes * doctest_fix * module check fix * doctest fix * doc fixes * [ci skip] minor doc addition
infiniteopt · Oct 22, 2021 · a8eb2f6 · a8eb2f6
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diff --git a/Project.toml b/Project.toml
@@ -4,24 +4,33 @@ authors = ["Joshua Pulsipher and Weiqi Zhang"]
 version = "0.4.3"
 
 [deps]
+AbstractTrees = "1520ce14-60c1-5f80-bbc7-55ef81b5835c"
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838"
 JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
+LeftChildRightSiblingTrees = "1d6d02ad-be62-4b6b-8a6d-2f90e265016e"
+LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+MutableArithmetics = "d8a4904e-b15c-11e9-3269-09a3773c0cb0"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
+SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
 
 [compat]
+AbstractTrees = "0.3"
 DataStructures = "^0.14.2, 0.15, 0.16, 0.17, 0.18"
 Distributions = "0.19, 0.20, 0.21, 0.22, 0.23, 0.24, 0.25"
 FastGaussQuadrature = "^0.3.2, 0.4"
-JuMP = "0.21.9"
+JuMP = "0.21.10"
+LeftChildRightSiblingTrees = "0.1"
+MutableArithmetics = "0.2"
 Reexport = "0.2, 1"
+SpecialFunctions = "0.8, 0.9, 0.10, 1"
 julia = "1"
 
 [extras]
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
-LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+Suppressor = "fd094767-a336-5f1f-9728-57cf17d0bbfb"
 
 [targets]
-test = ["Test", "Random", "LinearAlgebra"]
+test = ["Test", "Random", "Suppressor"]
diff --git a/README.md b/README.md
@@ -20,10 +20,10 @@ It builds upon `JuMP` to add support for many complex modeling objects which
 include:
 - Infinite parameters (e.g., time, space, uncertainty, etc.)
 - Finite parameters (similar to `ParameterJuMP`)
-- Infinite variables (e.g., `y(t, x)`)
+- Infinite variables (decision functions) (e.g., `y(t, x)`)
 - Derivatives (e.g., `∂y(t, x)/∂t`)
 - Measures (e.g., `∫y(t,x)dt`, `𝔼[y(ξ)]`)
-- More
+- **1st class nonlinear modeling**
 
 The unifying modeling abstraction behind `InfiniteOpt` captures a wide spectrum 
 of disciplines which include dynamic, PDE, stochastic, and semi-infinite 

diff --git a/docs/Project.toml b/docs/Project.toml
@@ -7,6 +7,7 @@ Ipopt = "b6b21f68-93f8-5de0-b562-5493be1d77c9"
 Literate = "98b081ad-f1c9-55d3-8b20-4c87d4299306"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [compat]
@@ -17,4 +18,5 @@ InfiniteOpt = "0.4"
 Ipopt = "0.7"
 Literate = "2.8"
 Plots = "1"
+SpecialFunctions = "1.7"
 julia = "1.6"
diff --git a/docs/src/develop/extensions.md b/docs/src/develop/extensions.md
@@ -714,7 +714,6 @@ extended using the following steps:
     - [`InfiniteOpt.map_value`](@ref) (enables `JuMP.value`)
     - [`InfiniteOpt.map_optimizer_index`](@ref) (enables `JuMP.optimizer_index`)
     - [`InfiniteOpt.map_dual`](@ref) (enables `JuMP.dual`)
-    - [`InfiniteOpt.map_shadow_price`](@ref) (enables `JuMP.shadow_price`)
 11. Extend [`InfiniteOpt.add_point_variable`](@ref) and 
     [`InfiniteOpt.add_semi_infinite_variable`](@ref) to use 
     [`expand_measure`](@ref) without modifying the infinite model.
@@ -801,6 +800,7 @@ build our `InfiniteModel` as normal, for example:
 @objective(model, Min, z + expect(y[1] + y[2], ξ))
 @constraint(model, 2y[1] - z <= 42)
 @constraint(model, y[2]^2 + ξ == 2)
+@constraint(model, sin(z) >= -1)
 print(model)
 
 # output
@@ -810,6 +810,7 @@ Subject to
  y[2](ξ) ≥ 0.0, ∀ ξ ~ Uniform
  2 y[1](ξ) - z ≤ 42.0, ∀ ξ ~ Uniform
  y[2](ξ)² + ξ = 2.0, ∀ ξ ~ Uniform
+ sin(z) - -1 ≥ 0.0
 ```
 
 We have defined our `InfiniteModel`, but now we need to specify how to 
@@ -864,16 +865,13 @@ function _make_expression(
     )
     return _make_expression(opt_model, measure_function(expr))
 end
-# AffExpr
-function _make_expression(opt_model::Model, expr::GenericAffExpr)
-    return @expression(opt_model, sum(c * _make_expression(opt_model, v) 
-                       for (c, v) in linear_terms(expr)) + constant(expr))
+# AffExpr/QuadExpr
+function _make_expression(opt_model::Model, expr::Union{GenericAffExpr, GenericQuadExpr})
+    return map_expression(v -> _make_expression(opt_model, v), expr)
 end
-# QuadExpr
-function _make_expression(opt_model::Model, expr::GenericQuadExpr)
-    return @expression(opt_model, sum(c * _make_expression(opt_model, v1) * 
-                       _make_expression(opt_model, v2) for (c, v1, v2) in quad_terms(expr)) + 
-                       _make_expression(opt_model, expr.aff))
+# NLPExpr
+function _make_expression(opt_model::Model, expr::NLPExpr)
+    return add_NL_expression(opt_model, map_nlp_to_ast(v -> _make_expression(opt_model, v), expr))
 end
 
 # output
@@ -883,7 +881,8 @@ _make_expression (generic function with 8 methods)
 For simplicity in example, above we assume that only `DistributionDomain`s are 
 used, there are not any `PointVariableRef`s, and all `MeasureRef`s correspond to 
 expectations. Naturally, a full extension should include checks to enforce that 
-such assumptions hold.
+such assumptions hold. Notice that [`map_expression`](@ref) and 
+[`map_nlp_to_ast`](@ref) are useful for converting expressions.
 
 Now let's extend [`build_optimizer_model!`](@ref) for `DeterministicModel`s. 
 Such extensions should build an optimizer model in place and in general should 
@@ -904,6 +903,9 @@ function InfiniteOpt.build_optimizer_model!(
     # clear the model for a build/rebuild
     determ_model = InfiniteOpt.clear_optimizer_model_build!(model)
 
+    # add the registered functions if there are any
+    add_registered_to_jump(determ_model, model)
+
     # add variables
     for vref in all_variables(model)
         dvref = dispatch_variable_ref(vref)
@@ -919,16 +921,31 @@ function InfiniteOpt.build_optimizer_model!(
     end
 
     # add the objective
-    set_objective(determ_model, objective_sense(model),
-                   _make_expression(determ_model, objective_function(model)))
+    obj_func = _make_expression(determ_model, objective_function(model))
+    if obj_func isa NonlinearExpression
+        set_NL_objective(determ_model, objective_sense(model), obj_func)
+    else
+        set_objective(determ_model, objective_sense(model), obj_func)
+    end
 
     # add the constraints
     for cref in all_constraints(model)
         if !InfiniteOpt._is_info_constraint(cref)
             constr = constraint_object(cref)
-            new_constr = build_constraint(error, _make_expression(determ_model, constr.func),
-                                          constr.set)
-            new_cref = add_constraint(determ_model, new_constr, name(cref))
+            new_func = _make_expression(determ_model, constr.func)
+            if new_func isa NonlinearExpression
+                if constr.set isa MOI.LessThan
+                    ex = :($new_func <= $(constr.set.upper))
+                elseif constr.set isa MOI.GreaterThan
+                    ex = :($new_func >= $(constr.set.lower))
+                else # assume it is MOI.EqualTo
+                    ex = :($new_func == $(constr.set.value))
+                end
+                new_cref = add_NL_constraint(determ_model, ex)
+            else
+                new_constr = build_constraint(error, new_func, constr.set)
+                new_cref = add_constraint(determ_model, new_constr, name(cref))
+            end
             deterministic_data(determ_model).infconstr_to_detconstr[cref] = new_cref
         end
     end
@@ -954,6 +971,9 @@ Subject to
  y[2]² = 1.5
  y[1] ≥ 0.0
  y[2] ≥ 0.0
+ subexpression[1] - 0.0 ≥ 0
+With NL expressions
+ subexpression[1]: sin(z) - -1.0
 ```
 Note that better variable naming could be used with the reformulated infinite 
 variables. Moreover, in general extensions of [`build_optimizer_model!`](@ref) 
@@ -1040,3 +1060,7 @@ solution techniques. These extension packages can implement any of the extension
 shown above and likely will want to introduce wrapper functions and macros to 
 use package specific terminology (e.g., using random variables instead of 
 infinite variables).
+
+Please reach out to us via the 
+[discussion forum](https://github.com/pulsipher/InfiniteOpt.jl/discussions) to 
+discuss your plans before starting this on your own.
diff --git a/docs/src/guide/constraint.md b/docs/src/guide/constraint.md
@@ -18,11 +18,6 @@ are enforced over some specified sub-domain of its infinite parameter
 dependencies (e.g., boundary conditions). This page will highlight how to 
 implement these types of constraints in `InfiniteOpt`.
 
-!!! note 
-    Nonlinear constraints as defined by `JuMP.@NLconstraint` are not currently 
-    supported by `InfiniteOpt`. See [Nonlinear Expressions](@ref) for more 
-    information and possible workarounds. 
-
 ## Basic Usage
 Principally, the 
 [`@constraint`](https://jump.dev/JuMP.jl/v0.21.10/reference/constraints/#JuMP.@constraint) 
@@ -48,6 +43,11 @@ julia> @variable(model, z[1:2]);
     see [JuMP's constraint documentation](https://jump.dev/JuMP.jl/v0.21.10/manual/constraints/#Constraints) 
     for a thorough explanation of the supported types and syntax.
 
+!!! note 
+    Nonlinear constraints are defined simply by using  `@constraint` and not 
+    using `JuMP.@NLconstraint`. See [Nonlinear Expressions](@ref nlp_guide) for 
+    more information. 
+
 ### Scalar Constraints
 Scalar constraints use scalar functions of variables. For example, let's define 
 the constraint