MathOptInterface, SCIP and HiGHS as weak dependencies

Project.toml

@@ -16,6 +16,14 @@ Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 SCIP = "82193955-e24f-5292-bf16-6f2c5261a85f"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 
+[weakdeps]
+HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
+SCIP = "82193955-e24f-5292-bf16-6f2c5261a85f"
+
+[extensions]
+BosciaHiGHSExt = "HiGHS"
+BosciaSCIPExt = "SCIP"
+
 [compat]
 Bonobo = "0.1.3"
 DataStructures = "0.18"
@@ -31,6 +39,7 @@ julia = "1.6"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+SCIP = "82193955-e24f-5292-bf16-6f2c5261a85f"
 
 [targets]
-test = ["Test", "HiGHS", "Distributions"]
+test = ["Test", "HiGHS", "Distributions", "SCIP"]

examples/approx_planted_point.jl

@@ -45,8 +45,8 @@ diffi = Random.rand(Bool, n) * 0.6 .+ 0.3
 
         bounds = Boscia.IntegerBounds()
         for i in 1:n 
-            push!(bounds, (i, MOI.GreaterThan(0.0)))
-            push!(bounds, (i, MOI.LessThan(1.0)))
+            push!(bounds, (i, 0.0), :greaterthan)
+            push!(bounds, (i, 1.0), :lessthan)
         end
         blmo = Boscia.CubeBLMO(n, int_vars, bin_vars, bounds)
 

examples/lasso.jl

@@ -106,10 +106,10 @@ push!(groups, ((k_int-1)*group_size+1):p)
     lmo = FrankWolfe.MathOptLMO(o)
     global_bounds = Boscia.IntegerBounds()
     for i in 1:p
-        push!(global_bounds, (i + p, MOI.GreaterThan(0.0)))
-        push!(global_bounds, (i + p, MOI.LessThan(1.0)))
-        push!(global_bounds, (i, MOI.GreaterThan(-M_g)))
-        push!(global_bounds, (i, MOI.LessThan(M_g)))
+        push!(global_bounds, (i + p, 0.0), :greaterthan)
+        push!(global_bounds, (i + p, 1.0), :lessthan)
+        push!(global_bounds, (i, -M_g), :greaterthan)
+        push!(global_bounds, (i, M_g), :lessthan)
     end
 
     function f(x)

ext/BosciaHiGHSExt.jl

@@ -0,0 +1,11 @@
+module BosciaHiGHSExt
+
+using Boscia
+using HiGHS
+using MathOptInterface
+const MOI = MathOptInterface
+const MOIU = MOI.Utilities
+
+import MathOptSetDistances as MOD
+
+end # module

ext/BosciaSCIPExt.jl

@@ -0,0 +1,48 @@
+module BosciaSCIPExt
+
+using Boscia
+using MathOptInterface
+using SCIP
+const MOI = MathOptInterface
+const MOIU = MOI.Utilities
+
+import MathOptSetDistances as MOD
+
+"""
+Finds the best solution in the SCIP solution storage, based on the objective function `f`.
+Returns the solution vector and the corresponding best value.
+"""
+function Boscia.find_best_solution(f::Function, o::SCIP.Optimizer, vars::Vector{MOI.VariableIndex}, domain_oracle)
+    sols_vec =
+        unsafe_wrap(Vector{Ptr{Cvoid}}, SCIP.LibSCIP.SCIPgetSols(o), SCIP.LibSCIP.SCIPgetNSols(o))
+    best_val = Inf
+    best_v = nothing
+    for sol in sols_vec
+        v = SCIP.sol_values(o, vars, sol)
+        if domain_oracle(v)
+            val = f(v)
+            if val < best_val
+                best_val = val
+                best_v = v
+            end
+        end
+    end
+    #@assert isfinite(best_val) -> not necessarily the case if the domain oracle is not the default.
+    return (best_v, best_val)
+end
+
+""" 
+Cleanup internal SCIP model
+"""
+function Boscia.free_model(o::SCIP.Optimizer)
+    SCIP.SCIPfreeTransform(o)
+end
+
+"""
+Get solving tolerance.
+"""
+function Boscia.get_tol(o::SCIP.Optimizer)
+    return MOI.get(o, MOI.RawOptimizerAttribute("numerics/feastol"))
+end
+
+end # module

src/Boscia.jl

@@ -4,16 +4,13 @@ using FrankWolfe
 import FrankWolfe: compute_extreme_point
 export compute_extreme_point
 using Random
-using SCIP
-import MathOptInterface
 import Bonobo
 using Printf
 using Dates
+using MathOptInterface
 const MOI = MathOptInterface
 const MOIU = MOI.Utilities
-
 import MathOptSetDistances as MOD
-
 include("integer_bounds.jl")
 include("blmo_interface.jl")
 include("time_tracking_lmo.jl")
@@ -30,4 +27,10 @@ include("interface.jl")
 include("MOI_bounded_oracle.jl")
 include("cube_blmo.jl")
 
+# For extensions
+if !isdefined(Base, :get_extension)
+    include("../ext/BosciaSCIPExt.jl")
+    include("../ext/BosciaHiGHSExt.jl")
+end
+
 end # module