JuMP interface (#264)

--------- Co-authored-by: Ronny Bergmann <[email protected]>
JuliaManifolds · Nov 6, 2023 · ed8fcef · ed8fcef · kellertuer · Nov 6, 2023
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diff --git a/Changelog.md b/Changelog.md
@@ -5,6 +5,12 @@ All notable Changes to the Julia package `Manopt.jl` will be documented in this
 The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
 and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
 
+## [Unreleased]
+
+### Added
+
+* add `Manopt.JuMP_Optimizer` implementing JuMP's solver interface
+
 ## [0.4.41] - 02/11/2023
 
 ### Changed
@@ -370,4 +376,4 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 * the problem now contains a
 * `AbstractManoptSolverState` replaces `Options`
 * `random_point(M)` is replaced by `rand(M)` from `ManifoldsBase.jl
-* `random_tangent(M, p)` is replaced by `rand(M; vector_at=p)`
+* `random_tangent(M, p)` is replaced by `rand(M; vector_at=p)`
diff --git a/Project.toml b/Project.toml
@@ -1,7 +1,7 @@
 name = "Manopt"
 uuid = "0fc0a36d-df90-57f3-8f93-d78a9fc72bb5"
 authors = ["Ronny Bergmann <[email protected]>"]
-version = "0.4.41"
+version = "0.4.42"
 
 [deps]
 ColorSchemes = "35d6a980-a343-548e-a6ea-1d62b119f2f4"
@@ -22,12 +22,14 @@ Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [weakdeps]
+JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 LRUCache = "8ac3fa9e-de4c-5943-b1dc-09c6b5f20637"
 LineSearches = "d3d80556-e9d4-5f37-9878-2ab0fcc64255"
 Manifolds = "1cead3c2-87b3-11e9-0ccd-23c62b72b94e"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 
 [extensions]
+ManoptJuMPExt = ["JuMP"]
 ManoptLRUCacheExt = "LRUCache"
 ManoptLineSearchesExt = "LineSearches"
 ManoptManifoldsExt = ["Manifolds"]
@@ -39,6 +41,7 @@ ColorTypes = "0.9.1, 0.10, 0.11"
 Colors = "0.11.2, 0.12"
 DataStructures = "0.17, 0.18"
 Dates = "1.6"
+JuMP = "1.15"
 LinearAlgebra = "1.6"
 LRUCache = "1.4"
 ManifoldDiff = "0.3.8"
@@ -56,11 +59,12 @@ julia = "1.6"
 
 [extras]
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
+JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 LRUCache = "8ac3fa9e-de4c-5943-b1dc-09c6b5f20637"
 LineSearches = "d3d80556-e9d4-5f37-9878-2ab0fcc64255"
 Manifolds = "1cead3c2-87b3-11e9-0ccd-23c62b72b94e"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["Test", "ForwardDiff", "Manifolds", "Plots", "LineSearches", "LRUCache"]
+test = ["Test", "ForwardDiff", "JuMP", "Manifolds", "Plots", "LineSearches", "LRUCache"]
diff --git a/Readme.md b/Readme.md
@@ -41,6 +41,7 @@ The following packages are related to `Manopt.jl`
 
 * [`Manifolds.jl`](https://juliamanifolds.github.io/Manifolds.jl/stable/) – a library of manifolds implemented using [`ManifoldsBase.jl`](https://juliamanifolds.github.io/ManifoldsBase.jl/stable/) :octocat: [GitHub repository](https://github.com/JuliaManifolds/Manifolds.jl)
 * [`ManifoldsDiff.jl`](https://juliamanifolds.github.io/ManifoldDiff.jl/stable/) – a package to use (Euclidean) AD tools on manifolds, that also provides several differentials and gradients. :octocat: [GitHub repository](https://github.com/JuliaManifolds/ManifoldDiff.jl)
+* [`JuMP.jl`](https://jump.dev/) can be used as interface to solve an optimization problem with Manopt. See [usage examples](https://manoptjl.org/stable/extensions/). :octocat: [GitHub repository](https://github.com/jump-dev/JuMP.jl)
 
 ## Citation
 

diff --git a/docs/Project.toml b/docs/Project.toml
@@ -9,6 +9,7 @@ DocumenterCitations = "daee34ce-89f3-4625-b898-19384cb65244"
 FiniteDifferences = "26cc04aa-876d-5657-8c51-4c34ba976000"
 Images = "916415d5-f1e6-5110-898d-aaa5f9f070e0"
 JLD2 = "033835bb-8acc-5ee8-8aae-3f567f8a3819"
+JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 LRUCache = "8ac3fa9e-de4c-5943-b1dc-09c6b5f20637"
 LineSearches = "d3d80556-e9d4-5f37-9878-2ab0fcc64255"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"

diff --git a/docs/make.jl b/docs/make.jl
@@ -65,7 +65,7 @@ end
 # (c) load necessary packages for the docs
 using Documenter
 using DocumenterCitations
-using LineSearches, LRUCache, Manopt, Manifolds, Plots
+using JuMP, LineSearches, LRUCache, Manopt, Manifolds, Plots
 
 # (d) add contributing.md to docs
 generated_path = joinpath(@__DIR__, "src")
@@ -112,6 +112,11 @@ makedocs(;
     ),
     modules=[
         Manopt,
+        if isdefined(Base, :get_extension)
+            Base.get_extension(Manopt, :ManoptJuMPExt)
+        else
+            Manopt.ManoptJuMPExt
+        end,
         if isdefined(Base, :get_extension)
             Base.get_extension(Manopt, :ManoptLineSearchesExt)
         else

diff --git a/docs/src/extensions.md b/docs/src/extensions.md
@@ -53,3 +53,54 @@ mid_point
 Manopt.max_stepsize(::TangentBundle, ::Any)
 Manopt.max_stepsize(::FixedRankMatrices, ::Any)
 ```
+
+## JuMP.jl
+
+Manopt can be used using the [JuMP.jl](https://github.com/jump-dev/JuMP.jl) interface.
+The manifold is provided in the `@variable` macro. Note that until now, only variables (points on manifolds) are supported, that are arrays, i.e. especially structs do not yet work.
+The algebraic expression of the objective function is specified in the `@objective` macro.
+The `descent_state_type` attribute specifies the solver.
+
+```julia
+using JuMP, Manopt, Manifolds
+model = Model(Manopt.Optimizer)
+# Change the solver with this option, `GradientDescentState` is the default
+set_attribute("descent_state_type", GradientDescentState)
+@variable(model, U[1:2, 1:2] in Stiefel(2, 2), start = 1.0)
+@objective(model, Min, sum((A - U) .^ 2))
+optimize!(model)
+solution_summary(model)
+```
+
+```@docs
+Manopt.JuMP_ArrayShape
+Manopt.JuMP_VectorizedManifold
+MOI.dimension(::Manopt.JuMP_VectorizedManifold)
+Manopt.JuMP_Optimizer
+MOI.empty!(::Manopt.JuMP_Optimizer)
+MOI.supports(::Manopt.JuMP_Optimizer, ::MOI.RawOptimizerAttribute)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.RawOptimizerAttribute)
+MOI.set(::Manopt.JuMP_Optimizer, ::MOI.RawOptimizerAttribute, ::Any)
+MOI.supports_incremental_interface(::Manopt.JuMP_Optimizer)
+MOI.copy_to(::Manopt.JuMP_Optimizer, ::MOI.ModelLike)
+MOI.supports_add_constrained_variables(::Manopt.JuMP_Optimizer, ::Type{<:Manopt.JuMP_VectorizedManifold})
+MOI.add_constrained_variables(::Manopt.JuMP_Optimizer, ::Manopt.JuMP_VectorizedManifold)
+MOI.is_valid(model::Manopt.JuMP_Optimizer, ::MOI.VariableIndex)
+MOI.get(model::Manopt.JuMP_Optimizer, ::MOI.NumberOfVariables)
+MOI.supports(::Manopt.JuMP_Optimizer, ::MOI.VariablePrimalStart, ::Type{MOI.VariableIndex})
+MOI.set(::Manopt.JuMP_Optimizer, ::MOI.VariablePrimalStart, ::MOI.VariableIndex, ::Union{Real,Nothing})
+MOI.set(::Manopt.JuMP_Optimizer, ::MOI.ObjectiveSense, ::MOI.OptimizationSense)
+MOI.set(::Manopt.JuMP_Optimizer, ::MOI.ObjectiveFunction{F}, ::F) where {F}
+MOI.supports(::Manopt.JuMP_Optimizer, ::Union{MOI.ObjectiveSense,MOI.ObjectiveFunction})
+JuMP.build_variable(::Function, ::Any, ::Manopt.AbstractManifold)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.ResultCount)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.SolverName)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.ObjectiveValue)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.PrimalStatus)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.DualStatus)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.TerminationStatus)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.SolverVersion)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.ObjectiveSense)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.VariablePrimal, ::MOI.VariableIndex)
+MOI.get(::Manopt.JuMP_Optimizer, ::MOI.RawStatusString)
+```