# Manual

## Purpose

Each mathematical optimization solver API has its own concepts and data structures for representing optimization models and obtaining results. However, it is often desirable to represent an instance of an optimization problem at a higher level so that it is easy to try using different solvers. MathOptInterface (MOI) is an abstraction layer designed to provide a unified interface to mathematical optimization solvers so that users do not need to understand multiple solver-specific APIs. MOI can be used directly, or through a higher-level modeling interface like JuMP.

MOI has been designed to replace MathProgBase, which has been used by modeling packages such as JuMP and Convex.jl. This second-generation abstraction layer addresses a number of limitations of MathProgBase. MOI is designed to:

Be simple and extensible, unifying linear, quadratic, and conic optimization, and seamlessly facilitate extensions to essentially arbitrary constraints and functions (e.g., indicator constraints, complementarity constraints, and piecewise linear functions)

Be fast by allowing access to a solver's in-memory representation of a problem without writing intermediate files (when possible) and by using multiple dispatch and avoiding requiring containers of nonconcrete types

Allow a solver to return multiple results (e.g., a pool of solutions)

Allow a solver to return extra arbitrary information via attributes (e.g., variable- and constraint-wise membership in an irreducible inconsistent subset for infeasibility analysis)

Provide a greatly expanded set of status codes explaining what happened during the optimization procedure

Enable a solver to more precisely specify which problem classes it supports

Enable both primal and dual warm starts

Enable adding and removing both variables and constraints by indices that are not required to be consecutive

Enable any modification that the solver supports to an existing model

Avoid requiring the solver wrapper to store an additional copy of the problem data

This manual introduces the concepts needed to understand MOI and give a high-level picture of how all of the pieces fit together. The primary focus is on MOI from the perspective of a user of the interface. At the end of the manual we have a section on Implementing a solver interface. The API Reference page lists the complete API.

MOI does not export functions, but for brevity we often omit qualifying names with the MOI module. Best practice is to have

```
using MathOptInterface
const MOI = MathOptInterface
```

and prefix all MOI methods with `MOI.`

in user code. If a name is also available in base Julia, we always explicitly use the module prefix, for example, with `MOI.get`

.

## Standard form problem

The standard form problem is:

where:

the functions $f_0, f_1, \ldots, f_m$ are specified by

`AbstractFunction`

objectsthe sets $\mathcal{S}_1, \ldots, \mathcal{S}_m$ are specified by

`AbstractSet`

objects

The current function types are:

: $x_j$, i.e., projection onto a single coordinate defined by a variable index $j$`SingleVariable`

: projection onto multiple coordinates (i.e., extracting a subvector)`VectorOfVariables`

: $a^T x + b$, where $a$ is a vector and $b$ scalar`ScalarAffineFunction`

: $A x + b$, where $A$ is a matrix and $b$ is a vector`VectorAffineFunction`

: $\frac{1}{2} x^T Q x + a^T x + b$, where $Q$ is a symmetric matrix, $a$ is a vector, and $b$ is a constant`ScalarQuadraticFunction`

: a vector of scalar-valued quadratic functions`VectorQuadraticFunction`

Extensions for nonlinear programming are present but not yet well documented.

MOI defines some commonly used sets, but the interface is extensible to other sets recognized by the solver.

: $\{ x \in \mathbb{R} : x \le \mbox{upper} \}$`LessThan(upper)`

: $\{ x \in \mathbb{R} : x \ge \mbox{lower} \}$`GreaterThan(lower)`

: $\{ x \in \mathbb{R} : x = \mbox{value} \}$`EqualTo(value)`

: $\{ x \in \mathbb{R} : x \in [\mbox{lower},\mbox{upper}] \}$`Interval(lower, upper)`

: $\mathbb{R}^\mbox{dimension}$`Reals(dimension)`

: $0^\mbox{dimension}$`Zeros(dimension)`

: $\{ x \in \mathbb{R}^\mbox{dimension} : x \ge 0 \}$`Nonnegatives(dimension)`

: $\{ x \in \mathbb{R}^\mbox{dimension} : x \le 0 \}$`Nonpositives(dimension)`

: $\{ (t,x) \in \mathbb{R}^\mbox{dimension} : t \ge ||x||_2 \}$`SecondOrderCone(dimension)`

: $\{ (t,u,x) \in \mathbb{R}^\mbox{dimension} : 2tu \ge ||x||_2^2, t,u \ge 0 \}$`RotatedSecondOrderCone(dimension)`

: $\{ (t,x) \in \mathbb{R}^{n+1} : x \ge 0, t \le \sqrt[n]{x_1 x_2 \cdots x_n} \}$ where $n$ is $dimension - 1$`GeometricMeanCone(dimension)`

: $\{ (x,y,z) \in \mathbb{R}^3 : y \exp (x/y) \le z, y > 0 \}$`ExponentialCone()`

: $\{ (u,v,w) \in \mathbb{R}^3 : -u \exp (v/u) \le exp(1) w, u < 0 \}$`DualExponentialCone()`

: $\{ (x,y,z) \in \mathbb{R}^3 : x^\mbox{exponent} y^{1-\mbox{exponent}} \ge |z|, x,y \ge 0 \}$`PowerCone(exponent)`

: $\{ (u,v,w) \in \mathbb{R}^3 : \frac{u}{\mbox{exponent}}^\mbox{exponent} \frac{v}{1-\mbox{exponent}}^{1-\mbox{exponent}} \ge |w|, u,v \ge 0 \}$`DualPowerCone(exponent)`

: $\{ X \in \mathbb{R}^{\mbox{dimension}(\mbox{dimension}+1)/2} : X \mbox{is the upper triangle of a PSD matrix}\}$`PositiveSemidefiniteConeTriangle(dimension)`

: $\{ X \in \mathbb{R}^{\mbox{dimension}^2} : X \mbox{is a PSD matrix}\}$`PositiveSemidefiniteConeSquare(dimension)`

: $\{ (t,X) \in \mathbb{R}^{1+\mbox{dimension}(1+\mbox{dimension})/2} : t \le \log(\det(X)), X \mbox{is the upper triangle of a PSD matrix}\}$`LogDetConeTriangle(dimension)`

: $\{ (t,X) \in \mathbb{R}^{1+\mbox{dimension}^2} : t \le \log(\det(X)), X \mbox{is a PSD matrix}\}$`LogDetConeSquare(dimension)`

: $\{ (t,X) \in \mathbb{R}^{1+\mbox{dimension}(1+\mbox{dimension})/2} : t \le det(X)^{1/\mbox{dimension}}, X \mbox{is the upper triangle of a PSD matrix}\}$`RootDetConeTriangle(dimension)`

: $\{ (t,X) \in \mathbb{R}^{1+\mbox{dimension}^2} : t \le \det(X)^{1/\mbox{dimension}}, X \mbox{is a PSD matrix}\}$`RootDetConeSquare(dimension)`

: $\mathbb{Z}$`Integer()`

: $\{ 0, 1 \}$`ZeroOne()`

: $\{ 0\} \cup [lower,upper]$`Semicontinuous(lower,upper)`

: $\{ 0\} \cup \{lower,lower+1,\ldots,upper-1,upper\}$`Semiinteger(lower,upper)`

## The `ModelLike`

and `AbstractOptimizer`

APIs

The most significant part of MOI is the definition of the **model API** that is used to specify an instance of an optimization problem (e.g., by adding variables and constraints). Objects that implement the model API should inherit from the `ModelLike`

abstract type.

Notably missing from the model API is the method to solve an optimization problem. `ModelLike`

objects may store an instance (e.g., in memory or backed by a file format) without being linked to a particular solver. In addition to the model API, MOI defines `AbstractOptimizer`

. *Optimizers* (or solvers) implement the model API (inheriting from `ModelLike`

) and additionally provide methods to solve the model.

Through the rest of the manual, `model`

is used as a generic `ModelLike`

, and `optimizer`

is used as a generic `AbstractOptimizer`

.

[Discuss how models are constructed, optimizer attributes.]

## Variables

All variables in MOI are scalar variables. New scalar variables are created with `add_variable`

or `add_variables`

, which return a `VariableIndex`

or `Vector{VariableIndex}`

respectively. `VariableIndex`

objects are type-safe wrappers around integers that refer to a variable in a particular model.

One uses `VariableIndex`

objects to set and get variable attributes. For example, the `VariablePrimalStart`

attribute is used to provide an initial starting point for a variable or collection of variables:

```
v = add_variable(model)
set(model, VariablePrimalStart(), v, 10.5)
v2 = add_variables(model, 3)
set(model, VariablePrimalStart(), v2, [1.3,6.8,-4.6])
```

A variable can be deleted from a model with `delete(::ModelLike, ::VariableIndex)`

. Not all models support deleting variables; an `DeleteNotAllowed`

error is thrown if this is not supported.

## Functions

MOI defines six functions as listed in the definition of the Standard form problem. The simplest function is `SingleVariable`

defined as:

```
struct SingleVariable <: AbstractFunction
variable::VariableIndex
end
```

If `v`

is a `VariableIndex`

object, then `SingleVariable(v)`

is simply the scalar-valued function from the complete set of variables in a model that returns the value of variable `v`

. One may also call this function a coordinate projection, which is more useful for defining constraints than as an objective function.

A more interesting function is `ScalarAffineFunction`

, defined as

```
struct ScalarAffineFunction{T} <: AbstractScalarFunction
terms::Vector{ScalarAffineTerm{T}}
constant::T
end
```

The `ScalarAffineTerm`

struct defines a variable-coefficient pair:

```
struct ScalarAffineTerm{T}
coefficient::T
variable_index::VariableIndex
end
```

If `x`

is a vector of `VariableIndex`

objects, then `ScalarAffineFunction(ScalarAffineTerm.([5.0,-2.3],[x[1],x[2]]),1.0)`

represents the function $5x_1 - 2.3x_2 + 1$.

`ScalarAffineTerm.([5.0,-2.3],[x[1],x[2]])`

is a shortcut for `[ScalarAffineTerm(5.0, x[1]), ScalarAffineTerm(-2.3, x[2])]`

. This is Julia's broadcast syntax and is used quite often.

Objective functions are assigned to a model by setting the `ObjectiveFunction`

attribute. The `ObjectiveSense`

attribute is used for setting the optimization sense. For example,

```
x = add_variables(model, 2)
set(model, ObjectiveFunction{ScalarAffineFunction{Float64}}(),
ScalarAffineFunction(ScalarAffineTerm.([5.0,-2.3],[x[1],x[2]]),1.0))
set(model, ObjectiveSense(), MinSense)
```

sets the objective to the function just discussed in the minimization sense.

See Functions and function modifications for the complete list of functions.

## Sets and Constraints

All constraints are specified with `add_constraint`

by restricting the output of some function to a set. The interface allows an arbitrary combination of functions and sets, but of course solvers may decide to support only a small number of combinations.

For example, linear programming solvers should support, at least, combinations of affine functions with the `LessThan`

and `GreaterThan`

sets. These are simply linear constraints. `SingleVariable`

functions combined with these same sets are used to specify upper and lower bounds on variables.

The code example below encodes the linear optimization problem:

```
x = add_variables(model, 2)
set(model, ObjectiveFunction{ScalarAffineFunction{Float64}}(),
ScalarAffineFunction(ScalarAffineTerm.([3.0, 2.0], x), 0.0))
set(model, ObjectiveSense(), MaxSense)
add_constraint(model, ScalarAffineFunction(ScalarAffineTerm.(1.0, x), 0.0),
LessThan(5.0))
add_constraint(model, SingleVariable(x[1]), GreaterThan(0.0))
add_constraint(model, SingleVariable(x[2]), GreaterThan(-1.0))
```

Besides scalar-valued functions in scalar-valued sets it possible to use vector-valued functions and sets.

The code example below encodes the convex optimization problem:

```
x,y,z = add_variables(model, 3)
set(model, ObjectiveFunction{ScalarAffineFunction{Float64}}(),
ScalarAffineFunction(ScalarAffineTerm.(1.0, [y,z]), 0.0))
set(model, ObjectiveSense(), MaxSense)
vector_terms = [VectorAffineTerm(1, ScalarAffineTerm(3.0, x))]
add_constraint(model, VectorAffineFunction(vector_terms,[-2.0]), Zeros(1))
add_constraint(model, VectorOfVariables([x,y,z]), SecondOrderCone(3))
```

[Describe `ConstraintIndex`

objects.]

### Constraints by function-set pairs

Below is a list of common constraint types and how they are represented as function-set pairs in MOI. In the notation below, $x$ is a vector of decision variables, $x_i$ is a scalar decision variable, and all other terms are fixed constants.

[Define notation more precisely. $a$ vector; $A$ matrix; don't reuse $u,l,b$ as scalar and vector]

#### Linear constraints

Mathematical Constraint | MOI Function | MOI Set |
---|---|---|

$a^Tx \le u$ | `ScalarAffineFunction` | `LessThan` |

$a^Tx \ge l$ | `ScalarAffineFunction` | `GreaterThan` |

$a^Tx = b$ | `ScalarAffineFunction` | `EqualTo` |

$l \le a^Tx \le u$ | `ScalarAffineFunction` | `Interval` |

$x_i \le u$ | `SingleVariable` | `LessThan` |

$x_i \ge l$ | `SingleVariable` | `GreaterThan` |

$x_i = b$ | `SingleVariable` | `EqualTo` |

$l \le x_i \le u$ | `SingleVariable` | `Interval` |

$Ax + b \in \mathbb{R}_+^n$ | `VectorAffineFunction` | `Nonnegatives` |

$Ax + b \in \mathbb{R}_-^n$ | `VectorAffineFunction` | `Nonpositives` |

$Ax + b = 0$ | `VectorAffineFunction` | `Zeros` |

By convention, solvers are not expected to support nonzero constant terms in the `ScalarAffineFunction`

s the first four rows above, because they are redundant with the parameters of the sets. For example, $2x + 1 \le 2$ should be encoded as $2x \le 1$.

Constraints with `SingleVariable`

in `LessThan`

, `GreaterThan`

, `EqualTo`

, or `Interval`

sets have a natural interpretation as variable bounds. As such, it is typically not natural to impose multiple lower or upper bounds on the same variable, and by convention we do not ask solver interfaces to support this. It is natural, however, to impose upper and lower bounds separately as two different constraints on a single variable. The difference between imposing bounds by using a single `Interval`

constraint and by using separate `LessThan`

and `GreaterThan`

constraints is that the latter will allow the solver to return separate dual multipliers for the two bounds, while the former will allow the solver to return only a single dual for the interval constraint.

[Define $\mathbb{R}_+, \mathbb{R}_-$]

#### Conic constraints

Mathematical Constraint | MOI Function | MOI Set |
---|---|---|

$\lVert Ax + b\rVert_2 \le c^Tx + d$ | `VectorAffineFunction` | `SecondOrderCone` |

$y \ge \lVert x \rVert_2$ | `VectorOfVariables` | `SecondOrderCone` |

$2yz \ge \lVert x \rVert_2^2, y,z \ge 0$ | `VectorOfVariables` | `RotatedSecondOrderCone` |

$(a_1^Tx + b_1,a_2^Tx + b_2,a_3^Tx + b_3) \in \mathcal{E}$ | `VectorAffineFunction` | `ExponentialCone` |

$A(x) \in \mathcal{S}_+$ | `VectorAffineFunction` | `PositiveSemidefiniteConeTriangle` |

$A(x) \in \mathcal{S}'_+$ | `VectorAffineFunction` | `PositiveSemidefiniteConeSquare` |

$x \in \mathcal{S}_+$ | `VectorOfVariables` | `PositiveSemidefiniteConeTriangle` |

$x \in \mathcal{S}'_+$ | `VectorOfVariables` | `PositiveSemidefiniteConeSquare` |

[Define $\mathcal{E}$ (exponential cone), $\mathcal{S}_+$ (smat), $\mathcal{S}'_+$ (svec). $A(x)$ is an affine function of $x$ that outputs a matrix.]

#### Quadratic constraints

Mathematical Constraint | MOI Function | MOI Set |
---|---|---|

$x^TQx + a^Tx + b \ge 0$ | `ScalarQuadraticFunction` | `GreaterThan` |

$x^TQx + a^Tx + b \le 0$ | `ScalarQuadraticFunction` | `LessThan` |

$x^TQx + a^Tx + b = 0$ | `ScalarQuadraticFunction` | `EqualTo` |

Bilinear matrix inequality | `VectorQuadraticFunction` | `PositiveSemidefiniteCone...` |

#### Discrete and logical constraints

Mathematical Constraint | MOI Function | MOI Set |
---|---|---|

$x_i \in \mathbb{Z}$ | `SingleVariable` | `Integer` |

$x_i \in \{0,1\}$ | `SingleVariable` | `ZeroOne` |

$x_i \in \{0\} \cup [l,u]$ | `SingleVariable` | `Semicontinuous` |

$x_i \in \{0\} \cup \{l,l+1,\ldots,u-1,u\}$ | `SingleVariable` | `Semiinteger` |

At most one component of $x$ can be nonzero | `VectorOfVariables` | `SOS1` |

At most two components of $x$ can be nonzero, and if so they must be adjacent components | `VectorOfVariables` | `SOS2` |

## Solving and retrieving the results

Once an optimizer is loaded with the objective function and all of the constraints, we can ask the solver to solve the model by calling `optimize!`

.

`optimize!(optimizer)`

The optimization procedure may terminate for a number of reasons. The `TerminationStatus`

attribute of the optimizer returns a `TerminationStatusCode`

object which explains why the solver stopped. Some statuses indicate generally successful termination, some termination because of limit, and some termination because of something unexpected like invalid problem data or failure to converge. A typical usage of the `TerminationStatus`

attribute is as follows:

```
status = MOI.get(optimizer, TerminationStatus())
if status == Success
# Ok, the solver has a result to return
else
# Handle other cases
# The solver may or may not have a result
end
```

The `Success`

status code specifically implies that the solver has a "result" to return. In the case that the solver converged to an optimal solution, this result will just be the optimal solution vector. The `PrimalStatus`

attribute returns a `ResultStatusCode`

that explains how to interpret the result. In the case that the solver is known to return globally optimal solutions (up to numerical tolerances), the combination of `Success`

termination status and `FeasiblePoint`

primal result status implies that the primal result vector should be interpreted as a globally optimal solution. A result may be available even if the status is not `Success`

, for example, if the solver stopped because of a time limit and has a feasible but nonoptimal solution. Use the `ResultCount`

attribute to check if one or more results are available.

In addition to the primal status, the `DualStatus`

provides important information for primal-dual solvers.

If a result is available, it may be retrieved with the `VariablePrimal`

attribute:

`MOI.get(optimizer, VariablePrimal(), x)`

If `x`

is a `VariableIndex`

then the function call returns a scalar, and if `x`

is a `Vector{VariableIndex}`

then the call returns a vector of scalars. `VariablePrimal()`

is equivalent to `VariablePrimal(1)`

, i.e., the variable primal vector of the first result. Use `VariablePrimal(N)`

to access the `N`

th result.

See also the attributes `ConstraintPrimal`

, and `ConstraintDual`

. See Duals for a discussion of the MOI conventions for primal-dual pairs and certificates.

### Common status situations

The sections below describe how to interpret different status cases for three common classes of solvers. Most importantly, it is essential to know if a solver is expected to provide a global or only locally optimal solution when interpreting the result statuses. Solver wrappers may provide additional information on how the solver's statuses map to MOI statuses.

#### Primal-dual convex solver

A typical primal-dual solver is capable of certifying optimality of a solution to a convex optimization problem by providing a primal-dual feasible solution with matching objective values. It may also certify that either the primal or dual problem is infeasible by providing a certain ray of the dual or primal, respectively. Typically two solves are required to certify unboundedness, one to find a ray and a second to find a feasible point. A solver may also provide a facial reduction certificate. When a primal-dual solver terminates with `Success`

status, it is reasonable to assume that a primal and dual statuses of `FeasiblePoint`

imply that the corresponding primal-dual results are a (numerically) optimal primal-dual pair. The `AlmostSuccess`

status implies that the solve has completed to relaxed tolerances, so in this case `FeasiblePoint`

or `NearlyFeasiblePoint`

statuses would imply a near-optimal primal-dual pair. For all other termination statuses, there are no specific guarantees on the results returned.

#### Global mixed-integer or nonconvex solver

When a global solver returns `Success`

and the primal result is a `FeasiblePoint`

, then it is implied that the primal result is indeed a globally optimal solution up to the specified tolerances. Typically, no dual certificate is available to certify optimality. The `ObjectiveBound`

should provide extra information on the optimality gap.

#### Local solver

For solvers which perform a search based only on local criteria (for example, gradient descent), without additional knowledge of the structure of the problem, we can say only that `Success`

and `FeasiblePoint`

imply that the primal result belongs to the class of points which the chosen algorithm is known to converge to. Gradient descent algorithms may converge to saddle points, for example. It is also possible for such algorithms to converge to infeasible points, in which case the termination status would be `Success`

and the primal result status would be `InfeasiblePoint`

. This does not imply that the problem is infeasible and so cannot be called a certificate of infeasibility.

## A complete example: solving a knapsack problem

[ needs formatting help, doc tests ]

```
using MathOptInterface
const MOI = MathOptInterface
using GLPK
# Solves the binary-constrained knapsack problem:
# max c'x: w'x <= C, x binary using GLPK.
c = [1.0, 2.0, 3.0]
w = [0.3, 0.5, 1.0]
C = 3.2
num_variables = length(c)
optimizer = GLPK.Optimizer()
# Create the variables in the problem.
x = MOI.add_variables(optimizer, num_variables)
# Set the objective function.
objective_function = MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(c, x), 0.0)
MOI.set(optimizer, MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}(),
objective_function)
MOI.set(optimizer, MOI.ObjectiveSense(), MOI.MaxSense)
# Add the knapsack constraint.
knapsack_function = MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(w, x), 0.0)
MOI.add_constraint(optimizer, knapsack_function, MOI.LessThan(C))
# Add integrality constraints.
for i in 1:num_variables
MOI.add_constraint(optimizer, MOI.SingleVariable(x[i]), MOI.ZeroOne())
end
# All set!
MOI.optimize!(optimizer)
termination_status = MOI.get(optimizer, MOI.TerminationStatus())
obj_value = MOI.get(optimizer, MOI.ObjectiveValue())
if termination_status != MOI.Success
error("Solver terminated with status $termination_status")
end
@assert MOI.get(optimizer, MOI.ResultCount()) > 0
result_status = MOI.get(optimizer, MOI.PrimalStatus())
if result_status != MOI.FeasiblePoint
error("Solver ran successfully but did not return a feasible point. " *
"The problem may be infeasible.")
end
primal_variable_result = MOI.get(optimizer, MOI.VariablePrimal(), x)
@show obj_value
@show primal_variable_result
```

## Problem modification

In addition to adding and deleting constraints and variables, MathOptInterface supports modifying, in-place, coefficients in the constraints and the objective function of a model. These modifications can be grouped into two categories: modifications which replace the set of function of a constraint with a new set or function; and modifications which change, in-place, a component of a function.

In the following, we detail the various ways this can be achieved. Readers should note that some solvers will not support problem modification.

### Replacements

First, we discuss how to replace the set or function of a constraint with a new instance of the same type.

#### The set of a constraint

Given a constraint of type `F`

-in-`S`

(see Constraints by function-set pairs above for an explanation), we can modify parameters (but not the type) of the set `S`

by replacing it with a new instance of the same type. For example, given the variable bound $x \le 1$:

`c = add_constraint(m, SingleVariable(x), LessThan(1.0))`

we can modify the set so that the bound now $x \le 2$ as follows:

`set(m, ConstraintSet(), c, LessThan(2.0))`

where `m`

is our `ModelLike`

model. However, the following will fail as the new set (`GreaterThan`

) is of a different type to the original set (`LessThan`

):

`set(m, ConstraintSet(), c, GreaterThan(2.0)) # errors`

If our constraint is an affine inequality, then this corresponds to modifying the right-hand side of a constraint in linear programming.

In some special cases, solvers may support efficiently changing the set of a constraint (for example, from `LessThan`

to `GreaterThan`

). For these cases, MathOptInterface provides the `transform`

method. For example, instead of the error we observed above, the following will work:

`c2 = transform(m, c, GreaterThan(1.0))`

The `transform`

function returns a new constraint index, and the old constraint index (i.e., `c`

) is no longer valid:

```
is_valid(m, c) # false
is_valid(m, c2) # true
```

Also note that `transform`

cannot be called with a set of the same type; `set`

should be used instead.

#### The function of a constraint

Given a constraint of type `F`

-in-`S`

(see Constraints by function-set pairs above for an explanation), it is also possible to modify the function of type `F`

by replacing it with a new instance of the same type. For example, given the variable bound $x \le 1$:

`c = add_constraint(m, SingleVariable(x), LessThan(1.0))`

we can modify the function so that the bound now $y \le 1$ as follows:

`set(m, ConstraintFunction(), c, SingleVariable(y))`

where `m`

is our `ModelLike`

model. However, the following will fail as the new function is of a different type to the original function:

```
set(m, ConstraintFunction(), c,
ScalarAffineFunction([ScalarAffineTerm(1.0, x)], 0.0)
)
```

### In-place modification

The second type of problem modifications allow the user to modify, in-place, the coefficients of a function. Currently, four modifications are supported by MathOptInterface. They are:

change the constant term in a scalar function;

change the constant term in a vector function;

change the affine coefficients in a scalar function; and

change the affine coefficients in a vector function.

To distinguish between the replacement of the function with a new instance (described above) and the modification of an existing function, the in-place modifications use the `modify`

method:

`modify(model, index, change::AbstractFunctionModification)`

`modify`

takes three arguments. The first is the `ModelLike`

model `model`

, the second is the constraint index, and the third is an instance of an `AbstractFunctionModification`

.

We now detail each of these four in-place modifications.

#### Constant term in a scalar function

MathOptInterface supports is the ability to modify the constant term within a `ScalarAffineFunction`

and a `ScalarQuadraticFunction`

using the `ScalarConstantChange`

subtype of `AbstractFunctionModification`

. This includes the objective function, as well as the function in a function-pair constraint.

For example, consider a problem `m`

with the objective $\max 1.0x + 0.0$:

```
set(m,
ObjectiveFunction{ScalarAffineFunction{Float64}}(),
ScalarAffineFunction([ScalarAffineTerm(1.0, x)], 0.0)
)
```

We can modify the constant term in the objective function as follows:

```
modify(m,
ObjectiveFunction{ScalarAffineFunction{Float64}}(),
ScalarConstantChange(1.0)
)
```

The objective function will now be $\max 1.0x + 1.0$.

#### Constant terms in a vector function

We can modify the constant terms in a `VectorAffineFunction`

or a `VectorQuadraticFunction`

using the `VectorConstantChange`

subtype of `AbstractFunctionModification`

.

For example, consider a model with the following `VectorAffineFunction`

-in-`Nonpositives`

constraint:

```
c = add_constraint(m,
VectorAffineFunction([
VectorAffineTerm(1, ScalarAffineTerm(1.0, x)),
VectorAffineTerm(1, ScalarAffineTerm(2.0, y))
],
[0.0, 0.0]
),
Nonpositives(2)
)
```

We can modify the constant vector in the `VectorAffineFunction`

from `[0.0, 0.0]`

to `[1.0, 2.0]`

as follows:

```
modify(m, c, VectorConstantChange([1.0, 2.0])
)
```

The constraints are now $1.0x + 1.0 \le 0.0$ and $2.0y + 2.0 \le 0.0$.

#### Affine coefficients in a scalar function

In addition to modifying the constant terms in a function, we can also modify the affine variable coefficients in an `ScalarAffineFunction`

or a `ScalarQuadraticFunction`

using the `ScalarCoefficientChange`

subtype of `AbstractFunctionModification`

.

For example, given the constraint $1.0x <= 1.0$:

```
c = add_constraint(m,
ScalarAffineFunction([ScalarAffineTerm(1.0, x)], 0.0),
LessThan(1.0)
)
```

we can modify the coefficient of the `x`

variable so that the constraint becomes $2.0x <= 1.0$ as follows:

`modify(m, c, ScalarCoefficientChange(x, 2.0))`

`ScalarCoefficientChange`

can also be used to modify the objective function by passing an instance of `ObjectiveFunction`

instead of the constraint index `c`

as we saw above.

#### Affine coefficients in a vector function

Finally, the last modification supported by MathOptInterface is the ability to modify the affine coefficients of a single variable in a `VectorAffineFunction`

or a `VectorQuadraticFunction`

using the `MultirowChange`

subtype of `AbstractFunctionModification`

.

For example, given the constraint $Ax \in \mathbb{R}^2_+$, where $A = [1.0, 2.0]^\top$:

```
c = add_constraint(m,
VectorAffineFunction([
VectorAffineTerm(1, ScalarAffineTerm(1.0, x)),
VectorAffineTerm(1, ScalarAffineTerm(2.0, x))
],
[0.0, 0.0]
),
Nonnegatives(2)
)
```

we can modify the coefficients of the `x`

variable so that the `A`

matrix becomes $A = [3.0, 4.0]^\top$ as follows:

`modify(m, c, MultirowChange(x, [3.0, 4.0]))`

## Advanced

### Duals

Conic duality is the starting point for MOI's duality conventions. When all functions are affine (or coordinate projections), and all constraint sets are closed convex cones, the model may be called a conic optimization problem. For conic-form minimization problems, the primal is:

and the dual is:

where each $\mathcal{C}_i$ is a closed convex cone and $\mathcal{C}_i^*$ is its dual cone.

For conic-form maximization problems, the primal is:

and the dual is:

A linear inequality constraint $a^T x + b \ge c$ should be interpreted as $a^T x + b - c \in \mathbb{R}_+$, and similarly $a^T x + b \le c$ should be interpreted as $a^T x + b - c \in \mathbb{R}_-$. Variable-wise constraints should be interpreted as affine constraints with the appropriate identity mapping in place of $A_i$.

For the special case of minimization LPs, the MOI primal form can be stated as

By applying the stated transformations to conic form, taking the dual, and transforming back into linear inequality form, one obtains the following dual:

For maximization LPs, the MOI primal form can be stated as:

and similarly, the dual is:

An important note for the LP case is that the signs of the feasible duals depend only on the sense of the inequality and not on the objective sense.

Currently, a convention for duals is not defined for problems with non-conic sets $\mathcal{S}_i$ or quadratic functions $f_0, f_i$.

#### Duality and scalar product

The scalar product is different from the canonical one for the sets `PositiveSemidefiniteConeTriangle`

, `LogDetConeTriangle`

, `RootDetConeTriangle`

. If the set $C_i$ of the section Duals is one of these three cones, then the rows of the matrix $A_i$ corresponding to off-diagonal entries are twice the value of the `coefficients`

field in the `VectorAffineFunction`

for the corresponding rows. See `PositiveSemidefiniteConeTriangle`

for details.

### Constraint bridges

A constraint often possess different equivalent formulations, but a solver may only support one of them. It would be duplicate work to implement rewritting rules in every solver wrapper for every different formulation of the constraint to express it in the form supported by the solver. Constraint bridges provide a way to define a rewritting rule on top of the MOI interface which can be used by any optimizer. Some rules also implement constraint modifications and constraint primal and duals translations.

For example, the `SplitIntervalBridge`

defines the reformulation of a `ScalarAffineFunction`

-in-`Interval`

constraint into a `ScalarAffineFunction`

-in-`GreaterThan`

and a `ScalarAffineFunction`

-in-`LessThan`

constraint. The `SplitInterval`

is the bridge optimizer that applies the `SplitIntervalBridge`

rewritting rule. Given an optimizer `optimizer`

implementing `ScalarAffineFunction`

-in-`GreaterThan`

and `ScalarAffineFunction`

-in-`LessThan`

, the optimizer

`bridgedoptimizer = SplitInterval(optimizer)`

will additionally support `ScalarAffineFunction`

-in-`Interval`

.

## Implementing a solver interface

[The interface is designed for multiple dispatch, e.g., attributes, combinations of sets and functions.]

Avoid storing extra copies of the problem when possible. This means that solver wrappers should not use `CachingOptimizer`

as part of the wrapper. Instead, just implement `copy_to`

if the solver's API does not support an `add_variable`

-like API. Let users or JuMP decide to use `CachingOptimizer`

instead.

### JuMP mapping

MOI defines a very general interface, with multiple possible ways to describe the same constraint. This is considered a feature, not a bug. MOI is designed to make it possible to experiment with alternative representations of an optimization problem at both the solving and modeling level. When implementing an interface, it is important to keep in mind that the constraints which a solver supports via MOI will have a near 1-to-1 correspondence with how users can express problems in JuMP, because JuMP does not perform automatic transformations. (Alternative systems like Convex.jl do.) The following bullet points show examples of how JuMP constraints are translated into MOI function-set pairs:

`@constraint(m, 2x + y <= 10)`

becomes`ScalarAffineFunction`

-in-`LessThan`

;`@constraint(m, 2x + y >= 10)`

becomes`ScalarAffineFunction`

-in-`GreaterThan`

;`@constraint(m, 2x + y == 10)`

becomes`ScalarAffineFunction`

-in-`EqualTo`

;`@constraint(m, 0 <= 2x + y <= 10)`

becomes`ScalarAffineFunction`

-in-`Interval`

;`@constraint(m, 2x + y in ArbitrarySet())`

becomes`ScalarAffineFunction`

-in-`ArbitrarySet`

.

Variable bounds are handled in a similar fashion:

`@variable(m, x <= 1)`

becomes`SingleVariable`

-in-`LessThan`

;`@variable(m, x >= 1)`

becomes`SingleVariable`

-in-`GreaterThan`

.

One notable difference is that a variable with an upper and lower bound is translated into two constraints, rather than an interval. i.e.:

`@variable(m, 0 <= x <= 1)`

becomes`SingleVariable`

-in-`LessThan`

*and*`SingleVariable`

-in-`GreaterThan`

.

Therefore, if a solver wrapper does not support `ScalarAffineFunction`

-in-`LessThan`

constraints, users will not be able to write: `@constraint(m, 2x + y <= 10)`

in JuMP. With this in mind, developers should support all the constraint types that they want to be usable from JuMP. That said, from the perspective of JuMP, solvers can safely choose to not support the following constraints:

`ScalarAffineFunction`

in`GreaterThan`

,`LessThan`

, or`EqualTo`

with a nonzero constant in the function. Constants in the affine function should instead be moved into the parameters of the corresponding sets.`ScalarAffineFunction`

in`Nonnegative`

,`Nonpositive`

or`Zeros`

. Alternative constraints are available by using a`VectorAffineFunction`

with one output row or`ScalarAffineFunction`

with`GreaterThan`

,`LessThan`

, or`EqualTo`

.Two

`SingleVariable`

-in-`LessThan`

constraints applied to the same variable (similarly with`GreaterThan`

). These should be interpreted as variable bounds, and each variable naturally has at most one upper or lower bound.

### Column Generation

There is no special interface for column generation. If the solver has a special API for setting coefficients in existing constraints when adding a new variable, it is possible to queue modifications and new variables and then call the solver's API once all of the new coefficients are known.

### Problem data

All data passed to the solver should be copied immediately to internal data structures. Solvers may not modify any input vectors and should assume that input vectors may be modified by users in the future. This applies, for example, to the `terms`

vector in `ScalarAffineFunction`

. Vectors returned to the user, e.g., via `ObjectiveFunction`

or `ConstraintFunction`

attributes, should not be modified by the solver afterwards. The in-place version of `get!`

can be used by users to avoid extra copies in this case.

### Statuses

Solver wrappers should document how the low-level solver statuses map to the MOI statuses. In particular, the characterization of a result with status `FeasiblePoint`

and termination status `Success`

is entirely solver defined. It may or may not be a globally optimal solution. Solver wrappers are not responsible for verifying the feasibility of results. Statuses like `NearlyFeasiblePoint`

, `InfeasiblePoint`

, `NearlyInfeasiblePoint`

, and `NearlyReductionCertificate`

are designed to be used when the solver explicitly indicates as much.

### Package Naming

MOI solver interfaces may be in the same package as the solver itself (either the C wrapper if the solver is accessible through C, or the Julia code if the solver is written in Julia, for example). The guideline for naming the file containing the MOI wrapper is `src/MOIWrapper.jl`

and `test/MOIWrapper.jl`

for the tests. If the MOI wrapper implementation is spread in several files, they should be stored in a `src/MOIWrapper`

folder and included by a `src/MOIWrapper/MOIWrapper.jl`

file. In some cases it may be more appropriate to host the MOI wrapper in its own package; in this case it is recommended that the MOI wrapper package be named `MathOptInterfaceXXX`

where `XXX`

is the solver name.

### Testing guideline

The skeleton below can be used for the wrapper test file of a solver name `FooBar`

. A few bridges are used to give examples, you can find more bridges in the Bridges section.

```
using MathOptInterface
const MOI = MathOptInterface
const MOIT = MOI.Test
const MOIB = MOI.Bridges
const optimizer = FooBarOptimizer()
const config = MOIT.TestConfig(atol=1e-6, rtol=1e-6)
@testset "MOI Continuous Linear" begin
# If `optimizer` does not support the `Interval` set,
# the `SplitInterval` bridge can be used to split each `f`-in-`Interval(lb, ub)` constraint into
# a constraint `f`-in-`GreaterThan(lb)` and a constraint `f`-in-`LessThan(ub)`
MOIT.contlineartest(MOIB.SplitInterval{Float64}(optimizer), config)
end
@testset "MOI Continuous Conic" begin
# If the solver supports rotated second order cone, the `GeoMean` bridge can be used to make it support geometric mean cone constraints.
# If it additionally support positive semidefinite cone constraints, the `RootDet` bridge can be used to make it support root-det cone constraints.
MOIT.contlineartest(MOIB.RootDet{Float64}(MOIB.GeoMean{Float64}(optimizer)), config)
end
@testset "MOI Integer Conic" begin
MOIT.intconictest(optimizer, config)
end
```

If the wrapper does not support building the model incrementally (i.e. with `add_variable`

and `add_constraint`

), the line `const optimizer = FooBarOptimizer()`

can be replaced with

```
const MOIU = MOI.Utilities
# Include here the functions/sets supported by the solver wrapper (not those that are supported through bridges)
MOIU.@model FooBarModelData () (EqualTo, GreaterThan, LessThan) (Zeros, Nonnegatives, Nonpositives) () (SingleVariable,) (ScalarAffineFunction,) (VectorOfVariables,) (VectorAffineFunction,)
const optimizer = MOIU.CachingOptimizer(FooBarModelData{Float64}(), FooBarOptimizer())
```