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cvxpy / transforms / scalarize.py
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"""
Copyright 2017 Steven Diamond

Licensed under the Apache License, Version 2.0 (the "License");
you may not use this file except in compliance with the License.
You may obtain a copy of the License at

    http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software
distributed under the License is distributed on an "AS IS" BASIS,
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
See the License for the specific language governing permissions and
limitations under the License.
"""
from typing import List, Union

import cvxpy.atoms as atoms
from cvxpy import Constant
from cvxpy.problems.objective import Maximize, Minimize
from cvxpy.transforms import indicator


def weighted_sum(objectives: List[Union[Minimize, Maximize]], weights) -> Union[Minimize, Maximize]:
    """Combines objectives as a weighted sum.

    Args:
      objectives: A list of Minimize/Maximize objectives.
      weights: A vector of weights.

    Returns:
      A Minimize/Maximize objective.
    """
    num_objs = len(objectives)
    return sum(objectives[i]*weights[i] for i in range(num_objs))


def targets_and_priorities(
  objectives: List[Union[Minimize, Maximize]],
  priorities,
  targets,
  limits=None,
  off_target: float = 1e-5
) -> Union[Minimize, Maximize]:
    """Combines objectives with penalties within a range between target and limit.

    Each Minimize objective i has value

        priorities[i]*objectives[i] when objectives[i] >= targets[i]

        +infinity when objectives[i] > limits[i]

    Each Maximize objective i has value

        priorities[i]*objectives[i] when objectives[i] <= targets[i]

        +infinity when objectives[i] < limits[i]

    Args:
      objectives: A list of Minimize/Maximize objectives.
      priorities: The weight within the trange.
      targets: The start (end) of penalty for Minimize (Maximize)
      limits: The hard end (start) of penalty for Minimize (Maximize)
      off_target: Penalty outside of target.

    Returns:
      A Minimize/Maximize objective.
    """
    num_objs = len(objectives)
    new_objs: List[Union[Minimize, Maximize]] = []
    for i in range(num_objs):
        obj = objectives[i]
        sign = 1 if Constant.cast_to_const(priorities[i]).is_nonneg() else -1
        off_target *= sign
        if type(obj) == Minimize:
            expr = (priorities[i] - off_target)*atoms.pos(obj.args[0] - targets[i])
            expr += off_target*obj.args[0]
            if limits is not None:
                expr += sign*indicator([obj.args[0] <= limits[i]])
            new_objs.append(expr)
        else:  # Maximize
            expr = (priorities[i] - off_target)*atoms.min_elemwise(obj.args[0], targets[i])
            expr += off_target*obj.args[0]
            if limits is not None:
                expr += sign*indicator([obj.args[0] >= limits[i]])
            new_objs.append(expr)
    obj_expr = sum(new_objs)
    if obj_expr.is_convex():
        return Minimize(obj_expr)
    else:
        return Maximize(obj_expr)


def max(objectives: List[Union[Minimize, Maximize]], weights) -> Minimize:
    """Combines objectives as max of weighted terms.

    Args:
      objectives: A list of Minimize/Maximize objectives.
      weights: A vector of weights.

    Returns:
      A Minimize objective.
    """
    num_objs = len(objectives)
    expr = atoms.maximum(*[(objectives[i]*weights[i]).args[0] for i in range(num_objs)])
    return Minimize(expr)


def log_sum_exp(
  objectives: List[Union[Minimize, Maximize]], weights, gamma: float = 1.0
) -> Minimize:
    """Combines objectives as log_sum_exp of weighted terms.


    The objective takes the form
        log(sum_{i=1}^n exp(gamma*weights[i]*objectives[i]))/gamma
    As gamma goes to 0, log_sum_exp approaches weighted_sum. As gamma goes to infinity,
    log_sum_exp approaches max.

    Args:
      objectives: A list of Minimize/Maximize objectives.
      weights: A vector of weights.
      gamma: Parameter interpolating between weighted_sum and max.

    Returns:
      A Minimize objective.
    """
    num_objs = len(objectives)
    terms = [(objectives[i]*weights[i]).args[0] for i in range(num_objs)]
    expr = atoms.log_sum_exp(gamma*atoms.vstack(terms))/gamma
    return Minimize(expr)