void ModelScenario(const char * const name )
{
OsiClpSolverInterface *osiClp1 = new OsiClpSolverInterface();
double INF=osiClp1->getInfinity();
// example of direct interfaces for scenario generation
/* Model dimensions */
int nels=44; // ncol=27, nrow=9
/* Sparse matrix data...organized by row */
int mrow[]={ 0, 0, 0, 0, 0,
1, 1, 1, 1,
2, 2, 2,
3, 3, 3, 3, 3,
4, 4, 4, 4,
5, 5, 5, 5, 5, 5,
6, 6, 6, 6, 6,
7, 7, 7, 7, 7, 7,
8, 8, 8, 8, 8, 8 };
int mcol[]={ 0, 1, 2, 3, 4,
5, 6, 7, 8,
9,10, 11,
12, 13, 14, 15, 16,
0, 12, 17, 18,
1, 5, 9, 13, 19, 20,
2, 6, 14, 21, 22,
3, 7, 10, 15, 23, 24,
4, 8, 11, 16, 25, 26 };
double dels[] = { 1.0, 1.0, 1.0, 1.0, 1.0,
1.0, 1.0, 1.0, 1.0,
1.0, 1.0, 1.0,
1.0, 1.0, 1.0, 1.0, 1.0,
16.0, 9.0, -1.0, 1.0,
15.0, 10.0, 5.0, 11.0, -1.0, 1.0,
28.0, 14.0, 22.0, -1.0, 1.0,
23.0, 15.0, 7.0, 17.0, -1.0, 1.0,
81.0, 57.0, 29.0, 55.0, -1.0, 1.0 };
/* Objective */
double dobj[]={ 18.0, 21.0, 18.0, 16.0, 10.0, 15.0, 16.0, 14.0, 9.0,
10.0, 9.0, 6.0, 17.0, 16.0, 17.0, 15.0, 10.0, 0.0,
13.0, 0.0, 13.0, 0.0, 7.0, 0.0, 7.0, 0.0, 1.0 };
/* Column bounds */
double dclo[]={ 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
double dcup[]={ INF, INF, INF, INF, INF, INF, INF, INF, INF,
INF, INF, INF, INF, INF, INF, INF, INF, INF,
INF, INF, INF, INF, INF, INF, INF, INF, INF };
/* Row bounds */
double drlo[]={ -INF, -INF, -INF, -INF, 0.0, 4.0, 0.0, 8.0, 10.0 };
double drup[]={ 10.0, 19.0, 25.0, 15.0, 0.0, 7.0, 0.0, 8.0, 90.0 };
/* Stages */
int nstg=2;
int n_first_stg_rows=4;
int rstg[]={ 0,0,0,0,1,1,1,1,1 };
int cstg[]={ 0,0,0,0,0,0,0,0,0,
0,0,0,0,0,0,0,0,1,
1,1,1,1,1,1,1,1,1 };
/* Stochastic data */
int nindp=5;
int nsamp[]={ 5, 2, 5, 5, 3 };
double demand[]={ 200, 220, 250, 270, 300,
50, 150,
140, 160, 180, 200, 220,
10, 50, 80, 100, 340,
580, 600, 620 };
double dprobs[]={ 0.2, 0.05, 0.35, 0.2, 0.2,
0.3, 0.7,
0.1, 0.2, 0.4, 0.2, 0.1,
0.2, 0.2, 0.3, 0.2, 0.1,
0.1, 0.8, 0.1 };
/* local variables */
int ns=1,ii,iii,jj,*indx,*incr;
double dp=1.0;
for (ii=0;ii<nindp;ii++) ns *= nsamp[ii]; /* Compute number of scenarios */
// initialize SmiModel
SmiScnModel *smiModel = new SmiScnModel();
smiModel->setOsiSolverHandle(*osiClp1);
// set core model using Osi interface
OsiClpSolverInterface ocsi;
ocsi.loadProblem(CoinPackedMatrix( 1,mrow,mcol,dels,nels),dclo,dcup,dobj,drlo,drup);
SmiCoreData *osiCore = new SmiCoreData(&ocsi,nstg,cstg,rstg);
cout << "ModelScenario: Created CoreData" << endl;
// Coin structures for scenario updates to right hand sides
CoinPackedVector cpv_rlo;
CoinPackedVector cpv_rup;
// initialize right hand side data for first scenario
indx = (int *) malloc( (1+nindp)*sizeof(int) );
memset( indx,0,(1+nindp)*sizeof(int));
for (jj=0;jj<nindp;jj++) {
indx[jj+1] += indx[jj] + nsamp[jj];
dp *= dprobs[ indx[jj] ];
drlo[n_first_stg_rows + jj] = demand[ indx[jj] ];
drup[n_first_stg_rows + jj] = demand[ indx[jj] ];
cpv_rlo.insert(n_first_stg_rows + jj,demand[ indx[jj] ]);
cpv_rup.insert(n_first_stg_rows + jj,demand[ indx[jj] ]);
}
cout << "ModelScenario: Adding " << ns << " scenarios" << endl;
// first scenario
int anc = 0;
int branch = 1;
int is = smiModel->generateScenario(osiCore,NULL,NULL,NULL,NULL,
&cpv_rlo,&cpv_rup,branch,anc,dp);
/***** ...main loop to generate scenarios from discrete random variables
For each scenario index ii:
If the sample size nsamp[jj] divides the scenario index ii,
reverse the increment direction incr[jj]
and increase the random variable index jj by 1.
Increment the jj'th random variable by incr[jj]
and generate new sample data.
***** */
/* sample space increment initialized to 1 */
incr = (int *) malloc( nindp*sizeof(int) );
for (jj=0;jj<nindp;jj++) incr[jj] = 1;
for (int iss=1;iss<ns;iss++) {
iii=iss; jj=0;
while ( !(iii%nsamp[jj]) ) {
iii /= nsamp[jj];
incr[jj] = -incr[jj];
jj++;
}
dp /= dprobs[ indx[jj] ];
indx[jj] += incr[jj];
dp *= dprobs[ indx[jj] ];
// set data
drlo[n_first_stg_rows + jj] = demand[ indx[jj] ];
drup[n_first_stg_rows + jj] = demand[ indx[jj] ];
cpv_rlo.setElement(cpv_rlo.findIndex(n_first_stg_rows + jj),demand[ indx[jj] ]);
cpv_rup.setElement(cpv_rup.findIndex(n_first_stg_rows + jj),demand[ indx[jj] ]);
// genScenario
is = smiModel->generateScenario(osiCore,NULL,NULL,NULL,NULL,
&cpv_rlo,&cpv_rup,branch,anc,dp);
}
assert(ns==smiModel->getNumScenarios());
cout << "ModelScenario: Finished adding scenarios" << endl;
// load problem data into OsiSolver
smiModel->loadOsiSolverData();
// get Osi pointer
OsiSolverInterface *smiOsi = smiModel->getOsiSolverInterface();
// set some parameters
smiOsi->setHintParam(OsiDoPresolveInInitial,true);
smiOsi->setHintParam(OsiDoScale,true);
smiOsi->setHintParam(OsiDoCrash,true);
// solve using Osi Solver
smiOsi->initialSolve();
// test optimal value
assert(fabs(smiOsi->getObjValue()-1566.042)<0.01);
// test solutions
const double *dsoln = smiOsi->getColSolution();
double objSum = 0.0;
/* The canonical way to traverse the tree:
For each scenario, get the leaf node.
Then get the parent. Repeat until parent is NULL.
(Only the root node has a NULL parent.)
*/
for(is=0; is<ns; ++is)
{
/* this loop calculates the scenario objective value */
double scenSum = 0.0;
// start with leaf node
SmiScnNode *node = smiModel->getLeafNode(is);
// leaf node probability is the scenario probability
double scenprob = node->getModelProb();
while (node != NULL)
{
// getColStart returns the starting index of node in OSI model
for(int j=node->getColStart(); j<node->getColStart()+node->getNumCols(); ++j)
{
// getCoreColIndex returns the corresponding Core index
// in the original (user's) ordering
scenSum += dobj[node->getCoreColIndex(j)]*dsoln[j];
}
// get parent of node
node = node->getParent();
}
objSum += scenSum*scenprob;
}
assert(fabs(smiOsi->getObjValue()-objSum) < 0.01);
// print results
printf("Solved stochastic program %s\n", name);
printf("Number of rows: %d\n",smiOsi->getNumRows());
printf("Number of cols: %d\n",smiOsi->getNumCols());
printf("Optimal value: %g\n",smiOsi->getObjValue());
}
void ModelDiscrete(const char * const name)
{
// example of direct interfaces for discrete distribution
OsiClpSolverInterface *osiClp1 = new OsiClpSolverInterface();
double INF=osiClp1->getInfinity();
/* Model dimensions */
int nels=44; // ncol=27, nrow=9
/* Sparse matrix data...organized by row */
int mrow[]={ 0, 0, 0, 0, 0,
1, 1, 1, 1,
2, 2, 2,
3, 3, 3, 3, 3,
4, 4, 4, 4,
5, 5, 5, 5, 5, 5,
6, 6, 6, 6, 6,
7, 7, 7, 7, 7, 7,
8, 8, 8, 8, 8, 8 };
int mcol[]={ 0, 1, 2, 3, 4,
5, 6, 7, 8,
9,10, 11,
12, 13, 14, 15, 16,
0, 12, 17, 18,
1, 5, 9, 13, 19, 20,
2, 6, 14, 21, 22,
3, 7, 10, 15, 23, 24,
4, 8, 11, 16, 25, 26 };
double dels[] = { 1.0, 1.0, 1.0, 1.0, 1.0,
1.0, 1.0, 1.0, 1.0,
1.0, 1.0, 1.0,
1.0, 1.0, 1.0, 1.0, 1.0,
16.0, 9.0, -1.0, 1.0,
15.0, 10.0, 5.0, 11.0, -1.0, 1.0,
28.0, 14.0, 22.0, -1.0, 1.0,
23.0, 15.0, 7.0, 17.0, -1.0, 1.0,
81.0, 57.0, 29.0, 55.0, -1.0, 1.0 };
/* Objective */
/* Objective */
double dobj[]={ 18.0, 21.0, 18.0, 16.0, 10.0, 15.0, 16.0, 14.0, 9.0,
10.0, 9.0, 6.0, 17.0, 16.0, 17.0, 15.0, 10.0, 0.0,
13.0, 0.0, 13.0, 0.0, 7.0, 0.0, 7.0, 0.0, 1.0 };
/* Column bounds */
double dclo[]={ 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 };
double dcup[]={ INF, INF, INF, INF, INF, INF, INF, INF, INF,
INF, INF, INF, INF, INF, INF, INF, INF, INF,
INF, INF, INF, INF, INF, INF, INF, INF, INF };
/* Row bounds */
double drlo[]={ -INF, -INF, -INF, -INF, 0.0, 4.0, 0.0, 8.0, 10.0 };
double drup[]={ 10.0, 19.0, 25.0, 15.0, 0.0, 7.0, 0.0, 8.0, 90.0 };
/* Stages */
int nstg=2;
int n_first_stg_rows=4;
int rstg[]={ 0,0,0,0,1,1,1,1,1 };
int cstg[]={ 0,0,0,0,0,0,0,0,0,
0,0,0,0,0,0,0,0,1,
1,1,1,1,1,1,1,1,1 };
/* Stochastic data */
int nindp=5;
int nsamp[]={ 5, 2, 5, 5, 3 };
double demand[]={ 200, 220, 250, 270, 300,
50, 150,
140, 160, 180, 200, 220,
10, 50, 80, 100, 340,
580, 600, 620 };
double dprobs[]={ 0.2, 0.05, 0.35, 0.2, 0.2,
0.3, 0.7,
0.1, 0.2, 0.4, 0.2, 0.1,
0.2, 0.2, 0.3, 0.2, 0.1,
0.1, 0.8, 0.1 };
/* local variables */
int ii,jj;
// initialize SmiModel
SmiScnModel *smiModel = new SmiScnModel();
smiModel->setOsiSolverHandle(*osiClp1);
// set core model using Osi interface
OsiClpSolverInterface ocsi;
ocsi.loadProblem(CoinPackedMatrix( 1,mrow,mcol,dels,nels),dclo,dcup,dobj,drlo,drup);
// core model
SmiCoreData *smiCore = new SmiCoreData(&ocsi,nstg,cstg,rstg);
cout << "ModelDiscrete: generated Core data" << endl;
// Create discrete distribution
SmiDiscreteDistribution *smiDD = new SmiDiscreteDistribution(smiCore);
cout << "ModelDiscrete: adding random variables" << endl;
int index=0;
for (jj=0;jj<nindp;jj++)
{
SmiDiscreteRV *smiRV = new SmiDiscreteRV(1);
for (ii=0;ii<nsamp[jj];ii++)
{
CoinPackedVector empty_vec;
CoinPackedMatrix empty_mat;
CoinPackedVector cpv_rlo ;
CoinPackedVector cpv_rup ;
cpv_rlo.insert(n_first_stg_rows + jj, demand[index+ii]);
cpv_rup.insert(n_first_stg_rows + jj, demand[index+ii]);
smiRV->addEvent(empty_mat,empty_vec,empty_vec,empty_vec,cpv_rlo,cpv_rup,dprobs[index+ii]);
cpv_rlo.clear();
cpv_rup.clear();
}
smiDD->addDiscreteRV(smiRV);
index+=nsamp[jj];
}
assert(smiDD->getNumRV() == nindp);
cout << "ModelDiscrete: added " << nindp << " random variables" << endl;
cout << "ModelDiscrete: processing into scenarios" << endl;
smiModel->processDiscreteDistributionIntoScenarios(smiDD);
// load problem data into OsiSolver
smiModel->loadOsiSolverData();
// get Osi pointer
OsiSolverInterface *smiOsi = smiModel->getOsiSolverInterface();
// set some parameters
smiOsi->setHintParam(OsiDoPresolveInInitial,true);
smiOsi->setHintParam(OsiDoScale,true);
smiOsi->setHintParam(OsiDoCrash,true);
// solve using Osi Solver
smiOsi->initialSolve();
// test optimal value
assert(fabs(smiOsi->getObjValue()-1566.042)<0.01);
// test solutions
const double *dsoln = smiOsi->getColSolution();
double objSum = 0.0;
/* The canonical way to traverse the tree:
For each scenario, get the leaf node.
Then get the parent. Repeat until parent is NULL.
(Only the root node has a NULL parent.)
*/
for(int is=0; is<smiModel->getNumScenarios(); ++is)
{
/* this loop calculates the scenario objective value */
double scenSum = 0.0;
// start with leaf node
SmiScnNode *node = smiModel->getLeafNode(is);
// leaf node probability is the scenario probability
double scenprob = node->getModelProb();
while (node != NULL)
{
// getColStart returns the starting index of node in OSI model
for(int j=node->getColStart(); j<node->getColStart()+node->getNumCols(); ++j)
{
// getCoreColIndex returns the corresponding Core index
// in the original (user's) ordering
scenSum += dobj[node->getCoreColIndex(j)]*dsoln[j];
}
// get parent of node
node = node->getParent();
}
objSum += scenSum*scenprob;
}
assert(fabs(smiOsi->getObjValue()-objSum) < 0.01);
// print results
printf("Solved stochastic program %s\n", name);
printf("Number of rows: %d\n",smiOsi->getNumRows());
printf("Number of cols: %d\n",smiOsi->getNumCols());
printf("Optimal value: %g\n",smiOsi->getObjValue());
}