int main (void) {
IloEnv env;
try {
IloModel model(env); // declaration du nodel
IloNumVarArray var(env); // liste des variables de decision
IloRangeArray con(env); // liste des contraintes a ajouter a notre probleme
IloNumVarArray duals(env);
populatebyrow (model, var, con); // remplir les variables avec les valeurs adequat
IloCplex cplex(model);
cplex.solve();
env.out() << "Solution status = " << cplex.getStatus() << endl;
env.out() << "Solution value = " << cplex.getObjValue() << endl;
IloNumArray vals(env);
cplex.getValues(vals, var);
env.out() << "Values = " << vals << endl;
cplex.getSlacks(vals, con);
env.out() << "Slacks = " << vals << endl;
model.add(var[0] == 0);
cplex.solve();
cplex.getValues(vals, var);
env.out() << "Solution status = " << cplex.getStatus() << endl;
env.out() << "Solution value = " << cplex.getObjValue() << endl;
env.out() << "Values = " << vals << endl;
//cplex.exportModel("pl.lp");
}
catch (IloException& e) {
cerr << "Concert exception caught: " << e << endl;
}
catch (...) {
cerr << "Unknown exception caught" << endl;
}
env.end();
return 0;
}
//[[Rcpp::export]]
Rcpp::List AddDualBounds(const arma::cube& path,
Rcpp::NumericVector control_,
Rcpp::Function Reward_,
Rcpp::Function Scrap_,
const arma::cube& mart,
const arma::ucube& path_action) {
// Extract parameters
const std::size_t n_dec = path.n_slices;
const std::size_t n_path = path.n_rows;
const std::size_t n_dim = path.n_cols;
const arma::ivec c_dims = control_.attr("dim");
const std::size_t n_pos = c_dims(0);
const std::size_t n_action = c_dims(1);
arma::imat control; // full control
arma::cube control2; // partial control
bool full_control;
if (c_dims.n_elem == 3) {
full_control = false;
arma::cube temp_control2(control_.begin(), n_pos, n_action, n_pos, false);
control2 = temp_control2;
} else {
full_control = true;
arma::mat temp_control(control_.begin(), n_pos, n_action, false);
control = arma::conv_to<arma::imat>::from(temp_control);
}
// Initialise with scrap value
arma::cube primals(n_path, n_pos, n_dec);
primals.slice(n_dec - 1) = Rcpp::as<arma::mat>(
Scrap_(Rcpp::as<Rcpp::NumericMatrix>(Rcpp::wrap(path.slice(n_dec - 1)))));
arma::cube duals = primals;
// Perform the backward induction
arma::uword policy;
arma::cube reward(n_path, n_action, n_pos);
if (full_control) { // For the full control case
arma::uword next;
for (int tt = (n_dec - 2); tt >= 0; tt--) {
reward = Rcpp::as<arma::cube>(Reward_(
Rcpp::as<Rcpp::NumericMatrix>(Rcpp::wrap(path.slice(tt))), tt + 1));
#pragma omp parallel for private(policy, next)
for (std::size_t ii = 0; ii < n_path; ii++) {
for (std::size_t pp = 0; pp < n_pos; pp++) {
// Primal values
policy = path_action(ii, pp, tt) - 1; // R to C indexing
next = control(pp, policy) - 1;
primals(ii, pp, tt) = reward(ii, policy, pp) + mart(ii, next, tt)
+ primals(ii, next, tt + 1);
// Dual values
next = control(pp, 0) - 1;
duals(ii, pp, tt) = reward(ii, 0, pp) + mart(ii, next, tt)
+ duals(ii, next, tt + 1);
for (std::size_t aa = 1; aa < n_action; aa++) {
next = control(pp, aa) - 1;
duals(ii, pp, tt) = std::max(reward(ii, aa, pp) + mart(ii, next, tt)
+ duals(ii, next, tt + 1), duals(ii, pp, tt));
}
}
}
}
} else { // Positions evolve randomly
arma::rowvec mod(n_pos);
arma::rowvec prob_weight(n_pos);
for (int tt = (n_dec - 2); tt >= 0; tt--) {
reward = Rcpp::as<arma::cube>(Reward_(
Rcpp::as<Rcpp::NumericMatrix>(Rcpp::wrap(path.slice(tt))), tt + 1));
#pragma omp parallel for private(policy, prob_weight, mod)
for (std::size_t ii = 0; ii < n_path; ii++) {
for (std::size_t pp = 0; pp < n_pos; pp++) {
// Primal values
mod = primals.slice(tt + 1).row(ii) + mart.slice(tt).row(ii);
policy = path_action(ii, pp, tt) - 1;
prob_weight = control2.tube(pp, policy);
primals(ii, pp, tt) =
reward(ii, policy, pp) + arma::sum(prob_weight % mod);
// Dual values
mod = duals.slice(tt + 1).row(ii) + mart.slice(tt).row(ii);
prob_weight = control2.tube(pp, 0);
duals(ii, pp, tt) = reward(ii, 0, pp) + arma::sum(prob_weight % mod);
for (std::size_t aa = 1; aa < n_action; aa++) {
prob_weight = control2.tube(pp, aa);
duals(ii, pp, tt) =
std::max(reward(ii, aa, pp) + arma::sum(prob_weight % mod),
duals(ii, pp, tt));
}
}
}
}
}
return Rcpp::List::create(Rcpp::Named("primal") = primals,
Rcpp::Named("dual") = duals);
}
