void IpoptEngine::load(ProblemPtr problem)
{
if (problem_) {
problem_->unsetEngine();
}
problem_ = problem;
sol_ = (IpoptSolPtr) new IpoptSolution(0, INFINITY, problem);
mynlp_ = new Ipopt::IpoptFunInterface(problem, sol_);
//Ipopt::ApplicationReturnStatus status;
//status = myapp_->Initialize();
myapp_->Initialize();
// check if warm start needs to be saved
if (prepareWs_) {
ws_ = (IpoptWarmStartPtr) new IpoptWarmStart();
}
// set the status of the engine to unknown.
status_ = EngineUnknownStatus;
bndChanged_ = true;
consChanged_ = true;
problem->calculateSize();
setOptionsForProb_();
problem->setEngine(this);
}
void AMPLOsiUT::testOsiLP()
{
char file_name[] = "instances/lp0";
ProblemPtr inst = iface_->readInstance(file_name);
FunctionPtr f = FunctionPtr(); // NULL
// LPFormulationPtr lpForm = (LPFormulationPtr)
// new LPFormulation(inst);
engine_ptr_->load(inst);
EngineStatus status = engine_ptr_->solve();
CPPUNIT_ASSERT(status == ProvenOptimal);
CPPUNIT_ASSERT(engine_ptr_->getStatus() == ProvenOptimal);
CPPUNIT_ASSERT(fabs(engine_ptr_->getSolutionValue()+8.42857) < 1e-5);
inst->changeObj(f, 2.0);
status = engine_ptr_->solve();
CPPUNIT_ASSERT(status == ProvenOptimal);
CPPUNIT_ASSERT(engine_ptr_->getStatus() == ProvenOptimal);
CPPUNIT_ASSERT(fabs(engine_ptr_->getSolutionValue()-2.0) < 1e-5);
inst->negateObj();
status = engine_ptr_->solve();
CPPUNIT_ASSERT(status == ProvenOptimal);
CPPUNIT_ASSERT(engine_ptr_->getStatus() == ProvenOptimal);
CPPUNIT_ASSERT(fabs(engine_ptr_->getSolutionValue()+2.0) < 1e-5);
}
bool Transformer::allConsAssigned_(ProblemPtr p, HandlerVector &handlers)
{
BoolVector asgn(p->getNumCons(), false);
for (HandlerVector::const_iterator it=handlers.begin(); it!=handlers.end();
++it) {
for (ConstraintVector::const_iterator it2=(*it)->consBegin();
it2!=(*it)->consEnd(); ++it2) {
if (asgn[(*it2)->getIndex()] == true) {
std::cout << "constraint " << (*it2)->getName() <<
" with index " << (*it2)->getIndex() <<
" is assigned to more than one handlers!" << std::endl;
(*it2)->write(std::cout);
return false;
}
asgn[(*it2)->getIndex()] = true;
}
}
for (UInt it=0; it<p->getNumCons(); ++it) {
if (asgn[it] != true) {
std::cout << "constraint " << p->getConstraint(it)->getName() <<
" with index " << it << " is not assigned to any handler!" << std::endl;
p->getConstraint(it)->write(std::cout);
return false;
}
}
return true;
}
VariablePtr Transformer::newVar_(CGraphPtr cg, ProblemPtr newp)
{
VariablePtr iv;
VariablePtr ov = VariablePtr(); // NULL
FunctionPtr f;
LinearFunctionPtr lf;
ConstraintPtr cnew;
assert(cg);
if (OpSumList!=cg->getOut()->getOp()) {
ov = yUniExprs_->findY(cg);
}
if (!ov) {
ov = newp->newVariable(VarTran);
lf = (LinearFunctionPtr) new LinearFunction();
lf->addTerm(ov, -1.0);
f = (FunctionPtr) new Function(lf, cg);
cnew = newp->newConstraint(f, 0.0, 0.0);
#if SPEW
logger_->msgStream(LogDebug) << me_ << "added new constraint "
<< std::endl;
cnew->write(logger_->msgStream(LogDebug));
#endif
assignHandler_(cg, cnew);
yUniExprs_->insert(ov, cg);
}
return ov;
}
VariablePtr Transformer::newVar_(LinearFunctionPtr lf, double d,
ProblemPtr newp)
{
VariablePtr ov;
FunctionPtr f;
ConstraintPtr cnew;
ov = yLfs_->findY(lf, d);
if (!ov) {
LinearFunctionPtr lf2 = lf->clone();
ov = newp->newVariable(VarTran);
yLfs_->insert(ov, lf2, d);
lf->addTerm(ov, -1.0);
f = (FunctionPtr) new Function(lf);
cnew = newp->newConstraint(f, -d, -d);
#if SPEW
logger_->msgStream(LogDebug) << me_ << "added new constraint "
<< std::endl;
cnew->write(logger_->msgStream(LogDebug));
#endif
lHandler_->addConstraint(cnew);
}
return ov;
}
VariablePtr Transformer::newVar_(VariablePtr iv, double d, ProblemPtr newp)
{
if (fabs(d)<zTol_) {
return iv;
} else {
LinearFunctionPtr lf = (LinearFunctionPtr) new LinearFunction();
VariablePtr ov;
FunctionPtr f;
ConstraintPtr cnew;
ov = yVars_->findY(iv, d);
if (!ov) {
ov = newp->newVariable(VarTran);
yVars_->insert(ov, iv, d);
lf->addTerm(iv, 1.0);
lf->addTerm(ov, -1.0);
f = (FunctionPtr) new Function(lf);
cnew = newp->newConstraint(f, -d, -d);
#if SPEW
logger_->msgStream(LogDebug) << me_ << "added new constraint "
<< std::endl;
cnew->write(logger_->msgStream(LogDebug));
#endif
lHandler_->addConstraint(cnew);
}
return ov;
}
}
EnginePtr getNLPEngine(EnvPtr env, ProblemPtr p)
{
EngineFactory *efac = new EngineFactory(env);
EnginePtr e = EnginePtr(); // NULL
bool cont=false;
p->calculateSize();
if (p->isLinear()) {
e = efac->getLPEngine();
if (e) {
delete efac;
return e;
} else {
cont = true;
}
}
if (true==cont || p->isQP()) {
e = efac->getQPEngine();
if (e) {
delete efac;
return e;
} else {
cont = true;
}
}
e = efac->getNLPEngine();
assert (e || (!"No engine available for this problem."));
delete efac;
return e;
}
PresolverPtr presolve(EnvPtr env, ProblemPtr p, size_t ndefs,
HandlerVector &handlers)
{
PresolverPtr pres = PresolverPtr(); // NULL
const std::string me("qg: ");
p->calculateSize();
if (env->getOptions()->findBool("presolve")->getValue() == true) {
LinearHandlerPtr lhandler = (LinearHandlerPtr) new LinearHandler(env, p);
handlers.push_back(lhandler);
if (p->isQP() || p->isQuadratic() || p->isLinear() ||
true==env->getOptions()->findBool("use_native_cgraph")->getValue()) {
lhandler->setPreOptPurgeVars(true);
lhandler->setPreOptPurgeCons(true);
lhandler->setPreOptCoeffImp(true);
} else {
lhandler->setPreOptPurgeVars(false);
lhandler->setPreOptPurgeCons(false);
lhandler->setPreOptCoeffImp(false);
}
if (ndefs>0) {
lhandler->setPreOptDualFix(false);
} else {
lhandler->setPreOptDualFix(true);
}
if (!p->isLinear() &&
true==env->getOptions()->findBool("use_native_cgraph")->getValue() &&
true==env->getOptions()->findBool("nl_presolve")->getValue()
) {
NlPresHandlerPtr nlhand = (NlPresHandlerPtr) new NlPresHandler(env, p);
handlers.push_back(nlhand);
}
// write the names.
env->getLogger()->msgStream(LogExtraInfo) << me
<< "handlers used in presolve:" << std::endl;
for (HandlerIterator h = handlers.begin(); h != handlers.end();
++h) {
env->getLogger()->msgStream(LogExtraInfo) << me
<< (*h)->getName() << std::endl;
}
}
pres = (PresolverPtr) new Presolver(p, env, handlers);
pres->standardize();
if (env->getOptions()->findBool("presolve")->getValue() == true) {
pres->solve();
}
return pres;
}
void loadProblem(EnvPtr env, MINOTAUR_AMPL::AMPLInterface* iface,
ProblemPtr &oinst, double *obj_sense)
{
Timer *timer = env->getNewTimer();
OptionDBPtr options = env->getOptions();
JacobianPtr jac;
HessianOfLagPtr hess;
const std::string me("qg: ");
timer->start();
oinst = iface->readInstance(options->findString("problem_file")->getValue());
env->getLogger()->msgStream(LogInfo) << me
<< "time used in reading instance = " << std::fixed
<< std::setprecision(2) << timer->query() << std::endl;
// display the problem
oinst->calculateSize();
if (options->findBool("display_problem")->getValue()==true) {
oinst->write(env->getLogger()->msgStream(LogNone), 12);
}
if (options->findBool("display_size")->getValue()==true) {
oinst->writeSize(env->getLogger()->msgStream(LogNone));
}
// create the jacobian
if (false==options->findBool("use_native_cgraph")->getValue()) {
jac = (MINOTAUR_AMPL::AMPLJacobianPtr)
new MINOTAUR_AMPL::AMPLJacobian(iface);
oinst->setJacobian(jac);
// create the hessian
hess = (MINOTAUR_AMPL::AMPLHessianPtr)
new MINOTAUR_AMPL::AMPLHessian(iface);
oinst->setHessian(hess);
}
// set initial point
oinst->setInitialPoint(iface->getInitialPoint(),
oinst->getNumVars()-iface->getNumDefs());
if (oinst->getObjective() &&
oinst->getObjective()->getObjectiveType()==Maximize) {
*obj_sense = -1.0;
env->getLogger()->msgStream(LogInfo) << me
<< "objective sense: maximize (will be converted to Minimize)"
<< std::endl;
} else {
*obj_sense = 1.0;
env->getLogger()->msgStream(LogInfo) << me
<< "objective sense: minimize" << std::endl;
}
delete timer;
}
void Transformer::copyLinear_(ConstProblemPtr p, ProblemPtr newp)
{
FunctionPtr f;
LinearFunctionPtr newlf;
ConstConstraintPtr c;
ConstraintPtr newc;
ObjectivePtr obj;
// copy linear constraints.
for (ConstraintConstIterator it=p->consBegin(); it!=p->consEnd(); ++it) {
c = *it;
if (Linear==c->getFunction()->getType()) {
// create a clone of this linear function.
newlf = c->getLinearFunction()->cloneWithVars(newp->varsBegin());
f = (FunctionPtr) new Function(newlf);
newc = newp->newConstraint(f, c->getLb(), c->getUb());
lHandler_->addConstraint(newc);
}
}
// copy linear objective.
obj = p->getObjective();
if (!obj) {
f.reset();
newp_->newObjective(f, 0.0, Minimize);
} else {
switch (obj->getFunctionType()) {
case (Constant):
f = FunctionPtr(); // NULL
newp->newObjective(f, obj->getConstant(), obj->getObjectiveType(),
obj->getName());
break;
case (Linear):
newlf = obj->getFunction()->getLinearFunction()->
cloneWithVars(newp->varsBegin());
f = (FunctionPtr) new Function(newlf);
newp->newObjective(f, obj->getConstant(), obj->getObjectiveType(),
obj->getName());
break;
default:
break;
}
}
}
CxUnivarHandler::CxUnivarHandler(EnvPtr , ProblemPtr problem)
: eTol_(1e-6),
vTol_(1e-5)
{
problem_ = problem;
logger_ = (LoggerPtr) new Logger((LogLevel) 0 );
tmpX_.resize(problem->getNumVars(), 0.0);
grad_.resize(problem->getNumVars(), 0.0);
}
void AMPLOsiUT::testOsiBnB()
{
EnvPtr env = (EnvPtr) new Environment();
char file_name[] = "instances/milp";
HandlerVector handlers;
ReliabilityBrancherPtr br;
EnginePtr e;
int err = 0;
env->startTimer(err);
ProblemPtr p = iface_->readInstance(file_name);
BranchAndBound *bab = new BranchAndBound(env, p);
IntVarHandlerPtr v_hand = (IntVarHandlerPtr) new IntVarHandler(env, p);
LinearHandlerPtr l_hand = (LinearHandlerPtr) new LinearHandler(env, p);
handlers.push_back(v_hand);
handlers.push_back(l_hand);
v_hand->setModFlags(false, true);
l_hand->setModFlags(false, true);
EngineFactory efac(env);
e = efac.getLPEngine();
PCBProcessorPtr nproc = (PCBProcessorPtr) new PCBProcessor(env, e, handlers);
br= (ReliabilityBrancherPtr) new ReliabilityBrancher(env, handlers);
br->setEngine(e);
nproc->setBrancher(br);
bab->setNodeProcessor(nproc);
NodeIncRelaxerPtr nr = (NodeIncRelaxerPtr) new NodeIncRelaxer(env, handlers);
bab->setNodeRelaxer(nr);
nr->setEngine(e);
nr->setModFlag(false);
p->setNativeDer();
bab->shouldCreateRoot(true);
bab->setLogLevel(LogNone);
bab->solve();
CPPUNIT_ASSERT(bab->getUb() == 1.0);
delete bab;
}
void computeReferenceSolution(const ProblemPtr& prob, SolutionTrace& sol_trace) {
sol_trace.clear();
sol_trace.push_back(std::pair<double, ReaK::vect_n<double> >(prob->getInitialTime(), prob->getInitialValue()));
double rec_step = (prob->getFinalTime() - prob->getInitialTime()) * 1e-3;
ReaK::dormand_prince45_integrator<double> integ(
"reference_integrator_ode45",
sol_trace.back().second,
sol_trace.back().first,
rec_step * 1e-3,
prob,
rec_step,
rec_step * 1e-6,
1e-6);
std::cout << "Generating reference solution for problem: " << prob->getObjectType()->TypeName() << " with t in [" << prob->getInitialTime() << "," << prob->getFinalTime() << "]" << std::endl;
for(double next_time = prob->getInitialTime() + rec_step; next_time < prob->getFinalTime() + 0.5 * rec_step; next_time += rec_step) {
integ.integrate(next_time);
sol_trace.push_back(std::pair<double, ReaK::vect_n<double> >(
integ.getTime(),
ReaK::vect_n<double>(integ.getStateBegin(), integ.getStateEnd())
));
std::cout << "\r" << std::setw(10) << next_time;
for(std::size_t k = 0; k < sol_trace.back().second.size(); ++k)
std::cout << std::setw(10) << sol_trace.back().second[k];
std::cout << std::flush;
};
std::cout << std::endl << "Done!" << std::endl;
};
CxUnivarHandler::CxUnivarHandler(EnvPtr , ProblemPtr problem)
: eTol_(1e-6),
vTol_(1e-5)
{
problem_ = problem;
//logger_ = (LoggerPtr) new Logger((LogLevel)
// env->getOptions()->findInt("handler_log_level")->getValue());
logger_ = (LoggerPtr) new Logger((LogLevel) 0 );
tmpX_.resize(problem->getNumVars(), 0.0);
grad_.resize(problem->getNumVars(), 0.0);
}
int main(int argc, char* argv[])
{
EnvPtr env = (EnvPtr) new Environment();
OptionDBPtr options;
MINOTAUR_AMPL::AMPLInterfacePtr iface = MINOTAUR_AMPL::AMPLInterfacePtr();
ProblemPtr inst;
SolutionPtr sol, sol2;
double obj_sense =1.0;
// jacobian is read from AMPL interface and passed on to branch-and-bound
JacobianPtr jPtr;
// hessian is read from AMPL interface and passed on to branch-and-bound
MINOTAUR_AMPL::AMPLHessianPtr hPtr;
// the branch-and-bound
BranchAndBound *bab = 0;
PresolverPtr pres;
EngineFactory *efac;
const std::string me("qg: ");
BrancherPtr br = BrancherPtr(); // NULL
PCBProcessorPtr nproc;
NodeIncRelaxerPtr nr;
//handlers
HandlerVector handlers;
IntVarHandlerPtr vHand;
LinearHandlerPtr lHand;
QGAdvHandlerPtr qgHand;
RCHandlerPtr rcHand;
//engines
EnginePtr nlp_e;
EnginePtr proj_nlp_e;
EnginePtr l1proj_nlp_e;
LPEnginePtr lin_e; // lp engine
LoggerPtr logger_ = (LoggerPtr) new Logger(LogInfo);
VarVector *orig_v=0;
int err = 0;
// start timing.
env->startTimer(err);
if (err) {
goto CLEANUP;
}
setInitialOptions(env);
iface = (MINOTAUR_AMPL::AMPLInterfacePtr)
new MINOTAUR_AMPL::AMPLInterface(env, "qg");
// parse options
env->readOptions(argc, argv);
options = env->getOptions();
options->findString("interface_type")->setValue("AMPL");
if (0!=showInfo(env)) {
goto CLEANUP;
}
loadProblem(env, iface, inst, &obj_sense);
// Initialize engines
nlp_e = getNLPEngine(env, inst); //Engine for Original problem
efac = new EngineFactory(env);
lin_e = efac->getLPEngine(); // lp engine
delete efac;
// get presolver.
orig_v = new VarVector(inst->varsBegin(), inst->varsEnd());
pres = presolve(env, inst, iface->getNumDefs(), handlers);
handlers.clear();
if (Finished != pres->getStatus() && NotStarted != pres->getStatus()) {
env->getLogger()->msgStream(LogInfo) << me
<< "status of presolve: "
<< getSolveStatusString(pres->getStatus()) << std::endl;
writeSol(env, orig_v, pres, SolutionPtr(), pres->getStatus(), iface);
writeBnbStatus(env, bab, obj_sense);
goto CLEANUP;
}
if (options->findBool("solve")->getValue()==true) {
if (true==options->findBool("use_native_cgraph")->getValue()) {
inst->setNativeDer();
}
// Initialize the handlers for branch-and-cut
lHand = (LinearHandlerPtr) new LinearHandler(env, inst);
lHand->setModFlags(false, true);
handlers.push_back(lHand);
assert(lHand);
vHand = (IntVarHandlerPtr) new IntVarHandler(env, inst);
vHand->setModFlags(false, true);
handlers.push_back(vHand);
assert(vHand);
// Use of perspective handler is user choice
if (env->getOptions()->findBool("perspective")->getValue() == true) {
PerspCutHandlerPtr pcHand = (PerspCutHandlerPtr) new
PerspCutHandler(env, inst);
pcHand->findPRCons();
if (pcHand->getStatus()) {
qgHand = (QGAdvHandlerPtr) new QGAdvHandler(env, inst, nlp_e, pcHand);
} else {
qgHand = (QGAdvHandlerPtr) new QGAdvHandler(env, inst, nlp_e);
}
} else {
qgHand = (QGAdvHandlerPtr) new QGAdvHandler(env, inst, nlp_e);
}
qgHand->setModFlags(false, true);
handlers.push_back(qgHand);
assert(qgHand);
if (options->findBool("rc_fix")->getValue()) {
rcHand = (RCHandlerPtr) new RCHandler(env);
rcHand->setModFlags(false, true);
handlers.push_back(rcHand);
assert(rcHand);
}
// report name
env->getLogger()->msgStream(LogExtraInfo) << me << "handlers used:"
<< std::endl;
for (HandlerIterator h = handlers.begin(); h != handlers.end(); ++h) {
env->getLogger()->msgStream(LogExtraInfo) << me << (*h)->getName()
<< std::endl;
}
// Only store bound-changes of relaxation (not problem)
nr = (NodeIncRelaxerPtr) new NodeIncRelaxer(env, handlers);
nr->setModFlag(false);
nr->setEngine(lin_e);
nproc = (PCBProcessorPtr) new PCBProcessor(env, lin_e, handlers);
if (env->getOptions()->findString("brancher")->getValue() == "rel") {
ReliabilityBrancherPtr rel_br =
(ReliabilityBrancherPtr) new ReliabilityBrancher(env, handlers);
rel_br->setEngine(lin_e);
nproc->setBrancher(rel_br);
br = rel_br;
} else if (env->getOptions()->findString("brancher")->getValue()
== "maxvio") {
MaxVioBrancherPtr mbr = (MaxVioBrancherPtr)
new MaxVioBrancher(env, handlers);
nproc->setBrancher(mbr);
br = mbr;
} else if (env->getOptions()->findString("brancher")->getValue()
== "lex") {
LexicoBrancherPtr lbr = (LexicoBrancherPtr)
new LexicoBrancher(env, handlers);
br = lbr;
}
nproc->setBrancher(br);
env->getLogger()->msgStream(LogExtraInfo) << me <<
"brancher used = " << br->getName() << std::endl;
bab = new BranchAndBound(env, inst);
bab->setNodeRelaxer(nr);
bab->setNodeProcessor(nproc);
bab->shouldCreateRoot(true);
// start solving
bab->solve();
bab->writeStats(env->getLogger()->msgStream(LogExtraInfo));
//bab->writeStats(std::cout);
nlp_e->writeStats(env->getLogger()->msgStream(LogExtraInfo));
lin_e->writeStats(env->getLogger()->msgStream(LogExtraInfo));
for (HandlerVector::iterator it=handlers.begin(); it!=handlers.end();
++it) {
//(*it)->writeStats(std::cout);
(*it)->writeStats(env->getLogger()->msgStream(LogExtraInfo));
}
writeSol(env, orig_v, pres, bab->getSolution(), bab->getStatus(), iface);
writeBnbStatus(env, bab, obj_sense);
}
CLEANUP:
if (iface) {
delete iface;
}
if (orig_v) {
delete orig_v;
}
if (bab) {
delete bab;
}
return 0;
}
int main()
{
// Generate output.
ofstream output;
output.open("numknapcov.txt");
// Generate input.
ifstream input;
input.open("list.txt");
// Check if input is opened succesfully.
if (input.is_open() == false) {
cerr << "Input file read error." << endl;
output << "Input file read error." << endl;
exit(0);
}
/********************************************************************************/
// Headers for output data.
output << "Statistics of knapsack cover cuts applied to root relaxation." << endl;
output << "problem " << "vars " << "cons " << "lincons " << "knapcons " << "knapcov "
<< "knaps " << "totalcuts " << "cuts " << "violknapcuts " << "initobj "
<< "endobj " << "gapclosed " << "timeinit " << "timecut " << "timemod"
<< endl;
/********************************************************************************/
// loop to test all problems in list.txt
while (input.good()) {
// problem name
string pname;
getline(input, pname);
// At the end of file just exit from loop.
if (pname.empty()) {
break;
}
cout << "Problem considered is: " << pname << endl;
// Real stuff begins.
// Ampl interface, jacobian and hessian.
MINOTAUR_AMPL::AMPLInterfacePtr iface = MINOTAUR_AMPL::AMPLInterfacePtr();
JacobianPtr jPtr; //! Jacobian read from AMPL
HessianOfLagPtr hPtr; //! Hessian read from AMPL
// environment, timers and options:
EnvPtr env = (EnvPtr) new Environment();
OptionDBPtr options;
// problem to be solved.
ProblemPtr minlp;
// solver pointers, including status.
FilterSQPEngine e(env);
EngineStatus status;
// Presolver.
PresolverPtr pres;
// give parameters.
UInt argc2 = 2;
std::string arg1 = "bnb";
std::string arg2 = pname;
char** argv2 = new char* [2];
argv2[0] = &arg1[0];
argv2[1] = &arg2[0];
// Default options
env->getOptions()->findBool("presolve")->setValue(false);
env->getOptions()->findBool("use_native_cgraph")->setValue(true);
env->getOptions()->findBool("nl_presolve")->setValue(false);
// parse options
env->readOptions(argc2, argv2);
options = env->getOptions();
options->findString("interface_type")->setValue("AMPL");
// read minlp from AMPL.
iface = (MINOTAUR_AMPL::AMPLInterfacePtr) new MINOTAUR_AMPL::AMPLInterface(env);
minlp = iface->readInstance(pname);
// Timer is obtained.
Timer * timer = env->getNewTimer();
// Nonlinearize objective function.
Bool MIPCONSIDERED = false;
if (MIPCONSIDERED == true) {
ObjectivePtr initobjfun = minlp->getObjective();
if (initobjfun->getObjectiveType() == Maximize) {
cerr << "Objective type is Maximize, change it to Minimize." << endl;
exit(0);
}
LinearFunctionPtr lfinitobj = initobjfun->getLinearFunction();
// NonlinearFunctionPtr nlfobj = (NonlinearFunctionPtr) new NonlinearFunction();
CGraphPtr nlfobj = (CGraphPtr) new CGraph();
logobj(lfinitobj, nlfobj);
FunctionPtr logobjfun = (FunctionPtr) new Function(nlfobj);
ObjectiveType otyp = Minimize;
minlp->changeObj(logobjfun, 0);
}
minlp->calculateSize();
minlp->prepareForSolve();
// Change format of problem to be suitable for Minotaur.
HandlerVector handlers;
// Use presolver to standardize problem.
//pres = (PresolverPtr) new Presolver(minlp, env, handlers);
//pres->standardize();
minlp->calculateSize();
minlp->prepareForSolve();
minlp->setJacobian(jPtr);
minlp->setHessian(hPtr);
minlp->setNativeDer();
minlp->calculateSize();
minlp->prepareForSolve();
minlp->setNativeDer();
//minlp->write(std::cout);
/**************************************************************/
// Given problem statistics .
// Number of variables.
UInt numvars = minlp->getNumVars();
// number of constraints.
UInt numcons = minlp->getNumCons();
// linear constraints.
UInt numlin = minlp->getNumLinCons();
/*************************************************************/
// set option for engine to resolve to solve NLP repeatedly.
// Probbaly does nothing.
e.setOptionsForRepeatedSolve();
// load problem.
e.load(minlp);
// Solve problem.
timer->start();
status = e.solve();
/********************************************************************/
// Solution time of relaxation.
Double timeinit = timer->query();
timer->stop();
// Solution objective value
Double initobj = e.getSolutionValue();
/********************************************************************/
std::cout << "Relaxation objective value = " << initobj << std::endl;
// Get solution from engine.
ConstSolutionPtr sol = e.getSolution();
// Construct relaxation.
RelaxationPtr rel = (RelaxationPtr) new Relaxation(minlp);
// Time for cut generation.
timer->start();
// Generate kanpsack cover cuts.
CoverCutGeneratorPtr knapgen =
(CoverCutGeneratorPtr) new CoverCutGenerator(rel, sol, env);
/*******************************************************************/
Double timecut = timer->query();
timer->stop();
/*******************************************************************/
// Get statistics of cut generator.
ConstCovCutGenStatsPtr knapstats = knapgen->getStats();
/*******************************************************************/
// Knapsack cut generator statistics.
// knapsack constraints.
UInt numknap = (knapgen->getKnapsackList())->getNumKnaps();
// knapsacks that has cover sets.
UInt numknapcov = knapgen->getNumCons();
// knapsack subproblems solved, i.e number of lifting subproblems solved.
UInt knaps = knapstats->knaps;
// cover cuts including duplicates.
UInt totalcuts = knapstats->totalcuts;
// cuts without duplicates.
UInt numknapcuts = knapstats->cuts;
// violated cuts.
UInt violknapcuts = knapstats->violated;
/*******************************************************************/
std::cout << "Number of knapsack cover cuts to be applied is: "
<< knapstats->violated << std::endl;
// Get the violated cuts from generator.
CutVector knapcuts = knapgen->getViolatedCutList();
// Iterators for cuts
CutVectorConstIter it;
CutVectorConstIter begin = knapcuts.begin();
CutVectorConstIter end = knapcuts.end();
// Apply the cuts to the problem.
// Violation list.
DoubleVector knapviols = knapgen->getViolList();
UInt curknap = 0;
Double maxviol = 0.0;
for (it=begin; it!=end; ++it) {
std::cout << "Violation obtained from this constraint is: "
<< knapviols[curknap] << std::endl;
ConstraintPtr newcons = rel->newConstraint((*it)->getFunction(), (*it)->getLb(), (*it)->getUb());
if (maxviol < knapviols[curknap]) {
maxviol = knapviols[curknap];
}
// add constraint to engine does not do anything.
// Thus, we add constraint to the relaxation and reload it to engine.
// e.addConstraint(newcons);
}
/*******************************************************************/
// Solution time of knapsack cover cuts added problem.
Double timemod = 0.0;
// Objective value after adding knapsack cover cuts.
Double endobj = 0.0;
// Gap closed by using knapsack cover cuts.
Double gapknap = 0.0;
/*******************************************************************/
if (violknapcuts >= 1) {
// Reload problem to engine.
// Check if we should reload the modified problem.
e.clear();
const Double * xupdated;
if (WARMSTART == 1) {
// Set initial point as the solution of root solution.
xupdated = sol->getPrimal();
rel->setInitialPoint(xupdated);
}
// Load the modified problem.
e.load(rel);
// warmstart continues.
if (WARMSTART == 1) {
// Before presolve, we set initial primal and
// dual solutions as the root solution.
SolutionPtr solupdated = (SolutionPtr) new Solution(initobj, xupdated, rel);
// Create new dual solution.
const Double * dualofvars = sol->getDualOfVars();
solupdated->setDualOfVars(dualofvars);
const Double * initdualofcons = sol->getDualOfCons();
UInt numconsupdated = rel->getNumCons();
Double * dualofcons = new Double[numconsupdated];
memcpy(dualofcons, initdualofcons, numcons*sizeof(Double));
for (UInt indexx = numcons; indexx < numconsupdated; ++indexx) {
dualofcons[indexx] = 0.0;
}
solupdated->setDualOfCons(dualofcons);
FilterWSPtr warmstart = (FilterWSPtr) new FilterSQPWarmStart();
warmstart->setPoint(solupdated);
e.loadFromWarmStart(warmstart);
delete [] dualofcons;
}
// Solution time after adding knapsack cover cuts to relaxation.
timer->start();
// Resolve the problem.
e.solve();
/*******************************************************************/
// Solution time of knapsack cover cuts added problem.
timemod = timer->query();
timer->stop();
// Objective value after adding knapsack cover cuts.
endobj = e.getSolutionValue();
// Gap closed by using knapsack cover cuts.
gapknap = (endobj-initobj)/fabs(initobj) * 100;
/*******************************************************************/
} else {
/*******************************************************************/
// Solution time of knapsack cover cuts added problem.
timemod = timeinit;
// Objective value after adding knapsack cover cuts.
endobj = initobj;
// Gap closed by using knapsack cover cuts.
gapknap = 0.0;
/*******************************************************************/
}
std::cout << "Objective value of relaxation after adding cuts: "
<< endobj << std::endl;
cout << pname << " " << numvars << " " << numcons << " " << numlin
<< " " << numknap
<< " " << numknapcov << " " << knaps << " " << totalcuts
<< " " << numknapcuts << " " << violknapcuts
<< std::fixed << std::setprecision(2)
<< " " << initobj << " " << endobj
<< " " << gapknap << " " << timeinit << " " << timecut
<< " " << timemod << endl;
if (numknap >= 1) {
// Save output data.
output << pname << " " << numvars << " " << numcons << " " << numlin
<< " " << numknap
<< " " << numknapcov << " " << knaps << " " << totalcuts
<< " " << numknapcuts << " " << violknapcuts
<< std::fixed << std::setprecision(2)
<< " " << initobj << " " << endobj
<< " " << gapknap << " " << timeinit << " " << timecut
<< " " << timemod << endl;
}
delete iface;
delete [] argv2;
}
output.close();
input.close();
return 0;
}
//! main routine implementing outer approximation
int main(int argc, char** argv)
{
//! Declaration of Variables ============================================
//! interface to AMPL (NULL):
MINOTAUR_AMPL::AMPLInterfacePtr iface = MINOTAUR_AMPL::AMPLInterfacePtr();
MINOTAUR_AMPL::JacobianPtr jPtr; //! Jacobian read from AMPL
MINOTAUR_AMPL::HessianOfLagPtr hPtr; //! Hessian read from AMPL
//! environment, timers, options:
EnvPtr env = (EnvPtr) new Environment();
TimerFactory *tFactory = new TimerFactory();
Timer *timer=tFactory->getTimer();
OptionDBPtr options; //! AMPL and MINOTAUR options
//! problem pointers (MINLP, NLP, MILP):
ProblemPtr minlp; //! MINLP instance to be solved
ProblemPtr milp; //! MILP master problem
//! solver pointers, including status
FilterSQPEngine e(env); //! NLP engine: FilterSQP
EngineStatus status;
//! pointers to manipulate variables & constraints
VariablePtr v, objVar; //! variable pointer (objective)
ObjectivePtr objFun; //! remember objective function pt.
//! local variables
Double *x, *xsoln;
Double *lobnd, *upbnd;
Double objfLo = -INFINITY, objfUp = INFINITY, objfNLP, objfMIP;
Double tol = 1E-2;
Int feasibleNLP = 0, iterOA = 1, n;
// ======================================================================
//! start the timer
timer->start();
//! make sure solver is used correctly
if (argc < 2) {
usage();
return -1;
}
//! add AMPL options & flags to environment: flags (options without values)
options = env->getOptions();
add_ampl_flags(options);
env->readOptions(argc, argv); //! parse options
if (!checkUserOK(options,env)) goto CLEANUP; //! check if user needs help
//! read MINLP from AMPL & create Hessian/Jacobian for NLP solves
iface = (MINOTAUR_AMPL::AMPLInterfacePtr) new MINOTAUR_AMPL::AMPLInterface(env);
minlp = iface->readInstance(options->findString("problem_file")->getValue(),false);
jPtr = (MINOTAUR_AMPL::JacobianPtr) new MINOTAUR_AMPL::Jacobian(iface);
hPtr = (MINOTAUR_AMPL::HessianOfLagPtr) new MINOTAUR_AMPL::HessianOfLag(iface);
minlp->setJacobian(jPtr);
minlp->setHessian(hPtr);
//! Display number of constraints and variables, and MINLP problem
minlp->calculateSize();
n = minlp->getNumVars();
std::cout << "No. of vars, cons = " << minlp->getNumVars()
<< minlp->getNumCons() << std::endl;
std::cout << std::endl << "The MINLP problem is: " << std::endl;
minlp->write(std::cout);
//! load the MINLP into the NLP solver (FilterSQP)
e.load(minlp);
//! get initial point & save original bounds
x = new Double[n];
xsoln = new Double[n];
lobnd = new Double[n];
upbnd = new Double[n];
std::copy(iface->getInitialPoint(),iface->getInitialPoint()+n,x);
for (VariableConstIterator i=minlp->varsBegin(); i!=minlp->varsEnd(); ++i) {
v = *i;
lobnd[v->getId()] = v->getLb();
upbnd[v->getId()] = v->getUb();
}
//! initialize the MILP master problem by copying variables & linear c/s
milp = (ProblemPtr) new Problem();
objFun = minlp->getObjective();
objVar = VariablePtr();
initMaster(minlp, milp, objVar, objFun, x);
while ((objfLo <= objfUp)&&(iterOA<4)){
std::cout << "Iteration " << iterOA << std::endl
<< "===============" << std::endl << std::endl;
//! set-up and solve NLP(y) with fixed integers
solveNLP(minlp, e, x, objfNLP, feasibleNLP, n);
std::cout << "Solved NLP " << iterOA << " objective = " << objfNLP
<< " NLPfeasible = " << feasibleNLP << std::endl;
if (feasibleNLP && (objfNLP-tol < objfUp)) {
objfUp = objfNLP - tol;
std::copy(x,x+n,xsoln);
}
//! update MILP master problem by adding outer approximations
updateMaster(minlp, milp, objVar, objFun, objfUp, x, n);
//! solve MILP master problem
solveMaster(env, milp, x, &objfMIP, n);
objfLo = objfMIP;
iterOA = iterOA + 1;
} // end while (objfLo <= objfUp)
//! output final result & timing
std::cout << std::endl << "END outer-approximation: f(x) = " << objfUp
<< " time used = " << timer->query() << std::endl;
CLEANUP:
//! free storage
delete timer;
delete tFactory;
if (minlp) {
minlp->clear();
delete [] x;
delete [] xsoln;
delete [] lobnd;
delete [] upbnd;
}
if (milp) {
milp->clear();
}
return 0;
} // end outer approximation main
void Transformer::copyVars_(ConstProblemPtr p, ProblemPtr newp)
{
// first copy all variables from p to newp
//XXX (Need to setup map here?)
newp->newVariables(p->varsBegin(), p->varsEnd());
}