예제 #1
0
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;
}
예제 #2
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;
}
예제 #3
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