long GenModelCplex::ChangeBulkObjectives(int count, int * ind, double * vals) { if(!bcreated) return ThrowError("ChangeBulkObjectives() not available : Problem not created yet"); CplexData* d = (CplexData*)solverdata; for(long i = 0; i < count; i++) { vars.obj[i] = vals[i]; } CPXchgobj(d->env, d->lp, count, ind, vals); return 0; }
long GenModelCplex::ChangeBulkObjectives(int count, int * ind, double * vals) { CplexData* d = (CplexData*)solverdata; for(long i = 0; i < count; i++) { vars.obj[ind[i]] = vals[i]; } if (bcreated) { CPXchgobj(d->env, d->lp, count, ind, vals); } return 0; }
void CplexSolver::chgObj(IntVector const & indexe, DoubleVector const & values) { CPXchgobj(_env, _prob, (int) indexe.size(), indexe.data(), values.data()); }
int CPLEXLoadObjective(LinEquation* InEquation, bool Max) { int NumCols = CPXgetnumcols(CPLEXenv, CPLEXModel); int Status = 0; if (Max) { CPXchgobjsen (CPLEXenv, CPLEXModel, CPX_MAX); } else { CPXchgobjsen (CPLEXenv, CPLEXModel, CPX_MIN); } int* Indeces = new int[NumCols]; double* Coeffs = new double[NumCols]; for (int i=0; i < NumCols; i++) { Indeces[i] = i; Coeffs[i] = 0; } for (int i=0; i < int(InEquation->Variables.size()); i++) { Coeffs[InEquation->Variables[i]->Index] = InEquation->Coefficient[i]; } Status = CPXchgobj(CPLEXenv, CPLEXModel, NumCols, Indeces, Coeffs); delete [] Indeces; delete [] Coeffs; if (Status) { cout << "Failed to set objective coefficients. " << endl; return FAIL; } if (InEquation->QuadOne.size() > 0) { if (CPXgetprobtype(CPLEXenv, CPLEXModel) == CPXPROB_LP) { Status = CPXchgprobtype(CPLEXenv, CPLEXModel, CPXPROB_QP); } else if (CPXgetprobtype(CPLEXenv, CPLEXModel) == CPXPROB_MILP) { Status = CPXchgprobtype(CPLEXenv, CPLEXModel, CPXPROB_MIQP); } if (Status) { FErrorFile() << "Failed to change problem type." << endl; FlushErrorFile(); return FAIL; } for (int i=0; i < NumCols; i++) { for (int j=0; j < NumCols; j++) { Status = CPXchgqpcoef(CPLEXenv, CPLEXModel, i, j, 0); if (Status) { FErrorFile() << "Failed to change quadratic coefficient." << endl; FlushErrorFile(); return FAIL; } } } for (int i=0; i < int(InEquation->QuadOne.size()); i++) { Status = CPXchgqpcoef(CPLEXenv, CPLEXModel, InEquation->QuadOne[i]->Index, InEquation->QuadTwo[i]->Index, InEquation->QuadCoeff[i]); if (Status) { FErrorFile() << "Failed to change quadratic coefficient." << endl; FlushErrorFile(); return FAIL; } } } return SUCCESS; }
void DDSIP_DetEqu () { CPXLPptr det_equ; int status, scen, i, j, k, nzcnt_row, ranged = 0; char probname[] = "sipout/det_equ.lp.gz"; double *scaled_obj_coef = NULL; char *sense = NULL, *sense_sorted = NULL; char **scen_spec_rowname = NULL; char **scen_spec_colname = NULL; char **rowname = NULL, *rownamestore = NULL; char **colname = NULL, *colnamestore = NULL; int rowstorespace, rowsurplus; int colstorespace, colsurplus; char *string1 = NULL, *string2 = NULL; double *lb = NULL, *lb_sorted = NULL; double *ub = NULL, *ub_sorted = NULL; double *rng = NULL, *rng_sorted = NULL; char *vartype = NULL, *vartype_sorted = NULL; int *colindex_sorted = NULL, *colindex_revers = NULL; double *value = NULL; double *det_equ_rhs = NULL; double *base_rhs = NULL; int nzcnt=0, *rmatbeg=NULL, *rmatind=NULL, *rmatbeg_stage=NULL, *rmatind_stage=NULL, *rowindex=NULL; double *rmatval=NULL, *rmatval_stage=NULL; double time_start, time_end; time_start = DDSIP_GetCpuTime (); k = abs(DDSIP_param->riskmod); if (k > 2 && k != 4) { fprintf (stderr, "\nNot building deterministic equivalent, not available for risk model %d\n",DDSIP_param->riskmod); fprintf (DDSIP_outfile, "\nNot building deterministic equivalent, not available for risk model %d\n",DDSIP_param->riskmod); return; } if (DDSIP_data->seccon) det_equ_rhs = (double *) DDSIP_Alloc(sizeof(double),DDSIP_Imax(DDSIP_Imax(DDSIP_data->seccon, DDSIP_param->scenarios), DDSIP_data->firstcon),"det_equ_rhs(DetEqu)"); else { fprintf (stderr,"XXX ERROR: no second stage contraints, got DDSIP_data->seccon=%d.\n",DDSIP_data->seccon); return; } fprintf (stderr, "\nBuilding deterministic equivalent.\nWorks only for expectation-based models.\n"); colstorespace = DDSIP_data->novar * 255; rowstorespace = DDSIP_data->nocon * 255; if (!(sense = (char *) DDSIP_Alloc (sizeof (char), DDSIP_data->nocon, "sense(DetEqu)")) || !(sense_sorted = (char *) DDSIP_Alloc (sizeof (char), DDSIP_Imax(DDSIP_param->scenarios, DDSIP_Imax(DDSIP_data->firstcon,DDSIP_data->seccon)), "sense_sorted(DetEqu)")) || !(base_rhs = (double *) DDSIP_Alloc(sizeof(double),DDSIP_data->nocon,"base_rhs(DetEqu)")) || !(scaled_obj_coef = (double *) DDSIP_Alloc (sizeof (double), DDSIP_Imax(DDSIP_data->firstvar, DDSIP_data->secvar), "base_rhs(DetEqu)")) || !(colname = (char **) DDSIP_Alloc (sizeof (char *), DDSIP_data->novar,"base_rhs(DetEqu)")) || !(scen_spec_colname = (char **) DDSIP_Alloc (sizeof (char *), DDSIP_Imax(DDSIP_data->firstvar,DDSIP_data->secvar), "scen_spec_colname(DetEqu)")) || !(colnamestore = (char *) DDSIP_Alloc (sizeof (char), colstorespace, "colnamestore(DetEqu)")) || !(rowname = (char **) DDSIP_Alloc (sizeof (char *), DDSIP_data->nocon, "rowname(DetrEqu)")) || !(scen_spec_rowname = (char **) DDSIP_Alloc (sizeof (char *), DDSIP_Imax(DDSIP_param->scenarios, DDSIP_Imax(DDSIP_data->firstcon,DDSIP_data->seccon)), "scen_spec_rowname(DetEqu)")) || !(rownamestore = (char *) DDSIP_Alloc (sizeof (char), rowstorespace, "rownamestore(DetEqu)")) || !(lb = (double *) DDSIP_Alloc (sizeof (double), DDSIP_data->novar, "lb(DetEqu)")) || !(lb_sorted = (double *) DDSIP_Alloc (sizeof (double), DDSIP_Imax(DDSIP_data->firstvar,DDSIP_data->secvar), "lb_sorted(DetEqu)")) || !(ub = (double *) DDSIP_Alloc (sizeof (double), DDSIP_data->novar, "ub(DetEqu)")) || !(ub_sorted = (double *) DDSIP_Alloc (sizeof (double), DDSIP_Imax(DDSIP_data->firstvar,DDSIP_data->secvar), "ub_sorted(DetEqu)")) || !(vartype = (char *) DDSIP_Alloc (sizeof (char), DDSIP_data->novar, "vartype(DetEqu)")) || !(vartype_sorted = (char *) DDSIP_Alloc (sizeof (double), DDSIP_Imax(DDSIP_data->firstvar,DDSIP_data->secvar), "vartype_sorted(DetEqu)")) || !(colindex_sorted = (int *) DDSIP_Alloc (sizeof (int), DDSIP_data->novar, "colindex_sorted(DetEqu)")) || !(rowindex = (int *) DDSIP_Alloc (sizeof (int), DDSIP_Imax(DDSIP_data->firstcon, DDSIP_data->seccon), "rowindex(DetEqu)"))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } // get problem data /*____________________________________________________________________________________*/ if((status = CPXgetcolname (DDSIP_env, DDSIP_lp, colname, colnamestore, colstorespace, &colsurplus, 0, DDSIP_data->novar - 1)) || (status = CPXgetrowname (DDSIP_env, DDSIP_lp, rowname, rownamestore, rowstorespace, &rowsurplus, 0, DDSIP_data->nocon - 1)) || (status = CPXgetsense (DDSIP_env, DDSIP_lp, sense, 0, DDSIP_data->nocon - 1)) || (status = CPXgetrhs (DDSIP_env, DDSIP_lp, base_rhs, 0, DDSIP_data->nocon - 1)) || (status = CPXgetlb (DDSIP_env, DDSIP_lp, lb, 0, DDSIP_data->novar - 1)) || (status = CPXgetub (DDSIP_env, DDSIP_lp, ub, 0, DDSIP_data->novar - 1)) || (status = CPXgetctype (DDSIP_env, DDSIP_lp, vartype, 0, DDSIP_data->novar - 1))) { fprintf (stderr, "Coud not get problem data, returned %d\n", status); goto FREE; } // check whether there are ranged rows for (j=0; j<DDSIP_data->nocon; j++) { if (sense[j] == 'R') { ranged = 1; break; } } if (ranged) { if (!(rng = (double *) DDSIP_Alloc (sizeof (double), DDSIP_data->nocon, "rng(DetEqu)")) || !(rng_sorted = (double *) DDSIP_Alloc (sizeof (double), DDSIP_Imax(DDSIP_data->firstcon,DDSIP_data->seccon), "rng_sorted(DetEqu)"))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } if ((status = CPXgetrngval (DDSIP_env, DDSIP_lp, rng, 0, DDSIP_data->nocon-1))) { fprintf (stderr, "Coud not get problem ranges, returned %d\n", status); goto FREE; } } /*____________________________________________________________________________________*/ // create empty problem det_equ = CPXcreateprob (DDSIP_env, &status, probname); if (status) { fprintf (stderr, "CPXcreateprob returned %d\n", status); goto FREE; } // add (original) first-stage variables for (j = 0; j < DDSIP_data->firstvar; j++) { vartype_sorted[j] = vartype[DDSIP_bb->firstindex[j]]; lb_sorted[j] = lb[DDSIP_bb->firstindex[j]]; ub_sorted[j] = ub[DDSIP_bb->firstindex[j]]; if (DDSIP_param->deteqType && DDSIP_param->riskmod >= 0) scaled_obj_coef[j] = DDSIP_data->obj_coef[DDSIP_bb->firstindex[j]]; scen_spec_colname[j]= colname[DDSIP_bb->firstindex[j]]; } if ((status = CPXnewcols (DDSIP_env, det_equ, DDSIP_data->firstvar, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname))) { fprintf (stderr, "CPXnewcols returned %d for first-stage variables\n", status); goto FREE; } // add (original) second-stage variables for all scenarios for (j = 0; j < DDSIP_data->secvar; j++) { vartype_sorted[j] = vartype[DDSIP_bb->secondindex[j]]; lb_sorted[j] = lb[DDSIP_bb->secondindex[j]]; ub_sorted[j] = ub[DDSIP_bb->secondindex[j]]; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_data->secvar; j++) { if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } // append scenario index to colname string1 = colname[DDSIP_bb->secondindex[j]]; sprintf (string2, "%sSC%.3d", string1, scen+1); scen_spec_colname[j] = string2; if (DDSIP_param->deteqType && DDSIP_param->riskmod >= 0) scaled_obj_coef[j] = DDSIP_data->prob[scen] * DDSIP_data->obj_coef[DDSIP_bb->secondindex[j]]; } if ((status = CPXnewcols (DDSIP_env, det_equ, DDSIP_data->secvar, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname))) { fprintf (stderr, "CPXnewcols returned %d for second-stage variables of scenario %d\n", status, scen+1); goto FREE; } for (j = 0; j < DDSIP_data->secvar; j++) DDSIP_Free ((void **) &(scen_spec_colname[j])); } // add second-stage variable for objective value of the scenarios if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } scen_spec_colname[0] = string2; for (scen = 0; scen < DDSIP_param->scenarios; scen++) { vartype_sorted[0] = 'C'; lb_sorted[0] = -DDSIP_infty; ub_sorted[0] = DDSIP_infty; sprintf (string2, "DDSIPobj_SC%.3d", scen+1); if (!DDSIP_param->deteqType && DDSIP_param->riskmod >= 0) scaled_obj_coef[0] = DDSIP_data->prob[scen]; else scaled_obj_coef[0] = 0.; if ((status = CPXnewcols (DDSIP_env, det_equ, 1, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname))) { fprintf (stderr, "CPXnewcols returned %d for second-stage variable DDSIPobj_SC%.3d\n", status, scen+1); goto FREE; } } // add the additional variables needed for risk models /////////////////////////////////////// if (DDSIP_param->riskmod) { switch (abs(DDSIP_param->riskmod)) { case 1: // Expected excess // one continuous second-stage variable for each scenario for (scen = 0; scen < DDSIP_param->scenarios; scen++) { vartype_sorted[0] = 'C'; lb_sorted[0] = 0.; ub_sorted[0] = DDSIP_infty; sprintf (string2, "DDSIP_expexc_SC%.3d", scen+1); if (DDSIP_param->riskmod > 0) scaled_obj_coef[0] = DDSIP_param->riskweight*DDSIP_data->prob[scen]; else if (DDSIP_param->riskmod < 0) scaled_obj_coef[0] = DDSIP_data->prob[scen]; else scaled_obj_coef[0] = 0.; if ((status = CPXnewcols (DDSIP_env, det_equ, 1, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname))) { fprintf (stderr, "CPXnewcols returned %d for second-stage variable %s\n", status, string2); goto FREE; } } break; case 2: // Excess Probability // one binary second-stage variable for each scenario for (scen = 0; scen < DDSIP_param->scenarios; scen++) { vartype_sorted[0] = 'B'; lb_sorted[0] = 0.; ub_sorted[0] = 1.; sprintf (string2, "DDSIP_excprob_SC%.3d", scen+1); if (DDSIP_param->riskmod > 0) scaled_obj_coef[0] = DDSIP_param->riskweight*DDSIP_data->prob[scen]; else if (DDSIP_param->riskmod < 0) scaled_obj_coef[0] = DDSIP_data->prob[scen]; else scaled_obj_coef[0] = 0.; if ((status = CPXnewcols (DDSIP_env, det_equ, 1, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname))) { fprintf (stderr, "CPXnewcols returned %d for second-stage variable %s\n", status, string2); goto FREE; } } break; case 4: // Worst Case Costs // one continuous first-stage variable vartype_sorted[0] = 'C'; lb_sorted[0] = -DDSIP_infty; ub_sorted[0] = DDSIP_infty; if (DDSIP_param->prefix) { if (!(strlen(DDSIP_param->prefix))) { fprintf (stderr," *** ERROR: The prefix for the first stage variables has to have a positive length.\n"); exit (1); } sprintf (string2, "%sDDSIP_n_aux01",DDSIP_param->prefix); } else { if (!(strlen(DDSIP_param->postfix))) { fprintf (stderr," *** ERROR: The postfix for the first stage variables has to have a positive length.\n"); exit (1); } sprintf (string2, "DDSIP_worstc_%s",DDSIP_param->postfix); } if (DDSIP_param->riskmod > 0) scaled_obj_coef[0] = DDSIP_param->riskweight; else if (DDSIP_param->riskmod < 0) scaled_obj_coef[0] = 1.; else scaled_obj_coef[0] = 0.; if ((status = CPXnewcols (DDSIP_env, det_equ, 1, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname))) { fprintf (stderr, "CPXnewcols returned %d for second-stage variable %s\n", status, string2); goto FREE; } } } DDSIP_Free ((void **) &(scen_spec_colname[0])); ///////enter stochastic cost coefficients in case of deteqType 1 ////////////////////////////// if (DDSIP_param->stoccost && DDSIP_param->deteqType && DDSIP_param->riskmod >= 0) { for (j = 0; j < DDSIP_param->stoccost; j++) { scaled_obj_coef[j] = 0.0; if ((colindex_sorted[j] = DDSIP_bb->firstindex_reverse[DDSIP_data->costind[j]])) colindex_sorted[j] = DDSIP_data->firstvar + DDSIP_bb->secondindex_reverse[DDSIP_data->costind[j]]; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->stoccost; j++) { if (colindex_sorted[j] >= DDSIP_data->firstvar) scaled_obj_coef[j] = DDSIP_data->prob[scen] * DDSIP_data->cost[scen * DDSIP_param->stoccost + j]; else scaled_obj_coef[j] += DDSIP_data->prob[scen] * DDSIP_data->cost[scen * DDSIP_param->stoccost + j]; } status = CPXchgobj (DDSIP_env, det_equ, DDSIP_param->stoccost, colindex_sorted, scaled_obj_coef); if (status) { char errmsg[1024]; CPXgeterrorstring (DDSIP_env, status, errmsg); fprintf (stderr, "in DetEqu: %s\n", errmsg); } for (j = 0; j < DDSIP_param->stoccost; j++) { if (colindex_sorted[j] >= DDSIP_data->firstvar) colindex_sorted[j] += DDSIP_data->secvar; } } } // // free arrays needeed only for columns DDSIP_Free ((void **) &(vartype)); DDSIP_Free ((void **) &(colname)); DDSIP_Free ((void **) &(colnamestore)); DDSIP_Free ((void **) &(lb)); DDSIP_Free ((void **) &(ub)); DDSIP_Free ((void **) &(vartype_sorted)); DDSIP_Free ((void **) &(lb_sorted)); DDSIP_Free ((void **) &(ub_sorted)); DDSIP_Free ((void **) &(scaled_obj_coef)); // // get problem matrix coefficients // query the length needed for storage of coefficients CPXgetrows(DDSIP_env, DDSIP_lp, &nzcnt, rmatbeg, rmatind, rmatval, 0, &rowsurplus, 0, DDSIP_data->nocon-1); nzcnt = -rowsurplus; if (!(rmatbeg = (int *) DDSIP_Alloc (sizeof (int), DDSIP_data->nocon, "rmatbeg(DetEqu)")) || !(rmatind = (int *) DDSIP_Alloc (sizeof (int), DDSIP_Imax(nzcnt, DDSIP_param->stocmat), "rmatind(DetEqu)")) || !(rmatval = (double *) DDSIP_Alloc (sizeof (double), nzcnt, "rmatval(DetEqu)"))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } CPXgetrows(DDSIP_env, DDSIP_lp, &nzcnt, rmatbeg, rmatind, rmatval, nzcnt, &rowsurplus, 0, DDSIP_data->nocon-1); printf(" got %d elements of the matrix\n", nzcnt); k = DDSIP_Imax(nzcnt + DDSIP_param->stocmat, DDSIP_param->scenarios*(DDSIP_data->novar+1)); if (!(rmatbeg_stage = (int *) DDSIP_Alloc (sizeof (int), DDSIP_Imax(DDSIP_param->scenarios, DDSIP_Imax(DDSIP_data->firstcon, DDSIP_data->seccon)), "rmatbeg_stage(DetEqu)")) || !(rmatind_stage = (int *) DDSIP_Alloc (sizeof (int), k, "rmatind_stage(DetEqu)")) || !(rmatval_stage = (double *) DDSIP_Alloc (sizeof (double), k, "rmatval_stage(DetEqu)"))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } // add first-stage constraints k = 0; for (j = 0; j < DDSIP_data->firstcon; j++) { sense_sorted[j] = sense[DDSIP_bb->firstrowind[j]]; det_equ_rhs[j] = base_rhs[DDSIP_bb->firstrowind[j]]; scen_spec_rowname[j] = rowname[DDSIP_bb->firstrowind[j]]; rmatbeg_stage[j] = k; if (DDSIP_bb->firstrowind[j] == DDSIP_data->nocon -1) nzcnt_row = nzcnt - rmatbeg[DDSIP_data->nocon -1]; else nzcnt_row = rmatbeg[DDSIP_bb->firstrowind[j]+1] - rmatbeg[DDSIP_bb->firstrowind[j]]; for (i = 0; i < nzcnt_row; i++) { rmatind_stage[k + i] = DDSIP_bb->firstindex_reverse[rmatind[rmatbeg[DDSIP_bb->firstrowind[j]] + i]]; rmatval_stage[k + i] = rmatval[rmatbeg[DDSIP_bb->firstrowind[j]] + i]; } k += nzcnt_row; } if ((status = CPXaddrows(DDSIP_env, det_equ, 0, DDSIP_data->firstcon, k, det_equ_rhs, sense_sorted, rmatbeg_stage, rmatind_stage, rmatval_stage, NULL, scen_spec_rowname))) { fprintf (stderr, "CPXaddrows returned %d for first-stage constraints\n", status); goto FREE; } if (ranged) { for (j = 0; j < DDSIP_data->firstcon; j++) { rng_sorted[j] = rng[DDSIP_bb->firstrowind[j]]; rowindex[j] = j; } if((status = CPXchgrngval(DDSIP_env, det_equ, DDSIP_data->firstcon, rowindex, rng_sorted))) { fprintf (stderr, "CPXchgrngval returned %d for first-stage constraints\n", status); goto FREE; } } // add second-stage constraints for (scen = 0; scen < DDSIP_param->scenarios; scen++) { k = 0; for (j = 0; j < DDSIP_data->seccon; j++) { sense_sorted[j] = sense[DDSIP_bb->secondrowind[j]]; det_equ_rhs[j] = base_rhs[DDSIP_bb->secondrowind[j]]; if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } // append scenario index to colname string1 = rowname[DDSIP_bb->secondrowind[j]]; sprintf (string2, "%sSC%.3d", string1, scen+1); scen_spec_rowname[j] = string2; rmatbeg_stage[j] = k; if (DDSIP_bb->secondrowind[j] == DDSIP_data->nocon -1) nzcnt_row = nzcnt - rmatbeg[DDSIP_data->nocon -1]; else { nzcnt_row = rmatbeg[DDSIP_bb->secondrowind[j]+1] - rmatbeg[DDSIP_bb->secondrowind[j]]; } for (i = 0; i < nzcnt_row; i++) { if (DDSIP_bb->firstindex_reverse[rmatind[rmatbeg[DDSIP_bb->secondrowind[j]] + i]] < 0) rmatind_stage[k + i] = DDSIP_data->firstvar + scen*DDSIP_data->secvar + DDSIP_bb->secondindex_reverse[rmatind[rmatbeg[DDSIP_bb->secondrowind[j]] + i]]; else rmatind_stage[k + i] = DDSIP_bb->firstindex_reverse[rmatind[rmatbeg[DDSIP_bb->secondrowind[j]] + i]]; rmatval_stage[k + i] = rmatval[rmatbeg[DDSIP_bb->secondrowind[j]] + i]; } k += nzcnt_row; } ///////enter stochastic rhs entries////////////////////////////////////////////////////// for (j=0; j< DDSIP_param->stocrhs; j++) { det_equ_rhs[DDSIP_bb->secondrowind_reverse[DDSIP_data->rhsind[j]]] = DDSIP_data->rhs[scen * DDSIP_param->stocrhs + j]; } if ((status = CPXaddrows(DDSIP_env, det_equ, 0, DDSIP_data->seccon, k, det_equ_rhs, sense_sorted, rmatbeg_stage, rmatind_stage, rmatval_stage, NULL, scen_spec_rowname))) { fprintf (stderr, "CPXaddrows returned %d for second-stage constraints scenario %d\n", status, scen+1); goto FREE; } for (j = 0; j < DDSIP_data->seccon; j++) DDSIP_Free ((void **) &(scen_spec_rowname[j])); if (ranged) { for (j = 0; j < DDSIP_data->seccon; j++) { rng_sorted[j] = rng[DDSIP_bb->secondrowind[j]]; rowindex[j] = DDSIP_data->firstcon + scen * DDSIP_data->seccon + j; } if ((status = CPXchgrngval(DDSIP_env, det_equ, DDSIP_data->seccon, rowindex, rng_sorted))) { fprintf (stderr, "CPXchgrngval returned %d for first-stage constraints\n", status); goto FREE; } } } ///////enter stochastic matrix entries////////////////////////////////////////////////////// if (DDSIP_param->stocmat) { if (!(value = (double *) calloc (DDSIP_param->stocmat, sizeof (double)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } for (j = 0; j < DDSIP_param->stocmat; j++) { if ((colindex_sorted[j] = DDSIP_bb->firstindex_reverse[DDSIP_data->matcol[j]])) colindex_sorted[j] = DDSIP_data->firstvar + DDSIP_bb->secondindex_reverse[DDSIP_data->matcol[j]]; rmatind[j] = DDSIP_data->firstcon + DDSIP_bb->secondrowind_reverse[DDSIP_data->matrow[j]]; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->stocmat; j++) { value[j] = DDSIP_data->matval[scen * DDSIP_param->stocmat + j]; } status = CPXchgcoeflist (DDSIP_env, det_equ, DDSIP_param->stocmat, rmatind, colindex_sorted, value); if (status) { char errmsg[1024]; CPXgeterrorstring (DDSIP_env, status, errmsg); fprintf (stderr, "in DetEqu chgcoeflist returned %d: %s\n", status, errmsg); } for (j = 0; j < DDSIP_param->stocmat; j++) { rmatind[j] += DDSIP_data->seccon; if (colindex_sorted[j] >= DDSIP_data->firstvar) colindex_sorted[j] += DDSIP_data->secvar; } } DDSIP_Free ((void **) &(value)); } // add second-stage equations for the objective values of the scenarios k = 0; for (scen = 0; scen < DDSIP_param->scenarios; scen++) { sense_sorted[scen] = 'E'; det_equ_rhs[scen] = 0.; if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } sprintf (string2, "DDSIP_o_SC%.3d", scen+1); scen_spec_rowname[scen] = string2; rmatbeg_stage[scen] = k; nzcnt_row = DDSIP_data->novar + 1; for (i = 0; i < DDSIP_data->novar; i++) { if (DDSIP_bb->firstindex_reverse[i] < 0) { rmatind_stage[k + i] = DDSIP_data->firstvar + scen*DDSIP_data->secvar + DDSIP_bb->secondindex_reverse[i]; } else { rmatind_stage[k + i] = DDSIP_bb->firstindex_reverse[i]; } rmatval_stage[k + i] = DDSIP_data->obj_coef[i]; } rmatind_stage[k + DDSIP_data->novar] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + scen; rmatval_stage[k + DDSIP_data->novar] = -1.; k += nzcnt_row; } if ((status = CPXaddrows(DDSIP_env, det_equ, 0, DDSIP_param->scenarios, k, det_equ_rhs, sense_sorted, rmatbeg_stage, rmatind_stage, rmatval_stage, NULL, scen_spec_rowname))) { fprintf (stderr, "CPXaddrows returned %d for second-stage objective constraints\n", status); goto FREE; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { DDSIP_Free ((void **) &(scen_spec_rowname[scen])); } ///////enter stochastic cost coefficients in the objective equations ////////////////////////////// if (DDSIP_param->stoccost) { if (!(value = (double *) calloc (DDSIP_param->stoccost, sizeof (double)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->stoccost; j++) { if ((colindex_sorted[j] = DDSIP_bb->firstindex_reverse[DDSIP_data->costind[j]]) < 0) colindex_sorted[j] = DDSIP_data->firstvar + scen * DDSIP_data->secvar +DDSIP_bb->secondindex_reverse[DDSIP_data->costind[j]]; rmatind[j] = DDSIP_data->firstcon + DDSIP_param->scenarios*DDSIP_data->seccon + scen; value[j] = DDSIP_data->cost[scen * DDSIP_param->stoccost + j]; } status = CPXchgcoeflist (DDSIP_env, det_equ, DDSIP_param->stoccost, rmatind, colindex_sorted, value); if (status) { char errmsg[1024]; CPXgeterrorstring (DDSIP_env, status, errmsg); fprintf (stderr, "in DetEqu chgcoeflist returned %d: %s\n", status, errmsg); } for (j = 0; j < DDSIP_param->stocmat; j++) { rmatind[j] += DDSIP_data->seccon; if (colindex_sorted[j] >= DDSIP_data->firstvar) colindex_sorted[j] += DDSIP_data->secvar; } } DDSIP_Free ((void **) &(value)); } // add second-stage equations for the risk models ////////////////////////////////// switch (abs(DDSIP_param->riskmod)) { case 1: // Expected excess k = 0; for (scen = 0; scen < DDSIP_param->scenarios; scen++) { sense_sorted[scen] = 'L'; det_equ_rhs[scen] = DDSIP_param->risktarget; if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } sprintf (string2, "DDSIP_exp_excess_SC%.3d", scen+1); scen_spec_rowname[scen] = string2; rmatbeg_stage[scen] = k; nzcnt_row = 2; rmatind_stage[k] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + scen; rmatval_stage[k] = 1.; rmatind_stage[k + 1] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + DDSIP_param->scenarios + scen; rmatval_stage[k + 1] = -1.; k += nzcnt_row; } if ((status = CPXaddrows(DDSIP_env, det_equ, 0, DDSIP_param->scenarios, k, det_equ_rhs, sense_sorted, rmatbeg_stage, rmatind_stage, rmatval_stage, NULL, scen_spec_rowname))) { fprintf (stderr, "CPXaddrows returned %d for second-stage risk constraints\n", status); goto FREE; } break; case 2: // Excess probability k = 0; for (scen = 0; scen < DDSIP_param->scenarios; scen++) { sense_sorted[scen] = 'L'; det_equ_rhs[scen] = DDSIP_param->risktarget; if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } sprintf (string2, "DDSIP_excess_prob_SC%.3d", scen+1); scen_spec_rowname[scen] = string2; rmatbeg_stage[scen] = k; nzcnt_row = 2; rmatind_stage[k] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + scen; rmatval_stage[k] = 1.; rmatind_stage[k + 1] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + DDSIP_param->scenarios + scen; rmatval_stage[k + 1] = -DDSIP_param->riskM; k += nzcnt_row; } if ((status = CPXaddrows(DDSIP_env, det_equ, 0, DDSIP_param->scenarios, k, det_equ_rhs, sense_sorted, rmatbeg_stage, rmatind_stage, rmatval_stage, NULL, scen_spec_rowname))) { fprintf (stderr, "CPXaddrows returned %d for second-stage risk constraints\n", status); goto FREE; } break; case 4: // Worst case cost k = 0; for (scen = 0; scen < DDSIP_param->scenarios; scen++) { sense_sorted[scen] = 'L'; det_equ_rhs[scen] = 0.; if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); goto FREE; } sprintf (string2, "DDSIP_worst_case_SC%.3d", scen+1); scen_spec_rowname[scen] = string2; rmatbeg_stage[scen] = k; nzcnt_row = 2; rmatind_stage[k] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + scen; rmatval_stage[k] = 1.; rmatind_stage[k + 1] = DDSIP_data->firstvar + DDSIP_param->scenarios*DDSIP_data->secvar + DDSIP_param->scenarios; rmatval_stage[k + 1] = -1.; k += nzcnt_row; } if ((status = CPXaddrows(DDSIP_env, det_equ, 0, DDSIP_param->scenarios, k, det_equ_rhs, sense_sorted, rmatbeg_stage, rmatind_stage, rmatval_stage, NULL, scen_spec_rowname))) { fprintf (stderr, "CPXaddrows returned %d for second-stage risk constraints\n", status); goto FREE; } break; } for (j = 0; j < DDSIP_param->scenarios; j++) DDSIP_Free ((void **) &(scen_spec_rowname[j])); time_end = DDSIP_GetCpuTime (); fprintf (DDSIP_outfile, " %6.2f sec for building deterministic equivalent\n",time_end-time_start); status = CPXwriteprob (DDSIP_env, det_equ, probname, NULL); if (status) { fprintf (DDSIP_outfile, " *** Deterministic equivalent not written successfully, status = %d\n", status); printf (" *** Deterministic equivalent not written successfully, status = %d\n", status); } else { fprintf (DDSIP_outfile, " *** Deterministic equivalent %s written successfully\n", probname); printf (" *** Deterministic equivalent %s written successfully\n", probname); } status = CPXfreeprob (DDSIP_env, &det_equ); time_start = DDSIP_GetCpuTime (); fprintf (DDSIP_outfile, " %6.2f sec for writing deterministic equivalent\n",time_start-time_end); FREE: DDSIP_Free ((void **) &(sense)); DDSIP_Free ((void **) &(sense_sorted)); DDSIP_Free ((void **) &(vartype)); DDSIP_Free ((void **) &(rowname)); DDSIP_Free ((void **) &(rownamestore)); DDSIP_Free ((void **) &(colname)); DDSIP_Free ((void **) &(colnamestore)); DDSIP_Free ((void **) &(det_equ_rhs)); DDSIP_Free ((void **) &(base_rhs)); DDSIP_Free ((void **) &(lb)); DDSIP_Free ((void **) &(ub)); DDSIP_Free ((void **) &(vartype_sorted)); DDSIP_Free ((void **) &(lb_sorted)); DDSIP_Free ((void **) &(ub_sorted)); DDSIP_Free ((void **) &(scaled_obj_coef)); DDSIP_Free ((void **) &(colindex_sorted)); DDSIP_Free ((void **) &(colindex_revers)); DDSIP_Free ((void **) &(scen_spec_rowname)); DDSIP_Free ((void **) &(scen_spec_colname)); DDSIP_Free ((void **) &(rmatbeg)); DDSIP_Free ((void **) &(rmatind)); DDSIP_Free ((void **) &(rmatval)); DDSIP_Free ((void **) &(rmatbeg_stage)); DDSIP_Free ((void **) &(rmatind_stage)); DDSIP_Free ((void **) &(rmatval_stage)); DDSIP_Free ((void **) &(rowindex)); if (ranged) { DDSIP_Free ((void **) &(rng)); DDSIP_Free ((void **) &(rng_sorted)); } return; }
// solve the current problem int cplex_solver::solve() { int nb_objectives = objectives.size(); int mipstat, status; // Presolving the problem time_t ptime = time(NULL); if (CPXpresolve(env, lp, CPX_ALG_NONE)) return 0; time_t ctime = time(NULL); _timeCount += difftime(ctime, ptime); // Solve the objectives in a lexical order for (int i = first_objective; i < nb_objectives; i++) { ptime = ctime; // Solve the mip problem if (CPXmipopt (env, lp)) return ERROR; ctime = time(NULL); _solutionCount += CPXgetsolnpoolnumsolns(env, lp) + CPXgetsolnpoolnumreplaced(env, lp); _timeCount += difftime(ctime, ptime); _nodeCount += CPXgetnodecnt(env, lp); // Get solution status if ((mipstat = CPXgetstat(env, lp)) == CPXMIP_OPTIMAL) { if (i < nb_objectives - 1) { // Get next non empty objective // (must be done here to avoid conflicting method calls int previ = i, nexti, nexti_nb_coeffs = 0; for (; i < nb_objectives - 1; i++) { nexti = i + 1; nexti_nb_coeffs = objectives[nexti]->nb_coeffs; if (nexti_nb_coeffs > 0) break; } if (nexti_nb_coeffs > 0) { // there is one more objective to solve // Set objective constraint value to objval int index[1]; double values[1]; index[0] = previ; values[0] = objective_value(); if (verbosity >= DEFAULT) printf(">>>> Objective value %d = %f\n", previ, values[0]); { int status, begin[2]; double rhs[1]; begin[0] = 0; rhs[0] = values[0]; //ub; int n = objectives[previ]->nb_coeffs; begin[1] = n - 1; status = CPXaddrows(env, lp, 0, 1, n, rhs, "E", begin, objectives[previ]->sindex, objectives[previ]->coefficients, NULL, NULL); if (status) { fprintf(stderr, "cplex_solver: end_objective: cannot add %d objective as constraint.\n", i); exit(-1); } } // Set the new objective value reset_coeffs(); // Set previous objective coefficients to zero for (int k = 0; k < objectives[previ]->nb_coeffs; k++) set_coeff(objectives[previ]->sindex[k], 0); // Set next objective coefficients to their actual values for (int k = 0; k < nexti_nb_coeffs; k++) set_coeff(objectives[nexti]->sindex[k], objectives[nexti]->coefficients[k]); // Do set the next objective status = CPXchgobj(env, lp, nb_coeffs, sindex, coefficients); if ( status ) { fprintf (stderr,"Cannot change objective value. Exiting...\n"); exit(-1); } // Output model to file (when requested) if (verbosity >= VERBOSE) { char buffer[1024]; sprintf(buffer, "cplexpb-%d.lp", i); writelp(buffer); } } else return OPTIMUM; } else return OPTIMUM; } else if( mipstat == CPXMIP_TIME_LIM_INFEAS || mipstat == CPXMIP_TIME_LIM_FEAS) { return _solutionCount > 0 ? SAT : UNKNOWN; } else { if (verbosity >= DEFAULT) fprintf(stderr, "CPLEX solution status = %d\n", mipstat); return ERROR; } } return 0; }
void DDSIP_DetEqu () { CPXLPptr det_equ; int status, scen, i, j, k; char probname[] = "sipout/det_equ.lp.gz"; double *obj_coef; double *scaled_obj_coef; char *sense; char **scen_spec_rowname; char **scen_spec_colname; char **rowname, *rownamestore; char **colname, *colnamestore; int rowstorespace, rowsurplus_p; int colstorespace, colsurplus_p; char *string1, *string2; double coef; double *lb, *lb_sorted; double *ub, *ub_sorted; char *vartype, *vartype_sorted; int *colindex_sorted, *colindex_revers, *matcol_sorted; double *value; double *det_equ_rhs = NULL; double *non_stoc_rhs = NULL; if (DDSIP_param->seccon) det_equ_rhs = (double *) DDSIP_Alloc(sizeof(double),DDSIP_param->seccon,"det_equ_rhs(DetEqu)"); else { fprintf (stderr,"XXX ERROR: no second stage contraints, got DDSIP_param->seccon=%d.\n",DDSIP_param->seccon); exit (1); } if (DDSIP_param->seccon - DDSIP_param->stocrhs>0) non_stoc_rhs = (double *) DDSIP_Alloc(sizeof(double),DDSIP_param->seccon - DDSIP_param->stocrhs,"non_stoc_rhs(DetEqu)"); fprintf (stderr, "\nBuilding deterministic equivalent. This may take some time.\nWorks only for expectation-based model so far.\n"); if (!(sense = (char *) calloc (DDSIP_param->seccon, sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } if (!(obj_coef = (double *) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (double))) || !(scaled_obj_coef = (double *) calloc (DDSIP_bb->secvar, sizeof (double)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } det_equ = CPXcloneprob (DDSIP_env, DDSIP_lp, &status); CPXchgprobname (DDSIP_env, det_equ, probname); if (!(rowname = (char **) calloc (DDSIP_param->seccon, sizeof (char *))) || !(scen_spec_rowname = (char **) calloc (DDSIP_param->seccon, sizeof (char *))) || !(rownamestore = (char *) calloc (DDSIP_param->seccon * 255, sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } rowstorespace = DDSIP_param->seccon * 255; status = CPXgetrowname (DDSIP_env, DDSIP_lp, rowname, rownamestore, rowstorespace, &rowsurplus_p, DDSIP_param->firstcon, DDSIP_param->firstcon + DDSIP_param->seccon - 1); if (!(colname = (char **) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (char *))) || !(scen_spec_colname = (char **) calloc (DDSIP_param->secvar, sizeof (char *))) || !(colnamestore = (char *) calloc (DDSIP_param->secvar * 255, sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } colstorespace = (DDSIP_param->firstvar + DDSIP_param->secvar) * 255; status = CPXgetcolname (DDSIP_env, DDSIP_lp, colname, colnamestore, colstorespace, &colsurplus_p, 0, DDSIP_param->firstvar + DDSIP_param->secvar - 1); /*____________________________________________________________________________________*/ status = CPXgetsense (DDSIP_env, DDSIP_lp, sense, DDSIP_param->firstcon, DDSIP_param->firstcon + DDSIP_param->seccon - 1); /*____________________________________________________________________________________*/ status = CPXgetrhs (DDSIP_env, DDSIP_lp, non_stoc_rhs, DDSIP_param->firstcon + DDSIP_param->stocrhs, DDSIP_param->firstcon + DDSIP_param->seccon - 1); /*____________________________________________________________________________________*/ status = CPXgetobj (DDSIP_env, DDSIP_lp, obj_coef, 0, DDSIP_param->firstvar + DDSIP_param->secvar - 1); /*____________________________________________________________________________________*/ //copy rownames scenario many times, append scenario index //and enter sense and rhs for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->seccon; j++) { if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } string1 = rowname[j]; sprintf (string2, "%sSC%.3d", string1, scen); scen_spec_rowname[j] = string2; if (j < DDSIP_param->stocrhs) det_equ_rhs[j] = DDSIP_data->rhs[DDSIP_param->stocrhs * scen + j]; else det_equ_rhs[j] = non_stoc_rhs[j - DDSIP_param->stocrhs]; } status = CPXnewrows (DDSIP_env, det_equ, DDSIP_param->seccon, det_equ_rhs, sense, NULL, scen_spec_rowname); for (j = 0; j < DDSIP_param->seccon; j++) DDSIP_Free ((void **) &(scen_spec_rowname[j])); } //copy colnames scenario many times, append scenario index //and enter into constraint matrix if (!(lb = (double *) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (double))) || !(lb_sorted = (double *) calloc (DDSIP_param->secvar, sizeof (double))) || !(ub = (double *) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (double))) || !(ub_sorted = (double *) calloc (DDSIP_param->secvar, sizeof (double))) || !(vartype = (char *) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (char))) || !(vartype_sorted = (char *) calloc (DDSIP_param->secvar, sizeof (double))) || !(colindex_revers = (int *) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (int))) || !(colindex_sorted = (int *) calloc (DDSIP_param->firstvar + DDSIP_param->secvar, sizeof (int)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } status = CPXgetlb (DDSIP_env, det_equ, lb, 0, DDSIP_param->firstvar + DDSIP_param->secvar - 1); status = CPXgetub (DDSIP_env, det_equ, ub, 0, DDSIP_param->firstvar + DDSIP_param->secvar - 1); status = CPXgetctype (DDSIP_env, det_equ, vartype, 0, DDSIP_param->firstvar + DDSIP_param->secvar - 1); for (j = 0; j < DDSIP_param->secvar; j++) { vartype_sorted[j] = vartype[DDSIP_bb->secondindex[j]]; lb_sorted[j] = lb[DDSIP_bb->secondindex[j]]; ub_sorted[j] = ub[DDSIP_bb->secondindex[j]]; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->secvar; j++) { if (!(string2 = (char *) calloc (1, 255 * sizeof (char)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } string1 = colname[DDSIP_bb->secondindex[j]]; sprintf (string2, "%sSC%.3d", string1, scen); scen_spec_colname[j] = string2; scaled_obj_coef[j] = DDSIP_data->prob[scen] * obj_coef[DDSIP_bb->secondindex[j]]; } status = CPXnewcols (DDSIP_env, det_equ, DDSIP_param->secvar, scaled_obj_coef, lb_sorted, ub_sorted, vartype_sorted, scen_spec_colname); for (j = 0; j < DDSIP_param->secvar; j++) DDSIP_Free ((void **) &(scen_spec_colname[j])); } ///////////////////////////////////////////////// for (j = 0; j < DDSIP_param->firstvar; j++) { colindex_sorted[j] = DDSIP_bb->firstindex[j]; } for (j = 0; j < DDSIP_param->secvar; j++) { colindex_sorted[DDSIP_param->firstvar + j] = DDSIP_bb->secondindex[j]; } for (j = 0; j < DDSIP_param->firstvar + DDSIP_param->secvar; j++) { colindex_revers[colindex_sorted[j]] = j; } k = DDSIP_param->seccon / 60; printf ("\n0%% 100%%\n"); for (i = 0; i < DDSIP_param->seccon; i++) { for (j = 0; j < DDSIP_param->firstvar; j++) { if ((status = CPXgetcoef (DDSIP_env, det_equ, DDSIP_param->firstcon + i, colindex_sorted[j], &coef))) { fprintf (stderr, " Build det. equivalent: Error retrieving coefficient of first-stage Variable %d.\n", j); exit (1); } if (coef) { for (scen = 0; scen < DDSIP_param->scenarios; scen++) { status = CPXchgcoef (DDSIP_env, det_equ, DDSIP_param->firstcon + DDSIP_bb->seccon + scen * DDSIP_param->seccon + i, colindex_sorted[j], coef); if (status) { fprintf (stderr, " Build det. equivalent: Error setting coefficient of first-stage Variable %d.\n", j); exit (1); } } } } for (j = DDSIP_param->firstvar; j < DDSIP_param->firstvar + DDSIP_param->secvar; j++) { if ((status = CPXgetcoef (DDSIP_env, det_equ, DDSIP_param->firstcon + i, colindex_sorted[j], &coef))) { fprintf (stderr, " Build det. equivalent: Error retrieving coefficient of second-stage Variable %d.\n", j - DDSIP_param->firstvar); exit (1); } if (coef) { for (scen = 0; scen < DDSIP_param->scenarios; scen++) { status = CPXchgcoef (DDSIP_env, det_equ, DDSIP_param->firstcon + DDSIP_bb->seccon + scen * DDSIP_param->seccon + i, (scen + 1) * DDSIP_param->secvar + j, coef); } if (status) { fprintf (stderr, " Build det. equivalent: Error setting coefficient of second-stage Variable %d.\n", j - DDSIP_param->firstvar); exit (1); } } } if (!k) { for (j = 0; j <= 60 / DDSIP_param->seccon; j++) printf ("#"); } else if (i % k == k - 1) printf ("#"); } printf ("\n\n"); ///////delete original second stage rows & cols //////////////////////////////////////////// status = CPXdelrows (DDSIP_env, det_equ, DDSIP_param->firstcon, DDSIP_param->firstcon + DDSIP_bb->seccon - 1); j = 0; for (i = 0; i < DDSIP_param->secvar; i++) { status = CPXdelcols (DDSIP_env, det_equ, DDSIP_bb->secondindex[i] - j, DDSIP_bb->secondindex[i] - j); j++; } ///////enter stochastic matrix entries////////////////////////////////////////////////////// if (DDSIP_param->stocmat) { if (!(value = (double *) calloc (DDSIP_param->stocmat, sizeof (double))) || !(matcol_sorted = (int *) calloc (DDSIP_param->stocmat, sizeof (int)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } for (j = 0; j < DDSIP_param->stocmat; j++) { matcol_sorted[j] = colindex_revers[DDSIP_data->matcol[j]]; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->stocmat; j++) { value[j] = DDSIP_data->matval[scen * DDSIP_param->stocmat + j]; } status = CPXchgcoeflist (DDSIP_env, det_equ, DDSIP_param->stocmat, DDSIP_data->matrow, matcol_sorted, value); if (status) { char errmsg[1024]; CPXgeterrorstring (DDSIP_env, status, errmsg); fprintf (stderr, "in DetEqu: %s\n", errmsg); } for (j = 0; j < DDSIP_param->stocmat; j++) { DDSIP_data->matrow[j] += DDSIP_param->seccon; if (matcol_sorted[j] >= DDSIP_param->firstvar) matcol_sorted[j] += DDSIP_param->secvar; } } DDSIP_Free ((void **) &(value)); DDSIP_Free ((void **) &(matcol_sorted)); //set matrow to the old values for (j = 0; j < DDSIP_param->stocmat; j++) { DDSIP_data->matrow[j] -= DDSIP_param->scenarios * DDSIP_param->seccon; } } ///////enter stochastic cost coefficients ////////////////////////////////////////////////// if (DDSIP_param->stoccost) { if (!(value = (double *) calloc (DDSIP_param->stoccost, sizeof (double))) || !(matcol_sorted = (int *) calloc (DDSIP_param->stoccost, sizeof (int)))) { fprintf (stderr, "Not enough memory for building deterministic equivalent\n"); return; } for (j = 0; j < DDSIP_param->stoccost; j++) { value[j] = 0.0; matcol_sorted[j] = colindex_revers[DDSIP_data->costind[j]]; } for (scen = 0; scen < DDSIP_param->scenarios; scen++) { for (j = 0; j < DDSIP_param->stoccost; j++) { if (matcol_sorted[j] >= DDSIP_param->firstvar) value[j] = DDSIP_data->prob[scen] * DDSIP_data->cost[scen * DDSIP_param->stoccost + j]; else value[j] += DDSIP_data->prob[scen] * DDSIP_data->cost[scen * DDSIP_param->stoccost + j]; } status = CPXchgobj (DDSIP_env, det_equ, DDSIP_param->stoccost, matcol_sorted, value); if (status) { char errmsg[1024]; CPXgeterrorstring (DDSIP_env, status, errmsg); fprintf (stderr, "in DetEqu: %s\n", errmsg); } for (j = 0; j < DDSIP_param->stoccost; j++) { if (matcol_sorted[j] >= DDSIP_param->firstvar) matcol_sorted[j] += DDSIP_param->secvar; } } DDSIP_Free ((void **) &(value)); DDSIP_Free ((void **) &(matcol_sorted)); } //////////////////////////////////////////////////////////////////////////////////////////// status = CPXwriteprob (DDSIP_env, det_equ, probname, NULL); if (status) fprintf (DDSIP_outfile, " *** Deterministic equivalent not written successfully, status = %d\n", status); else fprintf (DDSIP_outfile, " *** Deterministic equivalent written successfully\n"); status = CPXfreeprob (DDSIP_env, &det_equ); DDSIP_Free ((void **) &(sense)); DDSIP_Free ((void **) &(vartype)); DDSIP_Free ((void **) &(rowname)); DDSIP_Free ((void **) &(rownamestore)); DDSIP_Free ((void **) &(colname)); DDSIP_Free ((void **) &(colnamestore)); DDSIP_Free ((void **) &(det_equ_rhs)); DDSIP_Free ((void **) &(non_stoc_rhs)); DDSIP_Free ((void **) &(lb)); DDSIP_Free ((void **) &(ub)); DDSIP_Free ((void **) &(vartype_sorted)); DDSIP_Free ((void **) &(lb_sorted)); DDSIP_Free ((void **) &(ub_sorted)); DDSIP_Free ((void **) &(obj_coef)); DDSIP_Free ((void **) &(scaled_obj_coef)); DDSIP_Free ((void **) &(colindex_sorted)); DDSIP_Free ((void **) &(colindex_revers)); DDSIP_Free ((void **) &(scen_spec_rowname)); DDSIP_Free ((void **) &(scen_spec_colname)); return; }
reducemex(double M[], double costs[], double stats[], double ikeep[], double m[], int matbeg[], int matcnt[], int matind[], double matval[], char sense[], int objsen, double lb[], double ub[], int numrows, int numcols, double tol) { CPXENVptr env = NULL; CPXLPptr lp = NULL; int status; char probname[16]; double *pi; double *slack; double *dj; double *obj; int solstat; double objval; double *x; double newval; int *indices; int kc, i; obj = mxCalloc(numcols,sizeof(double)); x = mxCalloc(numcols,sizeof(double)); indices = mxCalloc(numcols,sizeof(int)); pi = mxCalloc(numrows,sizeof(double)); slack = mxCalloc(numrows,sizeof(double)); dj = mxCalloc(numcols,sizeof(double)); /* Initialize the CPLEX environment */ env = CPXopenCPLEX (&status); if ( env == NULL ) { char errmsg[1024]; fprintf (stderr, "Could not open CPLEX environment.\n"); CPXgeterrorstring (env, status, errmsg); fprintf (stderr, "%s", errmsg); goto TERMINATE; } /* Turn off output to the screen */ status = CPXsetintparam (env, CPX_PARAM_SCRIND, CPX_OFF); if ( status ) { fprintf (stderr, "Failure to turn on screen indicator, error %d.\n", status); goto TERMINATE; } /* Turn off pre-processor status = CPXsetintparam (env, CPX_PARAM_PREIND, CPX_OFF); if ( status ) { fprintf (stderr, "Failure to turn off pre-processor, error %d.\n", status); goto TERMINATE; } /* Turn off aggregator status = CPXsetintparam (env, CPX_PARAM_AGGIND, CPX_OFF); if ( status ) { fprintf (stderr, "Failure to turn of aggregator, error %d.\n", status); goto TERMINATE; }*/ /* Create the problem. */ strcpy(probname,"LPnoname"); lp = CPXcreateprob (env, &status, probname); if ( lp == NULL ) { fprintf (stderr, "Failed to create LP.\n"); goto TERMINATE; } /* Initialize data */ for (kc = 0; kc <= numcols-1; kc++) { indices[kc] = kc; } /* Now copy the problem data into the lp */ status = CPXcopylp (env, lp, numcols, numrows, objsen, obj, m, sense, matbeg, matcnt, matind, matval, lb, ub, NULL); if ( status ) { fprintf (stderr, "Failed to copy problem data.\n"); goto TERMINATE; } /**********MAIN LOOP************/ for(i = 0; i <= numrows-1; i++) { for (kc = 0; kc <= numcols-1; kc++) { obj[kc] = M[i+kc*numrows]; } CPXchgobj(env, lp, numcols, indices, obj); newval = m[i] + 10; CPXchgrhs(env, lp, 1, &i, &newval); /* Optimize the problem and obtain solution. */ status = CPXlpopt (env, lp); /*status = CPX[prim/dual]opt (env, lp);*/ if ( status ) { fprintf (stderr, "Failed to optimize LP.\n"); goto TERMINATE; } status = CPXsolution (env, lp, &solstat, &objval, x, pi, slack, dj); if ( status ) { fprintf (stderr, "Failed to obtain solution.\n"); goto TERMINATE; } ikeep[i] = 0; if (objval > m[i] + tol) /* keep row */ { ikeep[i] = 1; newval = m[i]; CPXchgrhs(env, lp, 1, &i, &newval); } /* Write the output to the screen. */ /* printf ("\nSolution status = %d\n", solstat); printf ("Solution value = %f\n\n", objval); */ costs[i] = objval; stats[i] = solstat; } TERMINATE: /* Free up the problem as allocated by CPXcreateprob, if necessary */ if ( lp != NULL ) { status = CPXfreeprob (env, &lp); if ( status ) { fprintf (stderr, "CPXfreeprob failed, error code %d.\n", status); } } /* Free up the CPLEX environment, if necessary */ if ( env != NULL ) { status = CPXcloseCPLEX (&env); if ( status ) { char errmsg[1024]; fprintf (stderr, "Could not close CPLEX environment.\n"); CPXgeterrorstring (env, status, errmsg); fprintf (stderr, "%s", errmsg); } } }