//===========================================================================//
void MILPBlock_DecompApp::initializeApp() {
UtilPrintFuncBegin(m_osLog, m_classTag,
"initializeApp()", m_appParam.LogLevel, 2);
//---
//--- read MILPBlock instance (mps format)
//---
string fileName;
if (m_appParam.DataDir != "") {
fileName = m_appParam.DataDir + UtilDirSlash() + m_param.Instance;
} else {
fileName = m_appParam.Instance;
}
m_mpsIO.messageHandler()->setLogLevel(m_param.LogLpLevel);
int rstatus = m_mpsIO.readMps(fileName.c_str());
if(rstatus < 0){
cerr << "Error: Filename = " << fileName << " failed to open." << endl;
throw UtilException("I/O Error.", "initalizeApp", "MILPBlock_DecompApp");
}
if(m_appParam.LogLevel >= 2)
(*m_osLog) << "Objective Offset = "
<< UtilDblToStr(m_mpsIO.objectiveOffset()) << endl;
//---
//--- set best known lb/ub
//---
double offset = m_mpsIO.objectiveOffset();
setBestKnownLB(m_appParam.BestKnownLB + offset);
setBestKnownUB(m_appParam.BestKnownUB + offset);
//---
//--- read block file
//---
readBlockFile();
//---
//--- create models
//---
createModels();
UtilPrintFuncEnd(m_osLog, m_classTag,
"initializeApp()", m_appParam.LogLevel, 2);
}
//===========================================================================//
int main(int argc, char** argv)
{
try {
//---
//--- create the utility class for parsing parameters
//---
UtilParameters utilParam(argc, argv);
bool doCut = utilParam.GetSetting("doCut", true);
bool doPriceCut = utilParam.GetSetting("doPriceCut", false);
bool doDirect = utilParam.GetSetting("doDirect", false);
UtilTimer timer;
double timeSetupReal = 0.0;
double timeSetupCpu = 0.0;
double timeSolveReal = 0.0;
double timeSolveCpu = 0.0;
//---
//--- start overall timer
//---
timer.start();
//---
//--- create the user application (a DecompApp)
//---
MCF_DecompApp mmkp(utilParam);
//---
//--- create the algorithm (a DecompAlgo)
//---
DecompAlgo* algo = NULL;
assert(doCut + doPriceCut == 1);
//---
//--- create the CPM algorithm object
//---
if (doCut) {
algo = new DecompAlgoC(&mmkp, utilParam);
}
//---
//--- create the PC algorithm object
//---
if (doPriceCut) {
algo = new DecompAlgoPC(&mmkp, utilParam);
}
if (doCut && doDirect) {
timer.stop();
timeSetupCpu = timer.getCpuTime();
timeSetupReal = timer.getRealTime();
//---
//--- solve
//---
timer.start();
algo->solveDirect();
timer.stop();
timeSolveCpu = timer.getCpuTime();
timeSolveReal = timer.getRealTime();
} else {
//---
//--- create the driver AlpsDecomp model
//---
int status = 0;
AlpsDecompModel alpsModel(utilParam, algo);
timer.stop();
timeSetupCpu = timer.getCpuTime();
timeSetupReal = timer.getRealTime();
//---
//--- solve
//---
timer.start();
status = alpsModel.solve();
timer.stop();
timeSolveCpu = timer.getCpuTime();
timeSolveReal = timer.getRealTime();
//---
//--- sanity check
//---
cout << setiosflags(ios::fixed | ios::showpoint);
cout << "Status= " << status
<< " BestLB= " << setw(10)
<< UtilDblToStr(alpsModel.getGlobalLB(), 5)
<< " BestUB= " << setw(10)
<< UtilDblToStr(alpsModel.getGlobalUB(), 5)
<< " Nodes= " << setw(6)
<< alpsModel.getNumNodesProcessed()
<< " SetupCPU= " << timeSetupCpu
<< " SolveCPU= " << timeSolveCpu
<< " TotalCPU= " << timeSetupCpu + timeSolveCpu
<< " SetupReal= " << timeSetupReal
<< " SolveReal= " << timeSolveReal
<< " TotalReal= " << timeSetupReal + timeSolveReal
<< endl;
//---
//--- free local memory
//---
delete algo;
}
} catch (CoinError& ex) {
cerr << "COIN Exception [ " << ex.message() << " ]"
<< " at " << ex.fileName() << ":L" << ex.lineNumber()
<< " in " << ex.className() << "::" << ex.methodName() << endl;
return 1;
}
return 0;
}
//===========================================================================//
int main(int argc, char ** argv){
try{
//---
//--- create the utility class for parsing parameters
//---
UtilParameters utilParam(argc, argv);
bool doGenRandom = utilParam.GetSetting("doGenRandom", false);
int randSeed = utilParam.GetSetting("randSeed", 1 );
int randNumAtms = utilParam.GetSetting("randNumAtms", 5 );
int randNumDates = utilParam.GetSetting("randNumDates", 10 );
bool doCut = utilParam.GetSetting("doCut", true);
bool doPriceCut = utilParam.GetSetting("doPriceCut", false);
bool doDirect = utilParam.GetSetting("doDirect", false);
UtilTimer timer;
double timeSetupReal = 0.0;
double timeSetupCpu = 0.0;
double timeSolveReal = 0.0;
double timeSolveCpu = 0.0;
//---
//--- start overall timer
//---
timer.start();
if(doGenRandom){
//---
//--- generate a random instance
//---
ATM_Instance instance;
instance.generateRandom(randNumAtms, randNumDates, randSeed);
}
else{
//---
//--- create the user application (a DecompApp)
//---
ATM_DecompApp atm(utilParam);
//---
//--- create the algorithm (a DecompAlgo)
//---
DecompAlgo * algo = NULL;
assert(doCut + doPriceCut == 1);
//---
//--- create the CPM algorithm object
//---
if(doCut)
algo = new DecompAlgoC(&atm, utilParam);
//---
//--- create the PC algorithm object
//---
if(doPriceCut)
algo = new DecompAlgoPC(&atm, utilParam);
if(doCut && doDirect){
timer.stop();
timeSetupCpu = timer.getCpuTime();
timeSetupReal = timer.getRealTime();
//---
//--- solve
//---
timer.start();
algo->solveDirect();
timer.stop();
timeSolveCpu = timer.getCpuTime();
timeSolveReal = timer.getRealTime();
}
else{
//---
//--- create the driver AlpsDecomp model
//---
int status = 0;
AlpsDecompModel alpsModel(utilParam, algo);
timer.stop();
timeSetupCpu = timer.getCpuTime();
timeSetupReal = timer.getRealTime();
//---
//--- solve
//---
timer.start();
status = alpsModel.solve();
timer.stop();
timeSolveCpu = timer.getCpuTime();
timeSolveReal = timer.getRealTime();
//TODO: move doDirect solve into alpsModel so access
// solution the same way?
//---
//--- sanity check
//---
cout << setiosflags(ios::fixed|ios::showpoint);
cout << "Status= " << status
<< " BestLB= " << setw(10)
<< UtilDblToStr(alpsModel.getGlobalLB(),2)
<< " BestUB= " << setw(10)
<< UtilDblToStr(alpsModel.getGlobalUB(),2)
<< " Nodes= " << setw(6)
<< alpsModel.getNumNodesProcessed()
<< " SetupCPU= " << timeSetupCpu
<< " SolveCPU= " << timeSolveCpu
<< " TotalCPU= " << timeSetupCpu + timeSolveCpu
<< " SetupReal= " << timeSetupReal
<< " SolveReal= " << timeSolveReal
<< " TotalReal= " << timeSetupReal + timeSolveReal
<< endl;
//---
//--- now, initialize direct solve with best
//--- solution to PC
//--- TODO: only useful if stop early on time or nodes
//--- TODO: cbc currently doesn't use warm-start, only cpx
//---
//DecompAlgo * algoC = new DecompAlgoC(&atm, &utilParam);
//algoC->solveDirect(algo->getXhatIPBest());
//delete algoC;
}
//---
//--- free local memory
//---
delete algo;
}
}
catch(CoinError & ex){
cerr << "COIN Exception [ " << ex.message() << " ]"
<< " at " << ex.fileName() << ":L" << ex.lineNumber()
<< " in " << ex.className() << "::" << ex.methodName() << endl;
}
return 0;
}
//===========================================================================//
void ATM_Instance::generateRandom(const int nAtms,
const int nDates,
const int seed){
/*
Data from original:
\\ordsrv3\ormp\sas\ATM_Badshah\atm_20ATMS_3\atm_doc
nDates=272, nAtms=20, nPairs=4730 (max=5440)
proc means data=FTPLIB.amul_atms_dates;
var withdrawal allocation NET_IMPACT_AVG
NET_IMPACT_STD NORMAL_AVG NORMAL_STD TS1 TS2;
run;
The MEANS Procedure
Variable Label Std Dev Mean
................................................................
WITHDRAWAL WITHDRAWAL 1456368.37 1457077.41
ALLOCATION ALLOCATION 1752334.72 2068196.66
NET_IMPACT_AVG NET_IMPACT_AVG 0.8990607 1.1961954
NET_IMPACT_STD NET_IMPACT_STD 1.8979644 1.4240460
NORMAL_AVG NORMAL_AVG 1352731.38 1440849.71
NORMAL_STD NORMAL_STD 352658.50 364123.38
TS1 TS1 1267244.80 1371637.24
S2 TS2 1246864.33 1361954.95
................................................................
Variable Label Minimum Maximum
................................................................
WITHDRAWAL WITHDRAWAL 8000.00 7080400.00
ALLOCATION ALLOCATION 100000.00 7020000.00
NET_IMPACT_AVG NET_IMPACT_AVG 0.0053384 18.7119586
NET_IMPACT_STD NET_IMPACT_STD 0.0046809 54.0086478
NORMAL_AVG NORMAL_AVG 38864.52 4375539.71
NORMAL_STD NORMAL_STD 26833.85 1141006.06
TS1 TS1 25245.45 5250885.71
TS2 TS2 700.0000000 4182207.14
................................................................
for{<a,d> in ATMS_DATES_THIS} do;
CA[a,d] = (normal_avg[a,d] * net_impact_avg[a,d] - ts_period_2[a,d]);
CB[a,d] = (ts_period_1[a,d] - ts_period_2[a,d]);
CC[a,d] = (ts_period_2[a,d] - ts_period_1[a,d]);
CD[a,d] = (normal_std[a,d] * net_impact_std[a,d]);
CE[a,d] = (-actual_withdrawal[a,d] + ts_period_2[a,d]);
end;
These numbers are annoying big and causing lots of numerical
round-off issues. So, Let's scale by 1000.
*/
#define STDD 0
#define MEAN 1
#define MIN 2
#define MAX 3
double s_withdrawal[4] = {1456368, 1457077, 8000, 7080400};
double s_allocation[4] = {1752334, 2068196, 100000, 7020000};
double s_netimpactAve[4] = {0.8990607, 1.1961954, 0.0053384, 18.7119586};
double s_netimpactStd[4] = {1.8979644, 1.4240460, 0.0046809, 54.0086478};
double s_normalAve[4] = {13527318, 1440849, 38864, 4375539.71};
double s_normalStd[4] = {352658, 364123, 26833, 1141006};
double s_ts1[4] = {1267244, 1371637, 25245, 5250885};
double s_ts2[4] = {1246864, 1361954, 700, 4182207};
double scale = 1000;
int i;
for(i = 0; i < 4; i++){
s_withdrawal[i] /= scale;
s_allocation[i] /= scale;
s_normalAve[i] /= scale;
s_normalStd[i] /= scale;
s_ts1[i] /= scale;
s_ts2[i] /= scale;
}
int nAD = nAtms * nDates;
double * withdrawal = new double[nAD];
double * allocation = new double[nAD];
double * netimpactAve = new double[nAD];
double * netimpactStd = new double[nAD];
double * normalAve = new double[nAD];
double * normalStd = new double[nAD];
double * ts1 = new double[nAD];
double * ts2 = new double[nAD];
assert(withdrawal && allocation && netimpactAve &&
netimpactStd && normalAve && normalStd &&
ts1 && ts2);
string fileNameAD = "atm_randAD_";
fileNameAD += UtilIntToStr(nAtms) + "_";
fileNameAD += UtilIntToStr(nDates) + "_";
fileNameAD += UtilIntToStr(seed) + ".txt";
string fileNameA = "atm_randA_";
fileNameA += UtilIntToStr(nAtms) + "_";
fileNameA += UtilIntToStr(nDates) + "_";
fileNameA += UtilIntToStr(seed) + ".txt";
string fileNameD = "atm_randD_";
fileNameD += UtilIntToStr(nAtms) + "_";
fileNameD += UtilIntToStr(nDates) + "_";
fileNameD += UtilIntToStr(seed) + ".txt";
ofstream osAD, osA, osD;
UtilOpenFile(osAD, fileNameAD.c_str());
UtilOpenFile(osA, fileNameA.c_str());
UtilOpenFile(osD, fileNameD.c_str());
int a, d;
srand(seed);
//---
//--- generate 'raw data' in N[mean,std-dev]
//---
int index = 0;//a * nDates + d
for(a = 0; a < nAtms; a++){
for(d = 0; d < nDates; d++){
do{
withdrawal[index] = UtilNormRand(s_withdrawal[MEAN] ,
s_withdrawal[STDD]);
}while( withdrawal[index] < s_withdrawal[MIN] ||
withdrawal[index] > s_withdrawal[MAX]);
do{
allocation[index] = UtilNormRand(s_allocation[MEAN] ,
s_allocation[STDD]);
}while( allocation[index] < s_allocation[MIN] ||
allocation[index] > s_allocation[MAX]);
do{
netimpactAve[index] = UtilNormRand(s_netimpactAve[MEAN],
s_netimpactAve[STDD]);
}while( netimpactAve[index] < s_netimpactAve[MIN] ||
netimpactAve[index] > s_netimpactAve[MAX]);
do{
netimpactStd[index] = UtilNormRand(s_netimpactStd[MEAN],
s_netimpactStd[STDD]);
}while( netimpactStd[index] < s_netimpactStd[MIN] ||
netimpactStd[index] > s_netimpactStd[MAX]);
do{
normalAve[index] = UtilNormRand(s_normalAve[MEAN] ,
s_normalAve[STDD]);
}while( normalAve[index] < s_normalAve[MIN] ||
normalAve[index] > s_normalAve[MAX]);
do{
normalStd[index] = UtilNormRand(s_normalStd[MEAN] ,
s_normalStd[STDD]);
}while( normalStd[index] < s_normalStd[MIN] ||
normalStd[index] > s_normalStd[MAX]);
do{
ts1[index] = UtilNormRand(s_ts1[MEAN] ,
s_ts1[STDD]);
}while( ts1[index] < s_ts1[MIN] ||
ts1[index] > s_ts1[MAX]);
do{
ts2[index] = UtilNormRand(s_ts2[MEAN] ,
s_ts2[STDD]);
}while ( ts2[index] < s_ts2[MIN] ||
ts2[index] > s_ts2[MAX]);
index++;
}
}
//---
//--- generate coefficients
//---
//CA[a,d] = (normal_avg[a,d] * net_impact_avg[a,d] - ts_period_2[a,d]);
//CB[a,d] = (ts_period_1[a,d] - ts_period_2[a,d]);
//CC[a,d] = (ts_period_2[a,d] - ts_period_1[a,d]);
//CD[a,d] = (normal_std[a,d] * net_impact_std[a,d]);
//CE[a,d] = (-actual_withdrawal[a,d] + ts_period_2[a,d]);
double * ca = new double[nAD];
double * cb = new double[nAD];
double * cc = new double[nAD];
double * cd = new double[nAD];
double * ce = new double[nAD];
assert(ca && cb && cc && cd && ce);
index = 0;
osAD << "a\td\tCA\tCB\tCC\tCD\tCD\tCE\tCW\n";
for(a = 0; a < nAtms; a++){
for(d = 0; d < nDates; d++){
ca[index] = normalAve[index] * netimpactAve[index] - ts2[index];
cb[index] = ts1[index] - ts2[index];
cc[index] = -cb[index];
cd[index] = normalStd[index] * netimpactStd[index];
ce[index] = -withdrawal[index] + ts2[index];
osAD << "ATM" << UtilIntToStr(a) << "\t"
<< "DATE" << UtilIntToStr(d) << "\t"
<< setw(10) << UtilDblToStr(ca[index],0)
<< setw(10) << UtilDblToStr(cb[index],0)
<< setw(10) << UtilDblToStr(cc[index],0)
<< setw(10) << UtilDblToStr(cd[index],0)
<< setw(10) << UtilDblToStr(ce[index],0)
<< setw(10) << UtilDblToStr(withdrawal[index],0)
<< "\n";
index++;
}
}
//---
//--- generate B and K
//---
//--- f(a,d) = ca*x1[a] + cb*x2[a] + cc*x1[a]*x2[a] + cd*x3[a] + ce
//--- x1,x2 in {0,1}, x3 >= 0
//---
//--- sum{a} f(a,d) <= B[d], for d
//--- |{d in D | f(a,d) <= 0} <= K[a], for a
//---
double x01, x1, x2, x3;
double * f = new double[nAD];
assert(f);
index = 0;
for(a = 0; a < nAtms; a++){
x01 = UtilURand(0.0,1.0);
x1 = x01 >= 0.5 ? 1 : 0;
x01 = UtilURand(0.0,1.0);
x2 = x01 >= 0.5 ? 1 : 0;
x3 = UtilURand(0.0,1.0);
printf("x1=%g x2=%g x3=%g\n", x1, x2, x3);
for(d = 0; d < nDates; d++){
f[index] = ca[index] * x1;
f[index] += cb[index] * x2;
f[index] += cc[index] * x1 * x2;
f[index] += cd[index] * x3;
f[index] += ce[index];
index++;
}
}
double * B = new double[nDates];
double maxB = -1e20;
for(d = 0; d < nDates; d++){
B[d] = 0;
for(a = 0; a < nAtms; a++){
B[d] += f[a * nDates + d];
}
if(B[d] > maxB) maxB=B[d];
}
//---
//--- B=budget for cash flow
//--- if negative does not make sense
//--- protect against this
//---
osD << "d\tB\n";
for(d = 0; d < nDates; d++){
if(B[d] < 0)
B[d] = maxB / 2.0;
osD << "DATE" << UtilIntToStr(d) << "\t"
<< setw(10) << UtilDblToStr(B[d],0) << endl;
}
int * K = new int[nAtms];
int maxK = 0;
index = 0;
for(a = 0; a < nAtms; a++){
K[a] = 0;
for(d = 0; d < nDates; d++){
K[a] += f[index] <= 0 ? 1 : 0;
index++;
}
if(K[a] > maxK) maxK=K[a];
}
//---
//--- randomize it (and tighten constraint)
//---
osA << "a\tK\n";
for(a = 0; a < nAtms; a++){
//K[a] -= UtilURand(1, maxK/4);
osA << "ATM" << UtilIntToStr(a) << "\t"
<< setw(10) << K[a] << endl;
}
osAD.close();
osA.close();
osD.close();
UTIL_DELARR(withdrawal);
UTIL_DELARR(allocation);
UTIL_DELARR(netimpactAve);
UTIL_DELARR(netimpactStd);
UTIL_DELARR(normalAve);
UTIL_DELARR(normalStd);
UTIL_DELARR(ts1);
UTIL_DELARR(ts2);
UTIL_DELARR(ca);
UTIL_DELARR(cb);
UTIL_DELARR(cc);
UTIL_DELARR(cd);
UTIL_DELARR(ce);
UTIL_DELARR(f);
UTIL_DELARR(B);
UTIL_DELARR(K);
}
