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;
}
//! 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