void LinFeasPump::separatingCut_(double f_nlp, SolutionPoolPtr s_pool)
{
double new_bnd;
LinearFunctionPtr lf;
FunctionPtr obj_f;
double obj_weight = 0.6; // increase(<1) to get better improvement
double f_feas = s_pool->getBestSolutionValue();
new_bnd = obj_weight*f_nlp + (1-obj_weight)*f_feas;
if (objVar_) {
r_->changeBound(objVar_, Upper, new_bnd);
logger_->msgStream(LogDebug) << me_ << "upper bound on objective value is "
<< new_bnd << std::endl;
} else {
if (!objConstraint_) {
lf = p_->getObjective()->getFunction()->getLinearFunction()->clone();
obj_f = (FunctionPtr) new Function(lf);
objConstraint_ = r_->newConstraint(obj_f, -INFINITY, new_bnd,
"obj_sep_cut");
} else {
r_->changeBound(objConstraint_, Upper, new_bnd);
}
#if SPEW
logger_->msgStream(LogDebug) << me_ << "upper bound on objective value is "
<< new_bnd << std::endl;
#endif
}
}
void ParQGHandler::updateUb_(SolutionPoolPtr s_pool, double *nlpval,
bool *sol_found)
{
double val = nlpe_->getSolutionValue();
double bestval = s_pool->getBestSolutionValue();
if (val <= bestval) {
const double *x = nlpe_->getSolution()->getPrimal();
s_pool->addSolution(x, val);
*sol_found = true;
#if SPEW
logger_->msgStream(LogDebug) << me_ << "new solution found, value = "
<< val << std::endl;
#endif
}
*nlpval = val;
return;
}
void LinFeasPump::implementFP_(const double*, SolutionPoolPtr s_pool)
{
ConstSolutionPtr sol;
const double* x_lp;
double hash_val, f_nlp;
UInt n_to_flip, k;
SeparationStatus sep_status = SepaContinue;
EngineStatus lp_status = EngineUnknownStatus;
NodePtr node = NodePtr();
bool to_continue = true;
bool is_feasible = false;
bool sol_found = false;
bool is_prob_infeasible = prepareLP_();
bool should_separate = true;
UInt max_NLP = 10;
UInt max_LP = 2000;
UInt max_cycle = 1000;
UInt min_flip = 2;
UInt max_non_zero_obj = 500;
double inf_meas = 0.0;
int err;
e_->setOptionsForSingleSolve();
lpE_->solve();
f_nlp = lpE_->getSolutionValue();
sol = lpE_->getSolution();
should_separate = (p_->getObjective()->getFunction()->
getNumVars() > max_non_zero_obj) ? false : true;
while(!is_feasible && stats_->numNLPs < max_NLP && statsLFP_->numLPs < max_LP
&& stats_->numCycles < max_cycle) {
while(to_continue && statsLFP_->numLPs < max_LP
&& stats_->numCycles < max_cycle) {
sol_found = false;
constructObj_(r_, sol);
lp_status = lpE_->solve();
++(statsLFP_->numLPs);
if (!(lp_status == ProvenOptimal || lp_status == ProvenLocalOptimal)) {
logger_->msgStream(LogDebug) << me_ << "LP relaxation is infeasible."
<< std::endl;
return;
}
sol = lpE_->getSolution();
x_lp = sol->getPrimal();
to_continue = isFrac_(x_lp);
k = std::max(min_flip, (UInt) ceil(sol->getObjValue()));
n_to_flip = std::min(k, p_->getSize()->bins);
if (!to_continue) {
is_feasible = qh_->isFeasible(sol, r_, is_prob_infeasible, inf_meas);
if (is_feasible) {
#if SPEW
logger_->msgStream(LogDebug) << me_ << "LP soln is feasible "
<< "to NLP" << std::endl;
#endif
err = 0;
statsLFP_->bestObjValue = p_->getObjective()->eval(x_lp, &err);
convertSol_(s_pool, sol);
sol_found = true;
} else {
#if SPEW
logger_->msgStream(LogDebug) << me_ << "LP soln is not feasible "
<< "to NLP." << std::endl;
#endif
}
break;
}
hash_val = hash_();
if (cycle_(hash_val)) {
perturb_(hash_val, n_to_flip);
}
}
if (!to_continue) {
if (false==sol_found) {
++(stats_->numNLPs);
qh_->separate(sol, node, r_, 0, s_pool, &sol_found, &sep_status);
to_continue = true; //reset to continue after separating
#if SPEW
logger_->msgStream(LogDebug) << me_ << "separation status = "
<< sep_status << std::endl;
//r_->write(logger_->msgStream(LogDebug));
logger_->msgStream(LogDebug) << me_ <<
"sol_found = " << sol_found << std::endl;
#endif
if (SepaError==sep_status) {
break; //exit pump
}
if (sol_found) {
is_feasible = true;
}
}
}
if (is_feasible) {
#if SPEW
logger_->msgStream(LogInfo) << me_ << "best solution value = "
<< s_pool->getBestSolutionValue() << std::endl;
#endif
if (getSolGap_(f_nlp, s_pool->getBestSolutionValue()) > 10 &&
true==should_separate) {
separatingCut_(f_nlp, s_pool);
is_feasible = false;
} else {
break;
}
}
}
e_->setOptionsForRepeatedSolve();
}