BdMaster::BdMaster(
DspParams* par,
DecModel* model,
DspMessage * message):
DecSolver(par, model, message),
si_(NULL),
naux_(1),
obj_aux_(NULL),
clbd_aux_(NULL),
cubd_aux_(NULL)
{
obj_aux_ = new double [naux_];
clbd_aux_ = new double [naux_];
cubd_aux_ = new double [naux_];
obj_aux_[0] = 1.0;
clbd_aux_[0] = -COIN_DBL_MAX;
cubd_aux_[0] = +COIN_DBL_MAX;
tic_ = CoinGetTimeOfDay();
}
DSP_RTN_CODE DdMWSync::init()
{
BGN_TRY_CATCH
/** This should be before DdMwPara::init(); */
sync_ = true;
/** initialize MPI communication settings */
DdMWPara::init();
if (comm_rank_ == 0)
{
/** create master */
switch (par_->getIntParam("DD/MASTER_ALGO"))
{
case Simplex:
case IPM:
case IPM_Feasible:
master_ = new DdMasterTr(par_, model_, message_);
break;
#ifndef NO_OOQP
case DSBM:
master_ = new DdMasterDsb(par_, model_, message_);
break;
#endif
case Subgradient:
master_ = new DdMasterSubgrad(par_, model_, message_);
break;
}
/** initialize master */
master_->init();
}
else
{
/** clear time log */
time_lb_.clear();
/** create workers */
if (lb_comm_rank_ >= 0)
{
/** create LB worker */
DSPdebugMessage("Rank %d creates a worker for lower bounds.\n", comm_rank_);
worker_.push_back(new DdWorkerLB(par_, model_, message_));
/** create CG worker */
if (parFeasCuts_ >= 0 || parOptCuts_ >= 0)
{
#ifndef NO_SCIP
DSPdebugMessage("Rank %d creates a worker for Benders cut generation.\n", comm_rank_);
worker_.push_back(new DdWorkerCGBd(par_, model_, message_));
#endif
}
/** create UB worker */
if (parEvalUb_ >= 0)
{
DSPdebugMessage("Rank %d creates a worker for upper bounds.\n", comm_rank_);
worker_.push_back(new DdWorkerUB(par_, model_, message_));
}
}
/** initialize workers */
for (unsigned i = 0; i < worker_.size(); ++i)
worker_[i]->init();
}
/** reset iteration info */
itercnt_ = 0;
iterstime_ = CoinGetTimeOfDay();
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
inline double CoinWallclockTime(double callType = 0)
{
double callTime = CoinGetTimeOfDay();
static const double firstCall = callType > 0 ? callType : callTime;
return callType < 0 ? firstCall : callTime - firstCall;
}
DSP_RTN_CODE BlkModel::updateBlocks() {
#define FREE_MEMORY \
FREE_ARRAY_PTR(ncols_coupled);
int* ncols_coupled = NULL;
BGN_TRY_CATCH
std::vector<int> blockids;
for (Blocks::iterator it = blocks_.begin(); it != blocks_.end(); ++it)
blockids.push_back(it->first);
double stime = CoinGetTimeOfDay();
/** number of blocks */
if (blockids.size() > 0) {
/** coupling columns and rows */
std::vector<int> master_coupling_cols;
/** retrieve master information */
DetBlock* master = block(blockids[0]);
if (master == NULL)
return DSP_RTN_ERR;
const CoinPackedMatrix* master_mat = master->getConstraintMatrix();
/** get number of columns, rows and integers */
ncols_full_ = master->getNumCols();
nrows_full_ = master->getNumRows();
nints_full_ = master->getNumIntegers();
/** to count how many subproblems are coupled with each column of the master. */
ncols_coupled = new int [master->getNumCols()];
CoinZeroN(ncols_coupled, master->getNumCols());
for (unsigned i = 1; i < blockids.size(); ++i) {
/** coupling columns and rows */
std::vector<int> sub_coupling_cols;
std::vector<int> sub_coupling_rows;
/** retrieve subproblem */
int id = blockids[i];
DetBlock* sub = block(id);
if (sub == NULL)
return DSP_RTN_ERR;
/** mark it is a dual block angular matrix */
if (sub->getNumCols() > master->getNumCols())
dual_block_angular_ = true;
/** retrieve subproblem column indices */
const CoinPackedMatrix* sub_mat = sub->getConstraintMatrix();
int sub_num_col_indices = sub_mat->isColOrdered() ?
sub_mat->getNumCols() : sub_mat->getNumElements();
int* sub_col_indices = new int [sub_num_col_indices];
if (sub_mat->isColOrdered())
CoinCopyN(sub_mat->getVectorStarts(), sub_num_col_indices, sub_col_indices);
else
CoinCopyN(sub_mat->getIndices(), sub_num_col_indices, sub_col_indices);
/** add number of columns, rows and integers */
ncols_full_ += sub->getNumCols() - master->getNumCols();
nrows_full_ += sub->getNumRows() - master->getNumRows();
nints_full_ += sub->getNumIntegers() - master->getNumIntegers();
/** sort indices to speed up the search */
std::sort(sub_col_indices, sub_col_indices + sub_num_col_indices);
/** find coupling columns and rows */
for (int j = 0; j < sub_num_col_indices; ++j) {
if (j > 0 && sub_col_indices[j-1] == sub_col_indices[j])
continue;
if (sub_col_indices[j] < master_mat->getNumCols()) {
master_coupling_cols.push_back(sub_col_indices[j]);
sub_coupling_cols.push_back(sub_col_indices[j]);
/** find all the coupling rows */
for (int row = 0; row < master->getNumRows(); ++row) {
if (fabs(master_mat->getCoefficient(row, sub_col_indices[j])) > 1.0e-8)
sub_coupling_rows.push_back(row);
}
}
}
/** erase duplicates */
std::sort(sub_coupling_cols.begin(), sub_coupling_cols.end());
sub_coupling_cols.erase(
std::unique(sub_coupling_cols.begin(), sub_coupling_cols.end()),
sub_coupling_cols.end());
std::sort(sub_coupling_rows.begin(), sub_coupling_rows.end());
sub_coupling_rows.erase(
std::unique(sub_coupling_rows.begin(), sub_coupling_rows.end()),
sub_coupling_rows.end());
/** set coupling columns and rows */
sub->setCouplingCols(sub_coupling_cols.size(), &sub_coupling_cols[0]);
sub->setCouplingRows(sub_coupling_rows.size(), &sub_coupling_rows[0]);
DSPdebugMessage("Coupling columns of block %d:\n", id);
DSPdebug(DspMessage::printArray(sub->getNumCouplingCols(), sub->getCouplingCols()));
DSPdebugMessage("Coupling rows of block %d:\n", id);
DSPdebug(DspMessage::printArray(sub->getNumCouplingRows(), sub->getCouplingRows()));
/** count the master columns coupled */
for (unsigned j = 0; j < sub_coupling_cols.size(); ++j)
ncols_coupled[sub_coupling_cols[j]]++;
}
/** erase duplicates */
std::sort(master_coupling_cols.begin(), master_coupling_cols.end());
master_coupling_cols.erase(
std::unique(master_coupling_cols.begin(), master_coupling_cols.end()),
master_coupling_cols.end());
/** set coupling columns */
master->setCouplingCols(master_coupling_cols.size(), &master_coupling_cols[0]);
/** set coupling rows */
int* master_coupling_rows = new int [master->getNumRows()];
for (int i = 0; i < master->getNumRows(); ++i)
master_coupling_rows[i] = i;
master->setCouplingRows(master->getNumRows(), master_coupling_rows);
FREE_ARRAY_PTR(master_coupling_rows);
#if 0
/** check if the full matrix is of a primal block angular form. */
primal_block_angular_ = true;
for (int j = 0; j < master->getNumCols(); ++j)
if (ncols_coupled[j] > 1)
primal_block_angular_ = false;
if (primal_block_angular_ == true)
printf("The constraint matrix is of a primal block angular.\n");
if (dual_block_angular_ == true)
printf("The constraint matrix is of a dual block angular.\n");
#endif
}
DSPdebugMessage("Update block time: %.4f\n", CoinGetTimeOfDay() - stime);
END_TRY_CATCH_RTN(FREE_MEMORY,DSP_RTN_ERR)
FREE_MEMORY
return DSP_RTN_OK;
#undef FREE_MEMORY
}
/** solve */
STO_RTN_CODE TssBd::solve()
{
#define FREE_MEMORY \
FREE_PTR(tssbdsub)
assert(model_);
/** subproblems */
const double * probability = NULL; /**< probability */
TssBdSub * tssbdsub = NULL; /**< cut generator */
double lowerbound = 0.0;
BGN_TRY_CATCH
/** solution time */
double swtime = CoinGetTimeOfDay();
/** time limit */
time_remains_ = par_->wtimeLimit_;
/** get number of scenarios */
probability = model_->getProbability();
/** configure Benders cut generator */
/** This does NOT make deep copies. So, DO NOT RELEASE POINTERS. */
tssbdsub = new TssBdSub(par_);
for (int s = 0; s < model_->getNumScenarios(); ++s)
tssbdsub->scenarios_.push_back(s);
STO_RTN_CHECK_THROW(tssbdsub->loadProblem(model_, naugs_, augs_, naux_), "loadProblem", "TssBdSub");
if (par_->logLevel_ > 0) printf("Phase 1:\n");
/** solution time */
double stime = clockType_ ? CoinGetTimeOfDay() : CoinCpuTime();
/** find lower bound */
/** TODO: replace this with TssDd */
STO_RTN_CHECK_THROW(findLowerBound(probability, lowerbound), "findLowerBound", "TssBd");
/** We should have a lower bound here. */
if (par_->logLevel_ > 0) printf(" -> Found lower bound %e\n", lowerbound);
/** construct master problem */
STO_RTN_CHECK_THROW(constructMasterProblem(tssbdsub, lowerbound), "constructMasterProblem", "TssBd");
if (par_->logLevel_ > 0) printf("Phase 2:\n");
time_remains_ -= CoinGetTimeOfDay() - swtime;
/** use L-shaped method to find lower bound */
if (model_->getNumCoreIntegers() == 0)
{
/** configure LP */
STO_RTN_CHECK_THROW(configureSLP(), "configureSLP", "TssBd");
/** solve LP */
STO_RTN_CHECK_THROW(solveSLP(tssbdsub), "solveSLP", "TssBd");
}
else
{
/** configure MILP */
STO_RTN_CHECK_THROW(configureSMILP(tssbdsub), "configureSMILP", "TssBd");
/** solve MILP */
STO_RTN_CHECK_THROW(solveSMILP(), "solveSMILP", "TssBd");
}
/** solution time */
solutionTime_ = (clockType_ ? CoinGetTimeOfDay() : CoinCpuTime()) - stime;
/** collect solution */
switch (status_)
{
case STO_STAT_OPTIMAL:
case STO_STAT_LIM_ITERorTIME:
case STO_STAT_STOPPED_GAP:
case STO_STAT_STOPPED_NODE:
case STO_STAT_STOPPED_TIME:
{
const double * solution = si_->getSolution();
if (solution)
{
/** first-stage solution */
assert(solution_);
CoinCopyN(solution, model_->getNumCols(0), solution_);
/** second-stage solution */
double * objval_reco = new double [model_->getNumScenarios()];
double ** solution_reco = new double * [model_->getNumScenarios()];
for (int s = 0; s < model_->getNumScenarios(); ++s)
solution_reco[s] = new double [model_->getNumCols(1)];
for (int s = 0; s < naugs_; ++s)
CoinCopyN(solution + model_->getNumCols(0) + s * model_->getNumCols(1),
model_->getNumCols(1), solution_reco[augs_[s]]);
/** collect solution */
tssbdsub->solveRecourse(solution_, objval_reco, solution_reco, par_->numCores_);
for (int s = 0; s < model_->getNumScenarios(); ++s)
{
if (tssbdsub->excludedScenarios_[s]) continue;
CoinCopyN(solution_reco[s], model_->getNumCols(1),
solution_ + model_->getNumCols(0) + model_->getNumCols(1) * s);
}
/** compute primal bound */
primalBound_ = 0.0;
for (int j = 0; j < model_->getNumCols(0); ++j)
primalBound_ += model_->getObjCore(0)[j] * solution_[j];
for (int s = 0; s < model_->getNumScenarios(); ++s)
{
primalBound_ += objval_reco[s] * model_->getProbability()[s];
}
//printf("primalBound %e\n", primalBound_);
/** free memory */
FREE_ARRAY_PTR(objval_reco);
FREE_2D_ARRAY_PTR(model_->getNumScenarios(), solution_reco);
}
break;
}
break;
default:
printf("Solution status (%d).\n", status_);
break;
}
END_TRY_CATCH_RTN(FREE_MEMORY,STO_RTN_ERR)
/** free memory */
FREE_MEMORY
return STO_RTN_OK;
#undef FREE_MEMORY
}
