AddSlackVariables: Improve performance

src/Cuts/tableau/transform.jl

@@ -96,56 +96,70 @@ Base.@kwdef mutable struct AddSlackVariables <: Transform
 end
 
 function forward!(t::AddSlackVariables, data::ProblemData)
-    nrows, ncols = size(data.constr_lhs)
+    @timeit "Identify constraint type" begin
-    isequality = abs.(data.constr_ub .- data.constr_lb) .< 1e-6
+        nrows, ncols = size(data.constr_lhs)
-    eq = [i for i = 1:nrows if isequality[i]]
+        isequality = abs.(data.constr_ub .- data.constr_lb) .< 1e-6
-    ge = [i for i = 1:nrows if isfinite(data.constr_lb[i]) && !isequality[i]]
+        eq = [i for i = 1:nrows if isequality[i]]
-    le = [i for i = 1:nrows if isfinite(data.constr_ub[i]) && !isequality[i]]
+        ge = [i for i = 1:nrows if isfinite(data.constr_lb[i]) && !isequality[i]]
-    EQ, GE, LE = length(eq), length(ge), length(le)
+        le = [i for i = 1:nrows if isfinite(data.constr_ub[i]) && !isequality[i]]
-    function is_integral(row_idx, rhs)
+        EQ, GE, LE = length(eq), length(ge), length(le)
-        rhs_is_integer = abs(rhs - round(rhs)) <= 1e-6
+    end
-        cols, coeffs = findnz(data.constr_lhs[row_idx, :])[1:2]
+    @timeit "Identify slack type" begin
-        vars_are_integer = all(j -> data.var_types[j] ∈ ['I', 'B'], cols)
+        constr_lhs_t = sparse(data.constr_lhs')
-        coeffs_are_integer = all(v -> abs(v - round(v)) <= 1e-6, coeffs)
+        function is_integral(row_idx, rhs)
-        return rhs_is_integer && vars_are_integer && coeffs_are_integer
+            rhs_is_integer = abs(rhs - round(rhs)) <= 1e-6
+            cols, coeffs = findnz(constr_lhs_t[:, row_idx])[1:2]
+            vars_are_integer = all(j -> data.var_types[j] ∈ ['I', 'B'], cols)
+            coeffs_are_integer = all(v -> abs(v - round(v)) <= 1e-6, coeffs)
+            return rhs_is_integer && vars_are_integer && coeffs_are_integer
+        end
+        slack_types = [
+            [is_integral(ge[i], data.constr_lb[ge[i]]) ? 'I' : 'C' for i = 1:GE];
+            [is_integral(le[i], data.constr_ub[le[i]]) ? 'I' : 'C' for i = 1:LE]
+        ]
+    end
+    @timeit "Build M1" begin
+        t.M1 = [
+            I spzeros(ncols, GE + LE)
+            data.constr_lhs[ge, :] spzeros(GE, GE + LE)
+            -data.constr_lhs[le, :] spzeros(LE, GE + LE)
+        ]
+    end
+    @timeit "Build M2" begin
+        t.M2 = [
+            zeros(ncols)
+            data.constr_lb[ge]
+            -data.constr_ub[le]
+        ]
+    end
+    @timeit "Build t.lhs, t.rhs" begin
+        t.ncols_orig = ncols
+        t.GE, t.LE = GE, LE
+        t.lhs_ge = data.constr_lhs[ge, :]
+        t.lhs_le = data.constr_lhs[le, :]
+        t.rhs_ge = data.constr_lb[ge]
+        t.rhs_le = data.constr_ub[le]
+    end
+    @timeit "Build data.constr_lhs" begin
+        data.constr_lhs = [
+            data.constr_lhs[eq, :] spzeros(EQ, GE) spzeros(EQ, LE)
+            data.constr_lhs[ge, :] -I spzeros(GE, LE)
+            data.constr_lhs[le, :] spzeros(LE, GE) I
+        ]
+    end
+    @timeit "Build other data fields" begin
+        data.obj = [data.obj; zeros(GE + LE)]
+        data.var_lb = [data.var_lb; zeros(GE + LE)]
+        data.var_ub = [data.var_ub; [Inf for _ = 1:(GE+LE)]]
+        data.var_names = [data.var_names; ["__s$i" for i = 1:(GE+LE)]]
+        data.var_types = [data.var_types; slack_types]
+        data.constr_lb = [
+            data.constr_lb[eq]
+            data.constr_lb[ge]
+            data.constr_ub[le]
+        ]
+        data.constr_ub = copy(data.constr_lb)
     end
-    slack_types = [
-        [is_integral(ge[i], data.constr_lb[ge[i]]) ? 'I' : 'C' for i = 1:GE];
-        [is_integral(le[i], data.constr_ub[le[i]]) ? 'I' : 'C' for i = 1:LE]
-    ]
-    t.M1 = [
-        I spzeros(ncols, GE + LE)
-        data.constr_lhs[ge, :] spzeros(GE, GE + LE)
-        -data.constr_lhs[le, :] spzeros(LE, GE + LE)
-    ]
-    t.M2 = [
-        zeros(ncols)
-        data.constr_lb[ge]
-        -data.constr_ub[le]
-    ]
-    t.ncols_orig = ncols
-    t.GE, t.LE = GE, LE
-    t.lhs_ge = data.constr_lhs[ge, :]
-    t.lhs_le = data.constr_lhs[le, :]
-    t.rhs_ge = data.constr_lb[ge]
-    t.rhs_le = data.constr_ub[le]
-
-    data.constr_lhs = [
-        data.constr_lhs[eq, :] spzeros(EQ, GE) spzeros(EQ, LE)
-        data.constr_lhs[ge, :] -I spzeros(GE, LE)
-        data.constr_lhs[le, :] spzeros(LE, GE) I
-    ]
-    data.obj = [data.obj; zeros(GE + LE)]
-    data.var_lb = [data.var_lb; zeros(GE + LE)]
-    data.var_ub = [data.var_ub; [Inf for _ = 1:(GE+LE)]]
-    data.var_names = [data.var_names; ["__s$i" for i = 1:(GE+LE)]]
-    data.var_types = [data.var_types; slack_types]
-    data.constr_lb = [
-        data.constr_lb[eq]
-        data.constr_lb[ge]
-        data.constr_ub[le]
-    ]
-    data.constr_ub = copy(data.constr_lb)
 end
 
 function backwards!(t::AddSlackVariables, c::ConstraintSet)