ANL-CEEESA
/
MIPLearn.jl
mirror of https://github.com/ANL-CEEESA/MIPLearn.jl.git
1
0
Fork 0
Code Issues Packages Projects Releases Wiki Activity

FisSal2011: Implement early termination; improve log

Browse Source
fs11_01
Alinson S. Xavier 2 months ago
parent 1c44cb4e86
commit b8d836de10
2 changed files with 88 additions and 46 deletions
Show Stats Download Patch File Download Diff File

125
src/Cuts/tableau/gmi_dual.jl
Unescape View File

@ -266,13 +266,13 @@ end
function collect_gmi_FisSal2011(
mps_filename;
optimizer,
max_cuts_per_round = 1_000_000,
time_limit = 3_600,
interval_print_sec=0.1,
silent_solver=true,
max_cuts_per_round = 1_000_000,
max_pool_size_mb = 1024,
variant = :fast,
optimizer,
silent_solver=true,
time_limit = 900,
variant = :faster,
)
variant in [:subg, :hybr, :fast, :faster] || error("unknown variant: $variant")
if variant == :subg
@ -292,6 +292,7 @@ function collect_gmi_FisSal2011(
interval_large_lp = 50
interval_read_tableau = 1
end
gapcl_best_patience = 2 * interval_large_lp + 1
reset_timer!()
initial_time = time()
@ -314,13 +315,14 @@ function collect_gmi_FisSal2011(
count_backtrack = 0
count_deterioration = 0
gapcl_best = 0
gapcl_best_history = CircularBuffer{Float64}(gapcl_best_patience)
gapcl_curr = 0
last_print_time = 0
multipliers_best = nothing
multipliers_curr = nothing
obj_best = nothing
obj_curr = nothing
obj_hist = []
obj_hist = CircularBuffer{Float64}(100)
obj_initial = nothing
pool = nothing
pool_cut_age = nothing
@ -347,6 +349,11 @@ function collect_gmi_FisSal2011(
# Assert optimal solution is feasible for the original problem
assert_leq(data.constr_lb, data.constr_lhs * sol_opt)
assert_leq(data.constr_lhs * sol_opt, data.constr_ub)
for (var_idx, var_type) in enumerate(data.var_types)
if var_type in ['B', 'I']
assert_int(sol_opt[var_idx])
end
end
# Convert to standard form
data_s, transforms = convert_to_standard_form(data)
@ -363,13 +370,19 @@ function collect_gmi_FisSal2011(
sol_opt_s = forward(transforms, sol_opt)
# Assert converted solution is feasible for standard form problem
for (var_idx, var_type) in enumerate(data_s.var_types)
if var_type in ['B', 'I']
assert_int(sol_opt_s[var_idx])
end
end
assert_eq(data_s.constr_lhs * sol_opt_s, data_s.constr_lb)
end
@info "Standard form model has $(length(data.var_lb)) vars, $(length(data.constr_lb)) constrs"
for round = 1:max_rounds
should_print_log = false
log_prefix = ' '
log_should_print = false
if round > 1
@timeit "Update objective function" begin
@ -395,15 +408,17 @@ function collect_gmi_FisSal2011(
@timeit "Optimize LP (lagrangian)" begin
optimize!(model_s)
status = termination_status(model_s)
if status != MOI.OPTIMAL
error("Non-optimal termination status: $status")
end
sol_frac = get_x(model_s)
obj_curr = objective_value(model_s)
push!(obj_hist, obj_curr)
if length(obj_hist) > 100
popfirst!(obj_hist)
end
if obj_best === nothing || obj_curr > obj_best
log_prefix = '*'
obj_best = obj_curr
multipliers_best = multipliers_curr
end
@ -412,9 +427,7 @@ function collect_gmi_FisSal2011(
end
gapcl_curr = gapcl(obj_curr)
gapcl_best = gapcl(obj_best)
if termination_status(model_s) != MOI.OPTIMAL
error("Non-optimal termination status")
end
push!(gapcl_best_history, gapcl_best)
@timeit "Update μ" begin
if variant in [:subg, :hybr]
@ -508,10 +521,38 @@ function collect_gmi_FisSal2011(
end
end
end
@timeit "Prune the pool" begin
pool_size_mb = Base.summarysize(pool) / 1024^2
while pool_size_mb >= max_pool_size_mb
@timeit "Identify cuts to remove" begin
σ = sortperm(pool_cut_age, rev=true)
pool_size = length(pool.ub)
n_keep = Int(floor(pool_size * 0.8))
idx_keep = σ[1:n_keep]
idx_remove = σ[(n_keep+1):end]
end
@timeit "Update cut hashes" begin
for idx in idx_remove
cut_data = (pool.lhs[:, idx], pool.lb[idx], pool.ub[idx])
delete!(pool_cut_hashes, hash(cut_data))
end
end
@timeit "Update cut pool" begin
pool.lhs = pool.lhs[:, idx_keep]
pool.ub = pool.ub[idx_keep]
pool.lb = pool.lb[idx_keep]
multipliers_curr = multipliers_curr[idx_keep]
multipliers_best = multipliers_best[idx_keep]
pool_cut_age = pool_cut_age[idx_keep]
end
pool_size_mb = Base.summarysize(pool) / 1024^2
end
end
end
if mod(round - 1, interval_large_lp) == 0 || round == max_rounds
should_print_log = true
log_should_print = true
@timeit "Update multipliers (large LP)" begin
selected_idx = []
selected_contrs = []
@ -519,6 +560,10 @@ function collect_gmi_FisSal2011(
@timeit "Optimize LP (extended)" begin
set_objective_function(model_s, orig_obj_s)
optimize!(model_s)
status = termination_status(model_s)
if status != MOI.OPTIMAL
error("Non-optimal termination status: $status")
end
obj_curr = objective_value(model_s)
sol_frac = get_x(model_s)
end
@ -568,38 +613,13 @@ function collect_gmi_FisSal2011(
@timeit "Update best" begin
if obj_curr > obj_best
log_prefix = '*'
obj_best = obj_curr
multipliers_best = multipliers_curr
end
gapcl_curr = gapcl(obj_curr)
gapcl_best = gapcl(obj_best)
end
@timeit "Prune cut pool" begin
pool_size_mb = Base.summarysize(pool) / 1024^2
while pool_size_mb >= max_pool_size_mb
@timeit "Identify cuts to remove" begin
σ = sortperm(pool_cut_age, rev=true)
pool_size = length(pool.ub)
n_keep = Int(floor(pool_size * 0.8))
idx_keep = 1:n_keep
idx_remove = σ[(n_keep+1):end]
end
@timeit "Update cut hashes" begin
for idx in idx_remove
cut_data = (pool.lhs[:, idx], pool.lb[idx], pool.ub[idx])
delete!(pool_cut_hashes, hash(cut_data))
end
end
@timeit "Update cut pool" begin
pool.lhs = pool.lhs[:, idx_keep]
pool.ub = pool.ub[idx_keep]
pool.lb = pool.lb[idx_keep]
multipliers_curr = multipliers[idx_keep]
pool_cut_age = pool_cut_age[idx_keep]
end
pool_size_mb = Base.summarysize(pool) / 1024^2
end
push!(gapcl_best_history, gapcl_best)
end
@timeit "Delete all cut constraints" begin
@ -609,14 +629,19 @@ function collect_gmi_FisSal2011(
else
@timeit "Update multipliers (subgradient)" begin
subgrad = (pool.lb' - (sol_frac' * pool.lhs))'
λ = μ * (obj_mip - obj_curr) / norm(subgrad)^2
subgrad_norm_sq = norm(subgrad)^2
if subgrad_norm_sq < 1e-10
λ = 0
else
λ = μ * (obj_mip - obj_curr) / subgrad_norm_sq
end
multipliers_curr = max.(0, multipliers_curr .+ λ * subgrad)
end
end
if round == 1
@printf(
"%8s %10s %9s %9s %9s %9s %9s %4s %8s %8s %8s\n",
" %8s %10s %9s %9s %9s %9s %9s %4s %8s %8s %8s\n",
"round",
"obj",
"cl_curr",
@ -632,13 +657,14 @@ function collect_gmi_FisSal2011(
end
if time() - last_print_time > interval_print_sec
should_print_log = true
log_should_print = true
end
if should_print_log
if log_should_print
last_print_time = time()
@printf(
"%8d %10.3e %9.2e %9.2e %9d %9.2f %9d %4d %8.2e %8.2e %8.2e\n",
"%c %8d %10.3e %9.2e %9.2e %9d %9.2f %9d %4d %8.2e %8.2e %8.2e\n",
log_prefix,
round,
obj_curr,
gapcl_curr,
@ -653,6 +679,13 @@ function collect_gmi_FisSal2011(
)
end
if length(gapcl_best_history) >= gapcl_best_patience
if gapcl_best <= gapcl_best_history[1]
@info "No gap closure improvement. Stopping."
break
end
end
elapsed_time = time() - initial_time
if elapsed_time > time_limit
@info "Time limit exceeded. Stopping."

9
src/Cuts/tableau/numerics.jl
Unescape View File

@ -41,6 +41,8 @@ function assert_does_not_cut_off(cuts::ConstraintSet, x::Vector{Float64}; tol =
ub = cuts.ub[i]
lb = cuts.lb[i]
if (val >= ub) || (val <= lb)
@show cuts.lhs[i, :]
@show x[cuts.lhs[i, :].nzind]
throw(
ErrorException(
"inequality $i cuts off integer solution ($lb <= $val <= $ub)",
@ -49,3 +51,10 @@ function assert_does_not_cut_off(cuts::ConstraintSet, x::Vector{Float64}; tol =
end
end
end
function assert_int(x::Float64, tol=1e-6)
fx = frac(x)
if min(fx, 1 - fx) >= tol
throw(ErrorException("Number must be integer: $x"))
end
end

Write Preview
Loading…
Cancel
Save