Add write_jld2, reformat code

Project.toml

@@ -8,6 +8,7 @@ Conda = "8f4d0f93-b110-5947-807f-2305c1781a2d"
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
 HDF5 = "f67ccb44-e63f-5c2f-98bd-6dc0ccc4ba2f"
 HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
+JLD2 = "033835bb-8acc-5ee8-8aae-3f567f8a3819"
 JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 KLU = "ef3ab10e-7fda-4108-b977-705223b18434"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"

src/BB/optimize.jl

@@ -135,9 +135,8 @@ function _create_node(
     status, obj = solve_relaxation!(mip)
     if status == :Optimal
         vals = values(mip, mip.int_vars)
-        fractional_indices = [
+        fractional_indices =
-            j for j in 1:length(mip.int_vars) if 1e-6 < vals[j] - floor(vals[j]) < 1 - 1e-6
+            [j for j = 1:length(mip.int_vars) if 1e-6 < vals[j] - floor(vals[j]) < 1 - 1e-6]
-        ]
         fractional_values = vals[fractional_indices]
         fractional_variables = mip.int_vars[fractional_indices]
     else

src/Cuts/tableau/collect.jl

@@ -6,12 +6,7 @@ import ..H5File
 
 using OrderedCollections
 
-function collect_gmi(
+function collect_gmi(mps_filename; optimizer, max_rounds = 10, max_cuts_per_round = 100)
-    mps_filename;
-    optimizer,
-    max_rounds=10,
-    max_cuts_per_round=100,
-)
     @info mps_filename
     reset_timer!()
 
@@ -24,7 +19,7 @@ function collect_gmi(
         zip(
             h5.get_array("static_var_names"),
             convert(Array{Float64}, h5.get_array("mip_var_values")),
-        )
+        ),
     )
 
     # Read optimal value
@@ -52,7 +47,7 @@ function collect_gmi(
     # Read problem
     model = read_from_file(mps_filename)
 
-    for round in 1:max_rounds
+    for round = 1:max_rounds
         @info "Round $(round)..."
 
         stats_time_convert = @elapsed begin
@@ -93,26 +88,17 @@ function collect_gmi(
             return
         end
 
-         # Select tableau rows
+        # Select tableau rows
         basis = get_basis(model_s)
         sol_frac = get_x(model_s)
         stats_time_select += @elapsed begin
-            selected_rows = select_gmi_rows(
+            selected_rows =
-                data_s,
+                select_gmi_rows(data_s, basis, sol_frac, max_rows = max_cuts_per_round)
-                basis,
-                sol_frac,
-                max_rows=max_cuts_per_round,
-            )
         end
 
         # Compute selected tableau rows
         stats_time_tableau += @elapsed begin
-            tableau = compute_tableau(
+            tableau = compute_tableau(data_s, basis, sol_frac, rows = selected_rows)
-                data_s,
-                basis,
-                sol_frac,
-                rows=selected_rows,
-            )
 
             # Assert tableau rows have been computed correctly
             @assert tableau.lhs * sol_frac ≈ tableau.rhs
@@ -153,10 +139,7 @@ function collect_gmi(
         push!(stats_gap, gap(obj))
 
         # Store useful cuts; drop useless ones from the problem
-        useful = [
+        useful = [abs(shadow_price(c)) > 1e-3 for c in constrs]
-            abs(shadow_price(c)) > 1e-3
-            for c in constrs
-        ]
         drop = findall(useful .== false)
         keep = findall(useful .== true)
         delete.(model, constrs[drop])

src/Cuts/tableau/gmi.jl

@@ -7,32 +7,28 @@ using TimerOutputs
 
 @inline frac(x::Float64) = x - floor(x)
 
-function select_gmi_rows(data, basis, x; max_rows=10, atol=0.001)
+function select_gmi_rows(data, basis, x; max_rows = 10, atol = 0.001)
     candidate_rows = [
-        r
+        r for
-        for r in 1:length(basis.var_basic)
+        r = 1:length(basis.var_basic) if (data.var_types[basis.var_basic[r]] != 'C') &&
-        if (data.var_types[basis.var_basic[r]] != 'C') && (frac(x[basis.var_basic[r]]) > atol)
+        (frac(x[basis.var_basic[r]]) > atol)
     ]
     candidate_vals = frac.(x[basis.var_basic[candidate_rows]])
     score = abs.(candidate_vals .- 0.5)
     perm = sortperm(score)
-    return [candidate_rows[perm[i]] for i in 1:min(length(perm), max_rows)]
+    return [candidate_rows[perm[i]] for i = 1:min(length(perm), max_rows)]
 end
 
-function compute_gmi(
+function compute_gmi(data::ProblemData, tableau::Tableau, tol = 1e-8)::ConstraintSet
-    data::ProblemData,
-    tableau::Tableau,
-    tol=1e-8,
-)::ConstraintSet
     nrows, ncols = size(tableau.lhs)
-    ub = Float64[Inf for _ in 1:nrows]
+    ub = Float64[Inf for _ = 1:nrows]
-    lb = Float64[0.999 for _ in 1:nrows]
+    lb = Float64[0.999 for _ = 1:nrows]
     tableau_I, tableau_J, tableau_V = findnz(tableau.lhs)
     lhs_I = Int[]
     lhs_J = Int[]
     lhs_V = Float64[]
     @timeit "Compute coefficients" begin
-        for k in 1:nnz(tableau.lhs)
+        for k = 1:nnz(tableau.lhs)
             i::Int = tableau_I[k]
             v::Float64 = 0.0
             alpha_j = frac(tableau_V[k])
@@ -61,12 +57,8 @@ function compute_gmi(
     return ConstraintSet(; lhs, ub, lb)
 end
 
-function assert_cuts_off(
+function assert_cuts_off(cuts::ConstraintSet, x::Vector{Float64}, tol = 1e-6)
-    cuts::ConstraintSet,
+    for i = 1:length(cuts.lb)
-    x::Vector{Float64},
-    tol=1e-6
-)
-    for i in 1:length(cuts.lb)
         val = cuts.lhs[i, :]' * x
         if (val <= cuts.ub[i] - tol) && (val >= cuts.lb[i] + tol)
             throw(ErrorException("inequality fails to cut off fractional solution"))
@@ -74,17 +66,17 @@ function assert_cuts_off(
     end
 end
 
-function assert_does_not_cut_off(
+function assert_does_not_cut_off(cuts::ConstraintSet, x::Vector{Float64}; tol = 1e-6)
-    cuts::ConstraintSet,
+    for i = 1:length(cuts.lb)
-    x::Vector{Float64};
-    tol=1e-6
-)
-    for i in 1:length(cuts.lb)
         val = cuts.lhs[i, :]' * x
         ub = cuts.ub[i]
         lb = cuts.lb[i]
         if (val >= ub) || (val <= lb)
-            throw(ErrorException("inequality $i cuts off integer solution ($lb <= $val <= $ub)"))
+            throw(
+                ErrorException(
+                    "inequality $i cuts off integer solution ($lb <= $val <= $ub)",
+                ),
+            )
         end
     end
 end

src/Cuts/tableau/moi.jl

@@ -27,11 +27,7 @@ function ProblemData(model::Model)::ProblemData
     for (ftype, stype) in list_of_constraint_types(model)
         for constr in all_constraints(model, ftype, stype)
             cset = MOI.get(constr.model.moi_backend, MOI.ConstraintSet(), constr.index)
-            cf = MOI.get(
+            cf = MOI.get(constr.model.moi_backend, MOI.ConstraintFunction(), constr.index)
-                constr.model.moi_backend,
-                MOI.ConstraintFunction(),
-                constr.index,
-            )
             if ftype == VariableRef
                 var_idx = cf.value
                 if stype == MOI.Integer || stype == MOI.ZeroOne
@@ -79,13 +75,7 @@ function ProblemData(model::Model)::ProblemData
 
     n = length(vars)
     m = constr_index - 1
-    constr_lhs = sparse(
+    constr_lhs = sparse(constr_lhs_rows, constr_lhs_cols, constr_lhs_values, m, n)
-        constr_lhs_rows,
-        constr_lhs_cols,
-        constr_lhs_values,
-        m,
-        n,
-    )
 
     @assert length(obj) == n
     @assert length(var_lb) == n
@@ -96,7 +86,7 @@ function ProblemData(model::Model)::ProblemData
     @assert length(constr_ub) == m
 
     return ProblemData(
-        obj_offset=0.0;
+        obj_offset = 0.0;
         obj,
         constr_lb,
         constr_ub,
@@ -104,11 +94,11 @@ function ProblemData(model::Model)::ProblemData
         var_lb,
         var_ub,
         var_types,
-        var_names
+        var_names,
     )
 end
 
-function to_model(data::ProblemData, tol=1e-6)::Model
+function to_model(data::ProblemData, tol = 1e-6)::Model
     model = Model()
 
     # Variables
@@ -153,7 +143,7 @@ function add_constraint_set(model::JuMP.Model, cs::ConstraintSet)
     vars = all_variables(model)
     nrows, _ = size(cs.lhs)
     constrs = []
-    for i in 1:nrows
+    for i = 1:nrows
         c = nothing
         if isinf(cs.ub[i])
             c = @constraint(model, cs.lb[i] <= dot(cs.lhs[i, :], vars))

src/Cuts/tableau/structs.jl

@@ -17,17 +17,17 @@ Base.@kwdef mutable struct ProblemData
 end
 
 Base.@kwdef mutable struct Tableau
-    obj
+    obj::Any
-    lhs
+    lhs::Any
-    rhs
+    rhs::Any
-    z
+    z::Any
 end
 
 Base.@kwdef mutable struct Basis
-    var_basic
+    var_basic::Any
-    var_nonbasic
+    var_nonbasic::Any
-    constr_basic
+    constr_basic::Any
-    constr_nonbasic
+    constr_nonbasic::Any
 end
 
 Base.@kwdef mutable struct ConstraintSet

src/Cuts/tableau/tableau.jl

@@ -56,8 +56,8 @@ function compute_tableau(
     data::ProblemData,
     basis::Basis,
     x::Vector{Float64};
-    rows::Union{Vector{Int},Nothing}=nothing,
+    rows::Union{Vector{Int},Nothing} = nothing,
-    tol=1e-8
+    tol = 1e-8,
 )::Tableau
     @timeit "Split data" begin
         nrows, ncols = size(data.constr_lhs)
@@ -77,7 +77,7 @@ function compute_tableau(
         tableau_lhs_I = Int[]
         tableau_lhs_J = Int[]
         tableau_lhs_V = Float64[]
-        for k in 1:length(rows)
+        for k = 1:length(rows)
             @timeit "Prepare inputs" begin
                 i = rows[k]
                 e = zeros(nrows)
@@ -100,13 +100,8 @@ function compute_tableau(
                 end
             end
         end
-        tableau_lhs = sparse(
+        tableau_lhs =
-            tableau_lhs_I,
+            sparse(tableau_lhs_I, tableau_lhs_J, tableau_lhs_V, length(rows), ncols)
-            tableau_lhs_J,
-            tableau_lhs_V,
-            length(rows),
-            ncols,
-        )
     end
 
     @timeit "Compute tableau RHS" begin
@@ -120,10 +115,10 @@ function compute_tableau(
     end
 
     return Tableau(
-        obj=tableau_obj,
+        obj = tableau_obj,
-        lhs=tableau_lhs,
+        lhs = tableau_lhs,
-        rhs=tableau_rhs,
+        rhs = tableau_rhs,
-        z=dot(data.obj, x),
+        z = dot(data.obj, x),
     )
 end
 

src/Cuts/tableau/transform.jl

@@ -13,7 +13,7 @@ function _isbounded(x)
     return true
 end
 
-function backwards!(transforms::Vector{Transform}, m::ConstraintSet; tol=1e-8)
+function backwards!(transforms::Vector{Transform}, m::ConstraintSet; tol = 1e-8)
     for t in reverse(transforms)
         backwards!(t, m)
     end
@@ -24,7 +24,7 @@ function backwards!(transforms::Vector{Transform}, m::ConstraintSet; tol=1e-8)
     end
 end
 
-function backwards(transforms::Vector{Transform}, m::ConstraintSet; tol=1e-8)
+function backwards(transforms::Vector{Transform}, m::ConstraintSet; tol = 1e-8)
     m2 = deepcopy(m)
     backwards!(transforms, m2; tol)
     return m2
@@ -68,7 +68,7 @@ Base.@kwdef mutable struct MoveVarUpperBoundsToConstrs <: Transform end
 function forward!(t::MoveVarUpperBoundsToConstrs, data::ProblemData)
     _, ncols = size(data.constr_lhs)
     data.constr_lhs = [data.constr_lhs; I]
-    data.constr_lb = [data.constr_lb; [-Inf for _ in 1:ncols]]
+    data.constr_lb = [data.constr_lb; [-Inf for _ = 1:ncols]]
     data.constr_ub = [data.constr_ub; data.var_ub]
     data.var_ub .= Inf
 end
@@ -98,9 +98,9 @@ end
 function forward!(t::AddSlackVariables, data::ProblemData)
     nrows, ncols = size(data.constr_lhs)
     isequality = abs.(data.constr_ub .- data.constr_lb) .< 1e-6
-    eq = [i for i in 1:nrows if isequality[i]]
+    eq = [i for i = 1:nrows if isequality[i]]
-    ge = [i for i in 1:nrows if isfinite(data.constr_lb[i]) && !isequality[i]]
+    ge = [i for i = 1:nrows if isfinite(data.constr_lb[i]) && !isequality[i]]
-    le = [i for i in 1:nrows if isfinite(data.constr_ub[i]) && !isequality[i]]
+    le = [i for i = 1:nrows if isfinite(data.constr_ub[i]) && !isequality[i]]
     EQ, GE, LE = length(eq), length(ge), length(le)
 
     t.M1 = [
@@ -128,8 +128,8 @@ function forward!(t::AddSlackVariables, data::ProblemData)
     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$i" for i in 1:(GE+LE)]]
+    data.var_names = [data.var_names; ["__s$i" for i = 1:(GE+LE)]]
-    data.var_types = [data.var_types; ['C' for _ in 1:(GE+LE)]]
+    data.var_types = [data.var_types; ['C' for _ = 1:(GE+LE)]]
     data.constr_lb = [
         data.constr_lb[eq]
         data.constr_lb[ge]
@@ -157,15 +157,15 @@ end
 Base.@kwdef mutable struct SplitFreeVars <: Transform
     F::Int = 0
     B::Int = 0
-    free::Vector{Int}=[]
+    free::Vector{Int} = []
-    others::Vector{Int}=[]
+    others::Vector{Int} = []
 end
 
 function forward!(t::SplitFreeVars, data::ProblemData)
     lhs = data.constr_lhs
     _, ncols = size(lhs)
-    free = [i for i in 1:ncols if !isfinite(data.var_lb[i]) && !isfinite(data.var_ub[i])]
+    free = [i for i = 1:ncols if !isfinite(data.var_lb[i]) && !isfinite(data.var_ub[i])]
-    others = [i for i in 1:ncols if isfinite(data.var_lb[i]) || isfinite(data.var_ub[i])]
+    others = [i for i = 1:ncols if isfinite(data.var_lb[i]) || isfinite(data.var_ub[i])]
     t.F = length(free)
     t.B = length(others)
     t.free, t.others = free, others
@@ -199,8 +199,8 @@ end
 
 function backwards!(t::SplitFreeVars, c::ConstraintSet)
     # Convert GE constraints into LE
-    nrows, _ =  size(c.lhs)
+    nrows, _ = size(c.lhs)
-    ge = [i for i in 1:nrows if isfinite(c.lb[i])]
+    ge = [i for i = 1:nrows if isfinite(c.lb[i])]
     c.ub[ge], c.lb[ge] = -c.lb[ge], -c.ub[ge]
     c.lhs[ge, :] *= -1
 
@@ -209,8 +209,8 @@ function backwards!(t::SplitFreeVars, c::ConstraintSet)
 
     # Take minimum (weakest) coefficient
     B, F = t.B, t.F
-    for i in 1:F
+    for i = 1:F
-        c.lhs[:, B + i] = min.(c.lhs[:, B + i], -c.lhs[:, B + F + i])
+        c.lhs[:, B+i] = min.(c.lhs[:, B+i], -c.lhs[:, B+F+i])
     end
     c.lhs = c.lhs[:, 1:(B+F)]
 end
@@ -231,7 +231,7 @@ end
 
 function forward!(t::FlipUnboundedBelowVars, data::ProblemData)
     _, ncols = size(data.constr_lhs)
-    for i in 1:ncols
+    for i = 1:ncols
         if isfinite(data.var_lb[i])
             continue
         end

src/io.jl

@@ -2,6 +2,9 @@
 #  Copyright (C) 2020-2023, UChicago Argonne, LLC. All rights reserved.
 #  Released under the modified BSD license. See COPYING.md for more details.
 
+using Printf
+using JLD2
+
 global H5File = PyNULL()
 global write_pkl_gz = PyNULL()
 global read_pkl_gz = PyNULL()
@@ -36,8 +39,27 @@ end
 function PyObject(m::SparseMatrixCSC)
     pyimport("scipy.sparse").csc_matrix(
         (m.nzval, m.rowval .- 1, m.colptr .- 1),
-        shape = size(m),
+        shape=size(m),
     ).tocoo()
 end
 
-export H5File, write_pkl_gz, read_pkl_gz
+function write_jld2(
+    objs::Vector,
+    dirname::AbstractString;
+    prefix::AbstractString=""
+)::Vector{String}
+    mkpath(dirname)
+    filenames = [@sprintf("%s/%s%05d.jld2", dirname, prefix, i) for i = 1:length(objs)]
+    for (i, obj) in enumerate(objs)
+        jldsave(filenames[i]; obj)
+    end
+    return filenames
+end
+
+function read_jld2(filename::AbstractString)::Any
+    jldopen(filename, "r") do file
+        return file["obj"]
+    end
+end
+
+export H5File, write_pkl_gz, read_pkl_gz, write_jld2, read_jld2

src/solvers/jump.jl

@@ -278,7 +278,9 @@ function _set_warm_starts(model::JuMP.Model, var_names, var_values, stats)
     n_starts == 1 || error("JuMP does not support multiple warm starts")
     vars = [variable_by_name(model, v) for v in var_names]
     for (i, var) in enumerate(vars)
-        set_start_value(var, var_values[i])
+        if isfinite(var_values[i])
+            set_start_value(var, var_values[i])
+        end
     end
 end
 

test/Project.toml

@@ -8,6 +8,7 @@ Clp = "e2554f3b-3117-50c0-817c-e040a3ddf72d"
 Glob = "c27321d9-0574-5035-807b-f59d2c89b15c"
 HDF5 = "f67ccb44-e63f-5c2f-98bd-6dc0ccc4ba2f"
 HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
+JLD2 = "033835bb-8acc-5ee8-8aae-3f567f8a3819"
 JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 JuliaFormatter = "98e50ef6-434e-11e9-1051-2b60c6c9e899"
 Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
@@ -15,3 +16,7 @@ MIPLearn = "2b1277c3-b477-4c49-a15e-7ba350325c68"
 PyCall = "438e738f-606a-5dbb-bf0a-cddfbfd45ab0"
 Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+
+[compat]
+JuMP = "1"
+julia = "1"

test/src/test_io.jl

@@ -3,9 +3,16 @@
 #  Released under the modified BSD license. See COPYING.md for more details.
 
 using MIPLearn
+using JLD2
+
+struct _TestStruct
+    n::Int
+    q::Vector{Float64}
+end
 
 function test_io()
     test_pkl_gz()
+    test_jld2()
     test_h5()
 end
 
@@ -32,6 +39,26 @@ function test_h5()
     h5.close()
 end
 
+function test_jld2()
+    dirname = mktempdir()
+    data = [
+        _TestStruct(1, [0.0, 0.0, 0.0]),
+        _TestStruct(2, [1.0, 2.0, 3.0]),
+        _TestStruct(3, [3.0, 3.0, 3.0]),
+    ]
+    filenames = write_jld2(data, dirname, prefix="obj")
+    @test all(
+        filenames .==
+        ["$dirname/obj00001.jld2", "$dirname/obj00002.jld2", "$dirname/obj00003.jld2"],
+    )
+    @assert isfile("$dirname/obj00001.jld2")
+    @assert isfile("$dirname/obj00002.jld2")
+    @assert isfile("$dirname/obj00003.jld2")
+    recovered = read_jld2("$dirname/obj00002.jld2")
+    @test recovered.n == 2
+    @test all(recovered.q .== [1.0, 2.0, 3.0])
+end
+
 function _test_roundtrip_scalar(h5, original)
     h5.put_scalar("key", original)
     recovered = h5.get_scalar("key")