10 Commits

23 changed files with 464 additions and 48 deletions

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@@ -1,7 +1,7 @@
name = "MIPLearn"
uuid = "2b1277c3-b477-4c49-a15e-7ba350325c68"
authors = ["Alinson S Xavier <git@axavier.org>"]
version = "0.3.0"
version = "0.4.0"
[deps]
Conda = "8f4d0f93-b110-5947-807f-2305c1781a2d"
@@ -9,6 +9,7 @@ DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
HDF5 = "f67ccb44-e63f-5c2f-98bd-6dc0ccc4ba2f"
HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
JLD2 = "033835bb-8acc-5ee8-8aae-3f567f8a3819"
JSON = "682c06a0-de6a-54ab-a142-c8b1cf79cde6"
JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
KLU = "ef3ab10e-7fda-4108-b977-705223b18434"
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
@@ -23,12 +24,13 @@ Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
TimerOutputs = "a759f4b9-e2f1-59dc-863e-4aeb61b1ea8f"
[compat]
julia = "1"
Conda = "1"
DataStructures = "0.18"
HDF5 = "0.16"
HiGHS = "1"
JLD2 = "0.4"
JSON = "0.21"
julia = "1"
JuMP = "1"
KLU = "0.4"
MathOptInterface = "1"

2
deps/build.jl vendored
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@@ -5,7 +5,7 @@ function install_miplearn()
Conda.update()
pip = joinpath(dirname(pyimport("sys").executable), "pip")
isfile(pip) || error("$pip: invalid path")
run(`$pip install miplearn==0.3.0`)
run(`$pip install miplearn==0.4.0`)
end
install_miplearn()

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@@ -12,6 +12,8 @@ include("components.jl")
include("extractors.jl")
include("io.jl")
include("problems/setcover.jl")
include("problems/stab.jl")
include("problems/tsp.jl")
include("solvers/jump.jl")
include("solvers/learning.jl")
@@ -21,6 +23,8 @@ function __init__()
__init_extractors__()
__init_io__()
__init_problems_setcover__()
__init_problems_stab__()
__init_problems_tsp__()
__init_solvers_jump__()
__init_solvers_learning__()
end

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@@ -2,19 +2,21 @@
# Copyright (C) 2020-2023, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
global MinProbabilityClassifier = PyNULL()
global SingleClassFix = PyNULL()
global PrimalComponentAction = PyNULL()
global SetWarmStart = PyNULL()
global FixVariables = PyNULL()
global EnforceProximity = PyNULL()
global ExpertPrimalComponent = PyNULL()
global FixVariables = PyNULL()
global IndependentVarsPrimalComponent = PyNULL()
global JointVarsPrimalComponent = PyNULL()
global SolutionConstructor = PyNULL()
global MemorizingCutsComponent = PyNULL()
global MemorizingLazyComponent = PyNULL()
global MemorizingPrimalComponent = PyNULL()
global SelectTopSolutions = PyNULL()
global MergeTopSolutions = PyNULL()
global MinProbabilityClassifier = PyNULL()
global PrimalComponentAction = PyNULL()
global SelectTopSolutions = PyNULL()
global SetWarmStart = PyNULL()
global SingleClassFix = PyNULL()
global SolutionConstructor = PyNULL()
function __init_components__()
copy!(
@@ -51,6 +53,8 @@ function __init_components__()
)
copy!(SelectTopSolutions, pyimport("miplearn.components.primal.mem").SelectTopSolutions)
copy!(MergeTopSolutions, pyimport("miplearn.components.primal.mem").MergeTopSolutions)
copy!(MemorizingCutsComponent, pyimport("miplearn.components.cuts.mem").MemorizingCutsComponent)
copy!(MemorizingLazyComponent, pyimport("miplearn.components.lazy.mem").MemorizingLazyComponent)
end
export MinProbabilityClassifier,
@@ -65,4 +69,6 @@ export MinProbabilityClassifier,
SolutionConstructor,
MemorizingPrimalComponent,
SelectTopSolutions,
MergeTopSolutions
MergeTopSolutions,
MemorizingCutsComponent,
MemorizingLazyComponent

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@@ -13,12 +13,11 @@ function __init_problems_setcover__()
copy!(SetCoverGenerator, pyimport("miplearn.problems.setcover").SetCoverGenerator)
end
function build_setcover_model(data::Any; optimizer = HiGHS.Optimizer)
function build_setcover_model_jump(data::Any; optimizer=HiGHS.Optimizer)
if data isa String
data = read_pkl_gz(data)
end
model = Model(optimizer)
set_silent(model)
n_elements, n_sets = size(data.incidence_matrix)
E = 0:n_elements-1
S = 0:n_sets-1
@@ -32,4 +31,4 @@ function build_setcover_model(data::Any; optimizer = HiGHS.Optimizer)
return JumpModel(model)
end
export SetCoverData, SetCoverGenerator, build_setcover_model
export SetCoverData, SetCoverGenerator, build_setcover_model_jump

60
src/problems/stab.jl Normal file
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@@ -0,0 +1,60 @@
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
# Copyright (C) 2020-2024, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
using JuMP
using HiGHS
global MaxWeightStableSetData = PyNULL()
global MaxWeightStableSetGenerator = PyNULL()
function __init_problems_stab__()
copy!(MaxWeightStableSetData, pyimport("miplearn.problems.stab").MaxWeightStableSetData)
copy!(MaxWeightStableSetGenerator, pyimport("miplearn.problems.stab").MaxWeightStableSetGenerator)
end
function build_stab_model_jump(data::Any; optimizer=HiGHS.Optimizer)
nx = pyimport("networkx")
if data isa String
data = read_pkl_gz(data)
end
model = Model(optimizer)
# Variables and objective function
nodes = data.graph.nodes
x = @variable(model, x[nodes], Bin)
@objective(model, Min, sum(-data.weights[i+1] * x[i] for i in nodes))
# Edge inequalities
for (i1, i2) in data.graph.edges
@constraint(model, x[i1] + x[i2] <= 1, base_name = "eq_edge[$i1,$i2]")
end
function cuts_separate(cb_data)
x_val = callback_value.(Ref(cb_data), x)
violations = []
for clique in nx.find_cliques(data.graph)
if sum(x_val[i] for i in clique) > 1.0001
push!(violations, sort(clique))
end
end
return violations
end
function cuts_enforce(violations)
@info "Adding $(length(violations)) clique cuts..."
for clique in violations
constr = @build_constraint(sum(x[i] for i in clique) <= 1)
submit(model, constr)
end
end
return JumpModel(
model,
cuts_separate=cuts_separate,
cuts_enforce=cuts_enforce,
)
end
export MaxWeightStableSetData, MaxWeightStableSetGenerator, build_stab_model_jump

72
src/problems/tsp.jl Normal file
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@@ -0,0 +1,72 @@
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
# Copyright (C) 2020-2024, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
using JuMP
global TravelingSalesmanData = PyNULL()
global TravelingSalesmanGenerator = PyNULL()
function __init_problems_tsp__()
copy!(TravelingSalesmanData, pyimport("miplearn.problems.tsp").TravelingSalesmanData)
copy!(TravelingSalesmanGenerator, pyimport("miplearn.problems.tsp").TravelingSalesmanGenerator)
end
function build_tsp_model_jump(data::Any; optimizer)
nx = pyimport("networkx")
if data isa String
data = read_pkl_gz(data)
end
model = Model(optimizer)
edges = [(i, j) for i in 1:data.n_cities for j in (i+1):data.n_cities]
x = @variable(model, x[edges], Bin)
@objective(model, Min, sum(
x[(i, j)] * data.distances[i, j] for (i, j) in edges
))
# Eq: Must choose two edges adjacent to each node
@constraint(
model,
eq_degree[i in 1:data.n_cities],
sum(x[(min(i, j), max(i, j))] for j in 1:data.n_cities if i != j) == 2
)
function lazy_separate(cb_data)
x_val = callback_value.(Ref(cb_data), x)
violations = []
selected_edges = [e for e in edges if x_val[e] > 0.5]
graph = nx.Graph()
graph.add_edges_from(selected_edges)
for component in nx.connected_components(graph)
if length(component) < data.n_cities
cut_edges = [
[e[1], e[2]]
for e in edges
if (e[1] component && e[2] component)
||
(e[1] component && e[2] component)
]
push!(violations, cut_edges)
end
end
return violations
end
function lazy_enforce(violations)
@info "Adding $(length(violations)) subtour elimination eqs..."
for violation in violations
constr = @build_constraint(sum(x[(e[1], e[2])] for e in violation) >= 2)
submit(model, constr)
end
end
return JumpModel(
model,
lazy_enforce=lazy_enforce,
lazy_separate=lazy_separate,
lp_optimizer=optimizer,
)
end
export TravelingSalesmanData, TravelingSalesmanGenerator, build_tsp_model_jump

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@@ -4,9 +4,33 @@
using JuMP
using HiGHS
using JSON
global JumpModel = PyNULL()
Base.@kwdef mutable struct _JumpModelExtData
aot_cuts = nothing
cb_data = nothing
cuts = []
lazy = []
where::Symbol = :WHERE_DEFAULT
cuts_enforce::Union{Function,Nothing} = nothing
cuts_separate::Union{Function,Nothing} = nothing
lazy_enforce::Union{Function,Nothing} = nothing
lazy_separate::Union{Function,Nothing} = nothing
lp_optimizer
end
function JuMP.copy_extension_data(
old_ext::_JumpModelExtData,
new_model::AbstractModel,
::AbstractModel,
)
new_model.ext[:miplearn] = _JumpModelExtData(
lp_optimizer=old_ext.lp_optimizer
)
end
# -----------------------------------------------------------------------------
function _add_constrs(
@@ -35,6 +59,17 @@ function _add_constrs(
end
end
function submit(model::JuMP.Model, constr)
ext = model.ext[:miplearn]
if ext.where == :WHERE_CUTS
MOI.submit(model, MOI.UserCut(ext.cb_data), constr)
elseif ext.where == :WHERE_LAZY
MOI.submit(model, MOI.LazyConstraint(ext.cb_data), constr)
else
add_constraint(model, constr)
end
end
function _extract_after_load(model::JuMP.Model, h5)
if JuMP.objective_sense(model) == MOI.MIN_SENSE
h5.put_scalar("static_sense", "min")
@@ -109,6 +144,9 @@ function _extract_after_load_constrs(model::JuMP.Model, h5)
end
end
end
if isempty(names)
error("no model constraints found; note that MIPLearn ignores unnamed constraints")
end
lhs = sparse(lhs_rows, lhs_cols, lhs_values, length(rhs), JuMP.num_variables(model))
h5.put_sparse("static_constr_lhs", lhs)
h5.put_array("static_constr_rhs", rhs)
@@ -249,6 +287,11 @@ function _extract_after_mip(model::JuMP.Model, h5)
rhs = h5.get_array("static_constr_rhs")
slacks = abs.(lhs * x - rhs)
h5.put_array("mip_constr_slacks", slacks)
# Cuts and lazy constraints
ext = model.ext[:miplearn]
h5.put_scalar("mip_cuts", JSON.json(ext.cuts))
h5.put_scalar("mip_lazy", JSON.json(ext.lazy))
end
function _fix_variables(model::JuMP.Model, var_names, var_values, stats)
@@ -259,7 +302,53 @@ function _fix_variables(model::JuMP.Model, var_names, var_values, stats)
end
function _optimize(model::JuMP.Model)
# Set up cut callbacks
ext = model.ext[:miplearn]
ext.cuts = []
function cut_callback(cb_data)
ext.cb_data = cb_data
ext.where = :WHERE_CUTS
if ext.aot_cuts !== nothing
@info "Enforcing $(length(ext.aot_cuts)) cuts ahead-of-time..."
violations = ext.aot_cuts
ext.aot_cuts = nothing
else
violations = ext.cuts_separate(cb_data)
for v in violations
push!(ext.cuts, v)
end
end
if !isempty(violations)
ext.cuts_enforce(violations)
end
end
if ext.cuts_separate !== nothing
set_attribute(model, MOI.UserCutCallback(), cut_callback)
end
# Set up lazy constraint callbacks
ext.lazy = []
function lazy_callback(cb_data)
ext.cb_data = cb_data
ext.where = :WHERE_LAZY
violations = ext.lazy_separate(cb_data)
for v in violations
push!(ext.lazy, v)
end
if !isempty(violations)
ext.lazy_enforce(violations)
end
end
if ext.lazy_separate !== nothing
set_attribute(model, MOI.LazyConstraintCallback(), lazy_callback)
end
# Optimize
optimize!(model)
# Cleanup
ext.where = :WHERE_DEFAULT
ext.cb_data = nothing
flush(stdout)
Libc.flush_cstdio()
end
@@ -267,8 +356,7 @@ end
function _relax(model::JuMP.Model)
relaxed, _ = copy_model(model)
relax_integrality(relaxed)
# FIXME: Remove hardcoded optimizer
set_optimizer(relaxed, HiGHS.Optimizer)
set_optimizer(relaxed, model.ext[:miplearn].lp_optimizer)
set_silent(relaxed)
return relaxed
end
@@ -285,16 +373,39 @@ function _set_warm_starts(model::JuMP.Model, var_names, var_values, stats)
end
function _write(model::JuMP.Model, filename)
ext = model.ext[:miplearn]
if ext.lazy_separate !== nothing
set_attribute(model, MOI.LazyConstraintCallback(), nothing)
end
if ext.cuts_separate !== nothing
set_attribute(model, MOI.UserCutCallback(), nothing)
end
write_to_file(model, filename)
end
# -----------------------------------------------------------------------------
function __init_solvers_jump__()
@pydef mutable struct Class
AbstractModel = pyimport("miplearn.solvers.abstract").AbstractModel
@pydef mutable struct Class <: AbstractModel
function __init__(self, inner)
function __init__(
self,
inner;
cuts_enforce::Union{Function,Nothing}=nothing,
cuts_separate::Union{Function,Nothing}=nothing,
lazy_enforce::Union{Function,Nothing}=nothing,
lazy_separate::Union{Function,Nothing}=nothing,
lp_optimizer=HiGHS.Optimizer,
)
self.inner = inner
self.inner.ext[:miplearn] = _JumpModelExtData(
cuts_enforce=cuts_enforce,
cuts_separate=cuts_separate,
lazy_enforce=lazy_enforce,
lazy_separate=lazy_separate,
lp_optimizer=lp_optimizer,
)
end
add_constrs(
@@ -330,6 +441,21 @@ function __init_solvers_jump__()
_set_warm_starts(self.inner, from_str_array(var_names), var_values, stats)
write(self, filename) = _write(self.inner, filename)
function set_cuts(self, cuts)
self.inner.ext[:miplearn].aot_cuts = cuts
end
function lazy_enforce(self, violations)
self.inner.ext[:miplearn].lazy_enforce(violations)
end
function _lazy_enforce_collected(self)
ext = self.inner.ext[:miplearn]
if ext.lazy_enforce !== nothing
ext.lazy_enforce(ext.lazy)
end
end
end
copy!(JumpModel, Class)
end

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@@ -5,6 +5,7 @@ version = "0.1.0"
[deps]
Clp = "e2554f3b-3117-50c0-817c-e040a3ddf72d"
GLPK = "60bf3e95-4087-53dc-ae20-288a0d20c6a6"
Glob = "c27321d9-0574-5035-807b-f59d2c89b15c"
HDF5 = "f67ccb44-e63f-5c2f-98bd-6dc0ccc4ba2f"
HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
@@ -15,6 +16,7 @@ Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
MIPLearn = "2b1277c3-b477-4c49-a15e-7ba350325c68"
PyCall = "438e738f-606a-5dbb-bf0a-cddfbfd45ab0"
Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
SCIP = "82193955-e24f-5292-bf16-6f2c5261a85f"
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
[compat]

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test/fixtures/tsp-n20-00000.mps.gz vendored Normal file

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@@ -16,10 +16,14 @@ FIXTURES = "$BASEDIR/../fixtures"
include("fixtures.jl")
include("BB/test_bb.jl")
include("components/test_cuts.jl")
include("components/test_lazy.jl")
include("Cuts/BlackBox/test_cplex.jl")
include("problems/test_setcover.jl")
include("test_io.jl")
include("problems/test_stab.jl")
include("problems/test_tsp.jl")
include("solvers/test_jump.jl")
include("test_io.jl")
include("test_usage.jl")
function runtests()
@@ -27,11 +31,14 @@ function runtests()
@testset "BB" begin
test_bb()
end
# test_cuts_blackbox_cplex()
test_io()
test_problems_setcover()
test_problems_stab()
test_problems_tsp()
test_solvers_jump()
test_usage()
test_cuts()
test_lazy()
end
end

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@@ -0,0 +1,43 @@
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
# Copyright (C) 2020-2024, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
using SCIP
function gen_stab()
np = pyimport("numpy")
uniform = pyimport("scipy.stats").uniform
randint = pyimport("scipy.stats").randint
np.random.seed(42)
gen = MaxWeightStableSetGenerator(
w=uniform(10.0, scale=1.0),
n=randint(low=50, high=51),
p=uniform(loc=0.5, scale=0.0),
fix_graph=true,
)
data = gen.generate(1)
data_filenames = write_pkl_gz(data, "$BASEDIR/../fixtures", prefix="stab-n50-")
collector = BasicCollector()
collector.collect(
data_filenames,
data -> build_stab_model_jump(data, optimizer=SCIP.Optimizer),
progress=true,
verbose=true,
)
end
function test_cuts()
data_filenames = ["$BASEDIR/../fixtures/stab-n50-00000.pkl.gz"]
clf = pyimport("sklearn.dummy").DummyClassifier()
extractor = H5FieldsExtractor(
instance_fields=["static_var_obj_coeffs"],
)
comp = MemorizingCutsComponent(clf=clf, extractor=extractor)
solver = LearningSolver(components=[comp])
solver.fit(data_filenames)
stats = solver.optimize(
data_filenames[1],
data -> build_stab_model_jump(data, optimizer=SCIP.Optimizer),
)
@test stats["Cuts: AOT"] > 0
end

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@@ -0,0 +1,46 @@
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
# Copyright (C) 2020-2024, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
using GLPK
function gen_tsp()
np = pyimport("numpy")
uniform = pyimport("scipy.stats").uniform
randint = pyimport("scipy.stats").randint
np.random.seed(42)
gen = TravelingSalesmanGenerator(
x=uniform(loc=0.0, scale=1000.0),
y=uniform(loc=0.0, scale=1000.0),
n=randint(low=20, high=21),
gamma=uniform(loc=1.0, scale=0.25),
fix_cities=true,
round=true,
)
data = gen.generate(1)
data_filenames = write_pkl_gz(data, "$BASEDIR/../fixtures", prefix="tsp-n20-")
collector = BasicCollector()
collector.collect(
data_filenames,
data -> build_tsp_model_jump(data, optimizer=GLPK.Optimizer),
progress=true,
verbose=true,
)
end
function test_lazy()
data_filenames = ["$BASEDIR/../fixtures/tsp-n20-00000.pkl.gz"]
clf = pyimport("sklearn.dummy").DummyClassifier()
extractor = H5FieldsExtractor(
instance_fields=["static_var_obj_coeffs"],
)
comp = MemorizingLazyComponent(clf=clf, extractor=extractor)
solver = LearningSolver(components=[comp])
solver.fit(data_filenames)
stats = solver.optimize(
data_filenames[1],
data -> build_tsp_model_jump(data, optimizer=GLPK.Optimizer),
)
@test stats["Lazy Constraints: AOT"] > 0
end

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@@ -14,5 +14,5 @@ function fixture_setcover_data()
end
function fixture_setcover_model()
return build_setcover_model(fixture_setcover_data())
return build_setcover_model_jump(fixture_setcover_data())
end

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@@ -51,7 +51,7 @@ function test_problems_setcover_model()
)
h5 = H5File(tempname(), "w")
model = build_setcover_model(data)
model = build_setcover_model_jump(data)
model.extract_after_load(h5)
model.optimize()
model.extract_after_mip(h5)

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@@ -0,0 +1,22 @@
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
# Copyright (C) 2020-2024, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
using PyCall
using SCIP
function test_problems_stab()
nx = pyimport("networkx")
data = MaxWeightStableSetData(
graph=nx.gnp_random_graph(25, 0.5, seed=42),
weights=repeat([1.0], 25),
)
h5 = H5File(tempname(), "w")
model = build_stab_model_jump(data, optimizer=SCIP.Optimizer)
model.extract_after_load(h5)
model.optimize()
model.extract_after_mip(h5)
@test h5.get_scalar("mip_obj_value") == -6
@test h5.get_scalar("mip_cuts")[1:20] == "[[0,8,11,13],[0,8,13"
h5.close()
end

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@@ -0,0 +1,27 @@
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
# Copyright (C) 2020-2024, UChicago Argonne, LLC. All rights reserved.
# Released under the modified BSD license. See COPYING.md for more details.
using GLPK
using JuMP
function test_problems_tsp()
pdist = pyimport("scipy.spatial.distance").pdist
squareform = pyimport("scipy.spatial.distance").squareform
data = TravelingSalesmanData(
n_cities=6,
distances=squareform(pdist([
[0.0, 0.0],
[1.0, 0.0],
[2.0, 0.0],
[3.0, 0.0],
[0.0, 1.0],
[3.0, 1.0],
])),
)
model = build_tsp_model_jump(data, optimizer=GLPK.Optimizer)
model.optimize()
@test objective_value(model.inner) == 8.0
return
end

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@@ -29,13 +29,13 @@ function test_usage()
@debug "Collecting training data..."
bc = BasicCollector()
bc.collect(data_filenames, build_setcover_model)
bc.collect(data_filenames, build_setcover_model_jump)
@debug "Training models..."
solver.fit(data_filenames)
@debug "Solving model..."
solver.optimize(data_filenames[1], build_setcover_model)
solver.optimize(data_filenames[1], build_setcover_model_jump)
@debug "Checking solution..."
h5 = H5File(h5_filenames[1])