# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization # 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 JuMP using HiGHS global ExpertDualGmiComponent = PyNULL() global KnnDualGmiComponent = PyNULL() Base.@kwdef mutable struct _KnnDualGmiData k = nothing extractor = nothing train_h5 = nothing model = nothing end function collect_gmi_dual( mps_filename; optimizer, max_rounds = 10, max_cuts_per_round = 500, ) reset_timer!() @timeit "Read H5" begin h5_filename = replace(mps_filename, ".mps.gz" => ".h5") h5 = H5File(h5_filename) sol_opt_dict = Dict( zip( h5.get_array("static_var_names"), convert(Array{Float64}, h5.get_array("mip_var_values")), ), ) obj_mip = h5.get_scalar("mip_obj_value") h5.file.close() end # Define relative MIP gap gap(v) = 100 * abs(obj_mip - v) / abs(v) @timeit "Initialize" begin stats_obj = [] stats_gap = [] stats_ncuts = [] original_basis = nothing all_cuts = nothing all_cuts_bases = nothing all_cuts_rows = nothing end @timeit "Read problem" begin model = read_from_file(mps_filename) or_obj_f = objective_function(model) revised_obj = objective_function(model) end for round = 1:max_rounds @info "Round $(round)..." @timeit "Convert to standard form" begin # Extract problem data data = ProblemData(model) # Construct optimal solution vector (with correct variable sequence) sol_opt = [sol_opt_dict[n] for n in data.var_names] # 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) # Convert to standard form data_s, transforms = convert_to_standard_form(data) model_s = to_model(data_s) set_optimizer(model_s, optimizer) relax_integrality(model_s) # Convert optimal solution to standard form sol_opt_s = forward(transforms, sol_opt) # Assert converted solution is feasible for standard form problem assert_eq(data_s.constr_lhs * sol_opt_s, data_s.constr_lb) end @timeit "Optimize standard form" begin optimize!(model_s) if round == 1 obj = objective_value(model_s) + data_s.obj_offset push!(stats_obj, obj) push!(stats_gap, gap(obj)) push!(stats_ncuts, 0) end if termination_status(model_s) != MOI.OPTIMAL error("Non-optimal termination status") end end @timeit "Select tableau rows" begin basis = get_basis(model_s) if round == 1 original_basis = basis end sol_frac = get_x(model_s) selected_rows = select_gmi_rows(data_s, basis, sol_frac, max_rows = max_cuts_per_round) end @timeit "Compute tableau rows" begin tableau = compute_tableau(data_s, basis, x = sol_frac, rows = selected_rows) # Assert tableau rows have been computed correctly assert_eq(tableau.lhs * sol_frac, tableau.rhs) assert_eq(tableau.lhs * sol_opt_s, tableau.rhs) end @timeit "Compute GMI cuts" begin cuts_s = compute_gmi(data_s, tableau) # Assert cuts have been generated correctly assert_cuts_off(cuts_s, sol_frac) assert_does_not_cut_off(cuts_s, sol_opt_s) # Abort if no cuts are left if length(cuts_s.lb) == 0 @info "No cuts generated. Aborting." break end end @timeit "Add GMI cuts to original problem" begin # Convert cuts cuts = backwards(transforms, cuts_s) # Update data structs bv = repeat([basis], length(selected_rows)) if round == 1 all_cuts = cuts all_cuts_bases = bv all_cuts_rows = selected_rows else all_cuts.lhs = [all_cuts.lhs; cuts.lhs] all_cuts.lb = [all_cuts.lb; cuts.lb] all_cuts.ub = [all_cuts.ub; cuts.ub] all_cuts_bases = [all_cuts_bases; bv] all_cuts_rows = [all_cuts_rows; selected_rows] end # Add to model constrs, gmi_exps = add_constraint_set_dual_v2(model, all_cuts) end @timeit "Optimize original form" begin set_objective_function(model, or_obj_f) set_optimizer(model, optimizer) undo_relax = relax_integrality(model) optimize!(model) obj = objective_value(model) push!(stats_obj, obj) push!(stats_gap, gap(obj)) end @timeit "Reoptimize with updated obj function" begin revised_obj = ( or_obj_f - sum( shadow_price(c) * gmi_exps[iz] for (iz, c) in enumerate(constrs) ) ) delete.(model, constrs) set_objective_function(model, revised_obj) set_optimizer(model, optimizer) optimize!(model) n_obj = objective_value(model) assert_eq(obj, n_obj, atol = 0.01) end undo_relax() end @timeit "Store cuts in H5 file" begin if all_cuts !== nothing ncuts = length(all_cuts_rows) total = length(original_basis.var_basic) + length(original_basis.var_nonbasic) + length(original_basis.constr_basic) + length(original_basis.constr_nonbasic) all_cuts_basis_sizes = Array{Int64,2}(undef, ncuts, 4) all_cuts_basis_vars = Array{Int64,2}(undef, ncuts, total) for i = 1:ncuts vb = all_cuts_bases[i].var_basic vn = all_cuts_bases[i].var_nonbasic cb = all_cuts_bases[i].constr_basic cn = all_cuts_bases[i].constr_nonbasic all_cuts_basis_sizes[i, :] = [length(vb) length(vn) length(cb) length(cn)] all_cuts_basis_vars[i, :] = [vb' vn' cb' cn'] end @info "Storing $(length(all_cuts.ub)) GMI cuts..." h5 = H5File(h5_filename) h5.put_sparse("cuts_lhs", all_cuts.lhs) h5.put_array("cuts_lb", all_cuts.lb) h5.put_array("cuts_ub", all_cuts.ub) h5.put_array("cuts_basis_vars", all_cuts_basis_vars) h5.put_array("cuts_basis_sizes", all_cuts_basis_sizes) h5.put_array("cuts_rows", all_cuts_rows) h5.file.close() end end @show stats_gap @show stats_obj @show stats_ncuts print_timer() return OrderedDict( "instance" => mps_filename, "max_rounds" => max_rounds, "rounds" => length(stats_obj) - 1, "obj_mip" => obj_mip, "stats_obj" => stats_obj, "stats_gap" => stats_gap, ) end function ExpertDualGmiComponent_before_mip(test_h5, model, stats) # Read cuts and optimal solution h5 = H5File(test_h5) sol_opt_dict = Dict( zip( h5.get_array("static_var_names"), convert(Array{Float64}, h5.get_array("mip_var_values")), ), ) cut_basis_vars = h5.get_array("cuts_basis_vars") cut_basis_sizes = h5.get_array("cuts_basis_sizes") cut_rows = h5.get_array("cuts_rows") obj_mip = h5.get_scalar("mip_lower_bound") if obj_mip === nothing obj_mip = h5.get_scalar("mip_obj_value") end h5.close() # Initialize stats stats_time_convert = 0 stats_time_tableau = 0 stats_time_gmi = 0 all_cuts = [] stats_time_convert = @elapsed begin # Extract problem data data = ProblemData(model) # Construct optimal solution vector (with correct variable sequence) sol_opt = [sol_opt_dict[n] for n in data.var_names] # 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) # Convert to standard form data_s, transforms = convert_to_standard_form(data) model_s = to_model(data_s) set_optimizer(model_s, HiGHS.Optimizer) relax_integrality(model_s) # Convert optimal solution to standard form sol_opt_s = forward(transforms, sol_opt) # Assert converted solution is feasible for standard form problem assert_eq(data_s.constr_lhs * sol_opt_s, data_s.constr_lb) end current_basis = nothing for (r, row) in enumerate(cut_rows) stats_time_tableau += @elapsed begin if r == 1 || cut_basis_vars[r, :] != cut_basis_vars[r-1, :] vbb, vnn, cbb, cnn = cut_basis_sizes[r, :] current_basis = Basis(; var_basic = cut_basis_vars[r, 1:vbb], var_nonbasic = cut_basis_vars[r, vbb+1:vbb+vnn], constr_basic = cut_basis_vars[r, vbb+vnn+1:vbb+vnn+cbb], constr_nonbasic = cut_basis_vars[r, vbb+vnn+cbb+1:vbb+vnn+cbb+cnn], ) end tableau = compute_tableau(data_s, current_basis, rows = [row]) assert_eq(tableau.lhs * sol_opt_s, tableau.rhs) end stats_time_gmi += @elapsed begin cuts_s = compute_gmi(data_s, tableau) assert_does_not_cut_off(cuts_s, sol_opt_s) end cuts = backwards(transforms, cuts_s) assert_does_not_cut_off(cuts, sol_opt) push!(all_cuts, cuts) end function cut_callback(cb_data) if all_cuts !== nothing @info "Enforcing dual GMI cuts..." for cuts in all_cuts constrs = build_constraints(model, cuts) for c in constrs MOI.submit(model, MOI.UserCut(cb_data), c) end end all_cuts = nothing end end # Set up cut callback set_attribute(model, MOI.UserCutCallback(), cut_callback) stats["gmi_time_convert"] = stats_time_convert stats["gmi_time_tableau"] = stats_time_tableau stats["gmi_time_gmi"] = stats_time_gmi return end function add_constraint_set_dual_v2(model::JuMP.Model, cs::ConstraintSet) vars = all_variables(model) nrows, ncols = size(cs.lhs) constrs = [] gmi_exps = [] for i = 1:nrows c = nothing gmi_exp = nothing gmi_exp2 = nothing expr = @expression(model, sum(cs.lhs[i, j] * vars[j] for j = 1:ncols)) if isinf(cs.ub[i]) c = @constraint(model, cs.lb[i] <= expr) gmi_exp = cs.lb[i] - expr elseif isinf(cs.lb[i]) c = @constraint(model, expr <= cs.ub[i]) gmi_exp = expr - cs.ub[i] else c = @constraint(model, cs.lb[i] <= expr <= cs.ub[i]) gmi_exp = cs.lb[i] - expr gmi_exp2 = expr - cs.ub[i] end push!(constrs, c) push!(gmi_exps, gmi_exp) if !isnothing(gmi_exp2) push!(gmi_exps, gmi_exp2) end end return constrs, gmi_exps end function _dualgmi_features(h5_filename, extractor) h5 = H5File(h5_filename, "r") try return extractor.get_instance_features(h5) finally h5.close() end end function _dualgmi_generate(train_h5, model) data = ProblemData(model) data_s, transforms = convert_to_standard_form(data) all_cuts = [] for h5_filename in train_h5 h5 = H5File(h5_filename) cut_basis_vars = h5.get_array("cuts_basis_vars") cut_basis_sizes = h5.get_array("cuts_basis_sizes") cut_rows = h5.get_array("cuts_rows") h5.close() current_basis = nothing for (r, row) in enumerate(cut_rows) if r == 1 || cut_basis_vars[r, :] != cut_basis_vars[r-1, :] vbb, vnn, cbb, cnn = cut_basis_sizes[r, :] current_basis = Basis(; var_basic = cut_basis_vars[r, 1:vbb], var_nonbasic = cut_basis_vars[r, vbb+1:vbb+vnn], constr_basic = cut_basis_vars[r, vbb+vnn+1:vbb+vnn+cbb], constr_nonbasic = cut_basis_vars[r, vbb+vnn+cbb+1:vbb+vnn+cbb+cnn], ) end tableau = compute_tableau(data_s, current_basis, rows = [row]) cuts_s = compute_gmi(data_s, tableau) cuts = backwards(transforms, cuts_s) push!(all_cuts, cuts) end end return all_cuts end function _dualgmi_set_callback(model, all_cuts) function cut_callback(cb_data) if all_cuts !== nothing @info "Dual GMI: Submitting cuts..." for cuts in all_cuts constrs = build_constraints(model, cuts) for c in constrs MOI.submit(model, MOI.UserCut(cb_data), c) end end all_cuts = nothing end end set_attribute(model, MOI.UserCutCallback(), cut_callback) end function KnnDualGmiComponent_fit(data::_KnnDualGmiData, train_h5) x = hcat([ _dualgmi_features(filename, data.extractor) for filename in train_h5 ]...)' model = pyimport("sklearn.neighbors").NearestNeighbors(n_neighbors=data.k) model.fit(x) data.model = model data.train_h5 = train_h5 end function KnnDualGmiComponent_before_mip(data::_KnnDualGmiData, test_h5, model, stats) x = _dualgmi_features(test_h5, data.extractor) x = reshape(x, 1, length(x)) selected = vec(data.model.kneighbors(x, return_distance=false)) .+ 1 @info "Dual GMI: Nearest neighbors:" for h5_filename in data.train_h5[selected] @info " $(h5_filename)" end cuts = _dualgmi_generate(data.train_h5[selected], model) _dualgmi_set_callback(model, cuts) end function __init_gmi_dual__() @pydef mutable struct Class1 function fit(_, _) end function before_mip(self, test_h5, model, stats) ExpertDualGmiComponent_before_mip(test_h5, model.inner, stats) end end copy!(ExpertDualGmiComponent, Class1) @pydef mutable struct Class2 function __init__(self; extractor, k = 3) self.data = _KnnDualGmiData(; extractor, k) end function fit(self, train_h5) KnnDualGmiComponent_fit(self.data, train_h5) end function before_mip(self, test_h5, model, stats) KnnDualGmiComponent_before_mip(self.data, test_h5, model.inner, stats) end end copy!(KnnDualGmiComponent, Class2) end export collect_gmi_dual, expert_gmi_dual, ExpertDualGmiComponent, KnnDualGmiComponent