# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization # Copyright (C) 2020-2022, UChicago Argonne, LLC. All rights reserved. # Released under the modified BSD license. See COPYING.md for more details. import ..Hdf5Sample using OrderedCollections function collect_gmi( mps_filename; optimizer, max_rounds=10, max_cuts_per_round=100, ) @info mps_filename reset_timer!() # Open HDF5 file h5_filename = replace(mps_filename, ".mps.gz" => ".h5") h5 = Hdf5Sample(h5_filename) # Read optimal solution sol_opt_dict = Dict( zip( h5.get_array("static_var_names"), convert(Array{Float64}, h5.get_array("mip_var_values")), ) ) # Read optimal value obj_mip = h5.get_scalar("mip_lower_bound") if obj_mip === nothing obj_mip = h5.get_scalar("mip_obj_value") end obj_lp = nothing h5.file.close() # Define relative MIP gap gap(v) = 100 * abs(obj_mip - v) / abs(v) # Initialize stats stats_obj = [] stats_gap = [] stats_ncuts = [] stats_time_convert = 0 stats_time_solve = 0 stats_time_select = 0 stats_time_tableau = 0 stats_time_gmi = 0 all_cuts = nothing # Read problem model = read_from_file(mps_filename) for round in 1:max_rounds @info "Round $(round)..." 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 all(data.constr_lb .- 1e-3 .<= data.constr_lhs * sol_opt) @assert all(data.constr_lhs * sol_opt .<= data.constr_ub .+ 1e-3) # 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 data_s.constr_lhs * sol_opt_s ≈ data_s.constr_lb end # Optimize standard form optimize!(model_s) stats_time_solve += solve_time(model_s) obj = objective_value(model_s) + data_s.obj_offset if obj_lp === nothing obj_lp = obj push!(stats_obj, obj) push!(stats_gap, gap(obj)) push!(stats_ncuts, 0) end if termination_status(model_s) != MOI.OPTIMAL return end # Select tableau rows basis = get_basis(model_s) sol_frac = get_x(model_s) stats_time_select += @elapsed begin selected_rows = select_gmi_rows( data_s, basis, sol_frac, max_rows=max_cuts_per_round, ) end # Compute selected tableau rows stats_time_tableau += @elapsed begin tableau = compute_tableau( data_s, basis, sol_frac, rows=selected_rows, ) # Assert tableau rows have been computed correctly @assert tableau.lhs * sol_frac ≈ tableau.rhs @assert tableau.lhs * sol_opt_s ≈ tableau.rhs end # Compute GMI cuts stats_time_gmi += @elapsed begin cuts_s = compute_gmi(data_s, tableau) # Assert cuts have been generated correctly try assert_cuts_off(cuts_s, sol_frac) assert_does_not_cut_off(cuts_s, sol_opt_s) catch @warn "Invalid cuts detected. Discarding round $round cuts and aborting." break end # Abort if no cuts are left if length(cuts_s.lb) == 0 @info "No cuts generated. Aborting." break end end # Add GMI cuts to original problem cuts = backwards(transforms, cuts_s) assert_does_not_cut_off(cuts, sol_opt) constrs = add_constraint_set(model, cuts) # Optimize original form set_optimizer(model, optimizer) undo_relax = relax_integrality(model) optimize!(model) obj = objective_value(model) push!(stats_obj, obj) push!(stats_gap, gap(obj)) # Store useful cuts; drop useless ones from the problem useful = [ abs(shadow_price(c)) > 1e-3 for c in constrs ] drop = findall(useful .== false) keep = findall(useful .== true) delete.(model, constrs[drop]) if all_cuts === nothing all_cuts = cuts else all_cuts.lhs = [all_cuts.lhs; cuts.lhs[keep, :]] all_cuts.lb = [all_cuts.lb; cuts.lb[keep]] all_cuts.lb = [all_cuts.lb; cuts.lb[keep]] end push!(stats_ncuts, length(all_cuts.lb)) undo_relax() end # Store cuts if all_cuts !== nothing @info "Storing $(length(all_cuts.ub)) GMI cuts..." h5 = Hdf5Sample(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.file.close() end return OrderedDict( "instance" => mps_filename, "max_rounds" => max_rounds, "rounds" => length(stats_obj) - 1, "time_convert" => stats_time_convert, "time_solve" => stats_time_solve, "time_tableau" => stats_time_tableau, "time_gmi" => stats_time_gmi, "obj_mip" => obj_mip, "obj_lp" => obj_lp, "stats_obj" => stats_obj, "stats_gap" => stats_gap, "stats_ncuts" => stats_ncuts, ) end export collect_gmi