# 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. import ..H5File using OrderedCollections using SparseArrays using Statistics using TimerOutputs function collect_gmi(mps_filename; optimizer, max_rounds=10, max_cuts_per_round=100, atol=1e-4) @info mps_filename reset_timer!() # Open HDF5 file h5_filename = replace(mps_filename, ".mps.gz" => ".h5") h5 = H5File(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 = h5.get_scalar("lp_obj_value") 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 = 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_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 # Optimize standard form optimize!(model_s) stats_time_solve += solve_time(model_s) obj = objective_value(model_s) + data_s.obj_offset if round == 1 # Assert standard form problem has same value as original assert_eq(obj, obj_lp) 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_eq(tableau.lhs * sol_frac, tableau.rhs) assert_eq(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 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. Stopping." 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)) > atol 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 = 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.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, "stats_obj" => stats_obj, "stats_gap" => stats_gap, "stats_ncuts" => stats_ncuts, ) end function select_gmi_rows(data, basis, x; max_rows=10, atol=1e-4) candidate_rows = [ r for r in 1:length(basis.var_basic) if ( (data.var_types[basis.var_basic[r]] != 'C') && (frac(x[basis.var_basic[r]]) > atol) && (frac2(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 = 1:min(length(perm), max_rows)] end function compute_gmi(data::ProblemData, tableau::Tableau)::ConstraintSet nrows, ncols = size(tableau.lhs) ub = Float64[Inf for _ = 1:nrows] lb = Float64[0.9999 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) i::Int = tableau_I[k] j::Int = tableau_J[k] v::Float64 = 0.0 frac_alpha_j = frac(tableau_V[k]) alpha_j = tableau_V[k] beta = frac(tableau.rhs[i]) if data.var_types[j] == 'C' if alpha_j >= 0 v = alpha_j / beta else v = -alpha_j / (1 - beta) end else if frac_alpha_j < beta v = frac_alpha_j / beta else v = (1 - frac_alpha_j) / (1 - beta) end end if abs(v) > 1e-8 push!(lhs_I, i) push!(lhs_J, tableau_J[k]) push!(lhs_V, v) end end lhs = sparse(lhs_I, lhs_J, lhs_V, nrows, ncols) end return ConstraintSet(; lhs, ub, lb) end export compute_gmi, frac, select_gmi_rows, assert_cuts_off, assert_does_not_cut_off, collect_gmi