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91 lines
2.7 KiB
91 lines
2.7 KiB
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
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# Copyright (C) 2020-2022, UChicago Argonne, LLC. All rights reserved.
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# Released under the modified BSD license. See COPYING.md for more details.
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using SparseArrays
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@inline frac(x::Float64) = x - floor(x)
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function select_gmi_rows(data, basis, x; max_rows=10, atol=0.001)
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candidate_rows = [
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r
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for r in 1:length(basis.var_basic)
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if (data.var_types[basis.var_basic[r]] != 'C') && (frac(x[basis.var_basic[r]]) > atol)
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]
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candidate_vals = frac.(x[basis.var_basic[candidate_rows]])
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score = abs.(candidate_vals .- 0.5)
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perm = sortperm(score)
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return [candidate_rows[perm[i]] for i in 1:min(length(perm), max_rows)]
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end
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function compute_gmi(
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data::ProblemData,
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tableau::Tableau,
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tol=1e-8,
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)::ConstraintSet
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nrows, ncols = size(tableau.lhs)
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ub = Float64[Inf for _ in 1:nrows]
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lb = Float64[0.999 for _ in 1:nrows]
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tableau_I, tableau_J, tableau_V = findnz(tableau.lhs)
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lhs_I = Int[]
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lhs_J = Int[]
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lhs_V = Float64[]
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@timeit "Compute coefficients" begin
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for k in 1:nnz(tableau.lhs)
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i::Int = tableau_I[k]
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v::Float64 = 0.0
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alpha_j = frac(tableau_V[k])
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beta = frac(tableau.rhs[i])
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if data.var_types[i] == "C"
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if alpha_j >= 0
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v = alpha_j / beta
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else
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v = alpha_j / (1 - beta)
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end
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else
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if alpha_j <= beta
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v = alpha_j / beta
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else
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v = (1 - alpha_j) / (1 - beta)
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end
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end
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if abs(v) > tol
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push!(lhs_I, i)
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push!(lhs_J, tableau_J[k])
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push!(lhs_V, v)
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end
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end
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lhs = sparse(lhs_I, lhs_J, lhs_V, nrows, ncols)
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end
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return ConstraintSet(; lhs, ub, lb)
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end
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function assert_cuts_off(
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cuts::ConstraintSet,
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x::Vector{Float64},
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tol=1e-6
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)
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for i in 1:length(cuts.lb)
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val = cuts.lhs[i, :]' * x
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if (val <= cuts.ub[i] - tol) && (val >= cuts.lb[i] + tol)
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throw(ErrorException("inequality fails to cut off fractional solution"))
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end
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end
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end
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function assert_does_not_cut_off(
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cuts::ConstraintSet,
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x::Vector{Float64};
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tol=1e-6
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)
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for i in 1:length(cuts.lb)
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val = cuts.lhs[i, :]' * x
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ub = cuts.ub[i]
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lb = cuts.lb[i]
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if (val >= ub) || (val <= lb)
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throw(ErrorException("inequality $i cuts off integer solution ($lb <= $val <= $ub)"))
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end
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end
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end
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export compute_gmi, frac, select_gmi_rows, assert_cuts_off, assert_does_not_cut_off |