Modularize LearningSolver into components; implement branch-priority

Makefile

@@ -1,4 +1,4 @@
-PYTEST_ARGS := -W ignore::DeprecationWarning --capture=no -vv
+PYTEST_ARGS := -W ignore::DeprecationWarning -vv
 
 test:
 	pytest $(PYTEST_ARGS)

miplearn/__init__.py

@@ -2,6 +2,8 @@
 # Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
+
+from .component import Component
 from .instance import Instance
 from .solvers import LearningSolver
 from .benchmark import BenchmarkRunner

miplearn/benchmark.py

@@ -13,11 +13,6 @@ class BenchmarkRunner:
         self.solvers = solvers
         self.results = None
         
-    def load_fit(self, filename):
-        for (name, solver) in self.solvers.items():
-            solver.load(filename)
-            solver.fit()
-            
     def parallel_solve(self, instances, n_jobs=1, n_trials=1):
         if self.results is None:
             self.results = pd.DataFrame(columns=["Solver",
@@ -79,3 +74,11 @@ class BenchmarkRunner:
         
     def load_results(self, filename):
         self.results = pd.read_csv(filename, index_col=0)
+        
+    def load_state(self, filename):
+        for (name, solver) in self.solvers.items():
+            solver.load_state(filename)
+
+    def fit(self):
+        for (name, solver) in self.solvers.items():
+            solver.fit()

miplearn/branching.py

@@ -0,0 +1,63 @@
+# MIPLearn, an extensible framework for Learning-Enhanced Mixed-Integer Optimization
+# Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
+# Written by Alinson S. Xavier <axavier@anl.gov>
+
+from . import Component
+from .transformers import PerVariableTransformer
+from abc import ABC, abstractmethod
+import numpy as np
+
+
+class BranchPriorityComponent(Component):
+    def __init__(self,
+                 initial_priority=None,
+                 collect_training_data=True):
+        self.priority = initial_priority
+        self.transformer = PerVariableTransformer()
+        self.collect_training_data = collect_training_data
+    
+    def before_solve(self, solver, instance, model):
+        assert solver.is_persistent, "BranchPriorityComponent requires a persistent solver"
+        var_split = self.transformer.split_variables(instance, model)
+        for category in var_split.keys():
+            var_index_pairs = var_split[category]
+            if self.priority is not None:
+                from gurobipy import GRB
+                for (i, (var, index)) in enumerate(var_index_pairs):
+                    gvar = solver.internal_solver._pyomo_var_to_solver_var_map[var[index]]
+                    gvar.setAttr(GRB.Attr.BranchPriority, int(self.priority[index]))        
+
+                    
+    def after_solve(self, solver, instance, model):
+        if self.collect_training_data:
+            import subprocess, tempfile, os
+            src_dirname = os.path.dirname(os.path.realpath(__file__))
+            model_file = tempfile.NamedTemporaryFile(suffix=".lp")
+            priority_file = tempfile.NamedTemporaryFile()
+            solver.internal_solver.write(model_file.name)
+            subprocess.run(["julia",
+                            "%s/scripts/branchpriority.jl" % src_dirname,
+                            model_file.name,
+                            priority_file.name],
+                           check=True)
+            self._merge(np.genfromtxt(priority_file.name,
+                                      delimiter=',',
+                                      dtype=int))
+        
+    
+    def fit(self, solver):
+        pass
+
+    
+    def merge(self, other):
+        if other.priority is not None:
+            self._merge(other.priority)
+            
+            
+    def _merge(self, priority):
+        assert isinstance(priority, np.ndarray)
+        if self.priority is None:
+            self.priority = priority
+        else:
+            assert self.priority.shape == priority.shape
+            self.priority += priority

miplearn/component.py

@@ -0,0 +1,23 @@
+# MIPLearn, an extensible framework for Learning-Enhanced Mixed-Integer Optimization
+# Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
+# Written by Alinson S. Xavier <axavier@anl.gov>
+
+from abc import ABC, abstractmethod
+
+
+class Component(ABC):
+    @abstractmethod
+    def fit(self, solver):
+        pass
+    
+    @abstractmethod
+    def before_solve(self, solver, instance, model):
+        pass
+    
+    @abstractmethod
+    def after_solve(self, solver, instance, model):
+        pass
+    
+    @abstractmethod
+    def merge(self, other):
+        pass

miplearn/problems/tests/test_stab.py

@@ -12,11 +12,11 @@ from scipy.stats import uniform, randint
 
 def test_stab():
     graph = nx.cycle_graph(5)
-    weights = [1., 2., 3., 4., 5.]
+    weights = [1., 1., 1., 1., 1.]
     instance = MaxWeightStableSetInstance(graph, weights)
     solver = LearningSolver()
     solver.solve(instance)
-    assert instance.model.OBJ() == 8.
+    assert instance.model.OBJ() == 2.
     
     
 def test_stab_generator_fixed_graph():

miplearn/scripts/branchpriority.jl

@@ -0,0 +1,67 @@
+import Base.Threads.@threads
+using TinyBnB, CPLEXW, Printf
+
+instance_name = ARGS[1]
+output_filename = ARGS[2]
+
+mip = open_mip(instance_name)
+n_vars = CPXgetnumcols(mip.cplex_env[1], mip.cplex_lp[1])
+
+pseudocost_count_up = [0 for i in 1:n_vars]
+pseudocost_count_down = [0 for i in 1:n_vars]
+pseudocost_sum_up = [0. for i in 1:n_vars]
+pseudocost_sum_down = [0. for i in 1:n_vars]
+
+function full_strong_branching_track(node::Node, progress::Progress)::TinyBnB.Variable
+    N = length(node.fractional_variables)
+    scores = Array{Float64}(undef, N)
+    rates_up = Array{Float64}(undef, N) 
+    rates_down = Array{Float64}(undef, N)
+    
+    @threads for v in 1:N
+        fix_vars!(node.mip, node.branch_variables, node.branch_values)
+        obj_up, obj_down = TinyBnB.probe(node.mip, node.fractional_variables[v])
+        unfix_vars!(node.mip, node.branch_variables)
+        delta_up  = obj_up - node.obj
+        delta_down = obj_down - node.obj
+        frac_up = ceil(node.fractional_values[v]) - node.fractional_values[v]
+        frac_down = node.fractional_values[v] - floor(node.fractional_values[v])
+        rates_up[v] = delta_up / frac_up
+        rates_down[v] = delta_down / frac_down
+        scores[v] = delta_up * delta_down
+    end
+
+    max_score, max_offset = findmax(scores)
+    selected_var = node.fractional_variables[max_offset]
+    
+    if rates_up[max_offset] < 1e6
+        pseudocost_count_up[selected_var.index] += 1
+        pseudocost_sum_up[selected_var.index] += rates_up[max_offset]
+    end
+    
+    if rates_down[max_offset] < 1e6
+        pseudocost_count_down[selected_var.index] += 1
+        pseudocost_sum_down[selected_var.index] += rates_down[max_offset]
+    end
+    
+    return selected_var
+end
+
+branch_and_bound(mip,
+                 node_limit = 1000,
+                 branch_rule = full_strong_branching_track,
+                 node_rule = best_bound,
+                 print_interval = 1)
+
+priority = [(pseudocost_count_up[v] == 0 || pseudocost_count_down[v] == 0) ? 0 :
+              (pseudocost_sum_up[v] / pseudocost_count_up[v]) *
+              (pseudocost_sum_down[v] / pseudocost_count_down[v])
+             for v in 1:n_vars];
+
+open(output_filename, "w") do file
+    for v in 1:n_vars
+        v == 1 || write(file, ",")
+        write(file, @sprintf("%.0f", priority[v]))
+    end
+    write(file, "\n")
+end

miplearn/solvers.py

@@ -3,10 +3,11 @@
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
 from .transformers import PerVariableTransformer
-from .warmstart import KnnWarmStartPredictor, LogisticWarmStartPredictor
+from .warmstart import WarmStartComponent
+from .branching import BranchPriorityComponent
 import pyomo.environ as pe
 import numpy as np
-from copy import copy, deepcopy
+from copy import deepcopy
 import pickle
 from tqdm import tqdm
 from joblib import Parallel, delayed
@@ -20,6 +21,7 @@ def _gurobi_factory():
     solver.options["Seed"] = randint(low=0, high=1000).rvs()
     return solver
 
+
 class LearningSolver:
     """
     Mixed-Integer Linear Programming (MIP) solver that extracts information from previous runs,
@@ -29,144 +31,95 @@ class LearningSolver:
     def __init__(self,
                  threads=4,
                  internal_solver_factory=_gurobi_factory,
-                 ws_predictor=LogisticWarmStartPredictor(),
-                 branch_priority=None,
-                 mode="exact"):
+                 components=None,
+                 mode=None):
+        self.is_persistent = None
+        self.internal_solver = None
+        self.components = components
         self.internal_solver_factory = internal_solver_factory
+        
+        if self.components is not None:
+            assert isinstance(self.components, dict)
+        else:
+            self.components = {
+                "warm-start": WarmStartComponent(),
+                "branch-priority": BranchPriorityComponent(),
+            }
+            
+        if mode is not None:
+            assert mode in ["exact", "heuristic"]
+            for component in self.components:
+                component.mode = mode
+        
+    def _create_solver(self):
         self.internal_solver = self.internal_solver_factory()
-        self.mode = mode
-        self.x_train = {}
-        self.y_train = {}
-        self.ws_predictors = {}
-        self.ws_predictor_prototype = ws_predictor
-        self.branch_priority = branch_priority
+        self.is_persistent = hasattr(self.internal_solver, "set_instance")
+        
+    def _clear(self):
+        self.internal_solver = None
 
     def solve(self, instance, tee=False):
-        # Load model into solver
         model = instance.to_model()
-        is_solver_persistent = hasattr(self.internal_solver, "set_instance")
-        if is_solver_persistent:
+        
+        self._create_solver()
+        if self.is_persistent:
             self.internal_solver.set_instance(model)
         
-        # Split decision variables according to their category
-        transformer = PerVariableTransformer()
-        var_split = transformer.split_variables(instance, model)
+        for component in self.components.values():
+            component.before_solve(self, instance, model)
         
-        # Build x_test and update x_train
-        x_test = {}
-        for category in var_split.keys():
-            var_index_pairs = var_split[category]
-            x = transformer.transform_instance(instance, var_index_pairs)
-            x_test[category] = x
-            if category not in self.x_train.keys():
-                self.x_train[category] = x
-            else:
-                self.x_train[category] = np.vstack([self.x_train[category], x])
-
-        for category in var_split.keys():
-            var_index_pairs = var_split[category]
-            
-            # Predict warm starts
-            if category in self.ws_predictors.keys():
-                ws = self.ws_predictors[category].predict(x_test[category])
-                assert ws.shape == (len(var_index_pairs), 2)
-                for i in range(len(var_index_pairs)):
-                    var, index = var_index_pairs[i]
-                    if self.mode == "heuristic":
-                        if ws[i,0] == 1:
-                            var[index].fix(0)
-                        elif ws[i,1] == 1:
-                            var[index].fix(1)
-                    else:
-                        if ws[i,0] == 1:
-                            var[index].value = 0
-                        elif ws[i,1] == 1:
-                            var[index].value = 1
-
-            # Set custom branch priority
-            if self.branch_priority is not None:
-                assert is_solver_persistent
-                from gurobipy import GRB
-                for (i, (var, index)) in enumerate(var_index_pairs):
-                    gvar = self.internal_solver._pyomo_var_to_solver_var_map[var[index]]
-                    #priority = randint(low=0, high=1000).rvs()
-                    gvar.setAttr(GRB.Attr.BranchPriority, self.branch_priority[index])
-
-        if is_solver_persistent:
+        if self.is_persistent:
             solve_results = self.internal_solver.solve(tee=tee, warmstart=True)
         else:
             solve_results = self.internal_solver.solve(model, tee=tee, warmstart=True)
         
         solve_results["Solver"][0]["Nodes"] = self.internal_solver._solver_model.getAttr("NodeCount")
         
-        
-        # Update y_train
-        for category in var_split.keys():
-            var_index_pairs = var_split[category]
-            y = transformer.transform_solution(var_index_pairs)
-            if category not in self.y_train.keys():
-                self.y_train[category] = y
-            else:
-                self.y_train[category] = np.vstack([self.y_train[category], y])
+        for component in self.components.values():
+            component.after_solve(self, instance, model)
         
         return solve_results
                 
     def parallel_solve(self, instances, n_jobs=4, label="Solve"):
-        self.parentSolver = None
+        self._clear()
         
         def _process(instance):
-            solver = copy(self)
-            solver.internal_solver = solver.internal_solver_factory()
+            solver = deepcopy(self)
             results = solver.solve(instance)
-            return {
-                "x_train": solver.x_train,
-                "y_train": solver.y_train,
-                "results": results,
-            }
+            solver._clear()
+            return solver, results
 
-        def _merge(results):
-            categories = results[0]["x_train"].keys()
-            x_entries = [np.vstack([r["x_train"][c] for r in results]) for c in categories]
-            y_entries = [np.vstack([r["y_train"][c] for r in results]) for c in categories]
-            x_train = dict(zip(categories, x_entries))
-            y_train = dict(zip(categories, y_entries))
-            results = [r["results"] for r in results]
-            return x_train, y_train, results
-
-        results = Parallel(n_jobs=n_jobs)(
+        solver_result_pairs = Parallel(n_jobs=n_jobs)(
             delayed(_process)(instance)
             for instance in tqdm(instances, desc=label, ncols=80)
         )
         
-        x_train, y_train, results = _merge(results)
-        self.x_train = x_train
-        self.y_train = y_train
+        solvers = [p[0] for p in solver_result_pairs]
+        results = [p[1] for p in solver_result_pairs]
+        
+        for (name, component) in self.components.items():
+            for subsolver in solvers:
+                self.components[name].merge(subsolver.components[name])
+        
         return results
 
-    def fit(self, x_train_dict=None, y_train_dict=None):
-        if x_train_dict is None:
-            x_train_dict = self.x_train
-            y_train_dict = self.y_train
-        for category in x_train_dict.keys():
-            x_train = x_train_dict[category]
-            y_train = y_train_dict[category]
-            if self.ws_predictor_prototype is not None:
-                self.ws_predictors[category] = deepcopy(self.ws_predictor_prototype)
-                self.ws_predictors[category].fit(x_train, y_train)
+    def fit(self):
+        for component in self.components.values():
+            component.fit(self)
             
-    def save(self, filename):
+    def save_state(self, filename):
         with open(filename, "wb") as file:
             pickle.dump({
-                "version": 1,
-                "x_train": self.x_train,
-                "y_train": self.y_train,
-                "ws_predictors": self.ws_predictors,
+                "version": 2,
+                "components": self.components,
             }, file)
 
-    def load(self, filename):
+    def load_state(self, filename):
         with open(filename, "rb") as file:
             data = pickle.load(file)
-            assert data["version"] == 1
-            self.x_train = data["x_train"]
-            self.y_train = data["y_train"]
-            self.ws_predictors = self.ws_predictors
+            assert data["version"] == 2
+            for (component_name, component) in data["components"].items():
+                if component_name not in self.components.keys():
+                    continue
+                else:
+                    self.components[component_name].merge(component)

miplearn/tests/test_benchmark.py

@@ -19,15 +19,16 @@ def test_benchmark():
     # Training phase...
     training_solver = LearningSolver()
     training_solver.parallel_solve(train_instances, n_jobs=10)
-    training_solver.save("data.bin")
+    training_solver.fit()
+    training_solver.save_state("data.bin")
 
     # Test phase...
     test_solvers = {
-        "Strategy A": LearningSolver(ws_predictor=None),
-        "Strategy B": LearningSolver(ws_predictor=None),
+        "Strategy A": LearningSolver(),
+        "Strategy B": LearningSolver(),
     }
     benchmark = BenchmarkRunner(test_solvers)
-    benchmark.load_fit("data.bin")
+    benchmark.load_state("data.bin")
     benchmark.parallel_solve(test_instances, n_jobs=2, n_trials=2)
     assert benchmark.raw_results().values.shape == (12,12)
     

miplearn/tests/test_solver.py

@@ -4,6 +4,8 @@
 
 from miplearn import LearningSolver
 from miplearn.problems.knapsack import KnapsackInstance2
+from miplearn.branching import BranchPriorityComponent
+from miplearn.warmstart import WarmStartComponent
 import numpy as np
 
 
@@ -16,21 +18,29 @@ def test_solver():
     solver.fit()
     solver.solve(instance)
 
-def test_solve_save_load():
+def test_solve_save_load_state():
     instance = KnapsackInstance2(weights=[23., 26., 20., 18.],
                                  prices=[505., 352., 458., 220.],
                                  capacity=67.)
-    solver = LearningSolver()
+    components_before = {
+        "warm-start": WarmStartComponent(),
+        "branch-priority": BranchPriorityComponent(),
+    }
+    solver = LearningSolver(components=components_before)
     solver.solve(instance)
     solver.fit()
-    solver.save("/tmp/knapsack_train.bin")
-    prev_x_train_len = len(solver.x_train)
-    prev_y_train_len = len(solver.y_train)
+    solver.save_state("/tmp/knapsack_train.bin")
+    prev_x_train_len = len(solver.components["warm-start"].x_train)
+    prev_y_train_len = len(solver.components["warm-start"].y_train)
     
-    solver = LearningSolver()
-    solver.load("/tmp/knapsack_train.bin")
-    assert len(solver.x_train) == prev_x_train_len
-    assert len(solver.y_train) == prev_y_train_len
+    components_after = {
+        "warm-start": WarmStartComponent(),
+    }
+    solver = LearningSolver(components=components_after)
+    solver.load_state("/tmp/knapsack_train.bin")
+    assert len(solver.components.keys()) == 1
+    assert len(solver.components["warm-start"].x_train) == prev_x_train_len
+    assert len(solver.components["warm-start"].y_train) == prev_y_train_len
 
 def test_parallel_solve():
     instances = [KnapsackInstance2(weights=np.random.rand(5),
@@ -38,13 +48,18 @@ def test_parallel_solve():
                                    capacity=3.0)
                  for _ in range(10)]
     solver = LearningSolver()
-    solver.parallel_solve(instances, n_jobs=3)
-    assert len(solver.x_train[0]) == 10
-    assert len(solver.y_train[0]) == 10
+    results = solver.parallel_solve(instances, n_jobs=3)
+    assert len(results) == 10
+    assert len(solver.components["warm-start"].x_train[0]) == 10
+    assert len(solver.components["warm-start"].y_train[0]) == 10
     
 def test_solver_random_branch_priority():
     instance = KnapsackInstance2(weights=[23., 26., 20., 18.],
                                  prices=[505., 352., 458., 220.],
                                  capacity=67.)
-    solver = LearningSolver(branch_priority=[1, 2, 3, 4])
-    solver.solve(instance, tee=True)
+    components = {
+        "warm-start": BranchPriorityComponent(priority=np.array([1, 2, 3, 4])),
+    }
+    solver = LearningSolver(components=components)
+    solver.solve(instance)
+    solver.fit()

miplearn/warmstart.py

@@ -2,7 +2,11 @@
 # Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
+from . import Component
+from .transformers import PerVariableTransformer
+
 from abc import ABC, abstractmethod
+from copy import deepcopy
 import numpy as np
 from sklearn.pipeline import make_pipeline
 from sklearn.linear_model import LogisticRegression
@@ -10,6 +14,7 @@ from sklearn.preprocessing import StandardScaler
 from sklearn.model_selection import cross_val_score
 from sklearn.neighbors import KNeighborsClassifier
 
+
 class WarmStartPredictor(ABC):
     def __init__(self, thr_clip=[0.50, 0.50]):
         self.models = [None, None]
@@ -106,3 +111,78 @@ class KnnWarmStartPredictor(WarmStartPredictor):
         knn = KNeighborsClassifier(n_neighbors=self.k)
         knn.fit(x_train, y_train)
         return knn
+    
+    
+class WarmStartComponent(Component):
+    def __init__(self,
+                 predictor_prototype=LogisticWarmStartPredictor(),
+                 mode="exact",
+                ):
+        self.mode = mode
+        self.transformer = PerVariableTransformer()
+        self.x_train = {}
+        self.y_train = {}
+        self.predictors = {}
+        self.predictor_prototype = predictor_prototype
+    
+    def before_solve(self, solver, instance, model):
+        var_split = self.transformer.split_variables(instance, model)
+        x_test = {}
+        
+        # Collect training data (x_train) and build x_test
+        for category in var_split.keys():
+            var_index_pairs = var_split[category]
+            x = self.transformer.transform_instance(instance, var_index_pairs)
+            x_test[category] = x
+            if category not in self.x_train.keys():
+                self.x_train[category] = x
+            else:
+                assert x.shape[1] == self.x_train[category].shape[1]
+                self.x_train[category] = np.vstack([self.x_train[category], x])
+        
+        # Predict solutions
+        for category in var_split.keys():
+            var_index_pairs = var_split[category]
+            if category in self.predictors.keys():
+                ws = self.predictors[category].predict(x_test[category])
+                assert ws.shape == (len(var_index_pairs), 2)
+                for i in range(len(var_index_pairs)):
+                    var, index = var_index_pairs[i]
+                    if self.mode == "heuristic":
+                        if ws[i,0] == 1:
+                            var[index].fix(0)
+                        elif ws[i,1] == 1:
+                            var[index].fix(1)
+                    else:
+                        if ws[i,0] == 1:
+                            var[index].value = 0
+                        elif ws[i,1] == 1:
+                            var[index].value = 1
+
+    def after_solve(self, solver, instance, model):
+        var_split = self.transformer.split_variables(instance, model)
+        for category in var_split.keys():
+            var_index_pairs = var_split[category]
+            y = self.transformer.transform_solution(var_index_pairs)
+            if category not in self.y_train.keys():
+                self.y_train[category] = y
+            else:
+                self.y_train[category] = np.vstack([self.y_train[category], y])
+                
+    def fit(self, solver):
+        for category in self.x_train.keys():
+            x_train = self.x_train[category]
+            y_train = self.y_train[category]
+            self.predictors[category] = deepcopy(self.predictor_prototype)
+            self.predictors[category].fit(x_train, y_train)
+
+    def merge(self, other):
+        for c in other.x_train.keys():
+            if c not in self.x_train:
+                self.x_train[c] = other.x_train[c]
+                self.y_train[c] = other.y_train[c]
+            else:
+                self.x_train[c] = np.vstack([self.x_train[c], other.x_train[c]])
+                self.y_train[c] = np.vstack([self.y_train[c], other.y_train[c]])
+            if (c in other.predictors.keys()) and (c not in self.predictors.keys()):
+                self.predictors[c] = other.predictors[c]