Reorganize callbacks

miplearn/solvers/gurobi.py

@@ -4,6 +4,7 @@
 import logging
 import re
 import sys
+from dataclasses import dataclass
 from io import StringIO
 from random import randint
 from typing import List, Any, Dict, Optional, Hashable
@@ -31,6 +32,14 @@ from miplearn.types import (
 logger = logging.getLogger(__name__)
 
 
+@dataclass
+class ExtractedGurobiConstraint:
+    lhs: Any
+    rhs: float
+    sense: str
+    name: str
+
+
 class GurobiSolver(InternalSolver):
     """
     An InternalSolver backed by Gurobi's Python API (without Pyomo).
@@ -158,6 +167,7 @@ class GurobiSolver(InternalSolver):
         assert self.model is not None
         if iteration_cb is None:
             iteration_cb = lambda: False
+        callback_exceptions = []
 
         # Create callback wrapper
         def cb_wrapper(cb_model: Any, cb_where: int) -> None:
@@ -167,8 +177,9 @@ class GurobiSolver(InternalSolver):
                     lazy_cb(self, self.model)
                 if user_cut_cb is not None and cb_where == self.gp.GRB.Callback.MIPNODE:
                     user_cut_cb(self, self.model)
-            except:
+            except Exception as e:
                 logger.exception("callback error")
+                callback_exceptions.append(e)
             finally:
                 self.cb_where = None
 
@@ -188,6 +199,8 @@ class GurobiSolver(InternalSolver):
         while True:
             with _RedirectOutput(streams):
                 self.model.optimize(cb_wrapper)
+            if len(callback_exceptions) > 0:
+                raise callback_exceptions[0]
             total_wallclock_time += self.model.runtime
             total_nodes += int(self.model.nodeCount)
             should_repeat = iteration_cb()
@@ -279,29 +292,26 @@ class GurobiSolver(InternalSolver):
             )
 
     @overrides
-    def add_constraint(
+    def add_constraint(self, cobj: Any, name: str = "") -> None:
-        self,
-        constraint: Any,
-        name: str = "",
-    ) -> None:
         assert self.model is not None
-        if type(constraint) is tuple:
+        if isinstance(cobj, ExtractedGurobiConstraint):
-            lhs, sense, rhs, name = constraint
             if self.cb_where in [
                 self.gp.GRB.Callback.MIPSOL,
                 self.gp.GRB.Callback.MIPNODE,
             ]:
-                self.model.cbLazy(lhs, sense, rhs)
+                self.model.cbLazy(cobj.lhs, cobj.sense, cobj.rhs)
-            else:
-                self.model.addConstr(lhs, sense, rhs, name)
             else:
+                self.model.addConstr(cobj.lhs, cobj.sense, cobj.rhs, cobj.name)
+        elif isinstance(cobj, self.gp.TempConstr):
             if self.cb_where in [
                 self.gp.GRB.Callback.MIPSOL,
                 self.gp.GRB.Callback.MIPNODE,
             ]:
-                self.model.cbLazy(constraint)
+                self.model.cbLazy(cobj)
+            else:
+                self.model.addConstr(cobj, name=name)
         else:
-                self.model.addConstr(constraint, name=name)
+            raise Exception(f"unknown constraint type: {cobj.__class__.__name__}")
 
     @overrides
     def add_cut(self, cobj: Any) -> None:
@@ -325,21 +335,27 @@ class GurobiSolver(InternalSolver):
             var.ub = value
 
     @overrides
-    def extract_constraint(self, cid: str) -> Any:
+    def extract_constraint(self, cid: str) -> ExtractedGurobiConstraint:
         self._raise_if_callback()
         assert self.model is not None
         constr = self.model.getConstrByName(cid)
-        cobj = (self.model.getRow(constr), constr.sense, constr.RHS, constr.ConstrName)
+        cobj = ExtractedGurobiConstraint(
+            lhs=self.model.getRow(constr),
+            sense=constr.sense,
+            rhs=constr.RHS,
+            name=constr.ConstrName,
+        )
         self.model.remove(constr)
         return cobj
 
     @overrides
     def is_constraint_satisfied(
         self,
-        cobj: Any,
+        cobj: ExtractedGurobiConstraint,
         tol: float = 1e-6,
     ) -> bool:
-        lhs, sense, rhs, name = cobj
+        assert isinstance(cobj, ExtractedGurobiConstraint)
+        lhs, sense, rhs, _ = cobj.lhs, cobj.sense, cobj.rhs, cobj.name
         if self.cb_where is not None:
             lhs_value = lhs.getConstant()
             for i in range(lhs.size()):
@@ -433,18 +449,22 @@ class GurobiSolver(InternalSolver):
         self.model.update()
         constraints: Dict[str, Constraint] = {}
         for c in self.model.getConstrs():
+            constr = self._parse_gurobi_constraint(c)
+            assert c.constrName not in constraints
+            constraints[c.constrName] = constr
+        return constraints
+
+    def _parse_gurobi_constraint(self, c: Any) -> Constraint:
+        assert self.model is not None
         expr = self.model.getRow(c)
         lhs: Dict[str, float] = {}
         for i in range(expr.size()):
             lhs[expr.getVar(i).varName] = expr.getCoeff(i)
-            assert c.constrName not in constraints
+        return Constraint(rhs=c.rhs, lhs=lhs, sense=c.sense)
-            constraints[c.constrName] = Constraint(
-                rhs=c.rhs,
-                lhs=lhs,
-                sense=c.sense,
-            )
 
-        return constraints
+    @overrides
+    def are_callbacks_supported(self) -> bool:
+        return True
 
 
 class GurobiTestInstanceInfeasible(Instance):
@@ -506,5 +526,10 @@ class GurobiTestInstanceKnapsack(PyomoTestInstanceKnapsack):
 
     @overrides
     def build_lazy_constraint(self, model: Any, violation: Hashable) -> Any:
-        x = model.getVarByName("x[0]")
+        # TODO: Replace by plain constraint
-        return x <= 0.0
+        return ExtractedGurobiConstraint(
+            lhs=1.0 * model.getVarByName("x[0]"),
+            sense="<",
+            rhs=0.0,
+            name="cut",
+        )

miplearn/solvers/internal.py

@@ -255,3 +255,10 @@ class InternalSolver(ABC):
     @abstractmethod
     def build_test_instance_knapsack(self) -> Instance:
         pass
+
+    def are_callbacks_supported(self) -> bool:
+        """
+        Returns True if this solver supports native callbacks, such as lazy constraints
+        callback or user cuts callback.
+        """
+        return False

miplearn/solvers/pyomo/base.py

@@ -98,10 +98,8 @@ class BasePyomoSolver(InternalSolver):
         lazy_cb: Optional[LazyCallback] = None,
         user_cut_cb: Optional[UserCutCallback] = None,
     ) -> MIPSolveStats:
-        if lazy_cb is not None:
+        assert lazy_cb is None, "callbacks are not currently supported"
-            raise Exception("lazy callback not currently supported")
+        assert user_cut_cb is None, "callbacks are not currently supported"
-        if user_cut_cb is not None:
-            raise Exception("user cut callback not currently supported")
         total_wallclock_time = 0
         streams: List[Any] = [StringIO()]
         if tee:
@@ -413,6 +411,9 @@ class BasePyomoSolver(InternalSolver):
             sense=sense,
         )
 
+    def are_callbacks_supported(self) -> bool:
+        return False
+
 
 class PyomoTestInstanceInfeasible(Instance):
     @overrides

miplearn/solvers/tests/__init__.py

@@ -16,6 +16,9 @@ def run_internal_solver_tests(solver: InternalSolver) -> None:
     run_basic_usage_tests(solver.clone())
     run_warm_start_tests(solver.clone())
     run_infeasibility_tests(solver.clone())
+    run_iteration_cb_tests(solver.clone())
+    if solver.are_callbacks_supported():
+        run_lazy_cb_tests(solver.clone())
 
 
 def run_basic_usage_tests(solver: InternalSolver) -> None:
@@ -193,5 +196,25 @@ def run_iteration_cb_tests(solver: InternalSolver) -> None:
     assert_equals(count, 5)
 
 
+def run_lazy_cb_tests(solver: InternalSolver) -> None:
+    instance = solver.build_test_instance_knapsack()
+    model = instance.to_model()
+    lazy_cb_count = 0
+
+    def lazy_cb(cb_solver: InternalSolver, cb_model: Any) -> None:
+        nonlocal lazy_cb_count
+        lazy_cb_count += 1
+        cobj = instance.build_lazy_constraint(model, "cut")
+        if not cb_solver.is_constraint_satisfied(cobj):
+            cb_solver.add_constraint(cobj)
+
+    solver.set_instance(instance, model)
+    solver.solve(lazy_cb=lazy_cb)
+    assert lazy_cb_count > 0
+    solution = solver.get_solution()
+    assert solution is not None
+    assert_equals(solution["x[0]"], 0.0)
+
+
 def assert_equals(left: Any, right: Any) -> None:
     assert left == right, f"{left} != {right}"

tests/solvers/test_lazy_cb.py

@@ -1,27 +0,0 @@
-#  MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
-#  Copyright (C) 2020-2021, UChicago Argonne, LLC. All rights reserved.
-#  Released under the modified BSD license. See COPYING.md for more details.
-
-import logging
-from typing import Any
-
-from miplearn.solvers.gurobi import GurobiSolver
-from miplearn.solvers.internal import InternalSolver
-
-logger = logging.getLogger(__name__)
-
-
-def test_lazy_cb() -> None:
-    solver = GurobiSolver()
-    instance = solver.build_test_instance_knapsack()
-    model = instance.to_model()
-
-    def lazy_cb(cb_solver: InternalSolver, cb_model: Any) -> None:
-        cobj = (cb_model.getVarByName("x[0]") * 1.0, "<", 0.0, "cut")
-        if not cb_solver.is_constraint_satisfied(cobj):
-            cb_solver.add_constraint(cobj)
-
-    solver.set_instance(instance, model)
-    solver.solve(lazy_cb=lazy_cb)
-    solution = solver.get_solution()
-    assert solution["x[0]"] == 0.0